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 811-21637
Name of Fund: BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Diversified Income Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055
Registrant’s telephone number, including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2012
Date of reporting period: 02/29/2012
Item 1 – Report to Stockholders
![]() | February 29, 2012 |
Semi-Annual Report (Unaudited)
BlackRock Defined Opportunity Credit Trust (BHL)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
Not FDIC Insured • No Bank Guarantee • May Lose Value
Table of Contents
2 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.
October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europe’s rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.
Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nation’s debt. Nevertheless, considerable headwinds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.
Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.
Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
“For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.”
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of February 29, 2012
6-month | 12-month | |||
US large cap equities | 13.31 | % | 5.12 | % |
(S&P 500® Index) | ||||
US small cap equities | 12.40 | (0.15 | ) | |
(Russell 2000® Index) | ||||
International equities | 4.13 | (7.45 | ) | |
(MSCI Europe, Australasia, | ||||
Far East Index) | ||||
Emerging market | 5.27 | (0.11 | ) | |
equities (MSCI Emerging | ||||
Markets Index) | ||||
3-month Treasury | 0.00 | 0.08 | ||
bill (BofA Merrill Lynch | ||||
3-Month Treasury | ||||
Bill Index) | ||||
US Treasury securities | 3.70 | 17.22 | ||
(BofA Merrill Lynch 10- | ||||
Year US Treasury Index) | ||||
US investment grade | 2.73 | 8.37 | ||
bonds (Barclays US | ||||
Aggregate Bond Index) | ||||
Tax-exempt municipal | 5.93 | 12.88 | ||
bonds (S&P Municipal | ||||
Bond Index) | ||||
US high yield bonds | 8.62 | 6.92 | ||
(Barclays US Corporate | ||||
High Yield 2% Issuer | ||||
Capped Index) |
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
THIS PAGE NOT PART OF YOUR FUND REPORT | 3 |
Fund Summary as of February 29, 2012 | BlackRock Defined Opportunity Credit Trust |
Investment Objective
BlackRock Defined Opportunity Credit Trust’s (BHL) (the “Fund”) primary investment objective is to provide high current income, with a secondary objective of long-term capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets in loan and debt instruments and loan-related and debt-related instruments (collectively "credit securities"). The Fund invests, under normal market conditions, at least 80% of its assets in any combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured floating rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds. 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 objectives will be achieved.
Portfolio Management Commentary
How did the Fund perform?
• | For the six months ended February 29, 2012, the Fund returned 9.69% based on market price and 8.88% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 12.07% based on market price and 8.96% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
What factors influenced performance?
• | Security selection among higher-quality and non-rated floating rate loans and common stock had a positive impact on the Fund’s performance. Selection in the chemicals and electric sectors also boosted returns. The Fund’s tactical exposure to high yield bonds contributed positively as the asset class outperformed loans given improving investor demand for riskier assets over the six-month period. |
• | Detracting from performance was security selection among lower-quality loan instruments, an area of the market that generally carried a less favorable risk-return profile during the period. The Fund’s exposure to the paper sector had a negative effect on returns, as did a tactical allocation to asset-backed securities via collateralized loan obligations. |
Describe recent portfolio activity.
• | The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. |
• | During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias. |
Describe portfolio positioning at period end.
• | At period end, the Fund held 87% of its total portfolio in floating rate loan interests (bank loans), 10% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included wireless, non-captive diversified financials and chemicals. The Fund ended the period with economic leverage at 22% of its total managed assets. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
4 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
BlackRock Defined Opportunity Credit Trust
Fund Information
Symbol on New York Stock Exchange (“NYSE”) | BHL |
Initial Offering Date | January 31, 2008 |
Yield on Closing Market Price as of February 29, 2012 ($13.45)1 | 5.89% |
Current Monthly Distribution per Common Share2 | $0.066 |
Current Annualized Distribution per Common Share2 | $0.792 |
Economic Leverage as of February 29, 20123 | 22% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/29/12 | 8/31/11 | Change | High | Low | |
Market Price | $13.45 | $12.65 | 6.32% | $13.58 | $11.59 |
Net Asset Value | $13.90 | $13.17 | 5.54% | $13.90 | $12.93 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
Portfolio Composition
2/29/12 | 8/31/11 | |||||
Floating Rate Loan Interests | 87 | % | 86 | % | ||
Corporate Bonds | 10 | 11 | ||||
Asset-Backed Securities | 2 | 2 | ||||
Common Stocks | 1 | — | ||||
Other Interests | — | 1 |
Credit Quality Allocations4
2/29/12 | 8/31/11 | |||||
BBB/Baa | 11 | % | 12 | % | ||
BB/Ba | 44 | 33 | ||||
B | 45 | 55 |
4 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 5 |
Fund Summary as of February 29, 2012 | BlackRock Diversified Income Strategies Fund, Inc. |
Investment Objective
BlackRock Diversified Income Strategies Fund, Inc.’s (DVF) (the “Fund”) investment objective is to provide shareholders with high current income. The Fund seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements, in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal market conditions, a substantial portion of its assets in below investment grade quality securities. 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.
Portfolio Management Commentary
How did the Fund perform?
• | For the six months ended February 29, 2012, the Fund returned 6.70% based on market price and 8.73% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 12.07% based on market price and 8.96% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
What factors influenced performance?
• | Security selection among higher-quality loan instruments had a positive impact on the Fund’s performance. The Fund’s tactical exposure to high yield bonds also contributed positively as the asset class outperformed loans during the period. Selection in the electric, chemicals and transportation services sectors boosted returns. The Fund’s use of leverage was an additional contributor. |
• | Detracting from performance was security selection among lower-quality loan instruments, an area of the market that generally carried a less favorable risk-return profile during the period. Selection within the independent energy and non-cable media sectors also had a negative impact on returns. |
Describe recent portfolio activity.
• | The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. |
• | During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias. |
Describe portfolio positioning at period end.
• | At period end, the Fund held 83% of its total portfolio in floating rate loan interests (bank loans), 12% in corporate bonds, with the remainder in asset-backed securities, common stocks and other interests. The Fund’s largest sector exposures included cable media, chemicals and wireless. The Fund ended the period with economic leverage at 23% of its total managed assets. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
6 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
BlackRock Diversified Income Strategies Fund, Inc.
Fund Information
Symbol on NYSE | DVF |
Initial Offering Date | January 31, 2005 |
Yield on Closing Market Price as of February 29, 2012 ($10.12)1 | 6.94% |
Current Monthly Distribution per Common Share2 | $0.0585 |
Current Annualized Distribution per Common Share2 | $0.7020 |
Economic Leverage as of February 29, 20123 | 23% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/29/12 | 8/31/11 | Change | High | Low | |
Market Price | $10.12 | $ 9.84 | 2.85% | $10.22 | $8.84 |
Net Asset Value | $10.68 | $10.19 | 4.81% | $10.68 | $9.95 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
Portfolio Composition
2/29/12 | 8/31/11 | |||||
Floating Rate Loan Interests | 83 | % | 80 | % | ||
Corporate Bonds | 12 | 14 | ||||
Asset-Backed Securities | 2 | 2 | ||||
Common Stocks | 2 | 2 | ||||
Other Interests | 1 | 2 |
Credit Quality Allocations4
2/29/12 | 8/31/11 | |||||
BBB/Baa | 8 | % | 8 | % | ||
BB/Ba | 44 | 30 | ||||
B | 36 | 47 | ||||
CCC/Caa | 7 | 8 | ||||
Not Rated | 5 | 7 |
4 | Using the higher of S&P’s or Moody’s ratings. |
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 7 |
Fund Summary as of February 29, 2012 | BlackRock Floating Rate Income Strategies Fund, Inc. |
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 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. 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.
Portfolio Management Commentary
How did the Fund perform?
• | For the six months ended February 29, 2012, the Fund returned 12.69% based on market price and 8.76% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 12.07% based on market price and 8.96% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
What factors influenced performance?
• | Security selection among higher-quality and non-rated floating rate loans and common stock had a positive impact on the Fund’s performance. Selection in the chemicals and electric sectors also boosted returns. The Fund’s tactical exposure to high yield bonds contributed positively as the asset class outperformed loans given improving investor demand for riskier assets over the six-month period. |
• | Detracting from performance was security selection among lower-quality loan instruments, an area of the market that generally carried a less favorable risk-return profile during the period. The Fund’s exposure to the paper sector had a negative effect on returns, as did a tactical allocation to asset-backed securities via collateralized loan obligations. |
Describe recent portfolio activity.
• | The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. |
• | During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias. |
Describe portfolio positioning at period end.
• | At period end, the Fund held 83% of its total portfolio in floating rate loan interests (bank loans), 13% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included wireless, non-captive diversified financials and chemicals. The Fund ended the period with economic leverage at 22% of its total managed assets. |
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
8 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
BlackRock Floating Rate Income Strategies Fund, Inc.
Fund Information
Symbol on NYSE | FRA |
Initial Offering Date | October 31, 2003 |
Yield on Closing Market Price as of February 29, 2012 ($14.52)1 | 6.36% |
Current Monthly Distribution per Common Share2 | $0.077 |
Current Annualized Distribution per Common Share2 | $0.924 |
Economic Leverage as of February 29, 20123 | 22% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/29/12 | 8/31/11 | Change | High | Low | |
Market Price | $14.52 | $13.33 | 8.93% | $14.60 | $12.33 |
Net Asset Value | $14.76 | $14.04 | 5.13% | $14.76 | $13.74 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:
Portfolio Composition
2/29/12 | 8/31/11 | |||||
Floating Rate Loan Interests | 83 | % | 81 | % | ||
Corporate Bonds | 13 | 15 | ||||
Asset-Backed Securities | 3 | 3 | ||||
Common Stocks | 1 | — | ||||
Other Interests | — | 1 |
Credit Quality Allocations4
2/29/12 | 8/31/11 | |||||
BBB/Baa | 9 | % | 9 | % | ||
BB/Ba | 39 | 36 | ||||
B | 43 | 49 | ||||
CCC/Caa | 4 | 3 | ||||
Not Rated | 5 | 3 |
4 Using the higher of S&P’s or Moody’s ratings.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 9 |
Fund Summary as of February 29, 2012 | BlackRock Limited Duration Income Trust |
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 and asset-backed securities and US Government and agency securities; |
• | senior, secured floating rate loans made to corporate and other business entities; and |
• | US dollar-denominated securities of US and non-US issuers rated below investment grade, and to a limited extent, non-US dollar denominated securities of non-US issuers rated below investment grade. |
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.
Portfolio Management Commentary
How did the Fund perform?
• | For the six months ended February 29, 2012, the Fund returned 10.48% based on market price and 8.20% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV. |
What factors influenced performance?
• | Security selection among higher-quality credit instruments had a positive impact on the Fund’s performance. Selection in the consumer services and electric sectors also boosted returns. The Fund’s tactical exposure to equity securities was rewarding as equities outperformed high yield debt amid improving investor demand for riskier assets over the six-month period. |
• | The Fund differs from its Lipper category competitors, which invest primarily in high yield bonds, in that the Fund also invests in floating rate loan interests (bank loans), investment grade credits and securitized assets. While the Fund’s allocations to these other asset classes did not detract from performance on an absolute basis, they underperformed high yield bonds for the period. Security selection in the non-cable media and paper sectors pared the Fund’s gains for the period. |
Describe recent portfolio activity.
• | In the early part of the period, as the outlook for global growth worsened and the potential for further spreading of the ongoing debt crisis in Europe increased, the Fund shifted its positioning to a more conservative posture. Specifically, the Fund reduced positions in the more cyclical credits and increased exposure to market sectors with more stable cash flows. |
• | However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Fund maintained its higher-quality income-oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Fund continued to seek issuers with superior fundamentals while avoiding higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more economically sensitive areas of the market. |
Describe portfolio positioning at period end.
• | At period end, the Fund held 45% of its total portfolio in corporate bonds, 31% in floating rate loan interests (bank loans), 11% in non-agency mortgage-backed securities, with the remainder in US Government sponsored agency securities, asset-backed securities, common stocks and taxable municipal bonds. The Fund’s largest sector exposures included cable media, independent energy and chemicals. The Fund ended the period with economic leverage at 27% of its total managed assets. |
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 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
BlackRock Limited Duration Income Trust
Fund Information
Symbol on NYSE | BLW |
Initial Offering Date | July 30, 2003 |
Yield on Closing Market Price as of February 29, 2012 ($16.96)1 | 7.43% |
Current Monthly Distribution per Common Share2 | $0.105 |
Current Annualized Distribution per Common Share2 | $1.260 |
Economic Leverage as of February 29, 20123 | 27% |
1 | Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results. |
2 | The distribution rate is not constant and is subject to change. |
3 | Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12. |
The table below summarizes the changes in the Fund’s market price and NAV per share:
2/29/12 | 8/31/11 | Change | High | Low | |
Market Price | $16.96 | $16.01 | 5.93% | $17.33 | $15.00 |
Net Asset Value | $17.14 | $16.52 | 3.75% | $17.14 | $15.92 |
The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond and US government securities investments:
Portfolio Composition
2/29/12 | 8/31/11 | |||||
Corporate Bonds | 45 | % | 40 | % | ||
Floating Rate Loan Interests | 31 | 31 | ||||
Non-Agency Mortgage-Backed Securities | 11 | 10 | ||||
US Government Sponsored Agency Securities | 6 | 11 | ||||
Asset-Backed Securities | 4 | 5 | ||||
Common Stocks | 2 | 1 | ||||
Taxable Municipal Bonds | 1 | 1 | ||||
Other Interests | — | 1 |
Credit Quality Allocations4
2/29/12 | 8/31/11 | |||||
AAA/Aaa5 | 12 | % | 17 | % | ||
AA/Aa | 2 | 2 | ||||
A | 7 | 5 | ||||
BBB/Baa | 15 | 15 | ||||
BB/Ba | 33 | 26 | ||||
B | 25 | 27 | ||||
CCC/Caa | 5 | 7 | ||||
D | — | 1 | ||||
Not Rated | 1 | — |
4 | Using the higher of S&P’s or Moody’s ratings. |
5 | Includes US Government Sponsored Agency securities and US Treasury Obligations, which were deemed AAA/Aaa by the investment advisor. |
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 11 |
The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance the yield and NAV of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.
The Funds may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. 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 will benefit from the incremental net income.
The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Fund’s long-term investments, and therefore the Fund’s shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Fund’s total portfolio earns income based on lower long-term interest rates.
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 redemption value of the Funds’ borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively in addition to the impact on Fund performance from leverage from borrowings discussed above.
The use of leverage may enhance opportunities for increased income to the Funds, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Funds’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. 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 a Fund to incur losses. The use of leverage may limit each Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue senior securities representing indebtedness up to 33 1/3% of their total managed assets (each Fund’s net assets plus the proceeds of any outstanding borrowings). If the Funds segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Fund voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Funds had aggregate economic leverage from any reverse repurchase agreements and borrowings through a credit facility as a percentage of their total managed assets as follows:
Percent of Economic Leverage | |
BHL | 22% |
DVF | 23% |
FRA | 22% |
BLW | 27% |
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments 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 derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.
12 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Schedule of Investments February 29, 2012 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) |
(Percentages shown are based on Net Assets) |
Par | ||||
Asset-Backed Securities | (000) | Value | ||
ARES CLO Funds, Series 2005-10A, Class B, | ||||
0.95%, 9/18/17 (a)(b) | USD | 250 | $ | 231,345 |
Canaras Summit CLO Ltd., Series 2007-1A, Class B, | ||||
1.04%, 6/19/21 (a)(b) | 345 | 293,350 | ||
Flagship CLO, Series 2006-1A, Class B, | ||||
0.91%, 9/20/19 (a)(b) | 1,000 | 772,500 | ||
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B, | ||||
0.96%, 12/20/20 (a)(b) | 500 | 425,000 | ||
Gannett Peak CLO Ltd., Series 2006-1X, Class A2, | ||||
0.92%, 10/27/20 (b) | 265 | 213,988 | ||
Goldman Sachs Asset Management CLO Plc, | ||||
Series 2007-1A, Class B, 1.00%, 8/01/22 (a)(b) | 580 | 464,000 | ||
Landmark CDO Ltd., Series 2006-8A, Class B, | ||||
0.92%, 10/19/20 (a)(b) | 495 | 414,404 | ||
MAPS CLO Fund LLC, Series 2005-1A, Class C, | ||||
1.52%, 12/21/17 (a)(b) | 260 | 234,260 | ||
Portola CLO Ltd., Series 2007-1X, Class B1, | ||||
1.95%, 11/15/21 (b) | 350 | 300,125 | ||
T2 Income Fund CLO Ltd., Series 2007-1A, Class B, | ||||
1.17%, 7/15/19 (a)(b) | 300 | 260,175 | ||
Total Asset-Backed Securities — 2.9% | 3,609,147 | |||
Common Stocks (c) | Shares | |||
Auto Components — 0.8% | ||||
Delphi Automotive Plc (180-day lock) | ||||
(acquired 11/17/11, cost $176,777) (d) | 30,737 | 958,994 | ||
Hotels, Restaurants & Leisure — 0.1% | ||||
BLB Worldwide Holdings, Inc. | 20,020 | 196,180 | ||
Software — 0.0% | ||||
HMH Holdings/EduMedia | 53,267 | 13,317 | ||
Total Common Stocks — 0.9% | 1,168,491 | |||
Par | ||||
Corporate Bonds | (000) | |||
Airlines — 0.2% | ||||
American Airlines Pass-Through Trust, Series 2011-2, | ||||
Class A, 8.63%, 4/15/23 | USD | 129 | 136,740 | |
Delta Air Lines, Inc., Series 2009-1-B, Class B, | ||||
9.75%, 6/17/18 | 55 | 58,663 | ||
195,403 | ||||
Auto Components — 0.9% | ||||
Icahn Enterprises LP: | ||||
7.75%, 1/15/16 | 785 | 822,287 | ||
8.00%, 1/15/18 (a) | 340 | 360,400 | ||
1,182,687 | ||||
Chemicals — 0.6% | ||||
CF Industries, Inc., 6.88%, 5/01/18 | 415 | 488,662 | ||
Ineos Finance Plc, 8.38%, 2/15/19 (a) | 110 | 116,875 | ||
Lyondell Chemical Co., 11.00%, 5/01/18 | 130 | 142,256 | ||
LyondellBasell Industries NV, 6.00%, 11/15/21 (a) | 45 | 49,388 | ||
797,181 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Commercial Banks — 0.2% | ||||
CIT Group, Inc.: | ||||
7.00%, 5/02/16 (a) | USD | 180 | $ | 180,225 |
7.00%, 5/02/17 (a) | 130 | 130,163 | ||
310,388 | ||||
Commercial Services & Supplies — 0.3% | ||||
ARAMARK Corp., 4.05%, 2/01/15 (b) | 65 | 64,756 | ||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 340 | 355,200 | ||
419,956 | ||||
Consumer Finance — 0.3% | ||||
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 325 | 347,750 | ||
Containers & Packaging — 0.1% | ||||
Graphic Packaging International, Inc., 9.50%, 6/15/17 | 100 | 111,250 | ||
Diversified Financial Services — 1.1% | ||||
Ally Financial, Inc., 2.73%, 12/01/14 (b) | 1,025 | 959,330 | ||
FCE Bank Plc, 7.13%, 1/15/13 | EUR | 50 | 69,113 | |
Reynolds Group Issuer, Inc. (a): | ||||
7.13%, 4/15/19 | USD | 120 | 126,900 | |
6.88%, 2/15/21 | 185 | 196,100 | ||
1,351,443 | ||||
Diversified Telecommunication Services — 0.1% | ||||
ITC Deltacom, Inc., 10.50%, 4/01/16 | 140 | 145,950 | ||
Health Care Providers & Services — 0.5% | ||||
HCA, Inc., 6.50%, 2/15/20 | 400 | 429,000 | ||
Tenet Healthcare Corp., 6.25%, 11/01/18 (a) | 185 | 197,256 | ||
626,256 | ||||
Health Care Technology — 0.8% | ||||
IMS Health, Inc., 12.50%, 3/01/18 (a) | 850 | 1,011,500 | ||
Hotels, Restaurants & Leisure — 0.5% | ||||
MGM Resorts International: | ||||
10.38%, 5/15/14 | 175 | 199,062 | ||
11.13%, 11/15/17 | 390 | 443,625 | ||
642,687 | ||||
Household Durables — 0.6% | ||||
Beazer Homes USA, Inc., 12.00%, 10/15/17 | 715 | 779,350 | ||
Independent Power Producers & Energy Traders — 2.0% | ||||
Calpine Corp., 7.25%, 10/15/17 (a) | 545 | 577,700 | ||
Energy Future Holdings Corp., 10.00%, 1/15/20 | 370 | 400,062 | ||
Energy Future Intermediate Holding Co. LLC, | ||||
10.00%, 12/01/20 | 1,355 | 1,471,869 | ||
2,449,631 | ||||
Machinery — 0.1% | ||||
UR Financing Escrow Corp., 5.75%, 7/15/18 (a)(e) | 80 | 82,200 | ||
Media — 1.9% | ||||
AMC Networks, Inc., 7.75%, 7/15/21 (a) | 105 | 117,075 | ||
CCH II LLC, 13.50%, 11/30/16 | 500 | 575,000 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25%, 12/15/17 | 185 | 202,575 | ||
Series B, 9.25%, 12/15/17 | 850 | 935,000 | ||
Unitymedia Hessen GmbH & Co. KG, | ||||
8.13%, 12/01/17 (a) | 500 | 542,500 | ||
2,372,150 |
Portfolio Abbreviations
To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list: | CAD | Canadian Dollar | GO | General Obligation Bonds |
EUR | Euro | USD | US Dollar | |
GBP | British Pound |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 13 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) |
(Percentages shown are based on Net Assets) |
Par | ||||
Corporate Bonds | (000) | Value | ||
Oil, Gas & Consumable Fuels — 0.1% | ||||
Coffeyville Resources LLC, 9.00%, 4/01/15 (a) | USD | 126 | $ | 134,820 |
Paper & Forest Products — 0.3% | ||||
Longview Fibre Paper & Packaging, Inc., | ||||
8.00%, 6/01/16 (a) | 155 | 159,263 | ||
Verso Paper Holdings LLC, 11.50%, 7/01/14 | 180 | 183,600 | ||
342,863 | ||||
Pharmaceuticals — 0.1% | ||||
Valeant Pharmaceuticals International, | ||||
6.50%, 7/15/16 (a) | 185 | 188,700 | ||
Real Estate Management & Development — 0.1% | ||||
Realogy Corp., 7.63%, 1/15/20 (a) | 165 | 170,363 | ||
Wireless Telecommunication Services — 1.7% | ||||
Cricket Communications, Inc., 7.75%, 5/15/16 | 1,125 | 1,198,125 | ||
Sprint Nextel Corp. (a): | ||||
9.00%, 11/15/18 | 290 | 323,350 | ||
7.00%, 3/01/20 | 550 | 558,937 | ||
2,080,412 | ||||
Total Corporate Bonds — 12.5% | 15,742,940 | |||
Floating Rate Loan Interests (b) | ||||
Aerospace & Defense — 1.6% | ||||
DynCorp International, Term Loan B, 6.25%, 7/07/16 | 326 | 324,524 | ||
SI Organization, Inc., New Term Loan B, | ||||
4.50%, 11/22/16 | 419 | 401,072 | ||
TransDigm, Inc.: | ||||
Add on Term Loan B2, 4.00%, 2/14/17 | 180 | 180,149 | ||
Term Loan (First Lien), 4.00%, 2/14/17 | 842 | 840,759 | ||
Wesco Aircraft Hardware Corp., Term Loan B, | ||||
4.25%, 4/07/17 | 294 | 293,325 | ||
2,039,829 | ||||
Airlines — 0.8% | ||||
Delta Air Lines, Inc., Credit New Term Loan B, | ||||
5.50%, 4/20/17 | 1,067 | 1,041,761 | ||
Auto Components — 2.6% | ||||
Allison Transmission, Inc., Term Loan B, 2.75%, 8/07/14 | 1,419 | 1,402,833 | ||
Autoparts Holdings Ltd., First Lien Term Loan, | ||||
6.50%, 7/28/17 | 648 | 649,996 | ||
Federal-Mogul Corp.: | ||||
Term Loan B, 2.19% – 2.20%, 12/29/14 | 275 | 262,844 | ||
Term Loan C, 2.19% – 2.20%, 12/28/15 | 140 | 134,104 | ||
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17 | 480 | 481,402 | ||
UCI International, Inc., Term Loan, 5.50%, 7/26/17 | 347 | 347,366 | ||
3,278,545 | ||||
Biotechnology — 0.7% | ||||
Grifols SA, Term Loan B, 4.50%, 6/1/17 | 868 | 866,443 | ||
Building Products — 3.2% | ||||
Armstrong World Industries, Inc., Term Loan B, | ||||
4.00%, 3/19/18 | 447 | 444,812 | ||
CPG International, Inc., Term Loan B, 6.00%, 2/18/17 | 792 | 748,440 | ||
Goodman Global, Inc., Initial Term Loan (First Lien), | ||||
5.75%, 10/28/16 | 2,094 | 2,104,553 | ||
Momentive Performance Materials, Inc. (Blitz 06-103 | ||||
GmbH), Tranche B-2B Term Loan, 4.08%, 5/05/15 | EUR | 563 | 710,195 | |
4,008,000 | ||||
Capital Markets — 1.8% | ||||
American Capital Ltd., Term Loan B, 7.50%, 12/31/13 | USD | 61 | 61,446 | |
HarbourVest Partners, Term Loan (First Lien), | ||||
6.25%, 12/16/16 | 838 | 838,853 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Capital Markets (concluded) | ||||
Nuveen Investments, Inc., Incremental Term Loan, | ||||
7.25%, 5/13/17 | USD | 160 | $ | 161,120 |
Nuveen Investments, Inc. (First Lien): | ||||
3.30% – 3.58%, 11/13/14 | 391 | 388,468 | ||
5.74% – 5.83%, 5/12/17 | 782 | 780,021 | ||
2,229,908 | ||||
Chemicals — 5.0% | ||||
American Rock Salt Holdings LLC, Term Loan B, | ||||
5.50%, 4/25/17 | 610 | 567,273 | ||
Ashland, Inc., Term Loan B, 3.75%, 8/23/18 | 429 | 430,341 | ||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 750 | 752,347 | ||
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15 | 491 | 488,055 | ||
MDI Holdings LLC, Term Loan B, 2.24%, 4/11/14 | 446 | 443,147 | ||
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | 571 | 561,888 | ||
Polyone Corp., Term Loan, 5.00%, 12/20/17 | 185 | 185,278 | ||
PQ Corp., Original Term Loan (First Lien), | ||||
3.50%, 7/30/14 | 706 | 688,474 | ||
Styron Sarl LLC, Term Loan B, 6.00% – 6.75%, 8/02/17 | 506 | 456,469 | ||
Tronox Worldwide LLC: | ||||
Delayed Draw Term Loan, 1.00%, 2/09/18 | 176 | 175,517 | ||
Term Loan B, 4.25%, 2/08/18 | 644 | 643,564 | ||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 934 | 926,108 | ||
6,318,461 | ||||
Commercial Services & Supplies — 3.9% | ||||
Altegrity, Inc., Tranche D Term Loan, 7.75%, 2/20/15 | 697 | 696,257 | ||
ARAMARK Corp.: | ||||
Letter of Credit, 3.55%, 7/26/16 | 23 | 23,012 | ||
Term Loan B, 3.83%, 7/26/16 | 327 | 323,984 | ||
AWAS Finance Luxembourg Sarl, Term Loan B, | ||||
5.25%, 6/10/16 | 370 | 368,427 | ||
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 | 825 | 825,883 | ||
International Lease Finance Corp., Term Loan B1, | ||||
6.75%, 3/17/15 | 35 | 35,058 | ||
KAR Auction Services, Inc., Term Loan B, | ||||
5.00%, 5/19/17 | 1,194 | 1,192,508 | ||
Synagro Technologies, Inc., Term Loan B, | ||||
2.25% – 2.26%, 4/02/14 | 866 | 774,796 | ||
Volume Services America, Inc., Term Loan B, | ||||
10.50% – 10.75%, 9/16/16 | 494 | 495,809 | ||
West Corp., Term Loan B4, 4.49% – 4.50%, 7/15/16 | 197 | 196,891 | ||
4,932,625 | ||||
Communications Equipment — 1.3% | ||||
Avaya, Inc.: | ||||
Term Loan B1, 3.24%, 10/26/14 | 513 | 501,799 | ||
Term Loan B3, 4.99%, 10/26/17 | 315 | 305,478 | ||
CommScope, Inc., Term Loan B, 5.00%, 1/14/18 | 818 | 817,813 | ||
1,625,090 | ||||
Construction & Engineering — 0.9% | ||||
BakerCorp. International, Inc., Term Loan B, | ||||
5.00%, 6/01/18 | 363 | 362,692 | ||
Safway Services, LLC, First Out Tranche Loan, | ||||
9.00%, 12/16/17 | 750 | 750,000 | ||
1,112,692 | ||||
Consumer Finance — 1.6% | ||||
Springleaf Finance Corp, Term Loan, 5.50%, 5/10/17 | 2,135 | 1,946,287 | ||
Containers & Packaging — 1.0% | ||||
Berry Plastics Holding Corp., Term Loan C, | ||||
2.25%, 4/03/15 | 500 | 486,620 | ||
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18 | 719 | 725,996 | ||
1,212,616 |
See Notes to Financial Statements.
