UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21413
Name of Fund: BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating Rate
Income Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 12/31/2021
Date of reporting period: 06/30/2021
Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.
JUNE 30, 2021 |
| 2021 Semi-Annual Report (Unaudited)
|
BlackRock Debt Strategies Fund, Inc. (DSU)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Supplemental Information (unaudited)
Section 19(a) Notices
BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) and BlackRock Limited Duration Income Trust’s (BLW) (collectively the “Funds”, or individually a “Fund”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
June 30, 2021
Total Cumulative Distributions for the Fiscal Period | % Breakdown of the Total Cumulative Distributions for the Fiscal Period | |||||||||||||||||||||||||||||||||||||||||||||||||
Fund Name | | Net Income |
| | Net Realized Capital Gains Short-Term |
| | Net Realized Capital Gains Long-Term |
| | Return of Capital | (a) | | Total Per Common Share |
| | Net Income |
| | Net Realized Capital Gains Short-Term | | | Net Realized Capital Gains Long-Term | | | Return of Capital | | | Total Per Common Share |
| | |
| |||||||||||||||||
DSU | $ | 0.282297 | $ | — | $ | — | $ | 0.020203 | $ | 0.302500 | 93 | % | — | % | — | % | 7 | % | 100 | % | ||||||||||||||||||||||||||||||
FRA | 0.305146 | — | — | 0.028354 | 0.333500 | 91 | — | — | 9 | 100 | ||||||||||||||||||||||||||||||||||||||||
BLW | 0.460927 | — | — | 0.029573 | 0.490500 | 94 | — | — | 6 | 100 |
(a) | Each Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share. |
Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website at blackrock.com.
Section 19(b) Disclosure
The Funds, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Fund’s Board of Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Funds currently distribute the following fixed amounts per share on a monthly basis:
Exchange Symbol | Amount Per Common Share | |||
DSU | $ | 0.0605 | ||
FRA | 0.0667 | |||
BLW | 0.0981 |
The fixed amounts distributed per share are subject to change at the discretion of each Fund’s Board. Under its Plan, each Fund will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Funds will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Fund may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).
Shareholders should not draw any conclusions about each Fund’s investment performance from the amount of these distributions or from the terms of the Plan. Each Fund’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Fund’s Plan at any time without prior notice to the Fund’s shareholders if it deems such actions to be in the best interests of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. The Funds are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.
2 | 2 0 2 1 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Dear Shareholder,
The 12-month reporting period as of June 30, 2021 was a remarkable period of adaptation and recovery, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. The United States, along with most of the world, began the reporting period emerging from a severe recession, prompted by pandemic-related restrictions that disrupted many aspects of daily life. However, easing restrictions and robust government intervention led to a strong rebound, and the economy grew at a significant pace for the reporting period, recovering much of the output lost at the beginning of the pandemic.
Equity prices rose with the broader economy, as investors became increasingly optimistic about the economic outlook. Stocks rose through the summer of 2020, fed by strong fiscal and monetary support and positive economic indicators. The implementation of mass vaccination campaigns and passage of an additional $1.9 trillion of fiscal stimulus further boosted stocks, and many equity indices neared or surpassed all-time highs late in the reporting period. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities also gained, as both developed countries and emerging markets rebounded substantially.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) had fallen sharply prior to the beginning of the reporting period, which meant bonds were priced for extreme risk avoidance and economic disruption. Despite expectations of doom and gloom, the economy expanded rapidly, stoking inflation concerns in early 2021, which led to higher yields and a negative overall return for most U.S. Treasuries. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to substantial returns for high-yield corporate bonds, although investment-grade corporates declined slightly.
The Fed remained committed to accommodative monetary policy by maintaining near zero interest rates and by reiterating that inflation could exceed its 2% target for a sustained period without triggering a rate increase. Late in the period the Fed elaborated on their expected timeline, raising the likelihood of slower bond purchasing and the possibility of higher rates in 2023.
Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion will continue to accelerate as vaccination efforts ramp up and pent-up consumer demand leads to higher spending. While we expect inflation to increase somewhat as the expansion continues, we believe the recent uptick owes more to temporary supply disruptions than a lasting change in fundamentals. The change in Fed policy also means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the economic expansion.
Overall, we favor a moderately positive stance toward risk, with an overweight in equities. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and healthcare, are particularly attractive in the long-term. U.S. small-caps and European equities are likely to benefit from the continuing vaccine-led restart. We are underweight long-term on credit, but inflation-protected U.S. Treasuries, Asian fixed income, and Chinese government bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.
In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of June 30, 2021 | ||||
6-Month | 12-Month | |||
U.S. large cap equities | 15.25% | 40.79% | ||
U.S. small cap equities | 17.54 | 62.03 | ||
International equities | 8.83 | 32.35 | ||
Emerging market equities | 7.45 | 40.90 | ||
3-month Treasury bills | 0.02 | 0.09 | ||
U.S. Treasury securities | (4.10) | (5.89) | ||
U.S. investment grade bonds | (1.60) | (0.33) | ||
Tax-exempt municipal bonds | 1.24 | 4.20 | ||
U.S. high yield bonds | 3.61 | 15.34 | ||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
THIS PAGE IS NOT PART OF YOUR FUND REPORT | 3 |
Page | ||
2 | ||
3 | ||
Semi-Annual Report: | ||
5 | ||
5 | ||
6 | ||
Financial Statements: | ||
15 | ||
105 | ||
107 | ||
108 | ||
110 | ||
112 | ||
115 | ||
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements | 128 | |
132 | ||
135 |
4 |
The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Fund had not used leverage. Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed 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 Fund to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Fund’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to each Fund’s investment adviser will be higher than if the Funds did not use leverage.
Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33 1/3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
If a Fund segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Fund’s obligations under a reverse repurchase agreement (including accrued interest) then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.
THE BENEFITS AND RISKS OF LEVERAGING / DERIVATIVE FINANCIAL INSTRUMENTS | 5 |
Fund Summary as of June 30, 2021 | BlackRock Debt Strategies Fund, Inc. (DSU) |
Investment Objective
BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings or Baa or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to provide capital appreciation.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
Symbol on New York Stock Exchange | DSU | |
Initial Offering Date | March 27, 1998 | |
Current Distribution Rate on Closing Market Price as of June 30, 2021 ($11.45) (a) | 6.34% | |
Current Monthly Distribution per Common Share (b) | $0.0605 | |
Current Annualized Distribution per Common Share (b) | $0.7260 | |
Leverage as of June 30, 2021 (c) | 30% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
06/30/21 | 12/31/20 | Change | High | Low | ||||||||||||||||
Market Price | $ | 11.45 | $ | 10.45 | 9.57 | % | $ | 11.59 | $ | 10.32 | ||||||||||
Net Asset Value | 11.72 | 11.55 | 1.47 | 11.76 | 11.55 |
Market Price and Net Asset Value History for the Past Five Years
6 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of June 30, 2021 (continued) | BlackRock Debt Strategies Fund, Inc. (DSU) |
Performance and Portfolio Management Commentary
Returns for the period ended June 30, 2021 were as follows:
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 3 Years | 5 Years | |||||||||||||
Fund at NAV(a)(b) | 4.26 | % | 16.52 | % | 5.86 | % | 7.38 | % | ||||||||
Fund at Market Price(a)(b) | 12.58 | 32.14 | 8.91 | 9.42 | ||||||||||||
Reference Benchmark(c) | 3.45 | 13.50 | 5.91 | 6.23 | ||||||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) | 3.61 | 15.34 | 7.42 | 7.47 | ||||||||||||
S&P/LSTA Leveraged Loan Index(e) | 3.28 | 11.65 | 4.39 | 4.99 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the S&P/LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) | An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
DSU is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.
More information about the historical performance can be found in the “Closed-End Funds” section of blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Floating rate loan interest (“bank loans”) performed well in the first half of the period. In addition to benefiting from the tailwind of improving economic growth, concerns that the Fed may need to begin raising interest rates led to higher demand for floating rate assets.
From an asset allocation perspective, the Fund’s core exposure to bank loans and tactical allocations to high yield bonds, equities and investment-grade corporate bonds contributed to performance. From a sector perspective, the largest contributors included technology, independent energy and health care. With respect to credit tiers, the Fund’s positions in B rated debt made the largest contribution to absolute returns, followed by CCCs and BBs. There were no significant detractors from absolute performance given the positive performance for the bank loan market.
Describe recent portfolio activity.
The investment adviser marginally reduced the Fund’s allocation to investment-grade bonds in favor of bank loans due to supportive supply-and-demand conditions and attractive relative values. The investment adviser’s credit rating views remained consistent over the past several quarters, with a focus on avoiding the more volatile stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.
Describe portfolio positioning at period end.
The Fund remained predominately invested in bank loans, with the rest of the portfolio primarily invested in high yield bonds. The Fund’s largest sector positions were in technology, health care and consumer cyclical services, while it had lower weightings in energy, electric utilities and metals & mining. From a credit rating perspective, the Fund continued to emphasize BB and B rated issues, with a higher allocation to the latter. The Fund also held a smaller in position in CCC rated debt.
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 SUMMARY | 7 |
Fund Summary as of June 30, 2021 (continued) | BlackRock Debt Strategies Fund, Inc. (DSU) |
Overview of the Fund’s Total Investments
PORTFOLIO ALLOCATION
Asset Type | 06/30/21 | 12/31/20 | ||||||
Floating Rate Loan Interests | 84 | % | 82 | % | ||||
Corporate Bonds | 14 | 16 | ||||||
Investment Companies | 1 | 1 | ||||||
Preferred Securities | 1 | 1 | ||||||
Other* | — | (a) | — | (b) |
CREDIT QUALITY ALLOCATION
Credit Rating(b)(c) | 06/30/21 | 12/31/20 | ||||||
AAA/Aaa | — | %(a) | — | % | ||||
AA/Aa | — | (a) | — | |||||
A | — | (a) | — | |||||
BBB/Baa | 5 | 7 | ||||||
BB/Ba | 23 | 21 | ||||||
B | 62 | 64 | ||||||
CCC/Caa | 8 | 7 | ||||||
N/R | 2 | 1 |
(a) | Rounds to less than 1% of total investments. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | Excludes common stocks, warrants, short-term securities, options purchased and options written. |
* | Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
8 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of June 30, 2021 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Investment Objective
BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”) investment objective is to provide shareholders with 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. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
Symbol on New York Stock Exchange | FRA | |
Initial Offering Date | October 31, 2003 | |
Current Distribution Rate on Closing Market Price as of June 30, 2021 ($13.25)(a) | 6.04% | |
Current Monthly Distribution per Common Share(b) | $0.0667 | |
Current Annualized Distribution per Common Share(b) | $0.8004 | |
Leverage as of June 30, 2021(c) | 29% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
06/30/21 | 12/31/20 | Change | High | Low | ||||||||||||||||
Market Price | $ | 13.25 | $ | 12.11 | 9.41 | % | $ | 13.34 | $ | 11.92 | ||||||||||
Net Asset Value | 14.01 | 13.81 | 1.45 | 14.07 | 13.81 |
Market Price and Net Asset Value History for the Past Five Years
FUND SUMMARY | 9 |
Fund Summary as of June 30, 2021 (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Performance and Portfolio Management Commentary
Returns for the period ended June 30, 2021 were as follows:
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 3 Years | 5 Years | |||||||||||||
Fund at NAV(a)(b) | 4.06 | % | 15.81 | % | 5.29 | % | 5.87 | % | ||||||||
Fund at Market Price(a)(b) | 12.23 | 27.07 | 5.60 | 6.77 | ||||||||||||
S&P/LSTA Leveraged Loan Index(c) | 3.28 | 11.65 | 4.39 | 4.99 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Floating rate loan interest (“bank loans”) performed well in the first half of the period. In addition to benefiting from the tailwind of improving economic growth, concerns that the Fed may need to begin raising interest rates led to higher demand for floating-rate assets.
From an asset allocation perspective, the Fund’s core exposure to bank loans and tactical allocations to high yield bonds, equities and investment-grade corporate Bonds contributed to performance. From a sector perspective, the largest contributors included technology, airlines and health care. With respect to credit tiers, the Fund’s positions in B rated debt made the largest contribution to absolute returns, followed by CCCs and BBs. There were no significant detractors from absolute performance given the positive performance for the bank loan market.
Describe recent portfolio activity.
The investment adviser marginally reduced the Fund’s allocation to investment-grade bonds in favor of bank loans due to supportive supply-and-demand conditions and attractive relative values. The investment adviser’s credit rating views remained consistent over the past several quarters, with a focus on avoiding the more volatile stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.
Describe portfolio positioning at period end.
The Fund remained predominately invested in bank loans, with the rest of the portfolio primarily invested in high yield bonds. By credit rating, B rated loans were the Fund’s largest position, and it had a much smaller weightings in the higher-risk CCC rated segment. Within the single B category, the investment adviser remained focused on higher-quality B+ and B rated debt, with less of an emphasis on securities rated B-.
The investment adviser’s core sector views stayed largely intact. Some of the Fund’s top sector positions were technology companies, particularly in the enterprise software area. Health care, consumer cyclical services and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. The investment adviser maintained a lower allocation to energy and the consumer cyclical sectors, such as retailers and leisure, on the belief that these market segments continued to face significant headwinds.
The Fund had a bias toward larger loan tranches of $1 billion and above. The investment adviser maintained a preference for loan/bond capital structures over the loan-only segment. The securities that Fund did own in the latter category were typically transactions of $1 billion or more. The Fund remained underweight in the 2017 and 2018 vintages, arguably a period with more aggressive lending standards and weaker protections for loan holders.
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.
10 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of June 30, 2021 (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Overview of the Fund’s Total Investments
PORTFOLIO ALLOCATION
Asset Type | 06/30/21 | 12/31/20 | ||||||
Floating Rate Loan Interests | 96 | % | 93 | % | ||||
Investment Companies | 2 | 2 | ||||||
Corporate Bonds | 2 | 5 | ||||||
Other* | — | (a) | — | (b) |
CREDIT QUALITY ALLOCATION
Credit Rating(b)(c) | 06/30/21 | 12/31/20 | ||||||
AAA/Aaa | — | %(a) | — | % | ||||
AA/Aa | — | (a) | — | |||||
A | — | (a) | — | |||||
BBB/Baa | 4 | 6 | ||||||
BB/Ba | 20 | 19 | ||||||
B | 67 | 67 | ||||||
CCC/Caa | 6 | 6 | ||||||
N/R | 3 | 2 |
(a) | Rounds to less than 1% of total investments. |
(b) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(c) | Excludes common stocks, warrants, short-term securities, options purchased and options written. |
* | Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
FUND SUMMARY | 11 |
Fund Summary as of June 30, 2021 | BlackRock Limited Duration Income Trust (BLW) |
Investment Objective
BlackRock Limited Duration Income Trust’s (BLW) (the “Fund”) investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:
• | intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality. |
The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information
Symbol on New York Stock Exchange | BLW | |
Initial Offering Date | July 30, 2003 | |
Current Distribution Rate on Closing Market Price as of June 30, 2021 ($17.02)(a) | 6.92% | |
Current Monthly Distribution per Common Share(b) | $0.0981 | |
Current Annualized Distribution per Common Share(b) | $1.1772 | |
Leverage as of June 30, 2021(c) | 34% |
(a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results. |
(b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |
(c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |
Market Price and Net Asset Value Per Share Summary
06/30/21 | 12/31/20 | Change | High | Low | ||||||||||||||||
Market Price | $ | 17.02 | $ | 15.92 | 6.91 | % | $ | 17.30 | $ | 15.55 | ||||||||||
Net Asset Value | 17.14 | 16.93 | 1.24 | 17.22 | 16.93 |
Market Price and Net Asset Value History for the Past Five Years
12 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of June 30, 2021 (continued) | BlackRock Limited Duration Income Trust (BLW) |
Performance and Portfolio Management Commentary
Returns for the period ended June 30, 2021 were as follows:
Average Annual Total Returns | ||||||||||||||||
6-month | 1 Year | 3 Years | 5 Years | |||||||||||||
Fund at NAV(a)(b) | 4.23 | % | 17.92 | % | 8.58 | % | 8.43 | % | ||||||||
Fund at Market Price(a)(b) | 10.07 | 31.54 | 12.35 | 10.05 | ||||||||||||
Reference Benchmark(c) | 2.38 | 9.48 | 5.30 | 5.03 | ||||||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) | 3.61 | 15.34 | 7.42 | 7.47 | ||||||||||||
S&P/LSTA Leveraged Loan Index(e) | 3.28 | 11.65 | 4.39 | 4.99 | ||||||||||||
BATS S Benchmark(f) | 0.26 | 1.80 | 3.87 | 2.53 |
(a) | All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage. |
(b) | The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV. |
(c) | The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods. |
(d) | An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |
(e) | An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |
(f) | A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg Barclays CMBS Investment Grade 1-3.5 Yr. Index, Bloomberg Barclays MBS 15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index. |
Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of blackrock.com.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Positive contributions to the Fund’s absolute performance over the period came from allocations to below investment grade categories, specifically U.S. high yield corporate bonds and floating rate loan interests. Positioning with respect to U.S. Treasuries also contributed positively. Finally, the use of interest rate swaps proved additive.
The main detractors from the Fund’s absolute performance came from short exposure to U.S. municipal bonds and positioning in non-U.S. sovereign issues.
Describe recent portfolio activity.
Over the period, the Fund increased its allocation to high yield corporate bonds and emerging market debt, while trimming exposure to commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”), cash and non-U.S. dollar securities. In addition, the Fund increased its municipal bond short position over the period.
Describe portfolio positioning at period end.
At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate credit, investment grade corporate credit, emerging market debt, CMBS and ABS.
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 SUMMARY | 13 |
Fund Summary as of June 30, 2021 (continued) | BlackRock Limited Duration Income Trust (BLW) |
Overview of the Fund’s Total Investments
PORTFOLIO ALLOCATION
Asset Type(a) | 06/30/21 | 12/31/20 | ||||||
Corporate Bonds | 55 | % | 55 | % | ||||
Floating Rate Loan Interests | 30 | 30 | ||||||
Preferred Securities | 4 | 5 | ||||||
U.S. Treasury Obligations | 4 | 2 | ||||||
Asset-Backed Securities | 3 | 3 | ||||||
Foreign Agency Obligations | 2 | 3 | ||||||
Non-Agency Mortgage-Backed Securities | 1 | 1 | ||||||
Investment Companies | 1 | 1 | ||||||
Other* | — | (b) | — | (b) |
CREDIT QUALITY ALLOCATION
Credit Rating(c)(d) | 06/30/21 | 12/31/20 | ||||||
AAA/Aaa(e) | 4 | % | — | % | ||||
AA/Aa | — | (b) | 2 | |||||
A | 3 | 4 | ||||||
BBB/Baa | 12 | 14 | ||||||
BB/Ba | 31 | 32 | ||||||
B | 38 | 39 | ||||||
CCC/Caa | 8 | 7 | ||||||
CC | 1 | — | ||||||
N/R | 3 | 2 |
(a) | Excludes short-term securities, options purchased and options written. |
(b) | Rounds to less than 1% of total investments. |
(c) | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(d) | Excludes short-term securities. |
(e) | The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa. |
* | Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |
14 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities |
| |||||||
Unique Pub Finance Co. PLC, Series N, 6.46%,03/30/32 | GBP | 100 | $ | 167,378 | ||||
|
| |||||||
Total Asset-Backed Securities — 0.0% |
| 167,378 | ||||||
|
| |||||||
Shares | ||||||||
Common Stocks | ||||||||
Construction & Engineering — 0.0% | ||||||||
McDermott International Ltd.(a) | 141,483 | 69,327 | ||||||
|
| |||||||
Diversified Financial Services — 0.0% | ||||||||
Kcad Holdings I Ltd.(b) | 1,075,282,733 | 10,753 | ||||||
|
| |||||||
Energy Equipment & Services — 0.0% | ||||||||
Pioneer Energy Services Corp.(a)(b) | 809 | 11,973 | ||||||
|
| |||||||
Metals & Mining — 0.0% | ||||||||
Ameriforge Group, Inc. | 1,664 | 36,608 | ||||||
Preferred Proppants LLC(b) | 14,576 | 1,385 | ||||||
|
| |||||||
37,993 | ||||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||
California Resources Corp.(a) | 2,336 | 70,407 | ||||||
Chesapeake Energy Corp. | 11,300 | 586,696 | ||||||
Extraction Oil & Gas, Inc., (Acquired 03/05/21, | 2,622 | 143,374 | ||||||
SM Energy Co. | 10,500 | 258,615 | ||||||
|
| |||||||
1,059,092 | ||||||||
Semiconductors & Semiconductor Equipment(a) — 0.0% | ||||||||
Maxeon Solar Technologies Ltd. | 213 | 4,565 | ||||||
SunPower Corp. | 1,707 | 49,878 | ||||||
|
| |||||||
54,443 | ||||||||
Software — 0.0% | ||||||||
Avaya Holdings Corp.(a) | 40 | 1,076 | ||||||
|
| |||||||
Specialty Retail — 0.1% | ||||||||
NMG Parent LLC | 1,477 | 184,133 | ||||||
|
| |||||||
Total Common Stocks — 0.3% |
| 1,428,790 | ||||||
|
| |||||||
Par (000) | ||||||||
Corporate Bonds | ||||||||
Aerospace & Defense — 0.5% | ||||||||
Bombardier, Inc.(d) | ||||||||
7.50%, 12/01/24 | USD | 78 | 81,510 | |||||
7.50%, 03/15/25 | 14 | 14,397 | ||||||
7.13%, 06/15/26 | 204 | 213,588 | ||||||
7.88%, 04/15/27 | 17 | 17,638 | ||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(d) | 200 | 206,000 | ||||||
Spirit AeroSystems, Inc., 5.50%, 01/15/25(d) | 58 | 61,625 | ||||||
TransDigm, Inc. | ||||||||
8.00%, 12/15/25(d) | 656 | 708,808 | ||||||
6.25%, 03/15/26(d) | 1,073 | 1,132,015 | ||||||
6.38%, 06/15/26 | 29 | 30,043 | ||||||
7.50%, 03/15/27 | 33 | 35,104 |
Security | Par (000) | Value | ||||||
Aerospace & Defense (continued) | ||||||||
TransDigm, Inc. (continued) | ||||||||
4.63%, 01/15/29(d) | USD | 85 | $ | 85,030 | ||||
4.88%, 05/01/29(d) | 96 | 96,912 | ||||||
Triumph Group, Inc., 8.88%, 06/01/24(d) | 245 | 272,562 | ||||||
|
| |||||||
2,955,232 | ||||||||
Airlines — 0.7% | ||||||||
Air France-KLM, 3.88%, 07/01/26 | EUR | 100 | 116,739 | |||||
Allegiant Travel Co., 8.50%, 02/05/24(d) | USD | 1,065 | 1,150,200 | |||||
American Airlines, Inc., | 279 | 350,145 | ||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(d) | ||||||||
5.50%, 04/20/26 | 662 | 700,893 | ||||||
5.75%, 04/20/29 | 302 | 326,616 | ||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., | 265 | 294,616 | ||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., | 101 | 108,435 | ||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(d) | 376 | 413,976 | ||||||
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(d) | 13 | 15,099 | ||||||
United Airlines Pass-Through Trust | ||||||||
Series 2020-1, Class A, | 270 | 299,885 | ||||||
Series 2020-1, Class B, | 20 | 20,582 | ||||||
United Airlines, Inc.(d) | ||||||||
4.38%, 04/15/26 | 146 | 151,136 | ||||||
4.63%, 04/15/29 | 133 | 137,655 | ||||||
|
| |||||||
4,085,977 | ||||||||
Auto Components — 0.4% | ||||||||
Clarios Global LP, 6.75%, 05/15/25(d) | 721 | 767,851 | ||||||
Clarios Global LP/Clarios US Finance Co. | ||||||||
4.38%, 05/15/26 | EUR | 100 | 122,652 | |||||
6.25%, 05/15/26(d) | USD | 110 | 117,184 | |||||
8.50%, 05/15/27(d) | 586 | 638,857 | ||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(d) | 25 | 26,937 | ||||||
Goodyear Tire & Rubber Co. | ||||||||
9.50%, 05/31/25 | 65 | 72,556 | ||||||
5.00%, 07/15/29(d) | 42 | 43,974 | ||||||
5.25%, 07/15/31(d) | 124 | 129,580 | ||||||
5.63%, 04/30/33 | 102 | 107,579 | ||||||
Meritor, Inc., 4.50%, 12/15/28(d) | 24 | 24,330 | ||||||
Tenneco, Inc., 7.88%, 01/15/29(d) | 18 | 20,329 | ||||||
Titan International, Inc., | 36 | 37,665 | ||||||
Venture Holdings Co. LLC, 12.00%, 07/01/49(a)(b)(e) | 5,150 | 1 | ||||||
ZF Finance GmbH, 3.00%, 09/21/25 | EUR | 100 | 125,668 | |||||
|
| |||||||
2,235,163 | ||||||||
Automobiles — 0.4% | ||||||||
Allison Transmission, Inc.(d) | ||||||||
5.88%, 06/01/29 | USD | 113 | 123,735 | |||||
3.75%, 01/30/31 | 115 | 113,030 | ||||||
Asbury Automotive Group, Inc. | ||||||||
4.50%, 03/01/28 | 35 | 35,962 | ||||||
4.75%, 03/01/30 | 73 | 76,285 | ||||||
AutoNation, Inc., 4.75%, 06/01/30 | 93 | 109,991 | ||||||
Carvana Co., 5.50%, 04/15/27(d) | 92 | 95,011 |
SCHEDULE OF INVESTMENTS | 15 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Automobiles (continued) | ||||||||
Ford Motor Co. | ||||||||
4.35%, 12/08/26 | USD | 9 | $ | 9,641 | ||||
4.75%, 01/15/43 | 176 | 187,000 | ||||||
5.29%, 12/08/46 | 78 | 87,117 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.81%, 01/09/24 | 200 | 209,126 | ||||||
4.69%, 06/09/25 | 200 | 216,500 | ||||||
5.13%, 06/16/25 | 200 | 220,250 | ||||||
4.00%, 11/13/30 | 200 | 209,500 | ||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28(d) | 15 | 15,263 | ||||||
Ken Garff Automotive LLC, 4.88%, 09/15/28(d) | 39 | 39,780 | ||||||
LCM Investments Holdings II LLC, | 70 | 71,750 | ||||||
Lithia Motors, Inc., 3.88%, 06/01/29(d) | 42 | 43,535 | ||||||
MajorDrive Holdings IV LLC, | 33 | 32,918 | ||||||
Penske Automotive Group, Inc. | ||||||||
3.50%, 09/01/25 | 62 | 64,220 | ||||||
3.75%, 06/15/29 | 22 | 22,137 | ||||||
Tesla, Inc., 5.30%, 08/15/25(d) | 135 | 139,541 | ||||||
|
| |||||||
2,122,292 | ||||||||
Banks — 0.1% | ||||||||
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 | EUR | 100 | 120,227 | |||||
Banco Espirito Santo SA(a)(e) | ||||||||
4.75%, 01/15/22(f) | 200 | 33,201 | ||||||
4.00%, 01/21/22 | 100 | 16,600 | ||||||
2.63%, 05/08/49 | 100 | 16,601 | ||||||
Wells Fargo & Co., (5 year CMT + 3.45%), 3.90%(f)(g) | USD | 115 | 119,059 | |||||
|
| |||||||
305,688 | ||||||||
Beverages(d) — 0.4% | ||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(h) | 441 | 463,050 | ||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29 | 285 | 282,599 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27 | 208 | 212,160 | ||||||
Triton Water Holdings, Inc., 6.25%, 04/01/29 | 399 | 399,997 | ||||||
Trivium Packaging Finance BV, | 814 | 884,981 | ||||||
|
| |||||||
2,242,787 | ||||||||
Biotechnology — 0.0% | ||||||||
Emergent BioSolutions, Inc., | 25 | 24,488 | ||||||
|
| |||||||
Building Materials — 0.2% | ||||||||
APi Group DE, Inc., 4.13%, 07/15/29(d) | 42 | 41,764 | ||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(d) | 114 | 122,265 | ||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28(d) | 89 | 92,226 | ||||||
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(d) | 42 | 45,255 | ||||||
Griffon Corp., 5.75%, 03/01/28 | 28 | 29,750 | ||||||
Jeld-Wen, Inc.(d) | ||||||||
4.63%, 12/15/25 | 32 | 32,601 | ||||||
4.88%, 12/15/27 | 10 | 10,392 | ||||||
Masonite International Corp., | 45 | 47,686 | ||||||
Patrick Industries, Inc., 4.75%, 05/01/29(d) | 20 | 19,875 | ||||||
SRM Escrow Issuer LLC, 6.00%, 11/01/28(d) | 200 | 212,000 | ||||||
Standard Industries, Inc.(d) | ||||||||
5.00%, 02/15/27 | 34 | 35,211 |
Security | Par (000) | Value | ||||||
Building Materials (continued) | ||||||||
Standard Industries, Inc.(d) (continued) | ||||||||
4.38%, 07/15/30 | USD | 85 | $ | 87,656 | ||||
3.38%, 01/15/31 | 124 | 118,694 | ||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(d) | 168 | 178,488 | ||||||
Victors Merger Corp., 6.38%, 05/15/29(d) | 63 | 63,473 | ||||||
|
| |||||||
1,137,336 | ||||||||
Building Products(d) — 0.2% | ||||||||
Ambience Merger Sub, Inc., | 25 | 25,250 | ||||||
BCPE Ulysses Intermediate, Inc., (7.75% Cash or 8.50% PIK), 7.75%, 04/01/27(h) | 43 | 44,075 | ||||||
Beacon Roofing Supply, Inc., | 32 | 31,918 | ||||||
Foundation Building Materials, Inc., | 61 | 60,390 | ||||||
GYP Holdings III Corp., 4.63%, 05/01/29 | 76 | 76,285 | ||||||
LBM Acquisition LLC, 6.25%, 01/15/29 | 154 | 155,186 | ||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., | 105 | 109,958 | ||||||
SRS Distribution, Inc., 6.13%, 07/01/29 | 111 | 114,231 | ||||||
White Cap Buyer LLC, 6.88%, 10/15/28 | 207 | 221,542 | ||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26(h) | 67 | 69,322 | ||||||
|
| |||||||
908,157 | ||||||||
Capital Markets — 0.3% | ||||||||
Aretec Escrow Issuer, Inc., | 36 | 37,002 | ||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(f)(g) | 265 | 271,095 | ||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(d) | 81 | 84,240 | ||||||
Hightower Holding LLC, 6.75%, 04/15/29(d) | 36 | 36,720 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||
4.75%, 09/15/24 | 101 | 105,545 | ||||||
5.25%, 05/15/27 | 138 | 142,484 | ||||||
5.25%, 05/15/27(d) | 83 | 85,697 | ||||||
4.38%, 02/01/29(d) | 87 | 86,565 | ||||||
NFP Corp.(d) | ||||||||
4.88%, 08/15/28 | 86 | 87,388 | ||||||
6.88%, 08/15/28 | 374 | 393,714 | ||||||
Owl Rock Technology Finance Corp., 3.75%, 06/17/26(d) | 40 | 42,060 | ||||||
RP Escrow Issuer LLC, 5.25%, 12/15/25(d) | 50 | 52,188 | ||||||
|
| |||||||
1,424,698 | ||||||||
Chemicals — 0.4% | ||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(d) | 150 | 146,625 | ||||||
Chemours Co., 5.75%, 11/15/28(d) | 38 | 40,651 | ||||||
Element Solutions, Inc., 3.88%, 09/01/28(d) | 402 | 410,161 | ||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(d) | 134 | 137,826 | ||||||
HB Fuller Co., 4.25%, 10/15/28 | 31 | 32,039 | ||||||
Herens Holdco Sarl, 4.75%, 05/15/28(d) | 200 | 199,000 | ||||||
Herens Midco Sarl, 5.25%, 05/15/29 | EUR | 100 | 116,042 | |||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(d) | USD | 181 | 201,819 | |||||
Ingevity Corp., 3.88%, 11/01/28(d) | 23 | 22,828 | ||||||
Minerals Technologies, Inc., 5.00%, 07/01/28(d) | 55 | 57,183 | ||||||
PQ Corp., 5.75%, 12/15/25(d) | 307 | 315,059 | ||||||
SCIH Salt Holdings, Inc.(d) | ||||||||
4.88%, 05/01/28 | 102 | 101,988 | ||||||
6.63%, 05/01/29 | 57 | 57,142 |
16 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Chemicals (continued) | ||||||||
Scotts Miracle-Gro Co., | USD | 83 | $ | 82,741 | ||||
WESCO Distribution, Inc.(d) | ||||||||
7.13%, 06/15/25 | 49 | 52,954 | ||||||
7.25%, 06/15/28 | 146 | 162,622 | ||||||
|
| |||||||
2,136,680 | ||||||||
Commercial Services & Supplies — 0.2% | ||||||||
AMN Healthcare, Inc., 4.00%, 04/15/29(d) | 28 | 28,198 | ||||||
APX Group, Inc., 7.88%, 12/01/22 | 163 | 163,611 | ||||||
ASGN, Inc., 4.63%, 05/15/28(d) | 79 | 82,750 | ||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(d) | 33 | 34,361 | ||||||
Fortress Transportation & Infrastructure Investors LLC(d) | ||||||||
6.50%, 10/01/25 | 24 | 24,930 | ||||||
9.75%, 08/01/27 | 17 | 19,656 | ||||||
5.50%, 05/01/28 | 98 | 102,043 | ||||||
Herc Holdings, Inc., 5.50%, 07/15/27(d) | 106 | 111,747 | ||||||
Metis Merger Sub LLC, | 68 | 66,970 | ||||||
NESCO Holdings II, Inc., | 98 | 102,288 | ||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(d) | ||||||||
3.38%, 08/31/27 | 8 | 7,760 | ||||||
6.25%, 01/15/28 | 110 | 117,012 | ||||||
Team Health Holdings, Inc., | 103 | 97,959 | ||||||
TMS International Corp., | 34 | 35,700 | ||||||
United Rentals North America, Inc., 5.25%, 01/15/30 | 2 | 2,191 | ||||||
|
| |||||||
997,176 | ||||||||
Communications Equipment(d) — 0.2% | ||||||||
Avaya, Inc., 6.13%, 09/15/28 | 266 | 284,700 | ||||||
CommScope Technologies LLC | ||||||||
6.00%, 06/15/25 | 101 | 103,146 | ||||||
5.00%, 03/15/27 | 129 | 132,064 | ||||||
CommScope, Inc. | ||||||||
6.00%, 03/01/26 | 24 | 25,337 | ||||||
8.25%, 03/01/27 | 12 | 12,826 | ||||||
7.13%, 07/01/28 | 63 | 68,276 | ||||||
ViaSat, Inc. | ||||||||
5.63%, 04/15/27 | 38 | 39,665 | ||||||
6.50%, 07/15/28 | 150 | 159,969 | ||||||
|
| |||||||
825,983 | ||||||||
Construction & Engineering — 0.0% | ||||||||
SRS Distribution, Inc., 4.63%, 07/01/28(d) | 139 | 142,128 | ||||||
|
| |||||||
Construction Materials(d) — 0.3% | ||||||||
American Builders & Contractors Supply Co., Inc. | ||||||||
4.00%, 01/15/28 | 125 | 128,089 | ||||||
3.88%, 11/15/29 | 44 | 43,725 | ||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | 35 | 35,844 | ||||||
Core & Main LP, 6.13%, 08/15/25 | 797 | 812,940 | ||||||
H&E Equipment Services, Inc., | 31 | 30,504 | ||||||
IAA, Inc., 5.50%, 06/15/27 | 159 | 166,905 | ||||||
Picasso Finance Sub, Inc., | 82 | 86,694 | ||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 | 77 | 79,518 |
Security | Par (000) | Value | ||||||
Construction Materials (continued) | ||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 | USD | 45 | $ | 48,488 | ||||
Wolverine Escrow LLC, 9.00%, 11/15/26 | 496 | 483,600 | ||||||
|
| |||||||
1,916,307 | ||||||||
Consumer Discretionary(d) — 0.4% | ||||||||
Carnival Corp. | ||||||||
11.50%, 04/01/23 | 5 | 5,627 | ||||||
10.50%, 02/01/26 | 224 | 260,792 | ||||||
5.75%, 03/01/27 | 437 | 457,757 | ||||||
9.88%, 08/01/27 | 92 | 107,410 | ||||||
CoreLogic, Inc., 4.50%, 05/01/28 | 135 | 133,819 | ||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26 | 67 | 69,848 | ||||||
Life Time, Inc. | ||||||||
5.75%, 01/15/26 | 101 | 104,661 | ||||||
8.00%, 04/15/26 | 70 | 74,602 | ||||||
NCL Corp. Ltd. | ||||||||
10.25%, 02/01/26 | 37 | 43,013 | ||||||
5.88%, 03/15/26 | 88 | 92,180 | ||||||
NCL Finance Ltd., 6.13%, 03/15/28 | 111 | 116,322 | ||||||
Nielsen Finance LLC/Nielsen Finance Co. | ||||||||
5.63%, 10/01/28 | 60 | 63,365 | ||||||
5.88%, 10/01/30 | 74 | 80,543 | ||||||
4.75%, 07/15/31 | 53 | 53,133 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
10.88%, 06/01/23 | 45 | 51,244 | ||||||
9.13%, 06/15/23 | 54 | 59,265 | ||||||
11.50%, 06/01/25 | 95 | 109,487 | ||||||
5.50%, 04/01/28 | 190 | 198,987 | ||||||
Viking Cruises Ltd., 7.00%, 02/15/29 | 14 | 14,566 | ||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 | 59 | 59,590 | ||||||
|
| |||||||
2,156,211 | ||||||||
Consumer Finance — 0.4% | ||||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(d) | 138 | 138,678 | ||||||
Navient Corp. | ||||||||
7.25%, 09/25/23 | 5 | 5,519 | ||||||
6.13%, 03/25/24 | 96 | 103,609 | ||||||
5.88%, 10/25/24 | 77 | 83,064 | ||||||
5.00%, 03/15/27 | 2 | 2,070 | ||||||
OneMain Finance Corp. | ||||||||
8.88%, 06/01/25 | 27 | 29,935 | ||||||
3.50%, 01/15/27 | 97 | 97,727 | ||||||
6.63%, 01/15/28 | 8 | 9,171 | ||||||
5.38%, 11/15/29 | 7 | 7,614 | ||||||
4.00%, 09/15/30 | 10 | 9,912 | ||||||
PayPal Holdings, Inc., 1.65%, 06/01/25 | 257 | 263,759 | ||||||
Sabre GLBL, Inc.(d) | ||||||||
9.25%, 04/15/25 | 287 | 341,194 | ||||||
7.38%, 09/01/25 | 81 | 88,087 | ||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(d) | 109 | 113,769 | ||||||
Square, Inc., 3.50%, 06/01/31(d) | 198 | 199,732 | ||||||
Verscend Escrow Corp., | 851 | 896,741 | ||||||
|
| |||||||
2,390,581 | ||||||||
Containers & Packaging — 0.1% | ||||||||
Graham Packaging Co., Inc., 7.13%, 08/15/28(d) | 35 | 37,712 |
SCHEDULE OF INVESTMENTS | 17 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Containers & Packaging (continued) | ||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(d) | USD | 75 | $ | 78,000 | ||||
International Paper Co., 7.30%, 11/15/39 | 5 | 7,734 | ||||||
Intertape Polymer Group, Inc., | 43 | 43,604 | ||||||
LABL Escrow Issuer LLC(d) | ||||||||
6.75%, 07/15/26 | 116 | 123,741 | ||||||
10.50%, 07/15/27 | 56 | 61,740 | ||||||
Sealed Air Corp., 4.00%, 12/01/27(d) | 23 | 24,466 | ||||||
|
| |||||||
376,997 | ||||||||
Diversified Consumer Services — 0.5% | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(d) | ||||||||
6.63%, 07/15/26 | 868 | 920,280 | ||||||
9.75%, 07/15/27 | 101 | 111,226 | ||||||
6.00%, 06/01/29 | 200 | 202,758 | ||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 06/01/28 | 400 | 400,879 | ||||||
Ascend Learning LLC, 6.88%, 08/01/25 | 340 | 345,850 | ||||||
Brink’s Co., 5.50%, 07/15/25(d) | 15 | 15,928 | ||||||
Clarivate Science Holdings Corp.(d) | ||||||||
3.88%, 06/30/28 | 120 | 121,093 | ||||||
4.88%, 06/30/29 | 163 | 167,279 | ||||||
Garda World Security Corp.(d) | ||||||||
4.63%, 02/15/27 | 29 | 29,145 | ||||||
9.50%, 11/01/27 | 55 | 60,913 | ||||||
Rekeep SpA, 7.25%, 02/01/26 | EUR | 100 | 127,622 | |||||
Service Corp. International, | USD | 114 | 116,357 | |||||
Sotheby’s, 7.38%, 10/15/27(d) | 200 | 215,750 | ||||||
|
| |||||||
2,835,080 | ||||||||
Diversified Financial Services — 0.3% | ||||||||
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(d) | 200 | 204,922 | ||||||
Arrow Global Finance PLC, 5.13%, 09/15/24 | GBP | 100 | 139,197 | |||||
Central Garden & Pet Co. | ||||||||
4.13%, 10/15/30 | USD | 59 | 60,254 | |||||
4.13%, 04/30/31(d) | 62 | 62,697 | ||||||
Citigroup, Inc., Series W, (5 year CMT + 3.60%), 4.00%(f)(g) | 50 | 51,688 | ||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 | GBP | 100 | 144,002 | |||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), | USD | 25 | 24,819 | |||||
Intrum AB, 4.88%, 08/15/25 | EUR | 100 | 124,516 | |||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 06/15/29(d) | USD | 44 | 44,000 | |||||
Spectrum Brands, Inc.(d) | ||||||||
5.00%, 10/01/29 | 18 | 19,080 | ||||||
5.50%, 07/15/30 | 50 | 53,875 | ||||||
3.88%, 03/15/31 | 31 | 30,462 | ||||||
UBS Group AG, (5 year CMT + 3.31%), 4.38%(d)(f)(g) | 345 | 352,486 | ||||||
WASH Multifamily Acquisition, Inc., | 70 | 73,087 | ||||||
|
| |||||||
1,385,085 | ||||||||
Diversified Telecommunication Services — 1.1% | ||||||||
Cincinnati Bell, Inc.(d) | ||||||||
7.00%, 07/15/24 | 26 | 26,683 |
Security | Par (000) | Value | ||||||
Diversified Telecommunication Services (continued) | ||||||||
Cincinnati Bell, Inc.(d) (continued) | ||||||||
8.00%, 10/15/25 | USD | 20 | $ | 21,025 | ||||
Consolidated Communications, Inc., 6.50%, 10/01/28(d) | 160 | 172,120 | ||||||
Intelsat Jackson Holdings SA, | 155 | 160,079 | ||||||
Level 3 Financing, Inc.(d) | ||||||||
4.25%, 07/01/28 | 122 | 123,801 | ||||||
3.75%, 07/15/29 | 77 | 74,883 | ||||||
Lumen Technologies, Inc. | ||||||||
5.13%, 12/15/26(d) | 485 | 503,794 | ||||||
4.50%, 01/15/29(d) | 177 | 172,743 | ||||||
5.38%, 06/15/29(d) | 142 | 144,043 | ||||||
Series P, 7.60%, 09/15/39 | 82 | 93,275 | ||||||
Series U, 7.65%, 03/15/42 | 59 | 66,228 | ||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(h) | 12 | 12,307 | ||||||
Sprint Capital Corp. | ||||||||
6.88%, 11/15/28 | 307 | 393,727 | ||||||
8.75%, 03/15/32 | 389 | 591,280 | ||||||
Switch Ltd.(d) | ||||||||
3.75%, 09/15/28 | 110 | 111,375 | ||||||
4.13%, 06/15/29 | 72 | 73,890 | ||||||
Telecom Italia Capital SA | ||||||||
6.38%, 11/15/33 | 58 | 69,165 | ||||||
6.00%, 09/30/34 | 134 | 154,602 | ||||||
7.20%, 07/18/36 | 14 | 18,060 | ||||||
7.72%, 06/04/38 | 23 | 31,355 | ||||||
Telecom Italia SpA, 5.30%, 05/30/24(d) | 314 | 343,736 | ||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL | ||||||||
Capital LLC, 4.75%, 04/15/28(d) | 111 | 110,722 | ||||||
Zayo Group Holdings, Inc.(d) | ||||||||
4.00%, 03/01/27 | 2,211 | 2,195,788 | ||||||
6.13%, 03/01/28 | 472 | 482,030 | ||||||
|
| |||||||
6,146,711 | ||||||||
Electric Utilities — 0.2% | ||||||||
Edison International, (5 year CMT + 4.70%), 5.38%(f)(g) | 100 | 100,730 | ||||||
FirstEnergy Corp. | ||||||||
2.65%, 03/01/30 | 8 | 7,968 | ||||||
Series B, 4.40%, 07/15/27 | 42 | 45,675 | ||||||
Series B, 2.25%, 09/01/30 | 6 | 5,753 | ||||||
Series C, 7.38%, 11/15/31 | 10 | 13,695 | ||||||
Series C, 5.35%, 07/15/47 | 163 | 195,600 | ||||||
Series C, 3.40%, 03/01/50 | 61 | 59,627 | ||||||
FirstEnergy Transmission LLC(d) | ||||||||
5.45%, 07/15/44 | 120 | 149,731 | ||||||
4.55%, 04/01/49 | 51 | 59,816 | ||||||
PG&E Corp., 5.25%, 07/01/30 | 74 | 74,703 | ||||||
Pike Corp., 5.50%, 09/01/28(d) | 207 | 215,280 | ||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 11/10/21(a)(b)(e) | 2,375 | — | ||||||
|
| |||||||
928,578 | ||||||||
Electrical Equipment — 0.1% | ||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26(d) | 291 | 304,827 |
18 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Electrical Equipment (continued) | ||||||||
GrafTech Finance, Inc., | USD | 66 | $ | 67,732 | ||||
NM Holdings Co. LLC, Series B, 9.50%, 07/01/05(a)(b)(e) | 5,125 | 1 | ||||||
|
| |||||||
372,560 | ||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||
Brightstar Escrow Corp., | 28 | 30,135 | ||||||
BWX Technologies, Inc.(d) | ||||||||
4.13%, 06/30/28 | 81 | 82,519 | ||||||
4.13%, 04/15/29 | 56 | 56,980 | ||||||
CDW LLC/CDW Finance Corp., | 98 | 99,294 | ||||||
Energizer Holdings, Inc.(d) | ||||||||
4.75%, 06/15/28 | 34 | 34,841 | ||||||
4.38%, 03/31/29 | 6 | 6,006 | ||||||
Imola Merger Corp., 4.75%, 05/15/29(d) | 196 | 201,635 | ||||||
Xerox Corp., 4.80%, 03/01/35 | 181 | 181,679 | ||||||
|
| |||||||
693,089 | ||||||||
Energy Equipment & Services — 0.3% | ||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(d) | ||||||||
6.88%, 04/01/27 | 106 | 112,493 | ||||||
6.25%, 04/01/28 | 166 | 173,289 | ||||||
Pioneer Energy Services Corp.(b)(d)(h) | ||||||||
(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25 | 319 | 321,732 | ||||||
(5.00% PIK), 5.00%, 11/15/25 | 237 | 263,059 | ||||||
TechnipFMC PLC, 6.50%, 02/01/26(d) | 123 | 132,811 | ||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||
6.88%, 04/01/26 | 331 | 346,723 | ||||||
6.88%, 09/01/27 | 291 | 310,869 | ||||||
|
| |||||||
1,660,976 | ||||||||
Environmental, Maintenance, & Security Service — 0.1% | ||||||||
Covanta Holding Corp., 5.00%, 09/01/30 | 43 | 45,150 | ||||||
GFL Environmental, Inc.(d) | ||||||||
3.75%, 08/01/25 | 85 | 87,337 | ||||||
5.13%, 12/15/26 | 73 | 77,228 | ||||||
4.00%, 08/01/28 | 120 | 118,542 | ||||||
3.50%, 09/01/28 | 65 | 64,837 | ||||||
4.75%, 06/15/29 | 127 | 131,864 | ||||||
Stericycle, Inc., 3.88%, 01/15/29(d) | 52 | 51,898 | ||||||
Tervita Corp., 11.00%, 12/01/25(d) | 42 | 47,029 | ||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(d) | 71 | 73,290 | ||||||
|
| |||||||
697,175 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 0.5% | ||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(d) | 128 | 134,560 | ||||||
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28(d) | 52 | 53,098 | ||||||
Diversified Healthcare Trust, 9.75%, 06/15/25 | 53 | 58,697 | ||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, | 71 | 70,272 | ||||||
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26(d) | 62 | 62,465 | ||||||
Iron Mountain, Inc.(d) | ||||||||
5.25%, 07/15/30 | 105 | 111,151 | ||||||
5.63%, 07/15/32 | 80 | 85,626 |
Security | Par (000) | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | ||||||||
4.63%, 06/15/25(d) | USD | 205 | $ | 219,016 | ||||
4.50%, 09/01/26 | 139 | 148,382 | ||||||
4.50%, 01/15/28 | 318 | 336,285 | ||||||
3.88%, 02/15/29(d) | 101 | 102,573 | ||||||
MPT Operating Partnership LP/MPT Finance Corp. | ||||||||
4.63%, 08/01/29 | 296 | 316,856 | ||||||
3.50%, 03/15/31 | 219 | 221,188 | ||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||
4.75%, 10/15/27 | 311 | 319,412 | ||||||
4.50%, 02/15/29(d) | 24 | 24,020 | ||||||
RLJ Lodging Trust LP, 3.75%, 07/01/26(d) | 43 | 43,430 | ||||||
Service Properties Trust | ||||||||
4.50%, 06/15/23 | 15 | 15,375 | ||||||
4.35%, 10/01/24 | 12 | 12,084 | ||||||
7.50%, 09/15/25 | 108 | 122,277 | ||||||
5.50%, 12/15/27 | 42 | 44,824 | ||||||
XHR LP, 4.88%, 06/01/29(d) | 20 | 20,650 | ||||||
|
| |||||||
2,522,241 | ||||||||
Food & Staples Retailing — 0.4% | ||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(d) | ||||||||
3.25%, 03/15/26 | 146 | 148,080 | ||||||
4.63%, 01/15/27 | 11 | 11,505 | ||||||
4.88%, 02/15/30 | 68 | 72,523 | ||||||
Ingles Markets, Inc., 4.00%, 06/15/31(d) | 13 | 12,984 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.25%, 03/01/31 | 204 | 231,742 | ||||||
5.00%, 07/15/35 | 24 | 29,439 | ||||||
6.88%, 01/26/39 | 164 | 235,571 | ||||||
4.63%, 10/01/39 | 88 | 102,491 | ||||||
6.50%, 02/09/40 | 35 | 48,607 | ||||||
5.20%, 07/15/45 | 101 | 125,386 | ||||||
4.38%, 06/01/46 | 227 | 257,236 | ||||||
4.88%, 10/01/49 | 170 | 206,372 | ||||||
5.50%, 06/01/50 | 368 | 477,573 | ||||||
Lamb Weston Holdings, Inc., | 18 | 19,913 | ||||||
Post Holdings, Inc.(d) | ||||||||
4.63%, 04/15/30 | 45 | 45,757 | ||||||
4.50%, 09/15/31 | 81 | 80,866 | ||||||
TreeHouse Foods, Inc., 4.00%, 09/01/28 | 23 | 22,827 | ||||||
United Natural Foods, Inc., | 28 | 30,132 | ||||||
US Foods, Inc., 4.75%, 02/15/29(d) | 118 | 120,360 | ||||||
|
| |||||||
2,279,364 | ||||||||
Food Products(d) — 0.2% | ||||||||
Aramark Services, Inc. | ||||||||
6.38%, 05/01/25 | 99 | 105,187 | ||||||
5.00%, 02/01/28 | 3 | 3,142 | ||||||
Chobani LLC/Chobani Finance Corp., Inc. | ||||||||
7.50%, 04/15/25 | 272 | 282,992 | ||||||
4.63%, 11/15/28 | 76 | 78,755 | ||||||
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28 | 90 | 98,437 | ||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | ||||||||
6.50%, 04/15/29 | 138 | 155,079 |
SCHEDULE OF INVESTMENTS | 19 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Food Products (continued) | ||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. (continued) |
| |||||||
3.75%, 12/01/31 | USD | 113 | $ | 115,627 | ||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 | 113 | 113,982 | ||||||
|
| |||||||
953,201 | ||||||||
Gas Utilities(d) — 0.0% | ||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | 53 | 54,259 | ||||||
Superior Plus LP/Superior General Partner, Inc., 4.50%, 03/15/29 | 16 | 16,480 | ||||||
|
| |||||||
70,739 | ||||||||
Health Care Equipment & Supplies(d) — 0.1% | ||||||||
Avantor Funding, Inc., 4.63%, 07/15/28 | 338 | 356,850 | ||||||
Hologic, Inc., 3.25%, 02/15/29 | 28 | 27,755 | ||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA | ||||||||
7.38%, 06/01/25 | 171 | 183,611 | ||||||
7.25%, 02/01/28 | 134 | 146,362 | ||||||
|
| |||||||
714,578 | ||||||||
Health Care Providers & Services — 1.1% | ||||||||
Acadia Healthcare Co., Inc.(d) | ||||||||
5.50%, 07/01/28 | 66 | 70,455 | ||||||
5.00%, 04/15/29 | 55 | 57,361 | ||||||
AdaptHealth LLC(d) | ||||||||
6.13%, 08/01/28 | 49 | 52,180 | ||||||
4.63%, 08/01/29 | 55 | 55,688 | ||||||
AHP Health Partners, Inc.(d) | ||||||||
9.75%, 07/15/26 | 212 | 228,070 | ||||||
5.75%, 07/15/29(i) | 90 | 91,238 | ||||||
Centene Corp. | ||||||||
4.25%, 12/15/27 | 148 | 155,955 | ||||||
2.45%, 07/15/28 | 247 | 250,334 | ||||||
4.63%, 12/15/29 | 181 | 199,058 | ||||||
3.00%, 10/15/30 | 301 | 309,211 | ||||||
2.50%, 03/01/31 | 377 | 371,816 | ||||||
CHS/Community Health Systems, Inc.(d) | ||||||||
6.63%, 02/15/25 | 379 | 400,789 | ||||||
8.00%, 03/15/26 | 419 | 451,472 | ||||||
5.63%, 03/15/27 | 173 | 184,677 | ||||||
6.00%, 01/15/29 | 136 | 145,520 | ||||||
6.88%, 04/15/29 | 55 | 57,556 | ||||||
6.13%, 04/01/30 | 82 | 83,230 | ||||||
DaVita, Inc., 4.63%, 06/01/30(d) | 41 | 42,157 | ||||||
Encompass Health Corp. | ||||||||
4.50%, 02/01/28 | 16 | 16,600 | ||||||
4.75%, 02/01/30 | 123 | 130,687 | ||||||
4.63%, 04/01/31 | 66 | 70,716 | ||||||
HCA, Inc., 3.50%, 09/01/30 | 382 | 406,971 | ||||||
Legacy LifePoint Health LLC(d) | ||||||||
6.75%, 04/15/25 | 116 | 123,615 | ||||||
4.38%, 02/15/27 | 44 | 44,528 | ||||||
LifePoint Health, Inc., 5.38%, 01/15/29(d) | 97 | 94,575 | ||||||
ModivCare, Inc., 5.88%, 11/15/25(d) | 23 | 24,610 | ||||||
Molina Healthcare, Inc.(d) | ||||||||
4.38%, 06/15/28 | 22 | 22,935 | ||||||
3.88%, 11/15/30 | 96 | 99,960 | ||||||
Prime Healthcare Services, Inc., | 152 | 164,552 |
Security | Par (000) | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(d) | USD | 17 | $ | 18,296 | ||||
Surgery Center Holdings, Inc.(d) | ||||||||
6.75%, 07/01/25 | 145 | 147,900 | ||||||
10.00%, 04/15/27 | 276 | 302,910 | ||||||
Teleflex, Inc., 4.25%, 06/01/28(d) | 42 | 43,785 | ||||||
Tenet Healthcare Corp.(d) | ||||||||
7.50%, 04/01/25 | 41 | 44,285 | ||||||
4.88%, 01/01/26 | 233 | 241,668 | ||||||
5.13%, 11/01/27 | 343 | 359,721 | ||||||
4.63%, 06/15/28 | 26 | 26,759 | ||||||
6.13%, 10/01/28 | 123 | 131,074 | ||||||
4.25%, 06/01/29 | 95 | 96,188 | ||||||
|
| |||||||
5,819,102 | ||||||||
Health Care Technology(d) — 0.2% | ||||||||
Catalent Pharma Solutions, Inc. | ||||||||
5.00%, 07/15/27 | 41 | 42,843 | ||||||
3.13%, 02/15/29 | 58 | 56,166 | ||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., | 229 | 232,721 | ||||||
Charles River Laboratories International, Inc. | ||||||||
4.25%, 05/01/28 | 46 | 47,553 | ||||||
3.75%, 03/15/29 | 11 | 11,151 | ||||||
4.00%, 03/15/31 | 31 | 32,250 | ||||||
Indigo Merger Sub, Inc., 2.88%, 07/15/26(i) | 200 | 203,162 | ||||||
Mednax, Inc., 6.25%, 01/15/27 | 62 | 65,643 | ||||||
Syneos Health, Inc., 3.63%, 01/15/29 | 147 | 145,530 | ||||||
US Acute Care Solutions LLC, | 12 | 12,400 | ||||||
|
| |||||||
849,419 | ||||||||
Healthcare — 0.0% | ||||||||
Akumin, Inc., 7.00%, 11/01/25(d) | 35 | 36,337 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% | ||||||||
1011778 BC ULC/New Red Finance, Inc.(d) | ||||||||
3.88%, 01/15/28(i) | 60 | 60,750 | ||||||
4.38%, 01/15/28 | 218 | 220,997 | ||||||
Affinity Gaming, 6.88%, 12/15/27(d) | 49 | 52,001 | ||||||
Boyd Gaming Corp. | ||||||||
8.63%, 06/01/25(d) | 79 | 87,087 | ||||||
4.75%, 12/01/27 | 58 | 60,030 | ||||||
4.75%, 06/15/31(d) | 121 | 125,537 | ||||||
Boyne USA, Inc., 4.75%, 05/15/29(d) | 74 | 76,348 | ||||||
Caesars Entertainment, Inc.(d) | ||||||||
6.25%, 07/01/25 | 494 | 523,640 | ||||||
8.13%, 07/01/27 | 340 | 378,148 | ||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(d) | 154 | 162,277 | ||||||
Carrols Restaurant Group, Inc., | 32 | 31,560 | ||||||
CCM Merger, Inc., 6.38%, 05/01/26(d) | 53 | 55,650 | ||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op(d) | ||||||||
5.50%, 05/01/25 | 388 | 404,975 | ||||||
6.50%, 10/01/28 | 19 | 20,473 | ||||||
Churchill Downs, Inc., 4.75%, 01/15/28(d) | 85 | 87,950 | ||||||
Everi Holdings, Inc., 5.00%, 07/15/29(d)(i) | 17 | 17,000 | ||||||
Full House Resorts, Inc., | 20 | 21,800 | ||||||
Golden Nugget, Inc., 6.75%, 10/15/24(d) | 455 | 459,650 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
5.75%, 05/01/28(d) | 108 | 116,864 |
20 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Hilton Domestic Operating Co., Inc. (continued) | ||||||||||||
4.88%, 01/15/30 | USD | 166 | $ | 177,205 | ||||||||
4.00%, 05/01/31(d) | 73 | 73,648 | ||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 4.88%, 07/01/31(d) | 15 | 14,961 | ||||||||||
Marriott International, Inc., Series EE, 5.75%, 05/01/25 | 393 | 453,640 | ||||||||||
Marriott Ownership Resorts, Inc., 4.50%, 06/15/29(d) | 49 | 49,674 | ||||||||||
MGM Resorts International, 5.75%, 06/15/25 | 73 | 80,501 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(d) | 83 | 83,104 | ||||||||||
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(d) | 79 | 84,846 | ||||||||||
Penn National Gaming, Inc., | 41 | 40,949 | ||||||||||
Playtika Holding Corp., | 136 | 135,906 | ||||||||||
Powdr Corp., 6.00%, 08/01/25(d) | 74 | 77,700 | ||||||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(d) | 57 | 57,797 | ||||||||||
Scientific Games International, Inc.(d) | ||||||||||||
8.63%, 07/01/25 | 65 | 71,175 | ||||||||||
8.25%, 03/15/26 | 506 | 542,675 | ||||||||||
SeaWorld Parks & Entertainment, Inc., 9.50%, 08/01/25(d) | 47 | 50,407 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(d) | 275 | 296,367 | ||||||||||
Travel + Leisure Co., 6.63%, 07/31/26(d) | 56 | 63,448 | ||||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(d) | 89 | 95,264 | ||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(d) | 44 | 45,681 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(d) | 287 | 303,144 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
4.75%, 01/15/30(d) | 24 | 25,980 | ||||||||||
5.35%, 11/01/43 | 14 | 14,875 | ||||||||||
|
| |||||||||||
5,801,684 | ||||||||||||
Household Durables — 0.2% | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC(d) | ||||||||||||
5.00%, 06/15/29 | 67 | 67,502 | ||||||||||
4.88%, 02/15/30 | 260 | 257,478 | ||||||||||
CD&R Smokey Buyer, Inc., | 104 | 111,476 | ||||||||||
Diebold Nixdorf, Inc., 9.38%, 07/15/25(d) | 42 | 46,567 | ||||||||||
Forestar Group, Inc., 3.85%, 05/15/26(d) | 33 | 33,299 | ||||||||||
KB Home, 4.00%, 06/15/31 | 31 | 31,271 | ||||||||||
LGI Homes, Inc., 4.00%, 07/15/29(d) | 25 | 25,125 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30(d) | 102 | 104,193 | ||||||||||
NCR Corp.(d) | ||||||||||||
5.75%, 09/01/27 | 20 | 21,163 | ||||||||||
5.00%, 10/01/28 | 57 | 58,942 | ||||||||||
5.13%, 04/15/29 | 60 | 61,875 | ||||||||||
6.13%, 09/01/29 | 78 | 85,020 | ||||||||||
5.25%, 10/01/30 | 36 | 37,350 | ||||||||||
New Home Co., Inc., 7.25%, 10/15/25(d) | 22 | 23,313 | ||||||||||
Newell Brands, Inc., 6.00%, 04/01/46 | 12 | 15,206 |
Security | Par (000) | Value | ||||||||||
Household Durables (continued) | ||||||||||||
Taylor Morrison Communities, Inc., | USD | 20 | $ | 21,678 | ||||||||
Tempur Sealy International, Inc., 4.00%, 04/15/29(d) | 87 | 88,083 | ||||||||||
Tri Pointe Homes, Inc., 5.70%, 06/15/28 | 18 | 19,845 | ||||||||||
|
| |||||||||||
1,109,386 | ||||||||||||
Household Products — 0.0% | ||||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(d) | 67 | 68,005 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers(d) — 0.2% | ||||||||||||
Calpine Corp. | ||||||||||||
5.25%, 06/01/26 | 68 | 69,955 | ||||||||||
5.13%, 03/15/28 | 458 | 466,015 | ||||||||||
4.63%, 02/01/29 | 55 | 54,073 | ||||||||||
5.00%, 02/01/31 | 69 | 68,655 | ||||||||||
3.75%, 03/01/31 | 4 | 3,809 | ||||||||||
Clearway Energy Operating LLC, 4.75%, 03/15/28 | 20 | 20,975 | ||||||||||
NRG Energy, Inc., 3.63%, 02/15/31 | 96 | 94,339 | ||||||||||
TerraForm Power Operating LLC, 4.75%, 01/15/30 | 74 | 75,789 | ||||||||||
|
| |||||||||||
853,610 | ||||||||||||
Insurance — 0.3% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(d) | ||||||||||||
4.25%, 10/15/27 | 371 | 376,561 | ||||||||||
6.75%, 10/15/27 | 731 | 768,252 | ||||||||||
AmWINS Group, Inc., 7.75%, 07/01/26(d) | 25 | 26,516 | ||||||||||
AssuredPartners, Inc., 5.63%, 01/15/29(d) | 86 | 86,000 | ||||||||||
BroadStreet Partners, Inc., 5.88%, 04/15/29(d) | 61 | 62,220 | ||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(d) | 6 | 6,390 | ||||||||||
HUB International Ltd., 7.00%, 05/01/26(d) | 416 | 431,430 | ||||||||||
Unipol Gruppo SpA, 3.25%, 09/23/30 | EUR | 100 | 133,297 | |||||||||
|
| |||||||||||
1,890,666 | ||||||||||||
Interactive Media & Services — 0.1% | ||||||||||||
Arches Buyer, Inc.(d) | ||||||||||||
4.25%, 06/01/28 | USD | 36 | 35,595 | |||||||||
6.13%, 12/01/28 | 16 | 16,480 | ||||||||||
Netflix, Inc. | ||||||||||||
4.88%, 04/15/28 | 112 | 130,200 | ||||||||||
5.88%, 11/15/28 | 14 | 17,184 | ||||||||||
6.38%, 05/15/29 | 11 | 14,050 | ||||||||||
5.38%, 11/15/29(d) | 11 | 13,361 | ||||||||||
3.63%, 06/15/30 | EUR | 100 | 140,867 | |||||||||
4.88%, 06/15/30(d) | USD | 115 | 136,769 | |||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.(d) | ||||||||||||
6.00%, 02/15/28 | 80 | 80,175 | ||||||||||
10.75%, 06/01/28 | 30 | 33,750 | ||||||||||
Twitter, Inc., 3.88%, 12/15/27(d) | 87 | 92,438 | ||||||||||
|
| |||||||||||
710,869 | ||||||||||||
Internet Software & Services(d) — 0.2% | ||||||||||||
ANGI Group LLC, 3.88%, 08/15/28 | 106 | 105,338 | ||||||||||
Endure Digital, Inc., 6.00%, 02/15/29 | 57 | 56,430 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 | 40 | 39,740 |
SCHEDULE OF INVESTMENTS | 21 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Internet Software & Services (continued) | ||||||||||||
Match Group Holdings II LLC | ||||||||||||
4.63%, 06/01/28 | USD | 43 | $ | 44,714 | ||||||||
4.13%, 08/01/30 | 68 | 69,190 | ||||||||||
Uber Technologies, Inc. | ||||||||||||
7.50%, 05/15/25 | 271 | 292,463 | ||||||||||
8.00%, 11/01/26 | 92 | 99,130 | ||||||||||
7.50%, 09/15/27 | 188 | 206,608 | ||||||||||
6.25%, 01/15/28 | 314 | 337,930 | ||||||||||
|
| |||||||||||
1,251,543 | ||||||||||||
IT Services — 0.7% | ||||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28(d) | 46 | 47,589 | ||||||||||
Austin BidCo, Inc., 7.13%, 12/15/28(d) | 23 | 23,568 | ||||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26(d) | 465 | 489,412 | ||||||||||
Booz Allen Hamilton, Inc.(d) | ||||||||||||
3.88%, 09/01/28 | 101 | 103,020 | ||||||||||
4.00%, 07/01/29 | 121 | 123,723 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26(d) | 53 | 55,451 | ||||||||||
Dun & Bradstreet Corp.(d) | ||||||||||||
6.88%, 08/15/26 | 102 | 108,120 | ||||||||||
10.25%, 02/15/27 | 232 | 256,181 | ||||||||||
Fiserv, Inc., 2.25%, 06/01/27 | 1,385 | 1,436,705 | ||||||||||
Gartner, Inc.(d) | ||||||||||||
4.50%, 07/01/28 | 83 | 87,658 | ||||||||||
3.63%, 06/15/29 | 65 | 65,975 | ||||||||||
3.75%, 10/01/30 | 49 | 50,132 | ||||||||||
KBR, Inc., 4.75%, 09/30/28(d) | 61 | 61,000 | ||||||||||
Rackspace Technology Global, Inc., | 158 | 161,950 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.(d) | ||||||||||||
5.75%, 06/01/25 | 190 | 199,975 | ||||||||||
6.75%, 06/01/25 | 291 | 295,912 | ||||||||||
Twilio, Inc., 3.88%, 03/15/31 | 64 | 65,680 | ||||||||||
Unisys Corp., 6.88%, 11/01/27(d) | 33 | 36,064 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(d) | 104 | 103,350 | ||||||||||
|
| |||||||||||
3,771,465 | ||||||||||||
Leisure Products — 0.0% | ||||||||||||
Mattel, Inc. | ||||||||||||
6.75%, 12/31/25(d) | 2 | 2,101 | ||||||||||
5.88%, 12/15/27(d) | 34 | 37,060 | ||||||||||
3.75%, 04/01/29(d) | 33 | 34,320 | ||||||||||
6.20%, 10/01/40 | 38 | 46,835 | ||||||||||
5.45%, 11/01/41 | 83 | 95,658 | ||||||||||
|
| |||||||||||
215,974 | ||||||||||||
Machinery — 0.4% | ||||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(d) | 35 | 35,831 | ||||||||||
Clark Equipment Co., 5.88%, 06/01/25(d) | 85 | 89,728 | ||||||||||
Colfax Corp., 6.38%, 02/15/26(d) | 63 | 66,528 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(d)(h) | 445 | 482,825 | ||||||||||
Madison IAQ LLC(d) | ||||||||||||
4.13%, 06/30/28 | 31 | 31,310 | ||||||||||
5.88%, 06/30/29 | 827 | 841,473 | ||||||||||
Mueller Water Products, Inc., | 34 | 34,939 | ||||||||||
Platin 1426 GmbH, 5.38%, 06/15/23 | EUR | 100 | 119,381 | |||||||||
RBS Global, Inc./Rexnord LLC, | USD | 5 | 5,100 |
Security | Par (000) | Value | ||||||||||
Machinery (continued) | ||||||||||||
Terex Corp., 5.00%, 05/15/29(d) | USD | 95 | $ | 99,038 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(d) | 147 | 152,329 | ||||||||||
TK Elevator US Newco Inc., 5.25%, 07/15/27(d) | 200 | 210,750 | ||||||||||
|
| |||||||||||
2,169,232 | ||||||||||||
Media — 2.2% | ||||||||||||
Adelphia Communications Corp., | 400 | — | ||||||||||
Advantage Sales & Marketing, Inc., | 46 | 48,415 | ||||||||||
Altice Financing SA, 5.00%, 01/15/28(d) | 204 | 199,955 | ||||||||||
Altice France Holding SA(d) | ||||||||||||
10.50%, 05/15/27 | 539 | 598,964 | ||||||||||
6.00%, 02/15/28 | 272 | 270,858 | ||||||||||
AMC Networks, Inc., 4.25%, 02/15/29 | 39 | 39,341 | ||||||||||
Cable One, Inc.(d) | ||||||||||||
1.13%, 03/15/28(j) | 66 | 67,123 | ||||||||||
4.00%, 11/15/30 | 56 | 56,210 | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
5.13%, 05/01/27(d) | 48 | 50,347 | ||||||||||
5.00%, 02/01/28(d) | 34 | 35,658 | ||||||||||
5.38%, 06/01/29(d) | 117 | 127,893 | ||||||||||
4.50%, 08/15/30(d) | 134 | 139,523 | ||||||||||
4.25%, 02/01/31(d) | 238 | 242,462 | ||||||||||
4.50%, 05/01/32 | 295 | 305,694 | ||||||||||
4.50%, 06/01/33(d) | 116 | 118,698 | ||||||||||
Cinemark USA, Inc.(d) | ||||||||||||
5.88%, 03/15/26 | 37 | 38,719 | ||||||||||
5.25%, 07/15/28 | 37 | 37,925 | ||||||||||
Clear Channel International BV, | 200 | 210,166 | ||||||||||
Clear Channel Outdoor Holdings, Inc.(d) | ||||||||||||
7.75%, 04/15/28 | 155 | 162,366 | ||||||||||
7.50%, 06/01/29 | 221 | 228,809 | ||||||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(d) | 659 | 675,620 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(d) | 738 | 780,435 | ||||||||||
CSC Holdings LLC | ||||||||||||
5.25%, 06/01/24 | 344 | 372,794 | ||||||||||
4.63%, 12/01/30(d) | 223 | 218,788 | ||||||||||
3.38%, 02/15/31(d) | 205 | 193,707 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.88%, 07/15/22 | 582 | 607,142 | ||||||||||
7.75%, 07/01/26 | 151 | 171,007 | ||||||||||
5.13%, 06/01/29(d) | 250 | 246,857 | ||||||||||
Frontier Communications Holdings LLC(d) | ||||||||||||
5.88%, 10/15/27 | 145 | 155,331 | ||||||||||