14 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Diversified Consumer Services — 3.3% | ||||
Coinmach Corp., Delayed Draw Term Loan, | ||||
3.41%, 11/20/14 | USD | 243 | $ | 223,902 |
Coinmach Service Corp., Term Loan, 3.41%, 11/20/14 | 1,021 | 940,249 | ||
Laureate Education, Inc., Extended Term Loan, | ||||
5.25%, 8/15/18 | 1,955 | 1,866,229 | ||
ServiceMaster Co.: | ||||
Delayed Draw Term Loan, 2.75%, 7/24/14 | 108 | 106,332 | ||
Term Loan, 2.77% – 3.03%, 7/24/14 | 1,081 | 1,067,749 | ||
4,204,461 | ||||
Diversified Financial Services — 1.9% | ||||
Reynolds Group Holdings, Inc.: | ||||
Tranche B Term Loan, 6.50%, 2/09/18 | 1,217 | 1,228,416 | ||
Tranche C Term Loan, 5.25% – 6.50%, 8/09/18 | 1,184 | 1,196,493 | ||
2,424,909 | ||||
Diversified Telecommunication Services — 4.4% | ||||
Hawaiian Telcom Communications, Inc., Term Loan B, | ||||
7.00%, 2/25/17 | 530 | 528,675 | ||
Integra Telecom Holdings, Inc., Term Loan, | ||||
9.25%, 4/15/15 | 813 | 715,110 | ||
Level 3 Financing, Inc.: | ||||
Term Loan B2, 5.75%, 9/03/18 | 1,800 | 1,812,384 | ||
Term Loan B3, 5.75%, 8/31/18 | 550 | 553,784 | ||
Tranche A Term Loan, 2.50% – 2.83%, 3/13/14 | 1,200 | 1,180,200 | ||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 745 | 705,845 | ||
5,495,998 | ||||
Electronic Equipment, Instruments & Components — 1.2% | ||||
CDW LLC (FKA CDW Corp.), Extended Term Loan, | ||||
4.00%, 7/14/17 | 816 | 797,620 | ||
Sensata Technologies Finance Co. LLC, Term Loan, | ||||
4.00%, 5/11/18 | 700 | 698,787 | ||
1,496,407 | ||||
Energy Equipment & Services — 3.0% | ||||
CCS Corp.: | ||||
Incremental Term Loan, 6.50%, 10/17/14 | 350 | 350,350 | ||
Term Loan B, 3.24%, 11/14/14 | 746 | 721,878 | ||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, | ||||
9.25%, 8/04/16 | 517 | 513,801 | ||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 581 | 598,832 | ||
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18 | 1,546 | 1,542,956 | ||
3,727,817 | ||||
Food & Staples Retailing — 2.0% | ||||
AB Acquisitions UK Topco 2 Ltd., Facility B1, | ||||
3.60%, 7/09/15 | GBP | 900 | 1,307,801 | |
B&G Foods, Inc., Term Loan B, 4.50%, 11/30/18 | USD | 175 | 175,394 | |
Bolthouse Farms, Inc., Term Loan (First Lien), | ||||
5.50% – 5.75%, 2/11/16 | 215 | 215,615 | ||
U.S. Foodservice, Inc., Term Loan B, | ||||
2.74% – 2.75%, 7/03/14 | 789 | 760,976 | ||
2,459,786 | ||||
Food Products — 3.2% | ||||
Advance Pierre Foods, Term Loan (Second Lien): | ||||
7.00%, 9/30/16 | 948 | 948,000 | ||
11.25%, 9/29/17 | 550 | 550,456 | ||
Del Monte Corp., Term Loan, 4.50%, 3/08/18 | 1,170 | 1,147,571 | ||
Michaels Foods Group, Inc., Term Loan B, | ||||
4.25%, 2/23/18 | 126 | 126,084 | ||
Pinnacle Foods Finance LLC: | ||||
Tranche B Term Loan, 2.76% – 3.08%, 4/02/14 | 40 | 39,569 | ||
Tranche D Term Loan, 6.00% – 6.50%, 4/02/14 | 452 | 454,616 | ||
Solvest Ltd. (Dole): | ||||
Tranche B-2 Term Loan, 5.00% – 6.00%, 7/06/18 | 280 | 281,275 | ||
Tranche C-2 Term Loan, 5.00% – 6.00%, 7/06/18 | 521 | 522,367 | ||
4,069,938 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Health Care Equipment & Supplies — 1.8% | ||||
Biomet, Inc., Term Loan B, 3.24% – 3.57%, 3/25/15 | USD | 313 | $ | 309,873 |
DJO Finance LLC, Term Loan, 3.24%, 5/20/14 | 465 | 458,692 | ||
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19 | 355 | 354,780 | ||
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18 | 349 | 347,188 | ||
Immucor, Inc., Term Loan B, 7.25%, 8/17/18 | 823 | 828,492 | ||
2,299,025 | ||||
Health Care Providers & Services — 4.6% | ||||
CHS/Community Health Systems, Inc.: | ||||
Non-Extended Delayed Draw Term Loan, | ||||
3.25%, 7/25/14 | 32 | 31,999 | ||
Non-Extended Term Loan, 2.49% – 4.50%, 7/25/14 | 639 | 630,085 | ||
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16 | 594 | 592,331 | ||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 | 891 | 893,040 | ||
Emergency Medical Services, Term Loan, | ||||
5.25%, 5/25/18 | 773 | 770,968 | ||
Harden Healthcare LLC: | ||||
Term Loan A, 8.50%, 3/02/15 | 328 | 321,325 | ||
Tranche A Additional Term Loan, 7.75%, 3/02/15 | 494 | 484,188 | ||
HCA, Inc., Tranche B-3 Term Loan, 3.49%, 5/01/18 | 225 | 221,286 | ||
Health Management Associates, Inc., Term Loan B, | ||||
4.50%, 11/16/18 | 270 | 268,245 | ||
inVentiv Health, Inc.: | ||||
Combined Term Loan, 6.50%, 8/04/16 | 642 | 616,734 | ||
Incremental Term Loan B-3, 6.75%, 5/15/18 | 347 | 333,600 | ||
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17 | 547 | 525,360 | ||
Vanguard Health Holding Co. II, LLC (Vanguard Health | ||||
Systems, Inc.), Term Loan B, 5.00%, 1/29/16 | 60 | 59,700 | ||
5,748,861 | ||||
Health Care Technology — 1.3% | ||||
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17 | 553 | 552,978 | ||
Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18 | 695 | 706,294 | ||
MedAssets, Inc., Term Loan, 5.25%, 11/16/16 | 399 | 399,422 | ||
1,658,694 | ||||
Hotels, Restaurants & Leisure — 5.7% | ||||
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18 | 570 | 571,540 | ||
Boyd Gaming Corp., Incremental Term Loan, | ||||
6.00%, 12/17/15 | 395 | 395,924 | ||
Caesars Entertainment Operating Co., Inc.: | ||||
Incremental Term Loan B4, 9.50%, 10/31/16 | 495 | 508,895 | ||
Term Loan B1, 3.24%, 1/28/15 | 272 | 254,623 | ||
Term Loan B3, 3.24% – 3.47%, 1/28/15 | 2,272 | 2,128,487 | ||
Dunkin’ Brands, Inc., Term Loan B, | ||||
4.00% – 5.25%, 11/23/17 | 898 | 894,849 | ||
Golden Living, Term Loan, 5.00%, 5/04/18 | 148 | 138,807 | ||
OSI Restaurant Partners LLC: | ||||
Revolver, 2.56% – 2.79%, 6/14/13 | 4 | 4,378 | ||
Term Loan B, 2.56%, 6/14/14 | 46 | 44,413 | ||
Seaworld Parks & Entertainment, Inc., Term Loan B, | ||||
4.00%, 8/17/17 | 619 | 617,866 | ||
Six Flags Theme Parks, Inc., Tranche B Term Loan | ||||
(First Lien), 4.25%, 12/20/18 | 690 | 686,985 | ||
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 | 475 | 428,293 | ||
Twin River Worldwide Holdings, Inc., Term Loan, | ||||
8.50%, 11/05/15 | 519 | 518,890 | ||
7,193,950 | ||||
Household Products — 0.6% | ||||
Prestige Brands, Inc., Term Loan, 5.25%, 1/31/19 | 690 | 692,588 | ||
Independent Power Producers & Energy Traders — 1.0% | ||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 993 | 991,508 | ||
Texas Competitive Electric Holdings Co. LLC, Extended | ||||
Term Loan, 4.76%, 10/10/17 | 574 | 320,236 | ||
1,311,744 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 15 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Industrial Conglomerates — 1.6% | ||||
Sequa Corp.: | ||||
Incremental Term Loan, 6.25%, 12/03/14 | USD | 305 | $ | 306,016 |
Term Loan, 3.76% – 3.84%, 12/03/14 | 1,763 | 1,744,049 | ||
2,050,065 | ||||
Insurance — 0.7% | ||||
CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16 | 817 | 820,345 | ||
Internet Software & Services — 0.4% | ||||
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17 | 545 | 532,463 | ||
IT Services — 5.4% | ||||
Ceridian Corp., Term Loan, 3.24%, 11/10/14 | 656 | 620,748 | ||
First Data Corp.: | ||||
Extended Term Loan B, 4.24%, 3/23/18 | 3,125 | 2,803,749 | ||
Term Loan B-1, 2.99%, 9/24/14 | 408 | 390,334 | ||
Term Loan B-3, 2.99%, 9/24/14 | 149 | 142,569 | ||
infoGROUP, Inc., Term Loan B, 5.75%, 5/25/18 | 345 | 322,382 | ||
iPayment, Inc., Term Loan B, 5.75%, 5/08/17 | 494 | 491,279 | ||
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18 | 409 | 409,997 | ||
SunGard Data Systems, Inc. (Solar Capital Corp.), | ||||
Tranche B Term Loan, 3.99% – 5.86%, 2/26/16 | 143 | 142,470 | ||
TransUnion LLC, Term Loan B, 4.75%, 2/12/18 | 1,457 | 1,458,471 | ||
6,781,999 | ||||
Leisure Equipment & Products — 0.2% | ||||
Eastman Kodak Co., DIP Term Loan B, 1.00%, 7/20/13 | 275 | 278,352 | ||
Machinery — 1.5% | ||||
Terex Corp.: | ||||
Term Loan, 6.00%, 4/28/17 | EUR | 60 | 79,140 | |
Term Loan B, 5.50%, 4/28/17 | USD | 604 | 608,025 | |
Tomkins LLC, Term Loan B, 4.25%, 9/23/16 | 1,169 | 1,167,792 | ||
1,854,957 | ||||
Media — 19.2% | ||||
Acosta, Inc., Term Loan, 4.75%, 3/01/18 | 312 | 310,119 | ||
Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16 | 735 | 688,050 | ||
AMC Entertainment, Inc., Term Loan B3, 4.25%, 2/22/18 | 325 | 320,674 | ||
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18 | 796 | 791,025 | ||
Atlantic Broadband Finance LLC, Term Loan B, | ||||
4.00%, 3/08/16 | 416 | 413,990 | ||
Bresnan Telecommunications Co., LLC, Term Loan, | ||||
4.50% – 5.25%, 12/14/17 | 1,436 | 1,430,720 | ||
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18 | 599 | 601,917 | ||
Catalina Marketing Corp., Term Loan B, | ||||
2.99%, 10/01/14 | 633 | 615,290 | ||
Cengage Learning Acquisitions, Inc.: | ||||
Term Loan, 2.49%, 7/03/14 | 425 | 394,098 | ||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 371 | 359,138 | ||
Cequel Communications LLC, Term Loan B, | ||||
4.00%, 2/11/19 | 1,095 | 1,083,798 | ||
Charter Communications Operating LLC: | ||||
Term Loan B, 7.25%, 3/06/14 | 12 | 12,302 | ||
Term Loan C, 3.83%, 9/06/16 | 1,046 | 1,038,206 | ||
Clarke American Corp., Term Facility B, | ||||
2.74% – 3.08%, 6/30/14 | 227 | 207,076 | ||
Clear Channel Communications: | ||||
Term Loan B, 3.89%, 1/28/16 | 1,185 | 972,506 | ||
Term Loan C, 3.89%, 1/28/16 | 160 | 126,800 | ||
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18 | 615 | 615,510 | ||
Gray Television, Inc., Term Loan B, 3.77%, 12/31/14 | 640 | 632,734 | ||
HMH Publishing Co. Ltd., Tranche A Term Loan, | ||||
6.51%, 6/12/14 | 604 | 373,459 | ||
Hubbard Broadcasting, Term Loan B (Second Lien), | ||||
5.25%, 4/28/17 | 498 | 497,913 | ||
Intelsat Jackson Holdings SA, Tranche B Term Loan, | ||||
5.25%, 4/02/18 | 2,978 | 2,972,438 | ||
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 | 1,315 | 1,312,104 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Media (concluded) | ||||
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19 | USD | 640 | $ | 636,800 |
Knology, Inc., Term Loan B, 4.00%, 8/18/17 | 246 | 243,670 | ||
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG): | ||||
Term Loan B, 3.81%, 3/06/15 | EUR | 460 | 533,050 | |
Term Loan C, 4.06%, 3/04/16 | 460 | 536,118 | ||
LIN Television Corp., Term Loan B, 5.00%, 12/21/18 | USD | 325 | 326,625 | |
Mediacom LLC, Term Loan E, 4.50%, 10/23/17 | 493 | 487,452 | ||
Newsday LLC, Fixed Rate Term Loan: | ||||
6.82%, 8/01/13 | 500 | 502,710 | ||
10.50%, 8/01/13 | 800 | 823,000 | ||
Nielsen Finance LLC, Class B Dollar Term Loan, | ||||
4.01%, 5/02/16 | 634 | 635,918 | ||
Sinclair Television Group, Inc.: | ||||
Incremental Term Loan B3, 4.00%, 10/28/16 | 130 | 129,390 | ||
Tranche B Term Loan, 4.00%, 10/28/16 | 421 | 418,935 | ||
Univision Communications, Inc., Extended First Lien | ||||
Term Loan, 4.49%, 3/31/17 | 988 | 917,193 | ||
UPC Broadband Holding B.V., Term Loan U, | ||||
4.72%, 12/29/17 | EUR | 196 | 256,005 | |
UPC Financing Partnership: | ||||
Term Loan, 4.75%, 12/29/17 | USD | 585 | 583,976 | |
Term Loan T, 3.77%, 12/30/16 | 80 | 78,660 | ||
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18 | 218 | 217,837 | ||
Weather Channel, Term Loan B, 4.25%, 2/13/17 | 962 | 962,960 | ||
24,060,166 | ||||
Metals & Mining — 2.6% | ||||
Novelis, Inc., Term Loan, 4.00%, 3/10/17 | 1,321 | 1,314,720 | ||
SunCoke Energy, Inc., Term Loan B, | ||||
4.00% – 5.25%, 7/26/18 | 448 | 446,631 | ||
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18 | 1,514 | 1,507,007 | ||
3,268,358 | ||||
Multi-Utilities — 0.1% | ||||
FirstLight Power Resources, Inc., Term B Advance | ||||
(First Lien), 2.75%, 11/01/13 | 160 | 150,569 | ||
Multiline Retail — 2.5% | ||||
99 Cents Only Stores, Term Loan B, | ||||
6.00% – 7.00%, 1/11/19 | 525 | 528,376 | ||
Dollar General Corp., Tranche B-2 Term Loan, | ||||
3.00% – 3.33%, 7/07/14 | 316 | 315,720 | ||
Hema Holding BV, Second Lien Term Loan, | ||||
5.69%, 1/05/17 | EUR | 1,800 | 2,086,381 | |
The Neiman Marcus Group, Inc., Term Loan, | ||||
4.75%, 5/16/18 | USD | 175 | 173,600 | |
3,104,077 | ||||
Oil, Gas & Consumable Fuels — 1.8% | ||||
EquiPower Resources Holdings LLC, Term Loan B, | ||||
5.75%, 1/26/18 | 699 | 656,731 | ||
Gibson Energy, Term Loan B, 5.75%, 6/15/18 | 796 | 796,828 | ||
Obsidian Natural Gas Trust, Term Loan, | ||||
7.00%, 11/02/15 | 848 | 852,184 | ||
2,305,743 | ||||
Paper & Forest Products — 0.2% | ||||
NewPage Corp., Term Loan, 8.00%, 3/07/13 | 200 | 201,500 | ||
Pharmaceuticals — 3.9% | ||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 990 | 981,585 | ||
Endo Pharmaceuticals Holdings, Inc., Term Loan B, | ||||
4.00%, 6/18/18 | 162 | 161,811 | ||
Pharmaceutical Product Development, Inc., Term Loan B, | ||||
6.25%, 12/05/18 | 830 | 837,262 | ||
Quintiles Transnational Corp., Term Loan B, | ||||
5.00%, 6/08/18 | 592 | 588,112 | ||
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18 | 498 | 496,624 | ||
Taminco Global Chemical Corp., New Term Loan, | ||||
6.25%, 2/15/19 | 290 | 291,192 |
See Notes to Financial Statements.
16 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Schedule of Investments (continued) | BlackRock Defined Opportunity Credit Trust (BHL) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Pharmaceuticals (concluded) | ||||
Valeant Pharmaceuticals International, Add on | ||||
Term Loan B, 3.75%, 2/08/19 | USD | 1,050 | $ | 1,046,724 |
Warner Chilcott Corp.: | ||||
Term Loan B-1, 4.25%, 3/15/18 | 318 | 316,854 | ||
Term Loan B-2, 4.25%, 3/15/18 | 159 | 158,427 | ||
4,878,591 | ||||
Professional Services — 1.5% | ||||
Booz Allen Hamilton, Inc., Tranche B Term Loan, | ||||
4.00%, 8/03/17 | 273 | 274,000 | ||
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18 | 850 | 859,715 | ||
Fifth Third Processing Solutions LLC, Term Loan B | ||||
(First Lien), 4.50%, 11/03/16 | 707 | 707,517 | ||
1,841,232 | ||||
Real Estate Investment Trusts (REITs) — 0.7% | ||||
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13 | 847 | 842,917 | ||
Real Estate Management & Development — 0.8% | ||||
Realogy Corp.: | ||||
Extended Synthetic Letter of Credit, | ||||
3.25%, 10/10/13 | 25 | 23,868 | ||
Extended Synthetic Letter of Credit, | ||||
4.53%, 10/10/16 | 46 | 42,868 | ||
Extended Term Loan, 4.77%, 10/10/16 | 1,060 | 983,229 | ||
1,049,965 | ||||
Road & Rail — 0.8% | ||||
Avis Budget Car Rental LLC, Incremental Term Loan, | ||||
6.25%, 9/21/18 | 484 | 488,504 | ||
RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19 | 480 | 478,800 | ||
967,304 | ||||
Semiconductors & Semiconductor Equipment — 0.8% | ||||
Freescale Semiconductor, Inc., Extended Term Loan B, | ||||
4.52%, 12/01/16 | 439 | 427,524 | ||
NXP B.V., Term Loan A-2, 5.50%, 3/03/17 | 524 | 520,020 | ||
947,544 | ||||
Software — 1.5% | ||||
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18 | 255 | 251,601 | ||
Infor Enterprise Solutions Holdings, Inc.: | ||||
Extended Delayed Draw Term Loan, 6.29%, 7/28/15 | 17 | 16,953 | ||
Extended Initial Term Loan, 6.29%, 7/28/15 | 33 | 31,922 | ||
Extended Initial Term Loan, 6.68%, 7/28/15 | EUR | 195 | 244,860 | |
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18 | USD | 447 | 446,067 | |
Sophia, LP, Term Loan B, 6.25%, 7/19/18 | 525 | 530,470 | ||
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16 | 307 | 304,292 | ||
1,826,165 | ||||
Specialty Retail — 4.5% | ||||
Academy Ltd., Term Loan, 6.00%, 8/03/18 | 800 | 799,912 | ||
Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17 | 60 | 59,743 | ||
Burlington Coat Factory Warehouse Corp., Term Loan B, | ||||
6.25%, 2/23/17 | 431 | 430,875 | ||
Claire’s Stores, Inc., Term Loan B, | ||||
2.29% – 3.30%, 5/29/14 | 197 | 186,683 | ||
General Nutrition Centers, Inc., Term Loan B, | ||||
4.25%, 3/02/18 | 835 | 832,528 | ||
The Gymboree Corp., Term Loan, 5.00%, 2/23/18 | 300 | 282,075 | ||
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18 | 293 | 288,586 | ||
Michaels Stores, Inc.: | ||||
Extended Term Loan B3, 5.13%, 7/29/16 | 334 | 332,407 | ||
Term Loan B-2, 5.13%, 7/29/16 | 641 | 637,137 | ||
Petco Animal Supplies, Inc., Term Loan B, | ||||
4.50%, 11/24/17 | 943 | 938,672 | ||
Toys ‘R’ Us Delaware, Inc., Term Loan B1, | ||||
6.00%, 9/01/16 | 907 | 907,443 | ||
5,696,061 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Wireless Telecommunication Services — 2.4% | ||||
Crown Castle International Corp., Term Loan B, | ||||
4.00%, 1/31/19 | USD | 695 | $ | 691,838 |
Digicel International, Tranche A, 3.13%, 3/30/12 | 235 | 233,541 | ||
MetroPCS Wireless, Inc., Tranche B-2 Term Loan, | ||||
4.07% – 4.13%, 11/03/16 | 765 | 758,400 | ||
Vodafone Americas Finance 2, Inc.: | ||||
Term Loan, 6.88%, 8/11/15 | 934 | 934,121 | ||
Term Loan B, 6.25%, 7/11/16 | 413 | 411,469 | ||
3,029,369 | ||||
Total Floating Rate Loan Interests — 111.5% | 139,884,177 | |||
Total Long-Term Investments | ||||
(Cost — $159,479,952) — 127.8% | 160,404,755 | |||
Short-Term Securities | Shares | |||
BlackRock Liquidity Funds, TempFund, Institutional | ||||
Class, 0.11% (f)(g) | 2,243,014 | 2,243,014 | ||
Total Short-Term Securities | ||||
(Cost — $2,243,014) — 1.8% | 2,243,014 | |||
Total Investments (Cost — $161,722,966) — 129.6% | $ | 162,647,769 | ||
Liabilities in Excess of Other Assets — (29.6)% | (37,172,337) | |||
Net Assets — 100.0% | $ | 125,475,432 | ||
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Rate shown is as of report date. |
(c) | Non-income producing security. |
(d) | Restricted security as to resale. As of report date the Portfolio held 0.8% of its net assets, with a current value of $958,994 and an original cost of $176,777 in these securities. |
(e) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation |
Morgan Stanley Co. | $82,200 | $ 2,200 |
(f) | Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2011 | Net Activity | Shares Held at February 29, 2012 | Income |
BlackRock Liquidity | ||||
Funds, TempFund, | ||||
Institutional Class | 2,230,753 | 12,261 | 2,243,014 | $ 278 |
(g) | Represents the current yield as of report date. |
• | Foreign currency exchange contracts as of February 29, 2012 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | |||
USD | 99,390 | CAD | 101,500 | Royal Bank | |||
of Scotland Plc | 4/11/12 | $ | (3,101) | ||||
USD | 1,181,882 | GBP | 771,000 | UBS AG | 4/11/12 | (44,353) | |
EUR | 200,000 | USD | 265,156 | Deutsche Bank | |||
AG London | 4/18/12 | 1,356 | |||||
EUR | 190,000 | USD | 247,648 | Royal Bank | |||
of Scotland Plc | 4/18/12 | 5,538 | |||||
USD | 4,093,702 | EUR | 3,187,000 | Citibank NA | 4/18/12 | (153,170) | |
USD | 455,932 | EUR | 350,000 | Royal Bank | |||
of Scotland Plc | 4/18/12 | (10,464) | |||||
Total | $ | (204,194) |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 17 |
Schedule of Investments (concluded) | BlackRock Defined Opportunity Credit Trust (BHL) |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
• | Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term | ||||||||||||||||
Investments: | ||||||||||||||||
Asset-Backed | ||||||||||||||||
Securities | — | $ | 1,199,274 | $ | 2,409,873 | $ | 3,609,147 | |||||||||
Common Stocks | — | 958,995 | 209,496 | 1,168,491 | ||||||||||||
Corporate Bonds | — | 15,742,940 | — | 15,742,940 | ||||||||||||
Floating Rate | ||||||||||||||||
Loan Interests | — | 132,579,459 | 7,304,718 | 139,884,177 | ||||||||||||
Short-Term | ||||||||||||||||
Securities | $ | 2,243,014 | — | — | 2,243,014 | |||||||||||
Total | $ | 2,243,014 | $ | 150,480,668 | $ | 9,924,087 | $ | 162,647,769 | ||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign currency | ||||||||||||||||
exchange | ||||||||||||||||
contracts | — | $ | 6,894 | — | $ | 6,894 | ||||||||||
Liabilities: | ||||||||||||||||
Foreign currency | ||||||||||||||||
exchange | ||||||||||||||||
contracts | — | (211,088 | ) | — | (211,088 | ) | ||||||||||
Total | — | $ | (204,194 | ) | — | $ | (204,194 | ) |
1 | Derivative financial instruments are foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
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 | Floating Rate Loan Interests | Total | ||||||||||||
Assets/Liabilities: | |||||||||||||||
Balance, as of August 31, 2011 | $ | 2,378,561 | $ | 106,534 | $ | 10,822,191 | $ | 13,307,286 | |||||||
Accrued discounts/premiums | 20,234 | — | 9,960 | 30,194 | |||||||||||
Net realized gain (loss) | — | — | 8,884 | 8,884 | |||||||||||
Net change in unrealized appreciation/depreciation2 | 11,078 | (105,493 | ) | (86,118 | ) | (180,533 | ) | ||||||||
Purchases | — | — | 515,497 | 515,497 | |||||||||||
Sales | — | — | (542,817 | ) | (542,817 | ) | |||||||||
Transfers in3 | — | 208,455 | 1,773,414 | 1,981,869 | |||||||||||
Transfers out3 | — | — | (5,196,293 | ) | (5,196,293 | ) | |||||||||
Balance, as of February 29, 2012 | $ | 2,409,873 | $ | 209,496 | $ | 7,304,718 | $ | 9,924,087 |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $(179,643). |
3 | The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
18 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
February 29, 2012 (Unaudited) | (Percentages shown are based on Net Assets) |
Par | ||||
Asset-Backed Securities | (000) | Value | ||
ARES CLO Funds, Series 2005-10A, Class B, | ||||
0.95%, 9/18/17 (a)(b) | USD | 250 | $ | 231,345 |
Canaras Summit CLO Ltd., Series 2007-1A, Class B, | ||||
1.04%, 6/19/21 (a)(b) | 365 | 310,356 | ||
Chatham Light CLO Ltd., Series 2005-2A, Class A2, | ||||
0.94%, 8/03/19 (a)(b) | 850 | 728,875 | ||
Flagship CLO, Series 2006-1A, Class B, | ||||
0.91%, 9/20/19 (a)(b) | 1,000 | 772,500 | ||
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B, | ||||
0.96%, 12/20/20 (a)(b) | 500 | 425,000 | ||
Gannett Peak CLO Ltd., Series 2006-1X, Class A2, | ||||
0.92%, 10/27/20 (b) | 280 | 226,100 | ||
Landmark CDO Ltd., Series 2006-8A, Class B, | ||||
0.92%, 10/19/20 (a)(b) | 525 | 439,519 | ||
MAPS CLO Fund LLC, Series 2005-1A, Class C, | ||||
1.52%, 12/21/17 (a)(b) | 275 | 247,775 | ||
Portola CLO Ltd., Series 2007-1X, Class B1, | ||||
1.95%, 11/15/21 (b) | 370 | 317,275 | ||
T2 Income Fund CLO Ltd., Series 2007-1A, Class B, | ||||
1.17%, 7/15/19 (a)(b) | 320 | 277,520 | ||
Total Asset-Backed Securities — 3.0% | 3,976,265 | |||
Common Stocks (c) | Shares | |||
Auto Components — 0.8% | ||||
Delphi Automotive Plc (180-day lock) | ||||
(acquired 11/17/11, cost $189,716) (d) | 32,726 | 1,021,064 | ||
Diversified Financial Services — 1.0% | ||||
Kcad Holdings I Ltd. | 144,281,996 | 1,320,902 | ||
Electrical Equipment — 0.0% | ||||
Medis Technologies Ltd. | 176,126 | 881 | ||
Hotels, Restaurants & Leisure — 0.0% | ||||
Buffets Restaurants Holdings, Inc. | 688 | 69 | ||
Metals & Mining — 0.1% | ||||
Euramax International | 468 | 135,575 | ||
Paper & Forest Products — 0.3% | ||||
Ainsworth Lumber Co. Ltd. (a) | 275,167 | 433,837 | ||
Software — 0.0% | ||||
Bankruptcy Management Solutions, Inc. | 536 | 11 | ||
HMH Holdings/EduMedia | 45,526 | 11,381 | ||
11,392 | ||||
Total Common Stocks — 2.2% | 2,923,720 | |||
Par | ||||
Corporate Bonds | (000) | |||
Airlines — 0.4% | ||||
American Airlines Pass-Through Trust, Series 2011-2, | ||||
Class A, 8.63%, 4/15/23 | USD | 133 | 140,980 | |
Delta Air Lines, Inc., Series 2009-1-B, 9.75%, 6/17/18 | 55 | 58,663 | ||
United Air Lines, Inc., 12.75%, 7/15/12 | 295 | 304,936 | ||
504,579 | ||||
Auto Components — 0.9% | ||||
Icahn Enterprises LP: | ||||
7.75%, 1/15/16 | 735 | 769,912 | ||
8.00%, 1/15/18 (a) | 330 | 349,800 | ||
1,119,712 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Capital Markets — 0.1% | ||||
E*Trade Financial Corp., 3.98%, 8/31/19 (a)(e)(f) | USD | 83 | $ | 78,539 |
KKR Group Finance Co., 6.38%, 9/29/20 (a) | 80 | 85,137 | ||
163,676 | ||||
Chemicals — 0.6% | ||||
CF Industries, Inc., 6.88%, 5/01/18 | 445 | 523,987 | ||
Ineos Finance Plc, 8.38%, 2/15/19 (a) | 115 | 122,188 | ||
Lyondell Chemical Co., 11.00%, 5/01/18 | 137 | 150,463 | ||
LyondellBasell Industries NV, 6.00%, 11/15/21 (a) | 40 | 43,900 | ||
840,538 | ||||
Commercial Banks — 0.2% | ||||
CIT Group, Inc.: | ||||
7.00%, 5/01/16 | 27 | 26,628 | ||
7.00%, 5/02/16 (a) | 130 | 130,162 | ||
7.00%, 5/02/17 (a) | 140 | 140,175 | ||
Glitnir Banki HF, 6.38%, 9/25/12 (c)(f)(g) | 365 | — | ||
296,965 | ||||
Commercial Services & Supplies — 0.3% | ||||
ARAMARK Corp., 4.05%, 2/01/15 (b) | 65 | 64,756 | ||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 343 | 358,034 | ||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 14 | 13,300 | ||
436,090 | ||||
Consumer Finance — 0.3% | ||||
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 350 | 374,500 | ||
Containers & Packaging — 0.4% | ||||
Graphic Packaging International, Inc., 9.50%, 6/15/17 | 105 | 116,812 | ||
Smurfit Kappa Acquisitions (a): | ||||
7.25%, 11/15/17 | EUR | 160 | 228,090 | |
7.75%, 11/15/19 | 135 | 193,800 | ||
538,702 | ||||
Diversified Financial Services — 1.5% | ||||
Ally Financial, Inc.: | ||||
7.50%, 12/31/13 | USD | 20 | 21,300 | |
2.73%, 12/01/14 (b) | 750 | 701,949 | ||
7.50%, 9/15/20 | 160 | 176,200 | ||
8.00%, 11/01/31 | 70 | 78,137 | ||
8.00%, 11/01/31 | 80 | 86,804 | ||
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16 | 66 | 70,373 | ||
Reynolds Group Issuer, Inc. (a): | ||||
8.75%, 10/15/16 | 300 | 319,500 | ||
8.75%, 10/15/16 | EUR | 200 | 283,114 | |
6.88%, 2/15/21 | USD | 195 | 206,700 | |
1,944,077 | ||||
Diversified Telecommunication Services — 0.1% | ||||
ITC Deltacom, Inc., 10.50%, 4/01/16 | 180 | 187,650 | ||
Health Care Providers & Services — 0.5% | ||||
HCA, Inc., 6.50%, 2/15/20 | 420 | 450,450 | ||
Tenet Healthcare Corp., 6.25%, 11/01/18 (a) | 195 | 207,919 | ||
658,369 | ||||
Health Care Technology — 0.6% | ||||
IMS Health, Inc., 12.50%, 3/01/18 (a) | 700 | 833,000 | ||
Hotels, Restaurants & Leisure — 1.1% | ||||
Little Traverse Bay Bands of Odawa Indians, | ||||
9.00%, 8/31/20 (a) | 192 | 168,960 | ||
MGM Resorts International: | ||||
10.38%, 5/15/14 | 390 | 443,625 | ||
11.13%, 11/15/17 | 390 | 443,625 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 19 |
Consolidated Schedule of Investments (continued) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
(Percentages shown are based on Net Assets) |
Par | ||||
Corporate Bonds | (000) | Value | ||
Hotels, Restaurants & Leisure (concluded) | ||||
Travelport LLC: | ||||
5.15%, 9/01/14 (b) | USD | 665 | $ | 340,812 |
9.88%, 9/01/14 | 145 | 83,013 | ||
Tropicana Entertainment LLC, Series WI, | ||||
9.63%, 12/15/14 (c)(g) | 120 | — | ||
1,480,035 | ||||
Household Durables — 0.4% | ||||
Beazer Homes USA, Inc., 12.00%, 10/15/17 | 500 | 545,000 | ||
Independent Power Producers & Energy Traders — 1.9% | ||||
Calpine Corp., 7.25%, 10/15/17 (a) | 575 | 609,500 | ||
Energy Future Holdings Corp., 10.00%, 1/15/20 | 370 | 400,062 | ||
Energy Future Intermediate Holding Co. LLC, | ||||
10.00%, 12/01/20 | 1,355 | 1,471,869 | ||
2,481,431 | ||||
Industrial Conglomerates — 0.6% | ||||
Sequa Corp., 13.50%, 12/01/15 (a) | 722 | 770,275 | ||
Machinery — 0.1% | ||||
UR Financing Escrow Corp., 5.75%, 7/15/18 (a)(h) | 85 | 87,338 | ||
Media — 2.6% | ||||
AMC Networks, Inc., 7.75%, 7/15/21 (a) | 110 | 122,650 | ||
CCH II LLC, 13.50%, 11/30/16 | 500 | 575,000 | ||
Checkout Holding Corp., 10.68%, 11/15/15 (a)(e) | 325 | 146,250 | ||
Clear Channel Worldwide Holdings, Inc., Series B, | ||||
9.25%, 12/15/17 | 884 | 972,400 | ||
CSC Holdings LLC, 8.50%, 4/15/14 | 180 | 199,800 | ||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) | 300 | 330,000 | ||
Unitymedia Hessen GmbH & Co. KG, | ||||
8.13%, 12/01/17 (a) | 1,000 | 1,085,000 | ||
3,431,100 | ||||
Metals & Mining — 0.0% | ||||
RathGibson, Inc., 11.25%, 2/15/14 (c)(g) | 1,390 | — | ||
Multiline Retail — 0.2% | ||||
Dollar General Corp., 11.88%, 7/15/17 (b) | 215 | 235,965 | ||
Oil, Gas & Consumable Fuels — 0.1% | ||||
Coffeyville Resources LLC, 9.00%, 4/01/15 (a) | 135 | 144,450 | ||
Paper & Forest Products — 0.7% | ||||
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(i) | 296 | 215,867 | ||
Clearwater Paper Corp., 10.63%, 6/15/16 | 190 | 215,887 | ||
Longview Fibre Paper & Packaging, Inc., | ||||
8.00%, 6/01/16 (a) | 165 | 169,538 | ||
Verso Paper Holdings LLC: | ||||
11.50%, 7/01/14 | 144 | 146,880 | ||
Series B, 4.30%, 8/01/14 (b) | 170 | 117,725 | ||
865,897 | ||||
Pharmaceuticals — 0.2% | ||||
Valeant Pharmaceuticals International, | ||||
6.50%, 7/15/16 (a) | 195 | 198,900 | ||
Real Estate Management & Development — 0.1% | ||||
Realogy Corp., 7.63%, 1/15/20 (a) | 175 | 180,687 | ||
Wireless Telecommunication Services — 2.0% | ||||
Cricket Communications, Inc., 7.75%, 5/15/16 | 850 | 905,250 | ||
Digicel Group Ltd. (a): | ||||
9.13%, 1/15/15 | 279 | 284,580 | ||
8.25%, 9/01/17 | 255 | 270,300 | ||
iPCS, Inc., 2.67%, 5/01/13 (b) | 200 | 192,500 | ||
Sprint Nextel Corp. (a): | ||||
9.00%, 11/15/18 | 390 | 434,850 | ||
7.00%, 3/01/20 | 585 | 594,506 | ||
2,681,986 | ||||
Total Corporate Bonds — 15.9% | 21,000,922 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Aerospace & Defense — 1.6% | ||||
DynCorp International, Term Loan B, | ||||
6.25% – 6.75%, 7/07/16 | USD | 324 | $ | 322,665 |
SI Organization, Inc., New Term Loan B, | ||||
4.50%, 11/22/16 | 418 | 400,118 | ||
TransDigm, Inc.: | ||||
Add on Term Loan B2, 4.00%, 2/14/17 | 190 | 190,158 | ||
Term Loan (First Lien), 4.00%, 2/14/17 | 891 | 890,216 | ||
Wesco Aircraft Hardware Corp., Term Loan B, | ||||
4.25%, 4/07/17 | 337 | 336,469 | ||
2,139,626 | ||||
Airlines — 0.8% | ||||
Delta Air Lines, Inc., Credit New Term Loan B, | ||||
5.50%, 4/20/17 | 1,063 | 1,037,421 | ||
Auto Components — 2.6% | ||||
Allison Transmission, Inc., Term Loan B, 2.75%, 8/07/14 | 1,467 | 1,450,330 | ||
Autoparts Holdings, Ltd., First Lien Term Loan, | ||||
6.50%, 7/28/17 | 698 | 699,996 | ||
Federal-Mogul Corp.: | ||||
Term Loan B, 2.19% – 2.20%, 12/29/14 | 313 | 299,323 | ||
Term Loan C, 2.19% – 2.20%, 12/28/15 | 160 | 152,716 | ||
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17 | 480 | 481,402 | ||
UCI International, Inc., Term Loan, 5.50%, 7/26/17 | 347 | 347,366 | ||
3,431,133 | ||||
Biotechnology — 0.7% | ||||
Grifols Inc., Term Loan B, 4.50%, 6/1/17 | 918 | 916,374 | ||
Building Products — 2.9% | ||||
Armstrong World Industries, Inc., Term Loan B, | ||||
4.00%, 3/09/18 | 571 | 568,370 | ||
CPG International, Inc., Term Loan B, 6.00%, 2/18/17 | 842 | 795,217 | ||
Goodman Global Holdings, Inc., Initial Term Loan | ||||
(First Lien), 5.75%, 10/28/16 | 2,094 | 2,104,554 | ||
Momentive Performance Materials, Inc. (Blitz 06-103 | ||||
GmbH), Tranche B-2B Term Loan, 4.08%, 5/05/15 | EUR | 315 | 397,326 | |
3,865,467 | ||||
Capital Markets — 1.7% | ||||
American Capital Ltd., Term Loan B, 7.50%, 12/31/13 | USD | 70 | 70,154 | |
HarbourVest Partners, Term Loan (First Lien), | ||||
6.25%, 12/16/16 | 838 | 838,853 | ||
Nuveen Investments, Inc.: | ||||
(First Lien), Term Loan, 3.30% – 3.58%, 11/13/14 | 438 | 435,132 | ||
Extended Term Loan, 5.74% – 5.83%, 5/12/17 | 862 | 859,685 | ||
Incremental Term Loan, 7.25%, 5/13/17 | 85 | 85,595 | ||
2,289,419 | ||||
Chemicals — 4.7% | ||||
American Rock Salt Holdings LLC, Term Loan B, | ||||
5.50%, 4/25/17 | 605 | 562,615 | ||
Ashland, Inc., Term Loan B, 3.75%, 8/23/18 | 419 | 420,333 | ||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 700 | 702,191 | ||
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15 | 518 | 514,752 | ||
MDI Holdings LLC, Tranche C Term Loan, | ||||
2.76%, 4/11/14 | EUR | 219 | 283,687 | |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | USD | 596 | 586,317 | |
PolyOne Corp., Term Loan, 5.00%, 12/20/17 | 195 | 195,293 | ||
PQ Corp., Original Term Loan (First Lien), | ||||
3.50%, 7/30/14 | 697 | 679,573 | ||
Styron Sarl LLC, Term Loan B, 6.00% – 6.75%, 8/02/17 | 541 | 487,487 | ||
Tronox Worldwide LLC: | ||||
Delayed Draw Term Loan, 1.00%, 2/09/18 | 185 | 185,150 | ||
Term Loan B, 4.25%, 2/08/18 | 680 | 678,882 | ||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 988 | 979,784 | ||
6,276,064 |
See Notes to Financial Statements.