5.00%, 05/01/28 | 216 | 223,307 | ||||||||||
6.75%, 05/01/29 | 167 | 177,566 | ||||||||||
GCI LLC, 4.75%, 10/15/28(d) | 29 | 29,682 | ||||||||||
Hughes Satellite Systems Corp., | 20 | 22,404 | ||||||||||
iHeartCommunications, Inc., 8.38%, 05/01/27 | 11 | 12,140 | ||||||||||
Lamar Media Corp., 4.00%, 02/15/30 | 57 | 57,690 | ||||||||||
LCPR Senior Secured Financing DAC(d) | ||||||||||||
6.75%, 10/15/27 | 200 | 215,540 | ||||||||||
5.13%, 07/15/29 | 200 | 206,750 | ||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50(d)(j) | 481 | 505,011 |
22 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(d)(h) | USD | 185 | $ | 182,150 | ||||||||
Lions Gate Capital Holdings LLC, | 20 | 21,025 | ||||||||||
Live Nation Entertainment, Inc.(d) | ||||||||||||
4.88%, 11/01/24 | 9 | 9,144 | ||||||||||
6.50%, 05/15/27 | 329 | 365,124 | ||||||||||
4.75%, 10/15/27 | 30 | 31,088 | ||||||||||
3.75%, 01/15/28 | 61 | 61,270 | ||||||||||
Lorca Telecom Bondco SA, | EUR | 100 | 120,650 | |||||||||
News Corp., 3.88%, 05/15/29(d) | USD | 40 | 40,400 | |||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.(d) | ||||||||||||
5.00%, 08/15/27 | 28 | 28,991 | ||||||||||
4.25%, 01/15/29 | 38 | 38,237 | ||||||||||
Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(d) | 74 | 79,136 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(d) | ||||||||||||
4.50%, 09/15/26 | 703 | 727,605 | ||||||||||
6.50%, 09/15/28 | 386 | 405,551 | ||||||||||
Scripps Escrow II, Inc.(d) | ||||||||||||
3.88%, 01/15/29 | 5 | 4,960 | ||||||||||
5.38%, 01/15/31 | 55 | 54,826 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(d) | 108 | 106,110 | ||||||||||
Sirius XM Radio, Inc.(d) | ||||||||||||
4.00%, 07/15/28 | 174 | 179,220 | ||||||||||
5.50%, 07/01/29 | 36 | 39,229 | ||||||||||
4.13%, 07/01/30 | 116 | 117,030 | ||||||||||
Telesat Canada/Telesat LLC, | 80 | 77,200 | ||||||||||
Terrier Media Buyer, Inc., | 112 | 121,100 | ||||||||||
Univision Communications, Inc.(d) | ||||||||||||
5.13%, 02/15/25 | 107 | 109,161 | ||||||||||
6.63%, 06/01/27 | 53 | 57,428 | ||||||||||
UPC Broadband Finco BV, | 200 | 200,460 | ||||||||||
Videotron Ltd., 3.63%, 06/15/29(d) | 116 | 118,286 | ||||||||||
Virgin Media Secured Finance PLC, | 200 | 201,500 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(d) | 242 | 246,840 | ||||||||||
WMG Acquisition Corp., 3.88%, 07/15/30(d) | 7 | 7,069 | ||||||||||
Ziggo Bond Co. BV, 5.13%, 02/28/30(d) | 200 | 204,698 | ||||||||||
Ziggo BV, 5.50%, 01/15/27(d) | 150 | 155,850 | ||||||||||
|
| |||||||||||
11,962,235 | ||||||||||||
Metals & Mining — 0.6% | ||||||||||||
Allegheny Technologies, Inc., | 20 | 21,925 | ||||||||||
Arconic Corp.(d) | ||||||||||||
6.00%, 05/15/25 | 13 | 13,855 | ||||||||||
6.13%, 02/15/28 | 145 | 155,544 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(d) | 404 | 444,905 | ||||||||||
Constellium SE(d) | ||||||||||||
5.88%, 02/15/26 | 321 | 330,534 | ||||||||||
3.75%, 04/15/29 | 500 | 495,000 | ||||||||||
Freeport-McMoRan, Inc. | ||||||||||||
4.38%, 08/01/28 | 92 | 97,175 | ||||||||||
5.40%, 11/14/34 | 11 | 13,286 | ||||||||||
5.45%, 03/15/43 | 365 | 446,147 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(d) | 96 | 98,164 |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Joseph T Ryerson & Son, Inc., | USD | 44 | $ | 48,840 | ||||||||
Kaiser Aluminum Corp.(d) | ||||||||||||
4.63%, 03/01/28 | 75 | 77,484 | ||||||||||
4.50%, 06/01/31 | 41 | 42,047 | ||||||||||
New Gold, Inc., 7.50%, 07/15/27(d) | 170 | 184,450 | ||||||||||
Novelis Corp., 4.75%, 01/30/30(d) | 385 | 404,250 | ||||||||||
thyssenkrupp AG, 2.88%, 02/22/24 | EUR | 32 | 38,483 | |||||||||
United States Steel Corp. | ||||||||||||
6.25%, 03/15/26 | USD | 4 | 4,123 | |||||||||
6.88%, 03/01/29 | 87 | 93,090 | ||||||||||
|
| |||||||||||
3,009,302 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs)(d) — 0.0% | ||||||||||||
Apollo Commercial Real Estate Finance, Inc., 4.63%, 06/15/29 | 55 | 54,235 | ||||||||||
Starwood Property Trust, Inc., 5.50%, 11/01/23 | 9 | 9,428 | ||||||||||
|
| |||||||||||
63,663 | ||||||||||||
Multi-line Retail(d) — 0.1% | ||||||||||||
Macy’s, Inc., 8.38%, 06/15/25 | 176 | 193,811 | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 | 126 | 134,505 | ||||||||||
Victoria’s Secret & Co., 4.63%, 07/15/29(i) | 50 | 50,000 | ||||||||||
|
| |||||||||||
378,316 | ||||||||||||
Offshore Drilling & Other Services — 0.0% | ||||||||||||
Entegris, Inc., 3.63%, 05/01/29(d) | 31 | 31,388 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 2.7% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(d) | 145 | 156,991 | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.(d) | ||||||||||||
7.88%, 05/15/26 | 130 | 145,289 | ||||||||||
5.75%, 03/01/27 | 66 | 68,640 | ||||||||||
5.75%, 01/15/28 | 15 | 15,784 | ||||||||||
5.38%, 06/15/29 | 66 | 68,805 | ||||||||||
Antero Resources Corp.(d) | ||||||||||||
7.63%, 02/01/29 | 79 | 87,690 | ||||||||||
5.38%, 03/01/30 | 58 | 59,197 | ||||||||||
Apache Corp. | ||||||||||||
4.88%, 11/15/27 | 68 | 73,643 | ||||||||||
4.38%, 10/15/28 | 13 | 13,839 | ||||||||||
4.25%, 01/15/30 | 62 | 65,410 | ||||||||||
5.10%, 09/01/40 | 81 | 84,847 | ||||||||||
5.25%, 02/01/42 | 18 | 19,035 | ||||||||||
4.75%, 04/15/43 | 110 | 114,367 | ||||||||||
4.25%, 01/15/44 | 46 | 44,948 | ||||||||||
5.35%, 07/01/49 | 23 | 24,208 | ||||||||||
Arcosa, Inc., 4.38%, 04/15/29(d) | 120 | 122,100 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(d) | ||||||||||||
9.00%, 11/01/27 | 212 | 293,014 | ||||||||||
8.25%, 12/31/28 | 37 | 40,700 | ||||||||||
5.88%, 06/30/29 | 122 | 122,000 | ||||||||||
Brand Industrial Services, Inc., | 314 | 319,253 | ||||||||||
Buckeye Partners LP | ||||||||||||
5.85%, 11/15/43 | 16 | 15,880 | ||||||||||
5.60%, 10/15/44 | 6 | 5,820 | ||||||||||
Callon Petroleum Co. | ||||||||||||
6.25%, 04/15/23 | 12 | 12,014 | ||||||||||
6.13%, 10/01/24 | 33 | 32,531 |
SCHEDULE OF INVESTMENTS | 23 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Callon Petroleum Co. (continued) | ||||||||||||
9.00%, 04/01/25(d) | USD | 215 | $ | 234,350 | ||||||||
8.00%, 08/01/28(d)(i) | 179 | 181,014 | ||||||||||
Cheniere Energy Partners LP | ||||||||||||
4.50%, 10/01/29 | 133 | 142,975 | ||||||||||
4.00%, 03/01/31(d) | 230 | 240,350 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28(d) | 523 | 551,765 | ||||||||||
Chesapeake Energy Corp.(d) | ||||||||||||
5.50%, 02/01/26 | 6 | 6,330 | ||||||||||
5.88%, 02/01/29 | 21 | 22,732 | ||||||||||
CITGO Petroleum Corp.(d) | ||||||||||||
7.00%, 06/15/25 | 90 | 93,786 | ||||||||||
6.38%, 06/15/26 | 74 | 77,145 | ||||||||||
CNX Resources Corp., 6.00%, 01/15/29(d) | 79 | 85,416 | ||||||||||
Colgate Energy Partners III LLC(d) | ||||||||||||
7.75%, 02/15/26 | 38 | 41,657 | ||||||||||
5.88%, 07/01/29 | 96 | 99,600 | ||||||||||
Comstock Resources, Inc.(d) | ||||||||||||
7.50%, 05/15/25 | 96 | 99,600 | ||||||||||
6.75%, 03/01/29 | 161 | 171,502 | ||||||||||
5.88%, 01/15/30 | 85 | 86,700 | ||||||||||
Continental Resources, Inc. | ||||||||||||
5.75%, 01/15/31(d) | 33 | 39,517 | ||||||||||
4.90%, 06/01/44 | 87 | 98,528 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., | 41 | 42,076 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(d) | 435 | 450,225 | ||||||||||
DCP Midstream Operating LP(d) | ||||||||||||
6.45%, 11/03/36 | 250 | 292,500 | ||||||||||
6.75%, 09/15/37 | 21 | 25,252 | ||||||||||
DT Midstream, Inc.(d) | ||||||||||||
4.13%, 06/15/29 | 139 | 141,131 | ||||||||||
4.38%, 06/15/31 | 178 | 181,879 | ||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29(d) | 33 | 33,286 | ||||||||||
eG Global Finance PLC | ||||||||||||
6.75%, 02/07/25(d) | 200 | 206,793 | ||||||||||
6.25%, 10/30/25 | EUR | 142 | 172,418 | |||||||||
8.50%, 10/30/25(d) | USD | 244 | 258,402 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(d) | ||||||||||||
5.50%, 01/30/26 | 421 | 437,314 | ||||||||||
5.75%, 01/30/28 | 45 | 47,981 | ||||||||||
Energy Transfer LP, Series H, (5 year CMT + 5.69%), 6.50%(f)(g) | 204 | 207,978 | ||||||||||
EnLink Midstream LLC, 5.63%, 01/15/28(d) | 56 | 59,158 | ||||||||||
EnLink Midstream Partners LP | ||||||||||||
4.40%, 04/01/24 | 136 | 142,800 | ||||||||||
4.85%, 07/15/26 | 39 | 40,365 | ||||||||||
5.60%, 04/01/44 | 74 | 66,970 | ||||||||||
EQM Midstream Partners LP | ||||||||||||
6.00%, 07/01/25(d) | 88 | 95,700 | ||||||||||
4.13%, 12/01/26 | 17 | 17,404 | ||||||||||
6.50%, 07/01/27(d) | 117 | 130,455 | ||||||||||
4.50%, 01/15/29(d) | 77 | 78,338 | ||||||||||
4.75%, 01/15/31(d) | 236 | 243,184 | ||||||||||
EQT Corp. | ||||||||||||
3.13%, 05/15/26(d) | 57 | 58,408 | ||||||||||
3.90%, 10/01/27 | 116 | 124,265 | ||||||||||
5.00%, 01/15/29 | 10 | 11,150 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EQT Corp. (continued) | ||||||||||||
8.50%, 02/01/30 | USD | 39 | $ | 50,813 | ||||||||
3.63%, 05/15/31(d) | 16 | 16,680 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 01/15/27 | 68 | 71,442 | ||||||||||
Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25(d) | 6 | 5,970 | ||||||||||
Harvest Midstream I LP, | 44 | 47,784 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance | ||||||||||||
5.75%, 02/01/29 | 17 | 17,723 | ||||||||||
6.00%, 02/01/31 | 26 | 27,560 | ||||||||||
Independence Energy Finance LLC, 7.25%, 05/01/26(d) | 157 | 164,877 | ||||||||||
Indigo Natural Resources LLC, | �� | 150 | 156,750 | |||||||||
ITT Holdings LLC, 6.50%, 08/01/29(d)(i) | 109 | 111,044 | ||||||||||
MasTec, Inc., 4.50%, 08/15/28(d) | 66 | 69,487 | ||||||||||
Matador Resources Co., | 204 | 210,120 | ||||||||||
MEG Energy Corp.(d) | ||||||||||||
7.13%, 02/01/27 | 23 | 24,502 | ||||||||||
5.88%, 02/01/29 | 29 | 30,232 | ||||||||||
Murphy Oil Corp., 5.75%, 08/15/25 | 55 | 56,444 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 109 | 114,690 | ||||||||||
New Enterprise Stone & Lime Co., Inc., 9.75%, 07/15/28(d) | 26 | 29,120 | ||||||||||
New Fortress Energy, Inc.(d) | ||||||||||||
6.75%, 09/15/25 | 489 | 500,614 | ||||||||||
6.50%, 09/30/26 | 367 | 375,001 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., | 170 | 178,500 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(d) | 186 | 266,074 | ||||||||||
Northern Oil and Gas, Inc., | 153 | 164,857 | ||||||||||
NuStar Logistics LP | ||||||||||||
5.75%, 10/01/25 | 41 | 44,587 | ||||||||||
6.00%, 06/01/26 | 124 | 134,540 | ||||||||||
6.38%, 10/01/30 | 2 | 2,210 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||
2.70%, 02/15/23 | 19 | 19,422 | ||||||||||
6.95%, 07/01/24 | 19 | 21,403 | ||||||||||
2.90%, 08/15/24 | 123 | 125,767 | ||||||||||
5.50%, 12/01/25 | 33 | 36,466 | ||||||||||
5.55%, 03/15/26 | 12 | 13,260 | ||||||||||
3.40%, 04/15/26 | 21 | 21,473 | ||||||||||
3.20%, 08/15/26 | 5 | 5,038 | ||||||||||
3.00%, 02/15/27 | 2 | 1,985 | ||||||||||
8.88%, 07/15/30 | 2 | 2,675 | ||||||||||
6.13%, 01/01/31 | 77 | 90,593 | ||||||||||
4.30%, 08/15/39 | 174 | 166,170 | ||||||||||
6.20%, 03/15/40 | 291 | 329,040 | ||||||||||
4.50%, 07/15/44 | 72 | 69,300 | ||||||||||
4.63%, 06/15/45 | 199 | 194,025 | ||||||||||
6.60%, 03/15/46 | 7 | 8,321 | ||||||||||
4.40%, 04/15/46 | 114 | 109,497 | ||||||||||
4.10%, 02/15/47 | 22 | 20,485 | ||||||||||
4.20%, 03/15/48 | 69 | 64,515 | ||||||||||
4.40%, 08/15/49 | 35 | 33,600 | ||||||||||
Ovintiv Exploration, Inc., | 11 | 12,396 | ||||||||||
Ovintiv, Inc. | ||||||||||||
7.38%, 11/01/31 | 23 | 30,537 | ||||||||||
6.50%, 08/15/34 | 15 | 19,802 |
24 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Parkland Corp., 4.50%, 10/01/29(d) | USD | 32 | $ | 32,518 | ||||||||
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(d) | 362 | 364,675 | ||||||||||
PDC Energy, Inc. | ||||||||||||
6.13%, 09/15/24 | 136 | 139,087 | ||||||||||
6.25%, 12/01/25 | 29 | 30,015 | ||||||||||
Range Resources Corp. | ||||||||||||
4.88%, 05/15/25 | 39 | 40,365 | ||||||||||
9.25%, 02/01/26 | 19 | 20,948 | ||||||||||
8.25%, 01/15/29(d) | 22 | 24,805 | ||||||||||
SM Energy Co. | ||||||||||||
10.00%, 01/15/25(d) | 225 | 253,876 | ||||||||||
5.63%, 06/01/25 | 8 | 7,920 | ||||||||||
6.75%, 09/15/26 | 12 | 12,210 | ||||||||||
6.63%, 01/15/27 | 23 | 23,633 | ||||||||||
6.50%, 07/15/28 | 62 | 63,705 | ||||||||||
Southwestern Energy Co. | ||||||||||||
7.50%, 04/01/26 | 29 | 30,704 | ||||||||||
8.38%, 09/15/28 | 24 | 27,120 | ||||||||||
Sunoco LP/Sunoco Finance Corp., | 151 | 160,437 | ||||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(d) | ||||||||||||
7.50%, 10/01/25 | 44 | 48,180 | ||||||||||
6.00%, 12/31/30 | 50 | 51,981 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||||||
5.38%, 02/01/27 | 17 | 17,701 | ||||||||||
5.50%, 03/01/30 | 267 | 293,609 | ||||||||||
4.88%, 02/01/31(d) | 41 | 44,382 | ||||||||||
4.00%, 01/15/32(d) | 2 | 2,057 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27(d) | 167 | 178,472 | ||||||||||
Vine Energy Holdings LLC, | 188 | 197,870 | ||||||||||
Viper Energy Partners LP, | 70 | 72,920 | ||||||||||
Western Midstream Operating LP | ||||||||||||
4.75%, 08/15/28 | 95 | 102,600 | ||||||||||
5.45%, 04/01/44 | 217 | 233,817 | ||||||||||
5.30%, 03/01/48 | 51 | 54,315 | ||||||||||
5.50%, 08/15/48 | 13 | 14,149 | ||||||||||
6.50%, 02/01/50 | 131 | 151,676 | ||||||||||
|
| |||||||||||
14,807,542 | ||||||||||||
Personal Products(d) — 0.0% | ||||||||||||
Coty, Inc., 5.00%, 04/15/26 | 39 | 39,545 | ||||||||||
Edgewell Personal Care Co., | 29 | 30,740 | ||||||||||
|
| |||||||||||
70,285 | ||||||||||||
Pharmaceuticals — 0.5% | ||||||||||||
Bausch Health Americas, Inc., 8.50%, 01/31/27(d) | 101 | 109,777 | ||||||||||
Bausch Health Cos., Inc.(d) | ||||||||||||
9.00%, 12/15/25 | 255 | 273,436 | ||||||||||
7.00%, 01/15/28 | 130 | 133,900 | ||||||||||
4.88%, 06/01/28 | 207 | 211,865 | ||||||||||
5.00%, 02/15/29 | 154 | 143,605 | ||||||||||
6.25%, 02/15/29 | 144 | 142,423 | ||||||||||
5.25%, 02/15/31 | 29 | 27,070 | ||||||||||
Cheplapharm Arzneimittel GmbH, | EUR | 100 | 123,170 | |||||||||
Elanco Animal Health, Inc., | USD | 57 | 66,705 |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 07/31/27(d) | USD | 237 | $ | 241,740 | ||||||||
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(d) | 154 | 150,920 | ||||||||||
Jaguar Holding Co. II/PPD Development LP(d) | ||||||||||||
4.63%, 06/15/25 | 26 | 27,300 | ||||||||||
5.00%, 06/15/28 | 188 | 203,777 | ||||||||||
Nidda Healthcare Holding GmbH, | EUR | 200 | 236,500 | |||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV(d) | ||||||||||||
4.13%, 04/30/28 | USD | 200 | 203,960 | |||||||||
5.13%, 04/30/31 | 200 | 206,040 | ||||||||||
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(d) | 77 | 80,850 | ||||||||||
Par Pharmaceutical, Inc., 7.50%, 04/01/27(d) | 254 | 259,672 | ||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31(d) | 70 | 67,489 | ||||||||||
|
| |||||||||||
2,910,199 | ||||||||||||
Real Estate Management & Development — 0.1% | ||||||||||||
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28(d) | 100 | 107,846 | ||||||||||
Howard Hughes Corp.(d) | ||||||||||||
5.38%, 08/01/28 | 8 | 8,493 | ||||||||||
4.13%, 02/01/29 | 62 | 62,001 | ||||||||||
4.38%, 02/01/31 | 89 | 88,678 | ||||||||||
Realogy Group LLC/Realogy Co-Issuer | ||||||||||||
7.63%, 06/15/25 | 41 | 44,473 | ||||||||||
5.75%, 01/15/29 | 94 | 98,266 | ||||||||||
Unique Pub Finance Co. PLC, Series A4, | GBP | 44 | 67,250 | |||||||||
|
| |||||||||||
477,007 | ||||||||||||
Road & Rail — 0.0% | ||||||||||||
Autostrade per l’Italia SpA, 2.00%, 01/15/30 | EUR | 100 | 122,429 | |||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment(d) — 0.1% | ||||||||||||
Atkore, Inc., 4.25%, 06/01/31 | USD | 53 | 53,678 | |||||||||
ON Semiconductor Corp., 3.88%, 09/01/28 | 106 | 109,195 | ||||||||||
Sensata Technologies BV, 4.00%, 04/15/29 | 57 | 57,860 | ||||||||||
Sensata Technologies, Inc., 4.38%, 02/15/30 | 148 | 155,969 | ||||||||||
Synaptics, Inc., 4.00%, 06/15/29 | 61 | 61,305 | ||||||||||
|
| |||||||||||
438,007 | ||||||||||||
Software — 0.5% | ||||||||||||
Black Knight InfoServ LLC, 3.63%, 09/01/28(d) | 122 | 121,385 | ||||||||||
Boxer Parent Co., Inc.(d) | ||||||||||||
7.13%, 10/02/25 | 111 | 118,770 | ||||||||||
9.13%, 03/01/26 | 215 | 226,937 | ||||||||||
BY Crown Parent LLC, 7.38%, 10/15/24(d) | 602 | 612,836 | ||||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26(d) | 415 | 434,712 | ||||||||||
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | 88 | 88,084 | ||||||||||
Elastic NV, 4.13%, 07/15/29(d) | 96 | 96,000 | ||||||||||
MicroStrategy, Inc., 6.13%, 06/15/28(d) | 102 | 102,000 | ||||||||||
MSCI, Inc.(d) | ||||||||||||
3.63%, 09/01/30 | 50 | 51,133 | ||||||||||
3.88%, 02/15/31 | 41 | 42,548 | ||||||||||
3.63%, 11/01/31 | 62 | 63,593 | ||||||||||
Open Text Corp., 3.88%, 02/15/28(d) | 5 | 5,069 | ||||||||||
PTC, Inc., 4.00%, 02/15/28(d) | 80 | 82,640 |
SCHEDULE OF INVESTMENTS | 25 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Software (continued) | ||||||||||||
Rocket Software, Inc., 6.50%, 02/15/29(d) | USD | 132 | $ | 130,981 | ||||||||
SS&C Technologies, Inc., 5.50%, 09/30/27(d) | 228 | 241,612 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(d) | 501 | 521,666 | ||||||||||
|
| |||||||||||
2,939,966 | ||||||||||||
Specialty Retail(d) — 0.2% | ||||||||||||
Gap, Inc., 8.88%, 05/15/27 | 105 | 121,506 | ||||||||||
L Brands, Inc., 6.63%, 10/01/30 | 46 | 53,245 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 | 503 | 554,557 | ||||||||||
Staples, Inc. | ||||||||||||
7.50%, 04/15/26 | 130 | 134,646 | ||||||||||
10.75%, 04/15/27 | 61 | 62,016 | ||||||||||
|
| |||||||||||
925,970 | ||||||||||||
Textiles, Apparel & Luxury Goods — 0.0% | ||||||||||||
Crocs, Inc., 4.25%, 03/15/29(d) | 50 | 51,000 | ||||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(d) | 30 | 31,763 | ||||||||||
Levi Strauss & Co. | ||||||||||||
5.00%, 05/01/25 | 7 | 7,140 | ||||||||||
3.50%, 03/01/31(d) | 35 | 34,797 | ||||||||||
William Carter Co., 5.50%, 05/15/25(d) | 11 | 11,638 | ||||||||||
Wolverine World Wide, Inc., | 24 | 25,533 | ||||||||||
|
| |||||||||||
161,871 | ||||||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||||||
Enact Holdings, Inc., 6.50%, 08/15/25(d) | 132 | 145,491 | ||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26(d) | 92 | 85,790 | ||||||||||
MGIC Investment Corp., 5.25%, 08/15/28 | 47 | 49,820 | ||||||||||
Nationstar Mortgage Holdings, Inc.(d) | ||||||||||||
6.00%, 01/15/27 | 78 | 80,830 | ||||||||||
5.50%, 08/15/28 | 103 | 103,837 | ||||||||||
5.13%, 12/15/30 | 45 | 44,775 | ||||||||||
United Wholesale Mortgage LLC, 5.50%, 04/15/29(d) | 30 | 29,993 | ||||||||||
|
| |||||||||||
540,536 | ||||||||||||
Utilities — 0.1% | ||||||||||||
Solaris Midstream Holdings LLC, 7.63%, 04/01/26(d) | 34 | 36,040 | ||||||||||
Thames Water Kemble Finance PLC, 4.63%, 05/19/26 | GBP | 168 | 237,784 | |||||||||
Vistra Operations Co. LLC(d) | ||||||||||||
5.63%, 02/15/27 | USD | 99 | 102,712 | |||||||||
4.38%, 05/01/29 | 73 | 73,365 | ||||||||||
|
| |||||||||||
449,901 | ||||||||||||
Wireless Telecommunication Services — 0.5% | ||||||||||||
Altice France SA(d) | ||||||||||||
8.13%, 02/01/27 | 334 | 363,893 | ||||||||||
5.13%, 07/15/29 | 351 | 352,720 | ||||||||||
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31 | 39 | 42,022 | ||||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27 | EUR | 100 | 121,683 | |||||||||
SBA Communications Corp., | USD | 424 | 435,408 | |||||||||
T-Mobile USA, Inc. | ||||||||||||
2.63%, 02/15/29 | 25 | 24,688 | ||||||||||
2.88%, 02/15/31 | 154 | 152,845 | ||||||||||
3.50%, 04/15/31 | 119 | 123,111 | ||||||||||
3.50%, 04/15/31(d) | 116 | 120,008 |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Wireless Telecommunication Services (continued) | ||||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(d) | USD | 189 | $ | 189,472 | ||||||||
VICI Properties LP/VICI Note Co., Inc.(d) | ||||||||||||
4.25%, 12/01/26 | 392 | 407,766 | ||||||||||
4.63%, 12/01/29 | 321 | 341,062 | ||||||||||
4.13%, 08/15/30 | 24 | 24,644 | ||||||||||
Vmed O2 UK Financing I PLC, 4.75%, 07/15/31(d)(i) | 200 | 203,000 | ||||||||||
|
| |||||||||||
2,902,322 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 21.3% |
| 116,381,489 | ||||||||||
|
| |||||||||||
Floating Rate Loan Interests(f) |
| |||||||||||
Aerospace & Defense — 4.6% | ||||||||||||
Atlas CC Acquisition Corp | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 04/28/28 | 5,622 | 5,635,973 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 6.00%, 05/25/28 | 1,143 | 1,146,300 | ||||||||||
Bleriot US Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.15%, 10/30/26 | 820 | 819,999 | ||||||||||
Dynasty Acquisition Co., Inc. | ||||||||||||
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.65%, 04/06/26 | 1,795 | 1,747,394 | ||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.65%, 04/06/26 | 3,339 | 3,250,153 | ||||||||||
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.63%, 04/09/26(b) | 776 | 745,114 | ||||||||||
Peraton Holding Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 0.75%, 0.75% Floor), 8.50%, 02/01/29(b) | 2,002 | 2,042,040 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/01/28 | 6,085 | 6,097,117 | ||||||||||
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 | 889 | 893,351 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.35%, 12/09/25 | 3,007 | 2,960,637 | ||||||||||
|
| |||||||||||
25,338,078 | ||||||||||||
Air Freight & Logistics — 0.7% | ||||||||||||
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/06/28 | 423 | 422,340 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 | 3,616 | 3,543,616 | ||||||||||
|
| |||||||||||
3,965,956 | ||||||||||||
Airlines — 2.0% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | 1,131 | 1,178,219 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 01/29/27 | 450 | 430,024 | ||||||||||
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.07%, 12/14/23 | 2,255 | 2,198,602 |
26 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Airlines (continued) | ||||||||||||
American Airlines, Inc. (continued) | ||||||||||||
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.10%, 04/28/23 | USD | 1,413 | $ | 1,377,019 | ||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 | 2,112 | 2,253,842 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, | 3,312 | 3,352,169 | ||||||||||
|
| |||||||||||
10,789,875 | ||||||||||||
Auto Components — 2.5% | ||||||||||||
Adient US LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 04/08/28 | 728 | 727,774 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26 | 4,069 | 4,027,733 | ||||||||||
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 01/31/28 | 2,229 | 2,228,298 | ||||||||||
USI, Inc. | ||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.15%, 05/16/24 | 4,370 | 4,327,401 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 3.40%, 12/02/26 | 249 | 246,760 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 02/05/26 | 2,314 | 2,283,969 | ||||||||||
|
| |||||||||||
13,841,935 | ||||||||||||
Automobiles — 0.1% | ||||||||||||
MajorDrive Holdings IV LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 05/12/28 | 435 | 435,135 | ||||||||||
|
| |||||||||||
Building Materials — 0.1% | ||||||||||||
CHI Overhead Doors, Inc, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.50%, 07/31/25 | 162 | 161,778 | ||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/12/28 | 520 | 519,507 | ||||||||||
|
| |||||||||||
681,285 | ||||||||||||
Building Products — 1.7% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 11/23/27 | 2,186 | 2,179,458 | ||||||||||
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 05/05/24 | 1,529 | 1,526,340 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 4.25%), 4.25%, 04/12/28 | EUR | 1,000 | 1,180,070 | |||||||||
MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | USD | 472 | 471,927 | |||||||||
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/19/26 | 3,732 | 3,730,405 | ||||||||||
|
| |||||||||||
9,088,200 | �� | |||||||||||
Capital Markets — 1.9% | ||||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 4.75%, 04/09/27 | 5,491 | 5,511,972 |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Capital Markets (continued) | ||||||||||||
Deerfield Dakota Holding LLC (continued) | ||||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 04/07/28(b) | USD | 1,594 | $ | 1,629,865 | ||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 11/12/27 | 1,259 | 1,257,492 | ||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 06/27/25 | — | (k) | 248 | |||||||||
Focus Financial Partners LLC(l) | ||||||||||||
2021 Delayed Draw Term Loan, 06/24/28 | 246 | 245,102 | ||||||||||
2021 Term Loan, 06/24/28 | 1,066 | 1,062,111 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), | 588 | 585,203 | ||||||||||
|
| |||||||||||
10,291,993 | ||||||||||||
Chemicals — 5.2% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 08/27/26 | 2,944 | 2,983,193 | ||||||||||
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 3.00%, 03/18/28 | 3,091 | 3,073,629 | ||||||||||
Axalta Coating Systems US Holdings Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.90%, 06/01/24 | 1,256 | 1,247,619 | ||||||||||
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24(b) | 1,343 | 1,329,488 | ||||||||||
Element Solutions, Inc., 2021 Term Loan B, 01/31/26(l) | 1,773 | 1,769,684 | ||||||||||
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.25%, 11/07/24 | 1,263 | 1,260,794 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 06/30/27 | 1,309 | 1,300,095 | ||||||||||
Invictus US LLC | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/28/25 | 675 | 673,509 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.85%, 03/30/26 | 973 | 972,722 | ||||||||||
Klockner-Pentaplast of America, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.50% Floor), 5.25%, 02/09/26(b) | 1,137 | 1,142,836 | ||||||||||
Lonza Group AG, USD Term Loan B, 04/29/28(l) | 920 | 920,497 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.65%, 03/02/26 | 2,976 | 2,953,928 | ||||||||||
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b) | 378 | 378,876 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24 | 1,531 | 1,519,603 | ||||||||||
NIC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/29/27 | 653 | 651,527 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.50%), 3.63%, 10/14/24 | 1,541 | 1,531,655 | ||||||||||
PQ Corp., 2021 Term Loan B, 05/26/28(l) | 1,546 | 1,544,717 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 08/01/26 | 625 | 624,564 |
SCHEDULE OF INVESTMENTS | 27 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Chemicals (continued) | ||||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 | USD | 1,147 | $ | 1,151,920 | ||||||||
Sparta US Holdco LLC, 2021 Term Loan, 2021 Term Loan, 05/04/28(l) | 1,025 | 1,025,318 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (PRIME + 1.75%), 3.13%, 10/01/25 | 410 | 406,445 | ||||||||||
|
| |||||||||||
28,462,619 | ||||||||||||
Commercial Services & Supplies — 4.1% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 05/12/28 | 3,333 | 3,340,778 | ||||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/23 | 1,489 | 1,480,701 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24 | 921 | 910,863 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26 | 700 | 692,093 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 5.35%, 01/31/28 | 985 | 992,361 | ||||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26 | 1,719 | 1,711,809 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25 | 2,694 | 2,692,628 | ||||||||||
Diamond (BC) BV, USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 09/06/24 | 1,454 | 1,445,454 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 | 451 | 447,018 | ||||||||||
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 | 489 | 436,785 | ||||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26 | 1,280 | 1,260,654 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 03/09/28 | 1,561 | 1,553,603 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 09/23/26 | 1,502 | 1,500,178 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.10%, 08/27/25 | 3,644 | 3,649,873 | ||||||||||
|
| |||||||||||
22,114,798 | ||||||||||||
Communications Equipment — 0.1% | ||||||||||||
Avantor Funding, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.00%, 1.00% Floor), 3.00%, 11/21/24 | 593 | 592,054 | ||||||||||
|
| |||||||||||
Construction & Engineering — 1.7% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | 3,600 | 3,538,453 |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Construction & Engineering (continued) | ||||||||||||
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 3.11%, 01/21/28 | USD | 925 | $ | 922,428 | ||||||||
SRS Distribution, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 06/02/28 | 3,021 | 3,017,647 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 05/12/28 | 1,565 | 1,561,183 | ||||||||||
|
| |||||||||||
9,039,711 | ||||||||||||
Construction Materials — 2.0% | ||||||||||||
Core & Main LP | ||||||||||||
2017 Term Loan B, (3 mo. LIBOR + 2.00%, 1.00% Floor), 3.75%, 08/01/24 | 2,178 | 2,174,566 | ||||||||||
2021 Term Loan B, 06/09/28(l) | 3,855 | 3,828,556 | ||||||||||
Filtration Group Corp. | ||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25 | 2,134 | 2,114,578 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 | 1,275 | 1,274,999 | ||||||||||
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.00%, 10/25/23 | 1,008 | 1,008,080 | ||||||||||
Tamko Building Products, Inc., Term Loan B, (1 mo. LIBOR + 3.00%), 3.13%, 05/29/26 | 776 | 773,609 | ||||||||||
|
| |||||||||||
11,174,388 | ||||||||||||
Containers & Packaging — 1.7% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/03/24 | 2,242 | 2,186,330 | ||||||||||
Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/01/27 | 3,802 | 3,802,862 | ||||||||||
Flex Acquisition Co., Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 03/02/28 | 1,938 | 1,928,507 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.10%, 08/01/26 | 549 | 548,091 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/18/27 | 731 | 730,411 | ||||||||||
|
| |||||||||||
9,196,201 | ||||||||||||
Distributors — 1.0% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/27 | 1,309 | 1,298,499 | ||||||||||
TMK Hawk Parent Corp. | ||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 2.25%, 1.00% Floor), 10.50%, 05/30/24(b) | 994 | 974,485 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24 | 3,262 | 2,898,485 | ||||||||||
|
| |||||||||||
5,171,469 |
28 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Diversified Consumer Services — 2.1% | ||||||||||||
Ascend Learning LLC | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 | USD | 305 | $ | 304,862 | ||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 | 985 | 984,560 | ||||||||||
Bright Horizons Family Solutions LLC, 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 1.00% Floor), 2.50%, 11/07/23 | 1,758 | 1,750,552 | ||||||||||
Frontdoor, Inc., 2021 Term Loan B, | 646 | 646,000 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 3.85%, 07/11/25 | 2,996 | 2,935,990 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 12/22/25 | 1,485 | 1,446,218 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.32%, 05/15/24 | 1,109 | 1,103,187 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/28/27 | 429 | 429,594 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||
2020 Super Priority First Out Term Loan, | 419 | 423,357 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 | 856 | 815,809 | ||||||||||
Voyage Australia Property Ltd., USD Term Loan B, 06/16/28(b)(l) | 659 | 659,000 | ||||||||||
|
| |||||||||||
11,499,129 | ||||||||||||
Diversified Financial Services — 7.7% | ||||||||||||
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 4.60%, 07/31/26 | 1,251 | 1,252,634 | ||||||||||
Alchemy Copyrights LLC, Term Loan B, | 757 | 756,340 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 02/04/28 | 2,175 | 2,164,591 | ||||||||||
AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, 05/04/29(b)(l) | 2,232 | 2,209,680 | ||||||||||
AQGEN Island Holdings, Inc., Term Loan, 05/20/28(l) | 2,489 | 2,481,234 | ||||||||||
Belron Finance US LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 04/13/28 | 1,737 | 1,733,339 | ||||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28 | 595 | 601,694 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/01/27 | 3,270 | 3,276,148 | ||||||||||
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.15%, 02/07/25 | 1,155 | 1,145,581 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 02/16/28 | 760 | 762,265 |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Diversified Financial Services (continued) | ||||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.50%, 07/03/24 | USD | 1,335 | $ | 1,327,022 | ||||||||
LBM Acquisition LLC | ||||||||||||
2021 Incremental Delayed Draw Term Loan B2, 12/17/27(l) | 367 | 363,789 | ||||||||||
2021 Incremental Term Loan B2, 12/17/27(l) | 734 | 727,578 | ||||||||||
Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 126 | 124,822 | ||||||||||
Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 849 | 842,545 | ||||||||||
LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/02/27 | 903 | 904,646 | ||||||||||
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 | 5,007 | 5,018,040 | ||||||||||
RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 02/08/28(b) | 828 | 829,995 | ||||||||||
SMG US Midco 2, Inc., 2020 Term Loan, | 1,726 | 1,665,288 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.40%, 07/30/25 | 2,061 | 1,983,982 | ||||||||||
Therma Intermediate LLC, 2020 Term Loan, | 622 | 621,791 | ||||||||||
Veritas US, Inc., 2021 USD Term Loan B, | 6,658 | 6,693,207 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27 | 1,312 | 1,306,571 | ||||||||||
White Cap Buyer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 10/19/27 | 1,105 | 1,106,827 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.57%, 04/30/28 | 1,876 | 1,855,158 | ||||||||||
|
| |||||||||||
41,754,767 | ||||||||||||
Diversified Telecommunication Services — 2.3% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/30/27 | 507 | 507,450 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 10/02/27 | 713 | 713,467 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 05/01/28 | 1,780 | 1,779,666 | ||||||||||
GCI LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 10/15/25 | 1,094 | 1,091,001 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | 455 | 461,447 | ||||||||||
2020 DIP Term Loan, (PRIME + 4.75%, 1.00% Floor), 6.50%, 07/13/22 | 157 | 158,440 |
SCHEDULE OF INVESTMENTS | 29 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Iridium Satellite LLC, 2021 Term Loan B, | USD | 1,541 | $ | 1,542,707 | ||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27 | 1,676 | 1,649,639 | ||||||||||
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 | 2,322 | 2,319,206 | ||||||||||
Orbcomm, Inc., Term Loan B, 06/17/28(l) | 647 | 645,382 | ||||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.31%, 01/15/27 | GBP | 1,400 | 1,907,784 | |||||||||
|
| |||||||||||
12,776,189 | ||||||||||||
Electric Utilities — 1.0% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 12/15/27 | USD | 1,176 | 1,174,952 | |||||||||
Triton Water Holdings, Inc, Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 03/31/28 | 4,007 | 4,001,430 | ||||||||||
|
| |||||||||||
5,176,382 | ||||||||||||
Electrical Equipment — 0.5% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, 06/23/28(l) | 762 | 762,480 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, | 2,168 | 2,156,923 | ||||||||||
|
| |||||||||||
2,919,403 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 02/12/25 | 776 | 775,205 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
Dell International LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%, 0.25% Floor), 2.00%, 09/19/25 | 114 | 114,246 | ||||||||||
|
| |||||||||||
Entertainment — 0.3% | ||||||||||||
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b) | 1,750 | 1,802,711 | ||||||||||
|
| |||||||||||
Environmental, Maintenance, & Security Service — 0.5% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27 | 1,762 | 1,754,835 | ||||||||||
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 | 1,084 | 1,087,394 | ||||||||||
|
| |||||||||||
2,842,229 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.4% | ||||||||||||
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.84%, 12/20/24 | 2,203 | 2,183,879 | ||||||||||
|
| |||||||||||
Food & Staples Retailing — 1.0% | ||||||||||||
H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25 | 654 | 652,085 | ||||||||||
Hearthside Food Solutions LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.79%, 05/23/25 | 1,394 | 1,384,725 |
Security | Par (000) | Value | ||||||||||
| ||||||||||||
Food & Staples Retailing (continued) | ||||||||||||
Hearthside Food Solutions LLC (continued) | ||||||||||||
2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25 | USD | 178 | $ | 177,977 | ||||||||
US Foods, Inc. | ||||||||||||
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 06/27/23 | 2,708 | 2,679,106 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26 | 743 | 731,238 | ||||||||||
|
| |||||||||||
5,625,131 | ||||||||||||
Food Products — 2.6% | ||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.59%, 10/01/25 | 1,105 | 1,099,962 | ||||||||||
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.60%, 10/10/26 | 415 | 414,470 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 | 2,753 | 2,757,793 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27 | 3,305 | 3,253,107 | ||||||||||
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/01/26 | 595 | 592,482 | ||||||||||
Reynolds Group Holdings, Inc. | ||||||||||||
2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 02/05/23 | 2,009 | 2,004,036 | ||||||||||
2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26 | 1,696 | 1,683,448 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 06/08/28 | 1,622 | 1,628,386 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 01/20/28 | 612 | 611,144 | ||||||||||
|
| |||||||||||
14,044,828 | ||||||||||||
Health Care Equipment & Supplies — 1.1% | ||||||||||||
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/06/27 | 1,834 | 1,833,015 | ||||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 05/04/28 | 685 | 685,432 | ||||||||||
Ortho-Clinical Diagnostics SA | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.09%, 06/30/25 | 2,260 | 2,257,935 | ||||||||||
EUR Term Loan B, (3 mo.EURIBOR + 3.50%), 3.50%, 06/30/25 | EUR | 990 | 1,174,139 | |||||||||
|
| |||||||||||
5,950,521 | ||||||||||||
Health Care Providers & Services — 3.3% | ||||||||||||
AHP Health Partners, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/30/25 | USD | 830 | 831,312 | |||||||||
CCRR Parent, Inc, Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 03/06/28 | 1,187 | 1,192,960 | ||||||||||
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23 | 2,134 | 2,131,633 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.00%, 01/08/27 | 1,258 | 1,261,947 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25 | 1,718 | 1,457,870 |
30 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
EyeCare Partners LLC | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.35%, 02/18/28 | USD | 1,460 | $ | 1,397,950 | ||||||||
2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 02/18/27 | 1,970 | 1,950,515 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.65%, 03/05/26 | 942 | 901,743 | ||||||||||
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 08/06/26 | 4,356 | 4,355,243 | ||||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 | 435 | 433,326 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 02/14/25 | 47 | 46,832 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 12/13/26 | 2,247 | 2,236,709 | ||||||||||
|
| |||||||||||
18,198,040 | ||||||||||||
Health Care Services — 1.1% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 3.69%, 07/25/26 | 2,406 | 2,390,650 | ||||||||||
Unified Physician Management LLC, 2020 Term Loan, (1 Week LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/18/27(b) | 1,647 | 1,648,891 | ||||||||||
WP CityMD Bidco LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 08/13/26 | 1,882 | 1,884,776 | ||||||||||
|
| |||||||||||
5,924,317 | ||||||||||||
Health Care Technology — 2.9% | ||||||||||||
Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.41%, 02/11/26 | 327 | 327,897 | ||||||||||
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 | 3,159 | 3,155,259 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25 | 1,948 | 1,934,124 | ||||||||||
Polaris Newco LLC, USD Term Loan B, (6 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 06/04/28 | 4,736 | 4,746,772 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 07/25/26 | 2,346 | 2,348,439 | ||||||||||
Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.85%, 03/07/24 | 279 | 277,525 | ||||||||||
Verscend Holdings Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 02/01/29(b) | 2,740 | 2,767,400 | ||||||||||
|
| |||||||||||
15,557,416 | ||||||||||||
Hotels, Restaurants & Leisure — 7.2% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26 | 2,750 | 2,710,021 | ||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 02/02/26 | 493 | 480,927 | ||||||||||
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 | 880 | 880,893 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.94%, 10/19/24 | USD | 1,085 | $ | 1,076,632 | ||||||||
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.34%, 09/15/23 | 1,078 | 1,076,164 | ||||||||||
Caesars Resort Collection LLC | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24 | 1,807 | 1,790,171 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.60%, 07/20/25 | 3,523 | 3,532,233 | ||||||||||
CCM Merger, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25 | 1,191 | 1,190,034 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/10/28(b) | 694 | 687,317 | ||||||||||
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%, 0.75% Floor), 8.25%, 03/31/28(b) | 820 | 836,400 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 | 4,201 | 4,018,882 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23 | 898 | 894,456 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 | 1,719 | 1,705,130 | ||||||||||
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b) | 201 | 223,353 | ||||||||||
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.75%, 08/25/25(b) | 529 | 531,648 | ||||||||||
IRB Holding Corp, 2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | 4,300 | 4,297,035 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 | 1,391 | 1,387,334 | ||||||||||
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 | 662 | 636,095 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 03/11/28 | 1,754 | 1,744,644 | ||||||||||
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24 | 1,138 | 1,129,546 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.65%, 07/10/25 | 1,003 | 1,002,753 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.25% Floor), 2.50%, 02/08/27 | 1,989 | 1,964,293 | ||||||||||
Travelport Finance (Luxembourg) Sarl | ||||||||||||
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.20%, 05/29/26 | 2,613 | 2,379,077 |
SCHEDULE OF INVESTMENTS | 31 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Travelport Finance (Luxembourg) Sarl (continued) | ||||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 3.50%, 02/28/25 | USD | 1,526 | $ | 1,598,672 | ||||||||
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.83%, 08/02/26 | 1,805 | 1,796,685 | ||||||||||
|
| |||||||||||
39,570,395 | ||||||||||||
Household Durables — 0.8% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 05/17/28 | 3,089 | 3,071,362 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 | 1,056 | 1,057,014 | ||||||||||
|
| |||||||||||
4,128,376 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (3 mo. LIBOR + 2.00%, 0.50% Floor), 2.50%, 03/03/28(b) | 478 | 475,212 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers — 0.7% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25 | 665 | 656,694 | ||||||||||
Calpine Corp. | ||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26 | 1,056 | 1,041,350 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 2.11%, 04/06/26 | 1,913 | 1,886,867 | ||||||||||
|
| |||||||||||
3,584,911 | ||||||||||||
Industrial Conglomerates — 2.1% | ||||||||||||
AVSC Holding Corp.(h) | ||||||||||||
2020 Term Loan B1, (0.25% PIK), 2.25%, 03/03/25 | 4,389 | 4,017,306 | ||||||||||
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 | 1,369 | 1,633,781 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | 1,427 | 1,434,767 | ||||||||||
Vertical Midco GmbH, USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.48%, 07/29/27 | 1,703 | 1,704,166 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.84%, 03/02/27 | 2,614 | 2,596,142 | ||||||||||
|
| |||||||||||
11,386,162 | ||||||||||||
Insurance — 3.1% | ||||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | 2,428 | 2,400,175 | ||||||||||
2020 Term Loan B3, 11/06/27(l) | 1,323 | 1,324,315 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | 1,184 | 1,170,318 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/19/28 | 2,186 | 2,171,016 | ||||||||||
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 | 599 | 599,712 |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/13/27 | USD | 1,301 | $ | 1,293,594 | ||||||||
2021 Term Loan B, 02/12/27(l) | 176 | 176,088 | ||||||||||
HUB International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.93%, 04/25/25 | 2,375 | 2,347,974 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 04/25/25 | 1,413 | 1,411,776 | ||||||||||
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 09/01/27 | 1,456 | 1,454,629 | ||||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26 | 2,067 | 2,062,420 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | 741 | 741,948 | ||||||||||
|
| |||||||||||
17,153,965 | ||||||||||||
Interactive Media & Services — 2.7% | ||||||||||||
Adevinta ASA, USD Term Loan B, | 2,218 | 2,217,401 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, | 2,123 | 2,116,556 | ||||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 | 2,993 | 2,992,960 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27 | 1,713 | 1,701,191 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | 5,695 | 5,775,422 | ||||||||||
|
| |||||||||||
14,803,530 | ||||||||||||
Internet & Direct Marketing Retail — 0.4% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, | 2,422 | 2,421,930 | ||||||||||
|
| |||||||||||
Internet Software & Services — 0.4% | ||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27 | 2,412 | 2,409,953 | ||||||||||
|
| |||||||||||
IT Services — 6.1% | ||||||||||||
Aruba Investments, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28 | 1,275 | 1,279,246 | ||||||||||
2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 | 688 | 689,996 | ||||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/02/25 | 2,051 | 2,038,753 | ||||||||||
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/31/26 | 3,338 | 3,321,526 | ||||||||||
Celestial -Saturn Parent, Inc., 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.50% Floor), 7.00%, 04/13/29(b) | 1,120 | 1,125,600 | ||||||||||
CoreLogic, Inc., Term Loan, 06/04/28(l) | 3,280 | 3,268,520 | ||||||||||
Fleetcor Technologies Operating Company, LLC, 2021 Term Loan B4, 04/28/28(l) | 1,510 | 1,506,859 | ||||||||||
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 | 5,654 | 5,663,699 |
32 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b) | USD | 1,376 | $ | 1,365,288 | ||||||||
Maximus, Inc., Term Loan B, 05/28/28(l) | 894 | 893,258 | ||||||||||
Optiv Security, Inc., 1st Lien Term Loan, | 898 | 876,260 | ||||||||||
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.38%, 08/01/25 | 1,121 | 1,000,896 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27 | 2,259 | 2,204,488 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, | 3,730 | 3,846,563 | ||||||||||
TierPoint LLC, 2021 Term Loan, | 864 | 862,884 | ||||||||||
Trans Union LLC, 2019 Term Loan B5, | 1,665 | 1,652,643 | ||||||||||
Virtusa Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 02/11/28 | 937 | 939,462 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28 | 872 | 864,736 | ||||||||||
|
| |||||||||||
33,400,677 | ||||||||||||
Leisure Products — 0.1% | ||||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24 | 780 | 752,829 | ||||||||||
|
| |||||||||||
Life Sciences Tools & Services — 2.3% | ||||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 | 4,031 | 4,046,967 | ||||||||||
Icon Luxembourg Sarl(l) | ||||||||||||
1st Lien Term Loan B, 06/16/28 | 650 | 650,755 | ||||||||||
Term Loan B, 06/16/28 | 2,608 | 2,611,886 | ||||||||||
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27 | 1,098 | 1,101,764 | ||||||||||
PPD, Inc., Initial Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 2.75%, 01/13/28 | 3,925 | 3,918,411 | ||||||||||
|
| |||||||||||
12,329,783 | ||||||||||||
Machinery — 2.4% | ||||||||||||
Clark Equipment Co., 2021 Incremental Term Loan, 05/18/24(l) | 1,206 | 1,203,566 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 05/14/28(b) | 382 | 381,522 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/28/27 | 2,515 | 2,483,913 | ||||||||||
Madison IAQ LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 06/16/28 | 3,254 | 3,254,000 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.17%, 03/28/25 | 6,022 | 5,912,689 | ||||||||||
|
| |||||||||||
13,235,690 |
Security | Par (000) | Value | ||||||||||
Media — 11.6% | ||||||||||||
A-L Parent LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | USD | 2,572 | $ | 2,481,611 | ||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.93%, 07/15/25 | 656 | 644,475 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.90%, 01/31/26 | 1,750 | 1,717,075 | ||||||||||
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.15%, 08/14/26 | 2,817 | 2,809,251 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, 05/03/28(l) | 437 | 435,033 | ||||||||||
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25 | 3,571 | 3,563,174 | ||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.69%, 08/21/26 | 5,817 | 5,674,213 | ||||||||||
Connect Finco Sarl, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26 | 9,061 | 9,066,196 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.32%, 07/17/25 | 585 | 576,211 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.57%, 04/15/27 | 1,966 | 1,945,302 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, | 854 | 853,102 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25 | 1,549 | 1,538,487 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/19/26 | 2,285 | 2,222,404 | ||||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24 | 4,219 | 4,196,889 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.75%, 09/15/24 | 2,279 | 2,282,657 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/23/29 | 1,095 | 1,110,746 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.59%, 09/19/26 | 1,544 | 1,540,022 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, | 2,195 | 2,195,744 | ||||||||||
Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26 | — | (k) | 208 | |||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 3.10%, 09/28/23(b) | 4,338 | 4,316,435 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 3.07%, 01/31/29 | 509 | 505,437 | ||||||||||
Virgin Media Bristol LLC | ||||||||||||
2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.35%, 01/31/29 | 2,097 | 2,093,792 | ||||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.57%, 01/31/28 | 2,578 | 2,553,895 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25 | 3,139 | 3,075,749 |
SCHEDULE OF INVESTMENTS | 33 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28 | USD | 591 | $ | 586,078 | ||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27 | 5,670 | 5,606,763 | ||||||||||
|
| |||||||||||
63,590,949 | ||||||||||||
Metals & Mining — 0.4% | ||||||||||||
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.64%, 07/31/25 | 2,040 | 2,022,589 | ||||||||||
|
| |||||||||||
Multi-line Retail — 0.2% | ||||||||||||
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24 | 900 | 897,688 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.6% | ||||||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25 | 393 | 433,447 | ||||||||||
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 12/13/25 | 1,689 | 1,608,217 | ||||||||||
EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.15%, 02/07/25 | 716 | 710,072 | ||||||||||
Lealand Finance Company BV, 2020 Take Back Term Loan, (3.00% PIK), 3.00%, 06/30/25(h) | 328 | 145,787 | ||||||||||
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/24(b) | 46 | 27,614 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%, 0.50% Floor), 2.25%, 01/31/28 | 573 | 572,926 | ||||||||||
|
| |||||||||||
3,498,063 | ||||||||||||
Personal Products — 1.2% | ||||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/25/26 | 6,456 | 6,476,054 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 3.2% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25 | 2,258 | 2,212,406 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 2.50%, 02/22/28 | 2,323 | 2,324,679 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.84%, 08/01/27 | 936 | 920,918 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.09%, 11/15/27 | 1,876 | 1,856,356 | ||||||||||
Jazz Financing Lux Sarl, USD Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 04/21/28 | 2,237 | 2,243,286 | ||||||||||
Organon Finance 1 LLC, USD Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 06/02/28 | 1,461 | 1,461,921 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 11/18/27 | 1,161 | 1,156,667 |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Prestige Brands, Inc., 2021 Term Loan B, 06/11/28(l) | USD | 448 | $ | 448,188 | ||||||||
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25 | 4,732 | 4,710,554 | ||||||||||
|
| |||||||||||
17,334,975 | ||||||||||||
Professional Services — 1.3% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, | 6,871 | 6,835,869 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.6% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 | 1,826 | 1,810,522 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25 | 1,304 | 1,291,451 | ||||||||||
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 | 41 | 40,545 | ||||||||||
|
| |||||||||||
3,142,518 | ||||||||||||
Road & Rail — 0.4% | ||||||||||||
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 09/25/25 | 865 | 864,392 | ||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.62%, 08/04/25 | 1,382 | 1,308,294 | ||||||||||
|
| |||||||||||
2,172,686 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/19/26 | — | (k) | 31 | |||||||||
|
| |||||||||||
Software — 15.3% | ||||||||||||
2U, Inc., Term Loan, 11/30/24(l) | 1,277 | 1,254,652 | ||||||||||
Applied Systems, Inc. | ||||||||||||
2017 1st Lien Term Loan, (PRIME + 2.25%), 3.77%, 09/19/24 | 437 | 435,564 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%, 0.75% Floor), 6.25%, 09/19/25 | 630 | 637,245 | ||||||||||
Barracuda Networks, Inc. | ||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 | 3,166 | 3,172,720 | ||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28 | 771 | 784,014 | ||||||||||
By Crown Parent LLC, Term Loan B1, | 1,992 | 1,989,760 | ||||||||||
Cloudera, Inc., Term Loan B, | 866 | 864,843 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.34%, 04/22/27 | 895 | 894,205 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 | 1,340 | 1,339,619 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.43%, 05/27/24 | 569 | 545,241 | ||||||||||
DTI Holdco, Inc., 2018 Term Loan B, | 449 | 433,285 |
34 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
E2open LLC, 2020 Term Loan B, 10/29/27(l) | USD | 253 | $ | 253,000 | ||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 8.75%, 07/31/28 | 1,886 | 1,946,126 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (6 mo. LIBOR + 3.75%), 3.90%, 03/11/28 | 1,887 | 1,886,072 | ||||||||||
Informatica LLC | ||||||||||||
2020 USD 2nd Lien Term Loan, (Fixed + 7.12%), 7.13%, 02/25/25 | 1,914 | 1,952,280 | ||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 02/25/27 | 6,563 | 6,517,706 | ||||||||||
Magenta Buyer LLC(l) | ||||||||||||
2021 USD 1st Lien Term Loan, 05/03/28 | 4,076 | 4,071,924 | ||||||||||
2021 USD 2nd Lien Term Loan, | 2,132 | 2,105,350 | ||||||||||
McAfee LLC, 2018 USD Term Loan B, | 870 | 869,520 | ||||||||||
MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26 | 766 | 766,210 | ||||||||||
Mitchell International, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 11/29/24 | 440 | 435,366 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.35%, 12/01/25 | 1,218 | 1,216,264 | ||||||||||
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 | 1,826 | 1,832,062 | ||||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 | 1,304 | 1,306,757 | ||||||||||
Planview Parent, Inc. | ||||||||||||
2nd Lien Term Loan, (1 Week LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/17/28 | 824 | 819,880 | ||||||||||
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 | 1,913 | 1,914,546 | ||||||||||
Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.11%, 04/26/24 | 1,360 | 1,361,131 | ||||||||||
Proof Point, Inc.(l) | ||||||||||||
1st Lien Term Loan, 06/09/28 | 2,453 | 2,437,988 | ||||||||||
2nd Lien Term Loan, 06/08/29 | 1,281 | 1,292,209 | ||||||||||
RealPage, Inc. | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/22/28 | 5,445 | 5,426,125 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 7.25%, 04/22/29 | 2,629 | 2,704,671 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.34%, 05/30/25 | 586 | 579,826 | ||||||||||
Sabre GLBL, Inc., 2020 Term Loan B, | 982 | 986,975 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 3.33%, 08/01/25 | 3,522 | 3,497,624 | ||||||||||
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 | 4,554 | 4,555,071 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25 | USD | 357 | $ | 352,386 | ||||||||
SS&C Technologies, Inc. | ||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25 | 470 | 464,122 | ||||||||||
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25 | 1,739 | 1,717,873 | ||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 | 6,082 | 6,088,758 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.36%, 03/04/28 | 2,577 | 2,612,250 | ||||||||||
Ultimate Software Group, Inc. | ||||||||||||
2020 2nd Lien Incremental Term Loan, | 1,767 | 1,794,972 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 05/03/26 | 3,853 | 3,855,402 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/03/26 | 3,478 | 3,478,178 | ||||||||||
|
| |||||||||||
83,449,772 | ||||||||||||
Specialty Retail — 3.7% | ||||||||||||
Belron Finance US LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25 | 1,998 | 1,985,289 | ||||||||||
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26 | 1,146 | 1,137,319 | ||||||||||
EG Group Ltd., 2021 Term Loan, 03/31/26(l) | 506 | 506,000 | ||||||||||
Eyemart Express LLC, 2020 2nd Lien Term Loan, 08/04/25(l) | 1,241 | 1,235,122 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/04/28 | 2,684 | 2,690,710 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, | 1,866 | 1,864,950 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, | 5,228 | 5,229,307 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 | 1,433 | 1,413,224 | ||||||||||
Sotheby’s, Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 01/15/27 | 3,055 | 3,069,289 | ||||||||||
Woof Holdings, Inc., 1st Lien Term Loan, | 490 | 489,366 | ||||||||||
WOOF Holdings, Inc., 2nd Lien Term Loan, | 495 | 499,950 | ||||||||||
|
| |||||||||||
20,120,526 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.4% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, | 1,604 | 1,525,269 | ||||||||||
Western Digital Corp., 2018 Term Loan B4, | 659 | 658,568 | ||||||||||
|
| |||||||||||
2,183,837 |
SCHEDULE OF INVESTMENTS | 35 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||||||
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.75%, 05/23/25 | USD | 653 | $ | 653,540 | ||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.6% | ||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 04/23/28 | 1,233 | 1,225,690 | ||||||||||
Foundation Building Materials Holding Company LLC, 2021 Term Loan, | 1,364 | 1,354,213 | ||||||||||
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.92%, 04/01/28 | 604 | 605,836 | ||||||||||
|
| |||||||||||
3,185,739 | ||||||||||||
Wireless Telecommunication Services — 1.5% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/30/28 | 978 | 975,772 | ||||||||||
Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.50%, 05/26/28 | 567 | 566,699 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.86%, 04/11/25 | 3,353 | 3,321,096 | ||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.85%, 06/10/27 | 3,184 | 3,183,299 | ||||||||||
|
| |||||||||||
8,046,866 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 125.8% |
| 686,593,205 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies |
| |||||||||||
Equity Funds — 0.1% | ||||||||||||
SPDR S&P Oil & Gas Exploration & Production ETF | 4,875 | 471,364 | ||||||||||
|
| |||||||||||
Fixed Income Funds — 1.8% | ||||||||||||
Invesco Senior Loan ETF | 45,000 | 996,750 | ||||||||||
iShares iBoxx $High Yield Corporate Bond ETF(m) | 42,000 | 3,697,680 | ||||||||||
iShares iBoxx $Investment Grade Corporate Bond ETF(m) | 39,000 | 5,240,040 | ||||||||||
|
| |||||||||||
9,934,470 | ||||||||||||
|
| |||||||||||
Total Investment Companies — 1.9% |
| 10,405,834 | ||||||||||
|
|
Security | Benefical Interest (000) | Value | ||||||||||
Other Interests(n) |
| |||||||||||
IT Services — 0.0% | ||||||||||||
Millennium Corp. | USD | 1,156 | $ | — | ||||||||
Millennium Lender Claims | 1,084 | — | ||||||||||
|
| |||||||||||
Total Other Interests — 0.0% |
| — | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Preferred Securities |
| |||||||||||
Capital Trusts — 0.5%(g) | ||||||||||||
Automobiles — 0.0% | ||||||||||||
General Motors Financial Co., Inc., Series C, 5.70%(f) | USD | 50 | 56,000 | |||||||||
|
| |||||||||||
Banks — 0.1% | ||||||||||||
CaixaBank SA, 6.38%(f) | EUR | 200 | 258,773 | |||||||||
Stichting AK Rabobank Certificaten, 2.19% | 10 | 16,434 | ||||||||||
Wells Fargo & Co., Series U, 5.88%(f) | USD | 193 | 216,143 | |||||||||
|
| |||||||||||
491,350 | ||||||||||||
Diversified Financial Services(f) — 0.4% | ||||||||||||
Bank of America Corp. | ||||||||||||
Series AA, 6.10% | 9 | 10,106 | ||||||||||
Series X, 6.25% | 222 | 245,587 | ||||||||||
HSBC Holdings PLC, 6.00% | 600 | 666,000 | ||||||||||
JPMorgan Chase & Co. | ||||||||||||
Series FF, 5.00% | 765 | 808,567 | ||||||||||
Series HH, 4.60% | 166 | 172,026 | ||||||||||
Natwest Group PLC, 8.63% | 246 | 247,776 | ||||||||||
|
| |||||||||||
2,150,062 | ||||||||||||
Utilities — 0.0% | ||||||||||||
Electricite de France SA, 3.38%(f) | EUR | 200 | 247,526 | |||||||||