20 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Commercial Services & Supplies — 3.6% | ||||
Altegrity, Inc., Tranche D Term Loan, 7.75%, 2/20/15 | USD | 790 | $ | 789,091 |
ARAMARK Corp.: | ||||
Letter of Credit, 3.55%, 7/26/16 | 17 | 16,503 | ||
Extended Term Loan B, 3.83%, 7/26/16 | 234 | 231,786 | ||
AWAS Finance Luxembourg Sarl, Term Loan B, | ||||
5.25%, 6/10/16 | 413 | 411,650 | ||
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 | 925 | 925,990 | ||
International Lease Finance Corp., Term Loan B1, | ||||
6.75%, 3/17/15 | 40 | 40,067 | ||
KAR Auction Services, Inc., Term Loan B, | ||||
5.00%, 5/19/17 | 1,244 | 1,242,195 | ||
Synagro Technologies, Inc., Term Loan B, | ||||
2.25% – 2.26%, 4/02/14 | 636 | 568,892 | ||
Volume Services America, Inc., Term Loan B, | ||||
10.50% – 10.75%, 9/16/16 | 494 | 495,809 | ||
4,721,983 | ||||
Communications Equipment — 1.2% | ||||
Avaya, Inc.: | ||||
Term Loan B1, 3.24%, 10/24/14 | 548 | 535,749 | ||
Term Loan B3, 4.99%, 10/26/17 | 330 | 320,024 | ||
CommScope, Inc., Term Loan B, 5.00%, 1/14/18 | 768 | 768,024 | ||
1,623,797 | ||||
Construction & Engineering — 0.9% | ||||
BakerCorp. International, Inc., Term Loan B, | ||||
5.00%, 6/01/18 | 433 | 432,176 | ||
Safway Services, LLC, First Out Tranche Loan, | ||||
9.00%, 12/16/17 | 800 | 800,000 | ||
1,232,176 | ||||
Consumer Finance — 1.6% | ||||
Springleaf Finance Corp., Term Loan, 5.50%, 5/10/17 | 2,270 | 2,069,355 | ||
Containers & Packaging — 0.6% | ||||
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18 | 763 | 770,749 | ||
Diversified Consumer Services — 3.1% | ||||
Coinmach Service Corp., Term Loan B, | ||||
3.41%, 11/20/14 | 1,336 | 1,230,110 | ||
Laureate Education, Inc., Extended Term Loan, | ||||
5.25%, 8/15/18 | 1,903 | 1,816,711 | ||
ServiceMaster Co.: | ||||
Delayed Draw Term Loan, 2.75%, 7/24/14 | 103 | 101,514 | ||
Term Loan, 2.77% – 3.03%, 7/24/14 | 1,032 | 1,019,372 | ||
4,167,707 | ||||
Diversified Financial Services — 1.5% | ||||
Reynolds Group Holdings, Inc.: | ||||
Tranche B Term Loan, 6.50%, 2/09/18 | 565 | 569,629 | ||
Tranche C Term Loan, 5.25% – 6.50%, 8/09/18 | 1,382 | 1,395,908 | ||
1,965,537 | ||||
Diversified Telecommunication Services — 4.6% | ||||
Hawaiian Telcom Communications, Inc., | ||||
Term Loan B, 9.00%, 2/25/17 | 1,105 | 1,102,238 | ||
Integra Telecom Holdings, Inc., Term Loan B, | ||||
9.25%, 4/15/15 | 813 | 715,110 | ||
Level 3 Financing, Inc.: | ||||
Term Loan B2, 5.75%, 9/03/18 | 1,700 | 1,711,696 | ||
Term Loan B3, 5.75%, 8/31/18 | 750 | 755,160 | ||
Tranche A Term Loan, 2.51% – 2.83%, 3/13/14 | 1,175 | 1,155,612 | ||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 745 | 705,845 | ||
6,145,661 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Electronic Equipment, Instruments & Components — 1.2% | ||||
CDW LLC (FKA CDW Corp.), Extended Term Loan, | ||||
4.00%, 7/14/17 | USD | 851 | $ | 831,620 |
Flextronics International Ltd., Delayed Draw: | ||||
Term Loan A-2, 2.52%, 10/01/14 | 24 | 23,590 | ||
Term Loan A-3, 2.49%, 10/01/14 | 20 | 20,220 | ||
Sensata Technologies Finance Co., LLC, Term Loan, | ||||
4.00%, 5/11/18 | 740 | 738,453 | ||
1,613,883 | ||||
Energy Equipment & Services — 2.9% | ||||
CCS Corp.: | ||||
Incremental Term Loan, 6.50%, 10/17/14 | 370 | 370,370 | ||
Term Loan B, 3.24%, 11/14/14 | 796 | 770,516 | ||
Dynegy Midwest Generation LLC., Coal Co. Term Loan, | ||||
9.25%, 8/04/16 | 484 | 481,730 | ||
Dynegy Power LLC., Gas Co. Term Loan, 9.25%, 8/04/16 | 613 | 632,101 | ||
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18 | 1,596 | 1,592,728 | ||
3,847,445 | ||||
Food & Staples Retailing — 1.8% | ||||
AB Acquisitions UK Topco 2 Ltd., Facility B1, | ||||
3.60%, 7/09/15 | GBP | 750 | 1,089,834 | |
B&G Foods, Inc., Term Loan B, 4.50%, 11/30/18 | USD | 185 | 185,416 | |
Bolthouse Farms, Inc., Term Loan (First Lien), | ||||
5.50%, 2/11/16 | 245 | 245,122 | ||
U.S. Foodservice, Inc., Term Loan B, | ||||
2.74% – 2.75%, 7/03/14 | 834 | 805,262 | ||
2,325,634 | ||||
Food Products — 3.1% | ||||
Advance Pierre Foods: | ||||
Term Loan (First Lien), 5.50%, 9/30/16 | 919 | 918,536 | ||
Term Loan (Second Lien), 11,25%, 9/29/17 | 550 | 550,456 | ||
Del Monte Corp., Term Loan, 4.50%, 3/08/18 | 1,235 | 1,210,716 | ||
Michaels Foods Group, Inc., Term Loan B, | ||||
4.25%, 2/23/18 | 107 | 106,843 | ||
Pinnacle Foods Finance LLC: | ||||
Tranche B Term Loan, 2.76% – 3.08%, 4/02/14 | 45 | 44,515 | ||
Tranche D Term Loan, 6.00% – 6.50%, 4/02/14 | 494 | 496,950 | ||
Solvest, Ltd. (Dole): | ||||
Tranche B-2 Term Loan, 5.00%, 7/06/18 | 266 | 267,241 | ||
Tranche C-2 Term Loan, 5.00% – 6.00%, 7/06/18 | 495 | 496,306 | ||
4,091,563 | ||||
Health Care Equipment & Supplies — 1.7% | ||||
Biomet, Inc., Term Loan B, 3.24% – 3.57%, 3/25/15 | 194 | 191,826 | ||
DJO Finance LLC, Term Loan B, 3.24%, 5/20/14 | 488 | 481,261 | ||
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19 | 380 | 379,764 | ||
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18 | 369 | 367,063 | ||
Immucor, Inc., Term Loan B, 7.25%, 8/17/18 | 873 | 878,704 | ||
2,298,618 | ||||
Health Care Providers & Services — 4.3% | ||||
CHS/Community Health Systems, Inc.: | ||||
Delayed Draw Term Loan, 3.25%, 7/25/14 | 28 | 27,718 | ||
Non-Extended Term Loan, 2.49% – 4.50%, 7/25/14 | 545 | 537,660 | ||
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16 | 594 | 592,331 | ||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 | 792 | 793,814 | ||
Emergency Medical Services, Term Loan, | ||||
5.25%, 5/25/18 | 813 | 810,117 | ||
Harden Healthcare LLC: | ||||
Term Loan A, 8.50%, 3/02/15 | 328 | 321,325 | ||
Tranche A Additional Term Loan, 7.75%, 3/02/15 | 523 | 512,432 | ||
HCA, Inc.: | ||||
Tranche B-1 Term Loan, 3.49%, 5/01/18 | 104 | 101,827 | ||
Tranche B-2 Term Loan, 3.83%, 3/31/17 | 57 | 55,951 | ||
Health Management Associates, Inc., Term Loan B, | ||||
4.50%, 11/16/18 | 275 | 273,212 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 21 |
Consolidated Schedule of Investments (continued) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Health Care Providers & Services (concluded) | ||||
inVentiv Health, Inc.: | ||||
Combined Term Loan B, 6.50%, 8/04/16 | USD | 579 | $ | 556,606 |
Incremental Term Loan B-3, 6.75%, 5/15/18 | 496 | 476,400 | ||
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17 | 597 | 573,120 | ||
Vanguard Health Holding Co. II, LLC (Vanguard Health | ||||
Systems, Inc.), Term Loan B, 5.00%, 1/29/16 | 65 | 64,675 | ||
5,697,188 | ||||
Health Care Technology — 1.3% | ||||
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17 | 583 | 583,711 | ||
Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18 | 765 | 777,431 | ||
MedAssets, Inc., Term Loan, 5.25%, 11/16/16 | 395 | 394,666 | ||
1,755,808 | ||||
Hotels, Restaurants & Leisure — 5.6% | ||||
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18 | 595 | 596,341 | ||
Boyd Gaming Corp., Incremental Term Loan, | ||||
6.00%, 12/17/15 | 425 | 425,995 | ||
Caesars Entertainment Operating Co., Inc.: | ||||
Incremental Term Loan B4, 9.50%, 10/31/16 | 637 | 655,050 | ||
Term Loan B-3, 3.24%, 1/28/15 | 103 | 96,899 | ||
Term Loan B-3, 3.24% – 3.47%, 1/28/15 | 2,556 | 2,395,108 | ||
Dunkin’ Brands, Inc., Term Loan B, | ||||
4.00% – 5.25%, 11/23/17 | 917 | 914,582 | ||
Golden Living, Term Loan, 5.00%, 5/04/18 | 153 | 143,500 | ||
OSI Restaurant Partners LLC: | ||||
Revolver, 2.56% – 2.79%, 6/14/13 | 4 | 4,378 | ||
Term Loan B, 2.56%, 6/14/14 | 46 | 44,412 | ||
SeaWorld Parks & Entertainment, Inc., Term Loan B, | ||||
4.00%, 8/17/17 | 657 | 656,133 | ||
Six Flags Theme Parks, Inc., Tranche B Term Loan | ||||
(First Lien), 4.25%, 12/20/18 | 735 | 731,788 | ||
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 | 500 | 450,835 | ||
Twin River Worldwide Holdings, Inc., Term Loan, | ||||
8.50%, 11/05/15 | 363 | 363,484 | ||
7,478,505 | ||||
Household Products — 0.5% | ||||
Prestige Brands, Inc., Term Loan, 5.25%, 1/31/19 | 725 | 727,719 | ||
Independent Power Producers & Energy Traders — 1.0% | ||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 993 | 991,508 | ||
Texas Competitive Electric Holdings Co. LLC, Extended | ||||
Term Loan, 4.76%, 10/10/17 | 594 | 331,427 | ||
1,322,935 | ||||
Industrial Conglomerates — 1.4% | ||||
Sequa Corp.: | ||||
Incremental Term Loan, 6.25%, 12/03/14 | 320 | 321,066 | ||
Term Loan, 3.76% – 3.84%, 12/03/14 | 1,597 | 1,579,316 | ||
1,900,382 | ||||
Insurance — 0.6% | ||||
CNO Financial Group, Inc., Term Loan B, | ||||
6.25%, 9/30/16 | 817 | 820,345 | ||
Internet Software & Services — 0.4% | ||||
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17 | 575 | 561,507 | ||
IT Services — 5.1% | ||||
Ceridian Corp., Term Loan, 3.24%, 11/10/14 | 694 | 656,062 | ||
First Data Corp.: | ||||
Extended Term Loan B, 4.24%, 3/23/18 | 3,284 | 2,947,233 | ||
Term Loan B-1, 2.99%, 9/24/14 | 407 | 389,471 | ||
Term Loan B-3, 2.99%, 9/24/14 | 80 | 76,022 | ||
infoGROUP, Inc., Term Loan B, 5.75%, 5/25/18 | 345 | 322,382 | ||
iPayment, Inc., Term Loan B, 5.75%, 5/08/17 | 330 | 329,013 | ||
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18 | 434 | 434,997 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
IT Services (concluded) | ||||
SunGard Data Systems, Inc. (Solar Capital Corp.), | ||||
Tranche B Term Loan, 3.99% – 5.88%, 2/26/16 | USD | 150 | $ | 149,593 |
TransUnion LLC, Term Loan B, 4.75%, 2/12/18 | 1,457 | 1,458,472 | ||
6,763,245 | ||||
Leisure Equipment & Products — 0.6% | ||||
Eastman Kodak Co., DIP Term Loan B, 8.50, 7/20/13 | 290 | 293,535 | ||
EB Sports Corp., Term Loan, 11.50%, 12/31/15 | 531 | 520,750 | ||
814,285 | ||||
Machinery — 1.6% | ||||
Terex Corp.: | ||||
Term Loan, 6.00%, 4/28/17 | EUR | 65 | 85,735 | |
Term Loan B, 5.50%, 4/28/17 | USD | 639 | 643,272 | |
Tomkins LLC, Term Loan B, 4.25%, 9/29/16 | 1,349 | 1,347,453 | ||
2,076,460 | ||||
Media — 18.4% | ||||
Acosta, Inc., Term Loan, 4.75%, 3/01/18 | 327 | 324,943 | ||
Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16 | 761 | 711,790 | ||
AMC Entertainment, Inc., Term Loan B3, | ||||
4.25%, 2/22/18 | 350 | 345,341 | ||
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18 | 796 | 791,025 | ||
Atlantic Broadband Finance LLC, Term Loan B, | ||||
4.00%, 3/08/16 | 438 | 435,779 | ||
Bresnan Telecommunications Co., LLC, Term Loan B, | ||||
4.50% – 5.25%, 12/14/17 | 1,361 | 1,356,717 | ||
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18 | 633 | 636,866 | ||
Catalina Marketing Corp., Term Loan B, | ||||
2.99%, 10/01/14 | 668 | 649,193 | ||
Cengage Learning Acquisitions, Inc.: | ||||
Term Loan, 2.49%, 7/03/14 | 160 | 148,300 | ||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 477 | 461,868 | ||
Cequel Communications LLC, Term Loan B, | ||||
4.00%, 2/11/19 | 1,155 | 1,143,184 | ||
Charter Communications Operating LLC: | ||||
Term Loan B, 7.25%, 3/06/14 | 14 | 14,353 | ||
Term Loan C, 3.83%, 9/06/16 | 1,021 | 1,012,963 | ||
Clarke American Corp., Term Facility B, | ||||
2.74% – 3.08%, 6/30/14 | 197 | 179,625 | ||
Clear Channel Communication: | ||||
Term Loan B, 3.89%, 1/28/16 | 1,565 | 1,284,349 | ||
Term Loan C, 3.89%, 1/28/16 | 170 | 134,725 | ||
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18 | 550 | 550,456 | ||
Gray Television, Inc., Term Loan B, 3.77%, 12/31/14 | 680 | 671,972 | ||
HMH Publishing Co., Ltd., Term Loan, 6.51%, 6/12/14 | 718 | 443,796 | ||
Hubbard Broadcasting, Term Loan B (Second Lien), | ||||
5.25%, 4/28/17 | 498 | 497,913 | ||
Intelsat Jackson Holdings SA, Tranche B Term Loan, | ||||
5.25%, 4/02/18 | 2,978 | 2,972,438 | ||
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 | 1,414 | 1,411,130 | ||
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19 | 675 | 671,625 | ||
Knology, Inc., Term Loan B, 4.00%, 8/18/17 | 320 | 317,338 | ||
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG), | ||||
Facility B1, 3.81%, 3/06/15 | EUR | 304 | 351,749 | |
LIN Television Corp., Term Loan B, 5.00%, 12/21/18 | USD | 345 | 346,725 | |
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | 2,000 | 2,057,500 | ||
Nielsen Finance LLC, Class B Dollar Term Loan, | ||||
4.00%, 5/02/16 | 675 | 676,875 | ||
Sinclair Television Group, Inc.: | ||||
Incremental Term Loan B3, 1.00%, 10/28/16 | 140 | 139,343 | ||
New Tranche B Term Loan, 4.00%, 10/28/16 | 579 | 576,149 | ||
Univision Communications, Inc., Extended First Lien | ||||
Term Loan, 4.49%, 3/31/17 | 1,034 | 960,620 | ||
UPC Broadband Holding B.V., Term Loan U, | ||||
4.72%, 12/29/17 | EUR | 209 | 273,794 |
See Notes to Financial Statements.
22 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Media (concluded) | ||||
UPC Financing Partnership: | ||||
Term Loan, 4.75%, 12/29/17 | USD | 415 | $ | 414,274 |
Term Loan T, 3.77%, 12/30/16 | 88 | 86,860 | ||
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18 | 218 | 217,837 | ||
Weather Channel, Term Loan B, 4.25%, 2/13/17 | 1,027 | 1,027,556 | ||
24,296,971 | ||||
Metals & Mining — 2.6% | ||||
Novelis, Inc., Incremental Term Loan B2, | ||||
4.00%, 3/10/17 | 1,420 | 1,413,225 | ||
SunCoke Energy, Inc., Term Loan B, | ||||
4.00% – 5.25%, 7/26/18 | 448 | 446,631 | ||
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18 | 1,566 | 1,558,824 | ||
3,418,680 | ||||
Multi-Utilities — 0.1% | ||||
FirstLight Power Resources, Inc., Term B Advance | ||||
(First Lien), 2.75%, 11/01/13 | 174 | 163,466 | ||
Multiline Retail — 2.0% | ||||
99 Cents Only Stores, Term Loan B, | ||||
6.00% – 7.00%%, 1/11/19 | 550 | 553,536 | ||
Dollar General Corp., Tranche B-2 Term Loan, | ||||
3.00% – 3.33%, 7/07/14 | 270 | 270,423 | ||
Hema Holding BV, Second Lien Term Loan, | ||||
5.69%, 1/05/17 | EUR | 1,400 | 1,622,741 | |
The Neiman Marcus Group, Inc., New Term Loan, | ||||
4.75%, 5/16/18 | USD | 185 | 183,520 | |
2,630,220 | ||||
Oil, Gas & Consumable Fuels — 1.9% | ||||
EquiPower Resources Holdings LLC, Term Loan B, | ||||
5.75%, 1/26/18 | 771 | 724,669 | ||
Gibson Energy, Term Loan B, 5.75%, 6/15/18 | 846 | 846,629 | ||
Obsidian Natural Gas Trust, Term Loan, | ||||
7.00%, 11/02/15 | 914 | 919,049 | ||
2,490,347 | ||||
Paper & Forest Products — 0.2% | ||||
NewPage Corp., Term Loan, 8.00%, 3/07/13 | 200 | 201,500 | ||
Pharmaceuticals — 3.9% | ||||
Aptalis Pharma, Inc., Term Loan B, | ||||
0.75% – 5.50%, 2/10/17 | 1,040 | 1,030,664 | ||
Endo Pharmaceuticals Holdings, Inc., Term Loan B, | ||||
4.00%, 6/18/18 | 172 | 171,820 | ||
Pharmaceutical Product Development, Inc., Term Loan B, | ||||
6.25%, 12/05/18 | 875 | 882,656 | ||
Quintiles Transnational Corp., Term Loan, | ||||
5.00%, 6/08/18 | 687 | 682,012 | ||
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18 | 498 | 496,624 | ||
Taminco Global Chemical Corp., New Term Loan, | ||||
6.25%, 2/15/19 | 305 | 306,254 | ||
Valeant Pharmaceuticals International, Add on | ||||
Term Loan B, 3.75%, 2/08/19 | 1,115 | 1,111,521 | ||
Warner Chilcott Corp.: | ||||
Term Loan B-1, 4.25%, 3/15/18 | 318 | 316,854 | ||
Term Loan B-2, 4.25%, 3/15/18 | 159 | 158,427 | ||
5,156,832 | ||||
Professional Services — 1.3% | ||||
Booz Allen Hamilton, Inc., Tranche B Term Loan, | ||||
4.00%, 8/03/17 | 132 | 132,136 | ||
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18 | 925 | 935,573 | ||
Fifth Third Processing Solutions LLC, Term Loan B | ||||
(First Lien), 4.50%, 11/03/16 | 623 | 623,455 | ||
1,691,164 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Real Estate Investment Trusts (REITs) — 0.7% | ||||
Istar Financial, Inc., Term Loan A1, 5.00%, 6/28/13 | USD | 877 | $ | 873,021 |
Real Estate Management & Development — 0.8% | ||||
Realogy Corp.: | ||||
Extended Letter of Credit Term Loan, | ||||
4.53%, 10/10/16 (h) | 24 | 21,809 | ||
Extended Synthetic Letter of Credit, | ||||
3.25%, 10/10/13 | 27 | 25,194 | ||
Extended Term Loan, 4.77%, 10/10/16 | 1,133 | 1,051,026 | ||
1,098,029 | ||||
Road & Rail — 0.8% | ||||
Avis Budget Car Rental LLC, Incremental Term Loan, | ||||
6.25%, 9/21/18 | 514 | 518,721 | ||
RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19 | 500 | 498,750 | ||
1,017,471 | ||||
Semiconductors & Semiconductor Equipment — 0.7% | ||||
Freescale Semiconductor, Inc., Extended Term Loan B, | ||||
4.52%, 12/01/16 | 365 | 355,652 | ||
NXP B.V., Term Loan A-2, 5.50%, 3/03/17 | 554 | 549,733 | ||
905,385 | ||||
Software — 1.5% | ||||
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18 | 245 | 241,734 | ||
Infor Enterprise Solutions Holdings, Inc.: | ||||
Extended Delayed Draw Term Loan, 0.00%, 7/28/15 | 19 | 18,648 | ||
Extended Initial Term Loan, 0.00%, 7/28/15 | 36 | 35,114 | ||
Extended Initial Term Loan, 1.00%, 7/28/15 | EUR | 205 | 257,417 | |
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18 | USD | 496 | 495,630 | |
Sophia, LP, Term Loan B, 6.25%, 7/19/18 | 555 | 560,783 | ||
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16 | 332 | 328,832 | ||
1,938,158 | ||||
Specialty Retail — 4.6% | ||||
Academy Ltd., Term Loan, 6.00%, 8/03/18 | 900 | 899,901 | ||
Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17 | 65 | 64,721 | ||
Burlington Coat Factory Warehouse Corp., Term Loan B, | ||||
6.25%, 2/23/17 | 407 | 406,937 | ||
Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%, 5/29/14 | 212 | 200,827 | ||
General Nutrition Centers, Inc., Term Loan B, 4.25%, 3/02/18 | 895 | 892,351 | ||
The Gymboree Corp., Term Loan B, 5.00%, 2/23/18 | 310 | 291,477 | ||
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18 | 283 | 278,770 | ||
Michaels Stores, Inc.: | ||||
Extended Term Loan B3, 5.13%, 7/29/16 | 223 | 221,228 | ||
Term Loan B-2, 5.13%, 7/29/16 | 791 | 786,045 | ||
Petco Animal Supplies, Inc., Term Loan B, | ||||
4.50%, 11/24/17 | 992 | 987,447 | ||
Toys ‘R’ Us Delaware, Inc.: | ||||
Term Loan B1, 6.00%, 9/01/16 | 813 | 813,815 | ||
Term Loan B2, 5.25%, 5/25/18 | 199 | 196,144 | ||
6,039,663 | ||||
Wireless Telecommunication Services — 2.3% | ||||
Crown Castle International Corp., Term Loan B, | ||||
4.00%, 1/31/19 | 985 | 980,518 | ||
MetroPCS Wireless, Inc.: | ||||
Term Loan B-3, 4.00% – 4.06%, 3/16/18 | 148 | 146,784 | ||
Tranche B-2 Term Loan, 4.07% – 4.13%, 11/03/16 | 501 | 496,666 | ||
Vodafone Americas Finance 2, Inc. (i): | ||||
Term Loan, 6.88%, 8/11/15 | 1,211 | 1,211,003 | ||
Term Loan B, 6.25%, 7/11/16 | 206 | 205,734 | ||
3,040,705 | ||||
Total Floating Rate Loan Interests — 107.0% | 141,709,603 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 23 |
Consolidated Schedule of Investments (continued) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
(Percentages shown are based on Net Assets) |
Beneficial | |||||
Interest | |||||
Other Interests (j) | (000) | Value | |||
Auto Components — 0.0% | |||||
Intermet Liquidating Trust, Class A (c) | USD | 256 | — | ||
Chemicals — 0.0% | |||||
Wellman Holdings, Inc., Litigation Trust Certificate | 3,000 | $ | 30 | ||
Diversified Financial Services — 0.5% | |||||
JG Wentworth LLC Preferred Equity Interests (c) | — | (k) | 620,752 | ||
Hotels, Restaurants & Leisure — 0.0% | |||||
Buffets, Inc. (c) | 360 | 4 | |||
Household Durables — 0.9% | |||||
Stanley Martin, Class B Membership Units | 1 | 1,206,250 | |||
Total Other Interests — 1.4% | 1,827,036 | ||||
Preferred Securities | |||||
Preferred Stocks — 0.0% | Shares | ||||
Diversified Financial Services — 0.0% | |||||
Ally Financial, Inc., 7.00% (a) | 50 | 43,384 | |||
Trust Preferred — 0.1% | |||||
Diversified Financial Services — 0.1% | |||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)(f) | 79 | 73,913 | |||
Total Preferred Securities — 0.1% | 117,297 | ||||
Warrants (l) | |||||
Hotels, Restaurants & Leisure — 0.0% | |||||
Buffets Restaurants Holdings, Inc. (Expires 4/29/14) | 304 | — | |||
Software — 0.0% | |||||
Bankruptcy Management Solutions, Inc. (Expires 9/29/17) | 357 | — | |||
HMH Holdings/EduMedia (Expires 3/09/17) | 4,970 | — | |||
— | |||||
Total Warrants — 0.0% | — | ||||
Total Long-Term Investments | |||||
(Cost — $179,001,250) — 129.6% | 171,554,843 | ||||
Short-Term Securities | |||||
BlackRock Liquidity Funds, TempFund, | |||||
Institutional Class, 0.11% (m)(n) | 1,820,693 | 1,820,693 | |||
Total Short-Term Securities | |||||
(Cost — $1,820,693) — 1.4% | 1,820,693 | ||||
Options Purchased | Contracts | ||||
Over-the-Counter Call Options — 0.0% | |||||
Marsico Parent Superholdco LLC, | |||||
Strike Price USD 942.86, Expires 12/14/19, | |||||
Broker Goldman Sachs Bank USA | 13 | — | |||
Total Options Purchased | |||||
(Cost — $12,711) — 0.0% | — | ||||
Total Investments (Cost — $180,834,654) — 131.0% | $ | 173,375,536 | |||
Liabilities in Excess of Other Assets — (31.0)% | (40,975,549) | ||||
Net Assets — 100.0% | $ | 132,399,987 |
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Rate shown is as of report date. |
(c) | Non-income producing security. |
(d) | Restricted security as to resale. As of report date the Portfolio held 0.8% of its net assets, with a current value of $ 1,021,064 and an original cost of $ 189,176 in this security. |
(e) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
(f) | Convertible security. |
(g) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(h) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation (Depreciation) | ||
JPMorgan Securities Inc. | $21,809 | $ | (630 | ) |
Morgan Stanley Co. | $87,338 | $ | 2,338 |
(i) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
(j) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(k) | Amount is less than $500. |
(l) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(m) | Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2011 | Net Activity | Shares Held at February 29, 2012 | Income | |
BlackRock Liquidity | |||||
Funds, TempFund, | |||||
Institutional Class | — | 1,820,693 | 1,820,693 | $ 221 |
(n) | Represents the current yield as of report date. |
• | Foreign currency exchange contracts as of February 29, 2012 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | |||||
USD | 983,369 | GBP | 641,500 | UBS AG | 4/11/12 | $ | (36,904 | ) | |
EUR | 189,000 | USD | 250,572 | Deutsche Bank AG | 4/18/12 | 1,282 | |||
EUR | 198,000 | USD | 258,076 | Royal Bank | |||||
of Scotland Plc | 4/18/12 | 5,771 | |||||||
USD | 3,766,154 | EUR | 2,932,000 | Citibank NA | 4/18/12 | (140,914 | ) | ||
USD | 397,919 | EUR | 300,000 | Citibank NA | 4/18/12 | (1,850 | ) | ||
Total | $ | (172,615 | ) |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
See Notes to Financial Statements.