|
| |||||||||||
Total Capital Trusts — 0.5% |
| 2,944,938 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 0.1% | ||||||||||||
Capital Markets — 0.1% | ||||||||||||
Goldman Sachs Group, Inc., Series J, 5.50%(f)(g) | 13,550 | 371,270 | ||||||||||
|
| |||||||||||
Insurance — 0.0% | ||||||||||||
Alliant Holdings, Inc.(b) | 83 | 81,339 | ||||||||||
|
| |||||||||||
Total Preferred Stocks — 0.1% |
| 452,609 | ||||||||||
|
| |||||||||||
Total Preferred Securities — 0.6% |
| 3,397,547 | ||||||||||
|
| |||||||||||
Warrants |
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Ameriforge Group, Inc. (Expires 06/08/22)(a) | 5,283 | — | ||||||||||
|
|
36 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||
California Resources Corp. | 1,152 | $ | 8,847 | |||||
|
| |||||||
Transportation Infrastructure — 0.0% | ||||||||
Turbo Cayman Ltd. (Strike Price $0.01)(a)(b) | 1 | — | ||||||
|
| |||||||
Total Warrants — 0.0% |
| 8,847 | ||||||
|
| |||||||
Total Long-Term Investments — 149.9% |
| 818,383,090 | ||||||
|
| |||||||
Short-Term Securities |
| |||||||
Money Market Funds — 0.1% | ||||||||
BlackRock Liquidity Funds, T-Fund, | 821,890 | 821,890 | ||||||
|
| |||||||
Total Short-Term Securities — 0.1% |
| 821,890 | ||||||
|
| |||||||
Total Investments — 150.0% |
| 819,204,980 | ||||||
Liabilities in Excess of Other Assets — (50.0)% |
| (273,136,413 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 546,068,567 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $143,374, representing less than 0.05% of its net assets as of period end, and an original cost of $32,685. |
(d) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(e) | Issuer filed for bankruptcy and/or is in default. |
(f) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(g) | Perpetual security with no stated maturity date. |
(h) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(i) | When-issued security. |
(j) | Convertible security. |
(k) | Amount is less than 500. |
(l) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(m) | Affiliate of the Fund. |
(n) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(o) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/20 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/21 | Shares Held at 06/30/21 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | — | $ | 821,890 | (a) | $ | — | $ | — | $ | — | $ | 821,890 | 821,890 | $ | 117 | $ | — | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 5,412,600 | — | (1,738,551 | ) | 93,493 | (69,862 | ) | 3,697,680 | 42,000 | 81,520 | — | |||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 5,387,070 | — | — | — | (147,030 | ) | 5,240,040 | 39,000 | 50,786 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 93,493 | $ | (216,892 | ) | $ | 9,759,610 | $ | 132,423 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
| USD | 2,269,282 | EUR | 1,872,000 | BNP Paribas S.A. | 09/15/21 | $ | 46,179 | ||||||||||||||
USD | 2,951,763 | EUR | 2,435,000 | BNP Paribas S.A. | 09/15/21 | 60,067 | ||||||||||||||||
USD | 2,037,976 | GBP | 1,442,000 | BNP Paribas S.A. | 09/15/21 | 42,925 | ||||||||||||||||
USD | 446,985 | GBP | 317,000 | Morgan Stanley & Co. International PLC | 09/15/21 | 8,406 | ||||||||||||||||
|
| |||||||||||||||||||||
$ | 157,577 | |||||||||||||||||||||
|
|
SCHEDULE OF INVESTMENTS | 37 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
OTC Credit Default Swaps — Sell Protection
Reference Obligation/Index | | Financing Rate Received by the Fund | | | Payment Frequency |
| Counterparty | | Termination Date | | | Credit Rating | (a) | | Notional Amount (000) | (b) | Value | | Upfront Premium Paid (Received) |
| | Unrealized Appreciation (Depreciation) | | |||||||||||||||||
CenturyLink, Inc. | 1.00 | % | Quarterly | Barclays Bank PLC | 12/20/23 | NR | USD 170 | $ | (2,661 | ) | $ | (6,705 | ) | $ | 4,044 | |||||||||||||||||||||||||
CenturyLink, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/25 | NR | USD 185 | (9,421 | ) | (20,336 | ) | 10,915 | |||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | (12,082 | ) | $ | (27,041 | ) | $ | 14,959 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||
OTC Swaps | $ | — | $ | (27,041 | ) | $ | 14,959 | $ | — |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 157,577 | $ | — | $ | — | $ | 157,577 | ||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 14,959 | — | — | — | — | 14,959 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 14,959 | $ | — | $ | 157,577 | $ | — | $ | — | $ | 172,536 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | $ | — | $ | 27,041 | $ | — | $ | — | $ | — | $ | — | $ | 27,041 | ||||||||||||||
|
|
|
|
|
|
|
| �� |
|
|
|
|
|
For the six months ended June 30, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 2,340 | $ | — | $ | 2,340 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (171,312 | ) | — | — | (171,312 | ) | |||||||||||||||||||
Swaps | — | 5,416 | — | — | — | — | 5,416 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 5,416 | $ | — | $ | (171,312 | ) | $ | 2,340 | $ | — | $ | (163,556 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 360,269 | $ | — | $ | — | $ | 360,269 | ||||||||||||||
Swaps | — | 1,440 | — | — | — | — | 1,440 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 1,440 | $ | — | $ | 360,269 | $ | — | $ | — | $ | 361,709 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — short | $ | 0 | (a) | |
Forward foreign currency exchange contracts | ||||
Average amounts purchased — in USD | $ | 7,699,925 | ||
Credit default swaps | ||||
Average notional value — sell protection | $ | 355,000 |
(a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Forward foreign currency exchange contracts | $ | 157,577 | $ | — | ||||
Swaps — OTC(a) | 14,959 | 27,041 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 172,536 | 27,041 | ||||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | — | ||||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 172,536 | $ | 27,041 | ||||
|
|
|
|
(a) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:
Counterparty | | Derivative Assets Subject to an MNA by |
| | Derivatives Available for Offset | (a) | | Non-Cash Collateral Received | | | Cash Collateral Received | | | Net Amount of Derivative Assets | (b) | |||||
Barclays Bank PLC | $ | 14,959 | $ | (14,959 | ) | $ | — | $ | — | $ | — | |||||||||
BNP Paribas S.A | 149,171 | — | — | — | 149,171 | |||||||||||||||
Morgan Stanley & Co. International PLC | 8,406 | — | — | — | 8,406 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 172,536 | $ | (14,959 | ) | $ | — | $ | — | $ | 157,577 | ||||||||||
|
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||
Counterparty | | Derivative Liabilities Subject to an MNA by | | | Derivatives Available for Offset | (a) | | Non-Cash Collateral Pledged | | | Cash Collateral Pledged | (c) | | Net Amount of Derivative Liabilities | | |||||||||
| ||||||||||||||||||||||||
| Barclays Bank PLC | $ | 27,041 | $ | (14,959 | ) | $ | — | $ | (12,082 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
SCHEDULE OF INVESTMENTS | 39 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| ||||||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 167,378 | $ | — | $ | 167,378 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | 69,327 | — | — | 69,327 | ||||||||||||
Diversified Financial Services | — | — | 10,753 | 10,753 | ||||||||||||
Energy Equipment & Services | — | — | 11,973 | 11,973 | ||||||||||||
Metals & Mining | — | 36,608 | 1,385 | 37,993 | ||||||||||||
Oil, Gas & Consumable Fuels | 915,718 | 143,374 | — | 1,059,092 | ||||||||||||
Semiconductors & Semiconductor Equipment | 54,443 | — | — | 54,443 | ||||||||||||
Software | 1,076 | — | — | 1,076 | ||||||||||||
Specialty Retail | — | 184,133 | — | 184,133 | ||||||||||||
Corporate Bonds | — | 115,796,696 | 584,793 | 116,381,489 | ||||||||||||
Floating Rate Loan Interests | — | 655,015,542 | 31,577,663 | 686,593,205 | ||||||||||||
Investment Companies | 10,405,834 | — | — | 10,405,834 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 2,944,938 | — | 2,944,938 | ||||||||||||
Preferred Stocks | 371,270 | — | 81,339 | 452,609 | ||||||||||||
Warrants | 8,847 | — | — | 8,847 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 821,890 | — | — | 821,890 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | 254 | — | 254 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (521 | ) | — | (521 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 12,648,405 | $ | 774,288,402 | $ | 32,267,906 | $ | 819,204,713 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 14,959 | $ | — | $ | 14,959 | ||||||||
Foreign Currency Exchange Contracts | — | 157,577 | — | 157,577 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | 172,536 | $ | — | $ | 172,536 | |||||||||
|
|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $238,000,000 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| ||||||||||||||||||||||||||||
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Preferred Stocks | Warrants | Total | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Opening balance, as of December 31, 2020 | $ | 64,033 | $ | 387,813 | $ | 30,751,870 | $ | — | (a) | $ | 81,671 | $ | — | (a) | $ | 31,285,387 | ||||||||||||
Transfers into Level 3(b) | — | — | 3,950,796 | — | — | — | 3,950,796 | |||||||||||||||||||||
Transfers out of Level 3(c) | — | — | (15,669,520 | ) | — | (a) | — | — | (a) | (15,669,520 | ) | |||||||||||||||||
Accrued discounts/premiums | — | 11,320 | 20,185 | — | — | — | 31,505 | |||||||||||||||||||||
Net realized gain (loss) | — | 1,151 | 47,881 | — | — | — | 49,032 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation)(d)(e) | (39,922 | ) | 187,961 | 381,392 | — | (332 | ) | — | 529,099 |
40 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Debt Strategies Fund, Inc. (DSU) |
| ||||||||||||||||||||||||||||
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Preferred Stocks | Warrants | Total | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Purchases | $ | — | $ | 10,262 | $ | 17,217,502 | $ | — | $ | — | $ | — | $ | 17,227,764 | ||||||||||||||
Sales | — | (13,714 | ) | (5,122,443 | ) | — | — | — | (5,136,157 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Closing balance, as of June 30, 2021 | $ | 24,111 | $ | 584,793 | $ | 31,577,663 | $ | — | $ | 81,339 | $ | — | (a) | $ | 32,267,906 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021(d) | $ | (39,922 | ) | $ | 187,961 | $ | 428,616 | $ | — | $ | (332 | ) | $ | — | $ | 576,323 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Rounds to less than $1. |
(b) | As of December 31, 2020, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2021, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
SCHEDULE OF INVESTMENTS | 41 |
Schedule of Investments (unaudited) June 30, 2021 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Shares |
Value | ||||||||||
Common Stocks | ||||||||||||
Construction & Engineering — 0.0% | ||||||||||||
McDermott International Ltd.(a) | 123,933 | $ | 60,727 | |||||||||
|
| |||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Kcad Holdings I Ltd.(a)(b) | 309,827,230 | 3,098 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
Pioneer Energy Services Corp.(a)(b) | 887 | 13,128 | ||||||||||
|
| |||||||||||
Media — 0.1% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.(a) | 114,650 | 302,676 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Preferred Proppants LLC(a)(b) | 12,198 | 1,159 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
California Resources Corp.(a) | 2,027 | 61,094 | ||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment(a) — 0.0% | ||||||||||||
Maxeon Solar Technologies Ltd. | 232 | 4,972 | ||||||||||
SunPower Corp. | 1,860 | 54,349 | ||||||||||
|
| |||||||||||
59,321 | ||||||||||||
Software — 0.0% | ||||||||||||
Avaya Holdings Corp.(a) | 66 | 1,775 | ||||||||||
|
| |||||||||||
Specialty Retail — 0.1% | ||||||||||||
NMG Parent LLC(a) | 3,613 | 450,422 | ||||||||||
|
| |||||||||||
Total Common Stocks — 0.2% |
| 953,400 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Corporate Bonds | ||||||||||||
Airlines(c) — 0.4% | ||||||||||||
Allegiant Travel Co., 8.50%, 02/05/24 | USD | 1,195 | 1,300,674 | |||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 04/20/26 | 563 | 596,076 | ||||||||||
|
| |||||||||||
1,896,750 | ||||||||||||
Auto Components — 0.1% | ||||||||||||
Clarios Global LP, 6.75%, 05/15/25(c) | 446 | 474,981 | ||||||||||
|
| |||||||||||
Automobiles — 0.0% | ||||||||||||
AutoNation, Inc., 4.75%, 06/01/30 | 141 | 166,761 | ||||||||||
|
| |||||||||||
Beverages — 0.1% | ||||||||||||
Triton Water Holdings, Inc., 6.25%, 04/01/29(c) | 410 | 411,025 | ||||||||||
|
| |||||||||||
Building Materials — 0.0% | ||||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(c) | 118 | 125,367 | ||||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., | 51 | 56,866 | ||||||||||
|
|
Security | Par (000) | Value | ||||||||||
Construction Materials — 0.2% | ||||||||||||
Wolverine Escrow LLC, 9.00%, 11/15/26(c) | USD | 1,039 | $ | 1,013,025 | ||||||||
|
| |||||||||||
Consumer Finance — 0.1% | ||||||||||||
PayPal Holdings, Inc., 1.65%, 06/01/25 | 424 | 435,151 | ||||||||||
|
| |||||||||||
Diversified Telecommunication Services(c) — 0.4% | ||||||||||||
Zayo Group Holdings, Inc. | ||||||||||||
4.00%, 03/01/27 | 1,969 | 1,955,453 | ||||||||||
6.13%, 03/01/28 | 251 | 256,334 | ||||||||||
|
| |||||||||||
2,211,787 | ||||||||||||
Electric Utilities — 0.0% | ||||||||||||
Pike Corp., 5.50%, 09/01/28(c) | 144 | 149,760 | ||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., | 1,710 | — | ||||||||||
|
| |||||||||||
149,760 | ||||||||||||
Energy Equipment & Services(b)(c)(e) — 0.1% | ||||||||||||
Pioneer Energy Services Corp. | ||||||||||||
(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25 | 351 | 353,069 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25(f) | 260 | 288,666 | ||||||||||
|
| |||||||||||
641,735 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(c) | 138 | 147,435 | ||||||||||
|
| |||||||||||
Hotels, Restaurants & Leisure — 0.1% | ||||||||||||
Marriott International, Inc., Series EE, 5.75%, 05/01/25 | 376 | 434,017 | ||||||||||
|
| |||||||||||
Internet Software & Services — 0.1% | ||||||||||||
Expedia Group, Inc., 6.25%, 05/01/25(c) | 337 | 392,017 | ||||||||||
|
| |||||||||||
Machinery(c) — 0.4% | ||||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(e) | 905 | 981,925 | ||||||||||
Madison IAQ LLC, 5.88%, 06/30/29 | 809 | 823,158 | ||||||||||
|
| |||||||||||
1,805,083 | ||||||||||||
Media(c) — 0.3% | ||||||||||||
Liberty Broadband Corp., 2.75%, 09/30/50(f) | 513 | 538,608 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(e) | 193 | 190,672 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 | 573 | 593,055 | ||||||||||
|
| |||||||||||
1,322,335 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
eG Global Finance PLC, 8.50%, 10/30/25(c) | 284 | 299,860 | ||||||||||
|
| |||||||||||
Semiconductors & Semiconductor Equipment — 0.0% | ||||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(c) | 75 | 78,881 | ||||||||||
|
|
42 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software — 0.1% | ||||||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26(c) | USD | 264 | $ | 276,540 | ||||||||
|
| |||||||||||
Total Corporate Bonds — 2.5% | 12,339,376 | |||||||||||
|
| |||||||||||
Floating Rate Loan Interests(g) |
| |||||||||||
Aerospace & Defense — 4.9% | ||||||||||||
Atlas CC Acquisition Corp | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 04/28/28 | 6,378 | 6,393,770 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 6.00%, 05/25/28 | 1,297 | 1,300,428 | ||||||||||
Bleriot US Bidco, Inc., 2021 Term Loan B, | 718 | 718,042 | ||||||||||
Dynasty Acquisition Co., Inc. | ||||||||||||
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.65%, 04/06/26 | 518 | 504,209 | ||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.65%, 04/06/26 | 964 | 937,829 | ||||||||||
Nordam Group, Inc., Term Loan B, | 776 | 745,113 | ||||||||||
Peraton Holding Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 0.75%, 0.75% Floor), | 2,265 | 2,310,300 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/01/28 | 6,884 | 6,898,753 | ||||||||||
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 | 1,000 | 1,005,395 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, | 3,199 | 3,149,339 | ||||||||||
|
| |||||||||||
23,963,178 | ||||||||||||
Air Freight & Logistics — 0.8% | ||||||||||||
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/06/28 | 479 | 478,253 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, | 3,463 | 3,393,500 | ||||||||||
|
| |||||||||||
3,871,753 | ||||||||||||
Airlines — 2.3% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | 1,276 | 1,329,273 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, | 388 | 370,876 | ||||||||||
2017 Incremental Term Loan, | 1,967 | 1,917,994 | ||||||||||
Repriced TL B due 2023, | 1,222 | 1,190,758 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 | 2,394 | 2,554,781 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, | 3,745 | 3,790,374 | ||||||||||
|
| |||||||||||
11,154,056 |
Security | Par (000) | Value | ||||||||||
Auto Components — 2.9% | ||||||||||||
Adient US LLC, 2021 Term Loan B, | USD | 825 | $ | 824,744 | ||||||||
Clarios Global LP, 2021 USD Term Loan B, | 4,611 | 4,565,256 | ||||||||||
Truck Hero, Inc., 2021 Term Loan B, | 2,519 | 2,517,428 | ||||||||||
USI, Inc. | ||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.15%, 05/16/24 | 3,789 | 3,751,986 | ||||||||||
2019 Incremental Term Loan B, | 217 | 214,574 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, | 2,612 | 2,578,649 | ||||||||||
|
| |||||||||||
14,452,637 | ||||||||||||
Automobiles — 0.2% | ||||||||||||
MajorDrive Holdings IV LLC, Term Loan B, | 818 | 818,254 | ||||||||||
|
| |||||||||||
Building Materials — 0.1% | ||||||||||||
CHI Overhead Doors, Inc, Term Loan, | 183 | 182,620 | ||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/12/28 | 442 | 441,824 | ||||||||||
|
| |||||||||||
624,444 | ||||||||||||
Building Products — 1.8% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, | 2,473 | 2,464,815 | ||||||||||
CPG International, Inc., 2017 Term Loan, | 1,735 | 1,732,322 | ||||||||||
LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 4.25%), 4.25%, 04/12/28 | EUR | 1,000 | 1,180,070 | |||||||||
MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | USD | 534 | 534,652 | |||||||||
Wilsonart LLC, 2021 Term Loan E, | 3,210 | 3,208,602 | ||||||||||
|
| |||||||||||
9,120,461 | ||||||||||||
Capital Markets — 2.6% | ||||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 4.75%, 04/09/27 | 5,843 | 5,864,890 | ||||||||||
2021 USD 2nd Lien Term Loan, | 1,806 | 1,846,635 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 11/12/27 | 1,425 | 1,423,501 | ||||||||||
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 06/27/25 | 828 | 824,628 | ||||||||||
Focus Financial Partners LLC(h) | ||||||||||||
2021 Delayed Draw Term Loan, 06/24/28 | 280 | 278,628 | ||||||||||
2021 Term Loan, 06/24/28 | 1,212 | 1,207,392 | ||||||||||
Greenhill & Co., Inc., Term Loan B, | 1,320 | 1,315,401 | ||||||||||
|
| |||||||||||
12,761,075 | ||||||||||||
Chemicals — 6.1% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 08/27/26 | 2,553 | 2,586,961 |
SCHEDULE OF INVESTMENTS | 43 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Atotech BV, 2021 USD Term Loan B, | USD | 3,497 | $ | 3,477,347 | ||||||||
Axalta Coating Systems US Holdings Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.90%, 06/01/24 | 1,848 | 1,835,703 | ||||||||||
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, | 1,157 | 1,145,454 | ||||||||||
Element Solutions, Inc., 2021 Term Loan B, 01/31/26(h) | 2,016 | 2,012,230 | ||||||||||
Encapsys LLC, 2020 Term Loan B2, | 1,239 | 1,236,951 | ||||||||||
Illuminate Buyer LLC, 2021 Term Loan, | 1,485 | 1,475,453 | ||||||||||
Invictus US LLC | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/28/25 | 769 | 767,425 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.85%, 03/30/26 | 861 | 860,881 | ||||||||||
Klockner-Pentaplast of America, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.50% Floor), 5.25%, 02/09/26(b) | 1,285 | 1,291,204 | ||||||||||
Lonza Group AG, USD Term Loan B, | 1,044 | 1,044,564 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.65%, 03/02/26 | 2,585 | 2,565,576 | ||||||||||
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b) | 431 | 431,394 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24 | 1,729 | 1,716,574 | ||||||||||
NIC Acquisition Corp., Term Loan, | 739 | 737,070 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.50%), 3.63%, 10/14/24 | 1,748 | 1,737,483 | ||||||||||
PQ Corp., 2021 Term Loan B, 05/26/28(h) | 1,756 | 1,754,543 | ||||||||||
Pregis TopCo Corp., 2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 08/01/26 | 710 | 709,743 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 | 1,299 | 1,304,174 | ||||||||||
Sparta US Holdco LLC, 2021 Term Loan, 2021 Term Loan, 05/04/28(h) | 1,162 | 1,162,360 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (PRIME + 1.75%), 3.13%, 10/01/25 | 199 | 197,231 | ||||||||||
|
| |||||||||||
30,050,321 | ||||||||||||
Commercial Services & Supplies — 5.0% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 05/12/28 | 3,791 | 3,800,361 | ||||||||||
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 03/11/25 | 155 | 152,922 | ||||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/23 | 2,382 | 2,368,414 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24 | 1,145 | 1,132,078 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26 | 797 | 788,106 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Asurion LLC (continued) | ||||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 5.35%, 01/31/28 | USD | 1,117 | $ | 1,124,645 | ||||||||
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26 | 1,980 | 1,971,628 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25 | 2,577 | 2,576,048 | ||||||||||
Diamond (BC) BV, USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 09/06/24 | 1,648 | 1,637,658 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, | 538 | 533,863 | ||||||||||
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 | 424 | 379,136 | ||||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26 | 990 | 975,254 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, | 1,766 | 1,757,110 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 09/23/26 | 1,957 | 1,955,050 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, | 3,516 | 3,521,654 | ||||||||||
|
| |||||||||||
24,673,927 | ||||||||||||
Communications Equipment — 0.2% | ||||||||||||
Avantor Funding, Inc., USD Term Loan B3, | 751 | 750,284 | ||||||||||
|
| |||||||||||
Construction & Engineering — 2.1% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | 4,066 | 3,997,040 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, | 1,045 | 1,042,167 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, | 3,427 | 3,423,196 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, | 1,774 | 1,769,124 | ||||||||||
|
| |||||||||||
10,231,527 | ||||||||||||
Construction Materials — 2.6% | ||||||||||||
Core & Main LP | ||||||||||||
2017 Term Loan B, (3 mo. LIBOR + 2.00%, 1.00% Floor), 3.75%, 08/01/24 | 2,468 | 2,464,493 | ||||||||||
2021 Term Loan B, 06/09/28(h) | 4,655 | 4,622,847 | ||||||||||
Filtration Group Corp. | ||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25 | 2,416 | 2,394,991 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 | 1,215 | 1,214,820 | ||||||||||
Forterra Finance LLC, 2017 Term Loan B, | 1,144 | 1,143,699 | ||||||||||
Tamko Building Products, Inc., Term Loan B, | 880 | 877,022 | ||||||||||
|
| |||||||||||
12,717,872 | ||||||||||||
Containers & Packaging — 2.0% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, | 2,404 | 2,344,885 |
44 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
Charter NEX US, Inc., 2021 Term Loan, | USD | 4,201 | $ | 4,206,350 | ||||||||
Flex Acquisition Co., Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 03/02/28 | 2,056 | 2,045,856 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, | 625 | 624,354 | ||||||||||
Tosca Services LLC, 2021 Term Loan, | 826 | 824,818 | ||||||||||
|
| |||||||||||
10,046,263 | ||||||||||||
Distributors — 1.0% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/27 | 1,484 | 1,472,351 | ||||||||||
TMK Hawk Parent Corp. | ||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 2.25%, 1.00% Floor), 10.50%, 05/30/24(b) | 944 | 925,254 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24 | 3,096 | 2,750,820 | ||||||||||
|
| |||||||||||
5,148,425 | ||||||||||||
Diversified Consumer Services — 2.4% | ||||||||||||
Ascend Learning LLC | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 | 494 | 493,458 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 | 1,019 | 1,019,297 | ||||||||||
Bright Horizons Family Solutions LLC, 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 1.00% Floor), 2.50%, 11/07/23 | 1,857 | 1,848,988 | ||||||||||
Frontdoor, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.25%), 2.35%, 05/20/28 | 734 | 734,000 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 3.85%, 07/11/25 | 2,583 | 2,531,376 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 12/22/25 | 1,682 | 1,638,175 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.32%, 05/15/24 | 1,130 | 1,124,073 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, | 768 | 769,273 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||
2020 Super Priority First Out Term Loan, | 472 | 476,781 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 | 738 | 703,055 | ||||||||||
Voyage Australia Property Ltd., USD Term Loan B, 06/16/28(b)(h) | 748 | 748,000 | ||||||||||
|
| |||||||||||
12,086,476 | ||||||||||||
Diversified Financial Services — 8.9% | ||||||||||||
Advisor Group, Inc., 2021 Term Loan, | 1,408 | 1,410,195 | ||||||||||
Alchemy Copyrights LLC, Term Loan B, | 857 | 855,468 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
AlixPartners LLP, 2021 USD Term Loan B, | USD | 2,467 | $ | 2,455,519 | ||||||||
AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, 05/04/29(b)(h) | 2,528 | 2,502,720 | ||||||||||
AQGEN Island Holdings, Inc., Term Loan, 05/20/28(h) | 2,827 | 2,818,180 | ||||||||||
Belron Finance US LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 04/13/28 | 3,043 | 3,036,770 | ||||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28 | 670 | 677,538 | ||||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/01/27 | 3,680 | 3,686,918 | ||||||||||
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.15%, 02/07/25 | 918 | 910,675 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 02/16/28 | 857 | 859,330 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.50%, 07/03/24 | 1,699 | 1,688,811 | ||||||||||
LBM Acquisition LLC | ||||||||||||
2021 Incremental Delayed Draw Term Loan B2, 12/17/27(h) | 417 | 413,351 | ||||||||||
2021 Incremental Term Loan B2, 12/17/27(h) | 834 | 826,703 | ||||||||||
Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 142 | 140,997 | ||||||||||
Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 959 | 951,728 | ||||||||||
LEB Holdings (USA), Inc, Term Loan B, | 1,022 | 1,023,207 | ||||||||||
Milano Acquisition Corp., Term Loan B, | 5,659 | 5,672,122 | ||||||||||
RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 02/08/28(b) | 936 | 937,994 | ||||||||||
SMG US Midco 2, Inc., 2020 Term Loan, | 425 | 410,038 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.40%, 07/30/25 | 510 | 491,360 | ||||||||||
Therma Intermediate LLC, 2020 Term Loan, | 703 | 703,272 | ||||||||||
Veritas US, Inc., 2021 USD Term Loan B, | 7,259 | 7,297,593 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27 | 1,489 | 1,482,135 | ||||||||||
White Cap Buyer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 10/19/27 | 1,248 | 1,249,290 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.57%, 04/30/28 | 1,617 | 1,599,035 | ||||||||||
|
| |||||||||||
44,100,949 | ||||||||||||
Diversified Telecommunication Services — 2.9% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, | 575 | 575,110 | ||||||||||
Consolidated Communications, Inc., 2021 Term | ||||||||||||
Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 10/02/27 | 808 | 808,549 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 05/01/28 | 2,012 | 2,012,419 |
SCHEDULE OF INVESTMENTS | 45 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
GCI LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 10/15/25 | USD | 1,238 | $ | 1,234,553 | ||||||||
Intelsat Jackson Holdings SA | ||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | 395 | 400,597 | ||||||||||
2020 DIP Term Loan, (PRIME + 4.75%, 1.00% Floor), 6.50%, 07/13/22 | 137 | 137,546 | ||||||||||
Iridium Satellite LLC, 2021 Term Loan B, | 1,752 | 1,753,672 | ||||||||||
Level 3 Financing, Inc., 2019 Term Loan B, | 1,931 | 1,900,069 | ||||||||||
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 . | 2,298 | 2,295,904 | ||||||||||
Orbcomm, Inc., Term Loan B, 06/17/28(h) | 736 | 734,160 | ||||||||||
TDC A/S, EUR Term Loan, | EUR | 819 | 964,960 | |||||||||
Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.31%, 01/15/27 | GBP | 1,000 | 1,362,703 | |||||||||
|
| |||||||||||
14,180,242 | ||||||||||||
Electric Utilities — 1.2% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, | USD | 1,330 | 1,329,268 | |||||||||
Triton Water Holdings, Inc, Term Loan, (3 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 03/31/28 | 4,543 | 4,536,685 | ||||||||||
|
| |||||||||||
5,865,953 | ||||||||||||
Electrical Equipment — 0.7% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, 06/23/28(h) | 869 | 869,548 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 03/31/27 | 2,456 | 2,449,309 | ||||||||||
|
| |||||||||||
3,318,857 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 02/12/25 | 674 | 673,890 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.1% | ||||||||||||
Dell International LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%, 0.25% Floor), 2.00%, 09/19/25 | 582 | 581,211 | ||||||||||
|
| |||||||||||
Entertainment — 0.4% | ||||||||||||
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b) | 1,980 | 2,039,451 | ||||||||||
|
| |||||||||||
Environmental, Maintenance, & Security Service — 0.7% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27 | 1,998 | 1,990,131 | ||||||||||
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 | 1,230 | 1,234,164 | ||||||||||
|
| |||||||||||
3,224,295 |
Security | Par (000) | Value | ||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.6% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/11/24 | USD | 727 | $ | 717,971 | ||||||||
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.84%, 12/20/24 | 2,489 | 2,467,429 | ||||||||||
|
| |||||||||||
3,185,400 | ||||||||||||
Food & Staples Retailing — 1.0% | ||||||||||||
H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25 | 742 | 739,756 | ||||||||||
Hearthside Food Solutions LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.79%, 05/23/25 | 836 | 830,131 | ||||||||||
2020 Incremental Term Loan B3, | 165 | 165,124 | ||||||||||
US Foods, Inc. | ||||||||||||
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 06/27/23 | 2,362 | 2,337,248 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26 | 644 | 633,493 | ||||||||||
|
| |||||||||||
4,705,752 | ||||||||||||
Food Products — 2.7% | ||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.59%, 10/01/25 | 1,088 | 1,083,383 | ||||||||||
B&G Foods, Inc., 2019 Term Loan B4, | 415 | 414,905 | ||||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 | 3,109 | 3,114,695 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27 | 3,605 | 3,548,634 | ||||||||||
JBS USA LUX SA, 2019 Term Loan B, | 514 | 511,659 | ||||||||||
Reynolds Group Holdings, Inc. | ||||||||||||
2017 Term Loan, (1 mo. LIBOR + 2.75%), | 1,912 | 1,907,202 | ||||||||||
2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26 | 408 | 404,649 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 06/08/28 | 1,837 | 1,843,997 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, | 694 | 692,633 | ||||||||||
|
| |||||||||||
13,521,757 | ||||||||||||
Health Care Equipment & Supplies — 1.2% | ||||||||||||
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/06/27 | 2,075 | 2,073,704 | ||||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 05/04/28 | 777 | 777,489 | ||||||||||
Ortho-Clinical Diagnostics SA | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.09%, 06/30/25 | 2,083 | 2,081,343 | ||||||||||
EUR Term Loan B, | EUR | 990 | 1,174,139 | |||||||||
|
| |||||||||||
6,106,675 | ||||||||||||
Health Care Providers & Services — 3.6% | ||||||||||||
AHP Health Partners, Inc., 2021 Term Loan, | USD | 800 | 801,309 |
46 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
CCRR Parent, Inc, Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 03/06/28 | USD | 1,343 | $ | 1,349,348 | ||||||||
CHG Healthcare Services, Inc., 2017 | 1,857 | 1,854,463 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.00%, 01/08/27 | 1,201 | 1,206,136 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25 | 1,445 | 1,230,373 | ||||||||||
EyeCare Partners LLC | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.35%, 02/18/28 | 1,260 | 1,206,450 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 02/18/27 | 1,698 | 1,682,131 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, | 1,061 | 1,015,556 | ||||||||||
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 08/06/26 | 4,288 | 4,287,282 | ||||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 | 494 | 492,584 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 02/14/25 | 53 | 52,811 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 12/13/26 | 2,539 | 2,527,371 | ||||||||||
|
| |||||||||||
17,705,814 | ||||||||||||
Health Care Services — 1.2% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 3.69%, 07/25/26 | 2,080 | 2,066,744 | ||||||||||
Unified Physician Management LLC, 2020 Term Loan, (1 Week LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/18/27(b) | 1,872 | 1,873,742 | ||||||||||
WP CityMD Bidco LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 08/13/26 | 1,783 | 1,785,829 | ||||||||||
|
| |||||||||||
5,726,315 | ||||||||||||
Health Care Technology — 3.0% | ||||||||||||
Athenahealth, Inc., 2021 Term Loan B1, | 368 | 368,884 | ||||||||||
Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 | 1,457 | 1,455,300 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25 | 2,211 | 2,194,374 | ||||||||||
Polaris Newco LLC, USD Term Loan B, | 5,375 | 5,388,159 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 07/25/26 | 1,715 | 1,716,836 | ||||||||||
Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.85%, 03/07/24 | 499 | 496,235 | ||||||||||
Verscend Holdings Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 02/01/29(b) | 3,092 | 3,122,920 | ||||||||||
|
| |||||||||||
14,742,708 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure — 7.7% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26 | USD | 2,468 | $ | 2,431,849 | ||||||||
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 | 1,000 | 1,000,790 | ||||||||||
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.34%, 09/15/23 | 1,133 | 1,130,693 | ||||||||||
Caesars Resort Collection LLC | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24 | 2,353 | 2,331,973 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.60%, 07/20/25 | 3,640 | 3,648,872 | ||||||||||
CCM Merger, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25 | 634 | 633,643 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/10/28(b) | 785 | 777,182 | ||||||||||
ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%, 0.75% Floor), 8.25%, 03/31/28(b) | 581 | 592,620 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 | 4,026 | 3,851,949 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23 | 1,341 | 1,336,377 | ||||||||||
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3.00% PIK), 5.25%, 12/01/23(e) | 151 | 149,948 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 | 2,510 | 2,489,369 | ||||||||||
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b) | 177 | 196,419 | ||||||||||
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.75%, 08/25/25(b) | 598 | 601,470 | ||||||||||
IRB Holding Corp, 2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | 4,868 | 4,865,272 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, | 1,596 | 1,591,953 | ||||||||||
Playtika Holding Corp., 2021 Term Loan, | 1,236 | 1,229,587 | ||||||||||
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24 | 1,290 | 1,280,588 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.65%, 07/10/25 | 877 | 876,982 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, | 2,081 | 2,055,845 | ||||||||||
Travelport Finance (Luxembourg) Sarl | ||||||||||||
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.20%, 05/29/26 | 2,225 | 2,025,881 | ||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 3.50%, 02/28/25 | 1,314 | 1,376,346 |
SCHEDULE OF INVESTMENTS | 47 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Whatabrands LLC, 2020 Term Loan B, | USD | 948 | $ | 943,042 | ||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 05/30/25 | 548 | 542,887 | ||||||||||
|
| |||||||||||
37,961,537 | ||||||||||||
Household Durables — 1.3% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 05/17/28 | 3,501 | 3,481,009 | ||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/04/27 | 1,518 | 1,504,836 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 | 1,195 | 1,196,489 | ||||||||||
|
| |||||||||||
6,182,334 | ||||||||||||
Household Products — 0.1% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (3 mo. LIBOR + 2.00%, 0.50% Floor), 2.50%, 03/03/28(b) | 540 | 537,584 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers — 0.5% | ||||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25 | 509 | 502,532 | ||||||||||
Calpine Corp. | ||||||||||||
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26 | 714 | 703,507 | ||||||||||
Term Loan B9, (1 mo. LIBOR + 2.00%), 2.11%, 04/06/26 | 1,527 | 1,506,137 | ||||||||||
|
| |||||||||||
2,712,176 | ||||||||||||
Industrial Conglomerates — 2.2% | ||||||||||||
AVSC Holding Corp.(e) | ||||||||||||
2020 Term Loan B1, (0.25% PIK), 2.25%, 03/03/25 | 3,783 | 3,462,557 | ||||||||||
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 | 1,153 | 1,375,452 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | 1,315 | 1,322,739 | ||||||||||
Vertical Midco GmbH, USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.48%, 07/29/27 | 1,929 | 1,930,127 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, | 2,972 | 2,951,757 | ||||||||||
|
| |||||||||||
11,042,632 | ||||||||||||
Insurance — 3.8% | ||||||||||||
Alliant Holdings Intermediate LLC |
| |||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | 2,929 | 2,895,835 | ||||||||||
2020 Term Loan B3, 11/06/27(h) | 1,665 | 1,666,088 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | 1,029 | 1,017,259 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/19/28 | 2,480 | 2,463,400 | ||||||||||
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 | 680 | 680,728 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/13/27 | 1,426 | 1,417,619 |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
AssuredPartners, Inc. (continued) | ||||||||||||
2021 Term Loan B, 02/12/27(h) | USD | 213 | $ | 213,106 | ||||||||
HUB International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.93%, 04/25/25 | 2,891 | 2,857,942 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 04/25/25 | 874 | 872,924 | ||||||||||
Ryan Specialty Group LLC, Term Loan, | 1,652 | 1,650,959 | ||||||||||
Sedgwick Claims Management Services, Inc. |
| |||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 12/31/25 | 798 | 789,369 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26 | 1,216 | 1,213,141 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | 841 | 841,580 | ||||||||||
|
| |||||||||||
18,579,950 | ||||||||||||
Interactive Media & Services — 3.2% | ||||||||||||
Adevinta ASA, USD Term Loan B, | 2,513 | 2,512,112 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, | 2,400 | 2,392,284 | ||||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 | 3,384 | 3,383,995 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27 | 743 | 738,464 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | 6,443 | 6,534,148 | ||||||||||
|
| |||||||||||
15,561,003 | ||||||||||||
Internet & Direct Marketing Retail — 0.5% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, | 2,715 | 2,715,195 | ||||||||||
|
| |||||||||||
Internet Software & Services — 0.4% | ||||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27 | 2,116 | 2,114,403 | ||||||||||
|
| |||||||||||
IT Services — 6.7% | ||||||||||||
Aruba Investments, Inc. | ||||||||||||
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28 | 1,440 | 1,444,795 | ||||||||||
2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 | 777 | 778,995 | ||||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/02/25 | 2,072 | 2,059,256 | ||||||||||
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/31/26 | 2,485 | 2,472,761 | ||||||||||
Celestial -Saturn Parent, Inc., 2nd Lien Term Loan, | 1,269 | 1,275,345 | ||||||||||
CoreLogic, Inc., Term Loan, 06/04/28(h) | 3,711 | 3,698,012 | ||||||||||
Fleetcor Technologies Operating Company, LLC, 2021 Term Loan B4, 04/28/28(h) | 495 | 493,970 | ||||||||||
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 | 5,615 | 5,624,966 | ||||||||||
GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b) | 1,563 | 1,551,464 | ||||||||||
Maximus, Inc., Term Loan B, 05/28/28(h) | 1,016 | 1,015,157 |
48 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.38%, 08/01/25 | USD | 975 | $ | 870,539 | ||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27 | 2,568 | 2,505,613 | ||||||||||
Sophia LP, 2020 2nd Lien Term Loan, | 4,215 | 4,346,719 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 05/05/26 | 976 | 974,256 | ||||||||||
Trans Union LLC, 2019 Term Loan B5, | 1,887 | 1,872,568 | ||||||||||
Virtusa Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 02/11/28 | 1,059 | 1,062,523 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28 | 988 | 979,506 | ||||||||||
|
| |||||||||||
33,026,445 | ||||||||||||
Leisure Products — 0.2% | ||||||||||||
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24 | 998 | 963,161 | ||||||||||
|
| |||||||||||
Life Sciences Tools & Services — 2.8% | ||||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 | 4,461 | 4,478,258 | ||||||||||
Icon Luxembourg Sarl(h) | ||||||||||||
1st Lien Term Loan B, 06/16/28 | 738 | 739,536 | ||||||||||
Term Loan B, 06/16/28 | 2,964 | 2,968,221 | ||||||||||
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27 | 1,243 | 1,247,212 | ||||||||||
PPD, Inc., Initial Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 2.75%, 01/13/28 | 4,446 | 4,438,210 | ||||||||||
|
| |||||||||||
13,871,437 | ||||||||||||
Machinery — 2.7% | ||||||||||||
Clark Equipment Co., 2021 Incremental Term Loan, 05/18/24(h) | 1,368 | 1,364,837 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 05/14/28(b) | 432 | 431,460 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/28/27 | 2,258 | 2,230,815 | ||||||||||
Madison IAQ LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 06/16/28 | 3,699 | 3,699,000 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 3.17%, 03/28/25 | 5,560 | 5,458,719 | ||||||||||
|
| |||||||||||
13,184,831 | ||||||||||||
Media — 13.2% | ||||||||||||
A-L Parent LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | 2,616 | 2,524,256 | ||||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.93%, 07/15/25 | 1,101 | 1,081,365 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.90%, 01/31/26 | 1,579 | 1,549,962 | ||||||||||
Altice France SA, 2018 Term Loan B13, | 3,519 | 3,509,437 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, 05/03/28(h) | 1,046 | 1,041,293 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25 | USD | 3,386 | $ | 3,378,705 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.69%, 08/21/26 | 6,527 | 6,366,301 | ||||||||||
Connect Finco Sarl, 2021 Term Loan B, | 9,062 | 9,067,605 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.32%, 07/17/25 | 2,158 | 2,125,717 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.57%, 04/15/27 | 2,123 | 2,100,369 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, | 967 | 965,794 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25 | 1,345 | 1,336,820 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/19/26 | 2,570 | 2,499,235 | ||||||||||
MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 1.85%, 02/15/24 | 120 | 119,627 | ||||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24 | 3,525 | 3,506,509 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.75%, 09/15/24 | 2,576 | 2,579,794 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/23/29 | 1,021 | 1,035,682 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.59%, 09/19/26 | 1,344 | 1,340,421 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, | 2,438 | 2,438,558 | ||||||||||
Sinclair Television Group Inc., 2021 Term Loan B3, (1 mo. LIBOR + 3.00%), 3.11%, 04/01/28 | 160 | 158,534 | ||||||||||
Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26 | — | (i) | 315 | |||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 3.10%, 09/28/23(b) | 4,102 | 4,081,226 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 3.07%, 01/31/29 | 577 | 572,961 | ||||||||||
Virgin Media Bristol LLC | ||||||||||||
2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.35%, 01/31/29 | 2,365 | 2,361,382 | ||||||||||
USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.57%, 01/31/28 | 988 | 978,886 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25 | 733 | 717,973 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28 | 669 | 663,064 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27 | 7,235 | 7,154,188 | ||||||||||
|
| |||||||||||
65,255,979 | ||||||||||||
Metals & Mining — 0.4% | ||||||||||||
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.64%, 07/31/25 | 1,763 | 1,748,677 | ||||||||||
|
| |||||||||||
Multi-line Retail — 0.2% | ||||||||||||
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24 | 948 | 945,692 | ||||||||||
|
|
SCHEDULE OF INVESTMENTS | 49 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels — 0.6% | ||||||||||||
Edgewater Generation LLC, Term Loan, | USD | 1,455 | $ | 1,384,917 | ||||||||
EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.15%, 02/07/25 | 779 | 772,443 | ||||||||||
Lealand Finance Company BV, 2020 Take Back Term Loan, (3.00% PIK), 3.00%, 06/30/25(e) | 288 | 127,703 | ||||||||||
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/24(b) | 40 | 24,146 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%, 0.50% Floor), 2.25%, 01/31/28 | 647 | 647,785 | ||||||||||
|
| |||||||||||
2,956,994 | ||||||||||||
Personal Products — 1.5% | ||||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/25/26 | 7,311 | 7,333,419 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 3.7% | ||||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25 | 1,950 | 1,910,649 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 2.50%, 02/22/28 | 2,045 | 2,046,151 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, | 1,058 | 1,041,004 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.09%, 11/15/27 | 1,694 | 1,676,745 | ||||||||||
Jazz Financing Lux Sarl, USD Term Loan, (1 mo. LIBOR + 3.50%, 0.50% Floor), 4.00%, 04/21/28 | 3,101 | 3,109,714 | ||||||||||
Organon Finance 1 LLC, USD Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 06/02/28 | 1,657 | 1,658,044 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 11/18/27 | 1,317 | 1,312,648 | ||||||||||
Prestige Brands, Inc., 2021 Term Loan B, 06/11/28(h) | 509 | 509,214 | ||||||||||
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25 | 4,871 | 4,848,278 | ||||||||||
|
| |||||||||||
18,112,447 | ||||||||||||
Professional Services — 1.2% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, | 6,183 | 6,151,209 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.7% | ||||||||||||
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 | 2,059 | 2,040,726 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25 | 1,471 | 1,456,887 | ||||||||||
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 | 46 | 45,757 | ||||||||||
|
| |||||||||||
3,543,370 |
Security | Par (000) | Value | ||||||||||
Road & Rail — 0.3% | ||||||||||||
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 09/25/25 | USD | 246 | $ | 246,016 | ||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.62%, 08/04/25 | 1,226 | 1,159,551 | ||||||||||
|
| |||||||||||
1,405,567 | ||||||||||||
Semiconductors & Semiconductor Equipment — 0.1% | ||||||||||||
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/19/26 | 481 | 479,257 | ||||||||||
|
| |||||||||||
Software — 17.0% | ||||||||||||
2U, Inc., Term Loan, 11/30/24(h) | 1,447 | 1,421,678 | ||||||||||
Applied Systems, Inc. | ||||||||||||
2017 1st Lien Term Loan, (PRIME + 2.25%), 3.77%, 09/19/24 | 744 | 741,674 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%, 0.75% Floor), 6.25%, 09/19/25 | 442 | 447,083 | ||||||||||
Barracuda Networks, Inc. | ||||||||||||
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 | 2,465 | 2,469,656 | ||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28 | 870 | 884,686 | ||||||||||
Cloudera, Inc., Term Loan B, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 12/22/27 | 982 | 980,421 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.34%, 04/22/27 | 645 | 643,898 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 | 1,878 | 1,877,160 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.43%, 05/27/24 | 1,151 | 1,102,803 | ||||||||||
E2open LLC, 2020 Term Loan B, 10/29/27(h) | 288 | 288,000 | ||||||||||
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 8.75%, 07/31/28 | 2,141 | 2,209,255 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (6 mo. LIBOR + 3.75%), 3.90%, 03/11/28 | 2,134 | 2,132,910 | ||||||||||
Informatica LLC, 2020 USD Term Loan B, | 8,661 | 8,601,248 | ||||||||||
Magenta Buyer LLC(h) | ||||||||||||
2021 USD 1st Lien Term Loan, 05/03/28 | 4,624 | 4,619,376 | ||||||||||
2021 USD 2nd Lien Term Loan, 05/03/29(b) | 2,418 | 2,387,775 | ||||||||||
McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/30/24 | 987 | 987,072 | ||||||||||
MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26 | 871 | 870,423 | ||||||||||
Mitchell International, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 11/29/24 | 499 | 493,483 | ||||||||||
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.35%, 12/01/25 | 1,222 | 1,220,115 | ||||||||||
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 |
| 2,066 | 2,073,018 | |||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 | 1,468 | 1,471,726 | ||||||||||
Planview Parent, Inc. | ||||||||||||
2nd Lien Term Loan, (1 Week LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/17/28 | 930 | 925,350 |
50 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Planview Parent, Inc. (continued) | ||||||||||||
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 | USD | 2,160 | $ | 2,161,589 | ||||||||
Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.11%, 04/26/24 | 1,535 | 1,536,375 | ||||||||||
Proof Point, Inc.(h) | ||||||||||||
1st Lien Term Loan, 06/09/28 | 2,790 | 2,772,925 | ||||||||||
2nd Lien Term Loan, 06/08/29 | 1,451 | 1,463,696 | ||||||||||
RealPage, Inc. | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/22/28 | 6,170 | 6,148,571 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 7.25%, 04/22/29 | 2,965 | 3,050,400 | ||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.34%, 05/30/25 | 683 | 675,665 | ||||||||||
Sabre GLBL, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 | 1,111 | 1,116,972 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 3.33%, 08/01/25 | 3,904 | 3,877,809 | ||||||||||
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 | 5,144 | 5,145,230 | ||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 | 5,419 | 5,424,748 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.36%, 03/04/28 | 2,194 | 2,224,333 | ||||||||||
Ultimate Software Group, Inc. | ||||||||||||
2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27 | 1,992 | 2,023,533 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 05/03/26 | 3,657 | 3,659,483 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/03/26 | 3,948 | 3,948,385 | ||||||||||
|
| |||||||||||
84,078,524 | ||||||||||||
Specialty Retail — 4.3% | ||||||||||||
Belron Finance US LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25 | 442 | 440,040 | ||||||||||
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26 | 880 | 873,281 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.75%), 4.83%, 06/23/25 | GBP | 1,000 | 1,378,638 | |||||||||
EG Group Ltd., 2021 Term Loan, | USD | 574 | 574,000 | |||||||||
Eyemart Express LLC, 2020 2nd Lien Term Loan, 08/04/25(h) | 1,410 | 1,403,500 | ||||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/04/28 | 3,040 | 3,047,600 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, | 1,728 | 1,726,743 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/28 | 5,922 | 5,923,481 |
Security | Par (000) | Value | ||||||||||
Specialty Retail (continued) | ||||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 | USD | 1,598 | $ | 1,576,613 | ||||||||
Sotheby’s, Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 01/15/27 | 3,279 | 3,294,474 | ||||||||||
Woof Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/21/27 | 554 | 553,153 | ||||||||||
WOOF Holdings, Inc., 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/21/28 | 560 | 565,600 | ||||||||||
|
| |||||||||||
21,357,123 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.3% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.10%, 07/23/26 | 789 | 750,122 | ||||||||||
Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.84%, 04/29/23 | 574 | 573,532 | ||||||||||
|
| |||||||||||
1,323,654 | ||||||||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||||||
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.75%, 05/23/25 | 741 | 741,368 | ||||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.7% | ||||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 04/23/28 | 1,396 | 1,387,242 | ||||||||||
Foundation Building Materials Holding Company LLC, 2021 Term Loan, | 1,538 | 1,527,512 | ||||||||||
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.92%, 04/01/28 | 684 | 686,079 | ||||||||||
|
| |||||||||||
3,600,833 | ||||||||||||
Wireless Telecommunication Services — 1.8% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/30/28 | 1,111 | 1,107,471 | ||||||||||
Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.50%, 05/26/28 | 644 | 643,744 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.86%, 04/11/25 | 3,395 | 3,363,343 | ||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.85%, 06/10/27 | 3,606 | 3,604,825 | ||||||||||
|
| |||||||||||
8,719,383 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 143.5% |
| 708,356,406 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Fixed Income Funds — 2.8% | ||||||||||||
Invesco Senior Loan ETF | 218,000 | 4,828,700 |
SCHEDULE OF INVESTMENTS | 51 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
| ||||||||||||
Fixed Income Funds (continued) | ||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(j) | 66,000 | $ | 5,810,640 | |||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF(j) | 24,000 | 3,224,640 | ||||||||||
|
| |||||||||||
13,863,980 | ||||||||||||
|
| |||||||||||
Total Investment Companies — 2.8% |
| 13,863,980 | ||||||||||
|
| |||||||||||
Benefical Interest (000) | ||||||||||||
| ||||||||||||
Other Interests(k) |
| |||||||||||
IT Services — 0.0% | ||||||||||||
Millennium Corp. | USD | 1,607 | — | |||||||||
Millennium Lender Claims | 1,508 | — | ||||||||||
|
| |||||||||||
Total Other Interests — 0.0% |
| — | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
| ||||||||||||
Warrants | ||||||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||||||
California Resources Corp. (Expires 10/27/24)(a) | 999 | 7,673 | ||||||||||
|
| |||||||||||
Total Warrants — 0.0% |
| 7,673 | ||||||||||
|
| |||||||||||
Total Investments — 149.0% |
| 735,520,835 | ||||||||||
Liabilities in Excess of Other Assets — (49.0)% |
| (241,893,577 | ) | |||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 493,627,258 | ||||||||||
|
|
(a) | Non-income producing security. |
(b) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) | Issuer filed for bankruptcy and/or is in default. |
(e) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(f) | Convertible security. |
(g) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(h) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(i) | Amount is less than 500. |
(j) | Affiliate of the Fund. |
(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/20 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/21 | Shares Held at 06/30/21 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | — | $ | — | $ | — | (a) | $ | — | $ | — | $ | — | — | $ | 16 | $ | — | ||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 8,380,800 | — | (2,607,827 | )(a) | (177,697 | ) | (140,030 | ) | 5,810,640 | 66,000 | 126,790 | — | ||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 3,315,120 | — | — | — | (90,480 | ) | 3,224,640 | 24,000 | 31,253 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (177,697 | ) | $ | (230,510 | ) | $ | 9,035,280 | $ | 158,059 | $ | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
52 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized (Depreciation) | ||||||||||||||||||||||
USD | 3,145,719 | EUR | 2,595,000 | BNP Paribas S.A. | 09/15/21 | $ | 64,014 | |||||||||||||||||||
USD | 2,666,894 | GBP | 1,887,000 | BNP Paribas S.A. | 09/15/21 | 56,171 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 120,185 | |||||||||||||||||||||||||
|
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Assets — Derivative Financial Instruments |
| |||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
| |||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 120,185 | $ | — | $ | — | $ | 120,185 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the six months ended June 30, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) from |
| |||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | (191,005 | ) | $ | — | $ | — | $ | (191,005 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Forward foreign currency exchange contracts | $ | — | $ | — | $ | — | $ | 295,184 | $ | — | $ | — | $ | 295,184 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Forward foreign currency exchange contracts | ||||
Average amounts purchased — in USD | $ | 6,492,019 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Forward foreign currency exchange contracts | $ | 120,185 | $ | — | ||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities. | 120,185 | — | ||||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | — | — | ||||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 120,185 | $ | — | ||||
|
|
|
|
SCHEDULE OF INVESTMENTS | 53 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:
Counterparty | | Derivative Assets Subject to an MNA by Counterparty |
| | Derivatives Available for Offset |
| | Non-Cash Collateral Received |
| | Cash Collateral Received |
| | Net Amount of Derivative Assets |
(a) | |||||
BNP Paribas S.A. | $ | 120,185 | $ | — | $ | — | $ | — | $ | 120,185 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Net amount represents the net amount payable due to counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | $ | 60,727 | $ | — | $ | — | $ | 60,727 | ||||||||
Diversified Financial Services | — | — | 3,098 | 3,098 | ||||||||||||
Energy Equipment & Services | — | — | 13,128 | 13,128 | ||||||||||||
Media | 302,676 | — | — | 302,676 | ||||||||||||
Metals & Mining | — | — | 1,159 | 1,159 | ||||||||||||
Oil, Gas & Consumable Fuels | 61,094 | — | — | 61,094 | ||||||||||||
Semiconductors & Semiconductor Equipment | 59,321 | — | — | 59,321 | ||||||||||||
Software | 1,775 | — | — | 1,775 | ||||||||||||
Specialty Retail | — | 450,422 | — | 450,422 | ||||||||||||
Corporate Bonds | — | 11,697,641 | 641,735 | 12,339,376 | ||||||||||||
Floating Rate Loan Interests | — | 673,808,665 | 34,547,741 | 708,356,406 | ||||||||||||
Investment Companies | 13,863,980 | — | — | 13,863,980 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Warrants | 7,673 | — | — | 7,673 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | 288 | — | 288 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (591 | ) | — | (591 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 14,357,246 | $ | 685,956,425 | $ | 35,206,861 | $ | 735,520,532 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Derivative Financial Instruments(b) | ||||||||||||||||
Assets | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 120,185 | $ | — | $ | 120,185 | ||||||||
|
|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $201,000,000 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
| ||||||||||||||||||||
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Total | ||||||||||||||||
| ||||||||||||||||||||
Assets | ||||||||||||||||||||
Opening balance, as of December 31, 2020 | $ | 55,840 | $ | 425,578 | $ | 31,919,645 | $ — | (a) | $ | 32,401,063 | ||||||||||
Transfers into Level 3 | — | — | 4,425,788 | — | 4,425,788 | |||||||||||||||
Transfers out of Level 3(c) | — | — | (15,835,027 | ) | — | (15,835,027 | ) |
54 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
| ||||||||||||||||||||
Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Total | ||||||||||||||||
| ||||||||||||||||||||
Accrued discounts/premiums | $ | — | $ | 12,422 | $ | 21,944 | $ | — | $ | 34,366 | ||||||||||
Net realized gain (loss) | — | 2,879 | 48,742 | — | 51,621 | |||||||||||||||
Net change in unrealized appreciation (depreciation)(d)(e) | (38,455 | ) | 206,261 | 404,314 | — | 572,120 | ||||||||||||||
Purchases | — | 11,261 | 19,254,906 | — | 19,266,167 | |||||||||||||||
Sales | — | (16,666 | ) | (5,692,571 | ) | — | (5,709,237 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Closing balance, as of June 30, 2021 | $ | 17,385 | $ | 641,735 | $ | 34,547,741 | $ — | (a) | $ | 35,206,861 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021(e) | $ | (38,455 | ) | $ | 206,261 | $ | 458,242 | $ | — | $ | 626,048 | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Rounds to less than $1. |
(b) | As of December 31, 2020, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2021, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |
(c) | As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |
(d) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
See notes to financial statements.
SCHEDULE OF INVESTMENTS | 55 |
Schedule of Investments (unaudited) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities | ||||||||||||
AIMCO CLO, Series 2017-AA, Class CR, | USD | 1,000 | $ | 1,003,524 | ||||||||
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 3.19%, 10/21/28(a)(b) | 1,000 | 981,084 | ||||||||||
Anchorage Capital CLO Ltd.(a)(b) | ||||||||||||
Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 5.68%, 01/28/31 | 850 | 814,201 | ||||||||||
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.78%, 01/28/31 | 250 | 243,645 | ||||||||||
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.68%, 01/28/31 | 1,000 | 1,000,901 | ||||||||||
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 5.93%, 07/28/28 | 1,000 | 977,405 | ||||||||||
Ares LV CLO Ltd., Series 2020-55A, Class D, (3 mo. LIBOR US + 4.83%), 5.01%, 04/15/31(a)(b) | 1,000 | 1,001,201 | ||||||||||
Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 0.39%, 06/25/36(a) | 4,947 | 3,887,241 | ||||||||||
Assurant CLO Ltd., Series 2019-5A, Class E, (3 mo. LIBOR US + 7.34%), 7.52%, 01/15/33(a)(b) | 250 | 250,475 | ||||||||||
Bain Capital Credit CLO Ltd., Series 2020-2A, Class D, (3 mo. LIBOR US + 4.81%), 5.00%, 07/21/31(a)(b)(c) | 300 | 300,366 | ||||||||||
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class C, (3 mo. LIBOR US + 2.60%), 2.78%, 07/15/31(a)(b) | 250 | 249,594 | ||||||||||
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 7.89%, 10/20/32(a)(b) | 250 | 251,102 | ||||||||||
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 2.00%), 2.19%, 04/20/32(a)(b) | 250 | 248,855 | ||||||||||
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.63%, 07/20/32(a)(b) | 500 | 502,993 | ||||||||||
CarVal CLO Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.77%), 5.95%, 07/16/31(a)(b) | 500 | 486,086 | ||||||||||
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36 | 402 | 331,169 | ||||||||||
Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 3.14%, 10/20/30(a)(b) | 250 | 247,934 | ||||||||||
Countrywide Asset-Backed Certificates, Series 2006- 26, Class 1A, (1 mo. LIBOR US + 0.14%), 0.23%, 06/25/37(a) | 687 | 648,001 | ||||||||||
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, | 308 | 308,454 | ||||||||||
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.84%, 04/18/31(a)(b) | 250 | 245,429 | ||||||||||
Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.18%, 10/15/32(a)(b) | 950 | 951,224 | ||||||||||
Elmwood CLO V Ltd.(a)(b) | ||||||||||||
Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 2.93%, 07/24/31 | 500 | 500,351 | ||||||||||
Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 3.03%, 10/20/34(d) | 436 | 436,000 |
Security | Par (000) | Value | ||||||||||
Asset-Backed Securities (continued) |
| |||||||||||
Litigation Fee Residual Funding, 4.00%, 10/30/27(c) | USD | 287 | $ | 286,908 | ||||||||
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, | 500 | 499,524 | ||||||||||
Madison Park Funding XVI Ltd., Series 2015-16A, Class C, | 300 | 299,999 | ||||||||||
Neuberger Berman CLO Ltd., Series 2015-20A, (3 mo. LIBOR US + 6.50%), 6.63%, 07/15/34(a)(b) | 790 | 789,992 | ||||||||||
Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%), 5.39%, 10/20/27(a)(b) | 500 | 479,182 | ||||||||||
Octagon Investment Partners 31 LLC, Series 2017- 1A, Class E, | 500 | 497,554 | ||||||||||
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.34%, 10/17/29(a)(b) | 250 | 245,762 | ||||||||||
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 5.73%, 01/20/31(a)(b) | 250 | 234,946 | ||||||||||
Palmer Square Loan Funding Ltd., Series 2018-5A, Class B, (3 mo. LIBOR US + 1.90%), 2.09%, 01/20/27(a)(b) | 1,000 | 1,000,084 | ||||||||||
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.03%, 10/15/29(a)(b) | 500 | 498,558 | ||||||||||
Sterling Coofs Trust(c) | ||||||||||||
Series 2004-1, Class A, 2.36%, 04/15/29 | 1,097 | 10,970 | ||||||||||
Series 2004-2, Class Note, 2.08%, 03/30/30(b) | 1,683 | 16,836 | ||||||||||
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.23%, 04/15/33(a)(b) | 250 | 250,896 | ||||||||||
Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32 | GBP | 100 | 167,378 | |||||||||
Voya CLO Ltd.(a)(b) | ||||||||||||
Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 2.83%, 07/25/26 | USD | 250 | 249,983 | |||||||||
Series 2019-3A, Class C, (3 mo. LIBOR US + 2.60%), 2.79%, 10/17/32 | 1,000 | 1,001,512 | ||||||||||
York CLO Ltd., Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 6.94%, 04/20/32(a)(b) | 1,000 | 1,001,939 | ||||||||||
York Clo-3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 3.79%, 10/20/29(a)(b) | 250 | 250,222 | ||||||||||
|
| |||||||||||
Total Asset-Backed Securities — 3.9% |
| 23,649,480 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Common Stocks | ||||||||||||
Construction & Engineering — 0.0% |
| |||||||||||
McDermott International Ltd.(e) | 47,837 | 23,440 | ||||||||||
|
| |||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
Kcad Holdings I Ltd.(c) | 546,753,936 | 5,468 | ||||||||||
|
| |||||||||||
Energy Equipment & Services — 0.0% | ||||||||||||
Pioneer Energy Services Corp.(c) | 273 | 4,040 | ||||||||||
|
|
56 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||||||
Household Durables — 0.0% | ||||||||||||
Berkline Benchcraft Equity LLC(c) | 3,155 | $ | — | |||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Clear Channel Outdoor Holdings, Inc.(e) | 38,911 | 102,725 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Ameriforge Group, Inc. | 801 | 17,622 | ||||||||||
Preferred Proppants LLC(c) | 5,738 | 545 | ||||||||||
|
| |||||||||||
18,167 | ||||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||||
California Resources Corp.(e) | 700 | 21,098 | ||||||||||
Extraction Oil & Gas, Inc., (Acquired 03/04/21, Cost: $54,877)(f) | 4,410 | 241,144 | ||||||||||
SM Energy Co. | 8,691 | 214,060 | ||||||||||
|
| |||||||||||
476,302 | ||||||||||||
Software — 0.0% | ||||||||||||
Avaya Holdings Corp.(e) | 19 | 511 | ||||||||||
|
| |||||||||||
Specialty Retail — 0.0% | ||||||||||||
NMG Parent LLC | 1,330 | 165,807 | ||||||||||
|
| |||||||||||
Total Common Stocks — 0.1% | 796,460 | |||||||||||
|
| |||||||||||
Par | ||||||||||||
Corporate Bonds | ||||||||||||
Advertising Agencies — 0.1% | ||||||||||||
Interpublic Group of Cos., Inc., 5.40%, 10/01/48(g) | USD | 200 | 267,381 | |||||||||
|
| |||||||||||
Aerospace & Defense — 2.0% | ||||||||||||
Amsted Industries, Inc., | 156 | 164,385 | ||||||||||
Bombardier, Inc.(b) | ||||||||||||
6.00%, 10/15/22 | 4 | 4,005 | ||||||||||
7.50%, 12/01/24 | 199 | 207,955 | ||||||||||
7.50%, 03/15/25 | 33 | 33,936 | ||||||||||
7.13%, 06/15/26 | 640 | 670,080 | ||||||||||
7.88%, 04/15/27(g) | 369 | 382,837 | ||||||||||
7.45%, 05/01/34 | 100 | 107,000 | ||||||||||
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) | 423 | 435,690 | ||||||||||
Howmet Aerospace, Inc., 5.13%, 10/01/24 | 5 | 5,519 | ||||||||||
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b)(g) | 378 | 395,482 | ||||||||||
Rolls-Royce PLC, 5.75%, 10/15/27(b) | 418 | 460,423 | ||||||||||
Spirit AeroSystems, Inc., 5.50%, 01/15/25(b) | 181 | 192,313 | ||||||||||
TransDigm, Inc. | ||||||||||||
8.00%, 12/15/25(b)(g) | 815 | 880,607 | ||||||||||
6.25%, 03/15/26(b)(g) | 6,032 | 6,363,760 | ||||||||||
6.38%, 06/15/26 | 89 | 92,201 | ||||||||||
7.50%, 03/15/27 | 105 | 111,694 | ||||||||||
4.63%, 01/15/29(b) | 272 | 272,095 | ||||||||||
4.88%, 05/01/29(b) | 300 | 302,850 | ||||||||||
Triumph Group, Inc., 8.88%, 06/01/24(b)(g) | 714 | 794,325 | ||||||||||
|
| |||||||||||
11,877,157 | ||||||||||||
Air Freight & Logistics — 0.0% | ||||||||||||
XPO Logistics, Inc., 6.75%, 08/15/24(b) | 18 | 18,698 | ||||||||||
|
| |||||||||||
Airlines — 1.9% | ||||||||||||
Air France-KLM, 3.88%, 07/01/26 | EUR | 100 | 116,739 |
Security | Par (000) | Value | ||||||||||
Airlines (continued) | ||||||||||||
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 07/15/24(g) | USD | 1,631 | $ | 1,655,011 | ||||||||
American Airlines, Inc., 11.75%, 07/15/25(b) | 414 | 519,570 | ||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) | ||||||||||||
5.50%, 04/20/26 | 1,179 | 1,248,266 | ||||||||||
5.75%, 04/20/29(g) | 950 | 1,027,126 | ||||||||||
Avianca Holdings SA, (3 mo. LIBOR US + 10.50% Cash or 3 mo. LIBOR US + 12.00% PIK), 12.15%, 11/10/21(b)(h) | 72 | 72,030 | ||||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b)(g) | 138 | 153,423 | ||||||||||
Finnair OYJ, 4.25%, 05/19/25 | EUR | 100 | 120,947 | |||||||||
Gol Finance SA(b) | ||||||||||||
7.00%, 01/31/25 | USD | 200 | 191,400 | |||||||||
8.00%, 06/30/26 | 200 | 203,037 | ||||||||||
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b) | 249 | 267,329 | ||||||||||
International Consolidated Airlines Group SA, 2.75%, 03/25/25 | EUR | 100 | 118,576 | |||||||||
Latam Finance Ltd., 6.88%, 04/11/24(b)(e)(i) | USD | 203 | 188,790 | |||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b)(g) | 1,189 | 1,309,089 | ||||||||||
United Airlines Pass-Through Trust(g) | ||||||||||||
Series 2015-1, Class A, 3.70%, 06/01/24 | 2,430 | 2,501,900 | ||||||||||
Series 2020-1, Class A, 5.88%, 10/15/27 | 861 | 955,620 | ||||||||||
Series 2020-1, Class B, 4.88%, 07/15/27 | 49 | 51,455 | ||||||||||
United Airlines, Inc.(b) | ||||||||||||
4.38%, 04/15/26 | 459 | 475,148 | ||||||||||
4.63%, 04/15/29 | 416 | 430,560 | ||||||||||
|
| |||||||||||
11,606,016 | ||||||||||||
Auto Components — 1.1% | ||||||||||||
Aptiv PLC, 4.40%, 10/01/46(g) | 240 | 278,143 | ||||||||||
Clarios Global LP, 6.75%, 05/15/25(b) | 486 | 517,580 | ||||||||||
Clarios Global LP/Clarios US Finance Co. | ||||||||||||
4.38%, 05/15/26 | EUR | 100 | 122,652 | |||||||||
6.25%, 05/15/26(b)(g) | USD | 1,373 | 1,462,671 | |||||||||
8.50%, 05/15/27(b)(g) | 2,264 | 2,468,213 | ||||||||||
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) | 334 | 359,885 | ||||||||||
Faurecia SE, 3.75%, 06/15/28 | EUR | 100 | 124,803 | |||||||||
Goodyear Tire & Rubber Co. | ||||||||||||
5.00%, 07/15/29(b) | USD | 131 | 137,157 | |||||||||
5.25%, 07/15/31(b) | 386 | 403,370 | ||||||||||
5.63%, 04/30/33 | 320 | 337,504 | ||||||||||
ZF Finance GmbH | ||||||||||||
3.00%, 09/21/25 | EUR | 100 | 125,668 | |||||||||
2.00%, 05/06/27 | 100 | 119,168 | ||||||||||
|
| |||||||||||
6,456,814 | ||||||||||||
Automobiles — 1.5% | ||||||||||||
Allison Transmission, Inc.(b) | ||||||||||||
5.88%, 06/01/29(g) | USD | 396 | 433,620 | |||||||||
3.75%, 01/30/31 | 287 | 282,084 | ||||||||||
Asbury Automotive Group, Inc. | ||||||||||||
4.50%, 03/01/28 | 129 | 132,548 | ||||||||||
4.75%, 03/01/30 | 124 | 129,580 | ||||||||||
Carvana Co., 5.50%, 04/15/27(b) | 290 | 299,492 | ||||||||||
Ford Motor Co. | ||||||||||||
0.00%, 03/15/26(b)(j)(k) | 221 | 244,343 |
SCHEDULE OF INVESTMENTS | 57 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Automobiles (continued) | ||||||||||||
Ford Motor Co. (continued) | ||||||||||||
4.35%, 12/08/26 | USD | 11 | $ | 11,784 | ||||||||
5.29%, 12/08/46 | 48 | 53,610 | ||||||||||
Ford Motor Credit Co. LLC | ||||||||||||
5.88%, 08/02/21(g) | 522 | 524,662 | ||||||||||
2.98%, 08/03/22(g) | 449 | 455,174 | ||||||||||
3.35%, 11/01/22(g) | 215 | 220,353 | ||||||||||
3.81%, 01/09/24(g) | 629 | 657,701 | ||||||||||
4.69%, 06/09/25 | 200 | 216,500 | ||||||||||
5.13%, 06/16/25(g) | 490 | 539,612 | ||||||||||
4.13%, 08/04/25(g) | 411 | 439,252 | ||||||||||
3.38%, 11/13/25(g) | 200 | 207,390 | ||||||||||
4.39%, 01/08/26(g) | 400 | 432,000 | ||||||||||
3.82%, 11/02/27 | 200 | 208,324 | ||||||||||
2.90%, 02/16/28(g) | 295 | 293,602 | ||||||||||
5.11%, 05/03/29(g) | 526 | 588,846 | ||||||||||
4.00%, 11/13/30 | 200 | 209,500 | ||||||||||
General Motors Financial Co., Inc., 4.38%, 09/25/21(g) | 530 | 534,925 | ||||||||||
Group 1 Automotive, Inc., 4.00%, 08/15/28(b) | 45 | 45,788 | ||||||||||
Ken Garff Automotive LLC, | 122 | 124,440 | ||||||||||
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) | 220 | 225,500 | ||||||||||
Lithia Motors, Inc., 3.88%, 06/01/29(b) | 131 | 135,788 | ||||||||||
MajorDrive Holdings IV LLC, | 104 | 103,740 | ||||||||||
Navistar International Corp., | 324 | 334,734 | ||||||||||
Penske Automotive Group, Inc. | ||||||||||||
3.50%, 09/01/25 | 214 | 221,661 | ||||||||||
3.75%, 06/15/29 | 69 | 69,431 | ||||||||||
Renault SA, 2.38%, 05/25/26 | EUR | 100 | 120,176 | |||||||||
Tesla, Inc., 5.30%, 08/15/25(b)(g) | USD | 422 | 436,196 | |||||||||
TML Holdings Pte Ltd., 4.35%, 06/09/26 | 200 | 200,750 | ||||||||||
Wabash National Corp., 5.50%, 10/01/25(b) | 241 | 245,820 | ||||||||||
|
| |||||||||||
9,378,926 | ||||||||||||
Banks — 1.5% | ||||||||||||
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 | EUR | 100 | 120,227 | |||||||||
Banco BPM SpA, (5 year EUR Swap + 3.17%), 2.88%, 06/29/31(a) | 100 | 118,427 | ||||||||||
Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(a) | 100 | 117,093 | ||||||||||
Banco Espirito Santo SA(e)(i) | ||||||||||||
4.75%, 01/15/22(a) | 100 | 16,601 | ||||||||||
4.00%, 01/21/22 | 100 | 16,601 | ||||||||||
Banco Industrial SA, (5 year CMT + 4.44%), | USD | 150 | 156,216 | |||||||||
Bancolombia SA, (5 year CMT + 2.94%), 4.63%, 12/18/29(a) | 200 | 202,663 | ||||||||||
Bangkok Bank PCL | ||||||||||||
(5 year CMT + 1.90%), 3.73%, 09/25/34(a) | 231 | 239,561 | ||||||||||
(5 year CMT + 4.73%), 5.00%(l) | 201 | 212,030 | ||||||||||
Banistmo SA, 3.65%, 09/19/22 | 200 | 203,663 | ||||||||||
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80%(a)(l) | 200 | 207,412 | ||||||||||
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25 | 200 | 204,600 | ||||||||||
Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70%(a)(l) | 250 | 261,609 | ||||||||||
CIT Group, Inc., 5.00%, 08/01/23(g) | 296 | 320,050 |
Security | Par (000) | Value | ||||||||||
Banks (continued) | ||||||||||||
Emirates NBD Bank PJSC, (6 year USD Swap + 3.66%), 6.13%(a)(l) | USD | 250 | $ | 269,297 | ||||||||
Grupo Aval Ltd., 4.38%, 02/04/30(b) | 200 | 197,690 | ||||||||||
Intesa Sanpaolo SpA 5.02%, 06/26/24(b)(g) | 2,442 | 2,657,294 | ||||||||||
(5 year EUR Swap + 5.75%), | EUR | 100 | 133,068 | |||||||||
Itau Unibanco Holding SA/Cayman Island, 5.13%, 05/13/23(b) | USD | 200 | 211,287 | |||||||||
Krung Thai Bank PCL/Cayman Islands, (5 year CMT + 3.53%), 4.40%(a)(l) | 202 | 204,714 | ||||||||||
NBK Tier 1 Financing Ltd., (6 year USD Swap + 2.88%), 3.63%(a)(b)(l) | 279 | 280,133 | ||||||||||
Santander UK Group Holdings PLC, 2.88%, 08/05/21(g) | 950 | 952,193 | ||||||||||
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(a)(b)(g) | 1,500 | 1,577,135 | ||||||||||
Wells Fargo & Co., (5 year CMT + 3.45%), 3.90%(a)(l) | 365 | 377,884 | ||||||||||
|
| |||||||||||
9,257,448 | ||||||||||||
Beverages — 1.4% | ||||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(g) | 800 | 1,012,600 | ||||||||||
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(g)(h) | 1,091 | 1,145,550 | ||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29(b)(g) | 1,098 | 1,088,749 | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(b) | ||||||||||||
4.13%, 08/15/26 | 276 | 284,970 | ||||||||||
4.75%, 07/15/27 | GBP | 100 | 140,820 | |||||||||
5.25%, 08/15/27(g) | USD | 652 | 665,040 | |||||||||
Canpack SA/Eastern PA Land Investment Holding LLC, 3.13%, 11/01/25(b) | 211 | 214,468 | ||||||||||
Central American Bottling Corp. | ||||||||||||
5.75%, 01/31/27(b) | 176 | 183,128 | ||||||||||
5.75%, 01/31/27 | 105 | 109,253 | ||||||||||
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 | 34 | 41,650 | ||||||||||
Mauser Packaging Solutions Holding Co., | 794 | 801,940 | ||||||||||
OI European Group BV, 2.88%, 02/15/25 | EUR | 100 | 120,263 | |||||||||
Silgan Holdings, Inc., 4.13%, 02/01/28 | USD | 58 | 60,175 | |||||||||
Triton Water Holdings, Inc., | 173 | 173,432 | ||||||||||
Trivium Packaging Finance BV(b)(g) | ||||||||||||
5.50%, 08/15/26 | 1,004 | 1,054,903 | ||||||||||
8.50%, 08/15/27 | 1,367 | 1,486,202 | ||||||||||
|
| |||||||||||
8,583,143 | ||||||||||||
Biotechnology — 0.0% | ||||||||||||
Emergent BioSolutions, Inc., | 76 | 74,444 | ||||||||||
|
| |||||||||||
Building Materials — 0.7% | ||||||||||||
APi Group DE, Inc., 4.13%, 07/15/29(b) | 132 | 131,258 | ||||||||||
Cemex SAB de CV, 5.45%, 11/19/29 | 200 | 219,850 | ||||||||||
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b) | 362 | 388,245 | ||||||||||
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) | 323 | 334,709 | ||||||||||
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b) | 315 | 339,412 | ||||||||||
Griffon Corp., 5.75%, 03/01/28 | 87 | 92,438 | ||||||||||
James Hardie International Finance DAC, 5.00%, 01/15/28(b) | 200 | 211,817 |
58 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Building Materials (continued) | ||||||||||||
Jeld-Wen, Inc.(b) | ||||||||||||
6.25%, 05/15/25 | USD | 146 | $ | 155,710 | ||||||||
4.63%, 12/15/25 | 55 | 56,032 | ||||||||||
4.88%, 12/15/27 | 17 | 17,667 | ||||||||||
Masonite International Corp.(b) | ||||||||||||
5.75%, 09/15/26 | 86 | 89,010 | ||||||||||
5.38%, 02/01/28 | 101 | 107,028 | ||||||||||
Patrick Industries, Inc., 4.75%, 05/01/29(b) | 64 | 63,600 | ||||||||||
SRM Escrow Issuer LLC, | 485 | 514,100 | ||||||||||
Standard Industries, Inc. | ||||||||||||
2.25%, 11/21/26 | EUR | 100 | 117,940 | |||||||||
5.00%, 02/15/27(b)(g) | USD | 174 | 180,199 | |||||||||
4.75%, 01/15/28(b)(g) | 46 | 48,148 | ||||||||||
4.38%, 07/15/30(b)(g) | 412 | 424,875 | ||||||||||
3.38%, 01/15/31(b)(g) | 394 | 377,141 | ||||||||||
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) | 235 | 249,671 | ||||||||||
Victors Merger Corp., 6.38%, 05/15/29(b) | 197 | 198,477 | ||||||||||
|
| |||||||||||
4,317,327 | ||||||||||||
Building Products(b) — 0.5% | ||||||||||||
Advanced Drainage Systems, Inc., 5.00%, 09/30/27 | 262 | 271,961 | ||||||||||
BCPE Ulysses Intermediate, Inc., (7.75% Cash or 8.50% PIK), 7.75%, 04/01/27(h) | 210 | 215,250 | ||||||||||
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 | 100 | 99,745 | ||||||||||
Foundation Building Materials, Inc., 6.00%, 03/01/29 | 193 | 191,070 | ||||||||||
GYP Holdings III Corp., 4.63%, 05/01/29 | 237 | 237,889 | ||||||||||
LBM Acquisition LLC, 6.25%, 01/15/29 | 482 | 485,711 | ||||||||||
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 | 327 | 342,439 | ||||||||||
SRS Distribution, Inc., 6.13%, 07/01/29 | 345 | 355,043 | ||||||||||
White Cap Buyer LLC, 6.88%, 10/15/28 | 723 | 773,791 | ||||||||||
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26(h) | 210 | 217,279 | ||||||||||
|
| |||||||||||
3,190,178 | ||||||||||||
Capital Markets — 1.0% | ||||||||||||
Blackstone CQP Holdco LP, 5.50%, 05/24/31 | 367 | 382,410 | ||||||||||
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(a)(g)(l) | 2,835 | 2,900,205 | ||||||||||
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) | 254 | 264,160 | ||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | ||||||||||||
6.25%, 05/15/26 | 366 | 388,326 | ||||||||||
5.25%, 05/15/27(g) | 489 | 504,890 | ||||||||||
5.25%, 05/15/27(b) | 261 | 269,482 | ||||||||||
4.38%, 02/01/29(b) | 201 | 199,995 | ||||||||||
Intercorp Peru Ltd., 3.88%, 08/15/29(b)(g) | 225 | 216,675 | ||||||||||
NFP Corp.(b) | ||||||||||||
4.88%, 08/15/28 | 270 | 274,358 | ||||||||||
6.88%, 08/15/28 | 484 | 509,512 | ||||||||||
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) | 156 | 162,825 | ||||||||||
|
| |||||||||||
6,072,838 | ||||||||||||
Chemicals — 1.3% | ||||||||||||
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) | 297 | 290,317 | ||||||||||
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b) | 170 | 178,075 |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) | USD | 278 | $ | 323,748 | ||||||||
Chemours Co., 4.00%, 05/15/26 | EUR | 100 | 121,316 | |||||||||
Element Solutions, Inc., 3.88%, 09/01/28(b)(g) | USD | 1,263 | 1,288,639 | |||||||||
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) | 165 | 169,711 | ||||||||||
HB Fuller Co., 4.25%, 10/15/28 | 98 | 101,286 | ||||||||||
Herens Holdco Sarl, 4.75%, 05/15/28(b) | 412 | 409,940 | ||||||||||
Herens Midco Sarl, 5.25%, 05/15/29 | EUR | 100 | 116,042 | |||||||||
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) | USD | 360 | 401,407 | |||||||||
Ingevity Corp., 3.88%, 11/01/28(b) | 84 | 83,370 | ||||||||||
Minerals Technologies, Inc., | 169 | 175,709 | ||||||||||
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 | EUR | 100 | 122,135 | |||||||||
NOVA Chemicals Corp., 4.88%, 06/01/24(b) | USD | 67 | 70,685 | |||||||||
OCP SA, 3.75%, 06/23/31(b) | 200 | 202,250 | ||||||||||
Orbia Advance Corp. SAB de CV(b) | ||||||||||||
1.88%, 05/11/26 | 200 | 200,937 | ||||||||||
5.50%, 01/15/48(g) | 200 | 234,375 | ||||||||||
PQ Corp., 5.75%, 12/15/25(b)(g) | 543 | 557,254 | ||||||||||
Sasol Financing USA LLC, 5.50%, 03/18/31 | 200 | 210,500 | ||||||||||
SCIH Salt Holdings, Inc.(b) | ||||||||||||
4.88%, 05/01/28 | 319 | 318,962 | ||||||||||
6.63%, 05/01/29 | 179 | 179,448 | ||||||||||
Scotts Miracle-Gro Co., 4.00%, 04/01/31(b) | 262 | 261,183 | ||||||||||
Valvoline, Inc., 3.63%, 06/15/31(b) | 1 | 1,000 | ||||||||||
WESCO Distribution, Inc.(b)(g) | ||||||||||||
7.13%, 06/15/25 | 676 | 730,553 | ||||||||||
7.25%, 06/15/28 | 616 | 686,132 | ||||||||||
WR Grace & Co-Conn, 5.63%, 10/01/24(b) | 216 | 238,760 | ||||||||||
Yingde Gases Investment Ltd., 6.25%, 01/19/23 | 200 | 205,350 | ||||||||||
|
| |||||||||||
7,879,084 | ||||||||||||
Commercial Services & Supplies — 0.7% | ||||||||||||
ADT Security Corp. | ||||||||||||
4.13%, 06/15/23 | 9 | 9,473 | ||||||||||
4.88%, 07/15/32(b)(g) | 557 | 586,933 | ||||||||||
APX Group, Inc. | ||||||||||||
7.88%, 12/01/22(g) | 252 | 252,945 | ||||||||||
8.50%, 11/01/24 | 60 | 62,700 | ||||||||||
ASGN, Inc., 4.63%, 05/15/28(b) | 91 | 95,320 | ||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(b) | 106 | 110,373 | ||||||||||
DAE Funding LLC, 3.38%, 03/20/28(b) | 250 | 255,938 | ||||||||||
Fortress Transportation & Infrastructure Investors LLC(b) | ||||||||||||
6.50%, 10/01/25 | 75 | 77,906 | ||||||||||
5.50%, 05/01/28 | 310 | 322,787 | ||||||||||
Herc Holdings, Inc., 5.50%, 07/15/27(b) | 383 | 403,766 | ||||||||||
Intertrust Group BV, 3.38%, 11/15/25 | EUR | 100 | 120,947 | |||||||||
Metis Merger Sub LLC, 6.50%, 05/15/29(b) | USD | 214 | 210,758 | |||||||||
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) | 306 | 319,387 | ||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) | ||||||||||||
5.25%, 04/15/24 | 141 | 151,086 | ||||||||||
5.75%, 04/15/26(g) | 320 | 353,494 | ||||||||||
3.38%, 08/31/27 | 238 | 230,860 | ||||||||||
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b) | 187 | 192,493 | ||||||||||
TMS International Corp., 6.25%, 04/15/29(b) | 107 | 112,350 | ||||||||||
United Rentals North America, Inc. | ||||||||||||
5.88%, 09/15/26 | 17 | 17,591 |
SCHEDULE OF INVESTMENTS | 59 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
United Rentals North America, Inc. (continued) |
| |||||||||||
5.50%, 05/15/27 | USD | 339 | $ | 359,340 | ||||||||
5.25%, 01/15/30 | 161 | 176,358 | ||||||||||
|
| |||||||||||
4,422,805 | ||||||||||||
Communications Equipment — 0.7% | ||||||||||||
Avaya, Inc., 6.13%, 09/15/28(b)(g) | 606 | 648,602 | ||||||||||
CommScope Technologies LLC(b) | ||||||||||||
6.00%, 06/15/25 | 389 | 397,266 | ||||||||||
5.00%, 03/15/27 | 240 | 245,700 | ||||||||||
CommScope, Inc.(b) | ||||||||||||
5.50%, 03/01/24(g) | 749 | 770,534 | ||||||||||
6.00%, 03/01/26 | 209 | 220,641 | ||||||||||
8.25%, 03/01/27 | 347 | 370,874 | ||||||||||
7.13%, 07/01/28 | 193 | 209,164 | ||||||||||
Nokia OYJ | ||||||||||||
3.38%, 06/12/22 | 106 | 108,024 | ||||||||||
4.38%, 06/12/27 | 149 | 164,587 | ||||||||||
ViaSat, Inc.(b)(g) | ||||||||||||
5.63%, 04/15/27 | 416 | 434,233 | ||||||||||
6.50%, 07/15/28 | 477 | 508,701 | ||||||||||
|
| |||||||||||
4,078,326 | ||||||||||||
Construction & Engineering — 0.1% | ||||||||||||
SRS Distribution, Inc., 4.63%, 07/01/28(b) | 434 | 443,765 | ||||||||||
|
| |||||||||||
Construction Materials(b) — 0.8% | ||||||||||||
American Builders & Contractors Supply Co., Inc. |
| |||||||||||
4.00%, 01/15/28(g) | 375 | 384,266 | ||||||||||
3.88%, 11/15/29 | 137 | 136,144 | ||||||||||
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 | 109 | 111,627 | ||||||||||
Core & Main LP, 6.13%, 08/15/25(g) | 1,743 | 1,777,860 | ||||||||||
H&E Equipment Services, Inc., 3.88%, 12/15/28 | 93 | 91,512 | ||||||||||
IAA, Inc., 5.50%, 06/15/27 | 372 | 390,496 | ||||||||||
Picasso Finance Sub, Inc., | 403 | 426,072 | ||||||||||
Williams Scotsman International, Inc., 4.63%, 08/15/28 | 243 | 250,946 | ||||||||||
Winnebago Industries, Inc., 6.25%, 07/15/28 | 137 | 147,617 | ||||||||||
Wolverine Escrow LLC | ||||||||||||
8.50%, 11/15/24(g) | 254 | 246,380 | ||||||||||
9.00%, 11/15/26 | 903 | 880,425 | ||||||||||
|
| |||||||||||
4,843,345 | ||||||||||||
Consumer Discretionary — 1.2% | ||||||||||||
Atento Luxco 1 SA, 8.00%, 02/10/26(b) | 200 | 217,225 | ||||||||||
Carnival Corp. | ||||||||||||
11.50%, 04/01/23(b) | 241 | 271,221 | ||||||||||
10.13%, 02/01/26 | EUR | 100 | 138,288 | |||||||||
10.50%, 02/01/26(b) | USD | 546 | 635,680 | |||||||||
5.75%, 03/01/27(b)(g) | 1,258 | 1,317,755 | ||||||||||
9.88%, 08/01/27(b) | 231 | 269,693 | ||||||||||
CoreLogic, Inc., 4.50%, 05/01/28(b) | 425 | 421,281 | ||||||||||
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(b) | 141 | 146,993 | ||||||||||
Life Time, Inc.(b) | ||||||||||||
5.75%, 01/15/26 | 334 | 346,107 | ||||||||||
8.00%, 04/15/26 | 205 | 218,477 | ||||||||||
NCL Corp. Ltd., 5.88%, 03/15/26(b) | 237 | 248,258 | ||||||||||
NCL Finance Ltd., 6.13%, 03/15/28(b) | 612 | 641,345 | ||||||||||
Nielsen Finance LLC/Nielsen Finance Co.(b) | ||||||||||||
5.63%, 10/01/28(g) | 479 | 505,867 | ||||||||||
5.88%, 10/01/30 | 239 | 260,133 |
Security | Par (000) | Value | ||||||||||
Consumer Discretionary (continued) | ||||||||||||
Nielsen Finance LLC/Nielsen Finance Co.(b) (continued) | USD | 166 | $ | 166,415 | ||||||||
Royal Caribbean Cruises Ltd.(b) | ||||||||||||
10.88%, 06/01/23. | 90 | 102,488 | ||||||||||
9.13%, 06/15/23 | 153 | 167,918 | ||||||||||
11.50%, 06/01/25 | 202 | 232,805 | ||||||||||
5.50%, 04/01/28 | 584 | 611,623 | ||||||||||
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) | 183 | 184,830 | ||||||||||
|
| |||||||||||
7,104,402 | ||||||||||||
Consumer Finance — 1.1% | ||||||||||||
Equifax, Inc., 2.60%, 12/15/25 | 59 | 62,093 | ||||||||||
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b)(g) | 536 | 538,632 | ||||||||||
Muthoot Finance Ltd. | ||||||||||||
6.13%, 10/31/22(b)(g) | 427 | 442,158 | ||||||||||
4.40%, 09/02/23 | 200 | 205,350 | ||||||||||
Navient Corp. | ||||||||||||
7.25%, 09/25/23 | 129 | 142,384 | ||||||||||
6.13%, 03/25/24 | 86 | 92,816 | ||||||||||
5.88%, 10/25/24 | 82 | 88,458 | ||||||||||
5.00%, 03/15/27 | 258 | 266,965 | ||||||||||
OneMain Finance Corp. | ||||||||||||
6.13%, 05/15/22 | 70 | 72,713 | ||||||||||
6.88%, 03/15/25 | 226 | 255,064 | ||||||||||
7.13%, 03/15/26 | 227 | 264,389 | ||||||||||
3.50%, 01/15/27 | 304 | 306,280 | ||||||||||
6.63%, 01/15/28 | 221 | 253,346 | ||||||||||
5.38%, 11/15/29 | 36 | 39,159 | ||||||||||
4.00%, 09/15/30 | 3 | 2,974 | ||||||||||
Sabre GLBL, Inc.(b) | ||||||||||||
9.25%, 04/15/25 | 227 | 269,864 | ||||||||||
7.38%, 09/01/25 | 252 | 274,050 | ||||||||||
Shift4 Payments Inc., 0.00%, 12/15/25(b)(j)(k) | 349 | 470,487 | ||||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) | 262 | 273,462 | ||||||||||
Square, Inc., 3.50%, 06/01/31(b)(g) | 622 | 627,442 | ||||||||||
Verscend Escrow Corp., 9.75%, 08/15/26(b)(g) | 1,758 | 1,852,492 | ||||||||||
|
| |||||||||||
6,800,578 | ||||||||||||
Containers & Packaging — 0.4% | ||||||||||||
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30 | 200 | 216,162 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 | 196 | 210,210 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 | 424 | 439,985 | ||||||||||
Graham Packaging Co., Inc., | 60 | 64,650 | ||||||||||
Graphic Packaging International LLC(b) | ||||||||||||
4.75%, 07/15/27 | 89 | 96,154 | ||||||||||
3.50%, 03/15/28 | 17 | 17,128 | ||||||||||
3.50%, 03/01/29 | 61 | 60,433 | ||||||||||
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b) | 162 | 168,480 | ||||||||||
Intertape Polymer Group, Inc., 4.38%, 06/15/29(b) | 134 | 135,882 | ||||||||||
Klabin Austria GmbH, 3.20%, 01/12/31(b) | 200 | 196,710 | ||||||||||
LABL Escrow Issuer LLC(b) | ||||||||||||
6.75%, 07/15/26(g) | 380 | 405,357 |
60 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Containers & Packaging (continued) | ||||||||||||
LABL Escrow Issuer LLC(b) (continued) | ||||||||||||
10.50%, 07/15/27 | USD | 176 | $ | 194,040 | ||||||||
Sealed Air Corp.(b) | ||||||||||||
5.13%, 12/01/24 | 46 | 50,083 | ||||||||||
4.00%, 12/01/27 | 73 | 77,654 | ||||||||||
6.88%, 07/15/33 | 44 | 55,656 | ||||||||||
Suzano Austria GmbH | ||||||||||||
3.75%, 01/15/31(g) | 105 | 109,725 | ||||||||||
3.13%, 01/15/32 | 145 | 143,608 | ||||||||||
|
| |||||||||||
2,641,917 | ||||||||||||
Diversified Consumer Services — 1.6% | ||||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) | ||||||||||||
6.63%, 07/15/26(g) | 1,998 | 2,118,340 | ||||||||||
9.75%, 07/15/27(g) | 774 | 852,367 | ||||||||||
6.00%, 06/01/29 | 556 | 563,667 | ||||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 06/01/28 | 1,548 | 1,550,905 | ||||||||||
Ascend Learning LLC(b) | ||||||||||||
6.88%, 08/01/25(g) | 690 | 702,938 | ||||||||||
6.88%, 08/01/25 | 317 | 321,419 | ||||||||||
Bidfair Holdings, Inc., 5.88%, 06/01/29(b) | 407 | 413,105 | ||||||||||
Clarivate Science Holdings Corp.(b) | ||||||||||||
3.88%, 06/30/28 | 374 | 377,407 | ||||||||||
4.88%, 06/30/29 | 514 | 527,493 | ||||||||||
Garda World Security Corp.(b) | ||||||||||||
4.63%, 02/15/27 | 284 | 285,420 | ||||||||||
9.50%, 11/01/27(g) | 191 | 211,533 | ||||||||||
Graham Holdings Co., 5.75%, 06/01/26(b) | 140 | 145,600 | ||||||||||
Rekeep SpA, 7.25%, 02/01/26 | EUR | 100 | 127,622 | |||||||||
Service Corp. International | ||||||||||||
5.13%, 06/01/29 | USD | 238 | 258,230 | |||||||||
3.38%, 08/15/30(g) | 263 | 257,687 | ||||||||||
4.00%, 05/15/31 | 358 | 365,402 | ||||||||||
Sotheby’s, 7.38%, 10/15/27(b)(g) | 451 | 486,516 | ||||||||||
|
| |||||||||||
9,565,651 | ||||||||||||
Diversified Financial Services — 2.7% | ||||||||||||
Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) | 403 | 401,735 | ||||||||||
Arrow Global Finance PLC, 5.13%, 09/15/24 | GBP | 100 | 139,197 | |||||||||
Barclays PLC | ||||||||||||
3.65%, 03/16/25(g) | USD | 3,600 | 3,898,008 | |||||||||
5.20%, 05/12/26 | 200 | 228,428 | ||||||||||
BNP Paribas SA, (5 year CMT + 3.34%), 4.63%(a)(b)(g)(l) | 1,500 | 1,561,530 | ||||||||||
Central Garden & Pet Co. | ||||||||||||
4.13%, 10/15/30 | 188 | 191,995 | ||||||||||
4.13%, 04/30/31(b) | 195 | 197,194 | ||||||||||
Citigroup, Inc.(a)(l) | ||||||||||||
(5 year CMT + 3.42%), 3.88%(g) | 2,000 | 2,042,500 | ||||||||||
Series W, (5 year CMT + 3.60%), 4.00% | 155 | 160,231 | ||||||||||
Credit Suisse Group AG, (5 year CMT + 3.55%), 4.50%(a)(b)(l) | 200 | 198,480 | ||||||||||
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 | GBP | 100 | 144,001 | |||||||||
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(h) | USD | 223 | 224,470 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Goldman Sachs Group, Inc., Series R, | USD | 730 | $ | 780,268 | ||||||||
HSBC Holdings PLC | ||||||||||||
4.38%, 11/23/26(g) | 395 | 445,402 | ||||||||||
(5 year CMT + 3.22%), 4.00%(a)(l) | 290 | 294,712 | ||||||||||
(5 year USD ICE Swap + 4.37%), | 1,250 | 1,393,500 | ||||||||||
Intrum AB, 3.00%, 09/15/27 | EUR | 100 | 117,208 | |||||||||
ION Trading Technologies Sarl, 5.75%, 05/15/28(b) | USD | 200 | 207,647 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) | ||||||||||||
5.25%, 03/15/22 | 23 | 23,115 | ||||||||||
4.25%, 02/01/27(g) | 315 | 314,554 | ||||||||||
4.75%, 06/15/29 | 137 | 137,000 | ||||||||||
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(g)(l) | 450 | 517,500 | ||||||||||
Manappuram Finance Ltd., 5.90%, 01/13/23 | 200 | 206,350 | ||||||||||
Morgan Stanley, 4.00%, 07/23/25(g) | 965 | 1,073,327 | ||||||||||
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b)(g) | 300 | 299,212 | ||||||||||
Shriram Transport Finance Co. Ltd. | ||||||||||||
5.95%, 10/24/22 | 420 | 429,681 | ||||||||||
5.10%, 07/16/23 | 200 | 202,600 | ||||||||||
Spectrum Brands, Inc.(b) | ||||||||||||
5.00%, 10/01/29 | 178 | 188,680 | ||||||||||
5.50%, 07/15/30 | 154 | 165,935 | ||||||||||
3.88%, 03/15/31 | 98 | 96,298 | ||||||||||
WASH Multifamily Acquisition, Inc., 5.75%, 04/15/26(b) | 218 | 227,614 | ||||||||||
|
| |||||||||||
16,508,372 | ||||||||||||
Diversified Telecommunication Services — 2.8% | ||||||||||||
Axtel SAB de CV, 6.38%, 11/14/24(b) | 200 | 208,537 | ||||||||||
Cincinnati Bell, Inc.(b) | ||||||||||||
7.00%, 07/15/24 | 144 | 147,780 | ||||||||||
8.00%, 10/15/25 | 67 | 70,434 | ||||||||||
Consolidated Communications, Inc., 6.50%, 10/01/28(b)(g) | 471 | 506,678 | ||||||||||
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b) | 476 | 491,599 | ||||||||||
Level 3 Financing, Inc. | ||||||||||||
5.38%, 05/01/25 | 90 | 91,912 | ||||||||||
4.63%, 09/15/27(b) | 111 | 115,209 | ||||||||||
4.25%, 07/01/28(b)(g) | 714 | 724,539 | ||||||||||
3.75%, 07/15/29(b) | 250 | 243,125 | ||||||||||
Lumen Technologies, Inc. | ||||||||||||
5.13%, 12/15/26(b)(g) | 713 | 740,629 | ||||||||||
4.00%, 02/15/27(b)(g) | 349 | 355,980 | ||||||||||
4.50%, 01/15/29(b) | 551 | 537,748 | ||||||||||
5.38%, 06/15/29(b) | 444 | 450,387 | ||||||||||
Series P, 7.60%, 09/15/39(g) | 124 | 141,050 | ||||||||||
Series U, 7.65%, 03/15/42(g) | 290 | 325,525 | ||||||||||
Series W, 6.75%, 12/01/23(g) | 512 | 567,798 | ||||||||||
Series Y, 7.50%, 04/01/24(g) | 516 | 579,210 | ||||||||||
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(h) | 212 | 217,427 | ||||||||||
SoftBank Group Corp. | ||||||||||||
4.50%, 04/20/25 | EUR | 100 | 128,487 | |||||||||
4.75%, 07/30/25 | 100 | 130,433 | ||||||||||
5.00%, 04/15/28 | 100 | 132,643 |
SCHEDULE OF INVESTMENTS | 61 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Sprint Capital Corp.(g) | ||||||||||||
6.88%, 11/15/28 | USD | 1,287 | $ | 1,650,577 | ||||||||
8.75%, 03/15/32 | 688 | 1,045,760 | ||||||||||
Switch Ltd.(b) | ||||||||||||
3.75%, 09/15/28 | 348 | 352,350 | ||||||||||
4.13%, 06/15/29 | 223 | 228,854 | ||||||||||
Telecom Italia Capital SA | ||||||||||||
6.38%, 11/15/33 | 222 | 264,735 | ||||||||||
6.00%, 09/30/34(g) | 432 | 498,420 | ||||||||||
7.20%, 07/18/36 | 98 | 126,420 | ||||||||||
7.72%, 06/04/38 | 44 | 59,984 | ||||||||||
Telecom Italia SpA | ||||||||||||
4.00%, 04/11/24 | EUR | 150 | 191,864 | |||||||||
5.30%, 05/30/24(b)(g) | USD | 200 | 218,940 | |||||||||
1.63%, 01/18/29 | EUR | 100 | 116,536 | |||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28(b) | USD | 351 | 350,122 | |||||||||
Verizon Communications, Inc.(g) | ||||||||||||
3.38%, 02/15/25 | 156 | 169,471 | ||||||||||
3.70%, 03/22/61 | 1,000 | 1,071,059 | ||||||||||
Zayo Group Holdings, Inc.(b)(g) | ||||||||||||
4.00%, 03/01/27 | 2,674 | 2,655,603 | ||||||||||
6.13%, 03/01/28 | 1,399 | 1,428,729 | ||||||||||
|
| |||||||||||
17,336,554 | ||||||||||||
Education — 0.0% | ||||||||||||
Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22 | 200 | 203,000 | ||||||||||
|
| |||||||||||
Electric Utilities — 0.7% | ||||||||||||
Black Hills Corp., 3.15%, 01/15/27(g) | 305 | 324,954 | ||||||||||
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b) | 275 | 271,528 | ||||||||||
Enel Finance International NV, 3.63%, 05/25/27(b)(g) | 900 | 988,610 | ||||||||||
Energuate Trust, 5.88%, 05/03/27(b) | 200 | 208,162 | ||||||||||
Exelon Corp., 3.40%, 04/15/26(g) | 140 | 152,437 | ||||||||||
FirstEnergy Corp. | ||||||||||||
2.65%, 03/01/30 | 26 | 25,895 | ||||||||||
Series B, 4.40%, 07/15/27 | 136 | 147,900 | ||||||||||
Series B, 2.25%, 09/01/30 | 21 | 20,135 | ||||||||||
Series C, 7.38%, 11/15/31 | 31 | 42,455 | ||||||||||
Series C, 5.35%, 07/15/47(g) | 503 | 603,600 | ||||||||||
Series C, 3.40%, 03/01/50 | 191 | 186,703 | ||||||||||
FirstEnergy Transmission LLC(b) | ||||||||||||
5.45%, 07/15/44 | 378 | 471,652 | ||||||||||
4.55%, 04/01/49 | 163 | 191,177 | ||||||||||
NextEra Energy Operating Partners LP(b) | ||||||||||||
4.25%, 07/15/24(g) | 170 | 179,350 | ||||||||||
4.25%, 09/15/24 | 9 | 9,495 | ||||||||||
PG&E Corp., 5.25%, 07/01/30 | 233 | 235,213 | ||||||||||
Pike Corp., 5.50%, 09/01/28(b) | 250 | 260,000 | ||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 11/10/21(c)(e)(i) | 780 | — | ||||||||||
|
| |||||||||||
4,319,266 | ||||||||||||
Electrical Equipment(b) — 0.1% | ||||||||||||
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 | 352 | 368,725 | ||||||||||
GrafTech Finance, Inc., 4.63%, 12/15/28 | 136 | 139,570 | ||||||||||
|
| |||||||||||
508,295 |
Security | Par (000) | Value | ||||||||||
Electronic Equipment, Instruments & Components — 0.4% | ||||||||||||
BWX Technologies, Inc.(b) | ||||||||||||
5.38%, 07/15/26 | USD | 209 | $ | 214,528 | ||||||||
4.13%, 06/30/28 | 251 | 255,706 | ||||||||||
4.13%, 04/15/29 | 174 | 177,045 | ||||||||||
CDW LLC/CDW Finance Corp. | ||||||||||||
4.13%, 05/01/25 | 188 | 196,460 | ||||||||||
3.25%, 02/15/29(g) | 309 | 313,079 | ||||||||||
Energizer Holdings, Inc.(b) | ||||||||||||
4.75%, 06/15/28 | 256 | 262,336 | ||||||||||
4.38%, 03/31/29 | 19 | 19,020 | ||||||||||
Imola Merger Corp., 4.75%, 05/15/29(b) | 616 | 633,710 | ||||||||||
Xerox Corp., 4.80%, 03/01/35 | 203 | 203,761 | ||||||||||
|
| |||||||||||
2,275,645 | ||||||||||||
Energy Equipment & Services — 0.4% | ||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp.(b) | ||||||||||||
6.88%, 04/01/27 | 139 | 147,514 | ||||||||||
6.25%, 04/01/28(g) | 706 | 737,000 | ||||||||||
ChampionX Corp., 6.38%, 05/01/26 | 192 | 201,101 | ||||||||||
Halliburton Co., 3.80%, 11/15/25(g) | 7 | 7,737 | ||||||||||
Pioneer Energy Services Corp.(b)(c)(h) | ||||||||||||
(11.00% Cash or 11.00% PIK), 11.00%, 05/15/25. | 108 | 108,634 | ||||||||||
(5.00% PIK), 5.00%, 11/15/25 | 80 | 88,461 | ||||||||||
TechnipFMC PLC, 6.50%, 02/01/26(b)(g) | 321 | 346,605 | ||||||||||
USA Compression Partners LP/USA Compression Finance Corp. | ||||||||||||
6.88%, 04/01/26 | 336 | 351,960 | ||||||||||
6.88%, 09/01/27(g) | 632 | 675,153 | ||||||||||
|
| |||||||||||
2,664,165 | ||||||||||||
Environmental, Maintenance, & Security Service — 0.5% | ||||||||||||
Clean Harbors, Inc.(b)(g) | ||||||||||||
4.88%, 07/15/27 | 250 | 261,875 | ||||||||||
5.13%, 07/15/29 | 172 | 187,050 | ||||||||||
Covanta Holding Corp., 5.00%, 09/01/30 | 139 | 145,950 | ||||||||||
GFL Environmental, Inc.(b) | ||||||||||||
4.25%, 06/01/25 | 86 | 89,572 | ||||||||||
3.75%, 08/01/25 | 266 | 273,315 | ||||||||||
5.13%, 12/15/26(g) | 401 | 424,226 | ||||||||||
4.00%, 08/01/28 | 337 | 332,906 | ||||||||||
3.50%, 09/01/28 | 198 | 197,505 | ||||||||||
4.75%, 06/15/29 | 398 | 413,243 | ||||||||||
Stericycle, Inc., 3.88%, 01/15/29(b) | 162 | 161,681 | ||||||||||
Tervita Corp., 11.00%, 12/01/25(b) | 191 | 213,868 | ||||||||||
Waste Pro USA, Inc., 5.50%, 02/15/26(b)(g) | 471 | 486,190 | ||||||||||
|
| |||||||||||
3,187,381 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 1.6% | ||||||||||||
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50 | 450 | 515,670 | ||||||||||
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(b) | 141 | 148,226 | ||||||||||
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28(b) | 163 | 166,443 | ||||||||||
ERP Operating LP, 3.38%, 06/01/25(g) | 1,015 | 1,097,447 | ||||||||||
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, | 219 | |||||||||||
216,754 | ||||||||||||
Iron Mountain, Inc.(b)(g) | ||||||||||||
5.25%, 07/15/30 | 389 | 411,788 | ||||||||||
5.63%, 07/15/32 | 372 | 398,159 |
62 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||||||
LMIRT Capital Pte Ltd., 7.25%, 06/19/24 | USD | 229 | $ | 238,492 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. | ||||||||||||
5.63%, 05/01/24(g) | 1,020 | 1,104,611 | ||||||||||
4.63%, 06/15/25(b) | 455 | 486,108 | ||||||||||
4.50%, 09/01/26(g) | 637 | 679,997 | ||||||||||
5.75%, 02/01/27 | 27 | 30,041 | ||||||||||
4.50%, 01/15/28 | 432 | 456,840 | ||||||||||
3.88%, 02/15/29(b) | 308 | 312,796 | ||||||||||
MPT Operating Partnership LP/MPT Finance Corp.(g) | ||||||||||||
5.00%, 10/15/27 | 66 | 69,966 | ||||||||||
4.63%, 08/01/29 | 399 | 427,114 | ||||||||||
3.50%, 03/15/31 | 962 | 971,610 | ||||||||||
RHP Hotel Properties LP/RHP Finance Corp. | ||||||||||||
4.75%, 10/15/27(g) | 604 | 620,338 | ||||||||||
4.50%, 02/15/29(b) | 179 | 179,147 | ||||||||||
RLJ Lodging Trust LP, 3.75%, 07/01/26(b) | 135 | 136,350 | ||||||||||
Starwood Property Trust, Inc., 5.00%, 12/15/21 | 234 | 235,170 | ||||||||||
Trust Fibra Uno, 6.95%, 01/30/44 | 200 | 243,900 | ||||||||||
Ventas Realty LP, 4.13%, 01/15/26(g) | 650 | 726,327 | ||||||||||
XHR LP, 4.88%, 06/01/29(b) | 63 | 65,047 | ||||||||||
|
| |||||||||||
9,938,341 | ||||||||||||
Food & Staples Retailing — 1.6% | ||||||||||||
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | ||||||||||||
5.75%, 03/15/25 | 11 | 11,248 | ||||||||||
3.25%, 03/15/26(b)(g) | 582 | 590,294 | ||||||||||
7.50%, 03/15/26(b)(g) | 107 | 117,433 | ||||||||||
4.63%, 01/15/27(b)(g) | 766 | 801,198 | ||||||||||
5.88%, 02/15/28(b) | 320 | 344,766 | ||||||||||
4.88%, 02/15/30(b) | 138 | 147,178 | ||||||||||
BRF GmbH, 4.35%, 09/29/26 | 200 | 210,413 | ||||||||||
Cydsa SAB de CV, 6.25%, 10/04/27(b)(g) | 252 | 265,595 | ||||||||||
Grupo KUO SAB de CV, 5.75%, 07/07/27(b) | 200 | 208,725 | ||||||||||
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24 | 200 | 206,100 | ||||||||||
Kraft Heinz Foods Co. | ||||||||||||
4.25%, 03/01/31(g) | 604 | 686,137 | ||||||||||
5.00%, 07/15/35 | 127 | 155,781 | ||||||||||
6.88%, 01/26/39(g) | 233 | 334,683 | ||||||||||
4.63%, 10/01/39 | 77 | 89,679 | ||||||||||
6.50%, 02/09/40 | 155 | 215,260 | ||||||||||
5.00%, 06/04/42 | 129 | 157,522 | ||||||||||
5.20%, 07/15/45(g) | 351 | 435,746 | ||||||||||
4.38%, 06/01/46(g) | 410 | 464,611 | ||||||||||
4.88%, 10/01/49(g) | 906 | 1,099,840 | ||||||||||
5.50%, 06/01/50(g) | 1,186 | 1,539,135 | ||||||||||
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(b)(g) | 156 | 172,575 | ||||||||||
Picard Groupe SAS, (3 mo. EURIBOR + 3.00%), 3.00%, 11/30/23(a) | EUR | 100 | 118,466 | |||||||||
Post Holdings, Inc.(b) | ||||||||||||
5.75%, 03/01/27 | USD | 253 | 264,701 | |||||||||
5.63%, 01/15/28 | 73 | 77,380 | ||||||||||
5.50%, 12/15/29(g) | 230 | 246,388 | ||||||||||
4.63%, 04/15/30(g) | 170 | 172,861 |
Security | Par (000) | Value | ||||||||||
Food & Staples Retailing (continued) | ||||||||||||
Post Holdings, Inc.(b) (continued) | ||||||||||||
4.50%, 09/15/31 | USD | 61 | $ | 60,899 | ||||||||
US Foods, Inc., 4.75%, 02/15/29(b) | 301 | 307,020 | ||||||||||
|
| |||||||||||
9,501,634 | ||||||||||||
Food Products(b) — 0.7% | ||||||||||||
Aramark Services, Inc.(g) | ||||||||||||
5.00%, 04/01/25 | 623 | 638,575 | ||||||||||
5.00%, 02/01/28 | 658 | 689,058 | ||||||||||
Chobani LLC/Chobani Finance Corp., Inc.(g) | ||||||||||||
7.50%, 04/15/25 | 512 | 532,690 | ||||||||||
4.63%, 11/15/28 | 242 | 250,772 | ||||||||||
Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(l) | 200 | 210,190 | ||||||||||
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28(g) | 361 | 394,844 | ||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.(g) | ||||||||||||
6.50%, 04/15/29 | 625 | 702,350 | ||||||||||
3.75%, 12/01/31 | 355 | 363,254 | ||||||||||
MHP Lux SA, 6.25%, 09/19/29 | 200 | 198,850 | ||||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 | 284 | 286,468 | ||||||||||
|
| |||||||||||
4,267,051 | ||||||||||||
Gas Utilities(b) — 0.0% | ||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 | 167 | 170,966 | ||||||||||
Superior Plus LP/Superior General Partner, Inc., 4.50%, 03/15/29 | 48 | 49,441 | ||||||||||
|
| |||||||||||
220,407 | ||||||||||||
Health Care Equipment & Supplies(b) — 0.5% | ||||||||||||
Avantor Funding, Inc., 4.63%, 07/15/28(g) | 959 | 1,012,483 | ||||||||||
Hologic, Inc., 3.25%, 02/15/29 | 87 | 86,239 | ||||||||||
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical | ||||||||||||
Diagnostics SA(g) | ||||||||||||
7.38%, 06/01/25 | 353 | 379,034 | ||||||||||
7.25%, 02/01/28 | 1,479 | 1,615,438 | ||||||||||
|
| |||||||||||
3,093,194 | ||||||||||||
Health Care Providers & Services — 4.1% | ||||||||||||
Acadia Healthcare Co., Inc.(b) | ||||||||||||
5.50%, 07/01/28 | 204 | 217,770 | ||||||||||
5.00%, 04/15/29 | 171 | 178,339 | ||||||||||
AdaptHealth LLC(b) | ||||||||||||
6.13%, 08/01/28 | 147 | 156,539 | ||||||||||
4.63%, 08/01/29 | 105 | 106,313 | ||||||||||
AHP Health Partners, Inc.(b) | ||||||||||||
9.75%, 07/15/26 | 353 | 379,757 | ||||||||||
5.75%, 07/15/29(d) | 274 | 277,768 | ||||||||||
Anthem, Inc., 2.75%, 10/15/42(j) | 128 | 690,906 | ||||||||||
Centene Corp. | ||||||||||||
4.25%, 12/15/27(g) | 372 | 391,995 | ||||||||||
2.45%, 07/15/28(d) | 771 | 781,408 | ||||||||||
4.63%, 12/15/29(g) | 1,590 | 1,748,634 | ||||||||||
3.00%, 10/15/30(g) | 470 | 482,822 | ||||||||||
2.50%, 03/01/31(g) | 1,159 | 1,143,064 | ||||||||||
CHS/Community Health Systems, Inc.(b) 6.63%, 02/15/25(g) | 703 | 743,415 |
SCHEDULE OF INVESTMENTS | 63 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Providers & Services (continued) | ||||||||||||
CHS/Community Health Systems, Inc.(b) (continued) | ||||||||||||
8.00%, 03/15/26(g) | USD | 1,265 | $ | 1,363,037 | ||||||||
5.63%, 03/15/27(g) | 632 | 674,660 | ||||||||||
6.00%, 01/15/29 | 502 | 537,140 | ||||||||||
6.88%, 04/15/29 | 58 | 60,695 | ||||||||||
6.13%, 04/01/30 | 243 | 246,645 | ||||||||||
DaVita, Inc., 4.63%, 06/01/30(b) | 127 | 130,584 | ||||||||||
Encompass Health Corp. | ||||||||||||
4.50%, 02/01/28 | 45 | 46,686 | ||||||||||
4.75%, 02/01/30 | 383 | 406,938 | ||||||||||
4.63%, 04/01/31 | 211 | 226,076 | ||||||||||
HCA, Inc. | ||||||||||||
5.38%, 02/01/25(g) | 381 | 429,768 | ||||||||||
5.88%, 02/15/26 | 46 | 53,160 | ||||||||||
5.38%, 09/01/26(g) | 430 | 494,822 | ||||||||||
5.63%, 09/01/28(g) | 692 | 820,020 | ||||||||||
5.88%, 02/01/29(g) | 516 | 623,070 | ||||||||||
3.50%, 09/01/30(g) | 826 | 879,996 | ||||||||||
5.50%, 06/15/47(g) | 650 | 846,574 | ||||||||||
Legacy LifePoint Health LLC(b) | ||||||||||||
6.75%, 04/15/25 | 190 | 202,474 | ||||||||||
4.38%, 02/15/27 | 217 | 219,604 | ||||||||||
LifePoint Health, Inc., 5.38%, 01/15/29(b) | 238 | 232,050 | ||||||||||
ModivCare, Inc., 5.88%, 11/15/25(b) | 71 | 75,970 | ||||||||||
Molina Healthcare, Inc.(b) | ||||||||||||
4.38%, 06/15/28 | 336 | 350,280 | ||||||||||
3.88%, 11/15/30 | 280 | 291,550 | ||||||||||
Prime Healthcare Services, Inc., 7.25%, 11/01/25(b) | 312 | 337,765 | ||||||||||
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) | 53 | 57,041 | ||||||||||
Surgery Center Holdings, Inc.(b)(g) | ||||||||||||
6.75%, 07/01/25 | 611 | 623,220 | ||||||||||
10.00%, 04/15/27 | 676 | 741,910 | ||||||||||
Teleflex, Inc. | ||||||||||||
4.63%, 11/15/27 | 58 | 61,781 | ||||||||||
4.25%, 06/01/28(b)(g) | 368 | 383,640 | ||||||||||
Tenet Healthcare Corp. | ||||||||||||
4.63%, 07/15/24(g) | 514 | 521,556 | ||||||||||
4.63%, 09/01/24(b)(g) | 367 | 376,674 | ||||||||||
7.50%, 04/01/25(b) | 163 | 176,061 | ||||||||||
4.88%, 01/01/26(b)(g) | 1,596 | 1,655,371 | ||||||||||
6.25%, 02/01/27(b)(g) | 52 | 54,275 | ||||||||||
5.13%, 11/01/27(b)(g) | 562 | 589,397 | ||||||||||
4.63%, 06/15/28(b) | 81 | 83,365 | ||||||||||
6.13%, 10/01/28(b)(g) | 395 | 420,928 | ||||||||||
4.25%, 06/01/29(b) | 298 | 301,725 | ||||||||||
UnitedHealth Group, Inc., | 1,470 | 1,631,081 | ||||||||||
Vizient, Inc., 6.25%, 05/15/27(b) | 407 | 430,403 | ||||||||||
|
| |||||||||||
24,956,722 | ||||||||||||
Health Care Technology — 0.7% | ||||||||||||
Catalent Pharma Solutions, Inc. | ||||||||||||
5.00%, 07/15/27(b)(g) | 365 | 381,410 | ||||||||||
2.38%, 03/01/28 | EUR | 100 | 118,812 | |||||||||
3.13%, 02/15/29(b) | USD | 180 | 174,308 | |||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b)(g) | 791 | 803,854 | ||||||||||
Charles River Laboratories International, Inc.(b) | ||||||||||||
4.25%, 05/01/28 | 159 | 164,366 | ||||||||||
3.75%, 03/15/29 | 34 | 34,468 | ||||||||||
4.00%, 03/15/31 | 98 | 101,952 | ||||||||||
Indigo Merger Sub, Inc., | 484 | 491,652 |
Security | Par (000) | Value | ||||||||||
Health Care Technology (continued) | ||||||||||||
IQVIA, Inc.(b)(g) | ||||||||||||
5.00%, 10/15/26 | USD | 463 | $ | 479,205 | ||||||||
5.00%, 05/15/27 | 637 | 667,258 | ||||||||||
Mednax, Inc., 6.25%, 01/15/27(b) | 245 | 259,394 | ||||||||||
Syneos Health, Inc., 3.63%, 01/15/29(b)(g) | 465 | 460,350 | ||||||||||
|
| |||||||||||
4,137,029 | ||||||||||||
Hotels, Restaurants & Leisure — 4.2% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc.(b) | ||||||||||||
5.75%, 04/15/25 | 207 | 219,163 | ||||||||||
3.88%, 01/15/28(d)(g) | 549 | 555,862 | ||||||||||
4.38%, 01/15/28 | 134 | 135,843 | ||||||||||
Accor SA, 0.70%, 12/07/27 | EUR | 31 | 19,529 | |||||||||
Affinity Gaming, 6.88%, 12/15/27(b) | USD | 34 | 36,083 | |||||||||
Boyd Gaming Corp. | ||||||||||||
8.63%, 06/01/25(b) | 97 | 106,930 | ||||||||||
4.75%, 12/01/27 | 179 | 185,265 | ||||||||||
4.75%, 06/15/31(b) | 376 | 390,100 | ||||||||||
Boyne USA, Inc., 4.75%, 05/15/29(b) | 235 | 242,457 | ||||||||||
Caesars Entertainment, Inc.(b)(g) | ||||||||||||
6.25%, 07/01/25 | 1,466 | 1,553,960 | ||||||||||
8.13%, 07/01/27 | 1,308 | 1,454,758 | ||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)(g) | 478 | 503,692 | ||||||||||
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b)(g) | 504 | 526,050 | ||||||||||
Champion Path Holdings Ltd. | ||||||||||||
4.50%, 01/27/26 | 232 | 241,280 | ||||||||||
4.85%, 01/27/28 | 231 | 240,789 | ||||||||||
Churchill Downs, Inc.(b) | ||||||||||||
5.50%, 04/01/27(g) | 702 | 731,524 | ||||||||||
4.75%, 01/15/28 | 358 | 370,426 | ||||||||||
Cirsa Finance International Sarl, 4.75%, 05/22/25 | EUR | 100 | 119,020 | |||||||||
Everi Holdings, Inc., 5.00%, 07/15/29(b)(d) | USD | 51 | 51,000 | |||||||||
Fortune Star BVI Ltd. | ||||||||||||
5.95%, 01/29/23 | 200 | 204,975 | ||||||||||
6.75%, 07/02/23 | 250 | 262,312 | ||||||||||
5.95%, 10/19/25 | 475 | 499,284 | ||||||||||
5.05%, 01/27/27 | 200 | 201,100 | ||||||||||
Golden Nugget, Inc., 6.75%, 10/15/24(b)(g) | 1,462 | 1,476,942 | ||||||||||
Hilton Domestic Operating Co., Inc. | ||||||||||||
5.38%, 05/01/25(b) | 145 | 152,613 | ||||||||||
5.75%, 05/01/28(b) | 99 | 107,125 | ||||||||||
4.88%, 01/15/30(g) | 952 | 1,016,260 | ||||||||||
4.00%, 05/01/31(b) | 233 | 235,067 | ||||||||||
International Game Technology PLC, 3.50%, 06/15/26 | EUR | 100 | 121,421 | |||||||||
Marriott Ownership Resorts, Inc., 4.50%, 06/15/29(b) | USD | 151 | 153,076 | |||||||||
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 | 40 | 41,550 | ||||||||||
McDonald’s Corp., 3.70%, 01/30/26(g) | 405 | 450,053 | ||||||||||
Melco Resorts Finance Ltd., 5.25%, 04/26/26 | 250 | 259,422 | ||||||||||
Merlin Entertainments Ltd., 5.75%, 06/15/26(b) | 200 | 209,262 | ||||||||||
MGM China Holdings Ltd., 5.88%, 05/15/26 | 250 | 261,922 | ||||||||||
MGM Resorts International | ||||||||||||
7.75%, 03/15/22(g) | 575 | 600,990 | ||||||||||
6.00%, 03/15/23(g) | 416 | 444,995 | ||||||||||
5.75%, 06/15/25 | 29 | 31,980 | ||||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) | 259 | 259,324 |
64 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) | ||||||||||||
Penn National Gaming, Inc., 4.13%, 07/01/29(b)(d) | USD | 128 | $ | 127,840 | ||||||||
Playtika Holding Corp., 4.25%, 03/15/29(b) | 414 | 413,714 | ||||||||||
Powdr Corp., 6.00%, 08/01/25(b) | 229 | 240,450 | ||||||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(b) | 177 | 179,474 | ||||||||||
Scientific Games International, Inc. | ||||||||||||
8.63%, 07/01/25(b) | 203 | 222,285 | ||||||||||
5.00%, 10/15/25(b)(g) | 766 | 790,895 | ||||||||||
3.38%, 02/15/26 | EUR | 100 | 118,883 | |||||||||
8.25%, 03/15/26(b)(g) | USD | 565 | 605,951 | |||||||||
7.00%, 05/15/28(b) | 174 | 190,043 | ||||||||||
7.25%, 11/15/29(b) | 51 | 57,528 | ||||||||||
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(g) | 753 | 811,508 | ||||||||||
Spirit Issuer PLC, Series A5, 5.47%, 12/28/34 | GBP | 2,550 | 3,919,377 | |||||||||
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25 | 100 | 144,555 | ||||||||||
Studio City Finance Ltd., 6.00%, 07/15/25 | USD | 346 | 362,932 | |||||||||
Vail Resorts, Inc., 6.25%, 05/15/25(b) | 154 | 164,839 | ||||||||||
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) | 158 | 164,037 | ||||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) | 192 | 206,227 | ||||||||||
Wynn Macau Ltd. | ||||||||||||
5.50%, 01/15/26 | 347 | 362,463 | ||||||||||
5.50%, 10/01/27 | 200 | 207,600 | ||||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) | ||||||||||||
7.75%, 04/15/25 | 239 | 257,523 | ||||||||||
5.13%, 10/01/29(g) | 748 | 790,075 | ||||||||||
Yum! Brands, Inc. | ||||||||||||
7.75%, 04/01/25(b)(g) | 395 | 429,562 | ||||||||||
4.75%, 01/15/30(b)(g) | 279 | 302,020 | ||||||||||
3.63%, 03/15/31 | 96 | 95,520 | ||||||||||
5.35%, 11/01/43 | 71 | 75,438 | ||||||||||
|
| |||||||||||
25,914,143 | ||||||||||||
Household Durables — 0.6% | ||||||||||||
Brookfield Residential Properties, Inc./Brookfield Residential US LLC(b) | ||||||||||||
5.00%, 06/15/29 | 208 | 209,560 | ||||||||||
4.88%, 02/15/30(g) | 412 | 408,004 | ||||||||||
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) | 253 | 271,186 | ||||||||||
Controladora Mabe SA de CV, 5.60%, 10/23/28(b)(g) | 200 | 233,037 | ||||||||||
Forestar Group, Inc., 3.85%, 05/15/26(b) | 104 | 104,941 | ||||||||||
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) | 307 | 325,420 | ||||||||||
KB Home, 4.00%, 06/15/31 | 96 | 96,840 | ||||||||||
LGI Homes, Inc., 4.00%, 07/15/29(b) | 78 | 78,390 | ||||||||||
Mattamy Group Corp., 4.63%, 03/01/30(b) | 233 | 238,009 | ||||||||||
Meritage Homes Corp., 5.13%, 06/06/27 | 50 | 55,875 | ||||||||||
Modern Land China Co. Ltd., 9.80%, 04/11/23 | 231 | 208,376 | ||||||||||
NCR Corp.(b) | ||||||||||||
5.75%, 09/01/27 | 220 | 232,788 | ||||||||||
5.00%, 10/01/28 | 110 | 113,748 | ||||||||||
5.13%, 04/15/29 | 185 | 190,781 | ||||||||||
6.13%, 09/01/29 | 92 | 100,280 | ||||||||||
5.25%, 10/01/30 | 111 | 115,163 | ||||||||||
Newell Brands, Inc., 6.00%, 04/01/46 | 37 | 46,886 | ||||||||||
Taylor Morrison Communities, Inc.(b) | ||||||||||||
5.88%, 06/15/27 | 245 | 277,156 | ||||||||||
5.13%, 08/01/30 | 54 | 58,530 | ||||||||||
Tempur Sealy International, Inc., 4.00%, 04/15/29(b) | 272 | 275,386 |
Security | Par (000) | Value | ||||||||||
Household Durables (continued) | ||||||||||||
Toll Brothers Finance Corp., 4.35%, 02/15/28 | USD | 12 | $ | 13,170 | ||||||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24 | 11 | 12,239 | ||||||||||
Tri Pointe Homes, Inc., 5.25%, 06/01/27 | 15 | 16,275 | ||||||||||
|
| |||||||||||
3,682,040 | ||||||||||||
Household Products — 0.0% | ||||||||||||
Berkline Benchcraft LLC, | 200 | — | ||||||||||
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(b) | 175 | 177,625 | ||||||||||
|
| |||||||||||
177,625 | ||||||||||||
Independent Power and Renewable Electricity Producers — 1.2% | ||||||||||||
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24 | 200 | 220,912 | ||||||||||
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 | 200 | 211,475 | ||||||||||
Calpine Corp.(b) | ||||||||||||
5.25%, 06/01/26(g) | 481 | 494,829 | ||||||||||
4.50%, 02/15/28(g) | 494 | 503,880 | ||||||||||
5.13%, 03/15/28(g) | 1,275 | 1,297,312 | ||||||||||
4.63%, 02/01/29(g) | 230 | 226,122 | ||||||||||
5.00%, 02/01/31 | 222 | 220,890 | ||||||||||
3.75%, 03/01/31 | 5 | 4,762 | ||||||||||
Clearway Energy Operating LLC, 4.75%, 03/15/28(b)(g) | 287 | 300,991 | ||||||||||
Continuum Energy Levanter Pte Ltd., 4.50%, 02/09/27(b) | 200 | 204,787 | ||||||||||
Greenko Dutch BV, 3.85%, 03/29/26 | 200 | 205,000 | ||||||||||
Greenko Mauritius Ltd., 6.25%, 02/21/23 | 200 | 206,000 | ||||||||||
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 | 200 | 215,475 | ||||||||||
India Green Energy Holdings | ||||||||||||
5.38%, 04/29/24(b) | 250 | 261,797 | ||||||||||
5.38%, 04/29/24 | 250 | 261,797 | ||||||||||
Investment Energy Resources Ltd., 6.25%, 04/26/29(b) | 200 | 216,250 | ||||||||||
NRG Energy, Inc. | ||||||||||||
6.63%, 01/15/27(g) | 745 | 771,239 | ||||||||||
5.75%, 01/15/28 | 63 | 67,095 | ||||||||||
5.25%, 06/15/29(b)(g) | 253 | 269,129 | ||||||||||
3.63%, 02/15/31(b)(g) | 277 | 272,208 | ||||||||||
ReNew Power Pvt Ltd., 5.88%, 03/05/27 | 200 | 212,975 | ||||||||||
ReNew Power Synthetic, 6.67%, 03/12/24 | 200 | 209,912 | ||||||||||
TerraForm Power Operating LLC(b) | ||||||||||||
4.25%, 01/31/23 | 106 | 108,783 | ||||||||||
5.00%, 01/31/28 | 96 | 101,640 | ||||||||||
4.75%, 01/15/30 | 186 | 190,496 | ||||||||||
|
| |||||||||||
7,255,756 | ||||||||||||
Insurance — 2.0% | ||||||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(g) | ||||||||||||
4.25%, 10/15/27 | 1,112 | 1,128,669 | ||||||||||
6.75%, 10/15/27 | 1,882 | 1,977,907 | ||||||||||
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(g) | 360 | 395,235 | ||||||||||
AmWINS Group, Inc., 7.75%, 07/01/26(b) | 123 | 130,460 | ||||||||||
Aon PLC, 3.88%, 12/15/25(g) | 1,115 | 1,238,069 | ||||||||||
Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(l) | 306 | 329,868 | ||||||||||
AssuredPartners, Inc., 5.63%, 01/15/29(b) | 267 | 267,000 | ||||||||||
BroadStreet Partners, Inc., 5.88%, 04/15/29(b) | 191 | 194,820 |
SCHEDULE OF INVESTMENTS | 65 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Insurance (continued) | ||||||||||||
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) | USD | 379 | $ | 403,635 | ||||||||
HUB International Ltd., 7.00%, 05/01/26(b)(g) | 1,226 | 1,271,472 | ||||||||||
Nationwide Building Society, (5 year USD ICE Swap + 1.85%), | 595 | 649,234 | ||||||||||
Unipol Gruppo SpA, 3.25%, 09/23/30 | EUR | 100 | 133,297 | |||||||||
Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), 5.65%, 05/15/53(a)(g) | USD | 3,500 | 3,745,000 | |||||||||
|
| |||||||||||
11,864,666 | ||||||||||||
Interactive Media & Services — 0.7% | ||||||||||||
21Vianet Group, Inc., 7.88%, 10/15/21 | 200 | 199,850 | ||||||||||
Arches Buyer, Inc., 4.25%, 06/01/28(b) | 110 | 108,763 | ||||||||||
Cablevision Lightpath LLC(b) | ||||||||||||
3.88%, 09/15/27 | 200 | 197,668 | ||||||||||
5.63%, 09/15/28 | 400 | 407,400 | ||||||||||
Netflix, Inc. | ||||||||||||
3.63%, 06/15/25(b) | 96 | 103,089 | ||||||||||
4.88%, 04/15/28 | 109 | 126,712 | ||||||||||
5.88%, 11/15/28(g) | 730 | 896,024 | ||||||||||
6.38%, 05/15/29 | 34 | 43,427 | ||||||||||
5.38%, 11/15/29(b)(g) | 827 | 1,004,471 | ||||||||||
3.63%, 06/15/30 | EUR | 100 | 140,867 | |||||||||
4.88%, 06/15/30(b)(g) | USD | 467 | 555,403 | |||||||||
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 6.00%, 02/15/28(b) | 337 | 337,738 | ||||||||||
Twitter, Inc., 3.88%, 12/15/27(b) | 241 | 256,062 | ||||||||||
United Group BV, 4.00%, 11/15/27 | EUR | 100 | 117,733 | |||||||||
|
| |||||||||||
4,495,207 | ||||||||||||
Internet Software & Services — 1.1% | ||||||||||||
Airbnb, Inc., 0.00%, 03/15/26(b)(j)(k) | USD | 567 | 534,397 | |||||||||
ANGI Group LLC, 3.88%, 08/15/28(b) | 262 | 260,362 | ||||||||||
Booking Holdings, Inc., 0.75%, 05/01/25(j) | 682 | 964,348 | ||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b) | ||||||||||||
5.25%, 12/01/27 | 303 | 318,150 | ||||||||||
3.50%, 03/01/29 | 125 | 124,188 | ||||||||||
Match Group Holdings II LLC(b) | ||||||||||||
4.63%, 06/01/28 | 157 | 163,260 | ||||||||||
5.63%, 02/15/29 | 177 | 191,160 | ||||||||||
4.13%, 08/01/30 | 198 | 201,465 | ||||||||||
Uber Technologies, Inc.(b) | ||||||||||||
7.50%, 05/15/25(g) | 734 | 792,133 | ||||||||||
0.00%, 12/15/25(j)(k) | 1,582 | 1,604,148 | ||||||||||
8.00%, 11/01/26(g) | 311 | 335,102 | ||||||||||
7.50%, 09/15/27(g) | 567 | 623,122 | ||||||||||
6.25%, 01/15/28(g) | 318 | 342,235 | ||||||||||
Zillow Group, Inc., 1.38%, 09/01/26(j) | 55 | 155,402 | ||||||||||
|
| |||||||||||
6,609,472 | ||||||||||||
IT Services — 1.3% | ||||||||||||
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) | 144 | 148,974 | ||||||||||
Austin BidCo, Inc., 7.13%, 12/15/28(b) | 72 | 73,778 | ||||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26(b)(g) | 1,533 | 1,613,482 | ||||||||||
Booz Allen Hamilton, Inc.(b) | ||||||||||||
3.88%, 09/01/28(g) | 363 | 370,260 | ||||||||||
4.00%, 07/01/29 | 378 | 386,505 | ||||||||||
Camelot Finance SA, 4.50%, 11/01/26(b)(g) | 564 | 590,085 | ||||||||||
Castle US Holding Corp., 9.50%, 02/15/28(b) | 296 | 308,580 | ||||||||||