24 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (concluded) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
• | Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of Fund’s investments and derivative financial instruments:
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term | ||||||||||||||||
Investments: | ||||||||||||||||
Asset-Backed | ||||||||||||||||
Securities | — | $ | 1,258,740 | $ | 2,717,525 | $ | 3,976,265 | |||||||||
Common Stocks | $ | 434,787 | 1,021,064 | 1,467,869 | 2,923,720 | |||||||||||
Corporate Bonds | — | 20,831,962 | 168,960 | 21,000,922 | ||||||||||||
Floating Rate | ||||||||||||||||
Loan Interests | — | 133,256,863 | 8,452,740 | 141,709,603 | ||||||||||||
Other Interests | — | — | 1,827,036 | 1,827,036 | ||||||||||||
Preferred | ||||||||||||||||
Securities | 73,913 | 43,384 | — | 117,297 | ||||||||||||
Short-Term | ||||||||||||||||
Securities | 1,820,693 | — | — | 1,820,693 | ||||||||||||
Total | $ | 2,329,393 | $ | 156,412,013 | $ | 14,634,130 | $ | 173,375,536 | ||||||||
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Derivative Financial Instruments1 | ||||||||||||||||
Assets: | ||||||||||||||||
Foreign currency | ||||||||||||||||
exchange | ||||||||||||||||
contracts | — | $ | 7,053 | — | $ | 7,053 | ||||||||||
Liabilities: | ||||||||||||||||
Foreign currency | ||||||||||||||||
exchange | ||||||||||||||||
contracts | — | (179,668 | ) | — | (179,668 | ) | ||||||||||
Total | — | $ | (172,615 | ) | — | $ | (172,615 | ) |
1 | Derivative financial instruments are foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument. |
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/Liabilities: | |||||||||||||||||||||||||||
Balance, as of August 31, 2011 | $ | 2,753,115 | $ | 1,701,248 | $ | 1,621,040 | $ | 12,355,482 | $ | 2,550,707 | $ | 7 | $ | 20,981,599 | |||||||||||||
Accrued discounts/premiums | 21,568 | — | 1,158 | 13,125 | — | — | 35,851 | ||||||||||||||||||||
Net realized gain (loss) | — | 5,599 | (2,483,821 | ) | 350,703 | 553,994 | — | (1,573,525 | ) | ||||||||||||||||||
Net change in unrealized appreciation/depreciation2 | (57,158 | ) | (381,072 | ) | 2,532,042 | (90,580 | ) | (205,745 | ) | (7 | ) | 1,797,480 | |||||||||||||||
Purchases | — | 18,367 | — | 176,280 | 9,832 | — | 204,479 | ||||||||||||||||||||
Sales | — | (7,175 | ) | (1,501,459 | ) | (586,949 | ) | (1,081,752 | ) | — | (3,177,335 | ) | |||||||||||||||
Transfers in3 | — | 130,902 | — | 2,161,572 | — | — | 2,292,474 | ||||||||||||||||||||
Transfers out3 | — | — | — | (5,926,893 | ) | — | — | (5,926,893 | ) | ||||||||||||||||||
Balance, as of February 29, 2012 | $ | 2,717,525 | $ | 1,467,869 | $ | 168,960 | $ | 8,452,740 | $ | 1,827,036 | — | $ | 14,634,130 |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held on February 29, 2012 was $(185,417). |
3 | The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 25 |
Consolidated Schedule of Investments | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
February 29, 2012 (Unaudited) | (Percentages shown are based on Net Assets) |
Par | ||||
Asset-Backed Securities | (000) | Value | ||
ARES CLO Funds, Series 2005-10A, Class B, 0.95%, | ||||
9/18/17 (a)(b) | USD | 750 | $ | 694,035 |
Ballyrock CDO Ltd., Series 2006-1A, Class B, 0.84%, | ||||
8/28/19 (a)(b) | 1,000 | 837,500 | ||
Canaras Summit CLO Ltd., Series 2007-1A, Class B, | ||||
1.04%, 6/19/21 (a)(b) | 750 | 637,718 | ||
Chatham Light CLO Ltd., Series 2005-2A, Class A2, | ||||
0.94%, 8/03/19 (a)(b) | 1,000 | 857,500 | ||
Flagship CLO, Series 2006-1A, Class B, 0.91%, | ||||
9/20/19 (a)(b) | 1,304 | 1,007,340 | ||
Franklin CLO Ltd., Series 6A, Class B, 0.97%, | ||||
8/09/19 (a)(b) | 1,910 | 1,623,118 | ||
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B, | ||||
0.96%, 12/20/20 (a)(b) | 500 | 425,000 | ||
Gannett Peak CLO Ltd., Series 2006-1X, Class A2, | ||||
0.92%, 10/27/20 (b) | 575 | 464,313 | ||
Goldman Sachs Asset Management CLO Plc, | ||||
Series 2007-1A, Class B, 1.00%, 8/01/22 (a)(b) | 1,255 | 1,004,000 | ||
Landmark CDO Ltd., Series 2006-8A, Class B, 0.92%, | ||||
10/19/20 (a)(b) | 1,075 | 899,968 | ||
MAPS CLO Fund LLC, Series 2005-1A, Class C, | ||||
1.52%, 12/21/17 (a)(b) | 575 | 518,075 | ||
Portola CLO Ltd., Series 2007-1X, Class B1, 1.95%, | ||||
11/15/21 (b) | 765 | 655,987 | ||
T2 Income Fund CLO Ltd., Series 2007-1A, Class B, | ||||
1.17%, 7/15/19 (a)(b) | 655 | 568,049 | ||
Total Asset-Backed Securities — 3.8% | 10,192,603 | |||
Common Stocks (c) | Shares | |||
Auto Components — 0.8% | ||||
Delphi Automotive Plc (180-Day lock) (acquired | ||||
11/17/11, cost $396,662) (d) | 69,876 | 2,180,134 | ||
Chemicals — 0.0% | ||||
GEO Specialty Chemicals, Inc. (a) | 13,117 | 6,034 | ||
Electrical Equipment — 0.0% | ||||
Medis Technologies Ltd. | 71,654 | 358 | ||
Paper & Forest Products — 0.2% | ||||
Ainsworth Lumber Co. Ltd. (a) | 152,951 | 241,148 | ||
Ainsworth Lumber Co. Ltd. | 133,089 | 209,833 | ||
Western Forest Products, Inc. | 84,448 | 81,934 | ||
532,915 | ||||
Software — 0.0% | ||||
HMH Holdings/EduMedia | 92,606 | 23,152 | ||
Total Common Stocks — 1.0% | 2,742,593 | |||
Par | ||||
Corporate Bonds | (000) | |||
Airlines — 0.1% | ||||
American Airlines Pass-Through Trust, Series 2011-2, | ||||
Class A, 8.63%, 4/15/23 | USD | 276 | 292,560 | |
Delta Air Lines, Inc., Series 2009-1-B, 9.75%, | ||||
6/17/18 | 111 | 117,326 | ||
409,886 | ||||
Auto Components — 0.9% | ||||
Icahn Enterprises LP: | ||||
7.75%, 1/15/16 | 1,535 | 1,607,912 | ||
8.00%, 1/15/18 (a) | 680 | 720,800 | ||
2,328,712 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Chemicals — 1.3% | ||||
CF Industries, Inc., 6.88%, 5/01/18 | USD | 905 | $ | 1,065,637 |
GEO Specialty Chemicals, Inc.: | ||||
7.50%, 3/31/15 | 857 | 1,019,815 | ||
10.00%, 3/31/15 | 844 | 844,160 | ||
Ineos Finance Plc, 8.38%, 2/15/19 (a) | 230 | 244,375 | ||
Lyondell Chemical Co., 11.00%, 5/01/18 | 292 | 320,075 | ||
LyondellBasell Industries NV, 6.00%, 11/15/21 (a) | 95 | 104,263 | ||
3,598,325 | ||||
Commercial Banks — 0.2% | ||||
CIT Group, Inc.: | ||||
7.00%, 5/01/16 | 213 | 213,022 | ||
7.00%, 5/02/17 (a) | 250 | 250,313 | ||
463,335 | ||||
Commercial Services & Supplies — 0.3% | ||||
ARAMARK Corp., 4.05%, 2/01/15 (b) | 135 | 134,494 | ||
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a) | 700 | 731,182 | ||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 26 | 24,700 | ||
890,376 | ||||
Consumer Finance — 0.3% | ||||
Inmarsat Finance Plc, 7.38%, 12/01/17 (a) | 775 | 829,250 | ||
Containers & Packaging — 0.4% | ||||
Graphic Packaging International, Inc., 9.50%, 6/15/17 | 220 | 244,750 | ||
OI European Group BV, 6.88%, 3/31/17 | EUR | 143 | 198,140 | |
Smurfit Kappa Acquisitions (a): | ||||
7.25%, 11/15/17 | 104 | 148,258 | ||
7.75%, 11/15/19 | 338 | 485,217 | ||
1,076,365 | ||||
Diversified Financial Services — 1.6% | ||||
Ally Financial, Inc., 2.73%, 12/01/14 (b) | USD | 2,600 | 2,433,423 | |
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16 | 133 | 141,811 | ||
Reynolds Group Issuer, Inc.: | ||||
8.75%, 10/15/16 (a) | 597 | 635,805 | ||
8.75%, 10/15/16 (a) | EUR | 400 | 566,228 | |
8.75%, 10/15/16 | 72 | 101,921 | ||
6.88%, 2/15/21 (a) | USD | 395 | 418,700 | |
4,297,888 | ||||
Diversified Telecommunication Services — 0.4% | ||||
ITC Deltacom, Inc., 10.50%, 4/01/16 | 430 | 448,275 | ||
Qwest Communications International, Inc., 8.00%, | ||||
10/01/15 | 600 | 644,063 | ||
1,092,338 | ||||
Health Care Equipment & Supplies — 0.5% | ||||
DJO Finance LLC: | ||||
10.88%, 11/15/14 | 1,175 | 1,195,562 | ||
7.75%, 4/15/18 | 210 | 180,600 | ||
1,376,162 | ||||
Health Care Providers & Services — 0.5% | ||||
HCA, Inc., 6.50%, 2/15/20 | 865 | 927,712 | ||
Tenet Healthcare Corp., 8.88%, 7/01/19 | 380 | 433,200 | ||
1,360,912 | ||||
Health Care Technology — 0.8% | ||||
IMS Health, Inc., 12.50%, 3/01/18 (a) | 1,860 | 2,213,400 | ||
Hotels, Restaurants & Leisure — 0.6% | ||||
Little Traverse Bay Bands of Odawa Indians, 9.00%, | ||||
8/31/20 (a) | 373 | 328,240 | ||
MGM Resorts International: | ||||
10.38%, 5/15/14 | 865 | 983,937 | ||
11.13%, 11/15/17 | 400 | 455,000 | ||
1,767,177 |
See Notes to Financial Statements.
26 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
Par | ||||
Corporate Bonds | (000) | Value | ||
Household Durables — 0.5% | ||||
Beazer Homes USA, Inc., 12.00%, 10/15/17 | USD | 1,200 | $ | 1,308,000 |
Independent Power Producers & Energy Traders — 1.9% | ||||
Calpine Corp., 7.25%, 10/15/17 (a) | 1,180 | 1,250,800 | ||
Energy Future Holdings Corp., 10.00%, 1/15/20 | 935 | 1,010,969 | ||
Energy Future Intermediate Holding Co. LLC, 10.00%, | ||||
12/01/20 | 2,760 | 2,998,050 | ||
5,259,819 | ||||
Industrial Conglomerates — 0.6% | ||||
Sequa Corp., 13.50%, 12/01/15 (a) | 1,557 | 1,662,456 | ||
Machinery — 0.1% | ||||
UR Financing Escrow Corp., 5.75%, 7/15/18 (a)(e) | 175 | 179,813 | ||
Media — 2.8% | ||||
AMC Networks, Inc., 7.75%, 7/15/21 (a) | 225 | 250,875 | ||
CCH II LLC, 13.50%, 11/30/16 | 1,050 | 1,207,500 | ||
Checkout Holding Corp., 10.68%, 11/15/15 (a)(f) | 665 | 299,250 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25%, 12/15/17 | 401 | 439,095 | ||
Series B, 9.25%, 12/15/17 | 1,834 | 2,017,400 | ||
CSC Holdings LLC, 8.50%, 4/15/14 | 420 | 466,200 | ||
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) | 615 | 676,500 | ||
Unitymedia Hessen GmbH & Co. KG, 8.13%, | ||||
12/01/17 (a) | 2,000 | 2,170,000 | ||
7,526,820 | ||||
Multiline Retail — 0.2% | ||||
Dollar General Corp., 11.88%, 7/15/17 (b) | 445 | 488,392 | ||
Oil, Gas & Consumable Fuels — 0.1% | ||||
Coffeyville Resources LLC, 9.00%, 4/01/15 (a) | 275 | 294,250 | ||
Paper & Forest Products — 0.4% | ||||
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g) | 562 | 409,981 | ||
Longview Fibre Paper & Packaging, Inc., 8.00%, | ||||
6/01/16 (a) | 340 | 349,350 | ||
Verso Paper Holdings LLC, Series B, 4.30%, 8/01/14 (b) | 340 | 235,450 | ||
994,781 | ||||
Pharmaceuticals — 0.1% | ||||
Valeant Pharmaceuticals International, 6.50%, 7/15/16 (a) | 395 | 402,900 | ||
Real Estate Management & Development — 0.1% | ||||
Realogy Corp., 7.63%, 1/15/20 (a) | 365 | 376,862 | ||
Wireless Telecommunication Services — 2.2% | ||||
Cricket Communications, Inc., 7.75%, 5/15/16 | 1,700 | 1,810,500 | ||
Digicel Group Ltd. (a): | ||||
9.13%, 1/15/15 | 278 | 283,560 | ||
8.25%, 9/01/17 | 315 | 333,900 | ||
iPCS, Inc., 2.67%, 5/01/13 (b) | 1,500 | 1,443,750 | ||
Sprint Nextel Corp. (a): | ||||
9.00%, 11/15/18 | 780 | 869,700 | ||
7.00%, 3/01/20 | 1,195 | 1,214,419 | ||
5,955,829 | ||||
Total Corporate Bonds — 16.9% | 46,154,048 | |||
Floating Rate Loan Interests (b) | ||||
Aerospace & Defense — 1.6% | ||||
DynCorp International, Term Loan B, 6.25% – 6.75%, | ||||
7/07/16 | 757 | 754,760 | ||
SI Organization, Inc., New Term Loan B, 4.50%, 11/22/16 | 836 | 801,310 | ||
TransDigm, Inc.: | ||||
Add on Term Loan B2, 4.00%, 2/14/17 | 445 | 445,369 | ||
Term Loan (First Lien), 4.00%, 2/14/17 | 1,782 | 1,780,432 | ||
Wesco Aircraft Hardware Corp., Term Loan B, 4.25%, 4/07/17 | 650 | 649,195 | ||
4,431,066 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Airlines — 0.8% | ||||
Delta Air Lines, Inc., Credit New Term Loan B, 5.50%, | ||||
4/20/17 | USD | 2,221 | $ | 2,167,640 |
Auto Components — 2.5% | ||||
Allison Transmission, Inc., Term Loan B, 2.75%, 8/07/14 | 2,801 | 2,769,342 | ||
Autoparts Holdings Ltd., First Lien Term Loan, 6.50%, | ||||
7/28/17 | 1,446 | 1,449,991 | ||
Federal-Mogul Corp.: | ||||
Term Loan B, 2.19% – 2.20%, 12/29/14 | 597 | 570,622 | ||
Term Loan C, 2.19% – 2.20%, 12/28/15 | 304 | 291,134 | ||
GPX International Tire Corp. (c)(h): | ||||
2.00%, 3/31/12 | 549 | — | ||
7.25%, 3/31/12 | 9 | — | ||
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17 | 990 | 992,891 | ||
UCI International, Inc., Term Loan, 5.50%, 7/26/17 | 743 | 744,356 | ||
6,818,336 | ||||
Biotechnology — 0.7% | ||||
Grifols SA, Term Loan B, 4.50%, 6/1/17 | 1,890 | 1,887,596 | ||
Building Products — 3.0% | ||||
Armstrong World Industries, Inc., Term Loan B, 4.00%, | ||||
3/09/18 | 1,166 | 1,161,453 | ||
CPG International, Inc., Term Loan B, 6.00%, 2/18/17 | 1,782 | 1,683,990 | ||
Goodman Global Holdings, Inc., Initial Term Loan | ||||
(First Lien), 5.75%, 10/28/16 | 4,421 | 4,442,947 | ||
Momentive Performance Materials, Inc. (Blitz 06-103 | ||||
GmbH), Tranche B-2B Term Loan, 4.08%, 5/05/15 | EUR | 645 | 813,276 | |
8,101,666 | ||||
Capital Markets — 1.8% | ||||
American Capital Ltd., Term Loan B, 7.50%, 12/31/13 | USD | 138 | 138,317 | |
HarbourVest Partners, Term Loan (First Lien), 6.25%, | ||||
12/16/16 | 1,677 | 1,677,706 | ||
Nuveen Investments, Inc.: | ||||
(First Lien) Term Loan, 3.30% – 3.58%, 11/13/14 | 897 | 891,243 | ||
Extended Term Loan, 5.74% – 5.83%, 5/12/17 | 1,753 | 1,748,176 | ||
Incremental Term Loan, 7.25%, 5/13/17 | 345 | 347,415 | ||
4,802,857 | ||||
Chemicals — 4.8% | ||||
American Rock Salt Holdings LLC, Term Loan B, 5.50%, | ||||
4/25/17 | 1,216 | 1,129,842 | ||
Ashland, Inc., Term Loan B, 3.75%, 8/23/18 | 932 | 935,741 | ||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 1,400 | 1,404,382 | ||
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15 | 1,068 | 1,060,636 | ||
MDI Holdings LLC, Tranche C Term Loan, | ||||
2.76%, 4/11/14 | EUR | 503 | 652,479 | |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | USD | 1,191 | 1,172,635 | |
Polyone Corp., Term Loan, 5.00%, 12/20/17 | 405 | 405,608 | ||
PQ Corp., Original Term Loan (First Lien), | ||||
3.50%, 7/30/14 | 1,590 | 1,550,821 | ||
Styron Sarl LLC, Term Loan B, 6.00% – 6.75%, 8/02/17 | 1,106 | 996,999 | ||
Tronox Worldwide LLC: | ||||
Delayed Draw Term Loan, 1.00%, 2/09/18 | 380 | 379,931 | ||
Term Loan B, 4.25%, 2/08/18 | 1,395 | 1,393,081 | ||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 2,030 | 2,013,246 | ||
13,095,401 | ||||
Commercial Services & Supplies — 3.8% | ||||
Altegrity, Inc., Tranche D Term Loan, 7.75%, 2/20/15 | 1,627 | 1,624,600 | ||
ARAMARK Corp.: | ||||
Letter of Credit, 3.55%, 7/26/16 | 40 | 39,482 | ||
Term Loan B, 3.83%, 7/26/16 | 560 | 555,162 | ||
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, | ||||
6/10/16 | 849 | 846,096 | ||
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 | 1,875 | 1,877,006 | ||
International Lease Finance Corp., Term Loan B1, | ||||
6.75%, 3/17/15 | 75 | 75,125 | ||
KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17 | 2,587 | 2,583,766 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 27 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Commercial Services & Supplies (concluded) | ||||
Synagro Technologies, Inc., Term Loan B, | ||||
2.25% – 2.26%, 4/02/14 | USD | 1,512 | $ | 1,353,043 |
Volume Services America, Inc., Term Loan B, | ||||
10.50% – 10.75%, 9/16/16 | 988 | 991,618 | ||
West Corp.: | ||||
Term Loan B4, 4.49% – 4.78%, 7/15/16 | 152 | 152,408 | ||
Term Loan B5, 4.49% – 4.51%, 7/15/16 | 294 | 294,270 | ||
10,392,576 | ||||
Communications Equipment — 1.2% | ||||
Avaya, Inc.: | ||||
Term Loan B1, 3.24%, 10/24/14 | 1,151 | 1,126,204 | ||
Term Loan B3, 4.99%, 10/26/17 | 680 | 659,443 | ||
CommScope, Inc., Term Loan B, 5.00%, 1/14/18 | 1,587 | 1,585,838 | ||
3,371,485 | ||||
Construction & Engineering — 0.9% | ||||
BakerCorp. International, Inc., Term Loan B, 5.00%, | ||||
6/01/18 | 861 | 859,384 | ||
Safway Services, LLC, First Out Tranche Loan, 9.00%, | ||||
12/16/17 | 1,700 | 1,700,000 | ||
2,559,384 | ||||
Consumer Finance — 1.6% | ||||
Springleaf Finance Corp, Term Loan, 5.50%, 5/10/17 | 4,665 | 4,252,661 | ||
Containers & Packaging — 0.7% | ||||
Berry Plastics Holding Corp., Term Loan C, 2.25%, | ||||
4/03/15 | 275 | 267,778 | ||
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18 | 1,566 | 1,581,279 | ||
1,849,057 | ||||
Diversified Consumer Services — 3.0% | ||||
Coinmach Service Corp., Term Loan, 3.41%, 11/20/14 | 2,465 | 2,270,482 | ||
Laureate Education, Inc., Extended Term Loan, 5.25%, | ||||
8/15/18 | 3,765 | 3,594,143 | ||
ServiceMaster Co.: | ||||
Delayed Draw Term Loan, 2.75%, 7/24/14 | 216 | 213,607 | ||
Term Loan, 2.77% – 3.03%, 7/24/14 | 2,171 | 2,144,976 | ||
8,223,208 | ||||
Diversified Financial Services — 1.4% | ||||
Reynolds Group Holdings, Inc.: | ||||
Tranche B Term Loan, 6.50%, 2/09/18 | 1,404 | 1,416,641 | ||
Tranche C Term Loan, 5.25% – 6.50%, 8/09/18 | 2,368 | 2,392,986 | ||
3,809,627 | ||||
Diversified Telecommunication Services — 4.2% | ||||
Hawaiian Telcom Communications, Inc., Term Loan B, | ||||
7.00%, 2/25/17 | 1,095 | 1,092,262 | ||
Integra Telecom Holdings, Inc., Term Loan, 9.25%, 4/15/15 | 1,601 | 1,408,550 | ||
Level 3 Financing, Inc.: | ||||
Term Loan B2, 5.75%, 9/03/18 | 3,450 | 3,473,736 | ||
Term Loan B3, 5.75%, 8/31/18 | 1,475 | 1,485,148 | ||
Tranche A Term Loan, 2.50% – 2.83%, 3/13/14 | 2,525 | 2,483,337 | ||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 1,490 | 1,411,690 | ||
11,354,723 | ||||
Electronic Equipment, Instruments & Components — 1.2% | ||||
CDW LLC (FKA CDW Corp.), Extended Term Loan, | ||||
4.00%, 7/14/17 | 1,766 | 1,725,940 | ||
Flextronics International Ltd., Delayed Draw: | ||||
Term Loan A-2, 2.49%, 10/01/14 | 45 | 44,558 | ||
Term Loan A-3, 2.52%, 10/01/14 | 39 | 38,193 | ||
Sensata Technologies Finance Co. LLC, Term Loan, | ||||
4.00%, 5/11/18 | 1,545 | 1,541,272 | ||
3,349,963 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Energy Equipment & Services — 2.9% | ||||
CCS Corp.: | ||||
Incremental Term Loan, 6.50%, 10/17/14 | USD | 765 | $ | 765,765 |
Term Loan B, 3.24%, 11/14/14 | 1,609 | 1,556,820 | ||
Dynegy Midwest Generation LLC, Coal Co. Term Loan, | ||||
9.25%, 8/04/16 | 937 | 931,388 | ||
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 | 1,258 | 1,297,470 | ||
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18 | 3,342 | 3,334,775 | ||
7,886,218 | ||||
Food & Staples Retailing — 1.9% | ||||
AB Acquisitions UK Topco 2 Ltd., Facility B1, 3.60%, | ||||
7/09/15 | GBP | 1,825 | 2,651,930 | |
B&G Foods, Inc., Term Loan B, 4.50%, 11/30/18 | USD | 375 | 375,844 | |
Bolthouse Farms, Inc., Term Loan (First Lien), | ||||
5.50% – 5.75%, 2/11/16 | 481 | 480,893 | ||
U.S. Foodservice, Inc., Term Loan B, 2.74% – 2.75%, | ||||
7/03/14 | 1,709 | 1,648,835 | ||
5,157,502 | ||||
Food Products — 3.2% | ||||
Advance Pierre Foods: | ||||
Term Loan (First Lien),7.00%, 9/30/16 | 1,946 | 1,945,709 | ||
Term Loan (Second Lien), 11.25%, 9/29/17 | 1,205 | 1,206,000 | ||
Del Monte Corp., Term Loan, 4.50%, 3/08/18 | 2,544 | 2,494,457 | ||
Michaels Foods Group, Inc., Term Loan B, 4.25%, 2/23/18 | 281 | 280,974 | ||
Pinnacle Foods Finance LLC: | ||||
Tranche B Term Loan, 2.76% – 3.08%, 4/02/14 | 90 | 89,030 | ||
Tranche D Term Loan, 6.00% – 6.50%, 4/02/14 | 1,031 | 1,036,589 | ||
Solvest Ltd. (Dole): | ||||
Tranche B-2 Term Loan, 5.00% – 6.00%, 7/06/18 | 555 | 557,309 | ||
Tranche C-2 Term Loan, 5.00% – 6.00%, 7/06/18 | 1,032 | 1,035,001 | ||
8,645,069 | ||||
Health Care Equipment & Supplies — 1.9% | ||||
Biomet, Inc., Term Loan B, 3.24% – 3.57%, 3/25/15 | 681 | 673,850 | ||
DJO Finance LLC, Term Loan, 3.24%, 5/20/14 | 1,070 | 1,055,062 | ||
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19 | 775 | 774,519 | ||
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18 | 763 | 758,449 | ||
Immucor, Inc., Term Loan B, 7.25%, 8/17/18 | 1,800 | 1,812,641 | ||
5,074,521 | ||||
Health Care Providers & Services — 4.7% | ||||
CHS/Community Health Systems, Inc.: | ||||
Non-Extended Delayed Draw Term Loan, 3.25%, | ||||
7/25/14 | 72 | 71,424 | ||
Non-Extended Term Loan, 2.49% – 4.50%, 7/25/14 | 1,397 | 1,378,212 | ||
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16 | 1,287 | 1,283,383 | ||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 | 1,683 | 1,686,854 | ||
Emergency Medical Services, Term Loan, 5.25%, 5/25/18 | 1,680 | 1,675,032 | ||
Harden Healthcare LLC: | ||||
Term Loan A, 8.50%, 3/02/15 | 656 | 642,650 | ||
Tranche A Additional Term Loan, 7.75%, 3/02/15 | 1,070 | 1,049,074 | ||
HCA, Inc.: | ||||
Tranche B-2 Term Loan, 3.83%, 3/31/17 | 787 | 776,468 | ||
Tranche B-3 Term Loan, 3.49%, 5/01/18 | 306 | 300,911 | ||
Health Management Associates, Inc., Term Loan B, | ||||
4.50%, 11/16/18 | 580 | 576,230 | ||
inVentiv Health, Inc.: | ||||
Combined Term Loan, 6.50%, 8/04/16 | 1,317 | 1,266,174 | ||
Incremental Term Loan B-3, 6.75%, 5/15/18 | 898 | 862,535 | ||
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17 | 1,244 | 1,194,000 | ||
Vanguard Health Holding Co. II, LLC (Vanguard Health | ||||
Systems, Inc.), Term Loan B, 5.00%, 1/29/16 | 135 | 134,326 | ||
12,897,273 | ||||
Health Care Technology — 1.3% | ||||
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17 | 1,201 | 1,201,217 | ||
Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18 | 1,580 | 1,605,675 | ||
MedAssets, Inc., Term Loan, 5.25%, 11/16/16 | 775 | 775,062 | ||
3,581,954 |
See Notes to Financial Statements.
28 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Hotels, Restaurants & Leisure — 5.7% | ||||
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18 | USD | 1,240 | $ | 1,242,408 |
Boyd Gaming Corp., Incremental Term Loan, 6.00%, | ||||
12/17/15 | 860 | 862,012 | ||
Caesars Entertainment Operating Co., Inc.: | ||||
Incremental Term Loan B4, 9.50%, 10/31/16 | 1,105 | 1,137,070 | ||
Term Loan B1, 3.24%, 1/28/15 | 402 | 377,035 | ||
Term Loan B3, 3.24% – 3.47%, 1/28/15 | 5,345 | 5,008,601 | ||
Dunkin' Brands, Inc., Term Loan B, 4.00% – 5.25%, | ||||
11/23/17 | 1,933 | 1,927,077 | ||
Golden Living, Term Loan, 5.00%, 5/04/18 | 325 | 305,566 | ||
OSI Restaurant Partners LLC: | ||||
Revolver, 2.56% – 2.79%, 6/14/13 | 9 | 9,194 | ||
Term Loan B, 2.56%, 6/14/14 | 96 | 93,266 | ||
Seaworld Parks & Entertainment, Inc., Term Loan B, | ||||
4.00%, 8/17/17 | 1,351 | 1,349,939 | ||
Six Flags Theme Parks, Inc., Tranche B Term Loan | ||||
(First Lien), 4.25%, 12/20/18 | 1,510 | 1,503,401 | ||
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 | 1,025 | 924,212 | ||
Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, | ||||
11/05/15 | 757 | 757,635 | ||
15,497,416 | ||||
Household Products — 0.5% | ||||
Prestige Brands, Inc., Term Loan, 5.25%, 1/31/19 | 1,500 | 1,505,625 | ||
Independent Power Producers & Energy Traders — 1.0% | ||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 1,985 | 1,983,015 | ||
Texas Competitive Electric Holdings Co. LLC, Extended | ||||
Term Loan, 4.76%, 10/10/17 | 1,238 | 690,554 | ||
2,673,569 | ||||
Industrial Conglomerates — 1.4% | ||||
Sequa Corp.: | ||||
Incremental Term Loan, 6.25%, 12/03/14 | 660 | 662,198 | ||
Term Loan, 3.76% – 3.84%, 12/03/14 | 3,318 | 3,281,806 | ||
3,944,004 | ||||
Insurance — 0.6% | ||||
CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16 | 1,650 | 1,657,780 | ||
Internet Software & Services — 0.4% | ||||
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17 | 1,185 | 1,156,897 | ||
IT Services — 5.1% | ||||
Ceridian Corp., Term Loan, 3.24%, 11/10/14 | 1,231 | 1,164,760 | ||
First Data Corp.: | ||||
Extended Term Loan B, 4.24%, 3/23/18 | 6,706 | 6,017,255 | ||
Term Loan B-1, 2.99%, 9/24/14 | 870 | 831,787 | ||
Term Loan B-3, 2.99%, 9/24/14 | 115 | 109,593 | ||
infoGROUP, Inc., Term Loan B, 5.75%, 5/25/18 | 707 | 661,297 | ||
iPayment, Inc., Term Loan B, 5.75%, 5/08/17 | 681 | 677,936 | ||
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18 | 888 | 889,994 | ||
SunGard Data Systems, Inc. (Solar Capital Corp.), | ||||
Tranche B Term Loan, 3.99% – 5.88%, 2/26/16 | 307 | 306,311 | ||
TransUnion LLC, Term Loan B, 4.75%, 2/12/18 | 3,211 | 3,213,592 | ||
13,872,525 | ||||
Leisure Equipment & Products — 0.2% | ||||
Eastman Kodak Co., DIP Term Loan B, 1.00%, 7/20/13 | 595 | 602,253 | ||
Machinery — 1.5% | ||||
Terex Corp.: | ||||
Term Loan, 6.00%, 4/28/17 | EUR | 135 | 178,065 | |
Term Loan B, 5.50%, 4/28/17 | USD | 1,313 | 1,321,793 | |
Tomkins LLC, Term Loan B, 4.25%, 9/29/16 | 2,697 | 2,694,905 | ||
4,194,763 | ||||
Media — 17.9% | ||||
Acosta, Inc., Term Loan, 4.75%, 3/01/18 | 675 | 669,616 | ||
Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16 | 1,596 | 1,492,930 | ||
AMC Entertainment, Inc., Term Loan B3, 4.25%, 2/22/18 | 700 | 690,683 | ||
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18 | 1,692 | 1,680,928 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Media (concluded) | ||||
Atlantic Broadband Finance LLC, Term Loan B, 4.00%, | ||||
3/08/16 | USD | 941 | $ | 936,924 |
Bresnan Telecommunications Co., LLC, Term Loan, | ||||
4.50% – 5.25%, 12/14/17 | 2,896 | 2,886,107 | ||
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18 | 1,297 | 1,304,154 | ||
Catalina Marketing Corp., Term Loan B, | ||||
2.99%, 10/01/14 | 1,376 | 1,337,148 | ||
Cengage Learning Acquisitions, Inc.: | ||||
Term Loan, 2.49%, 7/03/14 | 993 | 921,743 | ||
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14 | 763 | 738,243 | ||
Cequel Communications LLC, Term Loan B, 4.00%, | ||||
2/11/19 | 2,385 | 2,360,601 | ||
Charter Communications Operating LLC: | ||||
Term Loan B, 7.25%, 3/06/14 | 28 | 28,022 | ||
Term Loan C, 3.83%, 9/06/16 | 2,124 | 2,107,508 | ||
Clarke American Corp., Term Facility B, 2.74% – 3.08%, | ||||
6/30/14 | 439 | 401,288 | ||
Clear Channel Communications: | ||||
Term Loan B, 3.89%, 1/28/16 | 2,600 | 2,133,769 | ||
Term Loan C, 3.89%, 1/28/16 | 345 | 273,413 | ||
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18 | 1,400 | 1,401,162 | ||
Gray Television, Inc., Term Loan B, 3.77%, 12/31/14 | 1,395 | 1,378,254 | ||
HMH Publishing Co. Ltd., Term Loan, 6.51%, 6/12/14 | 1,441 | 890,248 | ||
Hubbard Broadcasting, Term Loan B (Second Lien), | ||||
5.25%, 4/28/17 | 995 | 995,826 | ||
Intelsat Jackson Holdings SA, Tranche B Term Loan, | ||||
5.25%, 4/02/18 | 6,451 | 6,440,283 | ||
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 | 2,903 | 2,896,531 | ||
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19 | 1,390 | 1,383,050 | ||
Knology, Inc., Term Loan B, 4.00%, 8/18/17 | 616 | 610,038 | ||
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG): | ||||
Term Loan B, 3.81%, 3/06/15 | EUR | 304 | 351,749 | |
Term Loan C, 4.06%, 3/04/16 | 304 | 353,773 | ||
LIN Television Corp., Term Loan B, 5.00%, 12/21/18 | USD | 705 | 708,525 | |
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | 2,500 | 2,571,875 | ||
Nielsen Finance LLC, Class B Dollar Term Loan, 4.01%, | ||||
5/02/16 | 1,384 | 1,388,016 | ||
Sinclair Television Group, Inc.: | ||||
Incremental Term Loan B3, 1.00%, 10/28/16 | 285 | 283,663 | ||
Tranche B Term Loan, 4.00%, 10/28/16 | 1,010 | 1,005,037 | ||
Univision Communications, Inc., Extended First Lien | ||||
Term Loan, 4.49%, 3/31/17 | 2,113 | 1,962,673 | ||
UPC Broadband Holding B.V., Term Loan U, 4.72%, | ||||
12/29/17 | EUR | 494 | 645,797 | |
UPC Financing Partnership: | ||||
Term Loan, 4.75%, 12/29/17 | USD | 895 | 893,434 | |
Term Loan T, 3.77%, 12/30/16 | 165 | 162,236 | ||
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18 | 437 | 435,674 | ||
Weather Channel, Term Loan B, 4.25%, 2/13/17 | 2,103 | 2,104,648 | ||
48,825,569 | ||||
Metals & Mining — 2.6% | ||||
Novelis, Inc., Term Loan, 4.00%, 3/10/17 | 2,836 | 2,821,500 | ||
SunCoke Energy, Inc., Term Loan B, 4.00% – 5.25%, | ||||
7/26/18 | 945 | 942,887 | ||
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18 | 3,289 | 3,273,740 | ||
7,038,127 | ||||
Multi-Utilities — 0.1% | ||||
FirstLight Power Resources, Inc., Term B Advance | ||||
(First Lien), 2.75%, 11/01/13 | 329 | 309,763 | ||
Multiline Retail — 1.1% | ||||
99 Cents Only Stores, Term Loan B, 6.00% – 7.00%, | ||||
1/11/19 | 1,135 | 1,142,298 | ||
Dollar General Corp., Tranche B-2 Term Loan, | ||||
3.00% – 3.33%, 7/07/14 | 616 | 616,394 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 29 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
Par | |||||
Floating Rate Loan Interests (b) | (000) | Value | |||
Multiline Retail (concluded) | |||||
Hema Holding BV: | |||||
Term Loan B, 2.69%, 7/05/15 | EUR | 399 | $ | 511,674 | |
Term Loan C, 3.44%, 7/06/16 | 399 | 509,017 | |||
The Neiman Marcus Group, Inc., Term Loan, 4.75%, | |||||
5/16/18 | USD | 380 | 376,960 | ||
3,156,343 | |||||
Oil, Gas & Consumable Fuels — 1.9% | |||||
EquiPower Resources Holdings LLC, Term Loan B, 5.75%, | |||||
1/26/18 | 1,590 | 1,494,630 | |||
Gibson Energy, Term Loan B, 5.75%, 6/15/18 | 1,791 | 1,792,863 | |||
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 | 1,863 | 1,872,132 | |||
5,159,625 | |||||
Paper & Forest Products — 0.6% | |||||
NewPage Corp., Term Loan, 8.00%, 3/07/13 | 450 | 453,375 | |||
Verso Paper Finance Holdings LLC, Term Loan, | |||||
6.79% – 7.54%, 2/01/13 (f) | 2,346 | 1,173,190 | |||
1,626,565 | |||||
Pharmaceuticals — 3.9% | |||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 2,178 | 2,159,487 | |||
Endo Pharmaceuticals Holdings, Inc., Term Loan B, | |||||
4.00%, 6/18/18 | 353 | 353,649 | |||
Pharmaceutical Product Development, Inc., Term Loan B, | |||||
6.25%, 12/05/18 | 1,800 | 1,815,750 | |||
Quintiles Transnational Corp., Term Loan B, 5.00%, | |||||
6/08/18 | 1,353 | 1,344,255 | |||
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18 | 995 | 993,249 | |||
Taminco Global Chemical Corp., New Term Loan, 6.25%, | |||||
2/15/19 | 635 | 637,610 | |||
Valeant Pharmaceuticals International, Add on Term | |||||
Loan B, 3.75%, 2/08/19 | 2,290 | 2,282,855 | |||
Warner Chilcott Corp.: | |||||
Term Loan B-1, 4.25%, 3/15/18 | 635 | 633,707 | |||
Term Loan B-2, 4.25%, 3/15/18 | 318 | 316,854 | |||
10,537,416 | |||||
Professional Services — 1.4% | |||||
Booz Allen Hamilton, Inc., Tranche B Term Loan, 4.00%, | |||||
8/03/17 | 620 | 621,561 | |||
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18 | 1,900 | 1,921,717 | |||
Fifth Third Processing Solutions LLC, Term Loan B | |||||
(First Lien), 4.50%, 11/03/16 | 1,335 | 1,335,976 | |||
3,879,254 | |||||
Real Estate Investment Trusts (REITs) — 0.7% | |||||
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13 | 1,830 | 1,821,302 | |||
Real Estate Management & Development — 1.0% | |||||
Mattamy Funding Partnership, Term Loan B, 2.75%, | |||||
4/11/13 | 403 | 382,400 | |||
Realogy Corp.: | |||||
Extended Synthetic Letter of Credit, 3.25%, 10/10/13 | 55 | 52,155 | |||
Extended Synthetic Letter of Credit, 4.53%, 10/10/16 | 9 | 8,118 | |||
Extended Term Loan, 4.77%, 10/10/16 | 2,338 | 2,168,912 | |||
2,611,585 | |||||
Road & Rail — 0.8% | |||||
Avis Budget Car Rental LLC, Incremental Term Loan, | |||||
6.25%, 9/21/18 | 1,057 | 1,067,659 | |||
RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19 | 1,030 | 1,027,425 | |||
2,095,084 | |||||
Semiconductors & Semiconductor Equipment — 0.7% | |||||
Freescale Semiconductor, Inc., Extended Term Loan B, | |||||
4.52%, 12/01/16 | 848 | 826,286 | |||
NXP B.V., Term Loan A-2, 5.50%, 3/03/17 | 1,143 | 1,134,142 | |||
1,960,428 |
Par | |||||
Floating Rate Loan Interests (b) | (000) | Value | |||
Software — 1.5% | |||||
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18 | USD | 555 | $ | 547,602 | |
Infor Enterprise Solutions Holdings, Inc.: | |||||
Extended Delayed Draw Term Loan, 1.00%, 7/28/15 | 38 | 37,297 | |||
Extended Initial Term Loan, 1.00%, 7/28/15 | 72 | 70,228 | |||
Extended Initial Term Loan, 1.00%, 7/28/15 | EUR | 425 | 533,669 | ||
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18 | USD | 993 | 991,259 | ||
Sophia, LP, Term Loan B, 6.25%, 7/19/18 | 1,150 | 1,161,983 | |||
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16 | 678 | 672,388 | |||
4,014,426 | |||||
Specialty Retail — 4.6% | |||||
Academy Ltd., Term Loan, 6.00%, 8/03/18 | 1,700 | 1,699,813 | |||
Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17 | 135 | 134,421 | |||
Burlington Coat Factory Warehouse Corp., Term Loan B, | |||||
6.25%, 2/23/17 | 910 | 909,625 | |||
Claire's Stores, Inc., Term Loan B, 2.99% – 3.30%, | |||||
5/29/14 | 436 | 412,597 | |||
General Nutrition Centers, Inc., Term Loan B, 4.25%, | |||||
3/02/18 | 1,770 | 1,764,761 | |||
The Gymboree Corp., Term Loan, 5.00%, 2/23/18 | 650 | 611,162 | |||
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18 | 659 | 650,545 | |||
Michaels Stores, Inc.: | |||||
Extended Term Loan B3, 5.13%, 7/29/16 | 736 | 731,634 | |||
Term Loan B-2, 5.13%, 7/29/16 | 1,470 | 1,461,262 | |||
Petco Animal Supplies, Inc., Term Loan B, 4.50%, 11/24/17 | 2,048 | 2,038,102 | |||
Toys ‘R’ Us Delaware, Inc.: | |||||
Term Loan B1, 6.00%, 9/01/16 | 1,734 | 1,736,121 | |||
Term Loan B2, 5.25%, 5/25/18 | 397 | 392,288 | |||
12,542,331 | |||||
Wireless Telecommunication Services — 2.2% | |||||
Crown Castle International Corp., Term Loan B, | |||||
4.00%, 1/31/19 | 2,060 | 2,050,627 | |||
MetroPCS Wireless, Inc.: | |||||
Term Loan B-3, 4.00% – 4.06%, 3/16/18 | 246 | 244,229 | |||
Tranche B-2 Term Loan, 4.07% – 4.13%, 11/03/16 | 976 | 967,724 | |||
Vodafone Americas Finance 2, Inc.: | |||||
Term Loan, 6.88%, 8/11/15 | 2,093 | 2,093,387 | |||
Term Loan B, 6.25%, 7/11/16 | 722 | 720,070 | |||
6,076,037 | |||||
Total Floating Rate Loan Interests — 106.5% | 290,468,470 | ||||
Beneficial | |||||
Interest | |||||
Other Interests (i) | (000) | ||||
Chemicals — 0.0% | |||||
Wellman Holdings, Inc., Litigation Trust Certificate | 4,750 | 48 | |||
Diversified Financial Services — 0.3% | |||||
JG Wentworth LLC Preferred Equity Interests (c) | — | (j) | 711,907 | ||
Total Other Interests — 0.3% | 711,955 | ||||
Warrants (k) – 0.0% | Shares | ||||
Software — 0.0% | |||||
HMH Holdings/EduMedia (Expires 3/09/17) | 11,690 | — | |||
Total Long-Term Investments | |||||
(Cost – $354,193,944) — 128.5% | 350,269,669 | ||||
Short-Term Securities | |||||
BlackRock Liquidity Funds, TempFund, Institutional | |||||
Class, 0.11% (l)(m) | 3,253,818 | 3,253,818 | |||
Total Short-Term Securities | |||||
(Cost – $3,253,818) — 1.2% | 3,253,818 |
See Notes to Financial Statements.