Dun & Bradstreet Corp.(b)(g) | ||||||||||||
6.88%, 08/15/26 | 597 | 632,820 | ||||||||||
10.25%, 02/15/27 | 297 | 327,956 |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
Fair Isaac Corp., 4.00%, 06/15/28(b) | USD | 169 | $ | 174,689 | ||||||||
Gartner, Inc.(b) | ||||||||||||
4.50%, 07/01/28 | 35 | 36,964 | ||||||||||
3.63%, 06/15/29 | 204 | 207,060 | ||||||||||
3.75%, 10/01/30(g) | 416 | 425,614 | ||||||||||
KBR, Inc., 4.75%, 09/30/28(b) | 186 | 186,000 | ||||||||||
Rackspace Technology Global, Inc., 5.38%, 12/01/28(b)(g) | 426 | 436,650 | ||||||||||
Science Applications International Corp., 4.88%, 04/01/28(b)(g) | 254 | 266,382 | ||||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp.(b) | ||||||||||||
5.75%, 06/01/25 | 243 | 255,757 | ||||||||||
6.75%, 06/01/25(g) | 934 | 949,766 | ||||||||||
Twilio, Inc., 3.88%, 03/15/31 | 198 | 203,198 | ||||||||||
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) | 252 | 250,425 | ||||||||||
|
| |||||||||||
7,844,945 | ||||||||||||
Leisure Products — 0.2% | ||||||||||||
Mattel, Inc. | ||||||||||||
6.75%, 12/31/25(b)(g) | 295 | 309,956 | ||||||||||
5.88%, 12/15/27(b) | 293 | 319,370 | ||||||||||
3.75%, 04/01/29(b) | 103 | 107,120 | ||||||||||
6.20%, 10/01/40 | 90 | 110,925 | ||||||||||
5.45%, 11/01/41 | 91 | 104,878 | ||||||||||
|
| |||||||||||
952,249 | ||||||||||||
Machinery — 0.7% | ||||||||||||
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(b) | 108 | 110,565 | ||||||||||
Colfax Corp., 6.38%, 02/15/26(b) | 127 | 134,112 | ||||||||||
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h) | 581 | 630,385 | ||||||||||
Madison IAQ LLC(b) | ||||||||||||
4.13%, 06/30/28 | 97 | 97,970 | ||||||||||
5.88%, 06/30/29 | 705 | 717,337 | ||||||||||
Mueller Water Products, Inc., | 138 | 141,812 | ||||||||||
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(b) | 353 | 360,060 | ||||||||||
Stevens Holding Co., Inc., 6.13%, 10/01/26(b) | 167 | 179,108 | ||||||||||
Terex Corp., 5.00%, 05/15/29(b) | 298 | 310,665 | ||||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b)(g) | 727 | 753,354 | ||||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27 | EUR | 100 | 123,829 | |||||||||
TK Elevator US Newco Inc., | USD | 394 | 415,177 | |||||||||
Vertical Holdco GmbH, 7.63%, 07/15/28(b) | 400 | 434,076 | ||||||||||
|
| |||||||||||
4,408,450 | ||||||||||||
Media — 9.2% | ||||||||||||
Altice Financing SA | ||||||||||||
7.50%, 05/15/26(b)(g) | 1,143 | 1,190,206 | ||||||||||
3.00%, 01/15/28 | EUR | 100 | 112,726 | |||||||||
5.00%, 01/15/28(b)(g) | USD | 378 | 370,504 | |||||||||
Altice France Holding SA(b) | ||||||||||||
10.50%, 05/15/27(g) | 1,473 | 1,636,871 | ||||||||||
6.00%, 02/15/28 | 382 | 380,396 | ||||||||||
AMC Networks, Inc. | ||||||||||||
4.75%, 08/01/25 | 222 | 227,927 | ||||||||||
4.25%, 02/15/29 | 123 | 124,076 | ||||||||||
Block Communications, Inc., | 128 | 130,560 | ||||||||||
Cable One, Inc.(b) | ||||||||||||
1.13%, 03/15/28(j) | 1,028 | 1,045,493 |
66 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Cable One, Inc.(b) (continued) | ||||||||||||
4.00%, 11/15/30 | USD | 178 | $ | 178,667 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
5.13%, 05/01/27(b)(g) | 680 | 713,252 | ||||||||||
5.00%, 02/01/28(b) | 34 | 35,658 | ||||||||||
5.38%, 06/01/29(b)(g) | 731 | 799,056 | ||||||||||
4.75%, 03/01/30(b) | 132 | 139,590 | ||||||||||
4.50%, 08/15/30(b)(g) | 1,300 | 1,353,578 | ||||||||||
4.25%, 02/01/31(b)(g) | 678 | 690,712 | ||||||||||
4.50%, 05/01/32(g) | 734 | 760,607 | ||||||||||
4.50%, 06/01/33(b) | 362 | 370,420 | ||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital(g) | ||||||||||||
4.91%, 07/23/25 | 2,425 | 2,747,309 | ||||||||||
5.38%, 05/01/47 | 425 | 520,799 | ||||||||||
Cinemark USA, Inc., 5.25%, 07/15/28(b) | 114 | 116,850 | ||||||||||
Clear Channel International BV, 6.63%, 08/01/25(b) | 384 | 403,519 | ||||||||||
Clear Channel Outdoor Holdings, Inc.(b) | ||||||||||||
7.75%, 04/15/28 | 487 | 510,142 | ||||||||||
7.50%, 06/01/29 | 694 | 718,524 | ||||||||||
Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b)(g) | 1,880 | 1,927,414 | ||||||||||
Comcast Corp., 3.95%, 10/15/25(g) | 3,000 | 3,361,441 | ||||||||||
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b)(g) | 2,266 | 2,396,295 | ||||||||||
CSC Holdings LLC | ||||||||||||
6.75%, 11/15/21 | 187 | 190,684 | ||||||||||
5.25%, 06/01/24 | 123 | 133,296 | ||||||||||
6.50%, 02/01/29(b)(g) | 865 | 958,074 | ||||||||||
5.75%, 01/15/30(b)(g) | 660 | 685,575 | ||||||||||
4.13%, 12/01/30(b)(g) | 397 | 394,519 | ||||||||||
4.63%, 12/01/30(b)(g) | 1,243 | 1,219,520 | ||||||||||
3.38%, 02/15/31(b)(g) | 257 | 242,842 | ||||||||||
4.50%, 11/15/31(b)(g) | 468 | 470,874 | ||||||||||
5.00%, 11/15/31(b) | 262 | 263,258 | ||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b)(g) | 511 | 330,872 | ||||||||||
Discovery Communications LLC(g) | ||||||||||||
3.25%, 04/01/23 | 1,490 | 1,551,843 | ||||||||||
3.45%, 03/15/25 | 170 | 182,644 | ||||||||||
DISH DBS Corp. | ||||||||||||
5.88%, 07/15/22(g) | 1,233 | 1,286,266 | ||||||||||
5.00%, 03/15/23 | 358 | 374,694 | ||||||||||
7.75%, 07/01/26(g) | 853 | 966,022 | ||||||||||
5.13%, 06/01/29(b) | 574 | 566,785 | ||||||||||
DISH Network Corp.(j) | ||||||||||||
2.38%, 03/15/24 | 312 | 302,445 | ||||||||||
3.38%, 08/15/26 | 922 | 940,901 | ||||||||||
Frontier Communications Holdings LLC(b) | ||||||||||||
5.88%, 10/15/27(g) | 462 | 494,917 | ||||||||||
5.00%, 05/01/28(g) | 674 | 696,801 | ||||||||||
6.75%, 05/01/29 | 639 | 679,430 | ||||||||||
GCI LLC, 4.75%, 10/15/28(b) | 89 | 91,092 | ||||||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26(g) | 177 | 198,272 | ||||||||||
iHeartCommunications, Inc. | ||||||||||||
6.38%, 05/01/26 | 264 | 281,012 | ||||||||||
8.38%, 05/01/27 | 35 | 37,494 | ||||||||||
5.25%, 08/15/27(b) | 122 | 127,539 | ||||||||||
4.75%, 01/15/28(b) | 78 | 80,243 |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Lamar Media Corp., 4.00%, 02/15/30 | USD | 126 | $ | 127,526 | ||||||||
LCPR Senior Secured Financing DAC(b)(g) | ||||||||||||
6.75%, 10/15/27 | 400 | 431,080 | ||||||||||
5.13%, 07/15/29 | 568 | 587,170 | ||||||||||
Liberty Broadband Corp.(b)(j) | ||||||||||||
1.25%, 09/30/50 | 502 | 505,263 | ||||||||||
2.75%, 09/30/50 | 825 | 866,183 | ||||||||||
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(h) | 470 | 463,364 | ||||||||||
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) | 63 | 66,229 | ||||||||||
Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(b) | 200 | 203,937 | ||||||||||
Live Nation Entertainment, Inc. | ||||||||||||
2.50%, 03/15/23(j) | 473 | 660,450 | ||||||||||
4.88%, 11/01/24(b) | 31 | 31,496 | ||||||||||
2.00%, 02/15/25(j) | 857 | 956,412 | ||||||||||
6.50%, 05/15/27(b)(g) | 966 | 1,072,067 | ||||||||||
4.75%, 10/15/27(b) | 91 | 94,299 | ||||||||||
3.75%, 01/15/28(b) | 189 | 189,835 | ||||||||||
Lorca Telecom Bondco SA, 4.00%, 09/18/27 | EUR | 100 | 120,650 | |||||||||
Meredith Corp., 6.88%, 02/01/26 | USD | 45 | 46,800 | |||||||||
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) | 177 | 185,850 | ||||||||||
Network i2i Ltd., (5 year CMT + 4.27%), 5.65%(a)(l) | 520 | 555,100 | ||||||||||
News Corp., 3.88%, 05/15/29(b) | 124 | 125,240 | ||||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) | ||||||||||||
5.00%, 08/15/27(g) | 383 | 396,554 | ||||||||||
4.25%, 01/15/29 | 121 | 121,756 | ||||||||||
Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(b)(g) | 228 | 243,823 | ||||||||||
Radiate Holdco LLC/Radiate Finance, Inc.(b)(g) | ||||||||||||
4.50%, 09/15/26 | 886 | 917,010 | ||||||||||
6.50%, 09/15/28 | 2,011 | 2,112,857 | ||||||||||
Sable International Finance Ltd. | ||||||||||||
5.75%, 09/07/27 | 270 | 284,094 | ||||||||||
5.75%, 09/07/27(b) | 200 | 210,440 | ||||||||||
Scripps Escrow II, Inc.(b) | ||||||||||||
3.88%, 01/15/29 | 17 | 16,865 | ||||||||||
5.38%, 01/15/31 | 169 | 168,466 | ||||||||||
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) | 273 | 268,222 | ||||||||||
Sirius XM Radio, Inc.(b) | ||||||||||||
5.00%, 08/01/27 | 170 | 178,117 | ||||||||||
4.00%, 07/15/28 | 543 | 559,290 | ||||||||||
5.50%, 07/01/29(g) | 887 | 966,564 | ||||||||||
4.13%, 07/01/30(g) | 220 | 221,954 | ||||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26 | EUR | 100 | 124,053 | |||||||||
TEGNA, Inc., 5.50%, 09/15/24(b) | USD | 28 | 28,490 | |||||||||
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b) | 200 | 210,400 | ||||||||||
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) | 252 | 243,180 | ||||||||||
Terrier Media Buyer, Inc., | 654 | 707,137 | ||||||||||
Univision Communications, Inc.(b) | ||||||||||||
5.13%, 02/15/25 | 133 | 135,687 | ||||||||||
6.63%, 06/01/27 | 132 | 143,029 | ||||||||||
UPC Broadband Finco BV, 4.88%, 07/15/31(b) | 449 | 450,033 | ||||||||||
UPCB Finance VII Ltd., 3.63%, 06/15/29 | EUR | 100 | 121,073 | |||||||||
Videotron Ltd.(b) | ||||||||||||
5.13%, 04/15/27(g) | USD | 439 | 458,755 |
SCHEDULE OF INVESTMENTS | 67 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Videotron Ltd.(b) (continued) | ||||||||||||
3.63%, 06/15/29 | USD | 362 | $ | 369,135 | ||||||||
Virgin Media Secured Finance PLC(b) | ||||||||||||
5.50%, 08/15/26 | 200 | 206,250 | ||||||||||
5.50%, 05/15/29(g) | 200 | 215,000 | ||||||||||
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b)(g) | 754 | 769,080 | ||||||||||
VTR Comunicaciones SpA, 4.38%, 04/15/29(b) | 200 | 199,730 | ||||||||||
WMG Acquisition Corp., 3.88%, 07/15/30(b) | 136 | 137,346 | ||||||||||
Ziggo Bond Co. BV(b) | ||||||||||||
6.00%, 01/15/27 | 199 | 207,955 | ||||||||||
5.13%, 02/28/30 | 225 | 230,285 | ||||||||||
Ziggo BV(b)(g) | ||||||||||||
5.50%, 01/15/27 | 534 | 554,826 | ||||||||||
4.88%, 01/15/30 | 200 | 205,000 | ||||||||||
|
| |||||||||||
56,381,913 | ||||||||||||
Metals & Mining — 1.7% | ||||||||||||
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24 | 250 | 269,578 | ||||||||||
Allegheny Technologies, Inc., 7.88%, 08/15/23 | 68 | 74,545 | ||||||||||
Arconic Corp.(b) | ||||||||||||
6.00%, 05/15/25(g) | 332 | 353,836 | ||||||||||
6.13%, 02/15/28 | 343 | 367,943 | ||||||||||
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(g) | 1,049 | 1,155,211 | ||||||||||
Constellium SE(b) | ||||||||||||
5.88%, 02/15/26(g) | 588 | 605,464 | ||||||||||
5.63%, 06/15/28 | 250 | 268,125 | ||||||||||
3.75%, 04/15/29 | 506 | 500,940 | ||||||||||
Freeport-McMoRan, Inc. | ||||||||||||
4.38%, 08/01/28 | 272 | 287,300 | ||||||||||
5.40%, 11/14/34 | 31 | 37,442 | ||||||||||
5.45%, 03/15/43 | 1,051 | 1,284,658 | ||||||||||
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(b) | 200 | 217,600 | ||||||||||
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b)(g) | 371 | 379,362 | ||||||||||
HTA Group Ltd., 7.00%, 12/18/25(b) | 200 | 212,287 | ||||||||||
JSW Steel Ltd., 5.95%, 04/18/24 | 200 | 213,475 | ||||||||||
Kaiser Aluminum Corp.(b) | ||||||||||||
4.63%, 03/01/28 | 66 | 68,186 | ||||||||||
4.50%, 06/01/31 | 129 | 132,295 | ||||||||||
New Gold, Inc., 7.50%, 07/15/27(b)(g) | 545 | 591,325 | ||||||||||
Nexa Resources SA, 5.38%, 05/04/27(b) | 237 | 254,005 | ||||||||||
Novelis Corp.(b)(g) | ||||||||||||
5.88%, 09/30/26 | 373 | 388,015 | ||||||||||
4.75%, 01/30/30 | 881 | 925,050 | ||||||||||
Periama Holdings LLC, 5.95%, 04/19/26 | 200 | 217,100 | ||||||||||
thyssenkrupp AG | ||||||||||||
1.88%, 03/06/23 | EUR | 43 | 51,083 | |||||||||
2.88%, 02/22/24 | 84 | 101,018 | ||||||||||
Usiminas International Sarl, 5.88%, 07/18/26(b) | USD | 200 | 216,525 | |||||||||
Vale Overseas Ltd.(g) | ||||||||||||
6.25%, 08/10/26 | 63 | 75,553 | ||||||||||
3.75%, 07/08/30 | 155 | 164,843 | ||||||||||
Vedanta Resources Finance II PLC | ||||||||||||
8.00%, 04/23/23 | 313 | 296,039 | ||||||||||
13.88%, 01/21/24 | 200 | 217,400 |
Security | Par (000) | Value | ||||||||||
Metals & Mining (continued) | ||||||||||||
Vedanta Resources Finance II PLC (continued) | ||||||||||||
8.95%, 03/11/25 | USD | 293 | $ | 287,140 | ||||||||
8.95%, 03/11/25(b) | 200 | 196,000 | ||||||||||
|
| |||||||||||
10,409,343 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.0% | ||||||||||||
Apollo Commercial Real Estate Finance, Inc., 4.63%, 06/15/29(b) | 174 | 171,581 | ||||||||||
|
| |||||||||||
Multi-line Retail — 0.1% | ||||||||||||
Future Retail Ltd., 5.60%, 01/22/25 | 200 | 147,163 | ||||||||||
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) | 396 | 422,730 | ||||||||||
|
| |||||||||||
569,893 | ||||||||||||
Offshore Drilling & Other Services — 0.1% | ||||||||||||
Applied Materials, Inc., 3.90%, 10/01/25(g) | 285 | 318,844 | ||||||||||
Entegris, Inc.(b) | ||||||||||||
4.38%, 04/15/28 | 231 | 241,106 | ||||||||||
3.63%, 05/01/29 | 97 | 98,213 | ||||||||||
|
| |||||||||||
658,163 | ||||||||||||
Oil, Gas & Consumable Fuels — 9.3% | ||||||||||||
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)(g) | 648 | 701,590 | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) | ||||||||||||
7.88%, 05/15/26 | 201 | 224,640 | ||||||||||
5.75%, 03/01/27 | 226 | 235,040 | ||||||||||
5.75%, 01/15/28 | 59 | 62,084 | ||||||||||
5.38%, 06/15/29 | 206 | 214,755 | ||||||||||
Antero Resources Corp., 5.38%, 03/01/30(b) | 181 | 184,734 | ||||||||||
Apache Corp. | ||||||||||||
4.88%, 11/15/27 | 211 | 228,511 | ||||||||||
4.38%, 10/15/28 | 31 | 33,000 | ||||||||||
4.25%, 01/15/30 | 187 | 197,285 | ||||||||||
5.10%, 09/01/40(g) | 306 | 320,535 | ||||||||||
5.25%, 02/01/42 | 40 | 42,300 | ||||||||||
4.75%, 04/15/43(g) | 328 | 341,022 | ||||||||||
4.25%, 01/15/44 | 184 | 179,790 | ||||||||||
5.35%, 07/01/49 | 72 | 75,780 | ||||||||||
Arcosa, Inc., 4.38%, 04/15/29(b) | 374 | 380,545 | ||||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) | ||||||||||||
9.00%, 11/01/27 | 225 | 310,981 | ||||||||||
8.25%, 12/31/28 | 115 | 126,500 | ||||||||||
5.88%, 06/30/29 | 379 | 379,000 | ||||||||||
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(k) | 146 | 109,951 | ||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25(b)(g) | 498 | 506,332 | ||||||||||
Buckeye Partners LP | ||||||||||||
4.13%, 03/01/25(b)(g) | 262 | 271,497 | ||||||||||
5.85%, 11/15/43 | 145 | 143,912 | ||||||||||
5.60%, 10/15/44 | 166 | 161,020 | ||||||||||
Callon Petroleum Co. | ||||||||||||
6.25%, 04/15/23 | 52 | 52,060 | ||||||||||
6.13%, 10/01/24 | 126 | 124,210 | ||||||||||
9.00%, 04/01/25(b) | 752 | 819,680 | ||||||||||
8.00%, 08/01/28(b)(d) | 564 | 570,345 | ||||||||||
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 | EUR | 200 | 231,696 |
68 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Cenovus Energy, Inc., 5.40%, 06/15/47(g) | USD | 113 | $ | 139,829 | ||||||||
Centennial Resource Production LLC | ||||||||||||
6.88%, 04/01/27(b)(g) | 255 | 260,766 | ||||||||||
3.25%, 04/01/28(j) | 895 | 1,177,462 | ||||||||||
Cheniere Energy Partners LP(g) | ||||||||||||
4.50%, 10/01/29 | 529 | 568,675 | ||||||||||
4.00%, 03/01/31(b) | 675 | 705,375 | ||||||||||
Cheniere Energy, Inc., 4.63%, 10/15/28(b)(g) | 1,651 | 1,741,805 | ||||||||||
Chesapeake Energy Corp.(b) | ||||||||||||
5.50%, 02/01/26 | 20 | 21,100 | ||||||||||
5.88%, 02/01/29 | 65 | 70,360 | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24(b) | 228 | 232,560 | ||||||||||
CNX Resources Corp. | ||||||||||||
2.25%, 05/01/26(j) | 499 | 646,704 | ||||||||||
6.00%, 01/15/29(b) | 276 | 298,417 | ||||||||||
Colgate Energy Partners III LLC(b) | ||||||||||||
7.75%, 02/15/26 | 272 | 298,180 | ||||||||||
5.88%, 07/01/29 | 297 | 308,137 | ||||||||||
Comstock Resources, Inc.(b) | ||||||||||||
7.50%, 05/15/25(g) | 160 | 166,000 | ||||||||||
6.75%, 03/01/29(g) | 642 | 683,878 | ||||||||||
5.88%, 01/15/30 | 266 | 271,320 | ||||||||||
Continental Resources, Inc. | ||||||||||||
4.50%, 04/15/23 | 29 | 30,177 | ||||||||||
5.75%, 01/15/31(b)(g) | 120 | 143,700 | ||||||||||
4.90%, 06/01/44 | 118 | 133,636 | ||||||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 05/01/27(b) | 95 | 97,494 | ||||||||||
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)(g) | 790 | 817,650 | ||||||||||
DCP Midstream Operating LP(b) | ||||||||||||
6.45%, 11/03/36 | 226 | 264,420 | ||||||||||
6.75%, 09/15/37(g) | 392 | 471,380 | ||||||||||
DT Midstream, Inc.(b) | ||||||||||||
4.13%, 06/15/29 | 433 | 439,638 | ||||||||||
4.38%, 06/15/31 | 562 | 574,246 | ||||||||||
Dycom Industries, Inc., 4.50%, 04/15/29(b) | 102 | 102,883 | ||||||||||
eG Global Finance PLC | ||||||||||||
6.75%, 02/07/25(b) | 596 | 616,243 | ||||||||||
6.25%, 10/30/25 | EUR | 142 | 172,418 | |||||||||
8.50%, 10/30/25(b) | USD | 339 | 358,670 | |||||||||
Enbridge, Inc., (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(a)(g) | 1,565 | 1,708,256 | ||||||||||
Endeavor Energy Resources LP/EER Finance, Inc.(b) | ||||||||||||
6.63%, 07/15/25 | 192 | 205,440 | ||||||||||
5.50%, 01/30/26(g) | 815 | 846,581 | ||||||||||
5.75%, 01/30/28 | 386 | 411,572 | ||||||||||
Energean Israel Finance Ltd., 4.88%, 03/30/26(b) | 130 | 133,250 | ||||||||||
Energy Transfer LP | ||||||||||||
3.90%, 07/15/26(g) | 235 | 256,598 | ||||||||||
Series H, (5 year CMT + 5.69%), | 644 | 656,558 | ||||||||||
EnLink Midstream LLC | ||||||||||||
5.63%, 01/15/28(b) | 174 | 183,812 | ||||||||||
5.38%, 06/01/29 | 82 | 85,577 | ||||||||||
EnLink Midstream Partners LP | ||||||||||||
4.40%, 04/01/24(g) | 240 | 252,000 | ||||||||||
4.15%, 06/01/25 | 17 | 17,805 | ||||||||||
4.85%, 07/15/26 | 115 | 119,025 | ||||||||||
5.60%, 04/01/44 | 197 | 178,285 | ||||||||||
5.05%, 04/01/45 | 32 | 27,520 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EQM Midstream Partners LP | ||||||||||||
6.00%, 07/01/25(b)(g) | USD | 255 | $ | 277,312 | ||||||||
4.13%, 12/01/26 | 100 | 102,375 | ||||||||||
6.50%, 07/01/27(b)(g) | 364 | 405,860 | ||||||||||
4.50%, 01/15/29(b) | 240 | 244,171 | ||||||||||
4.75%, 01/15/31(b)(g) | 791 | 815,078 | ||||||||||
EQT Corp. | ||||||||||||
1.75%, 05/01/26(j) | 426 | 709,546 | ||||||||||
3.13%, 05/15/26(b) | 177 | 181,374 | ||||||||||
3.90%, 10/01/27 | 271 | 290,309 | ||||||||||
5.00%, 01/15/29 | 33 | 36,794 | ||||||||||
8.50%, 02/01/30 | 191 | 248,856 | ||||||||||
3.63%, 05/15/31(b) | 50 | 52,125 | ||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||||||||||
5.63%, 06/15/24 | 69 | 69,173 | ||||||||||
6.50%, 10/01/25 | 46 | 46,460 | ||||||||||
7.75%, 02/01/28 | 118 | 121,946 | ||||||||||
Geopark Ltd., 5.50%, 01/17/27(b) | 200 | 202,475 | ||||||||||
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 | 200 | 194,287 | ||||||||||
Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25(b) | 164 | 163,180 | ||||||||||
Harvest Midstream I LP, 7.50%, 09/01/28(b) | 137 | 148,782 | ||||||||||
Hess Corp., 4.30%, 04/01/27(g) | 50 | 55,648 | ||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co.(b) | ||||||||||||
5.75%, 02/01/29 | 127 | 132,398 | ||||||||||
6.00%, 02/01/31 | 147 | 155,820 | ||||||||||
Hilong Holding Ltd., 9.75%, 11/18/24 | 207 | 182,160 | ||||||||||
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 | 200 | 209,787 | ||||||||||
Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(c) | 1,418 | 1,406,036 | ||||||||||
Independence Energy Finance LLC, 7.25%, 05/01/26(b) | 471 | 494,630 | ||||||||||
Indigo Natural Resources LLC, 5.38%, 02/01/29(b) | 459 | 479,655 | ||||||||||
ITT Holdings LLC, 6.50%, 08/01/29(b)(d) | 343 | 349,431 | ||||||||||
Leviathan Bond Ltd., 5.75%, 06/30/23(b) | 227 | 236,457 | ||||||||||
Matador Resources Co., 5.88%, 09/15/26(g) | 1,151 | 1,185,530 | ||||||||||
Medco Bell Pte Ltd., 6.38%, 01/30/27 | �� | 250 | 258,016 | |||||||||
MEG Energy Corp.(b) | ||||||||||||
6.50%, 01/15/25(g) | 635 | 656,431 | ||||||||||
7.13%, 02/01/27 | 2 | 2,131 | ||||||||||
5.88%, 02/01/29 | 85 | 88,613 | ||||||||||
MPLX LP, 4.25%, 12/01/27(g) | 185 | 209,638 | ||||||||||
Murphy Oil Corp. | ||||||||||||
5.75%, 08/15/25 | 119 | 122,124 | ||||||||||
6.38%, 12/01/42 | 29 | 28,721 | ||||||||||
Murphy Oil USA, Inc., 4.75%, 09/15/29 | 146 | 153,621 | ||||||||||
Neptune Energy Bondco PLC, 6.63%, 05/15/25(b) | 200 | 205,340 | ||||||||||
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(b) | 74 | 75,982 | ||||||||||
New Fortress Energy, Inc.(b)(g) | ||||||||||||
6.75%, 09/15/25 | 1,087 | 1,112,816 | ||||||||||
6.50%, 09/30/26 | 1,323 | 1,351,841 | ||||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) | 362 | 380,100 | ||||||||||
NGPL PipeCo LLC, 7.77%, 12/15/37(b)(g) | 227 | 324,724 | ||||||||||
Northern Oil and Gas, Inc., | 479 | 516,122 | ||||||||||
NuStar Logistics LP | ||||||||||||
6.00%, 06/01/26 | 163 | 176,855 | ||||||||||
6.38%, 10/01/30 | 25 | 27,623 | ||||||||||
Occidental Petroleum Corp. | ||||||||||||
2.70%, 02/15/23 | 47 | 48,043 |
SCHEDULE OF INVESTMENTS | 69 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Occidental Petroleum Corp. (continued) | ||||||||||||
6.95%, 07/01/24 | USD | 63 | $ | 70,968 | ||||||||
2.90%, 08/15/24(g) | 466 | 476,485 | ||||||||||
5.50%, 12/01/25 | 100 | 110,502 | ||||||||||
5.55%, 03/15/26 | 36 | 39,780 | ||||||||||
3.40%, 04/15/26 | 68 | 69,530 | ||||||||||
3.20%, 08/15/26 | 16 | 16,120 | ||||||||||
3.00%, 02/15/27 | 4 | 3,970 | ||||||||||
8.88%, 07/15/30 | 34 | 45,471 | ||||||||||
6.13%, 01/01/31(g) | 477 | 561,205 | ||||||||||
4.30%, 08/15/39(g) | 482 | 460,310 | ||||||||||
6.20%, 03/15/40(g) | 909 | 1,027,824 | ||||||||||
4.50%, 07/15/44 | 428 | 411,950 | ||||||||||
4.63%, 06/15/45(g) | 498 | 485,550 | ||||||||||
6.60%, 03/15/46 | 26 | 30,906 | ||||||||||
4.40%, 04/15/46(g) | 432 | 414,936 | ||||||||||
4.10%, 02/15/47 | 64 | 59,592 | ||||||||||
4.20%, 03/15/48(g) | 296 | 276,760 | ||||||||||
4.40%, 08/15/49 | 104 | 99,840 | ||||||||||
Odebrecht Offshore Drilling Finance Ltd., (7.72% PIK), 7.72%, 12/01/26(b)(h) | — | (m) | 37 | |||||||||
Oil and Gas Holding Co., 7.63%, 11/07/24 | 200 | 222,725 | ||||||||||
OQ SAOC, 5.13%, 05/06/28(b) | 200 | 201,350 | ||||||||||
Ovintiv Exploration, Inc., | 33 | 37,189 | ||||||||||
Ovintiv, Inc.(g) | ||||||||||||
7.38%, 11/01/31 | 59 | 78,335 | ||||||||||
6.50%, 08/15/34 | 110 | 145,213 | ||||||||||
Parkland Corp., 4.50%, 10/01/29(b) | 102 | 103,651 | ||||||||||
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b)(g) | 611 | 615,515 | ||||||||||
PDC Energy, Inc. | ||||||||||||
1.13%, 09/15/21(j) | 922 | 913,956 | ||||||||||
6.13%, 09/15/24 | 151 | 154,428 | ||||||||||
6.25%, 12/01/25 | 122 | 126,270 | ||||||||||
5.75%, 05/15/26 | 235 | 245,500 | ||||||||||
Pertamina Persero PT, 3.65%, 07/30/29 | 202 | 216,115 | ||||||||||
Petrobras Global Finance BV(g) | ||||||||||||
5.30%, 01/27/25 | 500 | 561,344 | ||||||||||
5.60%, 01/03/31 | 321 | 358,316 | ||||||||||
Petroleos Mexicanos(g) | ||||||||||||
6.50%, 03/13/27 | 103 | 109,489 | ||||||||||
6.35%, 02/12/48 | 41 | 34,735 | ||||||||||
Pioneer Natural Resources Co., 0.25%, 05/15/25(j) | 571 | 911,030 | ||||||||||
Puma International Financing SA, 5.13%, 10/06/24(b) | 200 | 201,250 | ||||||||||
Range Resources Corp. | ||||||||||||
5.88%, 07/01/22 | 44 | 45,100 | ||||||||||
5.00%, 08/15/22 | 252 | 256,796 | ||||||||||
5.00%, 03/15/23 | 189 | 195,615 | ||||||||||
4.88%, 05/15/25 | 14 | 14,490 | ||||||||||
9.25%, 02/01/26 | 62 | 68,355 | ||||||||||
8.25%, 01/15/29(b) | 127 | 143,192 | ||||||||||
Saudi Arabian Oil Co., 2.25%, 11/24/30(b)(g) | 442 | 433,624 | ||||||||||
SM Energy Co. | ||||||||||||
10.00%, 01/15/25(b)(g) | 914 | 1,031,303 | ||||||||||
5.63%, 06/01/25 | 27 | 26,730 | ||||||||||
6.75%, 09/15/26 | 44 | 44,770 | ||||||||||
6.63%, 01/15/27 | 67 | 68,843 | ||||||||||
6.50%, 07/15/28 | 207 | 212,692 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
Southwestern Energy Co. | ||||||||||||
4.10%, 03/15/22 | USD | 252 | $ | 253,890 | ||||||||
6.45%, 01/23/25 | 125 | 138,375 | ||||||||||
7.50%, 04/01/26 | 51 | 53,996 | ||||||||||
8.38%, 09/15/28 | 127 | 143,510 | ||||||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||||||
6.00%, 04/15/27 | 63 | 65,882 | ||||||||||
5.88%, 03/15/28 | 124 | 131,750 | ||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. | ||||||||||||
5.88%, 04/15/26 | 304 | 319,294 | ||||||||||
5.38%, 02/01/27 | 2 | 2,083 | ||||||||||
6.50%, 07/15/27 | 195 | 211,325 | ||||||||||
6.88%, 01/15/29(g) | 521 | 586,974 | ||||||||||
5.50%, 03/01/30 | 400 | 439,864 | ||||||||||
4.88%, 02/01/31(b) | 123 | 133,148 | ||||||||||
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(g) | 280 | 316,800 | ||||||||||
Transocean, Inc., 11.50%, 01/30/27(b) | 171 | 182,747 | ||||||||||
Vine Energy Holdings LLC, 6.75%, 04/15/29(b) | 588 | 618,870 | ||||||||||
Viper Energy Partners LP, 5.38%, 11/01/27(b)(g) | 119 | 123,963 | ||||||||||
Western Midstream Operating LP | ||||||||||||
4.75%, 08/15/28 | 37 | 39,960 | ||||||||||
5.45%, 04/01/44 | 339 | 365,272 | ||||||||||
5.30%, 03/01/48 | 315 | 335,475 | ||||||||||
5.50%, 08/15/48 | 83 | 90,336 | ||||||||||
6.50%, 02/01/50(g) | 798 | 923,952 | ||||||||||
|
| |||||||||||
56,977,716 | ||||||||||||
Personal Products — 0.1% | ||||||||||||
Coty, Inc. | ||||||||||||
4.00%, 04/15/23 | EUR | 100 | 117,533 | |||||||||
3.88%, 04/15/26 | 100 | 119,019 | ||||||||||
Edgewell Personal Care Co., | USD | 113 | 119,780 | |||||||||
|
| |||||||||||
356,332 | ||||||||||||
Pharmaceuticals — 1.8% | ||||||||||||
Bausch Health Americas, Inc., 8.50%, 01/31/27(b)(g) |
| 973 | 1,057,554 | |||||||||
Bausch Health Cos., Inc.(b) | ||||||||||||
6.13%, 04/15/25(g) | 89 | 91,225 | ||||||||||
9.00%, 12/15/25(g) | 300 | 321,690 | ||||||||||
5.75%, 08/15/27 | 145 | 153,900 | ||||||||||
5.00%, 01/30/28 | 214 | 203,033 | ||||||||||
4.88%, 06/01/28 | 684 | 700,074 | ||||||||||
5.00%, 02/15/29 | 472 | 440,140 | ||||||||||
6.25%, 02/15/29(g) | 529 | 523,207 | ||||||||||
7.25%, 05/30/29(g) | 498 | 508,911 | ||||||||||
5.25%, 01/30/30 | 398 | 370,140 | ||||||||||
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 | | . EUR | | 100 | 123,170 | |||||||
CVS Health Corp., 4.75%, 12/01/22(g) | USD | 165 | 173,021 | |||||||||
Elanco Animal Health, Inc., 5.90%, 08/28/28 | 156 | 182,562 | ||||||||||
Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 07/31/27(b)(g) | 793 | 808,860 | ||||||||||
Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(b)(g) | 481 | 471,380 | ||||||||||
Jaguar Holding Co. II/PPD Development | ||||||||||||
4.63%, 06/15/25 | 90 | 94,500 | ||||||||||
5.00%, 06/15/28 | 589 | 638,429 | ||||||||||
Jazz Securities DAC, 4.38%, 01/15/29(b) | 441 | 457,229 | ||||||||||
Nidda BondCo GmbH, 7.25%, 09/30/25 | EUR | 100 | 121,711 | |||||||||
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 | . | 100 | 118,250 |
70 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
Organon & Co./Organon Foreign Debt Co-Issuer BV(b) | ||||||||||||
4.13%, 04/30/28(g) | USD | 790 | $ | 805,642 | ||||||||
5.13%, 04/30/31 | 772 | 795,314 | ||||||||||
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25(b) | 222 | 233,100 | ||||||||||
Par Pharmaceutical, Inc., | 1,297 | 1,325,962 | ||||||||||
Prestige Brands, Inc., 3.75%, 04/01/31(b) | 149 | 143,655 | ||||||||||
Teva Pharmaceutical Finance Netherlands II BV, 6.00%, 01/31/25 | EUR | 100 | 127,824 | |||||||||
|
| |||||||||||
10,990,483 | ||||||||||||
Producer Durables: Miscellaneous — 0.1% | ||||||||||||
Oracle Corp., 3.60%, 04/01/50(g) | USD | 785 | 806,079 | |||||||||
|
| |||||||||||
Real Estate Management & Development — 4.0% | ||||||||||||
Adler Group SA, 2.75%, 11/13/26 | EUR | 100 | 119,909 | |||||||||
Agile Group Holdings Ltd. | ||||||||||||
6.05%, 10/13/25 | USD | 200 | 202,850 | |||||||||
(5 year CMT + 11.08%), 7.75%(a)(l) | 400 | 404,325 | ||||||||||
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b) | 260 | 275,519 | ||||||||||
Central China Real Estate Ltd. | ||||||||||||
6.88%, 08/08/22 | 200 | 195,000 | ||||||||||
7.25%, 04/24/23 | 200 | 188,000 | ||||||||||
CFLD Cayman Investment Ltd.(e)(i) | ||||||||||||
8.63%, 02/28/21 | 200 | 69,850 | ||||||||||
8.75%, 09/28/22 | 200 | 69,975 | ||||||||||
6.90%, 01/13/23 | 200 | 70,038 | ||||||||||
8.60%, 04/08/24 | 200 | 69,850 | ||||||||||
China Aoyuan Group Ltd. | ||||||||||||
7.95%, 02/19/23 | 450 | 444,375 | ||||||||||
6.35%, 02/08/24 | 400 | 376,000 | ||||||||||
6.20%, 03/24/26 | 200 | 173,850 | ||||||||||
China Evergrande Group | ||||||||||||
8.25%, 03/23/22 | 200 | 170,538 | ||||||||||
9.50%, 04/11/22 | 200 | 170,413 | ||||||||||
11.50%, 01/22/23 | 450 | 357,694 | ||||||||||
12.00%, 01/22/24 | 250 | 186,297 | ||||||||||
China SCE Group Holdings Ltd. | ||||||||||||
7.25%, 04/19/23 | 200 | 205,412 | ||||||||||
7.38%, 04/09/24 | 400 | 413,200 | ||||||||||
7.00%, 05/02/25 | 255 | 258,399 | ||||||||||
CIFI Holdings Group Co. Ltd. | ||||||||||||
6.55%, 03/28/24 | 200 | 209,787 | ||||||||||
6.45%, 11/07/24 | 200 | 211,250 | ||||||||||
6.00%, 07/16/25 | 200 | 210,225 | ||||||||||
5.25%, 05/13/26 | 335 | 344,589 | ||||||||||
Country Garden Holdings Co. Ltd. | ||||||||||||
6.50%, 04/08/24 | 200 | 211,662 | ||||||||||
6.15%, 09/17/25 | 200 | 219,000 | ||||||||||
5.13%, 01/14/27 | 200 | 213,225 | ||||||||||
Easy Tactic Ltd. | ||||||||||||
9.13%, 07/28/22 | 400 | 395,950 | ||||||||||
12.38%, 11/18/22 | 200 | 202,250 | ||||||||||
8.13%, 02/27/23 | 200 | 186,163 | ||||||||||
8.63%, 02/27/24 | 200 | 176,725 | ||||||||||
Fantasia Holdings Group Co. Ltd. | ||||||||||||
11.75%, 04/17/22 | 200 | 187,700 | ||||||||||
11.88%, 06/01/23 | 200 | 175,663 | ||||||||||
9.25%, 07/28/23 | 200 | 163,100 |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Fantasia Holdings Group Co. Ltd. (continued) 9.88%, 10/19/23 | USD | 200 | $ | 162,725 | ||||||||
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)(g) | 389 | 410,862 | ||||||||||
Global Prime Capital Pte Ltd., 5.50%, 10/18/23 | 200 | 203,413 | ||||||||||
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b) | 100 | 102,800 | ||||||||||
Hopson Development Holdings Ltd., 7.50%, 06/27/22 | 200 | 202,600 | ||||||||||
Howard Hughes Corp.(b) | ||||||||||||
5.38%, 08/01/28 | 180 | 191,093 | ||||||||||
4.13%, 02/01/29 | 184 | 184,004 | ||||||||||
4.38%, 02/01/31 | 214 | 213,225 | ||||||||||
Kaisa Group Holdings Ltd. | ||||||||||||
11.95%, 10/22/22 | 200 | 205,912 | ||||||||||
11.50%, 01/30/23 | 200 | 202,225 | ||||||||||
10.88%, 07/23/23 | 600 | 600,487 | ||||||||||
9.38%, 06/30/24 | 200 | 188,300 | ||||||||||
11.70%, 11/11/25 | 200 | 188,058 | ||||||||||
KWG Group Holdings Ltd. | ||||||||||||
7.88%, 08/09/21 | 200 | 200,475 | ||||||||||
7.88%, 09/01/23 | 200 | 204,650 | ||||||||||
7.40%, 03/05/24 | 200 | 208,600 | ||||||||||
5.88%, 11/10/24 | 231 | 232,487 | ||||||||||
Logan Group Co. Ltd. | ||||||||||||
6.50%, 07/16/23 | 200 | 204,600 | ||||||||||
6.90%, 06/09/24 | 200 | 210,537 | ||||||||||
5.75%, 01/14/25 | 200 | 207,287 | ||||||||||
4.50%, 01/13/28 | 200 | 193,250 | ||||||||||
MAF Sukuk Ltd., 4.64%, 05/14/29 | 275 | 308,825 | ||||||||||
New Metro Global Ltd. | ||||||||||||
6.80%, 08/05/23 | 200 | 208,162 | ||||||||||
4.80%, 12/15/24 | 280 | 281,452 | ||||||||||
Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22 | 200 | 207,500 | ||||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29(b) | 291 | 304,208 | ||||||||||
Redsun Properties Group Ltd. | ||||||||||||
9.95%, 04/11/22 | 200 | 202,100 | ||||||||||
7.30%, 01/13/25 | 400 | 369,825 | ||||||||||
RKPF Overseas Ltd. | ||||||||||||
Series 2019-A, 6.70%, 09/30/24 | 513 | 544,517 | ||||||||||
Series 2019-A, 6.00%, 09/04/25 | 200 | 207,750 | ||||||||||
Series 2020-A, 5.20%, 01/12/26 | 232 | 233,160 | ||||||||||
Ronshine China Holdings Ltd. | ||||||||||||
11.25%, 08/22/21 | 200 | 200,938 | ||||||||||
10.50%, 03/01/22 | 200 | 201,850 | ||||||||||
8.95%, 01/22/23 | 200 | 197,788 | ||||||||||
7.35%, 12/15/23 | 200 | 189,038 | ||||||||||
Scenery Journey Ltd. | ||||||||||||
11.50%, 10/24/22 | 219 | 175,227 | ||||||||||
13.00%, 11/06/22 | 200 | 163,100 | ||||||||||
12.00%, 10/24/23 | 200 | 157,663 | ||||||||||
Seazen Group Ltd. | ||||||||||||
6.45%, 06/11/22 | 200 | 203,688 | ||||||||||
6.00%, 08/12/24 | 202 | 209,575 | ||||||||||
Shimao Group Holdings Ltd. | ||||||||||||
5.60%, 07/15/26 | 200 | 210,250 | ||||||||||
3.45%, 01/11/31 | 200 | 186,000 |
SCHEDULE OF INVESTMENTS | 71 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Real Estate Management & Development (continued) | ||||||||||||
Shui On Development Holding Ltd. | ||||||||||||
5.75%, 11/12/23 | USD | 200 | $ | 205,437 | ||||||||
6.15%, 08/24/24 | 200 | 207,500 | ||||||||||
5.50%, 03/03/25 | 209 | 211,351 | ||||||||||
Sino-Ocean Land Treasure III Ltd., (5 year CMT + 3.26%), 4.90%(a)(l) | 200 | 173,975 | ||||||||||
Sunac China Holdings Ltd. | ||||||||||||
7.25%, 06/14/22 | 200 | 204,912 | ||||||||||
7.95%, 10/11/23 | 200 | 206,300 | ||||||||||
7.50%, 02/01/24 | 400 | 408,825 | ||||||||||
6.50%, 01/10/25 | 200 | 195,790 | ||||||||||
7.00%, 07/09/25 | 400 | 393,080 | ||||||||||
Theta Capital Pte Ltd., 8.13%, 01/22/25 | 200 | 206,412 | ||||||||||
Times China Holdings Ltd. | ||||||||||||
6.75%, 07/16/23 | 313 | 320,884 | ||||||||||
6.75%, 07/08/25 | 390 | 395,557 | ||||||||||
6.20%, 03/22/26 | 277 | 272,378 | ||||||||||
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27 | GBP | 44 | 67,250 | |||||||||
Wanda Group Overseas Ltd., 7.50%, 07/24/22 | USD | 400 | 384,950 | |||||||||
Yango Justice International Ltd. | ||||||||||||
10.00%, 02/12/23 | 400 | 403,200 | ||||||||||
7.88%, 09/04/24 | 200 | 184,938 | ||||||||||
7.50%, 02/17/25 | 200 | 179,938 | ||||||||||
Yanlord Land HK Co. Ltd. | ||||||||||||
6.75%, 04/23/23 | 200 | 207,037 | ||||||||||
6.80%, 02/27/24 | 200 | 209,725 | ||||||||||
Yuzhou Group Holdings Co. Ltd. | ||||||||||||
8.63%, 01/23/22 | 200 | 199,188 | ||||||||||
8.50%, 02/04/23 | 200 | 188,650 | ||||||||||
8.50%, 02/26/24 | 400 | 364,500 | ||||||||||
8.38%, 10/30/24 | 200 | 178,100 | ||||||||||
7.70%, 02/20/25 | 200 | 170,600 | ||||||||||
8.30%, 05/27/25 | 200 | 169,913 | ||||||||||
Zhenro Properties Group Ltd. | ||||||||||||
8.70%, 08/03/22 | 200 | 204,500 | ||||||||||
7.88%, 04/14/24 | 300 | 299,400 | ||||||||||
6.63%, 01/07/26 | 200 | 180,600 | ||||||||||
|
| |||||||||||
24,203,879 | ||||||||||||
Road & Rail(b) — 0.3% | ||||||||||||
Danaos Corp., 8.50%, 03/01/28 | 100 | 109,657 | ||||||||||
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(g) | 1,540 | 1,796,136 | ||||||||||
|
| |||||||||||
1,905,793 | ||||||||||||
Semiconductors & Semiconductor Equipment — 1.5% | ||||||||||||
Analog Devices, Inc., 3.90%, 12/15/25(g) | 375 | 417,227 | ||||||||||
Atkore, Inc., 4.25%, 06/01/31(b) | 165 | 167,112 | ||||||||||
Broadcom, Inc.(g) | ||||||||||||
3.46%, 09/15/26 | 578 | 629,441 | ||||||||||
4.11%, 09/15/28 | 1,594 | 1,793,150 | ||||||||||
Microchip Technology, Inc. | ||||||||||||
0.13%, 11/15/24(j) | 250 | 281,250 | ||||||||||
1.63%, 02/15/25(j) | 86 | 283,533 | ||||||||||
4.25%, 09/01/25(g) | 941 | 987,924 | ||||||||||
1.63%, 02/15/27(j) | 61 | 135,762 | ||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(b) | 33 | 34,708 | ||||||||||
ON Semiconductor Corp. | ||||||||||||
1.63%, 10/15/23(j) | 354 | 672,843 | ||||||||||
3.88%, 09/01/28(b) | 330 | 339,946 |
Security | Par (000) | Value | ||||||||||
Semiconductors & Semiconductor Equipment (continued) | ||||||||||||
QUALCOMM, Inc., 1.65%, 05/20/32(g) | USD | 1,779 | $ | 1,695,654 | ||||||||
Sensata Technologies BV(b)(g) | ||||||||||||
5.63%, 11/01/24 | 229 | 254,476 | ||||||||||
5.00%, 10/01/25 | 324 | 360,855 | ||||||||||
4.00%, 04/15/29 | 321 | 325,842 | ||||||||||
Sensata Technologies, Inc., | 353 | 372,006 | ||||||||||
Synaptics, Inc., 4.00%, 06/15/29(b) | 192 | 192,960 | ||||||||||
|
| |||||||||||
8,944,689 | ||||||||||||
Software — 1.8% | ||||||||||||
ACI Worldwide, Inc., 5.75%, 08/15/26(b)(g) | 696 | 729,930 | ||||||||||
Black Knight InfoServ LLC, | 386 | 384,055 | ||||||||||
Boxer Parent Co., Inc. | ||||||||||||
6.50%, 10/02/25 | EUR | 100 | 125,776 | |||||||||
7.13%, 10/02/25(b)(g) | USD | 388 | 415,160 | |||||||||
9.13%, 03/01/26(b)(g) | 678 | 715,643 | ||||||||||
BY Crown Parent LLC, 7.38%, 10/15/24(b)(g) | 758 | 771,644 | ||||||||||
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26(b) | 714 | 747,915 | ||||||||||
CDK Global, Inc., 4.88%, 06/01/27(g) | 388 | 410,310 | ||||||||||
Cedacri Mergeco SpA, (3 mo. EURIBOR + 4.63%), 4.63%, 05/15/28(a) | EUR | 100 | 120,057 | |||||||||
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 | USD | 281 | 281,267 | |||||||||
Elastic NV, 4.13%, 07/15/29(b) | 299 | 299,000 | ||||||||||
Helios Software Holdings, Inc./ION Corporate Solutions Finance Sarl, 4.63%, 05/01/28(b) | 200 | 195,764 | ||||||||||
MicroStrategy, Inc., 6.13%, 06/15/28(b) | 321 | 321,000 | ||||||||||
MSCI, Inc.(b) | ||||||||||||
4.00%, 11/15/29 | 83 | 87,565 | ||||||||||
3.63%, 09/01/30 | 147 | 150,331 | ||||||||||
3.88%, 02/15/31(g) | 524 | 543,786 | ||||||||||
3.63%, 11/01/31 | 195 | 200,012 | ||||||||||
Nuance Communications, Inc., 5.63%, 12/15/26(g) | 237 | 246,904 | ||||||||||
Open Text Corp., 3.88%, 02/15/28(b)(g) | 268 | 271,698 | ||||||||||
Open Text Holdings, Inc., | 256 | 261,069 | ||||||||||
PTC, Inc.(b) | ||||||||||||
3.63%, 02/15/25 | 76 | 78,280 | ||||||||||
4.00%, 02/15/28 | 187 | 193,171 | ||||||||||
Rocket Software, Inc., 6.50%, 02/15/29(b) | 412 | 408,819 | ||||||||||
SS&C Technologies, Inc., | 1,649 | 1,747,445 | ||||||||||
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)(g) | 1,440 | 1,499,400 | ||||||||||
|
| |||||||||||
11,206,001 | ||||||||||||
Specialty Retail — 0.7% | ||||||||||||
Gap, Inc., 8.88%, 05/15/27(b) | 160 | 185,152 | ||||||||||
L Brands, Inc. | ||||||||||||
6.88%, 11/01/35(g) | 401 | 507,766 | ||||||||||
6.75%, 07/01/36 | 71 | 88,928 | ||||||||||
National Vision Holdings, Inc., 2.50%, 05/15/25(j) | 244 | 429,593 | ||||||||||
PetSmart, Inc./PetSmart Finance Corp.(b) | ||||||||||||
4.75%, 02/15/28 | 343 | 356,291 | ||||||||||
7.75%, 02/15/29(g) | 1,505 | 1,659,262 | ||||||||||
Staples, Inc.(b) | ||||||||||||
7.50%, 04/15/26(g) | 697 | 721,907 | ||||||||||
10.75%, 04/15/27 | 202 | 205,363 | ||||||||||
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a) | EUR | 100 | 117,074 | |||||||||
|
| |||||||||||
4,271,336 |
72 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Dell International LLC/EMC Corp., 7.13%, 06/15/24(b)(g) | USD | 638 | $ | 654,397 | ||||||||
|
| |||||||||||
Textiles, Apparel & Luxury Goods — 0.1% | ||||||||||||
Crocs, Inc., 4.25%, 03/15/29(b) | 156 | 159,120 | ||||||||||
Hanesbrands, Inc., 5.38%, 05/15/25(b) | 64 | 67,760 | ||||||||||
Levi Strauss & Co. | ||||||||||||
5.00%, 05/01/25(g) | 233 | 237,660 | ||||||||||
3.50%, 03/01/31(b) | 111 | 110,356 | ||||||||||
William Carter Co., 5.63%, 03/15/27(b) | 160 | 168,352 | ||||||||||
|
| |||||||||||
743,248 | ||||||||||||
Thrifts & Mortgage Finance — 0.2% | ||||||||||||
Home Point Capital, Inc., 5.00%, 02/01/26(b) | 289 | 269,493 | ||||||||||
Jerrold Finco PLC, 5.25%, 01/15/27 | GBP | 100 | 142,863 | |||||||||
MGIC Investment Corp., 5.25%, 08/15/28 | USD | 167 | 177,020 | |||||||||
Nationstar Mortgage Holdings, Inc.(b) | ||||||||||||
6.00%, 01/15/27 | 214 | 221,764 | ||||||||||
5.50%, 08/15/28(g) | 254 | 256,065 | ||||||||||
5.13%, 12/15/30 | 139 | 138,305 | ||||||||||
United Wholesale Mortgage LLC, |
| 164 | 163,962 | |||||||||
|
| |||||||||||
1,369,472 | ||||||||||||
Transportation — 0.0% | ||||||||||||
Autostrade per l’Italia SpA, 2.00%, 12/04/28 | EUR | 100 | 123,377 | |||||||||
|
| |||||||||||
Transportation Infrastructure — 0.2% | ||||||||||||
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) | USD | 200 | 209,412 | |||||||||
Heathrow Finance PLC, 4.63%, 09/01/29(n) | GBP | 100 | 142,307 | |||||||||
Rumo Luxembourg Sarl, | USD | 241 | 252,719 | |||||||||
Simpar Europe SA, 5.20%, 01/26/31(b) | 200 | 204,500 | ||||||||||
Transurban Finance Co. Pty Ltd., |
| 435 | 483,795 | |||||||||
|
| |||||||||||
1,292,733 | ||||||||||||
Utilities — 0.5% | ||||||||||||
Centrais Eletricas Brasileiras SA, | 240 | 247,680 | ||||||||||
Genneia SA, 8.75%, 01/20/22(b) | 200 | 193,600 | ||||||||||
Inkia Energy Ltd., 5.88%, 11/09/27(b)(g) | 377 | 388,263 | ||||||||||
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29 | 250 | 250,281 | ||||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc., | 519 | 537,269 | ||||||||||
Solaris Midstream Holdings LLC, | 107 | 113,420 | ||||||||||
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b) | 280 | 307,790 | ||||||||||
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33 | 177 | 202,312 | ||||||||||
Thames Water Kemble Finance PLC, 4.63%, 05/19/26 | GBP | 168 | 237,783 | |||||||||
Vistra Operations Co. LLC(b) |
| |||||||||||
5.50%, 09/01/26 | USD | 8 | 8,250 | |||||||||
5.63%, 02/15/27(g) | 422 | 437,825 | ||||||||||
4.38%, 05/01/29 | 227 | 228,135 | ||||||||||
|
| |||||||||||
3,152,608 | ||||||||||||
Wireless Telecommunication Services — 2.5% | ||||||||||||
Altice France SA | ||||||||||||
7.38%, 05/01/26(b)(g) | 287 | 298,460 |
Security | Par (000) | Value | ||||||||||
Wireless Telecommunication Services (continued) | ||||||||||||
Altice France SA (continued) | ||||||||||||
5.88%, 02/01/27 | EUR | 100 | $ | 125,665 | ||||||||
8.13%, 02/01/27(b)(g) | USD | 707 | 770,277 | |||||||||
5.50%, 01/15/28(b)(g) | 381 | 395,364 | ||||||||||
4.13%, 01/15/29 | EUR | 100 | 118,723 | |||||||||
5.13%, 01/15/29(b) | USD | 200 | 201,000 | |||||||||
5.13%, 07/15/29(b) | 1,302 | 1,308,380 | ||||||||||
Kenbourne Invest SA, 6.88%, 11/26/24(b) | 275 | 291,638 | ||||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27 | EUR | 100 | 121,683 | |||||||||
Millicom International Cellular SA | ||||||||||||
5.13%, 01/15/28 | USD | 247 | 259,148 | |||||||||
4.50%, 04/27/31(b) | 205 | 213,238 | ||||||||||
Rogers Communications, Inc., 5.00%, 03/15/44(g) | 545 | 680,822 | ||||||||||
SBA Communications Corp.(g) | ||||||||||||
4.88%, 09/01/24 | 806 | 820,105 | ||||||||||
3.88%, 02/15/27 | 1,248 | 1,281,577 | ||||||||||
Sprint Corp.(g) | ||||||||||||
7.88%, 09/15/23 | 177 | 201,085 | ||||||||||
7.13%, 06/15/24 | 374 | 431,503 | ||||||||||
7.63%, 03/01/26 | 552 | 673,440 | ||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(b)(g) | 33 | 32,679 | ||||||||||
T-Mobile USA, Inc. | ||||||||||||
4.50%, 02/01/26(g) | 498 | 507,522 | ||||||||||
4.75%, 02/01/28(g) | 479 | 513,129 | ||||||||||
2.63%, 02/15/29 | 76 | 75,050 | ||||||||||
2.88%, 02/15/31(g) | 449 | 445,633 | ||||||||||
3.50%, 04/15/31(b) | 362 | 374,507 | ||||||||||
3.50%, 04/15/31 | 337 | 348,643 | ||||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29 (b) | 597 | 598,493 | ||||||||||
VICI Properties LP/VICI Note Co., | ||||||||||||
3.50%, 02/15/25 | 387 | 394,639 | ||||||||||
4.25%, 12/01/26(g) | 968 | 1,006,933 | ||||||||||
3.75%, 02/15/27 | 411 | 418,036 | ||||||||||
4.63%, 12/01/29(g) | 498 | 529,125 | ||||||||||
4.13%, 08/15/30(g) | 923 | 947,755 | ||||||||||
Vmed O2 UK Financing I PLC | ||||||||||||
4.00%, 01/31/29 | GBP | 100 | 136,682 | |||||||||
4.50%, 07/15/31(d) | 100 | 138,861 | ||||||||||
4.75%, 07/15/31(b)(d) | USD | 575 | 583,625 | |||||||||
|
| |||||||||||
15,243,420 | ||||||||||||
|
| |||||||||||
Total Corporate Bonds — 82.7% | 505,634,308 | |||||||||||
|
| |||||||||||
Floating Rate Loan Interests(a) | ||||||||||||
Aerospace & Defense — 1.7% | ||||||||||||
Atlas CC Acquisition Corp. | ||||||||||||
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 04/28/28 | 2,600 | 2,606,452 | ||||||||||
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 6.00%, 05/25/28 | 529 | 530,126 | ||||||||||
Bleriot US Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.15%, 10/30/26 | 288 | 287,754 | ||||||||||
Dynasty Acquisition Co., Inc. 2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.65%, 04/06/26 | 792 | 771,100 |
SCHEDULE OF INVESTMENTS | 73 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Aerospace & Defense (continued) | ||||||||||||
Dynasty Acquisition Co., Inc. (continued) | ||||||||||||
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.65%, 04/06/26 | USD | 1,473 | $ | 1,434,248 | ||||||||
Peraton Holding Corp. | ||||||||||||
2nd Lien Term Loan B1, (1 mo. LIBOR + 0.75%, 0.75% Floor), | 884 | 901,680 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/01/28 | 2,781 | 2,787,322 | ||||||||||
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.35%, 12/09/25 | 1,078 | 1,060,827 | ||||||||||
|
| |||||||||||
10,379,509 | ||||||||||||
Air Freight & Logistics — 0.3% | ||||||||||||
AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/06/28 | 215 | 214,664 | ||||||||||
Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 | 1,380 | 1,352,401 | ||||||||||
|
| |||||||||||
1,567,065 | ||||||||||||
Airlines — 0.8% | ||||||||||||
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28 | 542 | 564,629 | ||||||||||
American Airlines, Inc. | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 01/29/27 | 64 | 61,243 | ||||||||||
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.07%, 12/14/23 | 963 | 939,236 | ||||||||||
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.10%, 04/28/23 | 371 | 361,670 | ||||||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 | 1,003 | 1,070,361 | ||||||||||
United Airlines, Inc., 2021 Term Loan B, | 1,694 | 1,714,453 | ||||||||||
|
| |||||||||||
4,711,592 | ||||||||||||
Auto Components — 0.9% | ||||||||||||
Adient US LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 04/08/28 | 341 | 340,894 | ||||||||||
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26 | 2,151 | 2,129,515 | ||||||||||
Truck Hero, Inc., 2021 Term Loan B, | 981 | 980,052 | ||||||||||
USI, Inc. | ||||||||||||
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.15%, 05/16/24 | 1,075 | 1,064,666 | ||||||||||
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 3.40%, 12/02/26 | 84 | 82,904 | ||||||||||
Wand NewCo 3, Inc., 2020 Term Loan, | 1,056 | 1,042,800 | ||||||||||
|
| |||||||||||
5,640,831 |
Security | Par (000) | Value | ||||||||||
Automobiles — 0.1% | ||||||||||||
MajorDrive Holdings IV LLC, Term Loan B, | USD | 323 | $ | 323,100 | ||||||||
|
| |||||||||||
Building Materials — 0.0% | ||||||||||||
CHI Overhead Doors, Inc, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), | 79 | 79,400 | ||||||||||
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/12/28 | 127 | 126,235 | ||||||||||
|
| |||||||||||
205,635 | ||||||||||||
Building Products — 0.6% | ||||||||||||
CP Atlas Buyer, Inc., 2021 Term Loan B, | 1,014 | 1,011,181 | ||||||||||
CPG International, Inc., 2017 Term Loan, | 673 | 672,015 | ||||||||||
MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 221 | 221,029 | ||||||||||
Wilsonart LLC, 2021 Term Loan E, 12/19/26 | 1,608 | 1,607,151 | ||||||||||
|
| |||||||||||
3,511,376 | ||||||||||||
Capital Markets — 0.8% | ||||||||||||
Deerfield Dakota Holding LLC | ||||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 4.75%, 04/09/27 | 2,397 | 2,406,047 | ||||||||||
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 04/07/28(c) | 642 | 656,445 | ||||||||||
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 11/12/27 | 571 | 570,593 | ||||||||||
Focus Financial Partners LLC(o) | ||||||||||||
2021 Delayed Draw Term Loan, 06/24/28 | 119 | 118,478 | ||||||||||
2021 Term Loan, 06/24/28 | 515 | 511,469 | ||||||||||
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/12/24(c) | 250 | 249,420 | ||||||||||
Jefferies Finance LLC, 2019 Term Loan, | 148 | 146,708 | ||||||||||
|
| |||||||||||
4,659,160 | ||||||||||||
Chemicals — 1.8% | ||||||||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 08/27/26 | 1,046 | 1,060,022 | ||||||||||
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%, 0.50% Floor), 3.00%, 03/18/28 | 1,366 | 1,358,323 | ||||||||||
Axalta Coating Systems US Holdings Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.90%, 06/01/24 | 519 | 515,622 | ||||||||||
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, | 346 | 342,828 | ||||||||||
Element Solutions, Inc., 2021 Term Loan B, 01/31/26(o) | 857 | 855,397 | ||||||||||
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.25%, 11/07/24 | 558 | 556,513 |
74 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Chemicals (continued) | ||||||||||||
Illuminate Buyer LLC, 2021 Term Loan, | USD | 439 | $ | 435,924 | ||||||||
Invictus US LLC | ||||||||||||
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/28/25 | 340 | 339,513 | ||||||||||
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.85%, 03/30/26 | 123 | 123,088 | ||||||||||
Klockner-Pentaplast of America, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.50% Floor), | 521 | 523,299 | ||||||||||
Lonza Group AG, USD Term Loan B, 04/29/28(o) | 386 | 386,208 | ||||||||||
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.65%, 03/02/26 | 719 | 713,948 | ||||||||||
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24 | 724 | 719,246 | ||||||||||
NIC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/29/27 | 288 | 287,468 | ||||||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.50%), 3.63%, 10/14/24 | 739 | 734,339 | ||||||||||
PQ Corp., 2021 Term Loan B, 05/26/28(o) | 677 | 676,438 | ||||||||||
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 | 531 | 532,888 | ||||||||||
Sparta US Holdco LLC, 2021 Term Loan, 2021 Term Loan, 05/04/28(o) | 477 | 477,148 | ||||||||||
Starfruit Finco BV, 2018 USD Term Loan B, (PRIME + 1.75%), 3.13%, 10/01/25 | 113 | 111,891 | ||||||||||
W.R. Grace & Co.-Conn., 2021 Term Loan B3, (3 mo. LIBOR + 2.00%), 2.15%, 06/01/28(c) | 403 | 400,985 | ||||||||||
|
| |||||||||||
11,151,088 | ||||||||||||
Commercial Services & Supplies — 1.5% | ||||||||||||
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%, 0.50% Floor), 4.25%, 05/12/28 | 1,392 | 1,395,357 | ||||||||||
Aramark Services, Inc. | ||||||||||||
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 03/11/25 | 375 | 370,154 | ||||||||||
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 04/06/28 | 436 | 433,510 | ||||||||||
Asurion LLC | ||||||||||||
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/23 | 225 | 223,888 | ||||||||||
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24 | 380 | 376,080 | ||||||||||
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26 | 894 | 883,800 | ||||||||||
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 5.35%, 01/31/28 | 364 | 366,577 | ||||||||||
Dealer Tire LLC, 2020 Term Loan B, | 840 | 839,785 | ||||||||||
Diamond (BC) BV, USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 09/06/24 | 566 | 562,936 | ||||||||||
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 | 178 | 176,431 | ||||||||||
GFL Environmental, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 3.50%, 05/30/25 | 176 | 176,431 |
Security | Par (000) | Value | ||||||||||
Commercial Services & Supplies (continued) | ||||||||||||
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 | USD | 155 | $ | 138,362 | ||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26 | 444 | 437,021 | ||||||||||
Packers Holdings LLC, 2021 Term Loan, | 713 | 708,800 | ||||||||||
Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 09/23/26 | 705 | 704,129 | ||||||||||
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.10%, 08/27/25 | 1,423 | 1,425,120 | ||||||||||
|
| |||||||||||
9,218,381 | ||||||||||||
Communications Equipment — 0.1% | ||||||||||||
Avantor Funding, Inc., USD Term Loan B3, | 365 | 364,870 | ||||||||||
|
| |||||||||||
Construction & Engineering — 0.7% | ||||||||||||
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 | 1,694 | 1,664,972 | ||||||||||
Pike Corp., 2021 Incremental Term Loan B, | 424 | 422,964 | ||||||||||
SRS Distribution, Inc., 2021 Term Loan B, | 1,448 | 1,446,393 | ||||||||||
USIC Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 05/12/28 | 716 | 713,985 | ||||||||||
|
| |||||||||||
4,248,314 | ||||||||||||
Construction Materials — 0.8% | ||||||||||||
Core & Main LP | ||||||||||||
2017 Term Loan B, (3 mo. LIBOR + 2.00%, 1.00% Floor), 3.75%, 08/01/24 | 1,015 | 1,013,107 | ||||||||||
2021 Term Loan B, 06/09/28(o) | 1,684 | 1,672,093 | ||||||||||
Filtration Group Corp. | ||||||||||||
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25 | 1,128 | 1,118,053 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 | 506 | 506,175 | ||||||||||
Forterra Finance LLC, 2017 Term Loan B, | 469 | 469,511 | ||||||||||
Tamko Building Products, Inc., Term Loan B, (1 mo. LIBOR + 3.00%), 3.13%, 05/29/26 | 360 | 358,963 | ||||||||||
|
| |||||||||||
5,137,902 | ||||||||||||
Containers & Packaging — 0.8% | ||||||||||||
BWAY Holding Co., 2017 Term Loan B, | 1,060 | 1,033,241 | ||||||||||
Charter NEX US, Inc., 2021 Term Loan, 12/01/27(o) | 2,255 | 2,257,915 | ||||||||||
Flex Acquisition Co., Inc., 2021 Term Loan, | 1,000 | 995,401 | ||||||||||
Pregis TopCo Corp., 1st Lien Term Loan, | 138 | 137,714 | ||||||||||
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/18/27 | 329 | 328,933 | ||||||||||
|
| |||||||||||
4,753,204 |
SCHEDULE OF INVESTMENTS | 75 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Distributors — 0.4% | ||||||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/27 | USD | 887 | $ | 880,271 | ||||||||
TMK Hawk Parent Corp. | ||||||||||||
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 2.25%, 1.00% Floor), 10.50%, 05/30/24(c) | 404 | 395,596 | ||||||||||
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24 | 1,324 | 1,176,122 | ||||||||||
|
| |||||||||||
2,451,989 | ||||||||||||
Diversified Consumer Services — 0.8% | ||||||||||||
APX Group, Inc., 2020 Term Loan, (PRIME + 4.00%), 7.25%, 12/31/25 | 62 | 61,791 | ||||||||||
Ascend Learning LLC | ||||||||||||
2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 | 147 | 146,784 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 | 318 | 317,600 | ||||||||||
Bright Horizons Family Solutions LLC, 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 1.00% Floor), 2.50%, 11/07/23 | 778 | 774,914 | ||||||||||
Frontdoor, Inc., 2021 Term Loan B, | 300 | 300,000 | ||||||||||
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 3.85%, 07/11/25 | 958 | 938,812 | ||||||||||
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 12/22/25 | 844 | 821,781 | ||||||||||
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.32%, 05/15/24 | 406 | 403,743 | ||||||||||
PAI Holdco, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/28/27 | 298 | 298,718 | ||||||||||
Serta Simmons Bedding LLC | ||||||||||||
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23 | 189 | 190,511 | ||||||||||
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 | 252 | 240,738 | ||||||||||
Voyage Australia Property Ltd., USD Term Loan B, 06/16/28(c)(o) | 308 | 308,000 | ||||||||||
|
| |||||||||||
4,803,392 | ||||||||||||
Diversified Financial Services — 3.1% | ||||||||||||
Advisor Group, Inc., 2021 Term Loan, | 717 | 717,883 | ||||||||||
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 03/10/28(c) | 345 | 344,963 | ||||||||||
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 02/04/28 | 1,167 | 1,161,730 | ||||||||||
AQGEN Island Holdings, Inc., Term Loan, 05/20/28(o) | 1,120 | 1,116,506 | ||||||||||
Belron Finance US LLC, 2021 USD Term Loan B, 04/13/28 | 1,236 | 1,233,566 | ||||||||||
Credito Real SAB de CV Sofom ENR, Term Loan B, 02/17/23(c) | 35 | 32,900 |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
Delta TopCo, Inc. | ||||||||||||
2020 2nd Lien Term Loan, | USD | 261 | $ | 263,936 | ||||||||
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/01/27 | 1,765 | 1,768,318 | ||||||||||
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.15%, 02/07/25 | 518 | 513,268 | ||||||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 02/16/28 | 413 | 414,053 | ||||||||||
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.50%, 07/03/24 | 686 | 681,761 | ||||||||||
LBM Acquisition LLC | ||||||||||||
2021 Incremental Delayed Draw Term Loan B2, 4.50%, 12/17/27 | 183 | 181,729 | ||||||||||
2021 Incremental Term Loan B2, 4.50%, 12/17/27 | 367 | 363,458 | ||||||||||
Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 58 | 57,336 | ||||||||||
Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 | 389 | 386,053 | ||||||||||
LEB Holdings (USA), Inc, Term Loan B, | 422 | 422,404 | ||||||||||
Milano Acquisition Corp., Term Loan B, | 2,333 | 2,337,943 | ||||||||||
RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 02/08/28(c) | 369 | 369,998 | ||||||||||
SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.66%, 01/23/25 | 534 | 515,550 | ||||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.40%, 07/30/25 | 990 | 952,963 | ||||||||||
Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/16/27 | 283 | 283,383 | ||||||||||
Veritas US, Inc., 2021 USD Term Loan B, | 2,839 | 2,854,133 | ||||||||||
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27 | 731 | 727,850 | ||||||||||
White Cap Buyer LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 10/19/27 | 543 | 543,949 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.57%, 04/30/28 | 510 | 504,334 | ||||||||||
|
| |||||||||||
18,749,967 | ||||||||||||
Diversified Telecommunication Services — 0.9% | ||||||||||||
Cablevision Lightpath LLC, Term Loan B, | 229 | 228,850 | ||||||||||
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 10/02/27 | 349 | 349,585 | ||||||||||
Frontier Communications Corp., 2021 DIP Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 05/01/28 | 757 | 757,320 | ||||||||||
GCI LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 10/15/25 | 476 | 475,209 | ||||||||||
Intelsat Jackson Holdings SA | ||||||||||||
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 | 145 | 147,055 | ||||||||||
2020 DIP Term Loan, (PRIME + 4.75%, 1.00% Floor), 6.50%, 07/13/22 | 50 | 50,492 |
76 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Telecommunication Services (continued) | ||||||||||||
Iridium Satellite LLC, 2021 Term Loan B, | USD | 722 | $ | 722,377 | ||||||||
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27 | 566 | 557,192 | ||||||||||
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 | 996 | 994,625 | ||||||||||
Orbcomm, Inc., Term Loan B, 06/17/28(o) | 304 | 303,240 | ||||||||||
TDC A/S, EUR Term Loan, (6 mo.EURIBOR + 3.00%), 3.00%, 06/04/25 | EUR | 820 | 964,960 | |||||||||
|
| |||||||||||
5,550,905 | ||||||||||||
Electric Utilities — 0.4% | ||||||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 12/15/27 | USD | 710 | 709,708 | |||||||||
Triton Water Holdings, Inc, Term Loan, | 1,716 | 1,713,615 | ||||||||||
|
| |||||||||||
2,423,323 | ||||||||||||
Electrical Equipment — 0.2% | ||||||||||||
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, 06/23/28(o) | 344 | 344,217 | ||||||||||
Gates Global LLC, 2021 Term Loan B3, | 868 | 865,331 | ||||||||||
|
| |||||||||||
1,209,548 | ||||||||||||
Electronic Equipment, Instruments & Components — 0.0% | ||||||||||||
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 02/12/25 | 230 | 230,058 | ||||||||||
|
| |||||||||||
Environmental, Maintenance, & Security Service — 0.2% | ||||||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27 | 793 | 789,923 | ||||||||||
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 | 436 | 437,341 | ||||||||||
|
| |||||||||||
1,227,264 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) — 0.1% | ||||||||||||
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/11/24 | 245 | 241,836 | ||||||||||
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.84%, 12/20/24 | 580 | 574,587 | ||||||||||
|
| |||||||||||
816,423 | ||||||||||||
Food & Staples Retailing — 0.4% | ||||||||||||
H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25 | 322 | 320,870 | ||||||||||
Hearthside Food Solutions LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.79%, 05/23/25 | 266 | 264,249 | ||||||||||
US Foods, Inc. | ||||||||||||
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 06/27/23 | 1,289 | 1,275,476 | ||||||||||
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26 | 400 | 394,002 | ||||||||||
|
| |||||||||||
2,254,597 | ||||||||||||
Food Products — 0.9% | ||||||||||||
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.59%, 10/01/25 | 458 | 455,930 |
Security | Par (000) | Value | ||||||||||
Food Products (continued) | ||||||||||||
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.60%, 10/10/26 | USD | 163 | $ | 162,805 | ||||||||
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 | 1,396 | 1,398,779 | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27 | 1,735 | 1,707,262 | ||||||||||
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 3.00%, 08/03/25 | 423 | 420,449 | ||||||||||
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/01/26 | 113 | 113,135 | ||||||||||
Reynolds Group Holdings, Inc. | ||||||||||||
2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 02/05/23 | 319 | 318,545 | ||||||||||
2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26 | 257 | 254,761 | ||||||||||