30 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
(Percentages shown are based on Net Assets) |
Options Purchased | Contracts | Value | |
Over-the-Counter Call Options �� 0.0% | |||
Marsico Parent Superholdco LLC, Strike Price | |||
USD 942.86, Expires 12/14/19, Broker | |||
Goldman Sachs Bank USA | 20 | — | |
Total Options Purchased | |||
(Cost — $19,556) — 0.0% | — | ||
Total Investments (Cost — $357,467,318) — 129.7% | $ | 353,523,487 | |
Liabilities in Excess of Other Assets — (29.7)% | (80,871,597) | ||
Net Assets — 100.0% | $ | 272,651,890 |
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Rate shown is as of report date. |
(c) | Non-income producing security. |
(d) | Restricted security as to resale. As of report date the Fund held 0.8% of its net assets, with a current value of $2,180,134 and an original cost of $396,662 in these securities. |
(e) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation |
Morgan Stanley Co. | $ 179,813 | $ 4,813 |
(f) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
(g) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
(h) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(i) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(j) | Amount is less than $500. |
(k) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(l) | Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2011 | Net Activity | Shares Held at February 29, 2012 | Income |
BlackRock Liquidity | ||||
Funds, TempFund, | ||||
Institutional Class | 5,396,667 | (2,142,849) | 3,253,818 | $ 469 |
(m) | Represents the current yield as of report date. |
• | Foreign currency exchange contracts as of February 29, 2012 were as follows: |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | |||
USD | 203,186 | CAD | 207,500 | Royal Bank | |||
of Scotland Plc | 4/11/12 | $ | (6,340) | ||||
USD | 2,395,189 | GBP | 1,562,500 | UBS AG | 4/11/12 | (89,886) | |
EUR | 250,000 | USD | 336,583 | Deutsche Bank AG | 4/18/12 | (3,443) | |
EUR | 410,000 | USD | 543,569 | Deutsche Bank AG | 4/18/12 | 2,781 | |
EUR | 312,000 | USD | 406,665 | Royal Bank | |||
of Scotland Plc | 4/18/12 | 9,094 | |||||
USD | 5,965,860 | EUR | 4,644,500 | Citibank NA | 4/18/12 | (223,218) | |
USD | 543,822 | EUR | 410,000 | Citibank NA | 4/18/12 | (2,528) | |
Total | $ | (313,540) |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
• | Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 31 |
Consolidated Schedule of Investments (concluded) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund's investments and derivative financial instruments:
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||
Assets: | |||||||||
Investments: | |||||||||
Long-Term | |||||||||
Investments: | |||||||||
Asset-Backed | |||||||||
Securities | — | $ | 2,799,770 | $ | 7,392,833 | $ | 10,192,603 | ||
Common Stocks | $ | 533,273 | 2,180,134 | 29,186 | 2,742,593 | ||||
Corporate Bonds | — | 43,961,833 | 2,192,215 | 46,154,048 | |||||
Floating Rate | |||||||||
Loan Interests | — | 272,742,370 | 17,726,100 | 290,468,470 | |||||
Other | |||||||||
Interests | — | — | 711,955 | 711,955 | |||||
Short-Term | |||||||||
Securities | 3,253,818 | — | — | 3,253,818 | |||||
Total | $ | 3,787,091 | $ | 321,684,107 | $ | 28,052,289 | $ | 353,523,487 | |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||
Derivative Financial Instruments1 | |||||||||
Assets: | |||||||||
Foreign currency | |||||||||
exchange | |||||||||
contracts | — | $ | 11,875 | — | $ | 11,875 | |||
Liabilities: | |||||||||
Foreign currency | |||||||||
exchange | |||||||||
contracts | — | (325,415) | — | (325,415) | |||||
Total | — | $ | (313,540) | — | $ | (313,540) |
1 | Derivative financial instruments are foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation of the instruments. |
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 | Total | ||||||||||||||||||
Assets/Liabilities: | |||||||||||||||||||||||
Balance, as of August 31, 2011 | $ | 7,328,370 | $ | 191,645 | $ | 2,293,544 | $ | 23,078,475 | $ | 742,860 | $ | 33,634,894 | |||||||||||
Accrued discounts/premiums | 59,461 | — | 39,200 | 52,171 | — | 150,832 | |||||||||||||||||
Net realized gain (loss) | — | 27 | (4,362,357 | ) | 18,143 | — | (4,344,187 | ) | |||||||||||||||
Net change in unrealized appreciation/depreciation2 | 5,002 | (160,573 | ) | 4,620,344 | (1,084,360 | ) | (40,737 | ) | 3,339,676 | ||||||||||||||
Purchases | — | — | — | 1,123,628 | 9,832 | 1,133,460 | |||||||||||||||||
Sales | — | (1,913 | ) | (398,516 | ) | (1,179,883 | ) | — | (1,580,312 | ) | |||||||||||||
Transfers in3 | — | — | — | 6,136,364 | — | 6,136,364 | |||||||||||||||||
Transfers out3 | — | — | — | (10,418,438 | ) | — | (10,418,438 | ) | |||||||||||||||
Balance, as of February 29, 2012 | $ | 7,392,833 | $ | 29,186 | $ | 2,192,215 | $ | 17,726,100 | $ | 711,955 | $ | 28,052,289 |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held on February 29, 2012 was $2,935,504. |
3 | The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.
See Notes to Financial Statements.
32 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments | BlackRock Limited Duration Income Trust (BLW) |
February 29, 2012 (Unaudited) | (Percentages shown are based on Net Assets) |
Par | ||||
Asset-Backed Securities | (000) | Value | ||
Asset-Backed Securities — 5.4% | ||||
321 Henderson Receivables I LLC, Series 2010-3A, | ||||
Class A, 3.82%, 12/15/48 (a) | USD | 4,641 | $ | 4,676,209 |
ARES CLO Funds, Series 2005-10A, Class B, | ||||
0.95%, 9/18/17 (a)(b) | 1,500 | 1,388,070 | ||
Ballyrock CDO Ltd., Series 2006-1A, Class B, | ||||
0.84%, 8/28/19 (a)(b) | 1,500 | 1,256,250 | ||
Canaras Summit CLO Ltd., Series 2007-1A, Class B, | ||||
1.04%, 6/19/21 (a)(b) | 1,735 | 1,475,253 | ||
Capital One Multi-Asset Execution Trust, Series 4-3C, | ||||
6.63%, 4/19/17 (b) | GBP | 2,650 | 4,300,215 | |
Conseco Financial Corp., Series 1995-5, Class M1, | ||||
7.65%, 9/15/26 (b) | USD | 966 | 991,695 | |
Countrywide Asset-Backed Certificates (b): | ||||
Series 2007-6, Class 2A1, 0.34%, 9/25/37 | 63 | 62,430 | ||
Series 2007-7, Class 2A2, 0.40%, 10/25/47 | 3,230 | 2,490,459 | ||
Series 2007-10, Class 2A1, 0.29%, 6/25/47 | 1,290 | 1,264,814 | ||
Series 2007-12, Class 2A1, 0.59%, 8/25/47 | 1,609 | 1,546,200 | ||
CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16 | 750 | 754,725 | ||
Gannett Peak CLO Ltd., Series 2006-1X, Class A2, | ||||
0.92%, 10/27/20 (b) | 1,330 | 1,073,975 | ||
GSAA Trust, Series 2007-3, Class 1A2, | ||||
0.41%, 3/25/47 (b) | 3,213 | 1,363,875 | ||
Portola CLO Ltd., Series 2007-1X, Class B1, | ||||
1.95%, 11/15/21 (b) | 1,770 | 1,517,775 | ||
Santander Consumer Acquired Receivables Trust, | ||||
Series 2011-S1A, Class D, 3.15%, 8/15/16 (a) | 2,760 | 2,757,264 | ||
Santander Drive Auto Receivables Trust (a): | ||||
Series 2011-S1A, Class D, 3.10%, 5/15/17 | 1,414 | 1,401,866 | ||
Series 2011-S2A, Class B, 2.06%, 6/15/17 | 742 | 740,730 | ||
Series 2011-S2A, Class C, 2.86%, 6/15/17 | 769 | 769,293 | ||
SLC Student Loan Trust, Series 2006-A, Class A4, | ||||
0.69%, 1/15/19 (b) | 1,338 | 1,319,302 | ||
Spirit Issuer Plc, Series A2, 3.78%, 12/28/31 (b) | GBP | 1,800 | 1,961,580 | |
T2 Income Fund CLO Ltd., Series 2007-1A, Class B, | ||||
1.17%, 7/15/19 (a)(b) | USD | 1,515 | 1,313,884 | |
34,425,864 | ||||
Interest Only Asset-Backed Securities — 0.3% | ||||
Sterling Bank Trust, Series 2004-2, Class Note, | ||||
2.08%, 3/30/30 (a) | 12,367 | 958,472 | ||
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 | 11,022 | 854,225 | ||
1,812,697 | ||||
Total Asset-Backed Securities — 5.7% | 36,238,561 | |||
Common Stocks (c) | Shares | |||
Auto Components — 1.3% | ||||
Delphi Automotive Plc (180-day lock) (acquired | ||||
11/17/11, cost $4,028,721) (d) | 267,741 | 8,353,516 | ||
Construction & Engineering — 0.0% | ||||
USI United Subcontractors | 6,116 | 12,231 | ||
Diversified Financial Services — 0.4% | ||||
Kcad Holdings I Ltd. | 254,615,288 | 2,331,003 | ||
Hotels, Restaurants & Leisure — 0.1% | ||||
BLB Worldwide Holdings, Inc. | 51,947 | 484,821 | ||
Travelport Worldwide Ltd. | 176,501 | 88,251 | ||
573,072 | ||||
Metals & Mining — 0.0% | ||||
Euramax International | 234 | 67,773 | ||
Software — 0.0% |
Common Stocks (c) | Shares | Value | ||
Bankruptcy Management Solutions, Inc. | USD | 880 | $ | 18 |
HMH Holdings/EduMedia | 238,664 | 59,666 | ||
59,684 | ||||
Total Common Stocks — 1.8% | 11,397,279 | |||
Par | ||||
Corporate Bonds | (000) | |||
Aerospace & Defense — 0.4% | ||||
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 | 650 | 696,313 | ||
Kratos Defense & Security Solutions, Inc., | ||||
10.00%, 6/01/17 | 1,966 | 2,118,365 | ||
2,814,678 | ||||
Airlines — 1.1% | ||||
American Airlines Pass-Through Trust, Series 2011-2, | ||||
Class A, 8.63%, 4/15/23 (e) | 898 | 951,880 | ||
Continental Airlines, Inc., 6.75%, 9/15/15 (a)(e) | 1,350 | 1,363,500 | ||
Delta Air Lines, Inc., Series 2009-1-B, | ||||
9.75%, 6/17/18 (e) | 262 | 278,062 | ||
United Air Lines, Inc., 12.75%, 7/15/12 (e) | 2,455 | 2,541,132 | ||
US Airways Pass-Through Trust, 10.88%, 10/22/14 | 1,625 | 1,625,000 | ||
6,759,574 | ||||
Auto Components — 0.4% | ||||
B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (a) | 240 | 244,800 | ||
Delphi Corp., 6.13%, 5/15/21 (a)(e) | 780 | 836,550 | ||
Titan International, Inc., 7.88%, 10/01/17 | 1,330 | 1,413,125 | ||
2,494,475 | ||||
Beverages — 0.7% | ||||
Crown European Holdings SA: | ||||
7.13%, 8/15/18 | EUR | 657 | 937,687 | |
7.13%, 8/15/18 (a) | 716 | 1,021,894 | ||
SABMiller Holdings, Inc., 2.45%, 1/15/17 (a)(e) | USD | 2,560 | 2,610,099 | |
4,569,680 | ||||
Building Products — 0.4% | ||||
Building Materials Corp. of America (a)(e): | ||||
7.00%, 2/15/20 | 1,345 | 1,459,325 | ||
6.75%, 5/01/21 | 910 | 989,625 | ||
2,448,950 | ||||
Capital Markets — 1.2% | ||||
American Capital Ltd., 7.96%, 12/31/13 (f) | 1,675 | 1,706,055 | ||
Deutsche Bank AG, 3.63%, 3/09/17 | EUR | 1,020 | 1,209,461 | |
E*Trade Financial Corp.: | ||||
12.50%, 11/30/17 | USD | 2,515 | 2,929,975 | |
3.98%, 8/31/19 (a)(g)(h) | 249 | 235,616 | ||
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a) | 1,245 | 1,283,225 | ||
7,364,332 | ||||
Chemicals — 2.4% | ||||
American Pacific Corp., 9.00%, 2/01/15 | 1,100 | 1,072,500 | ||
Celanese US Holdings LLC, 5.88%, 6/15/21 (e) | 805 | 877,450 | ||
Hexion U.S. Finance Corp., 9.00%, 11/15/20 | 735 | 720,300 | ||
Ineos Finance Plc, 8.38%, 2/15/19 (a) | 540 | 573,750 | ||
Kinove German Bondco GmbH, 9.63%, 6/15/18 (a) | 1,000 | 1,022,500 | ||
Lyondell Chemical Co., 11.00%, 5/01/18 (e) | 2,714 | 2,974,689 | ||
LyondellBasell Industries NV, 6.00%, 11/15/21 (a) | 200 | 219,500 | ||
Nova Chemicals Corp., 8.38%, 11/01/16 (e) | 5,500 | 6,132,500 | ||
Solutia, Inc., 7.88%, 3/15/20 (e) | 1,155 | 1,354,237 | ||
14,947,426 | ||||
Commercial Banks — 4.2% | ||||
ABN Amro Bank NV, 6.38%, 4/27/21 | EUR | 1,020 | 1,404,867 | |
Barclays Bank Plc, 6.00%, 1/14/21 | 1,020 | 1,288,971 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 33 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Par | ||||
Corporate Bonds | (000) | Value | ||
Commercial Banks (concluded) | ||||
CIT Group, Inc. (a): | ||||
5.25%, 4/01/14 (e) | USD | 3,614 | $ | 3,695,315 |
4.75%, 2/15/15 | 2,409 | 2,445,135 | ||
5.50%, 2/15/19 | 1,390 | 1,419,537 | ||
Commerzbank AG, 6.38%, 3/22/19 | EUR | 1,020 | 1,193,698 | |
HSBC Bank Plc, 3.10%, 5/24/16 (a)(e) | USD | 2,560 | 2,618,637 | |
HSBC Holdings Plc, 6.25%, 3/19/18 | EUR | 1,000 | 1,470,800 | |
ING Bank NV, 5.13%, 5/01/15 (a)(e) | USD | 2,936 | 2,877,712 | |
Lloyds TSB Bank Plc, 6.50%, 3/24/20 | EUR | 1,020 | 1,238,189 | |
Nordea Bank AB, 4.50%, 3/26/20 | 1,020 | 1,355,108 | ||
Regions Financial Corp.: | ||||
6.38%, 5/15/12 (e) | USD | 4,590 | 4,624,884 | |
4.88%, 4/26/13 | 907 | 920,605 | ||
26,553,458 | ||||
Commercial Services & Supplies — 0.9% | ||||
ACCO Brands Corp., 10.63%, 3/15/15 (e) | 1,425 | 1,572,858 | ||
ARAMARK Corp., 8.50%, 2/01/15 | 980 | 1,005,735 | ||
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a) | 63 | 59,850 | ||
Iron Mountain, Inc., 7.75%, 10/01/19 | 760 | 839,800 | ||
Mobile Mini, Inc., 7.88%, 12/01/20 | 915 | 960,750 | ||
Verisure Holding AB: | ||||
8.75%, 9/01/18 | EUR | 526 | 707,797 | |
8.75%, 12/01/18 | 221 | 262,050 | ||
West Corp., 8.63%, 10/01/18 | USD | 165 | 181,088 | |
5,589,928 | ||||
Communications Equipment — 0.2% | ||||
Avaya, Inc., 9.75%, 11/01/15 | 510 | 510,000 | ||
Hughes Satellite Systems Corp., 6.50%, 6/15/19 | 850 | 901,000 | ||
1,411,000 | ||||
Consumer Finance — 1.1% | ||||
Ford Motor Credit Co. LLC (e): | ||||
7.80%, 6/01/12 | 1,665 | 1,685,524 | ||
3.88%, 1/15/15 | 2,475 | 2,537,303 | ||
7.00%, 4/15/15 | 400 | 444,000 | ||
6.63%, 8/15/17 | 1,066 | 1,207,953 | ||
Hyundai Capital America, 3.75%, 4/06/16 (a)(e) | 1,285 | 1,299,765 | ||
7,174,545 | ||||
Containers & Packaging — 1.0% | ||||
Ardagh Packaging Finance Plc: | ||||
7.38%, 10/15/17 | EUR | 100 | 140,558 | |
7.38%, 10/15/17 (a) | 587 | 825,073 | ||
Ball Corp., 5.00%, 3/15/22 (i) | USD | 1,460 | 1,492,850 | |
Berry Plastics Corp.: | ||||
4.42%, 9/15/14 (b) | 700 | 670,250 | ||
8.25%, 11/15/15 (e) | 695 | 747,125 | ||
9.75%, 1/15/21 | 625 | 668,750 | ||
Sealed Air Corp., 8.38%, 9/15/21 (a) | 295 | 337,775 | ||
Smurfit Kappa Acquisitions (a): | ||||
7.25%, 11/15/17 | EUR | 111 | 158,237 | |
7.75%, 11/15/19 | 726 | 1,042,211 | ||
6,082,829 | ||||
Diversified Financial Services — 5.3% | ||||
Ally Financial, Inc.: | ||||
8.30%, 2/12/15 (e) | USD | 2,460 | 2,718,300 | |
7.50%, 9/15/20 | 1,630 | 1,795,038 | ||
8.00%, 11/01/31 (e) | 1,630 | 1,819,488 | ||
8.00%, 11/01/31 | 950 | 1,030,802 | ||
Banque Paribas, 6.95%, 7/22/13 (e) | 2,100 | 2,208,312 | ||
Citigroup, Inc., 4.75%, 5/19/15 (e) | 3,000 | 3,178,992 | ||
The Goldman Sachs Group, Inc., 5.13%, 1/15/15 (e) | 565 | 600,537 | ||
Intesa Sanpaolo SpA, 2.38%, 12/21/12 (e) | 3,335 | 3,274,566 | ||
JPMorgan Chase & Co., 3.40%, 6/24/15 (e) | 6,000 | 6,312,306 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Diversified Financial Services (concluded) | ||||
Morgan Stanley (e): | ||||
5.25%, 11/02/12 | USD | 795 | $ | 814,114 |
5.30%, 3/01/13 | 825 | 849,353 | ||
Reynolds Group Issuer, Inc.: | ||||
8.75%, 10/15/16 | EUR | 340 | 481,293 | |
8.75%, 10/15/16 (a)(e) | USD | 2,125 | 2,263,125 | |
7.13%, 4/15/19 (a)(e) | 1,990 | 2,104,425 | ||
9.88%, 8/15/19 (a) | 1,820 | 1,881,425 | ||
6.88%, 2/15/21 (a)(e) | 1,475 | 1,563,500 | ||
SLM Corp., Series A, 5.00%, 10/01/13 | 150 | 153,600 | ||
WMG Acquisition Corp., 9.50%, 6/15/16 (a) | 280 | 309,400 | ||
33,358,576 | ||||
Diversified Telecommunication Services — 2.7% | ||||
ITC Deltacom, Inc., 10.50%, 4/01/16 | 1,350 | 1,407,375 | ||
Level 3 Escrow, Inc., 8.13%, 7/01/19 (a) | 3,083 | 3,229,442 | ||
Level 3 Financing, Inc., 4.51%, 2/15/15 (b)(e) | 1,725 | 1,673,250 | ||
Qwest Communications International, Inc. (e): | ||||
7.50%, 2/15/14 | 610 | 612,135 | ||
8.00%, 10/01/15 | 2,500 | 2,683,595 | ||
Series B, 7.50%, 2/15/14 | 3,470 | 3,482,145 | ||
Qwest Corp., 8.38%, 5/01/16 (e) | 2,590 | 3,033,177 | ||
TW Telecom Holdings, Inc., 8.00%, 3/01/18 | 250 | 274,063 | ||
Windstream Corp., 8.13%, 8/01/13 | 590 | 632,775 | ||
17,027,957 | ||||
Electronic Equipment, Instruments & Components — 1.2% | ||||
Agilent Technologies, Inc., 4.45%, 9/14/12 (e) | 7,325 | 7,454,989 | ||
Energy Equipment & Services — 1.1% | ||||
Calfrac Holdings LP, 7.50%, 12/01/20 (a) | 280 | 280,000 | ||
Compagnie Generale de Geophysique — Veritas, | ||||
7.75%, 5/15/17 | 330 | 343,613 | ||
Frac Tech Services LLC, 7.63%, 11/15/18 (a)(e) | 1,690 | 1,804,075 | ||
Key Energy Services, Inc., 6.75%, 3/01/21 (e) | 1,040 | 1,089,400 | ||
Oil States International, Inc., 6.50%, 6/01/19 | 465 | 499,875 | ||
Peabody Energy Corp., 6.25%, 11/15/21 (a)(e) | 3,080 | 3,226,300 | ||
7,243,263 | ||||
Gas Utilities — 0.4% | ||||
Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (a)(e) | 2,000 | 2,085,376 | ||
Targa Resources Partners LP, 6.88%, 2/01/21 (e) | 690 | 736,575 | ||
2,821,951 | ||||
Health Care Equipment & Supplies — 1.1% | ||||
CareFusion Corp., 5.13%, 8/01/14 (e) | 3,000 | 3,237,366 | ||
DJO Finance LLC: | ||||
10.88%, 11/15/14 | 2,625 | 2,670,937 | ||
7.75%, 4/15/18 | 540 | 464,400 | ||
Teleflex, Inc., 6.88%, 6/01/19 | 675 | 727,313 | ||
7,100,016 | ||||
Health Care Providers & Services — 2.2% | ||||
Aviv Healthcare Properties LP, 7.75%, 2/15/19 | 645 | 659,513 | ||
HCA, Inc.: | ||||
6.50%, 2/15/20 (e) | 2,845 | 3,051,262 | ||
5.88%, 3/15/22 | 4,210 | 4,315,250 | ||
Omnicare, Inc., 7.75%, 6/01/20 (e) | 2,260 | 2,517,075 | ||
Tenet Healthcare Corp., 10.00%, 5/01/18 (e) | 3,032 | 3,532,280 | ||
14,075,380 | ||||
Health Care Technology — 0.8% | ||||
IMS Health, Inc., 12.50%, 3/01/18 (a) | 4,300 | 5,117,000 | ||
Hotels, Restaurants & Leisure — 3.3% | ||||
Caesars Operating Escrow, LLC., 8.50%, 2/15/20 (a)(e) | 1,300 | 1,326,000 | ||
Enterprise Inns Plc: | ||||
6.50%, 12/06/18 | GBP | 2,232 | 2,876,220 | |
6.88%, 2/15/21 | 2,070 | 2,338,146 | ||
MGM Resorts International: | ||||
10.38%, 5/15/14 | USD | 1,135 | 1,291,062 | |
11.13%, 11/15/17 | 1,720 | 1,956,500 |
See Notes to Financial Statements.