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 06/08/28 | 395 | 396,871 | ||||||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 01/20/28 | 277 | 276,257 | ||||||||||
|
| |||||||||||
5,504,794 | ||||||||||||
Health Care Equipment & Supplies — 0.3% | ||||||||||||
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/06/27 | 865 | 864,292 | ||||||||||
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 05/04/28 | 288 | 288,181 | ||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.09%, 06/30/25 | 853 | 852,656 | ||||||||||
|
| |||||||||||
2,005,129 | ||||||||||||
Health Care Providers & Services — 1.0% | ||||||||||||
AHP Health Partners, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 06/30/25 | 334 | 333,941 | ||||||||||
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23 | 936 | 935,286 | ||||||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.00%, 01/08/27 | 589 | 590,359 | ||||||||||
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25 | 750 | 640,311 | ||||||||||
EyeCare Partners LLC, 2020 Term Loan, | 870 | 861,503 | ||||||||||
Femur Buyer, Inc., 1st Lien Term Loan, | 421 | 402,720 | ||||||||||
HC Group Holdings II, Inc., Term Loan B, | 1,663 | 1,662,550 | ||||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 | 146 | 146,055 | ||||||||||
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 02/14/25 | 21 | 20,925 | ||||||||||
Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 12/13/26 | 578 | 575,353 | ||||||||||
|
| |||||||||||
6,169,003 |
SCHEDULE OF INVESTMENTS | 77 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Health Care Services — 0.4% | ||||||||||||
Azalea Topco, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 3.69%, 07/25/26 | USD | 1,138 | $ | 1,130,933 | ||||||||
Unified Physician Management LLC, 2020 Term Loan, (1 Week LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/18/27(c) | 708 | 708,419 | ||||||||||
WP CityMD Bidco LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 08/13/26 | 701 | 702,115 | ||||||||||
|
| |||||||||||
2,541,467 | ||||||||||||
Health Care Technology — 0.6% | ||||||||||||
Athenahealth, Inc., 2021 Term Loan B1, | 146 | 145,954 | ||||||||||
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25. | 582 | 577,618 | ||||||||||
Polaris Newco LLC, USD Term Loan B, | 2,378 | 2,384,043 | ||||||||||
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 07/25/26 | 273 | 273,609 | ||||||||||
|
| |||||||||||
3,381,224 | ||||||||||||
Hotels, Restaurants & Leisure — 2.7% | ||||||||||||
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26 | 998 | 983,220 | ||||||||||
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 02/02/26 | 279 | 271,891 | ||||||||||
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 | 430 | 430,042 | ||||||||||
Boyd Gaming Corp., Term Loan B3, | 392 | 390,976 | ||||||||||
Caesars Resort Collection LLC | ||||||||||||
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24 | 1,144 | 1,134,089 | ||||||||||
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.60%, 07/20/25 | 1,477 | 1,480,471 | ||||||||||
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/10/28(c) | 345 | 341,684 | ||||||||||
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 | 2,335 | 2,233,811 | ||||||||||
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23 | 548 | 545,649 | ||||||||||
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3.00% PIK), 5.25%, 12/01/23(h) | 51 | 50,366 | ||||||||||
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 | 1,175 | 1,165,296 | ||||||||||
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(c) | 80 | 88,465 | ||||||||||
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.75%, 08/25/25(c) | 228 | 229,416 | ||||||||||
IRB Holding Corp, 2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27 | 1,855 | 1,853,530 | ||||||||||
IRB Holding Corp., 2020 Term Loan B, | 611 | 609,838 |
Security | Par (000) | Value | ||||||||||
Hotels, Restaurants & Leisure (continued) |
| |||||||||||
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 | USD | 157 | $ | 151,232 | ||||||||
Playtika Holding Corp., 2021 Term Loan, | 586 | 583,533 | ||||||||||
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24 | 360 | 357,407 | ||||||||||
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.65%, 07/10/25 | 515 | 515,010 | ||||||||||
Station Casinos LLC, 2020 Term Loan B, | 843 | 832,613 | ||||||||||
Travelport Finance (Luxembourg) Sarl | ||||||||||||
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.20%, 05/29/26 | 828 | 754,363 | ||||||||||
2020 Super Priority Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 3.50%, 02/28/25 | 500 | 523,856 | ||||||||||
Whatabrands LLC, 2020 Term Loan B, | 939 | 934,276 | ||||||||||
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 05/30/25 | 201 | 199,690 | ||||||||||
|
| |||||||||||
16,660,724 | ||||||||||||
Household Durables — 0.3% | ||||||||||||
ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 05/17/28 | 1,435 | 1,426,806 | ||||||||||
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/04/27 | 140 | 138,970 | ||||||||||
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 | 498 | 498,122 | ||||||||||
|
| |||||||||||
2,063,898 | ||||||||||||
Household Products — 0.0% | ||||||||||||
Spectrum Brands, Inc., 2021 Term Loan, (3 mo. LIBOR + 2.00%, 0.50% Floor), 2.50%, 03/03/28(c) | 220 | 218,796 | ||||||||||
|
| |||||||||||
Independent Power and Renewable Electricity Producers — 0.2% |
| |||||||||||
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25 | 887 | 876,316 | ||||||||||
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26 | 289 | 284,619 | ||||||||||
|
| |||||||||||
1,160,935 | ||||||||||||
Industrial Conglomerates — 0.7% | ||||||||||||
AVSC Holding Corp.(h) | ||||||||||||
2020 Term Loan B1, (0.25% PIK), 2.25%, 03/03/25 | 1,305 | 1,194,180 | ||||||||||
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 | 407 | 486,066 | ||||||||||
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 | 453 | 455,373 | ||||||||||
Vertical Midco GmbH, USD Term Loan B, 07/29/27 | 740 | 740,596 | ||||||||||
Vertiv Group Corp., 2021 Term Loan B, | 1,458 | 1,448,304 | ||||||||||
|
| |||||||||||
4,324,519 |
78 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Insurance — 0.8% | ||||||||||||
Alliant Holdings Intermediate LLC | ||||||||||||
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25 | USD | 843 | $ | 833,156 | ||||||||
2020 Term Loan B3, 11/06/27(o) | 608 | 608,226 | ||||||||||
AmWINS Group, Inc., 2021 Term Loan B, | 733 | 728,092 | ||||||||||
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 | 167 | 166,971 | ||||||||||
AssuredPartners, Inc. | ||||||||||||
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/13/27 | 542 | 538,841 | ||||||||||
2021 Term Loan B, 02/12/27(o) | 120 | 120,060 | ||||||||||
HUB International Ltd. | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.93%, 04/25/25 | 352 | 348,210 | ||||||||||
2021 Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 04/25/25 | 698 | 697,912 | ||||||||||
Ryan Specialty Group LLC, Term Loan, | 290 | 289,697 | ||||||||||
Sedgwick Claims Management Services, Inc. | ||||||||||||
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26 | 620 | 618,666 | ||||||||||
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 | 188 | 188,336 | ||||||||||
|
| |||||||||||
5,138,167 | ||||||||||||
Interactive Media & Services — 1.2% | ||||||||||||
Adevinta ASA, USD Term Loan B, 04/20/28(o) | 1,071 | 1,070,797 | ||||||||||
Arches Buyer, Inc., 2021 Term Loan B, | 940 | 937,276 | ||||||||||
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 | 1,630 | 1,629,810 | ||||||||||
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27 | 836 | 829,945 | ||||||||||
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 | 2,759 | 2,798,181 | ||||||||||
|
| |||||||||||
7,266,009 | ||||||||||||
Internet & Direct Marketing Retail — 0.2% | ||||||||||||
CNT Holdings I Corp., 2020 Term Loan, | 1,090 | 1,090,268 | ||||||||||
|
| |||||||||||
Internet Software & Services — 0.1% |
| |||||||||||
Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27 | 843 | 842,623 | ||||||||||
|
| |||||||||||
IT Services — 2.1% | ||||||||||||
Aruba Investments, Inc., 2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 | 340 | 340,998 | ||||||||||
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/02/25 | 764 | 758,956 | ||||||||||
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/31/26 | 1,731 | 1,722,011 | ||||||||||
CoreLogic, Inc., Term Loan, 06/04/28(o) | 1,531 | 1,525,642 | ||||||||||
Fleetcor Technologies Operating Company, LLC, 2021 Term Loan B4, 04/28/28(o) | 723 | 721,496 | ||||||||||
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 | 2,884 | 2,888,840 |
Security | Par (000) | Value | ||||||||||
IT Services (continued) | ||||||||||||
Maximus, Inc., Term Loan B, 05/28/28(o) | USD | 452 | $ | 451,625 | ||||||||
Optiv Security, Inc., 1st Lien Term Loan, | 606 | 592,030 | ||||||||||
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.38%, 08/01/25 | 273 | 243,751 | ||||||||||
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27 | 1,229 | 1,198,802 | ||||||||||
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 05/05/26 | 435 | 434,960 | ||||||||||
Trans Union LLC, 2019 Term Loan B5, | 765 | 759,749 | ||||||||||
Virtusa Corp., Term Loan B, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 02/11/28 | 448 | 449,221 | ||||||||||
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28 | 436 | 432,368 | ||||||||||
|
| |||||||||||
12,520,449 | ||||||||||||
Life Sciences Tools & Services — 0.9% | ||||||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 | 1,855 | 1,862,195 | ||||||||||
Icon Luxembourg Sarl(o) | ||||||||||||
1st Lien Term Loan B, 06/16/28 | 303 | 303,850 | ||||||||||
Term Loan B, 06/16/28 | 1,218 | 1,219,540 | ||||||||||
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27 | 485 | 486,691 | ||||||||||
PPD, Inc., Initial Term Loan, (1 mo. LIBOR + 2.25%, 0.50% Floor), 2.75%, 01/13/28 | 1,808 | 1,804,361 | ||||||||||
|
| |||||||||||
5,676,637 | ||||||||||||
Machinery — 0.9% | ||||||||||||
Clark Equipment Co., 2021 Incremental Term Loan, 05/18/24(o) | 540 | 538,568 | ||||||||||
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%, 0.50% Floor), 3.25%, 05/14/28(c) | 171 | 170,786 | ||||||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/28/27 | 573 | 566,266 | ||||||||||
Madison IAQ LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 06/16/28 | 1,656 | 1,656,000 | ||||||||||
Titan Acquisition Ltd., 2018 Term Loan B, | 2,328 | 2,285,919 | ||||||||||
|
| |||||||||||
5,217,539 | ||||||||||||
Media — 4.4% | ||||||||||||
A-L Parent LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 | 1,140 | 1,099,929 | ||||||||||
Altice Financing SA | ||||||||||||
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.93%, 07/15/25 | 443 | 434,889 | ||||||||||
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.90%, 01/31/26 | 533 | 523,133 | ||||||||||
Altice France SA, 2018 Term Loan B13, | 1,338 | 1,334,843 | ||||||||||
Cable One, Inc., 2021 Term Loan B4, 05/03/28(o) | 412 | 410,146 | ||||||||||
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25 | 1,363 | 1,359,740 |
SCHEDULE OF INVESTMENTS | 79 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Media (continued) | ||||||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.69%, 08/21/26 | USD | 2,561 | $ | 2,497,977 | ||||||||
Connect Finco Sarl, 2021 Term Loan B, | 3,133 | 3,135,310 | ||||||||||
CSC Holdings LLC | ||||||||||||
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.32%, 07/17/25 | 654 | 643,997 | ||||||||||
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.57%, 04/15/27 | 1,008 | 997,150 | ||||||||||
E.W. Scripps Co., 2020 Term Loan B3, | 403 | 402,336 | ||||||||||
Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 2.34%, 02/07/24 | 684 | 679,961 | ||||||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25 | 522 | 516,773 | ||||||||||
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/19/26 | 1,089 | 1,059,459 | ||||||||||
MH Sub I LLC | ||||||||||||
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24 | 1,909 | 1,899,429 | ||||||||||
2020 Incremental Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.75%, 09/15/24 | 1,075 | 1,076,622 | ||||||||||
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/23/29 | 581 | 589,355 | ||||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.59%, 09/19/26 | 459 | 457,705 | ||||||||||
Radiate Holdco LLC, 2020 Term Loan, | 1,147 | 1,147,057 | ||||||||||
Sinclair Television Group Inc., 2021 Term Loan B3, (1 mo. LIBOR + 3.00%), 3.11%, 04/01/28 | 192 | 190,231 | ||||||||||
Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26 | 587 | 584,141 | ||||||||||
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 3.10%, 09/28/23(c) | 1,480 | 1,472,128 | ||||||||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 3.07%, 01/31/29 | 228 | 226,404 | ||||||||||
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.35%, 01/31/29 | 917 | 915,597 | ||||||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25 | 1,197 | 1,173,383 | ||||||||||
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28 | 261 | 258,576 | ||||||||||
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27 | 2,100 | 2,076,339 | ||||||||||
|
| |||||||||||
27,162,610 | ||||||||||||
Metals & Mining — 0.1% | ||||||||||||
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.64%, 07/31/25 | 666 | 660,238 | ||||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||||||
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25 | 330 | 363,964 | ||||||||||
Citgo Holding, Inc., 2019 Term Loan B, | 2 | 1,947 | ||||||||||
Edgewater Generation LLC, Term Loan, | 429 | 408,212 |
Security | Par (000) | Value | ||||||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||||||
EG Group Ltd., 2018 USD Term Loan B, | USD | 247 | $ | 244,687 | ||||||||
Lealand Finance Company BV, 2020 Take Back Term Loan, (3.00% PIK), 3.00%, 06/30/25(h) | 111 | 49,292 | ||||||||||
McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/24(c) | 16 | 9,466 | ||||||||||
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%, 0.50% Floor), 2.25%, 01/31/28 | 252 | 252,526 | ||||||||||
|
| |||||||||||
1,330,094 | ||||||||||||
Personal Products — 0.5% | ||||||||||||
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/25/26 | 3,149 | 3,158,452 | ||||||||||
|
| |||||||||||
Pharmaceuticals — 1.1% |
| |||||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25 | 847 | 829,755 | ||||||||||
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%, 0.50% Floor), 2.50%, 02/22/28 | 982 | 982,836 | ||||||||||
Elanco Animal Health, Inc., Term Loan B, | 288 | 283,483 | ||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.09%, 11/15/27 | 698 | 691,143 | ||||||||||
Jazz Financing Lux Sarl, USD Term Loan, | 1,273 | 1,276,577 | ||||||||||
Organon Finance 1 LLC, USD Term Loan, | 700 | 700,441 | ||||||||||
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 11/18/27 | 517 | 514,530 | ||||||||||
Prestige Brands, Inc., 2021 Term Loan B, 06/11/28(o) | 212 | 212,089 | ||||||||||
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25 | 1,178 | 1,172,554 | ||||||||||
|
| |||||||||||
6,663,408 | ||||||||||||
Professional Services — 0.6% | ||||||||||||
Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26 | 3,375 | 3,357,295 | ||||||||||
|
| |||||||||||
Real Estate Management & Development — 0.2% |
| |||||||||||
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 | 713 | 707,268 | ||||||||||
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25 | 563 | 557,395 | ||||||||||
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 | 19 | 18,811 | ||||||||||
|
| |||||||||||
1,283,474 | ||||||||||||
Road & Rail — 0.1% | ||||||||||||
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.62%, 08/04/25 | 386 | 365,496 | ||||||||||
|
|
80 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Semiconductors & Semiconductor Equipment — 0.1% |
| |||||||||||
Cabot Microelectronics Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.13%, 11/17/25 | USD | 462 | $ | 460,276 | ||||||||
|
| |||||||||||
Software — 5.9% | ||||||||||||
Applied Systems, Inc. | ||||||||||||
2017 1st Lien Term Loan, (PRIME + 2.25%), 3.77%, 09/19/24 | 470 | 468,910 | ||||||||||
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%, 0.75% Floor), 6.25%, 09/19/25 | 251 | 253,886 | ||||||||||
Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 | 1,530 | 1,533,509 | ||||||||||
By Crown Parent LLC, Term Loan B1, | 553 | 552,224 | ||||||||||
Cloudera, Inc., Term Loan B, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 12/22/27 | 722 | 721,367 | ||||||||||
Cornerstone OnDemand, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.34%, 04/22/27 | 418 | 417,183 | ||||||||||
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 | 1,854 | 1,852,878 | ||||||||||
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.43%, 05/27/24 | 491 | 470,598 | ||||||||||
DTI Holdco, Inc., 2018 Term Loan B, | 487 | 470,307 | ||||||||||
E2open LLC, 2020 Term Loan B, 10/29/27(o) | 114 | 114,000 | ||||||||||
Epicor Software Corp. | ||||||||||||
2020 2nd Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 8.75%, 07/31/28 | 850 | 877,098 | ||||||||||
2020 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 07/31/27 | 291 | 291,010 | ||||||||||
Helios Software Holdings, Inc., 2021 USD Term Loan B, (6 mo. LIBOR + 3.75%), 3.90%, 03/11/28 | 868 | 868,074 | ||||||||||
Informatica LLC | ||||||||||||
2020 USD 2nd Lien Term Loan, (Fixed + 7.12%), 7.13%, 02/25/25 | 679 | 692,580 | ||||||||||
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 02/25/27 | 1,649 | 1,637,122 | ||||||||||
Magenta Buyer LLC(o) | ||||||||||||
2021 USD 1st Lien Term Loan, 05/03/28 | 1,885 | 1,883,115 | ||||||||||
2021 USD 2nd Lien Term Loan, 9.00%, 05/03/29(c) | 979 | 966,762 | ||||||||||
McAfee LLC, 2018 USD Term Loan B, | 439 | 438,792 | ||||||||||
Mitchell International, Inc. | ||||||||||||
2017 2nd Lien Term Loan, 12/01/25 | 396 | 394,969 | ||||||||||
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 | 832 | 834,385 | ||||||||||
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 | 568 | 568,894 | ||||||||||
Planview Parent, Inc., Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 | 1,037 | 1,037,888 | ||||||||||
Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.11%, 04/26/24 | 603 | 603,398 | ||||||||||
Proof Point, Inc., 1st Lien Term Loan, 06/09/28(o) | 1,278 | 1,270,179 | ||||||||||
RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 04/22/28 | 3,635 | 3,622,311 |
Security | Par (000) | Value | ||||||||||
Software (continued) | ||||||||||||
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.34%, 05/30/25 | USD | 31 | $ | 31,008 | ||||||||
Sabre GLBL, Inc., 2020 Term Loan B, | 440 | 441,989 | ||||||||||
Severin Acquisition LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 3.33%, 08/01/25 | 1,868 | 1,855,777 | ||||||||||
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 | 2,091 | 2,091,929 | ||||||||||
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25 | 512 | 505,447 | ||||||||||
SS&C Technologies, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25 | 674 | 665,657 | ||||||||||
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 | 2,735 | 2,737,626 | ||||||||||
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.36%, 03/04/28 | 1,429 | 1,448,743 | ||||||||||
Ultimate Software Group, Inc. | ||||||||||||
2020 2nd Lien Incremental Term Loan, | 794 | 806,569 | ||||||||||
2021 Incremental Term Loan, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 05/03/26 | 1,151 | 1,151,318 | ||||||||||
Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/03/26 | 1,697 | 1,696,815 | ||||||||||
|
| |||||||||||
36,274,317 | ||||||||||||
Specialty Retail — 1.4% | ||||||||||||
Belron Finance US LLC | ||||||||||||
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25 | 181 | 180,217 | ||||||||||
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26 | 414 | 410,725 | ||||||||||
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, 06/23/25 | GBP | 1,000 | 1,378,638 | |||||||||
EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.75%, 03/31/26 | USD | 236 | 236,000 | |||||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/04/28 | 1,287 | 1,290,217 | ||||||||||
MED ParentCo LP, 1st Lien Term Loan, | 833 | 832,281 | ||||||||||
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/28 | 2,470 | 2,470,617 | ||||||||||
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 | 650 | 641,186 | ||||||||||
Sotheby’s, Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 01/15/27 | 1,149 | 1,154,119 | ||||||||||
Woof Holdings, Inc., 1st Lien Term Loan, | 229 | 229,235 | ||||||||||
|
| |||||||||||
8,823,235 | ||||||||||||
Technology Hardware, Storage & Peripherals — 0.1% | ||||||||||||
Electronics for Imaging, Inc., Term Loan, | 526 | 500,180 | ||||||||||
Western Digital Corp., 2018 Term Loan B4, | 198 | 197,797 | ||||||||||
|
| |||||||||||
697,977 |
SCHEDULE OF INVESTMENTS | 81 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||||||
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), | USD | 292 | $ | 292,664 | ||||||||
|
| |||||||||||
Trading Companies & Distributors — 0.3% |
| |||||||||||
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 04/23/28 | 622 | 618,113 | ||||||||||
Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 02/03/28 | 623 | 618,636 | ||||||||||
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.92%, 04/01/28 | 303 | 303,921 | ||||||||||
|
| |||||||||||
1,540,670 | ||||||||||||
Wireless Telecommunication Services — 0.5% | ||||||||||||
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/30/28 | 437 | 436,005 | ||||||||||
Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, 05/26/28 | 239 | 238,958 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.86%, 04/11/25 | 1,069 | 1,058,990 | ||||||||||
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.85%, 06/10/27 | 1,612 | 1,611,333 | ||||||||||
|
| |||||||||||
3,345,286 | ||||||||||||
|
| |||||||||||
Total Floating Rate Loan Interests — 46.3% |
| 282,787,166 | ||||||||||
|
| |||||||||||
Foreign Agency Obligations | ||||||||||||
Bahrain — 0.1% | ||||||||||||
Bahrain Government International Bond, 6.75%, 09/20/29 | 200 | 219,287 | ||||||||||
CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25 | 400 | 462,375 | ||||||||||
|
| |||||||||||
681,662 | ||||||||||||
Colombia — 0.3% | ||||||||||||
Colombia Government International Bond(g) |
| |||||||||||
4.50%, 01/28/26 | 1,354 | 1,477,806 | ||||||||||
3.88%, 04/25/27 | 200 | 212,475 | ||||||||||
|
| |||||||||||
1,690,281 | ||||||||||||
Dominican Republic — 0.2% | ||||||||||||
Dominican Republic International Bond | ||||||||||||
5.95%, 01/25/27 | 491 | 552,375 | ||||||||||
4.50%, 01/30/30(b)(g) | 302 | 308,191 | ||||||||||
4.88%, 09/23/32(b) | 185 | 190,550 | ||||||||||
6.40%, 06/05/49 | 150 | 161,466 | ||||||||||
|
| |||||||||||
1,212,582 | ||||||||||||
Egypt — 0.3% | ||||||||||||
Egypt Government International Bond | ||||||||||||
5.75%, 05/29/24(b) | 215 | 228,814 | ||||||||||
5.88%, 06/11/25 | 335 | 357,675 | ||||||||||
7.60%, 03/01/29 | 816 | 895,713 | ||||||||||
8.50%, 01/31/47(b)(g) | 321 | 334,301 | ||||||||||
|
| |||||||||||
1,816,503 |
Security | Par (000) | Value | ||||||||||
Ghana — 0.1% | ||||||||||||
Ghana Government International Bond(b) | ||||||||||||
7.75%, 04/07/29 | USD | 201 | $ | 205,208 | ||||||||
8.63%, 04/07/34 | 260 | 267,719 | ||||||||||
|
| |||||||||||
472,927 | ||||||||||||
Iceland — 0.5% | ||||||||||||
Iceland Government International Bond, 5.88%, 05/11/22 | 3,030 | 3,142,736 | ||||||||||
|
| |||||||||||
Indonesia — 0.2% | ||||||||||||
Indonesia Government International Bond(g) | ||||||||||||
4.10%, 04/24/28 | 650 | 734,216 | ||||||||||
5.35%, 02/11/49 | 200 | 259,850 | ||||||||||
|
| |||||||||||
994,066 | ||||||||||||
Mexico — 0.2% | ||||||||||||
Mexico Government International Bond, 4.15%, 03/28/27(g) | 1,052 | 1,189,483 | ||||||||||
|
| |||||||||||
Mongolia — 0.0% | ||||||||||||
Mongolia Government International Bond, 8.75%, 03/09/24 | 250 | 286,609 | ||||||||||
|
| |||||||||||
Morocco — 0.1% | ||||||||||||
Morocco Government International Bond(b) | ||||||||||||
3.00%, 12/15/32(g) | 300 | 289,500 | ||||||||||
4.00%, 12/15/50 | 200 | 185,250 | ||||||||||
|
| |||||||||||
474,750 | ||||||||||||
Oman — 0.0% | ||||||||||||
Oman Government International Bond, 6.50%, 03/08/47 | 308 | 300,454 | ||||||||||
|
| |||||||||||
Panama — 0.1% | ||||||||||||
Panama Government International Bond(g) | ||||||||||||
3.16%, 01/23/30 | 445 | 466,360 | ||||||||||
4.50%, 04/16/50 | 211 | 239,063 | ||||||||||
|
| |||||||||||
705,423 | ||||||||||||
Paraguay — 0.1% | ||||||||||||
Paraguay Government International Bond(b) | ||||||||||||
4.95%, 04/28/31 | 300 | 344,587 | ||||||||||
5.40%, 03/30/50 | 200 | 233,413 | ||||||||||
|
| |||||||||||
578,000 | ||||||||||||
Peru — 0.1% | ||||||||||||
Peruvian Government International Bond | ||||||||||||
2.78%, 01/23/31(g) | 29 | 29,504 | ||||||||||
1.86%, 12/01/32 | 259 | 241,080 | ||||||||||
5.63%, 11/18/50 | 165 | 227,164 | ||||||||||
|
| |||||||||||
497,748 | ||||||||||||
Portugal — 0.6% | ||||||||||||
Portugal Government International Bond, 5.13%, 10/15/24(b) | 3,190 | 3,620,331 | ||||||||||
|
| |||||||||||
Qatar — 0.1% | ||||||||||||
Qatar Government International Bond, 4.00%, 03/14/29(b)(g) | 473 | 544,423 | ||||||||||
|
| |||||||||||
Romania — 0.0% | ||||||||||||
Romanian Government International Bond, 3.00%, 02/14/31(b)(g) | 280 | 290,378 | ||||||||||
|
|
82 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Russia — 0.1% | ||||||||||||
Russian Foreign Bond - Eurobond | ||||||||||||
4.75%, 05/27/26 | USD | 400 | $ | 454,950 | ||||||||
4.25%, 06/23/27 | 200 | 223,138 | ||||||||||
|
| |||||||||||
678,088 | ||||||||||||
Saudi Arabia — 0.1% | ||||||||||||
Saudi Government International Bond, 4.50%, 04/17/30 | 595 | 700,910 | ||||||||||
|
| |||||||||||
South Africa — 0.0% | ||||||||||||
Republic of South Africa Government International Bond, 5.88%, 05/30/22 | 200 | 209,788 | ||||||||||
|
| |||||||||||
Sri Lanka — 0.2% | ||||||||||||
Sri Lanka Government International Bond |
| |||||||||||
5.75%, 04/18/23 | 222 | 165,223 | ||||||||||
6.85%, 03/14/24 | 400 | 274,950 | ||||||||||
6.35%, 06/28/24 | 200 | 136,725 | ||||||||||
7.85%, 03/14/29 | 400 | 253,075 | ||||||||||
7.55%, 03/28/30 | 200 | 126,475 | ||||||||||
|
| |||||||||||
956,448 | ||||||||||||
Ukraine — 0.2% | ||||||||||||
Ukraine Government International Bond |
| |||||||||||
7.75%, 09/01/22 | 118 | 123,841 | ||||||||||
8.99%, 02/01/24 | 200 | 221,800 | ||||||||||
9.75%, 11/01/28 | 236 | 281,032 | ||||||||||
7.25%, 03/15/33(b)(g) | 400 | 415,950 | ||||||||||
|
| |||||||||||
1,042,623 | ||||||||||||
|
| |||||||||||
Total Foreign Agency Obligations — 3.6% |
| 22,086,213 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Investment Companies |
| |||||||||||
Fixed Income Funds — 0.8% | ||||||||||||
Invesco Senior Loan ETF | 157,601 | 3,490,862 | ||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF(p) | 10,000 | 1,343,600 | ||||||||||
|
| |||||||||||
4,834,462 | ||||||||||||
|
| |||||||||||
Total Investment Companies — 0.8% |
| 4,834,462 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Non-Agency Mortgage-Backed Securities |
| |||||||||||
Collateralized Mortgage Obligations — 0.7% | ||||||||||||
Countrywide Alternative Loan Trust | ||||||||||||
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 | USD | 1,282 | 981,750 | |||||||||
Series 2006-J8, Class A5, 6.00%, 02/25/37 | 2,086 | 1,348,190 | ||||||||||
Series 2007-19, Class 1A1, 6.00%, 08/25/37 | 625 | 448,595 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||||||
Series 2005-17, Class 1A6, 5.50%, 09/25/35 | 147 | 148,088 | ||||||||||
Series 2006-17, Class A2, 6.00%, 12/25/36 | 748 | 480,610 |
Security | Par (000) | Value | ||||||||||
Collateralized Mortgage Obligations (continued) |
| |||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust (continued) Series 2007-HY5, Class 3A1, 3.18%, 09/25/37(a) | USD | 429 | $ | 419,575 | ||||||||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, | 386 | 279,337 | ||||||||||
|
| |||||||||||
4,106,145 | ||||||||||||
Commercial Mortgage-Backed Securities — 0.8% | ||||||||||||
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33(a)(b) | 4,830 | 5,143,510 | ||||||||||
|
| |||||||||||
Total Non-Agency Mortgage-Backed |
| 9,249,655 | ||||||||||
|
| |||||||||||
Benefical Interest (000) | ||||||||||||
Other Interests(q) | ||||||||||||
IT Services — 0.0% | ||||||||||||
Millennium Corp. | USD | 918 | — | |||||||||
Millennium Lender Claims | 861 | — | ||||||||||
|
| |||||||||||
Total Other Interests — 0.0% |
| — | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
Preferred Securities | ||||||||||||
Capital Trusts — 4.6% | ||||||||||||
Automobiles — 0.1% | ||||||||||||
General Motors Financial Co., Inc., Series C, 5.70%(a)(g)(l) | USD | 365 | 408,800 | |||||||||
|
| |||||||||||
Banks — 0.8% | ||||||||||||
Al Ahli Bank of Kuwait KSCP, | 200 | 211,725 | ||||||||||
Banco Mercantil del Norte SA, | 396 | 425,700 | ||||||||||
Bank of East Asia Ltd., 5.88%(a)(l) | 250 | 267,078 | ||||||||||
BBVA Bancomer SA, 5.13%, 01/18/33(a) | 220 | 228,938 | ||||||||||
Burgan Bank SAK, 5.75%(a)(l) | 250 | 252,469 | ||||||||||
CaixaBank SA, 6.38%(a)(l) | EUR | 200 | 258,773 | |||||||||
CIT Group, Inc., Series A, 5.80%(a)(l) | USD | 235 | 242,724 | |||||||||
Kasikornbank PCL, 5.28%(a)(l) | 405 | 429,123 | ||||||||||
Nanyang Commercial Bank Ltd., 5.00%(a)(l) | 200 | 200,813 | ||||||||||
Rizal Commercial Banking Corp., 6.50%(a)(l) | 200 | 207,725 | ||||||||||
Stichting AK Rabobank Certificaten, 2.19%(l) | EUR | 33 | 51,855 | |||||||||
TMBThanachart Bank PCL, | USD | 250 | 253,641 | |||||||||
Wells Fargo & Co.(a)(g)(l) | ||||||||||||
Series S, 5.90% | 1,500 | 1,616,250 | ||||||||||
Series U, 5.88% | 384 | 430,045 | ||||||||||
|
| |||||||||||
5,076,859 | ||||||||||||
Building Materials — 0.1% | ||||||||||||
Cemex SAB de CV, 5.13%(a)(b)(l) | 200 | 206,060 | ||||||||||
|
| |||||||||||
Consumer Finance — 0.5% |
| |||||||||||
Capital One Financial Corp., Series E, 3.93%(a)(g)(l) | 3,000 | 3,010,740 | ||||||||||
|
| |||||||||||
Diversified Financial Services(a)(l) — 2.6% |
| |||||||||||
Bank of America Corp.(g) | ||||||||||||
Series AA, 6.10% | 15 | 16,843 | ||||||||||
Series DD, 6.30% | 215 | 248,091 | ||||||||||
Series X, 6.25% | 1,929 | 2,133,956 |
SCHEDULE OF INVESTMENTS | 83 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||||||
Diversified Financial Services (continued) |
| |||||||||||
Bank of America Corp.(g) (continued) Series Z, 6.50% | USD | 143 | $ | 161,948 | ||||||||
Credit Suisse Group AG, 6.38%(b)(g) | 295 | 328,816 | ||||||||||
Credit Suisse Group AG, 6.25% | 200 | 219,000 | ||||||||||
HSBC Holdings PLC(g) | ||||||||||||
6.25% | 695 | 735,831 | ||||||||||
6.00% | 415 | 460,650 | ||||||||||
JPMorgan Chase & Co.(g) | ||||||||||||
Series FF, 5.00% | 2,865 | 3,028,162 | ||||||||||
Series HH, 4.60% | 253 | 262,184 | ||||||||||
Series R, 6.00% | 92 | 97,808 | ||||||||||
Lloyds Banking Group PLC, 7.50%(g) | 1,250 | 1,462,500 | ||||||||||
Morgan Stanley, Series H, 3.79%(g) | 1,026 | 1,029,847 | ||||||||||
Natwest Group PLC(g) | ||||||||||||
6.00% | 1,185 | 1,320,777 | ||||||||||
8.63% | 200 | 201,444 | ||||||||||
Societe Generale SA, 5.38%(b)(g) | 2,250 | 2,382,187 | ||||||||||
UBS Group AG, 3.88%(b) | 1,500 | 1,502,805 | ||||||||||
Woori Bank, 4.25% | 250 | 259,578 | ||||||||||
|
| |||||||||||
15,852,427 | ||||||||||||
Diversified Telecommunication Services(a)(l) — 0.1% | ||||||||||||
Telefonica Europe BV | ||||||||||||
5.88% | EUR | 100 | 131,915 | |||||||||
4.38% | 100 | 128,631 | ||||||||||
|
| |||||||||||
260,546 | ||||||||||||
Electric Utilities — 0.3% | ||||||||||||
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(a)(g) | USD | 1,750 | 2,033,558 | |||||||||
|
| |||||||||||
Electronic Equipment, Instruments & Components — 0.0% |
| |||||||||||
Belden, Inc., 4.13%, 10/15/26 | EUR | 100 | 121,525 | |||||||||
|
| |||||||||||
Insurance — 0.0% | ||||||||||||
Heungkuk Life Insurance Co. Ltd., 4.48%(a)(l) | USD | 200 | 202,725 | |||||||||
|
| |||||||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||||||
Abertis Infraestructuras Finance BV, 3.25%(a)(l) | EUR | 100 | 122,577 | |||||||||
|
| |||||||||||
Real Estate Management & Development — 0.0% |
| |||||||||||
Heimstaden Bostad AB, | 100 | 118,333 | ||||||||||
|
| |||||||||||
Transportation Infrastructure — 0.0% |
| |||||||||||
Poste Italiane SpA, 2.63%(a)(l) | 100 | 118,456 | ||||||||||
|
| |||||||||||
Utilities — 0.1% | ||||||||||||
Electricite de France SA, 3.00%(a)(l) | 200 | 245,095 | ||||||||||
|
| |||||||||||
Total Capital Trusts — 4.6% | 27,777,701 | |||||||||||
|
| |||||||||||
Shares | ||||||||||||
Preferred Stocks — 1.7% | ||||||||||||
Banks — 0.0% | ||||||||||||
CF-B L2 (D), LLC, (Acquired 04/08/15, Cost: $134,650)(f) | 137,556 | 1,416 | ||||||||||
|
|
Security | Shares | Value | ||||||||||
Capital Markets(a)(l) — 1.7% |
| |||||||||||
Goldman Sachs Group, Inc., Series J, 5.50% | 202,526 | $ | 5,549,212 | |||||||||
Morgan Stanley | ||||||||||||
Series F, 6.88% | 120,000 | 3,396,000 | ||||||||||
Series K, 5.85% | 53,253 | 1,572,029 | ||||||||||
|
| |||||||||||
10,517,241 | ||||||||||||
|
| |||||||||||
Total Preferred Stocks — 1.7% | 10,518,657 | |||||||||||
Trust Preferred — 0.0% |
| |||||||||||
Diversified Financial Services — 0.0% | ||||||||||||
GMAC Capital Trust I, Series 2, | 7,687 | 194,558 | ||||||||||
|
| |||||||||||
Total Preferred Securities — 6.3% |
| 38,490,916 | ||||||||||
|
| |||||||||||
Par (000) | ||||||||||||
U.S. Government Sponsored Agency Securities |
| |||||||||||
Collateralized Mortgage Obligations — 0.2% |
| |||||||||||
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.09%, 10/25/29(a) | USD | 1,426 | 1,470,502 | |||||||||
|
| |||||||||||
Mortgage-Backed Securities — 0.2% |
| |||||||||||
Uniform Mortgage-Backed Securities | 13 | 13,235 | ||||||||||
Series K042, Class X1, 1.17%, 12/25/24(a) | 32,987 | 1,032,161 | ||||||||||
|
| |||||||||||
1,045,396 | ||||||||||||
|
| |||||||||||
Total U.S. Government Sponsored Agency |
| 2,515,898 | ||||||||||
|
| |||||||||||
U.S. Treasury Obligations |
| |||||||||||
U.S. Treasury Bonds(g) | ||||||||||||
2.88%, 05/15/49 | 1,350 | 1,580,818 | ||||||||||
1.88%, 02/15/51 | 6,500 | 6,203,438 | ||||||||||
U.S. Treasury Notes(g) | ||||||||||||
2.75%, 04/30/23 - 08/31/25 | 14,150 | 15,028,647 | ||||||||||
1.25%, 03/31/28 | 8,000 | 8,031,562 | ||||||||||
1.13%, 02/15/31 | 6,500 | 6,310,078 | ||||||||||
|
| |||||||||||
Total U.S. Treasury Obligations — 6.1% |
| 37,154,543 | ||||||||||
|
| |||||||||||
Shares | ||||||||||||
Warrants | ||||||||||||
Metals & Mining — 0.0% | ||||||||||||
Ameriforge Group, Inc. (Expires 06/08/22)(e) | 2,542 | — | ||||||||||
|
|
84 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||
California Resources Corp. (Expires 10/27/24)(e) | 345 | $ | 2,650 | |||||
|
| |||||||
Total Warrants — 0.0% |
| 2,650 | ||||||
|
| |||||||
Total Long-Term Investments — 151.7% |
| 927,201,751 | ||||||
|
| |||||||
Short-Term Securities | ||||||||
Money Market Funds — 1.3% | ||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.01%(p)(r) | 7,704,300 | 7,704,300 | ||||||
|
| |||||||
Total Short-Term Securities — 1.3% |
| 7,704,300 | ||||||
|
| |||||||
Options Purchased — 0.5% |
| 3,179,658 | ||||||
|
| |||||||
Total Investments Before Options |
| 938,085,709 | ||||||
|
| |||||||
Options Written — (0.7)% |
| (4,153,999 | ) | |||||
|
| |||||||
Total Investments, Net of Options |
| 933,931,710 | ||||||
Liabilities in Excess of Other Assets — (52.8)% |
| (322,573,722 | ) | |||||
|
| |||||||
Net Assets — 100.0% | $ | 611,357,988 | ||||||
|
|
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(d) | When-issued security. |
(e) | Non-income producing security. |
(f) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $242,560, representing less than 0.05% of its net assets as of period end, and an original cost of $189,527. |
(g) | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements. |
(h) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(i) | Issuer filed for bankruptcy and/or is in default. |
(j) | Convertible security. |
(k) | Zero-coupon bond. |
(l) | Perpetual security with no stated maturity date. |
(m) | Amount is less than 500. |
(n) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end. |
(o) | Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(p) | Affiliate of the Fund. |
(q) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(r) | Annualized 7-day yield as of period end. |
For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six-months ended June 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/20 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/21 | Shares Held at 06/30/21 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
BlackRock Liquidity Funds, T-Fund, Institutional Class | $ | 9,760,422 | $ | — | $ | (2,056,122)(a) | $ | — | $ | — | $ | 7,704,300 | 7,704,300 | $ | 662 | $ | — | |||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 1,381,300 | — | — | — | (37,700 | ) | 1,343,600 | 10,000 | 13,022 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | — | $ | (37,700 | ) | $ | 9,047,900 | $ | 13,684 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Represents net amount purchased (sold). |
Reverse Repurchase Agreements
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
BNP Paribas S.A. | 0.08 | %(b) | 11/25/20 | Open | $ | 1,758,375 | $ | 1,759,310 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||
BNP Paribas S.A. | (0.10 | )(b) | 03/25/21 | Open | 3,825,000 | 3,824,964 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | (0.05 | )(b) | 03/25/21 | Open | 2,707,500 | 2,707,457 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 03/29/21 | Open | 11,700 | 11,715 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 03/29/21 | Open | 682,237 | 683,295 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.70 | (b) | 03/30/21 | Open | 762,135 | 763,498 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | (0.10 | )(b) | 03/30/21 | Open | 2,362,500 | 2,361,927 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | (0.05 | )(b) | 03/30/21 | Open | 3,093,125 | 3,093,134 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.07 | (b) | 04/05/21 | Open | 7,900,000 | 7,900,674 | U.S. Treasury Obligations | Open/Demand |
SCHEDULE OF INVESTMENTS | 85 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
BNP Paribas S.A. | 0.45 | %(b) | 04/06/21 | Open | $ | 3,694,500 | $ | 3,698,425 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 3,243,750 | 3,247,196 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 294,350 | 294,663 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 914,375 | 915,347 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 1,537,500 | 1,539,134 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 608,356 | 609,003 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 168,506 | 168,685 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 1,027,725 | 1,028,817 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 04/06/21 | Open | 508,137 | 508,677 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.50 | (b) | 04/06/21 | Open | 712,682 | 713,534 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 04/06/21 | Open | 749,787 | 750,773 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 04/06/21 | Open | 813,037 | 814,189 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/06/21 | Open | 721,630 | 722,751 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/06/21 | Open | 833,646 | 834,926 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/06/21 | Open | 917,044 | 918,451 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/06/21 | Open | 700,277 | 701,352 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 04/06/21 | Open | 2,503,812 | 2,507,833 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 04/06/21 | Open | 1,090,136 | 1,091,887 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 04/06/21 | Open | 2,432,842 | 2,436,749 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/06/21 | Open | 862,042 | 863,569 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/06/21 | Open | 481,920 | 482,773 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/06/21 | Open | 472,477 | 473,314 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/06/21 | Open | 458,438 | 459,249 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/06/21 | Open | 1,348,720 | 1,351,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.80 | (b) | 04/06/21 | Open | 436,175 | 436,999 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.80 | (b) | 04/06/21 | Open | 483,735 | 484,649 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.80 | (b) | 04/06/21 | Open | 413,303 | 414,083 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.80 | (b) | 04/06/21 | Open | 477,161 | 478,063 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.90 | (b) | 04/06/21 | Open | 444,063 | 445,006 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.25 | (b) | 04/06/21 | Open | 1,241,019 | 1,241,760 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.32 | (b) | 04/06/21 | Open | 860,625 | 861,283 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 560,787 | 561,311 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 407,731 | 408,112 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 1,620,360 | 1,621,872 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 816,066 | 816,828 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 1,555,312 | 1,556,764 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 646,750 | 647,354 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 1,094,242 | 1,095,264 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/07/21 | Open | 274,024 | 274,280 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 364,331 | 364,841 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 117,874 | 118,039 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 384,188 | 384,725 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 2,235,000 | 2,238,129 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 500,000 | 500,700 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 1,257,869 | 1,259,630 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 1,077,375 | 1,078,883 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 1,048,725 | 1,050,193 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 362,918 | 363,426 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 93,670 | 93,801 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 311,493 | 311,929 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 325,380 | 325,836 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 313,560 | 313,999 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 1,224,425 | 1,226,139 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/07/21 | Open | 601,800 | 602,643 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/07/21 | Open | 529,031 | 529,587 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/07/21 | Open | 259,823 | 260,095 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/07/21 | Open | 417,008 | 417,445 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/08/21 | Open | 795,852 | 796,595 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/08/21 | Open | 544,897 | 545,406 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.45 | (b) | 04/08/21 | Open | 605,395 | 606,031 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/08/21 | Open | 579,150 | 579,961 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.70 | (b) | 04/08/21 | Open | 319,848 | 320,364 | Corporate Bonds | Open/Demand |
86 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
Barclays Capital, Inc. | 0.60 | %(b) | 04/12/21 | Open | $ | 1,498,529 | $ | 1,500,502 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/12/21 | Open | 210,938 | 211,146 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/12/21 | Open | 148,350 | 148,496 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/12/21 | Open | 353,290 | 353,639 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/12/21 | Open | 629,800 | 630,422 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/13/21 | Open | 241,900 | 242,214 | Capital Trusts | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 04/13/21 | Open | 960,636 | 961,948 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 04/13/21 | Open | 341,948 | 342,451 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/14/21 | Open | 579,860 | 580,604 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.30 | (b) | 04/15/21 | Open | 411,060 | 411,324 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.31 | (b) | 04/15/21 | Open | 730,050 | 730,534 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.50 | (b) | 04/15/21 | Open | 280,860 | 281,160 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.50 | (b) | 04/15/21 | Open | 316,185 | 316,523 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 04/15/21 | Open | 326,616 | 327,000 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 04/15/21 | Open | 251,183 | 251,478 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.25 | (b) | 04/15/21 | Open | 925,000 | 925,495 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 04/20/21 | Open | 147,420 | 147,594 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.33 | (b) | 04/21/21 | Open | 424,174 | 424,446 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.33 | (b) | 04/21/21 | Open | 207,323 | 207,456 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 216,281 | 216,395 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 219,895 | 220,011 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 200,494 | 200,599 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 72,293 | 72,330 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 103,950 | 104,005 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 247,500 | 247,630 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 216,377 | 216,491 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 207,750 | 207,859 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 473,875 | 474,124 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 239,000 | 239,125 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 217,330 | 217,444 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 52,438 | 52,465 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 207,750 | 207,859 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 157,325 | 157,408 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.27 | (b) | 04/21/21 | Open | 271,950 | 272,093 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.35 | (b) | 04/21/21 | Open | 282,563 | 282,755 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.45 | (b) | 04/21/21 | Open | 30,554 | 30,581 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.45 | (b) | 04/21/21 | Open | 93,279 | 93,361 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 04/29/21 | Open | 674,080 | 674,719 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 04/29/21 | Open | 364,910 | 365,256 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/29/21 | Open | 912,340 | 913,361 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/29/21 | Open | 680,024 | 680,785 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 04/29/21 | Open | 722,370 | 723,216 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 04/29/21 | Open | 661,635 | 662,410 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/29/21 | Open | 290,363 | 290,738 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/29/21 | Open | 1,048,050 | 1,048,862 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.85 | (b) | 04/29/21 | Open | 646,021 | 646,967 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/30/21 | Open | 243,322 | 243,489 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/30/21 | Open | 238,769 | 238,933 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/30/21 | Open | 265,125 | 265,308 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.40 | (b) | 04/30/21 | Open | 405,650 | 405,929 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 04/30/21 | Open | 369,550 | 369,944 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 04/30/21 | Open | 385,320 | 385,794 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.38 | (b) | 04/30/21 | Open | 508,185 | 508,501 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.38 | (b) | 04/30/21 | Open | 500,816 | 501,128 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.38 | (b) | 04/30/21 | Open | 407,400 | 407,654 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.38 | (b) | 04/30/21 | Open | 454,813 | 455,096 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.38 | (b) | 04/30/21 | Open | 470,600 | 470,893 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.42 | (b) | 04/30/21 | Open | 333,458 | 333,687 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.42 | (b) | 04/30/21 | Open | 333,120 | 333,349 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.42 | (b) | 04/30/21 | Open | 378,000 | 378,260 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.42 | (b) | 04/30/21 | Open | 365,138 | 365,389 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.42 | (b) | 04/30/21 | Open | 385,000 | 385,265 | Corporate Bonds | Open/Demand |
SCHEDULE OF INVESTMENTS | 87 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
Credit Agricole Corporate And Inves | 0.42 | %(b) | 04/30/21 | Open | $ | 418,500 | $ | 418,788 | Corporate Bonds | Open/Demand | ||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/30/21 | Open | 178,250 | 178,381 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.45 | (b) | 04/30/21 | Open | 994,400 | 995,133 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 05/03/21 | Open | 267,986 | 268,285 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 05/06/21 | Open | 781,744 | 782,341 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 05/07/21 | Open | 430,320 | 430,682 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 05/07/21 | Open | 424,514 | 424,870 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 05/07/21 | Open | 172,215 | 172,360 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 05/07/21 | Open | 1,192,707 | 1,193,710 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 05/07/21 | Open | 530,584 | 531,030 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 150,765 | 150,815 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 28,163 | 28,172 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 313,544 | 313,647 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 259,958 | 260,043 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 15,775 | 15,780 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 353,063 | 353,179 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 60,569 | 60,589 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 418,770 | 418,908 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 79,134 | 79,160 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 131,645 | 131,689 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 52,516 | 52,533 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 37,496 | 37,509 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 48,013 | 48,028 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 180,960 | 181,020 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 216,536 | 216,608 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 198,240 | 198,306 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.35 | (b) | 05/12/21 | Open | 99,130 | 99,163 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.60 | (b) | 05/19/21 | Open | 44,135 | 44,160 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 05/19/21 | Open | 349,081 | 349,312 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 05/19/21 | Open | 517,040 | 517,406 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 05/24/21 | Open | 86,625 | 86,692 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 533,180 | 533,351 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 459,241 | 459,389 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 420,030 | 420,165 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 667,940 | 668,154 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 566,702 | 566,884 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 433,080 | 433,219 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 417,050 | 417,184 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 488,700 | 488,857 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 718,900 | 719,131 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 578,437 | 578,623 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 394,908 | 395,034 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 428,691 | 428,829 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 623,450 | 623,650 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 528,950 | 529,120 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.34 | (b) | 05/27/21 | Open | 369,255 | 369,374 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.29 | (b) | 05/28/21 | Open | 27,804 | 27,810 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 05/28/21 | Open | 582,175 | 582,532 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.45 | (b) | 06/02/21 | Open | 930,000 | 930,326 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.50 | (b) | 06/02/21 | Open | 1,523,487 | 1,524,194 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.50 | (b) | 06/02/21 | Open | 614,100 | 614,408 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 177,884 | 177,977 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 1,634,297 | 1,635,119 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 450,450 | 450,676 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 883,674 | 884,118 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 5,803,510 | 5,806,428 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 773,500 | 773,889 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 318,000 | 318,160 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 445,588 | 445,812 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 551,281 | 551,558 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 869,325 | 869,762 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 720,545 | 720,907 | Corporate Bonds | Open/Demand |
88 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest |
| Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
BNP Paribas S.A. | 0.55 | %(b) | 06/02/21 | Open | $ | 185,000 | $ | 185,093 | Capital Trusts | Open/Demand | ||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 862,387 | 862,821 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 520,327 | 520,589 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 280,780 | 280,921 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 604,044 | 604,361 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 674,347 | 674,687 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 648,672 | 648,999 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 274,838 | 274,982 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/02/21 | Open | 725,517 | 725,882 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/02/21 | Open | 686,937 | 687,310 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/02/21 | Open | 231,179 | 231,287 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 608,915 | 609,223 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 413,080 | 413,289 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 633,600 | 633,920 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 107,535 | 107,589 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 232,853 | 232,970 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 521,397 | 521,661 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 598,336 | 598,639 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 497,920 | 498,172 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 388,395 | 388,591 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 226,485 | 226,600 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 666,420 | 666,757 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 482,197 | 482,441 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 961,330 | 961,816 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/02/21 | Open | 590,021 | 590,320 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 326,630 | 326,803 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 692,125 | 692,491 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 547,461 | 547,751 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 653,185 | 653,530 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 839,002 | 839,446 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 447,666 | 447,903 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 385,075 | 385,279 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 672,534 | 672,889 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/02/21 | Open | 585,000 | 585,309 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 452,071 | 452,317 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 843,817 | 844,277 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 1,402,312 | 1,403,076 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 461,587 | 461,839 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 611,512 | 611,845 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 709,702 | 710,089 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/02/21 | Open | 113,600 | 113,662 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/03/21 | Open | 601,544 | 601,835 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 198,875 | 198,964 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 1,017,480 | 1,017,938 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 413,806 | 413,992 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 530,347 | 530,586 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 1,074,925 | 1,075,409 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 185,000 | 185,083 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 1,173,287 | 1,173,815 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 349,688 | 349,845 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 199,813 | 199,902 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/03/21 | Open | 140,675 | 140,738 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 524,492 | 524,740 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 752,169 | 752,524 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 350,924 | 351,090 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 332,509 | 332,666 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 216,288 | 216,390 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 223,838 | 223,943 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 409,221 | 409,415 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 233,998 | 234,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 483,551 | 483,780 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/03/21 | Open | 246,075 | 246,191 | Corporate Bonds | Open/Demand |
SCHEDULE OF INVESTMENTS | 89 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
BNP Paribas S.A. | 0.65 | %(b) | 06/03/21 | Open | $ | 1,955,542 | $ | 1,956,496 | Corporate Bonds | Open/Demand | ||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 228,160 | 228,271 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 283,508 | 283,646 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 454,485 | 454,707 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 229,298 | 229,409 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 339,771 | 339,937 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 857,990 | 858,408 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 333,040 | 333,202 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 335,948 | 336,111 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 396,240 | 396,433 | �� | Corporate Bonds | Open/Demand | |||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 226,550 | 226,660 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 425,631 | 425,839 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 710,544 | 710,890 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 367,175 | 367,354 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 691,900 | 692,237 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 493,852 | 494,093 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 237,850 | 237,966 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 446,128 | 446,345 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 349,650 | 349,820 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 371,495 | 371,676 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 553,455 | 553,725 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 673,265 | 673,593 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/03/21 | Open | 392,531 | 392,723 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/03/21 | Open | 179,213 | 179,304 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/03/21 | Open | 1,128,375 | 1,128,950 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/03/21 | Open | 385,033 | 385,229 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.69 | (b) | 06/03/21 | Open | 1,667,922 | 1,668,786 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/03/21 | Open | 280,125 | 280,272 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/03/21 | Open | 1,128,390 | 1,128,982 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/03/21 | Open | 841,620 | 842,062 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.70 | (b) | 06/03/21 | Open | 1,056,257 | 1,056,812 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.73 | (b) | 06/03/21 | Open | 204,000 | 204,112 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/03/21 | Open | 349,488 | 349,684 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/03/21 | Open | 1,308,591 | 1,309,327 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/03/21 | Open | 340,204 | 340,395 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/03/21 | Open | 187,960 | 188,066 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/03/21 | Open | 313,228 | 313,404 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/03/21 | Open | 722,722 | 723,129 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.80 | (b) | 06/03/21 | Open | 849,801 | 850,311 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.80 | (b) | 06/03/21 | Open | 141,200 | 141,285 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.95 | (b) | 06/03/21 | Open | 1,196,620 | 1,197,473 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/04/21 | Open | 274,466 | 274,567 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/04/21 | Open | 328,653 | 328,773 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.58 | (b) | 06/04/21 | Open | 479,385 | 479,570 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/04/21 | Open | 671,291 | 671,560 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.60 | (b) | 06/04/21 | Open | 347,183 | 347,321 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/04/21 | Open | 425,113 | 425,319 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/04/21 | Open | 443,983 | 444,175 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/04/21 | Open | 513,836 | 514,059 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/04/21 | Open | 509,302 | 509,523 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/04/21 | Open | 519,585 | 519,810 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/04/21 | Open | 1,442,919 | 1,443,573 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.68 | (b) | 06/04/21 | Open | 363,000 | 363,165 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/04/21 | Open | 374,920 | 375,107 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/07/21 | Open | 1,309,499 | 1,310,066 | Corporate Bonds | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 0.06 | (b) | 06/07/21 | Open | 6,741,937 | 6,742,115 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||
HSBC Securities (USA), Inc. | 0.06 | (b) | 06/07/21 | Open | 8,420,000 | 8,420,222 | U.S. Treasury Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/08/21 | Open | 871,960 | 872,119 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 528,900 | 529,062 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 1,126,142 | 1,126,487 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 356,570 | 356,679 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 366,795 | 366,907 | Corporate Bonds | Open/Demand |
90 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
Barclays Capital, Inc. | 0.50 | %(b) | 06/08/21 | Open | $ | 351,260 | $ | 351,367 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 430,770 | 430,902 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 197,750 | 197,810 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 456,585 | 456,725 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 328,345 | 328,445 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 364,183 | 364,294 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 376,635 | 376,750 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 210,283 | 210,347 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 255,789 | 255,867 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 394,088 | 394,208 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 219,780 | 219,847 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 414,534 | 414,660 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 219,605 | 219,672 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 766,720 | 766,954 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 224,993 | 225,061 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 464,195 | 464,337 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 314,903 | 314,999 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 180,500 | 180,555 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 437,168 | 437,301 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 281,639 | 281,725 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 438,030 | 438,164 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 350,139 | 350,246 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 411,215 | 411,341 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 328,860 | 328,960 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 2,804,375 | 2,805,232 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/08/21 | Open | 849,252 | 849,524 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 237,195 | 237,240 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 331,585 | 331,649 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 233,400 | 233,445 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 341,638 | 341,703 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 400,579 | 400,656 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 231,964 | 232,008 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 251,724 | 251,772 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 271,769 | 271,821 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 322,831 | 322,893 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 374,989 | 375,061 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 329,426 | 329,489 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 225,150 | 225,193 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 302,944 | 303,002 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/08/21 | Open | 307,090 | 307,149 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.30 | (b) | 06/08/21 | Open | 218,500 | 218,540 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.30 | (b) | 06/08/21 | Open | 223,020 | 223,061 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 310,719 | 310,772 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 399,375 | 399,443 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 1,186,081 | 1,186,284 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 1,569,967 | 1,570,236 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 596,785 | 596,887 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 373,500 | 373,564 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 7,306 | 7,308 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 1,469,512 | 1,469,764 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/08/21 | Open | 173,400 | 173,430 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 856,240 | 856,449 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 56,018 | 56,031 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 345,135 | 345,219 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 1,296,230 | 1,296,547 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 1,312,681 | 1,313,002 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 1,066,669 | 1,066,929 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 666,965 | 667,128 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/08/21 | Open | 538,312 | 538,444 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/09/21 | Open | 2,689,125 | 2,689,596 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/09/21 | Open | 2,098,393 | 2,098,760 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 1,429,911 | 1,430,328 | Corporate Bonds | Open/Demand |
SCHEDULE OF INVESTMENTS | 91 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | Type of Non-Cash Underlying Collateral | | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
Barclays Capital, Inc. | 0.50 | %(b) | 06/09/21 | Open | $ | 1,439,362 | $ | 1,439,782 | Corporate Bonds | Open/Demand | ||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 1,219,219 | 1,219,574 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 582,741 | 582,911 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 438,600 | 438,728 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 402,701 | 402,819 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 1,838,372 | 1,838,909 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 1,242,844 | 1,243,206 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 1,750,935 | 1,751,446 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 796,511 | 796,744 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 204,133 | 204,192 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 154,700 | 154,745 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/09/21 | Open | 474,154 | 474,292 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/09/21 | Open | 197,175 | 197,250 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.30 | (b) | 06/09/21 | Open | 1,408,125 | 1,408,371 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.45 | (b) | 06/09/21 | Open | 1,625,000 | 1,625,427 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | 0.50 | (b) | 06/09/21 | Open | 1,780,312 | 1,780,832 | Capital Trusts | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 144,550 | 144,574 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 161,460 | 161,486 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 933,750 | 933,903 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 429,300 | 429,370 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 61,604 | 61,614 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 463,275 | 463,351 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 421,169 | 421,238 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 697,125 | 697,239 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 1,035,300 | 1,035,469 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 302,813 | 302,862 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 1,687,647 | 1,687,923 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 1,500,000 | 1,500,245 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/09/21 | Open | 1,561,875 | 1,562,130 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/10/21 | Open | 122,140 | 122,174 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.63 | (b) | 06/10/21 | Open | 457,610 | 457,770 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | (3.00 | )(b) | 06/11/21 | Open | 217,051 | 216,744 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.25 | (b) | 06/11/21 | Open | 209,250 | 209,275 | Foreign Agency Obligations | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/11/21 | Open | 634,187 | 634,277 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/11/21 | Open | 233,275 | 233,308 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/11/21 | Open | 347,563 | 347,612 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/11/21 | Open | 149,971 | 149,993 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 701,187 | 701,353 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 3,154,112 | 3,154,857 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 311,225 | 311,298 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 410,334 | 410,431 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 363,000 | 363,086 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 544,320 | 544,449 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 340,550 | 340,630 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 567,564 | 567,698 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 217,330 | 217,381 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/11/21 | Open | 310,931 | 311,005 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | (3.00 | )(b) | 06/11/21 | Open | 95,479 | 95,343 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.28 | (b) | 06/11/21 | Open | 246,163 | 246,195 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/11/21 | Open | 973,665 | 973,849 | Corporate Bonds | Open/Demand | ||||||||||||||||||
RBC Capital Markets LLC | 0.40 | (b) | 06/11/21 | Open | 1,111,072 | 1,111,282 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.45 | (b) | 06/14/21 | Open | 135,050 | 135,077 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.75 | (b) | 06/16/21 | Open | 382,850 | 382,970 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.58 | (b) | 06/18/21 | Open | 742,600 | 742,720 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.45 | (b) | 06/21/21 | Open | 129,800 | 129,815 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | (1.00 | )(b) | 06/22/21 | Open | 51,800 | 51,788 | Corporate Bonds | Open/Demand | ||||||||||||||||||
BNP Paribas S.A. | 0.65 | (b) | 06/23/21 | Open | 189,750 | 189,774 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Credit Agricole Corporate And Inves | 0.30 | (b) | 06/25/21 | Open | 137,100 | 137,103 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/29/21 | Open | 790,119 | 790,125 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/29/21 | Open | 1,892,500 | 1,892,516 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/29/21 | Open | 2,002,500 | 2,002,517 | Capital Trusts | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.30 | (b) | 06/29/21 | Open | 1,298,437 | 1,298,448 | Corporate Bonds | Open/Demand | ||||||||||||||||||
92 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Reverse Repurchase Agreements (continued)
Counterparty | | Interest Rate | | | Trade Date | | | Maturity Date | (a) | Face Value | | Face Value Including Accrued Interest | | | Type of Non-Cash Underlying Collateral |
| | Remaining Contractual Maturity of the Agreements |
(a) | |||||||||
Barclays Capital, Inc. | 0.35 | %(b) | 06/29/21 | Open | $ | 3,048,750 | $ | 3,048,780 | Corporate Bonds | Open/Demand | ||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 371,995 | 372,000 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 590,410 | 590,418 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 604,222 | 604,231 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 326,430 | 326,435 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 1,286,810 | 1,286,828 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 1,023,710 | 1,023,724 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 536,270 | 536,277 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 280,294 | 280,298 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 368,663 | 368,668 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 932,047 | 932,060 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 509,655 | 509,662 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 317,104 | 317,108 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 409,076 | 409,076 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 653,410 | 653,419 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 598,579 | 598,587 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 245,645 | 245,648 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 291,200 | 291,204 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 518,141 | 518,148 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 549,010 | 549,018 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 260,700 | 260,704 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 385,328 | 385,333 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 1,287,500 | 1,287,518 | Capital Trusts | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 364,544 | 364,549 | Capital Trusts | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 435,870 | 435,876 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 775,912 | 775,923 | Capital Trusts | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 196,284 | 196,286 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 281,663 | 281,666 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 561,045 | 561,053 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 339,154 | 339,159 | Capital Trusts | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.50 | (b) | 06/29/21 | Open | 488,312 | 488,319 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
Barclays Capital, Inc. | 0.55 | (b) | 06/29/21 | Open | 606,156 | 606,166 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
BNP Paribas S.A. | 0.55 | (b) | 06/30/21 | Open | 75,013 | 75,014 | Corporate Bonds | Open/Demand | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
$ | 314,441,878 | $ | 314,601,672 | |||||||||||||||||||||||||
|
|
|
|
(a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
(b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Long Contracts | ||||||||||||||||
Euro Bund | 32 | 09/08/21 | $ | 6,550 | $ | 41,324 | ||||||||||
10-Year U.S. Ultra Long Treasury Note | 61 | 09/21/21 | 8,971 | 215,264 | ||||||||||||
2-Year U.S. Treasury Note | 566 | 09/30/21 | 124,701 | (29,298 | ) | |||||||||||
|
| |||||||||||||||
227,290 | ||||||||||||||||
|
| |||||||||||||||
Short Contracts | ||||||||||||||||
Euro Bund | 1 | 09/08/21 | 205 | (1,246 | ) | |||||||||||
Euro OAT | 38 | 09/08/21 | 7,167 | (32,026 | ) | |||||||||||
10-Year U.S. Treasury Note | 321 | 09/21/21 | 42,507 | (177,866 | ) | |||||||||||
U.S. Long Bond | 26 | 09/21/21 | 4,175 | (97,447 | ) |
SCHEDULE OF INVESTMENTS | 93 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Futures Contracts (continued)
Description | Number of Contracts | Expiration Date | Notional Amount (000) | Value/ Unrealized Appreciation (Depreciation) | ||||||||||||
Short Contracts (continued) | ||||||||||||||||
Ultra U.S. Treasury Bond | 113 | 09/21/21 | $ | 21,753 | $ | (648,005 | ) | |||||||||
5-Year U.S. Treasury Note | 420 | 09/30/21 | 51,821 | 120,306 | ||||||||||||
|
| |||||||||||||||
(836,284 | ) | |||||||||||||||
|
| |||||||||||||||
$ | (608,994 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
USD | 90,898 | CAD | 110,000 | State Street Bank and Trust Co. | 09/15/21 | $ | 2,163 | |||||||||||||||||||||
USD | 9,056,520 | EUR | 7,471,000 | BNP Paribas S.A. | 09/15/21 | 184,296 | ||||||||||||||||||||||
USD | 991,612 | EUR | 818,000 | HSBC Bank USA N.A. | 09/15/21 | 20,192 | ||||||||||||||||||||||
USD | 115,380 | EUR | 95,000 | JPMorgan Chase Bank N.A. | 09/15/21 | 2,562 | ||||||||||||||||||||||
USD | 118,993 | EUR | 98,000 | Morgan Stanley & Co. International PLC | 09/15/21 | 2,613 | ||||||||||||||||||||||
USD | 1,375,014 | GBP | 973,000 | Barclays Bank PLC | 09/15/21 | 28,838 | ||||||||||||||||||||||
USD | 1,400,451 | GBP | 991,000 | Barclays Bank PLC | 09/15/21 | 29,372 | ||||||||||||||||||||||
USD | 3,931,335 | GBP | 2,785,000 | Barclays Bank PLC | 09/15/21 | 78,202 | ||||||||||||||||||||||
USD | 109,174 | GBP | 77,000 | HSBC Bank USA N.A. | 09/15/21 | 2,643 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 350,881 | |||||||||||||||||||||||||||
|
|
Exchange-Traded Options Purchased
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
90-Day Eurodollar Future | 159 | 09/10/21 | USD | 99.63 | USD | 16 | $ | 21,863 | ||||||||||||||||||||
90-Day Eurodollar Future | 159 | 09/10/21 | USD | 99.50 | USD | 16 | 200,737 | |||||||||||||||||||||
90-Day Eurodollar Future | 172 | 10/15/21 | USD | 99.25 | USD | 17 | 17,200 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 239,800 | |||||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Purchased
| ||||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||
|
|
| ||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 04/07/27 | 3-Month LIBOR, 0.15% | Quarterly | 1.53% | Semi-Annual | JPMorgan Chase Bank N.A. | 04/05/22 | 1.53 | % | USD | 4,985 | $ | 109,441 | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/10/27 | 3-Month LIBOR, 0.15% | Quarterly | 1.39% | Semi-Annual | Morgan Stanley & Co. International PLC | 04/08/22 | 1.39 | USD | 9,830 | 165,767 | ||||||||||||||||||||||||
5-Year Interest Rate Swap, 04/30/27 | 3-Month LIBOR, 0.15% | Quarterly | 1.20% | Semi-Annual | Bank of America N.A. | 04/28/22 | 1.20 | USD | 13,700 | 151,810 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/26/34 | 3-Month LIBOR, 0.15% | Quarterly | 1.97% | Semi-Annual | Goldman Sachs Bank USA | 06/24/24 | 1.97 | USD | 1,720 | 81,034 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/30/34 | 3-Month LIBOR, 0.15% | Quarterly | 2.00% | Semi-Annual | Goldman Sachs Bank USA | 06/28/24 | 2.00 | USD | 1,720 | 83,684 | ||||||||||||||||||||||||
1-Year Interest Rate Swap, 02/26/26 | 3-Month LIBOR, 0.15% | Quarterly | 1.60% | Semi-Annual | Bank of America N.A. | 02/24/25 | 1.59 | USD | 15,740 | 85,861 | ||||||||||||||||||||||||
1-Year Interest Rate Swap, 02/26/26 | 3-Month LIBOR, 0.15% | Quarterly | 1.62% | Semi-Annual | Morgan Stanley & Co. International PLC | 02/24/25 | 1.62 | USD | 31,400 | 175,947 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 3-Month LIBOR, 0.15% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 2,050 | 32,725 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 3-Month LIBOR, 0.15% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 1,370 | 21,870 | ||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/36 | 3-Month LIBOR, 0.15% | Quarterly | 2.60% | Semi-Annual | Deutsche Bank AG | 04/07/26 | 2.60 | USD | 2,550 | 218,501 |
94 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
OTC Interest Rate Swaptions Purchased (continued)
| ||||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Call (continued) | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 | 3-Month LIBOR, 0.15% | Quarterly | 1.05% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/30 | 1.05 | % | USD | 1,510 | $ | 45,317 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 | 3-Month LIBOR, 0.15% | Quarterly | 0.91% | Semi-Annual | Morgan Stanley & Co. International PLC | 08/07/40 | 0.91 | USD | 1,160 | 43,543 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
1,215,500 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 11/17/26 | (0.15%) | Annual | | 6-Month EURIBOR, (0.52%) | | Semi-Annual | Barclays Bank PLC | 11/15/21 | (0.15 | ) | EUR | 8,730 | 29,422 | |||||||||||||||||||||
5-Year Interest Rate Swap, 04/07/27 | 1.53% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | JPMorgan Chase Bank N.A. | 04/05/22 | 1.53 | USD | 4,985 | 31,435 | ||||||||||||||||||||||
5-Year Interest Rate Swap, 04/10/27 | 1.39% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 04/08/22 | 1.39 | USD | 9,830 | 81,475 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/23/32 | 1.90% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 04/21/22 | 1.90 | USD | 33,010 | 432,709 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/26/34 | 1.97% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Goldman Sachs Bank USA | 06/24/24 | 1.97 | USD | 1,720 | 70,824 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 06/30/34 | 2.00% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Goldman Sachs Bank USA | 06/28/24 | 2.00 | USD | 1,720 | 68,979 | ||||||||||||||||||||||
1-Year Interest Rate Swap, 02/26/26 | 1.60% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Bank of America N.A. | 02/24/25 | 1.59 | USD | 15,740 | 85,093 | ||||||||||||||||||||||
1-Year Interest Rate Swap, 02/26/26 | 1.62% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 02/24/25 | 1.62 | USD | 31,400 | 166,791 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 0.91% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 1,370 | 152,380 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/35 | 0.91% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/25 | 0.91 | USD | 2,050 | 228,014 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 04/09/36 | 2.60% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 04/07/26 | 2.60 | USD | 2,550 | 83,525 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/40 | 1.05% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/30 | 1.05 | USD | 1,510 | 171,390 | ||||||||||||||||||||||
10-Year Interest Rate Swap, 08/09/50 | 0.91% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 08/07/40 | 0.91 | USD | 1,160 | 122,321 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
1,724,358 | ||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 2,939,858 | |||||||||||||||||||||||||||||||||
|
|
Exchange-Traded Options Written
| ||||||||||||||||||||||||||||
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||
10-Year U.S. Treasury Note Future | 43 | 07/23/21 | USD | 132.50 | USD | 6 | $ | (22,172 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||
10-Year U.S. Treasury Note Future | 43 | 07/23/21 | USD | 130.50 | USD | 6 | (2,688 | ) | ||||||||||||||||||||
90-Day Eurodollar Future | 159 | 09/10/21 | USD | 99.37 | USD | 16 | (153,037 | ) | ||||||||||||||||||||
90-Day Eurodollar Future | 159 | 09/10/21 | USD | 99.75 | USD | 16 | (48,694 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(204,419 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (226,591 | ) | ||||||||||||||||||||||||||
|
|
OTC Interest Rate Swaptions Written
| ||||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
Call | ||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 09/24/31 | 1.52% | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Citibank N.A. | 09/22/21 | 1.52 | % | USD | 4,050 | $ | (59,969 | ) |
SCHEDULE OF INVESTMENTS | 95 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
OTC Interest Rate Swaptions Written (continued)
| ||||||||||||||||||||||||||||||||||||||||||
| Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional | |||||||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||
Call (continued) | ||||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 10/16/31 | 1.78 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Goldman Sachs Bank USA | 10/14/21 | 1.77 | % | USD | 2,150 | $ | (69,338 | ) | ||||||||||||||||||||||||||
2-Year Interest Rate Swap, 01/12/24 | 0.51 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Morgan Stanley & Co. International PLC | 01/10/22 | 0.51 | USD | 27,570 | (66,826 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/29/32 | 1.00 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 01/27/22 | 1.00 | USD | 2,690 | (10,335 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/29/32 | 1.25 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Bank of America N.A. | 01/27/22 | 1.25 | USD | 2,460 | (20,975 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/20/32 | 1.62 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Bank of America N.A. | 02/18/22 | 1.62 | USD | 2,350 | (56,467 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 02/25/24 | 0.41 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Goldman Sachs Bank USA | 02/23/22 | 0.41 | USD | 40,050 | (51,079 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/03/24 | 0.51 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 03/01/22 | 0.51 | USD | 23,990 | (51,683 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/04/24 | 0.49 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | JPMorgan Chase Bank N.A. | 03/02/22 | 0.49 | USD | 36,010 | (69,507 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/05/24 | 0.52 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Citibank N.A. | 03/03/22 | 0.52 | USD | 12,275 | (27,371 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/23/24 | 0.56 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 03/21/22 | 0.56 | USD | 12,275 | (32,156 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/25/24 | 0.57 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 03/23/22 | 0.57 | USD | 23,990 | (64,332 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 04/23/32 | 1.25 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 04/21/22 | 1.25 | USD | 33,010 | (338,449 | ) | ||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 04/24/27 | 0.90 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Bank of America N.A. | 04/22/22 | 0.90 | USD | 6,850 | (32,478 | ) | ||||||||||||||||||||||||||||
5-Year Interest Rate Swap, 04/30/27 | 0.90 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Bank of America N.A. | 04/28/22 | 0.90 | USD | 20,550 | (97,528 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/09/32 | 1.40 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | JPMorgan Chase Bank N.A. | 06/07/22 | 1.40 | USD | 3,185 | (50,059 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | 0.72 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 08/08/22 | 0.72 | USD | 1,060 | (3,512 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 | 1.06 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Deutsche Bank AG | 10/11/22 | 1.06 | USD | 1,875 | (16,129 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 1.23 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Goldman Sachs Bank USA | 12/16/22 | 1.23 | USD | 1,742 | (22,933 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 1.25 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Goldman Sachs Bank USA | 12/16/22 | 1.24 | USD | 1,743 | (23,499 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 | 1.25 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Citibank N.A. | 12/30/22 | 1.25 | USD | 1,930 | (26,820 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/11/33 | 1.44 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Barclays Bank PLC | 01/09/23 | 1.44 | USD | 3,520 | (69,392 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/03/33 | 2.01 | % | Semi-Annual | | 3-Month LIBOR, 0.15% | | Quarterly | Bank of America N.A. | 03/01/23 | 2.01 | USD | 3,660 | (174,847 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
(1,435,684 | ) | |||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 08/11/23 | | 6-Month EURIBOR, (0.52%) |
| Semi-Annual | (0.25 | %) | Annual | Barclays Bank PLC | 08/09/21 | (0.25 | ) | EUR | 68,730 | (181 | ) | |||||||||||||||||||||||||||
5-Year Interest Rate Swap, 09/05/26 | | 3-Month LIBOR, 0.15% | | Quarterly | 0.60 | % | Semi-Annual | Deutsche Bank AG | 09/03/21 | 0.60 | USD | 6,900 | (142,954 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 09/24/31 | | 3-Month LIBOR, 0.15% | | Quarterly | 1.52 | % | Semi-Annual | Citibank N.A. | 09/22/21 | 1.52 | USD | 4,050 | (44,867 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 10/16/31 | | 3-Month LIBOR, 0.15% | | Quarterly | 1.78 | % | Semi-Annual | Goldman Sachs Bank USA | 10/14/21 | 1.77 | USD | 2,150 | (12,118 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 12/08/23 | | 3-Month LIBOR, 0.15% | | Quarterly | 0.50 | % | Semi-Annual | Barclays Bank PLC | 12/06/21 | 0.50 | USD | 10,280 | (20,901 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 12/12/23 | | 3-Month LIBOR, 0.15% | | Quarterly | 0.45 | % | Semi-Annual | Deutsche Bank AG | 12/10/21 | 0.45 | USD | 10,211 | (26,061 | ) | ||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 01/12/24 | | 3-Month LIBOR, 0.15% | | Quarterly | 0.51 | % | Semi-Annual | Morgan Stanley & Co. International PLC | 01/10/22 | 0.51 | USD | 27,570 | (74,270 | ) |
96 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
OTC Interest Rate Swaptions Written (continued)
| ||||||||||||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Expiration | Exercise | Notional | ||||||||||||||||||||||||||||||||||||||
Description | Rate | Frequency | Rate | Frequency | Counterparty | Date | Rate | Amount (000) | Value | |||||||||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||
| Put (continued) | |||||||||||||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/29/32 | 3-Month LIBOR, 0.15% | Quarterly | 1.25 | % | Semi-Annual | Bank of America N.A. | 01/27/22 | 1.25 | % | USD | 2,460 | $ | (91,515 | ) | ||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/29/32 | 3-Month LIBOR, 0.15% | Quarterly | 1.50 | % | Semi-Annual | Deutsche Bank AG | 01/27/22 | 1.50 | USD | 2,690 | (60,211 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/09/32 | 3-Month LIBOR, 0.15% | Quarterly | 0.68 | % | Semi-Annual | Deutsche Bank AG | 02/07/22 | 0.68 | USD | 7,000 | (589,310 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 02/20/32 | 3-Month LIBOR, 0.15% | Quarterly | 1.62 | % | Semi-Annual | Bank of America N.A. | 02/18/22 | 1.62 | USD | 2,350 | (43,814 | ) | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 02/27/24 | 3-Month LIBOR, 0.15% | Quarterly | 0.75 | % | Semi-Annual | Deutsche Bank AG | 02/25/22 | 0.75 | USD | 40,050 | (81,991 | ) | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/03/24 | 3-Month LIBOR, 0.15% | Quarterly | 0.51 | % | Semi-Annual | Deutsche Bank AG | 03/01/22 | 0.51 | USD | 23,990 | (91,667 | ) | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/04/24 | 3-Month LIBOR, 0.15% | Quarterly | 0.49 | % | Semi-Annual | JPMorgan Chase Bank N.A. | 03/02/22 | 0.49 | USD | 36,010 | (146,188 | ) | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/05/24 | 3-Month LIBOR, 0.15% | Quarterly | 0.52 | % | Semi-Annual | Citibank N.A. | 03/03/22 | 0.52 | USD | 12,275 | (46,385 | ) | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/23/24 | 3-Month LIBOR, 0.15% | Quarterly | 0.56 | % | Semi-Annual | Deutsche Bank AG | 03/21/22 | 0.56 | USD | 12,275 | (46,433 | ) | ||||||||||||||||||||||||||||||
2-Year Interest Rate Swap, 03/25/24 | 3-Month LIBOR, 0.15% | Quarterly | 0.57 | % | Semi-Annual | Deutsche Bank AG | 03/23/22 | 0.57 | USD | 23,990 | (90,014 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 06/09/32 | 3-Month LIBOR, 0.15% | Quarterly | 2.40 | % | Semi-Annual | JPMorgan Chase Bank N.A. | 06/07/22 | 2.40 | USD | 3,185 | (19,439 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 08/10/32 | 3-Month LIBOR, 0.15% | Quarterly | 0.72 | % | Semi-Annual | Deutsche Bank AG | 08/08/22 | 0.72 | USD | 1,060 | (96,870 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 10/13/32 | 3-Month LIBOR, 0.15% | Quarterly | 1.06 | % | Semi-Annual | Deutsche Bank AG | 10/11/22 | 1.06 | USD | 1,875 | (125,397 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 3-Month LIBOR, 0.15% | Quarterly | 1.23 | % | Semi-Annual | Goldman Sachs Bank USA | 12/16/22 | 1.23 | USD | 1,742 | (102,182 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 12/18/32 | 3-Month LIBOR, 0.15% | Quarterly | 1.25 | % | Semi-Annual | Goldman Sachs Bank USA | 12/16/22 | 1.24 | USD | 1,743 | (100,712 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/01/33 | 3-Month LIBOR, 0.15% | Quarterly | 1.25 | % | Semi-Annual | Citibank N.A. | 12/30/22 | 1.25 | USD | 1,930 | (111,883 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 01/11/33 | 3-Month LIBOR, 0.15% | Quarterly | 1.44 | % | Semi-Annual | Barclays Bank PLC | 01/09/23 | 1.44 | USD | 3,520 | (165,131 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 03/03/33 | 3-Month LIBOR, 0.15% | Quarterly | 2.01 | % | Semi-Annual | Bank of America N.A. | 03/01/23 | 2.01 | USD | 3,660 | (86,866 | ) | ||||||||||||||||||||||||||||||
10-Year Interest Rate Swap, 05/17/33 | 6-Month EURIBOR, (0.52%) | Semi-Annual | 0.70 | % | Annual | Barclays Bank PLC | 05/15/23 | 0.70 | EUR | 4,360 | (74,364 | ) | ||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
(2,491,724 | ) | |||||||||||||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||||||||
$ | (3,927,408 | ) | ||||||||||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps — Buy Protection
| ||||||||||||||||||||||||||||
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Termination Date | Notional Amount (000) | Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
CDX.NA.HY.36.V1 | 5.00 | % | Quarterly | 06/20/26 | USD 8,580 | $ | (890,440 | ) | $ | (762,344 | ) | $ | (128,096 | ) | ||||||||||||||
CDX.NA.IG.36.V1 | 1.00 | Quarterly | 06/20/26 | USD 34,830 | (897,177 | ) | (718,671 | ) | (178,506 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (1,787,617 | ) | $ | (1,481,015 | ) | $ | (306,602 | ) | ||||||||||||||||||||
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS | 97 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Centrally Cleared Interest Rate Swaps
| ||||||||||||||||||||||||||||||||||
Paid by the Fund | Received by the Fund | Effective | Termination | Notional | Upfront Premium Paid | Unrealized | ||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Date | Date | Amount (000) | Value | (Received) | (Depreciation) | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||
0.12% | Annual | 6-Month GBP LIBOR, 3.69% | Annual | N/A | 04/11/23 | GBP | 26,780 | $ | 28,246 | $ | (404 | ) | $ | 28,650 | ||||||||||||||||||||
3-Month CAD BA, 1.35% | Semi-Annual | 0.64% | Semi-Annual | N/A | 04/21/23 | CAD | 15,340 | (22,254 | ) | (9 | ) | (22,245 | ) | |||||||||||||||||||||
0.28% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 04/24/23 | USD | 13,530 | (346 | ) | (878 | ) | 532 | ||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 0.34% | Semi-Annual | 12/13/21 | (a) | 12/13/23 | USD | 930 | (2,682 | ) | 4 | (2,686 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 0.45% | Semi-Annual | 03/01/22 | (a) | 03/01/24 | USD | 4,460 | (12,907 | ) | 20 | (12,927 | ) | |||||||||||||||||||||
0.73% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 06/21/22 | (a) | 06/21/24 | USD | 6,150 | 3,300 | 27 | 3,273 | |||||||||||||||||||||||
0.77% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 06/28/22 | (a) | 06/28/24 | USD | 1,795 | (12 | ) | 8 | (20 | ) | |||||||||||||||||||||
0.35% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 10/01/25 | USD | 1,220 | 25,030 | 9 | 25,021 | ||||||||||||||||||||||||
0.56% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 01/12/26 | USD | 545 | 7,055 | 4 | 7,051 | ||||||||||||||||||||||||
1.54% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 02/25/25 | (a) | 02/25/26 | USD | 9,080 | 7,057 | 16 | 7,041 | |||||||||||||||||||||||
1.62% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 02/26/25 | (a) | 02/26/26 | USD | 7,120 | (315 | ) | 13 | (328 | ) | |||||||||||||||||||||
1.71% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 03/06/25 | (a) | 03/06/26 | USD | 2,590 | (2,271 | ) | 5 | (2,276 | ) | |||||||||||||||||||||
6-Month EURIBOR, (0.52%) | Semi-Annual | (0.15%) | Annual | 11/16/21 | (a) | 11/16/26 | EUR | 4,360 | 14,265 | 59 | 14,206 | |||||||||||||||||||||||
1.29% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 04/20/22 | (a) | 04/20/27 | USD | 2,510 | (6,158 | ) | 23 | (6,181 | ) | |||||||||||||||||||||
1.31% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 04/29/22 | (a) | 04/29/27 | USD | 30 | (95 | ) | — | (95 | ) | |||||||||||||||||||||
1.36% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 06/20/22 | (a) | 06/21/27 | USD | 780 | (2,379 | ) | 7 | (2,386 | ) | |||||||||||||||||||||
0.50% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 08/19/27 | USD | 80 | 2,884 | 1 | 2,883 | ||||||||||||||||||||||||
0.84% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 11/15/27 | USD | 5,460 | 102,185 | 68 | 102,117 | ||||||||||||||||||||||||
1.27% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 02/15/28 | USD | 5,390 | (29,429 | ) | 69 | (29,498 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 1.57% | Semi-Annual | N/A | 02/11/30 | USD | 5 | 113 | 183 | (70 | ) | |||||||||||||||||||||||
0.53% | Quarterly | 3-Month LIBOR, 0.15% | Quarterly | N/A | 10/21/30 | USD | 25 | 1,365 | — | 1,365 | ||||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 0.56% | Quarterly | N/A | 10/21/30 | USD | 25 | (1,414 | ) | — | (1,414 | ) | ||||||||||||||||||||||
0.93% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 11/18/30 | USD | 480 | 20,656 | 7 | 20,649 | ||||||||||||||||||||||||
(0.21%) | Annual | 6-Month EURIBOR, (0.52%) | Semi-Annual | N/A | 01/28/31 | EUR | 1,290 | 40,290 | (654 | ) | 40,944 | |||||||||||||||||||||||
1.16% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 02/04/31 | USD | 500 | 10,348 | 8 | 10,340 | ||||||||||||||||||||||||
1.18% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 02/04/31 | USD | 1,080 | 21,119 | 17 | 21,102 | ||||||||||||||||||||||||
1.26% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 02/10/31 | USD | 790 | 9,529 | 12 | 9,517 | ||||||||||||||||||||||||
1.68% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 09/30/21 | (a) | 02/18/31 | USD | 3,990 | (71,233 | ) | (438 | ) | (70,795 | ) | ||||||||||||||||||||
1.54% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | 03/03/31 | USD | 830 | (11,344 | ) | 13 | (11,357 | ) | ||||||||||||||||||||||
1.58% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | N/A | �� | 03/12/31 | USD | 440 | (7,649 | ) | 7 | (7,656 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 1.58% | Semi-Annual | 08/25/21 | (a) | 08/26/31 | USD | 1,600 | 13,306 | 26 | 13,280 | |||||||||||||||||||||||
0.80% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 02/08/22 | (a) | 02/09/32 | USD | 1,310 | 97,231 | 21 | 97,210 | |||||||||||||||||||||||
0.83% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 08/15/22 | (a) | 08/16/32 | USD | 16,030 | 1,290,132 | 49,365 | 1,240,767 | |||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 2.08% | Semi-Annual | 05/05/23 | (a) | 05/05/33 | USD | 560 | 13,769 | 3 | 13,766 | |||||||||||||||||||||||
0.44% | Annual | 6-Month EURIBOR, (0.52%) | Semi-Annual | 05/16/23 | (a) | 05/16/33 | EUR | 1,540 | (17,901 | ) | 34 | (17,935 | ) | |||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 2.15% | Semi-Annual | 05/16/23 | (a) | 05/16/33 | USD | 1,890 | 58,464 | 12 | 58,452 | |||||||||||||||||||||||
0.84% | Quarterly | 1-Day SOFR, 0.05% | Quarterly | N/A | 10/22/40 | USD | 11 | 1,084 | — | 1,084 | ||||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 0.91% | Quarterly | N/A | 10/22/40 | USD | 11 | (1,080 | ) | — | (1,080 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 1.78% | Semi-Annual | 09/30/21 | (a) | 02/15/47 | USD | 1,600 | 2,880 | 45 | 2,835 | |||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 1.80% | Semi-Annual | 09/30/21 | (a) | 02/15/47 | USD | 1,440 | 6,267 | 40 | 6,227 | |||||||||||||||||||||||
1.89% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 09/30/21 | (a) | 02/15/47 | USD | 1,740 | (30,851 | ) | 49 | (30,900 | ) | |||||||||||||||||||||
2.10% | Semi-Annual | 3-Month LIBOR, 0.15% | Quarterly | 09/30/21 | (a) | 02/15/47 | USD | 5,070 | (317,009 | ) | (720 | ) | (316,289 | ) | ||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 0.99% | Semi-Annual | N/A | 08/22/50 | USD | 155 | (29,164 | ) | 5 | (29,169 | ) | ||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 1.00% | Semi-Annual | N/A | 08/22/50 | USD | 155 | (28,770 | ) | 5 | (28,775 | ) | ||||||||||||||||||||||
0.91% | Quarterly | 3-Month LIBOR, 0.15% | Quarterly | N/A | 10/21/50 | USD | 12 | 1,694 | — | 1,694 | ||||||||||||||||||||||||
3-Month LIBOR, 0.15% | Quarterly | 0.99% | Quarterly | N/A | 10/21/50 | USD | 12 | (1,651 | ) | — | (1,651 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 1,181,355 | $ | 47,082 | $ | 1,134,273 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Forward Swap. |
98 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
OTC Credit Default Swaps — Sell Protection
| ||||||||||||||||||||||||||||||||||||||||||
Reference Obligation/Index | | Financing Rate Received by the Fund |
| | Payment Frequency |
| Counterparty | | Termination Date |
| | Credit Rating | (a) | Notional Amount (000)(b) | Value | | Upfront Premium Paid (Received |
) | | Unrealized Appreciation (Depreciation |
) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||||||||
| Broadcom, Inc. | 1.00 | % | Quarterly | Citibank N.A. | 06/20/24 | BBB- | USD | 1,185 | $ | 21,396 | $ | (54,802 | ) | $ | 76,198 | ||||||||||||||||||||||||||
Adler Real Estate AG | 5.00 | Quarterly | Morgan Stanley & Co. International PLC | 12/20/25 | BB+ | EUR | 10 | 1,450 | 1,542 | (92 | ) | |||||||||||||||||||||||||||||||
Virgin Media Finance PLC | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/25 | B | EUR | 10 | 1,436 | 1,190 | 246 | ||||||||||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Barclays Bank PLC | 10/17/57 | NR | USD | 5,000 | (689,554 | ) | (491,506 | ) | (198,048 | ) | |||||||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Credit Suisse International | 10/17/57 | NR | USD | 2,500 | (344,777 | ) | (243,137 | ) | (101,640 | ) | |||||||||||||||||||||||||||||
CMBX.NA.8 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 10/17/57 | NR | USD | 4,450 | (613,702 | ) | (573,716 | ) | (39,986 | ) | |||||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Credit Suisse International | 09/17/58 | NR | USD | 5,000 | (386,335 | ) | (527,073 | ) | 140,738 | ||||||||||||||||||||||||||||||
CMBX.NA.9 | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | NR | USD | 1,528 | (118,064 | ) | (169,286 | ) | 51,222 | ||||||||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
$ | (2,128,150 | ) | $ | (2,056,788 | ) | $ | (71,362 | ) | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
(b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written
| ||||||||||||||||||||
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | |||||||||||||||
| ||||||||||||||||||||
Centrally Cleared Swaps(a) | $ | 50,185 | $ | (1,484,118 | ) | $ | 1,730,006 | $ | (902,335 | ) | $ | — | ||||||||
OTC Swaps | 2,732 | (2,059,520 | ) | 268,404 | (339,766 | ) | — | |||||||||||||
Options Written | N/A | N/A | 739,737 | (1,193,753 | ) | (4,153,999 | ) | |||||||||||||
|
(a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| ||||||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Assets — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 376,894 | $ | — | $ | 376,894 | ||||||||||||||
Forward foreign currency exchange contracts Unrealized appreciation on forward foreign currency exchange contracts | — | — | — | 350,881 | — | — | 350,881 | |||||||||||||||||||||
Options purchased | ||||||||||||||||||||||||||||
Investments at value — unaffiliated(b) | — | — | — | — | 3,179,658 | — | 3,179,658 | |||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared | — | — | — | — | 1,730,006 | — | 1,730,006 | |||||||||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid | — | 271,136 | — | — | — | — | 271,136 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 271,136 | $ | — | $ | 350,881 | $ | 5,286,558 | $ | — | $ | 5,908,575 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
Futures contracts | ||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) | $ | — | $ | — | $ | — | $ | — | $ | 985,888 | $ | — | $ | 985,888 | ||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written at value | — | — | — | — | 4,153,999 | — | 4,153,999 |
SCHEDULE OF INVESTMENTS | 99 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Derivative Financial Instruments Categorized by Risk Exposure (continued)
| ||||||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Swaps — centrally cleared | ||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) | $ | — | $ | 306,602 | $ | — | $ | — | $ | 595,733 | $ | — | $ | 902,335 | ||||||||||||||
Swaps — OTC | ||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received | — | 2,399,286 | — | — | — | — | 2,399,286 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 2,705,888 | $ | — | $ | — | $ | 5,735,620 | $ | — | $ | 8,441,508 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
(b) | Includes options purchased at value as reported in the Schedule of Investments. |
For the six months ended June 30, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:
| ||||||||||||||||||||||||||||
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Net Realized Gain (Loss) from | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | 2,642,579 | $ | — | $ | 2,642,579 | ||||||||||||||
Forward foreign currency exchange contracts | — | — | — | (352,852 | ) | — | — | (352,852 | ) | |||||||||||||||||||
Options purchased(a) | — | — | — | — | 2,557,096 | — | 2,557,096 | |||||||||||||||||||||
Options written | — | — | — | — | (1,694,170 | ) | — | (1,694,170 | ) | |||||||||||||||||||
Swaps | — | 159,519 | — | — | 741,423 | — | 900,942 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 159,519 | $ | — | $ | (352,852 | ) | $ | 4,246,928 | $ | — | $ | 4,053,595 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | — | $ | (502,892 | ) | $ | — | $ | (502,892 | ) | ||||||||||||
Forward foreign currency exchange contracts | — | — | — | 797,033 | — | — | 797,033 | |||||||||||||||||||||
Options purchased(b) | — | — | — | — | (213,776 | ) | — | (213,776 | ) | |||||||||||||||||||
Options written | — | — | — | — | (808,235 | ) | — | (808,235 | ) | |||||||||||||||||||
Swaps | — | 638,142 | — | — | 554,069 | — | 1,192,211 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
$ | — | $ | 638,142 | $ | — | $ | 797,033 | $ | (970,834 | ) | $ | — | $ | 464,341 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
(b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts | ||||
Average notional value of contracts — long | $ | 77,802,382 | ||
Average notional value of contracts — short | $ | 135,271,386 | ||
Forward foreign currency exchange contracts | ||||
Average amounts purchased — in USD | $ | 13,503,316 | ||
Average amounts sold — in USD | $ | 18,177,851 | ||
Options | ||||
Average value of option contracts purchased. | $ | 300,308 | ||
Average value of option contracts written | $ | 231,608 | ||
Average notional value of swaption contracts purchased | $ | 215,100,799 | ||
Average notional value of swaption contracts written | $ | 590,868,574 | ||
Credit default swaps | ||||
Average notional value — buy protection | $ | 42,187,500 | ||
Average notional value — sell protection | $ | 24,692,448 | ||
Interest rate swaps | ||||
Average notional value — pays fixed rate | $ | 119,148,076 | ||
Average notional value — receives fixed rate | $ | 43,129,126 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
100 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
Assets | Liabilities | |||||||
Derivative Financial Instruments | ||||||||
Futures contracts | $ | 55,358 | $ | 171,429 | ||||
Forward foreign currency exchange contracts | 350,881 | — | ||||||
Options | 3,179,658 | (a) | 4,153,999 | |||||
Swaps — centrally cleared | — | 78,561 | ||||||
Swaps — OTC(b) | 271,136 | 2,399,286 | ||||||
|
|
|
| |||||
Total derivative assets and liabilities in the Statements of Assets and Liabilities | 3,857,033 | 6,803,275 | ||||||
|
|
|
| |||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) | (295,158 | ) | (476,581 | ) | ||||
|
|
|
| |||||
Total derivative assets and liabilities subject to an MNA | $ | 3,561,875 | $ | 6,326,694 | ||||
|
|
|
|
(a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
(b) | Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:
Counterparty | | Derivative Assets Subject to an MNA by Counterparty |
| | Derivatives Available for Offset |
(a) | | Non-Cash Collateral | | | Cash Collateral Received |
(b) | | Net Amount of Derivative | | |||||
Bank of America N.A. | $ | 322,764 | $ | (322,764 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC | 165,834 | (165,834 | ) | — | — | — | ||||||||||||||
BNP Paribas S.A. | 184,296 | — | — | — | 184,296 | |||||||||||||||
Citibank N.A. | 76,198 | (76,198 | ) | — | — | — | ||||||||||||||
Credit Suisse International | 140,738 | (140,738 | ) | — | — | — | ||||||||||||||
Deutsche Bank AG | 734,735 | (734,735 | ) | — | — | — | ||||||||||||||
Goldman Sachs Bank USA | 304,521 | (304,521 | ) | — | — | — | ||||||||||||||
HSBC Bank USA N.A. | 22,835 | — | — | — | 22,835 | |||||||||||||||
JPMorgan Chase Bank N.A. | 144,874 | (144,874 | ) | — | — | — | ||||||||||||||
Morgan Stanley & Co. International PLC | 1,462,917 | (924,176 | ) | — | (480,000 | ) | 58,741 | |||||||||||||
State Street Bank and Trust Co. | 2,163 | — | — | — | 2,163 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 3,561,875 | $ | (2,813,840 | ) | $ | — | $ | (480,000 | ) | $ | 268,035 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Counterparty | | Derivative Liabilities Subject to an MNA by Counterparty |
| | Derivatives Available for Offset | (a) | | Non-Cash Collateral Pledged | | | Cash Collateral Pledged | (d) | | Net Amount of Derivative Liabilities | (e) | |||||
Bank of America N.A. | $ | 604,490 | $ | (322,764 | ) | $ | — | $ | (281,726 | ) | $ | — | ||||||||
Barclays Bank PLC | 1,019,523 | (165,834 | ) | — | (853,689 | ) | — | |||||||||||||
Citibank N.A. | 372,097 | (76,198 | ) | — | (260,000 | ) | 35,899 | |||||||||||||
Credit Suisse International | 871,850 | (140,738 | ) | — | (731,112 | ) | — | |||||||||||||
Deutsche Bank AG | 1,867,504 | (734,735 | ) | — | (570,000 | ) | 562,769 | |||||||||||||
Goldman Sachs Bank USA | 381,861 | (304,521 | ) | — | (77,340 | ) | — | |||||||||||||
JPMorgan Chase Bank N.A. | 285,193 | (144,874 | ) | — | (140,319 | ) | — | |||||||||||||
Morgan Stanley & Co. International PLC | 924,176 | (924,176 | ) | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 6,326,694 | $ | (2,813,840) | $ | — | $ | (2,914,186 | ) | $ | 598,668 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) | The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA. |
(b) | Excess of collateral received from the individual counterparty is not shown for financial reporting purposes. |
(c) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(d) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(e) | Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities. |
SCHEDULE OF INVESTMENTS | 101 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets | ||||||||||||||||
Investments | ||||||||||||||||
Long-Term Investments | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 23,034,400 | $ | 615,080 | $ | 23,649,480 | ||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | 23,440 | — | — | 23,440 | ||||||||||||
Diversified Financial Services | — | — | 5,468 | 5,468 | ||||||||||||
Energy Equipment & Services | — | — | 4,040 | 4,040 | ||||||||||||
Household Durables | — | — | — | — | ||||||||||||
Media | 102,725 | — | — | 102,725 | ||||||||||||
Metals & Mining | — | 17,622 | 545 | 18,167 | ||||||||||||
Oil, Gas & Consumable Fuels | 235,158 | 241,144 | — | 476,302 | ||||||||||||
Software | 511 | — | — | 511 | ||||||||||||
Specialty Retail | — | 165,807 | — | 165,807 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Advertising Agencies | — | 267,381 | — | 267,381 | ||||||||||||
Aerospace & Defense | — | 11,877,157 | — | 11,877,157 | ||||||||||||
Air Freight & Logistics | — | 18,698 | — | 18,698 | ||||||||||||
Airlines | — | 11,606,016 | — | 11,606,016 | ||||||||||||
Auto Components | — | 6,456,814 | — | 6,456,814 | ||||||||||||
Automobiles | — | 9,378,926 | — | 9,378,926 | ||||||||||||
Banks | — | 9,257,448 | — | 9,257,448 | ||||||||||||
Beverages | — | 8,583,143 | — | 8,583,143 | ||||||||||||
Biotechnology | — | 74,444 | — | 74,444 | ||||||||||||
Building Materials | — | 4,317,327 | — | 4,317,327 | ||||||||||||
Building Products | — | 3,190,178 | — | 3,190,178 | ||||||||||||
Capital Markets | — | 6,072,838 | — | 6,072,838 | ||||||||||||
Chemicals | — | 7,879,084 | — | 7,879,084 | ||||||||||||
Commercial Services & Supplies | — | 4,422,805 | — | 4,422,805 | ||||||||||||
Communications Equipment | — | 4,078,326 | — | 4,078,326 | ||||||||||||
Construction & Engineering | — | 443,765 | — | 443,765 | ||||||||||||
Construction Materials | — | 4,843,345 | — | 4,843,345 | ||||||||||||
Consumer Discretionary | — | 7,104,402 | — | 7,104,402 | ||||||||||||
Consumer Finance | — | 6,800,578 | — | 6,800,578 | ||||||||||||
Containers & Packaging | — | 2,641,917 | — | 2,641,917 | ||||||||||||
Diversified Consumer Services | — | 9,565,651 | — | 9,565,651 | ||||||||||||
Diversified Financial Services | — | 16,508,372 | — | 16,508,372 | ||||||||||||
Diversified Telecommunication Services | — | 17,336,554 | — | 17,336,554 | ||||||||||||
Education | — | 203,000 | — | 203,000 | ||||||||||||
Electric Utilities | — | 4,319,266 | — | 4,319,266 | ||||||||||||
Electrical Equipment | — | 508,295 | — | 508,295 | ||||||||||||
Electronic Equipment, Instruments & Components | — | 2,275,645 | — | 2,275,645 | ||||||||||||
Energy Equipment & Services | — | 2,467,070 | 197,095 | 2,664,165 | ||||||||||||
Environmental, Maintenance, & Security Service | — | 3,187,381 | — | 3,187,381 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | — | 9,938,341 | — | 9,938,341 | ||||||||||||
Food & Staples Retailing | — | 9,501,634 | — | 9,501,634 | ||||||||||||
Food Products | — | 4,267,051 | — | 4,267,051 | ||||||||||||
Gas Utilities | — | 220,407 | — | 220,407 | ||||||||||||
Health Care Equipment & Supplies | — | 3,093,194 | — | 3,093,194 | ||||||||||||
Health Care Providers & Services | — | 24,956,722 | — | 24,956,722 | ||||||||||||
Health Care Technology | — | 4,137,029 | — | 4,137,029 | ||||||||||||
Hotels, Restaurants & Leisure | 19,529 | 25,894,614 | — | 25,914,143 | ||||||||||||
Household Durables | — | 3,682,040 | — | 3,682,040 | ||||||||||||
Household Products | — | 177,625 | — | 177,625 | ||||||||||||
Independent Power and Renewable Electricity Producers | — | 7,255,756 | — | 7,255,756 | ||||||||||||
Insurance | — | 11,864,666 | — | 11,864,666 | ||||||||||||
Interactive Media & Services | — | 4,495,207 | — | 4,495,207 |
102 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Corporate Bonds (continued) | ||||||||||||||||
Internet Software & Services | $ | — | $ | 6,609,472 | $ | — | $ | 6,609,472 | ||||||||
IT Services | — | 7,844,945 | — | 7,844,945 | ||||||||||||
Leisure Products | — | 952,249 | — | 952,249 | ||||||||||||
Machinery | — | 4,408,450 | — | 4,408,450 | ||||||||||||
Media | — | 56,381,913 | — | 56,381,913 | ||||||||||||
Metals & Mining | — | 10,409,343 | — | 10,409,343 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) | — | 171,581 | — | 171,581 | ||||||||||||
Multi-line Retail | — | 569,893 | — | 569,893 | ||||||||||||
Offshore Drilling & Other Services | — | 658,163 | — | 658,163 | ||||||||||||
Oil, Gas & Consumable Fuels | 231,696 | 55,339,984 | 1,406,036 | 56,977,716 | ||||||||||||
Personal Products | — | 356,332 | — | 356,332 | ||||||||||||
Pharmaceuticals | — | 10,990,483 | — | 10,990,483 | ||||||||||||
Producer Durables: Miscellaneous | — | 806,079 | — | 806,079 | ||||||||||||
Real Estate Management & Development | — | 24,203,879 | — | 24,203,879 | ||||||||||||
Road & Rail | — | 1,905,793 | — | 1,905,793 | ||||||||||||
Semiconductors & Semiconductor Equipment | — | 8,944,689 | — | 8,944,689 | ||||||||||||
Software | — | 11,206,001 | — | 11,206,001 | ||||||||||||
Specialty Retail | — | 4,271,336 | — | 4,271,336 | ||||||||||||
Technology Hardware, Storage & Peripherals | — | 654,397 | — | 654,397 | ||||||||||||
Textiles, Apparel & Luxury Goods | — | 743,248 | — | 743,248 | ||||||||||||
Thrifts & Mortgage Finance | — | 1,369,472 | — | 1,369,472 | ||||||||||||
Transportation | — | 123,377 | — | 123,377 | ||||||||||||
Transportation Infrastructure | — | 1,292,733 | — | 1,292,733 | ||||||||||||
Utilities | — | 3,152,608 | — | 3,152,608 | ||||||||||||
Wireless Telecommunication Services | — | 15,243,420 | — | 15,243,420 | ||||||||||||
Floating Rate Loan Interests | — | 274,055,130 | 8,732,036 | 282,787,166 | ||||||||||||
Foreign Agency Obligations | — | 22,086,213 | — | 22,086,213 | ||||||||||||
Investment Companies | 4,834,462 | — | — | 4,834,462 | ||||||||||||
Non-Agency Mortgage-Backed Securities | — | 9,249,655 | — | 9,249,655 | ||||||||||||
Other Interests | — | — | — | — | ||||||||||||
Preferred Securities | ||||||||||||||||
Capital Trusts | — | 27,777,701 | — | 27,777,701 | ||||||||||||
Preferred Stocks | 10,517,241 | — | — | 10,517,241 | ||||||||||||
Trust Preferred | 194,558 | — | — | 194,558 | ||||||||||||
U.S. Government Sponsored Agency Securities | — | 2,515,898 | — | 2,515,898 | ||||||||||||
U.S. Treasury Obligations | — | 37,154,543 | — | 37,154,543 | ||||||||||||
Warrants | 2,650 | — | — | 2,650 | ||||||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 7,704,300 | — | — | 7,704,300 | ||||||||||||
Options Purchased | ||||||||||||||||
Interest Rate Contracts | 239,800 | 2,939,858 | — | 3,179,658 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | 113 | — | 113 | ||||||||||||
Liabilities | ||||||||||||||||
Unfunded Floating Rate Loan Interests(a) | — | (246 | ) | — | (246 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 24,106,070 | $ | 903,017,790 | $ | 10,960,300 | 938,084,160 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Investments Valued at NAV(b) | 1,416 | |||||||||||||||
|
| |||||||||||||||
$ | 938,085,576 | |||||||||||||||
|
| |||||||||||||||
Derivative Financial Instruments(c) | ||||||||||||||||
Assets | ||||||||||||||||
Credit Contracts | $ | — | $ | 268,404 | $ | — | $ | 268,404 | ||||||||
Foreign Currency Exchange Contracts | — | 350,881 | — | 350,881 | ||||||||||||
Interest Rate Contracts | 376,894 | 1,730,006 | — | 2,106,900 | ||||||||||||
Liabilities | ||||||||||||||||
Credit Contracts | — | (646,368 | ) | — | (646,368 | ) | ||||||||||
Interest Rate Contracts | (1,212,479 | ) | (4,523,141 | ) | — | (5,735,620 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
$ | (835,585 | ) | $ | (2,820,218 | ) | $ | — | $ | (3,655,803 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
(b) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |
(c) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
SCHEDULE OF INVESTMENTS | 103 |
Schedule of Investments (unaudited) (continued) June 30, 2021 |
BlackRock Limited Duration Income Trust (BLW) |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $314,601,672 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset-Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Other Interests | Warrants | Total | ||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Opening balance, as of December 31, 2020 | $ | 814,296 | $ | 24,676 | $ | 1,642,502 | $ | 7,511,633 | $ | — | (a) | $ | — | (a) | $ | 9,993,107 | ||||||||||||
Transfers into Level 3 | — | — | — | 1,218,981 | — | — | 1,218,981 | |||||||||||||||||||||
Transfers out of Level 3 | — | — | — | (3,395,669 | ) | — | (a) | — | (a) | (3,395,669 | ) | |||||||||||||||||
Accrued discounts/premiums | (43,679 | ) | — | 3,813 | 2,894 | — | — | (36,972 | ) | |||||||||||||||||||
Net realized gain (loss) | — | — | 846 | 18,140 | — | — | 18,986 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation)(b)(c) | 38,813 | (14,623 | ) | (24,713 | ) | 39,501 | — | — | 38,978 | |||||||||||||||||||
Purchases | — | — | 3,456 | 4,949,553 | — | — | 4,953,009 | |||||||||||||||||||||
Sales | (194,350 | ) | — | (22,773 | ) | (1,612,997 | ) | — | — | (1,830,120 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Closing balance, as of June 30, 2021 | $ | 615,080 | $ | 10,053 | $ | 1,603,131 | $ | 8,732,036 | $ | — | $ | — | $ | 10,960,300 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021(c) | $ | 38,813 | $ | (14,623 | ) | $ | (24,713 | ) | $ | 57,540 | $ | — | $ | — | $ | 57,017 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Rounds to less than $1. |
(b) | Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(c) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
104 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Assets and Liabilities (unaudited)
June 30, 2021
DSU | FRA | BLW | ||||||||||
| ||||||||||||
ASSETS | ||||||||||||
Investments, at value — unaffiliated(a) | $ | 809,445,370 | $ | 726,485,555 | $ | 929,037,809 | ||||||
Investments, at value — affiliated(b) | 9,759,610 | 9,035,280 | 9,047,900 | |||||||||
Cash | 2,896,271 | 2,713,413 | 1,460,818 | |||||||||
Cash pledged: | ||||||||||||
Collateral — reverse repurchase agreements | — | — | 46,000 | |||||||||
Collateral — OTC derivatives | 30,000 | — | 3,570,000 | |||||||||
Futures contracts | — | — | 1,488,470 | |||||||||
Centrally cleared swaps | — | — | 3,906,000 | |||||||||
Foreign currency, at value(c) | 408,829 | — | 984,995 | |||||||||
Receivables: | ||||||||||||
Investments sold | 13,437,179 | 13,247,483 | 6,709,759 | |||||||||
Dividends — unaffiliated | — | — | 70,678 | |||||||||
Dividends — affiliated | 16 | 2 | 77 | |||||||||
Interest — unaffiliated | 3,152,950 | 1,714,579 | 8,993,440 | |||||||||
Variation margin on futures contracts | — | — | 55,358 | |||||||||
Swap premiums paid | — | — | 2,732 | |||||||||
Unrealized appreciation on: | ||||||||||||
Forward foreign currency exchange contracts | 157,577 | 120,185 | 350,881 | |||||||||
OTC swaps | 14,959 | — | 268,404 | |||||||||
Unfunded floating rate loan interests | 254 | 288 | 113 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 839,303,015 | 753,316,785 | 965,993,434 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES | ||||||||||||
Cash received: | ||||||||||||
Collateral — reverse repurchase agreements | — | — | 2,465,321 | |||||||||
Collateral — OTC derivatives | — | — | 480,000 | |||||||||
Options written, at value(d) | — | — | 4,153,999 | |||||||||
Reverse repurchase agreements, at value | — | — | 314,601,672 | |||||||||
Payables: | ||||||||||||
Investments purchased | 53,733,610 | 57,658,720 | 28,459,615 | |||||||||
Reverse repurchase agreements | — | — | 294,345 | |||||||||
Bank borrowings | 238,000,000 | 201,000,000 | — | |||||||||
Income dividend distributions | 40,436 | 86,370 | 117,127 | |||||||||
Interest expense | 217,065 | 176,340 | — | |||||||||
Investment advisory fees | 351,784 | 423,170 | 416,729 | |||||||||
Directors’ and Officer’s fees | 419,487 | 1,416 | 525,079 | |||||||||
Other accrued expenses | 444,504 | 342,920 | 472,037 | |||||||||
Variation margin on futures contracts | — | — | 171,429 | |||||||||
Variation margin on centrally cleared swaps | — | — | 78,561 | |||||||||
Swap premiums received | 27,041 | — | 2,059,520 | |||||||||
Unrealized depreciation on: | ||||||||||||
OTC swaps | — | — | 339,766 | |||||||||
Unfunded floating rate loan interests | 521 | 591 | 246 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 293,234,448 | 259,689,527 | 354,635,446 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 546,068,567 | $ | 493,627,258 | $ | 611,357,988 | ||||||
|
|
|
|
|
|
FINANCIAL STATEMENTS | 105 |
Statements of Assets and Liabilities (unaudited) (continued)
June 30, 2021
DSU | FRA | BLW | ||||||||||
| ||||||||||||
NET ASSETS CONSIST OF | ||||||||||||
Paid-in capital(e)(f)(g) | $ | 658,028,410 | $ | 543,527,624 | $ | 628,806,055 | ||||||
Accumulated loss | (111,959,843 | ) | (49,900,366 | ) | (17,448,067 | ) | ||||||
|
|
|
|
|
| |||||||
NET ASSETS | $ | 546,068,567 | $ | 493,627,258 | $ | 611,357,988 | ||||||
|
|
|
|
|
| |||||||
Net asset value(e)(f)(g) | $ | 11.72 | $ | 14.01 | $ | 17.14 | ||||||
|
|
|
|
|
| |||||||
(a) Investments, at cost — unaffiliated | $ | 824,061,131 | $ | 728,537,693 | $ | 905,722,777 | ||||||
(b) Investments, at cost — affiliated | $ | 9,284,385 | $ | 8,283,951 | $ | 8,973,994 | ||||||
(c) Foreign currency, at cost | $ | 411,492 | $ | — | $ | 994,146 | ||||||
(d) Premiums received | $ | — | $ | — | $ | 3,699,983 | ||||||
(e) Shares outstanding | 46,591,807 | 35,232,197 | 35,669,162 | |||||||||
(f) Shares authorized | 400 million | 200 million | Unlimited | |||||||||
(g) Par value | $ | 0.10 | $ | 0.10 | $ | 0.001 |
See notes to financial statements.
106 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Operations (unaudited)
Six Months Ended June 30, 2021
DSU | FRA | BLW | ||||||||||
| ||||||||||||
INVESTMENT INCOME | ||||||||||||
Dividends — unaffiliated | $ | 32,980 | $ | 71,529 | $ | 428,883 | ||||||
Dividends — affiliated | 132,423 | 158,059 | 13,684 | |||||||||
Interest — unaffiliated | 17,022,033 | 14,715,629 | 20,874,548 | |||||||||
Other income — unaffiliated | 368,525 | 414,477 | 167,703 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 17,555,961 | 15,359,694 | 21,484,818 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES | ||||||||||||
Investment advisory | 2,126,349 | 2,604,494 | 2,448,794 | |||||||||
Transfer agent | 99,805 | 19,549 | 21,559 | |||||||||
Professional | 74,623 | 65,582 | 62,635 | |||||||||
Directors and Officer | 67,973 | 14,881 | 86,449 | |||||||||
Accounting services | 50,814 | 48,101 | 57,909 | |||||||||
Custodian | 15,356 | 18,630 | 45,135 | |||||||||
Registration | 8,456 | 6,168 | 6,164 | |||||||||
Miscellaneous | 38,592 | 19,311 | 52,023 | |||||||||
|
|
|
|
|
| |||||||
Total expenses excluding interest expense | 2,481,968 | 2,796,716 | 2,780,668 | |||||||||
Interest expense | 1,133,783 | 979,258 | 835,358 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 3,615,751 | 3,775,974 | 3,616,026 | |||||||||
Less: | ||||||||||||
Fees waived and/or reimbursed by the Manager | (26,871 | ) | (38,381 | ) | (5,426 | ) | ||||||
|
|
|
|
|
| |||||||
Total expenses after fees waived and/or reimbursed | 3,588,880 | 3,737,593 | 3,610,600 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | 13,967,081 | 11,622,101 | 17,874,218 | |||||||||
|
|
|
|
|
| |||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments — unaffiliated | 4,719,883 | 4,306,471 | 9,274,246 | |||||||||
Investments — affiliated | 93,493 | (177,697 | ) | — | ||||||||
Forward foreign currency exchange contracts | (171,312 | ) | (191,005 | ) | (352,852 | ) | ||||||
Foreign currency transactions | (21,438 | ) | (12,013 | ) | (73,471 | ) | ||||||
Futures contracts | 2,340 | — | 2,642,579 | |||||||||
Options written | — | — | (1,694,170 | ) | ||||||||
Swaps | 5,416 | — | 900,942 | |||||||||
|
|
|
|
|
| |||||||
4,628,382 | 3,925,756 | 10,697,274 | ||||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments — unaffiliated | 3,470,627 | 2,963,272 | (4,376,412 | ) | ||||||||
Investments — affiliated | (216,892 | ) | (230,510 | ) | (37,700 | ) | ||||||
Forward foreign currency exchange contracts | 360,269 | 295,184 | 797,033 | |||||||||
Foreign currency translations | (7,055 | ) | 35 | (37,674 | ) | |||||||
Futures contracts | — | — | (502,892 | ) | ||||||||
Options written | — | — | (808,235 | ) | ||||||||
Swaps | 1,440 | — | 1,192,211 | |||||||||
Unfunded floating rate loan interests | 133 | 150 | 49 | |||||||||
|
|
|
|
|
| |||||||
3,608,522 | 3,028,131 | (3,773,620 | ) | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain | 8,236,904 | 6,953,887 | 6,923,654 | |||||||||
|
|
|
|
|
| |||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,203,985 | $ | 18,575,988 | $ | 24,797,872 | ||||||
|
|
|
|
|
|
See notes to financial statements.
FINANCIAL STATEMENTS | 107 |
Statements of Changes in Net Assets
DSU | FRA | |||||||||||||||
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | |||||||||||||
| ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
OPERATIONS | ||||||||||||||||
Net investment income | $ | 13,967,081 | $ | 30,030,733 | $ | 11,622,101 | $ | 24,541,501 | ||||||||
Net realized gain (loss) | 4,628,382 | (27,280,198 | ) | 3,925,756 | (20,159,713 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 3,608,522 | (2,040,404 | ) | 3,028,131 | 473,480 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 22,203,985 | 710,131 | 18,575,988 | 4,855,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||||||||
From net investment income | (14,094,021 | )(b) | (29,156,637 | ) | (11,749,938 | )(b) | (24,834,098 | ) | ||||||||
Return of capital | — | (10,264,492 | ) | — | (8,006,999 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Decrease in net assets resulting from distributions to shareholders | (14,094,021 | ) | (39,421,129 | ) | (11,749,938 | ) | (32,841,097 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||||||||
Redemption of shares resulting from share repurchases (including transaction costs) | — | (28,570,553 | ) | (1,250,043 | ) | (6,507,629 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | ||||||||||||||||
Total increase (decrease) in net assets | 8,109,964 | (67,281,551 | ) | 5,576,007 | (34,493,458 | ) | ||||||||||
Beginning of period | 537,958,603 | 605,240,154 | 488,051,251 | 522,544,709 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 546,068,567 | $ | 537,958,603 | $ | 493,627,258 | $ | 488,051,251 | ||||||||
|
|
|
|
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
108 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Changes in Net Assets (continued)
BLW | ||||||||||
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | |||||||||
| ||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||
OPERATIONS | ||||||||||
Net investment income | $ | 17,874,218 | $ | 34,850,346 | ||||||
Net realized gain (loss) | 10,697,274 | (8,159,232 | ) | |||||||
Net change in unrealized appreciation (depreciation) | (3,773,620 | ) | 10,602,268 | |||||||
|
|
|
| |||||||
Net increase in net assets resulting from operations | 24,797,872 | 37,293,382 | ||||||||
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) | ||||||||||
From net investment income | (17,492,955 | )(b) | (36,735,203 | ) | ||||||
Return of capital | — | (5,328,251 | ) | |||||||
|
|
|
| |||||||
Decrease in net assets resulting from distributions to shareholders | (17,492,955 | ) | (42,063,454 | ) | ||||||
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS | ||||||||||
Reinvestment of distributions | 120,464 | — | ||||||||
Redemption of shares resulting from share repurchase program (including transaction costs) | — | (2,364,913 | ) | |||||||
|
|
|
| |||||||
Net increase (decrease) in net assets derived from capital share transactions | 120,464 | (2,364,913 | ) | |||||||
|
|
|
| |||||||
NET ASSETS | ||||||||||
Total increase (decrease) in net assets | 7,425,381 | (7,134,985 | ) | |||||||
Beginning of period | 603,932,607 | 611,067,592 | ||||||||
|
|
|
| |||||||
End of period | $ | 611,357,988 | $ | 603,932,607 | ||||||
|
|
|
|
(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
FINANCIAL STATEMENTS | 109 |
Statements of Cash Flows (unaudited)
Six Months Ended June 30, 2021
DSU | FRA | BLW | ||||||||||
| ||||||||||||
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES | ||||||||||||
Net increase in net assets resulting from operations | $ | 22,203,985 | $ | 18,575,988 | $ | 24,797,872 | ||||||
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities | ||||||||||||
Proceeds from sales of long-term investments and principal paydowns/payups | 207,914,418 | 211,980,462 | 207,929,438 | |||||||||
Purchases of long-term investments | (210,837,295 | ) | (202,017,492 | ) | (248,801,738 | ) | ||||||
Net proceeds from sales (purchases) of short-term securities | (821,890 | ) | — | 2,256,122 | ||||||||
Amortization of premium and accretion of discount on investments and other fees | (617,985 | ) | (650,875 | ) | 30,054 | |||||||
Premiums paid on closing options written | — | — | (6,685,966 | ) | ||||||||
Premiums received from options written | — | — | 4,585,860 | |||||||||
Net realized gain on investments and options written | (4,813,376 | ) | (4,127,272 | ) | (7,580,076 | ) | ||||||
Net unrealized (appreciation) depreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests | (3,615,577 | ) | (3,028,096 | ) | 3,830,007 | |||||||
(Increase) Decrease in Assets | ||||||||||||
Receivables | ||||||||||||
Dividends — affiliated | 57 | 25 | 166 | |||||||||
Dividends — unaffiliated | — | — | 356 | |||||||||
Interest — unaffiliated | 443,718 | 653,010 | (148,647 | ) | ||||||||
Variation margin on futures contracts | — | — | 13,735 | |||||||||
Swap premiums paid | — | — | (2,732 | ) | ||||||||
Prepaid expenses | 4,995 | 4,545 | 5,543 | |||||||||
Other assets | 3,111 | — | — | |||||||||
Increase (Decrease) in Liabilities | ||||||||||||
Cash received | ||||||||||||
Collateral — reverse repurchase agreements | — | — | (1,395,360 | ) | ||||||||
Collateral — OTC derivatives | — | — | 480,000 | |||||||||
Payables | ||||||||||||
Interest expense | (12,460 | ) | (16,720 | ) | (497,537 | ) | ||||||
Investment advisory fees | (6,410 | ) | (19,954 | ) | 8,481 | |||||||
Directors’ and Officer’s fees | 41,669 | (55 | ) | 56,670 | ||||||||
Other accrued expenses | 193,075 | 58,544 | 109,841 | |||||||||
Variation margin on futures contracts | — | — | 57,769 | |||||||||
Variation margin on centrally cleared swaps | — | — | 29,626 | |||||||||
Swap premiums received | (3,621 | ) | — | (914,478 | ) | |||||||
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Net cash provided by (used for) operating activities | 10,076,414 | 21,412,110 | (21,834,994 | ) | ||||||||
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CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES | ||||||||||||
Cash dividends paid to shareholders | (16,872,389 | ) | (14,020,422 | ) | (20,753,816 | ) | ||||||
Payments for bank borrowings | (112,000,000 | ) | (138,000,000 | ) | — | |||||||
Net payments on redemption of capital shares | — | (1,250,043 | ) | — | ||||||||
Proceeds from bank borrowings | 121,000,000 | 131,000,000 | — | |||||||||
Net borrowing of reverse repurchase agreements | — | — | 40,288,409 | |||||||||
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Net cash provided by (used for) for financing activities | (7,872,389 | ) | (22,270,465 | ) | 19,534,593 | |||||||
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CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS | ||||||||||||
Cash impact from foreign exchange fluctuations | (2,705 | ) | (99 | ) | (31,665 | ) | ||||||
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CASH AND FOREIGN CURRENCY | ||||||||||||
Net increase (decrease) in restricted and unrestricted cash and foreign currency | 2,201,320 | (858,454 | ) | (2,332,066 | ) | |||||||
Restricted and unrestricted cash and foreign currency at beginning of period | 1,133,780 | 3,571,867 | 13,788,349 | |||||||||
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Restricted and unrestricted cash and foreign currency at end of period | $ | 3,335,100 | $ | 2,713,413 | $ | 11,456,283 | ||||||
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SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION | ||||||||||||
Cash paid during the period for interest expense | $ | 1,146,243 | $ | 995,978 | $ | 1,332,895 | ||||||
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NON-CASH FINANCING ACTIVITIES | ||||||||||||
Capital shares issued in reinvestment of distributions paid to shareholders | $ | — | $ | — | $ | 120,464 | ||||||
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110 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Statements of Cash Flows (unaudited) (continued)
Six Months Ended June 30, 2021
DSU | FRA | BLW | ||||||||||
| ||||||||||||
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES | ||||||||||||
Cash | $ | 2,896,271 | $ | 2,713,413 | $ | 1,460,818 | ||||||
Cash pledged | ||||||||||||
Collateral — reverse repurchase agreements | — | — | 46,000 | |||||||||
Collateral — OTC derivatives | 30,000 | — | 3,570,000 | |||||||||
Futures contracts | — | — | 1,488,470 | |||||||||
Centrally cleared swaps | — | — | 3,906,000 | |||||||||
Foreign currency at value | 408,829 | — | 984,995 | |||||||||
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$ | 3,335,100 | $ | 2,713,413 | $ | 11,456,283 | |||||||
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See notes to financial statements.
FINANCIAL STATEMENTS | 111 |
(For a share outstanding throughout each period)
DSU | ||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended 06/30/21 (unaudited) |
| | Year Ended 12/31/20 |
| | Period from 03/01/19 to 12/31/19 |
| Year Ended February 28, | Year Ended | |||||||||||||||||||||||||||||||||||
2019 | 2018 | (a) | 2017 | (a) | February 29, 2016(a)(b) |
| ||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | $ | 12.70 | $ | 11.38 | $ | 12.87 | ||||||||||||||||||||||||||||||
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Net investment income(c) | 0.30 | 0.63 | 0.64 | 0.79 | 0.78 | 0.73 | 0.77 | |||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.17 | (0.50 | ) | 0.21 | (0.43 | ) | (0.04 | ) | 1.34 | (1.46 | ) | |||||||||||||||||||||||||||||||||
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Net increase (decrease) from investment operations | 0.47 | 0.13 | 0.85 | 0.36 | 0.74 | 2.07 | (0.69 | ) | ||||||||||||||||||||||||||||||||||||
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Distributions(d) | ||||||||||||||||||||||||||||||||||||||||||||
From net investment income | (0.30 | )(e) | (0.61 | ) | (0.73 | ) | (0.82 | ) | (0.82 | ) | (0.75 | ) | (0.80 | ) | ||||||||||||||||||||||||||||||
Return of capital | — | (0.22 | ) | (0.03 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||
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Total distributions | (0.30 | ) | (0.83 | ) | (0.76 | ) | (0.82 | ) | (0.82 | ) | (0.75 | ) | (0.80 | ) | ||||||||||||||||||||||||||||||
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Net asset value, end of period | $ | 11.72 | $ | 11.55 | $ | 12.25 | $ | 12.16 | $ | 12.62 | $ | 12.70 | $ | 11.38 | ||||||||||||||||||||||||||||||
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Market price, end of period | $ | 11.45 | $ | 10.45 | $ | 11.20 | $ | 10.78 | $ | 11.47 | $ | 11.68 | $ | 9.96 | ||||||||||||||||||||||||||||||
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Total Return(f) | ||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value | 4.26 | %(g) | 2.57 | % | 8.03 | %(g) | 3.86 | % | 6.60 | %(h) | 19.57 | % | (4.73 | )% | ||||||||||||||||||||||||||||||
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Based on market price | 12.58 | %(g) | 1.50 | % | 11.42 | %(g) | 1.30 | % | 5.35 | % | 25.53 | % | (6.03 | )% | ||||||||||||||||||||||||||||||
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Ratios to Average Net Assets(i) | ||||||||||||||||||||||||||||||||||||||||||||
Total expenses | 1.34 | %(j) | 1.48 | % | 2.21 | %(j)(k) | 2.23 | % | 1.86 | % | 1.36 | % | 1.18 | % | ||||||||||||||||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 1.33 | %(j) | 1.47 | % | 2.21 | %(j)(k) | 2.23 | % | 1.85 | % | 1.35 | % | 1.18 | % | ||||||||||||||||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.91 | %(j) | 0.91 | % | 0.92 | %(j) | 0.96 | % | 0.94 | % | 0.87 | % | 0.84 | % | ||||||||||||||||||||||||||||||
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Net investment income | 5.18 | %(j) | 5.65 | % | 6.25 | %(j) | 6.40 | % | 6.12 | % | 6.04 | % | 6.29 | % | ||||||||||||||||||||||||||||||
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Supplemental Data | ||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 546,069 | $ | 537,959 | $ | 605,240 | $ | 641,220 | $ | 742,204 | $ | 780,810 | $ | 709,236 | ||||||||||||||||||||||||||||||
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Borrowings outstanding, end of period (000) | $ | 238,000 | $ | 229,000 | $ | 262,000 | $ | 278,000 | $ | 338,000 | $ | 318,000 | $ | 190,000 | ||||||||||||||||||||||||||||||
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Asset coverage, end of period per $1,000 of bank borrowings | $ | 3,294 | $ | 3,349 | $ | 3,310 | $ | 3,308 | $ | 3,196 | $ | 3,455 | $ | 4,733 | ||||||||||||||||||||||||||||||
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Portfolio turnover rate | 27 | % | 67 | % | 53 | % | 62 | % | 59 | % | 55 | % | 41 | % | ||||||||||||||||||||||||||||||
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(a) | Consolidated Financial Highlights through November 30, 2017. |
(b) | Per share operating performance amounts have been adjusted to reflect a one-for-three reverse stock split effective after the close of trading on November 15, 2016 for the shareholders of record on November 15, 2016. |
(c) | Based on average shares outstanding. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(g) | Aggregate total return. |
(h) | Includes payment from an affiliate, which had no impact on the Fund’s total return. |
(i) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | Period from 03/01/19 to 12/31/19 | Year Ended February 28, | Year Ended February 29, 2016(a)(b) | ||||||||||||||||||||||||||||||||||
2019 | 2018 | (a) | 2017 | (a) | ||||||||||||||||||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.02 | % | 0.03 | % | — | % | — | % | 0.02 | % | 0.01 | % | ||||||||||||||||||||||||
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(j) | Annualized. |
(k) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
See notes to financial statements.
112 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights (continued)
(For a share outstanding throughout each period)
FRA | ||||||||||||||||||||||||||||||
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
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2019 |
| 2018 | (a) | 2017 | (a) | 2016 | (a) | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | $ | 14.93 | $ | 14.78 | $ | 14.91 | ||||||||||||||||
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Net investment income(b) | 0.33 | 0.69 | 0.25 | 0.84 | 0.79 | 0.76 | 0.76 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.20 | (0.51 | ) | 0.19 | (0.40 | ) | (0.06 | ) | 0.20 | (0.14 | ) | |||||||||||||||||||
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Net increase from investment operations | 0.53 | 0.18 | 0.44 | 0.44 | 0.73 | 0.96 | 0.62 | |||||||||||||||||||||||
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Distributions(c) | ||||||||||||||||||||||||||||||
From net investment income | (0.33 | )(d) | (0.70 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | (0.81 | ) | (0.75 | ) | ||||||||||||||||
Return of capital | — | (0.22 | ) | — | — | — | — | — | ||||||||||||||||||||||
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Total distributions | (0.33 | ) | (0.92 | ) | (0.38 | ) | (0.87 | ) | (0.74 | ) | (0.81 | ) | (0.75 | ) | ||||||||||||||||
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Net asset value, end of period | $ | 14.01 | $ | 13.81 | $ | 14.55 | $ | 14.49 | $ | 14.92 | $ | 14.93 | $ | 14.78 | ||||||||||||||||
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Market price, end of period | $ | 13.25 | $ | 12.11 | $ | 13.44 | $ | 12.46 | $ | 13.80 | $ | 14.10 | $ | 13.70 | ||||||||||||||||
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Total Return(e) | ||||||||||||||||||||||||||||||
Based on net asset value | 4.06 | %(f) | 2.76 | % | 3.41 | %(f) | 3.94 | % | 5.28 | % | 6.93 | % | 5.00 | % | ||||||||||||||||
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Based on market price | 12.23 | %(f) | (2.45 | )% | 11.08 | %(f) | (3.37 | )% | 3.11 | % | 8.95 | % | 12.14 | % | ||||||||||||||||
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Ratios to Average Net Assets(g) | ||||||||||||||||||||||||||||||
Total expenses | 1.54 | %(h) | 1.69 | % | 2.20 | %(h)(i) | 2.45 | % | 2.23 | % | 1.88 | % | 1.54 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 1.53 | %(h) | 1.67 | % | 2.20 | %(h)(i) | 2.45 | % | 2.22 | % | 1.88 | % | 1.54 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense | 1.13 | %(h) | 1.13 | % | 1.19 | %(h) | 1.16 | % | 1.20 | % | 1.21 | % | 1.14 | % | ||||||||||||||||
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Net investment income | 4.76 | %(h) | 5.15 | % | 5.26 | %(h) | 5.74 | % | 5.27 | % | 5.08 | % | 5.27 | % | ||||||||||||||||
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Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 493,627 | $ | 488,051 | $ | 522,545 | $ | 526,447 | $ | 555,370 | $ | 555,972 | $ | 550,271 | ||||||||||||||||
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Borrowings outstanding, end of period (000) | $ | 201,000 | $ | 208,000 | $ | 214,000 | $ | 204,000 | $ | 233,000 | $ | 237,000 | $ | 225,000 | ||||||||||||||||
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Asset coverage, end of period per $1,000 of bank borrowings | $ | 3,456 | $ | 3,346 | $ | 3,442 | $ | 3,582 | $ | 3,385 | $ | 3,346 | $ | 3,446 | ||||||||||||||||
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Portfolio turnover rate | 30 | % | 65 | % | 16 | % | 53 | % | 57 | % | 64 | % | 48 | % | ||||||||||||||||
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(a) | Consolidated Financial Highlights through November 30, 2017. |
(b) | Based on average shares outstanding. |
(c) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(e) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(f) | Aggregate total return. |
(g) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 06/30/21 (unaudited) |
| | Year Ended 12/31/20 |
| | Period from 09/01/19 to 12/31/19 |
| Year Ended August 31, | ||||||||||||||||||||||
2019 | 2018 | (a) | 2017 | (a) | 2016 | (a) | ||||||||||||||||||||||||
Investments in underlying funds | 0.02 | % | 0.03 | % | 0.04 | % | 0.03 | % | 0.01 | % | — | % | — | % | ||||||||||||||||
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(h) | Annualized. |
(i) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 113 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BLW | ||||||||||||||||||||||||||||||
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 |
Year Ended August 31, | |||||||||||||||||||||||||||
|
2019 |
| 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | $ | 17.02 | $ | 16.84 | $ | 17.04 | ||||||||||||||||
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Net investment income(a) | 0.50 | 0.98 | 0.31 | 0.94 | 0.95 | 1.01 | 1.32 | |||||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.20 | 0.08 | 0.18 | 0.33 | (0.31 | ) | 0.44 | (0.22 | ) | |||||||||||||||||||||
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Net increase from investment operations | 0.70 | 1.06 | 0.49 | 1.27 | 0.64 | 1.45 | 1.10 | |||||||||||||||||||||||
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Distributions(b) | ||||||||||||||||||||||||||||||
From net investment income | (0.49 | )(c) | (1.03 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | (1.27 | ) | (1.30 | ) | ||||||||||||||||
Return of capital | — | (0.15 | ) | — | — | — | — | — | ||||||||||||||||||||||
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Total distributions | (0.49 | ) | (1.18 | ) | (0.47 | ) | (0.95 | ) | (0.95 | ) | (1.27 | ) | (1.30 | ) | ||||||||||||||||
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Net asset value, end of period | $ | 17.14 | $ | 16.93 | $ | 17.05 | $ | 17.03 | $ | 16.71 | $ | 17.02 | $ | 16.84 | ||||||||||||||||
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Market price, end of period | $ | 17.02 | $ | 15.92 | $ | 16.39 | $ | 15.44 | $ | 15.06 | $ | 15.99 | $ | 15.74 | ||||||||||||||||
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Total Return(d) | ||||||||||||||||||||||||||||||
Based on net asset value | 4.23 | %(e) | 7.58 | % | 3.11 | %(e) | 8.77 | % | 4.42 | % | 9.62 | % | 7.78 | % | ||||||||||||||||
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Based on market price | 10.07 | %(e) | 5.24 | % | 9.32 | %(e) | 9.41 | % | 0.18 | % | 10.18 | % | 17.59 | % | ||||||||||||||||
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Ratios to Average Net Assets(f) | ||||||||||||||||||||||||||||||
Total expenses | 1.20 | %(g) | 1.39 | % | 1.64 | %(g)(h) | 1.81 | % | 1.73 | % | 1.45 | % | 1.21 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed | 1.20 | %(g) | 1.39 | % | 1.64 | %(g)(h) | 1.81 | % | 1.73 | % | 1.45 | % | 1.21 | % | ||||||||||||||||
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Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.92 | %(g) | 0.90 | % | 0.89 | %(g) | 0.84 | % | 0.89 | % | 0.89 | % | 0.89 | % | ||||||||||||||||
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Net investment income | 5.92 | %(g) | 6.07 | % | 5.32 | %(g) | 5.69 | % | 5.60 | % | 6.00 | % | 8.04 | % | ||||||||||||||||
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Supplemental Data | ||||||||||||||||||||||||||||||
Net assets, end of period (000) | $ | 611,358 | $ | 603,933 | $ | 611,068 | $ | 610,251 | $ | 612,048 | $ | 629,728 | $ | 623,219 | ||||||||||||||||
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Borrowings outstanding, end of period (000) | $ | 314,602 | $ | 275,105 | $ | 213,399 | $ | 202,539 | $ | 234,622 | $ | 252,280 | $ | 263,445 | ||||||||||||||||
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Portfolio turnover rate(i) | 23 | % | 65 | % | 14 | % | 50 | % | 50 | % | 55 | % | 54 | % | ||||||||||||||||
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(a) | Based on average shares outstanding. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(d) | Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. |
(e) | Aggregate total return. |
(f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows: |
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended August 31, | |||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||
Investments in underlying funds | 0.01 | % | 0.01 | % | 0.02 | % | 0.02 | % | — | % | — | % | — | % | ||||||||||||||||||
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(g) | Annualized. |
(h) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%. |
(i) | Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
Six Months Ended 06/30/21 (unaudited) | Year Ended 12/31/20 | Period from 09/01/19 to 12/31/19 | Year Ended August 31, | |||||||||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||||||
Portfolio turnover rate (excluding MDRs) | 23 | % | 58 | % | 14 | % | 50 | % | 50 | % | 55 | % | 54 | % | ||||||||||||||||||
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See notes to financial statements.
114 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:
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Fund Name | Herein Referred To As | Organized | Diversification Classification | |||||||||
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BlackRock Debt Strategies Fund, Inc. | DSU | Maryland | Diversified | |||||||||
BlackRock Floating Rate Income Strategies Fund, Inc. | FRA | Maryland | Diversified | |||||||||
BlackRock Limited Duration Income Trust | BLW | Delaware | Diversified | |||||||||
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The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Funds are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, and payment-in-kind interest are recognized daily on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2021, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under
NOTES TO FINANCIAL STATEMENTS | 115 |
Notes to Financial Statements (unaudited) (continued)
such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions: Distributions paid by the Funds are recorded on the ex-dividend dates. Subject to the Funds’ managed distribution plan, the Funds intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Directors’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
• | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• | Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
116 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
• | Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments. |
• | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
If events (e.g., a market closure, market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.
Standard Inputs Generally Considered By Third Party Pricing Services | ||||
Market approach | (i) | recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; | ||
(ii) | recapitalizations and other transactions across the capital structure; and | |||
(iii) | market multiples of comparable issuers. | |||
Income approach | (i) | future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; | ||
(ii) | quoted prices for similar investments or assets in active markets; and | |||
(iii) | other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. | |||
Cost approach | (i) | audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; | ||
(ii) | changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; | |||
(iii) | relevant news and other public sources; and | |||
(iv) | known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company. |
Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used, as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
NOTES TO FINANCIAL STATEMENTS | 117 |
Notes to Financial Statements (unaudited) (continued)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2021, certain investments of BLW were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. | SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically 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 different 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 will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. 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.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities,
118 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
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 convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations 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 payments 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.
Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A 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 loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has 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, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves 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, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:
| ||||||||||||||||||
Fund Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| ||||||||||||||||||
DSU | LBM Acquisition LLC | $ | 62,896 | $ | 62,267 | $ | 62,411 | $ | 144 | |||||||||
Metronet Systems Holdings LLC | 63,014 | 62,856 | 62,966 | 110 | ||||||||||||||
Precision Medicine Group LLC | 138,898 | 138,898 | 138,377 | (521 | ) | |||||||||||||
Therma Intermediate LLC | 120,176 | 120,176 | 120,176 | — | ||||||||||||||
FRA | LBM Acquisition LLC | 71,046 | 70,336 | 70,499 | 163 | |||||||||||||
Metronet Systems Holdings LLC | 71,581 | 71,402 | 71,527 | 125 | ||||||||||||||
Precision Medicine Group LLC | 157,601 | 157,601 | 157,010 | (591 | ) | |||||||||||||
Therma Intermediate LLC | 135,924 | 135,924 | 135,924 | — | ||||||||||||||
|
NOTES TO FINANCIAL STATEMENTS | 119 |
Notes to Financial Statements (unaudited) (continued)
| ||||||||||||||||||
Fund Name | Borrower | Par | Commitment Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
| ||||||||||||||||||
BLW | LBM Acquisition LLC | $ | 28,891 | $ | 28,602 | $ | 28,668 | $ | 66 | |||||||||
Metronet Systems Holdings LLC | 26,571 | 26,504 | 26,551 | 47 | ||||||||||||||
Precision Medicine Group LLC | 65,627 | 65,627 | 65,381 | (246 | ) | |||||||||||||
Therma Intermediate LLC | 54,771 | 54,771 | 54,771 | — | ||||||||||||||
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Forward Commitments, When-Issued and Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. A Fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, a Fund may be required to pay more at settlement than the security is worth. In addition, a Fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a Fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.
Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund 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 leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the six months ended June 30, 2021, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $289,620,679 and 0.58%, respectively.
Reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:
Counterparty | | Reverse Repurchase Agreements |
| | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest |
(a) | | Cash Collateral Pledged/Received | (a) | Net Amount | (b) | |||||
Barclays Capital, Inc. | $ | (99,031,202 | ) | $ | 99,031,202 | $ | — | $ | — | |||||||
BNP Paribas S.A. | (142,645,988 | ) | 142,645,988 | — | — | |||||||||||
Credit Agricole Corporate And Inves | (22,623,534 | ) | 22,623,534 | — | — | |||||||||||
Credit Suisse Securities (USA) LLC | (5,758,271 | ) | 5,758,271 | — | — | |||||||||||
HSBC Securities (USA), Inc. | (15,162,337 | ) | 15,122,236 | — | (40,101 | ) | ||||||||||
RBC Capital Markets LLC | (29,380,340 | ) | 29,380,340 | — | — | |||||||||||
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|
|
|
|
|
|
| |||||||||
$ | (314,601,672 | ) | $ | 314,561,571 | $ | — | $ | (40,101 | ) | |||||||
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(a) | Net collateral, including accrued interest, with a value of $357,698,815 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
(b) | Certain agreements have no stated maturity and can be terminated by either party at any time. |
In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
120 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
5. | DERIVATIVE FINANCIAL INSTRUMENTS |
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Options: The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike 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 instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
• | Swaptions — The Funds may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
NOTES TO FINANCIAL STATEMENTS | 121 |
Notes to Financial Statements (unaudited) (continued)
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
• | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
• | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in 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.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
122 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:
DSU | FRA | |||||||
Investment advisory fees | 0.55 | % | 0.75 | % |
For purposes of calculating these fees, “net assets” mean the total assets of each Fund minus the sum of its accrued liabilities.
For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” are determined as total assets of the Fund (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
With respect to each Fund, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. With respect to BLW, the Manager also entered into a separate sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”), an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BRS for services they provide for that portion of each Fund for which BIL, and, with respect to BLW, BRS acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.
Distribution Fees: FRA had entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of the FRA common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of June 30, 2021, the FRA is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus and the Distribution Agreement with FRA has been terminated. Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended June 30, 2021 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.
Expense Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2022. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2021, the amounts waived were as follows:
| ||||
Fund Name | Fees Waived and/or Reimbursed by the Manager | |||
| ||||
DSU | $ | 298 | ||
FRA | 61 | |||
BLW | 1,811 |
The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2022. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2021, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
| ||||
Fund Name | Fees Waived and/or Reimbursed by the Manager | |||
| ||||
DSU | $ | 26,573 | ||
FRA | 38,320 | |||
BLW | 3,615 |
Directors and Officers: Certain directors and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
7. | PURCHASES AND SALES |
For the six months ended June 30, 2021, purchases and sales of investments, including paydowns/payups and excluding short-term investments, were as follows:
| ||||||||||||||||
U.S. Government Securities | Other Securities | |||||||||||||||
|
| |||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||
DSU | $ | — | $ | — | $ | 239,932,655 | $ | 218,787,502 |
NOTES TO FINANCIAL STATEMENTS | 123 |
Notes to Financial Statements (unaudited) (continued)
| ||||||||||||||||
U.S. Government Securities | Other Securities | |||||||||||||||
|
| |||||||||||||||
Fund Name | Purchases | Sales | Purchases | Sales | ||||||||||||
| ||||||||||||||||
FRA | $ | — | $ | — | $ | 231,970,561 | $ | 222,617,873 | ||||||||
BLW | 20,043,655 | — | 245,645,767 | 209,537,203 |
8. | INCOME TAX INFORMATION |
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of June 30, 2021, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
As of December 31, 2020, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
| ||||
Fund Name | Non-Expiring | |||
| ||||
DSU | $ | 97,616,259 | ||
FRA | 49,137,928 | |||
BLW | 45,910,589 |
As of June 30, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
| ||||||||||||||||
Fund Name | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
| ||||||||||||||||
DSU | $ | 834,742,942 | $ | 14,704,643 | $ | (30,070,069 | ) | $ | (15,365,426 | ) | ||||||
FRA | 737,644,042 | 8,617,564 | (10,620,586 | ) | (2,003,022 | ) | ||||||||||
BLW | 915,829,069 | 40,573,548 | (18,272,728 | ) | 22,300,820 |
9. | BANK BORROWINGS |
DSU and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to DSU and FRA. As of period end, DSU and FRA have not received any notice to terminate. DSU and FRA have granted a security interest in substantially all of their assets to SSB.
The SSB Agreement allows for the following maximum commitment amounts:
| ||||
Fund Name | Commitment Amounts | |||
| ||||
DSU | $ | 340,000,000 | ||
FRA | 168,000,000 |
Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.
In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.
DSU and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.
For the six months ended June 30, 2021, the average amount of bank borrowings and the daily weighted average interest rates for DSU and FRA for loans under the revolving credit agreements were as follows:
Fund Name | Average Amount Outstanding | Daily Weighted Average Interest Rate | ||||||
DSU | $ | 235,585,635 | 0.97% | |||||
FRA | 207,342,541 | 0.95 |
124 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
10. | PRINCIPAL RISKS |
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.
Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
NOTES TO FINANCIAL STATEMENTS | 125 |
Notes to Financial Statements (unaudited) (continued)
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
11. | CAPITAL SHARE TRANSACTIONS |
DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s and BLW’s shares is $0.10, $0.10 and $0.001, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.
Common Shares
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
| ||||||||
Fund Name | Six Months Ended 06/30/21 | Year Ended 12/31/20 | ||||||
| ||||||||
BLW | 7,057 | — | ||||||
|
The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2019 through November 30, 2020, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. From December 1, 2020 through November 30, 2021, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.
The total cost of the shares repurchased is reflected in Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:
| ||||||||||||||||||||||||||||
DSU | FRA |
| BLW | |||||||||||||||||||||||||
Shares | Amounts | Shares | Amounts | Shares | Amounts | |||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 | — | $ | — | 102,939 | $ | 1,250,043 | — | $ | — | |||||||||||||||||||
Year Ended December 31, 2020 | 353,230 | 3,364,037 | 569,915 | 6,507,629 | 170,552 | 2,364,913 |
Discount Management Program: DSU’s three-year discount management program (the “Program”) ended in 2020. Under the Program, the Fund offered to repurchase its common shares based on three 3-month measurement periods when the Fund’s common shares traded at an average daily discount to NAV of more than 7.5% during a measurement period (the “discount trigger”). There was no guarantee that shareholders would be able to sell all of the shares that they desired to sell in any particular repurchase that was executed.
The discount trigger was met for all three measurement periods. For the first measurement period, the Fund conducted a tender offer for 10% of its outstanding shares of common stock. For the second and third measurement periods, the Fund conducted a tender offer for 5% of its outstanding shares of common stock.
The results of each tender offer were as follows:
| Commencement Date of Tender Offer Period(a) | Valuation Date | Number of Shares Tendered | Tendered Shares as a Percentage of Outstanding Shares | Number of Tendered Purchased | Tendered Shares as a Percentage of | Purchase Price | Total Amount of Purchases | ||||||||||||||||||||||||
March 16, 2018 | April 17, 2018 | 26,225,806 | 45.0 | % | 5,879,192 | 10.0 | % | $ | 12.4068 | $ | 72,941,959 | |||||||||||||||||||||
March 15, 2019 | April 15, 2019 | 21,792,955 | 41.0 | 2,636,959 | 5.0 | 11.9854 | 31,605,008 |
126 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued)
| ||||||||||||||||||||||||||||||||
| Commencement Date of Tender Offer Period(a) | Valuation Date | Number of Shares Tendered | Tendered Shares as a Percentage of Outstanding Shares | Number of Tendered Purchased | Tendered Shares as a Percentage of | Purchase Price | Total Amount of Purchases | ||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||
March 17, 2020 | April 16, 2020 | 17,034,684 | 34.0 | % | 2,470,791 | 5.0 | % | 10.2018 | 25,206,516 |
(a) | Date the tender offer period began. |
Tendered share amounts are shown as redemption of shares resulting from share repurchases (including transaction costs) in the Statements of Changes in Net Assets.
12. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:
The Funds declared and paid or will pay distributions to Common Shareholders as follows:
| ||||||||||||||||||
Fund Name | Declaration Date | Record Date | Payable/ Paid Date | Dividend Per Common Share | ||||||||||||||
| ||||||||||||||||||
DSU | ||||||||||||||||||
07/01/21 | 07/15/21 | 07/30/21 | $ | 0.060500 | ||||||||||||||
08/02/21 | 08/16/21 | 08/31/21 | 0.060500 | |||||||||||||||
FRA | ||||||||||||||||||
07/01/21 | 07/15/21 | 07/30/21 | 0.066700 | |||||||||||||||
08/02/21 | 08/16/21 | 08/31/21 | 0.066700 | |||||||||||||||
BLW | ||||||||||||||||||
07/01/21 | 07/15/21 | 07/30/21 | 0.098100 | |||||||||||||||
08/02/21 | 08/16/21 | 08/31/21 | 0.098100 |
NOTES TO FINANCIAL STATEMENTS | 127 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Boards of Directors/Trustees, as applicable (collectively, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Debt Strategies Fund, Inc. (“DSU”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” together with DSU and FRA, the “Funds” and each, a “Fund”) met on May 4, 2021 (the “May Meeting”) and June 8-9, 2021 (the “June Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) or (the “Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between (1) the Manager, BlackRock International Limited (“BIL”) and each Fund and (2) the Manager, BlackRock (Singapore) Limited (“BRS” and together with BIL, the “Sub-Advisors”) and BLW. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreements and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members whom are not “interested persons” of each Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had a fifth one-day meeting to consider specific information surrounding the renewal of the Agreements. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.
Prior to and in preparation for the May Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the May Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) a review of non-management fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements. As a result of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the June Meeting.
At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to
128 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
engage in open, candid discussions with the Board. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of closed-end funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing COVID-19 pandemic.
B. The Investment Performance of each Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2020, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and, with respect to DSU and FRA, a custom peer group of funds as defined by BlackRock (“Customized Peer Group”) and the performance of BLW as compared with its custom benchmark. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that for the one-, three- and five-year periods reported, DSU ranked in the third, second and third quartiles, respectively, against its Customized Peer Group. The Board noted that BlackRock believes that the Customized Peer Group is an appropriate performance metric for DSU, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed DSU’s underperformance relative to its Customized Peer Group during the applicable periods.
The Board noted that for the one-, three- and five-year periods reported, FRA ranked in the second, second and third quartiles, respectively, against its Customized Peer Group. The Board noted that BlackRock believes that the Customized Peer Group is an appropriate performance metric for FRA, and that BlackRock has explained its rationale for this belief to the Board. The Board and BlackRock reviewed FRA’s underperformance relative to its Customized Peer Group during the applicable period.
The Board noted that for each of the one-, three- and five-year periods reported, BLW outperformed its customized benchmark. The Board noted that BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BLW, and that BlackRock has explained its rationale for this belief to the Board.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund
The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB - ADVISORY AGREEMENTS | 129 |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2020 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that DSU’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in first quartile, relative to the Expense Peers.
The Board noted that FRA’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.
The Board noted that BLW’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.
Based on the Board’s review and consideration of the issue, the Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. Closed-end funds are typically priced at scale at a fund’s inception.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.
The Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.
130 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
Conclusion
The Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2022, and the Sub-Advisory Agreements among (1) the Manager, BIL and each Fund and (2) the Manager, BRS and BLW for a one-year term ending June 30, 2022. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.
DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS AND SUB - ADVISORY AGREEMENTS | 131 |
Fund Certification
The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Environmental, Social and Governance (“ESG”) Integration
Although a Fund does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Fund management will consider ESG characteristics as part of the investment process for actively managed Funds. These considerations will vary depending on a Fund’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Fund management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Fund. The ESG characteristics utilized in a Fund’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Fund. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Fund may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Fund’s exposure to certain companies or industries and a Fund may forego certain investment opportunities. While Fund management views ESG considerations as having the potential to contribute to a Fund’s long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.
The distributions paid by a Fund for any particular month may be more or less than the amount of net investment income earned by a Fund during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Fund’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Fund’s expense ratio and reducing the amount of assets the Fund has available for long term investment.
General Information
The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.
The following information is a summary of certain changes since December 31, 2020. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.
Except if noted otherwise herein, there were no changes to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
132 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Additional Information (continued)
Electronic Delivery
Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
Householding
The Funds will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and 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 otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
Availability of Fund Updates
BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding 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 applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer 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 procedures relating to the proper storage and disposal of such information.
ADDITIONAL INFORMATION | 133 |
Additional Information (continued)
Fund and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Adviser
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
BlackRock (Singapore) Limited(a)
079912 Singapore
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02111
Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
(a) For BLW.
134 | 2 0 2 1 BLACK ROCK SEMI - ANNUAL REPORT TO SHAREHOLDERS |
Glossary of Terms Used in this Report
Currency Abbreviation
CAD | Canadian Dollar | |||
EUR | Euro | |||
GBP | British Pound | |||
USD | United States Dollar |
Portfolio Abbreviation
ABS | Asset-Backed Security | |||
CLO | Collateralized Loan Obligation | |||
CMT | Constant Maturity Treasury | |||
CR | Custodian Receipt | |||
DAC | Designated Activity Company | |||
DIP | Debtor-In-Possession | |||
ETF | Exchange-Traded Fund | |||
EURIBOR | Euro Interbank Offered Rate | |||
LIBOR | London Interbank Offered Rate | |||
MSCI | Morgan Stanley Capital International | |||
MTN | Medium-Term Note | |||
PCL | Public Company Limited | |||
PIK | Payment-in-Kind | |||
PJSC | Public Joint Stock Company | |||
REIT | Real Estate Investment Trust | |||
S&P | Standard & Poor’s | |||
SAB | Special Assessment Bonds | |||
SCA | Societe en Commandite par Actions | |||
SOFR | Secured Overnight Financing Rate | |||
SPDR | Standard & Poor’s Depository Receipt |
GLOSSARY OF TERMS USED IN THIS REPORT | 135 |
Want to know more?
blackrock.com | 800-882-0052
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.
CEFT-BK3-06/21-SAR
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(b) Not Applicable
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies |
(a) Not Applicable to this semi-annual report.
(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Period | (a) Total Number of Shares Purchased | (b) Average Price Paid per Share | (c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs1 | ||||
January 1-31, 2021 | 102,939 | $13.9049 | 102,939 | 1,733,421 | ||||
February 1-28, 2021 | 0 | $ -- | 0 | 1,733,421 | ||||
March 1-31, 2021 | 0 | $ -- | 0 | 1,733,421 | ||||
April 1-30, 2021 | 0 | $ -- | 0 | 1,733,421 | ||||
May 1-31, 2021 | 0 | $ -- | 0 | 1,733,421 | ||||
June 1-30, 2021 | 0 | $ -- | 0 | 1,733,421 | ||||
Total: | 102,939 | $13.9049 | 102,939 | 1,733,421 |
1 On September 28, 2020, the Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2020, the Fund may repurchase through November 30, 2021, up to 5% of its common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions.
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
2
Item 11 – Controls and Procedures
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report |
Item 13 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Section 302 Certifications are attached
(a)(3) Not Applicable
(a)(4) Not Applicable
(b) Section 906 Certifications are attached
1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.
3
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Floating Rate Income Strategies Fund, Inc.
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: September 2, 2021
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |
John M. Perlowski | ||
Chief Executive Officer (principal executive officer) of | ||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: September 2, 2021
By: | /s/ Trent Walker | |
Trent Walker | ||
Chief Financial Officer (principal financial officer) of | ||
BlackRock Floating Rate Income Strategies Fund, Inc. |
Date: September 2, 2021
4