34 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Par | ||||
Corporate Bonds | (000) | Value | ||
Hotels, Restaurants & Leisure (concluded) | ||||
Punch Taverns Finance B Ltd., Series A7, | ||||
4.77%, 6/30/33 | GBP | 1,275 | $ | 1,455,601 |
Spirit Issuer Plc (b): | ||||
1.63%, 12/28/28 | 3,325 | 3,438,333 | ||
5.47%, 12/28/34 | 4,500 | 5,226,107 | ||
Travelport LLC, 6.58%, 12/01/16 (a)(b)(j) | USD | 931 | 656,037 | |
Tropicana Entertainment LLC, Series WI, | ||||
9.63%, 12/15/14 (c)(k) | 375 | — | ||
20,564,006 | ||||
Household Durables — 0.8% | ||||
Beazer Homes USA, Inc., 12.00%, 10/15/17 | 3,800 | 4,142,000 | ||
Berkline/Benchcraft LLC, 4.50%, 11/03/12 (c)(k) | 200 | — | ||
Standard Pacific Corp., 8.38%, 1/15/21 | 860 | 913,750 | ||
5,055,750 | ||||
Independent Power Producers & Energy Traders — 2.4% | ||||
AES Corp.: | ||||
7.75%, 10/15/15 (e) | 2,440 | 2,757,200 | ||
9.75%, 4/15/16 | 710 | 844,900 | ||
7.38%, 7/01/21 (a) | 440 | 501,600 | ||
Calpine Corp. (a)(e): | ||||
7.25%, 10/15/17 | 405 | 429,300 | ||
7.50%, 2/15/21 | 530 | 575,050 | ||
Energy Future Holdings Corp., 10.00%, 1/15/20 | 3,625 | 3,919,531 | ||
Energy Future Intermediate Holding Co. LLC: | ||||
10.00%, 12/01/20 | 3,650 | 3,964,812 | ||
11.75%, 3/01/22 (a)(e) | 1,495 | 1,532,375 | ||
Laredo Petroleum, Inc., 9.50%, 2/15/19 | 395 | 435,488 | ||
QEP Resources, Inc., 5.38%, 10/01/22 (i) | 476 | 480,760 | ||
15,441,016 | ||||
Industrial Conglomerates — 1.5% | ||||
Sequa Corp. (a): | ||||
11.75%, 12/01/15 | 2,950 | 3,134,375 | ||
13.50%, 12/01/15 | 5,870 | 6,266,224 | ||
9,400,599 | ||||
Insurance — 1.4% | ||||
Allied World Assurance Co. Holdings, Ltd., | ||||
7.50%, 8/01/16 (e) | 3,000 | 3,414,273 | ||
CNO Financial Group, Inc., 9.00%, 1/15/18 (a) | 2,353 | 2,532,416 | ||
Forethought Financial Group, Inc., 8.63%, | ||||
4/15/21 (a)(e) | 750 | 753,406 | ||
Genworth Financial, Inc., 7.63%, 9/24/21 (e) | 990 | 1,027,149 | ||
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a) | 595 | 531,038 | ||
Muenchener Rueckversicherungs AG, 6.00%, | ||||
5/26/41 (b) | EUR | 400 | 540,930 | |
8,799,212 | ||||
IT Services — 0.4% | ||||
Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a) | USD | 1,260 | 1,304,100 | |
First Data Corp.: | ||||
7.38%, 6/15/19 (a)(e) | 255 | 257,869 | ||
8.25%, 1/15/21 (a) | 95 | 91,912 | ||
12.63%, 1/15/21 | 1,088 | 1,142,400 | ||
2,796,281 | ||||
Machinery — 0.5% | ||||
Navistar International Corp., 8.25%, 11/01/21 | 400 | 437,500 | ||
UR Financing Escrow Corp. (a)(i): | ||||
5.75%, 7/15/18 | 1,244 | 1,278,210 | ||
7.38%, 5/15/20 | 805 | 826,131 | ||
7.63%, 4/15/22 | 733 | 758,655 | ||
3,300,496 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Media — 5.6% | ||||
AMC Networks, Inc., 7.75%, 7/15/21 (a) | USD | 525 | $ | 585,375 |
CCH II LLC, 13.50%, 11/30/16 | 4,106 | 4,721,944 | ||
CCO Holdings LLC, 7.88%, 4/30/18 | 1,525 | 1,666,062 | ||
Checkout Holding Corp., 10.68%, 11/15/15 (a)(g) | 1,570 | 706,500 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
9.25%, 12/15/17 | 933 | 1,021,635 | ||
7.63%, 3/15/20 (a)(i) | 1,995 | 1,995,000 | ||
Series B, 9.25%, 12/15/17 | 5,272 | 5,799,200 | ||
DIRECTV Holdings LLC, 3.13%, 2/15/16 (e) | 3,000 | 3,131,439 | ||
DISH DBS Corp.: | ||||
7.00%, 10/01/13 (e) | 1,450 | 1,556,938 | ||
7.13%, 2/01/16 | 200 | 221,000 | ||
6.75%, 6/01/21 | 515 | 571,650 | ||
Intelsat Luxemburg SA, 11.50%, 2/04/17 (j) | 280 | 288,400 | ||
Interactive Data Corp., 10.25%, 8/01/18 | 2,210 | 2,491,775 | ||
Kabel BW Erste Beteiligungs GmbH, 7.50%, | ||||
3/15/19 (a) | 1,440 | 1,555,200 | ||
Lamar Media Corp., 5.88%, 2/01/22 (a) | 675 | 704,531 | ||
NAI Entertainment Holdings LLC, 8.25%, | ||||
12/15/17 (a)(e) | 1,445 | 1,589,500 | ||
Nielsen Finance LLC, 7.75%, 10/15/18 | 1,400 | 1,557,500 | ||
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(h)(k) | 3,454 | 1,727 | ||
Unitymedia Hessen GmbH & Co. KG, 8.13%, | ||||
12/01/17 (a)(e) | 4,090 | 4,437,650 | ||
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (e) | 1,000 | 1,090,000 | ||
35,693,026 | ||||
Metals & Mining — 2.0% | ||||
Freeport-McMoRan Copper & Gold, Inc. (e): | ||||
1.40%, 2/13/15 | 1,310 | 1,312,254 | ||
8.38%, 4/01/17 | 3,000 | 3,140,343 | ||
New World Resources NV, 7.88%, 5/01/18 | EUR | 995 | 1,345,523 | |
Novelis, Inc., 8.75%, 12/15/20 (e) | USD | 3,875 | 4,320,625 | |
Xstrata Canada Financial Corp., 2.85%, | ||||
11/10/14 (a)(e) | 2,450 | 2,500,762 | ||
12,619,507 | ||||
Multiline Retail — 0.4% | ||||
Dollar General Corp., 11.88%, 7/15/17 (b)(e) | 2,458 | 2,697,680 | ||
Oil, Gas & Consumable Fuels — 6.3% | ||||
Anadarko Petroleum Corp., 5.95%, 9/15/16 (e) | 719 | 832,403 | ||
Arch Coal, Inc., 7.00%, 6/15/19 (a) | 305 | 305,000 | ||
Berry Petroleum Co., 8.25%, 11/01/16 | 550 | 573,375 | ||
BP Capital Markets Plc, 5.25%, 11/07/13 (e) | 6,000 | 6,445,590 | ||
Chesapeake Midstream Partners LP, 6.13%, 7/15/22 (a) | 510 | 527,850 | ||
Chesapeake Oilfield Operating LLC, 6.63%, 11/15/19 (a) | 45 | 45,900 | ||
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)(e) | 634 | 678,380 | ||
Consol Energy, Inc., 8.25%, 4/01/20 (e) | 2,150 | 2,343,500 | ||
Crosstex Energy LP, 8.88%, 2/15/18 | 135 | 146,475 | ||
Denbury Resources, Inc.: | ||||
8.25%, 2/15/20 (e) | 971 | 1,106,940 | ||
6.38%, 8/15/21 | 810 | 893,025 | ||
El Paso Corp., 7.00%, 6/15/17 | 2,265 | 2,530,999 | ||
Forest Oil Corp., 8.50%, 2/15/14 | 125 | 135,625 | ||
Holly Energy Partners LP, 6.50%, 3/01/20 (a)(i) | 215 | 219,569 | ||
Linn Energy LLC: | ||||
6.25%, 11/01/19 (a) | 2,210 | 2,207,238 | ||
8.63%, 4/15/20 | 515 | 571,650 | ||
7.75%, 2/01/21 | 695 | 747,125 | ||
Niska Gas Storage US LLC, 8.88%, 3/15/18 | 350 | 336,000 | ||
Oasis Petroleum, Inc.: | ||||
7.25%, 2/01/19 | 475 | 503,500 | ||
6.50%, 11/01/21 | 410 | 422,300 | ||
OGX Petroleo e Gas Participacoes SA, 8.50%, 6/01/18 (a) | 7,230 | 7,537,275 | ||
PetroBakken Energy, Ltd., 8.63%, 2/01/20 (a) | 930 | 988,125 | ||
Petrohawk Energy Corp. (e): | ||||
10.50%, 8/01/14 | 840 | 933,450 | ||
7.88%, 6/01/15 | 1,130 | 1,193,563 | ||
7.25%, 8/15/18 | 740 | 846,375 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 35 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Par | ||||
Corporate Bonds | (000) | Value | ||
Oil, Gas & Consumable Fuels (concluded) | ||||
Plains Exploration & Production Co., 6.75%, | ||||
2/01/22 (e) | USD | 1,035 | $ | 1,133,325 |
Range Resources Corp.: | ||||
5.75%, 6/01/21 (e) | 1,735 | 1,856,450 | ||
5.00%, 8/15/22 (i) | 805 | 813,050 | ||
Ruby Pipeline LLC (a): | ||||
4.50%, 4/01/17 (e) | 1,215 | 1,212,006 | ||
6.00%, 4/01/22 | 895 | 893,205 | ||
SandRidge Energy, Inc., 7.50%, 3/15/21 | 575 | 580,750 | ||
39,560,018 | ||||
Paper & Forest Products — 0.4% | ||||
Longview Fibre Paper & Packaging, Inc., | ||||
8.00%, 6/01/16 (a) | 395 | 405,863 | ||
NewPage Corp., 11.38%, 12/31/14 (c)(e)(k) | 3,445 | 2,075,612 | ||
2,481,475 | ||||
Pharmaceuticals — 0.7% | ||||
Aristotle Holding, Inc., 2.65%, 2/15/17 (a)(e) | 2,710 | 2,713,087 | ||
Valeant Pharmaceuticals International, | ||||
6.50%, 7/15/16 (a)(e) | 1,470 | 1,499,400 | ||
4,212,487 | ||||
Real Estate Investment Trusts (REITs) — 0.5% | ||||
Felcor Lodging LP, 6.75%, 6/01/19 | 1,610 | 1,646,225 | ||
Ventas Realty LP/Ventas Capital Corp., | ||||
4.75%, 6/01/21 (e) | 1,300 | 1,339,433 | ||
2,985,658 | ||||
Real Estate Management & Development — 1.9% | ||||
Realogy Corp.: | ||||
11.50%, 4/15/17 (e) | 215 | 196,725 | ||
12.00%, 4/15/17 | 225 | 207,000 | ||
7.88%, 2/15/19 (a)(e) | 2,865 | 2,779,050 | ||
7.63%, 1/15/20 (a)(e) | 1,675 | 1,729,437 | ||
9.00%, 1/15/20 (a)(e) | 480 | 482,400 | ||
Shea Homes LP, 8.63%, 5/15/19 (a) | 1,165 | 1,176,650 | ||
The Unique Pub Finance Co. Plc,: | ||||
Series A3, 6.54%, 3/30/21 | GBP | 1,700 | 2,217,715 | |
Series A4, 5.66%, 6/30/27 | 509 | 607,326 | ||
Series M, 7.40%, 3/28/24 | 2,750 | 2,624,985 | ||
12,021,288 | ||||
Road & Rail — 1.4% | ||||
Asciano Finance Ltd., 3.13%, 9/23/15 (a)(e) | USD | 3,400 | 3,358,299 | |
Avis Budget Car Rental LLC, 8.25%, 1/15/19 | 60 | 62,550 | ||
Florida East Coast Railway Corp., 8.13%, 2/01/17 | 530 | 535,300 | ||
Hertz Corp.,: | ||||
7.50%, 10/15/18 (i) | 635 | 685,006 | ||
6.75%, 4/15/19 | 1,030 | 1,078,925 | ||
6.75%, 4/15/19 (a) | 405 | 424,238 | ||
7.38%, 1/15/21 | 2,585 | 2,798,262 | ||
8,942,580 | ||||
Tobacco — 0.5% | ||||
Reynolds American, Inc., 7.63%, 6/01/16 (e) | 2,500 | 3,014,940 | ||
Transportation Infrastructure — 0.3% | ||||
Aguila 3 SA, 7.88%, 1/31/18 (a) | 498 | 523,522 | ||
Federal Express Corp. 2012 Pass Through Trust, | ||||
2.63%, 1/15/18 (a)(e) | 1,468 | 1,466,936 | ||
1,990,458 | ||||
Wireless Telecommunication Services — 2.6% | ||||
Cricket Communications, Inc., 7.75%, 5/15/16 (e) | 2,250 | 2,396,250 | ||
Crown Castle Towers LLC, 4.52%, 1/15/35 (a) | 3,000 | 3,123,021 | ||
Digicel Group Ltd. (a): | ||||
8.88%, 1/15/15 | 720 | 732,600 | ||
9.13%, 1/15/15 | 2,267 | 2,312,340 | ||
8.25%, 9/01/17 | 1,335 | 1,415,100 | ||
Sprint Capital Corp., 6.88%, 11/15/28 | 1,470 | 1,146,600 |
Par | ||||
Corporate Bonds | (000) | Value | ||
Wireless Telecommunication Services (concluded) | ||||
Sprint Nextel Corp. (a): | ||||
9.00%, 11/15/18 (e) | USD | 3,070 | $ | 3,423,050 |
7.00%, 3/01/20 (i) | 1,620 | 1,646,325 | ||
16,195,286 | ||||
Total Corporate Bonds — 61.7% | 390,181,770 | |||
Floating Rate Loan Interests (b) | ||||
Aerospace & Defense — 0.2% | ||||
TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17 | 1,485 | 1,483,693 | ||
Airlines — 0.2% | ||||
Delta Air Lines, Inc., Credit New Term Loan B, | ||||
5.50%, 4/20/17 | 1,008 | 983,968 | ||
Auto Components — 1.1% | ||||
Allison Transmission, Inc., Term Loan B, 2.75%, 8/07/14 | 3,277 | 3,240,214 | ||
Autoparts Holdings Ltd.: | ||||
First Lien Term Loan, 6.50%, 7/28/17 | 998 | 999,994 | ||
Second Lien Term Loan, 10.50%, 1/29/18 | 1,500 | 1,458,750 | ||
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17 | 1,335 | 1,338,898 | ||
7,037,856 | ||||
Beverages — 0.0% | ||||
Le-Nature's, Inc., Tranche B Term Loan, 0.00%, | ||||
3/01/11 (c)(h)(k) | 1,000 | 100 | ||
Biotechnology — 0.4% | ||||
Grifols SA, Term Loan B, 4.50%, 2/13/18 | 2,495 | 2,491,532 | ||
Building Products — 1.4% | ||||
CPG International, Inc., Term Loan B, 6.00%, 2/18/17 | 990 | 935,550 | ||
Goodman Global Holdings, Inc., Initial Term Loan | ||||
(First Lien), 5.75%, 10/28/16 | 4,421 | 4,442,947 | ||
Goodman Global, Inc., Term Loan (Second Lien), | ||||
9.00%, 10/30/17 | 1,145 | 1,163,358 | ||
Momentive Performance Materials, Inc. (Blitz 06-103 | ||||
GmbH), Tranche B-2B Term Loan, 4.08%, 5/05/15 | EUR | 1,516 | 1,911,844 | |
United Subcontractors, Inc., Term Loan (First Lien), | ||||
4.58%, 6/30/15 | USD | 155 | 123,821 | |
8,577,520 | ||||
Capital Markets — 0.7% | ||||
HarbourVest Partners, Term Loan (First Lien), | ||||
6.25%, 12/16/16 | 2,305 | 2,306,846 | ||
Nuveen Investments, Inc.: | ||||
(First Lien), Term Loan, 3.30% — 3.58%, 11/13/14 | 198 | 196,389 | ||
Extended Term Loan, 5.74% — 5.83%, 5/12/17 | 1,137 | 1,133,437 | ||
Incremental Term Loan, 7.25%, 5/13/17 | 790 | 795,530 | ||
4,432,202 | ||||
Chemicals — 1.8% | ||||
American Rock Salt Holdings LLC, Term Loan B, | ||||
5.50%, 4/25/17 | 997 | 926,955 | ||
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 | 1,100 | 1,103,443 | ||
Gentek, Inc., Term Loan B, 5.00% — 5.75%, 10/06/15 | 1,074 | 1,067,006 | ||
MDI Holdings LLC, Tranche C Term Loan, | ||||
2.76%, 4/11/14 | EUR | 458 | 594,922 | |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 | USD | 1,290 | 1,270,354 | |
PQ Corp., Original Term Loan (First Lien), | ||||
3.50%, 7/30/14 | 1,423 | 1,388,323 | ||
Styron Sarl LLC, Term Loan B, | ||||
6.00% — 6.75%, 8/02/17 | 2,161 | 1,948,068 | ||
Tronox Worldwide LLC: | ||||
Delayed Draw Term Loan, 1.00%, 2/09/18 | 342 | 341,403 | ||
Term Loan B, 4.25%, 2/08/18 | 1,253 | 1,251,811 | ||
Univar, Inc., Term Loan B, 5.00%, 6/30/17 | 1,375 | 1,363,564 | ||
11,255,849 |
See Notes to Financial Statements.
36 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Commercial Services & Supplies — 1.8% | ||||
Altegrity, Inc., Tranche D Term Loan, 7.75%, 2/20/15 | USD | 3,718 | $ | 3,713,372 |
AWAS Finance Luxembourg Sarl, Term Loan B, | ||||
5.25%, 6/10/16 | 1,122 | 1,118,508 | ||
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16 | 1,454 | 1,455,402 | ||
KAR Auction Services, Inc., Term Loan B, | ||||
5.00%, 5/19/17 | 1,493 | 1,490,634 | ||
Synagro Technologies, Inc., Term Loan B, | ||||
2.25% — 2.26%, 4/02/14 | 1,141 | 1,020,813 | ||
Volume Services America, Inc., Term Loan B, | ||||
10.50% — 10.75%, 9/16/16 | 2,568 | 2,578,206 | ||
11,376,935 | ||||
Communications Equipment — 0.5% | ||||
Avaya, Inc.: | ||||
Term Loan B1, 3.24%, 10/24/14 | 1,373 | 1,343,237 | ||
Term Loan B3, 4.99%, 10/26/17 | 630 | 610,955 | ||
CommScope, Inc., Term Loan B, 5.00%, 1/14/18 | 1,241 | 1,240,054 | ||
3,194,246 | ||||
Construction & Engineering — 0.6% | ||||
Safway Services, LLC, First Out Tranche Loan, | ||||
9.00%, 12/16/17 | 3,750 | 3,750,000 | ||
Consumer Finance — 0.1% | ||||
Springleaf Finance Corp, Term Loan, 5.50%, 5/10/17 | 925 | 843,239 | ||
Containers & Packaging — 0.1% | ||||
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18 | 611 | 616,599 | ||
Diversified Consumer Services — 1.8% | ||||
Coinmach Service Corp., Term Loan B, 3.41%, 11/20/14 | 4,571 | 4,210,286 | ||
Laureate Education, Inc., Extended Term Loan, | ||||
5.25%, 8/15/18 | 4,576 | 4,367,898 | ||
ServiceMaster Co.: | ||||
Delayed Draw Term Loan, 2.75%, 7/24/14 | 249 | 245,858 | ||
Term Loan, 2.77% — 3.03%, 7/24/14 | 2,499 | 2,468,820 | ||
11,292,862 | ||||
Diversified Financial Services — 0.5% | ||||
Reynolds Group Holdings, Inc., Tranche C Term Loan, | ||||
5.25% — 6.50%, 8/09/18 | 3,454 | 3,489,771 | ||
Diversified Telecommunication Services — 1.4% | ||||
Hawaiian Telcom Communications, Inc., Term Loan B, | ||||
9.00%, 2/25/17 | 1,755 | 1,750,612 | ||
Level 3 Financing, Inc.: | ||||
Term Loan B2, 5.75%, 9/03/18 | 2,600 | 2,617,888 | ||
Term Loan B3, 5.75%, 8/31/18 | 2,800 | 2,819,264 | ||
Tranche A Term Loan, 2.50% — 2.83%, 3/13/14 | 1,150 | 1,131,025 | ||
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 | 499 | 472,683 | ||
8,791,472 | ||||
Electric Utilities — 0.1% | ||||
TPF Generation Holdings LLC: | ||||
Synthetic Letter of Credit Deposit (First Lien), | ||||
2.58%, 12/13/13 | 151 | 149,289 | ||
Term Loan (First Lien), 2.58%, 12/13/13 | 251 | 249,055 | ||
398,344 | ||||
Electronic Equipment, Instruments & Components — 0.4% | ||||
CDW LLC (FKA CDW Corp.), Extended Term Loan, | ||||
4.00%, 7/14/17 | 1,246 | 1,217,811 | ||
Sensata Technologies Finance Co. LLC, Term Loan, | ||||
4.00%, 5/11/18 | 1,647 | 1,643,059 | ||
2,860,870 | ||||
Energy Equipment & Services — 1.6% | ||||
CCS Corp., Term Loan B, 3.24%, 11/14/14 | 1,639 | 1,586,039 | ||
Dynegy Midwest Generation LLC., Coal Co. Term Loan, | ||||
9.25%, 8/04/16 | 2,326 | 2,313,097 | ||
Dynegy Power LLC., Gas Co. Term Loan, 9.25%, 8/04/16 | 4,257 | 4,391,436 | ||
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18 | 1,995 | 1,990,910 | ||
10,281,482 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Food & Staples Retailing — 0.1% | ||||
U.S. Foodservice, Inc., Term Loan B, 2.74% — 2.75%, | ||||
7/03/14 | USD | 692 | $ | 668,174 |
Food Products — 1.1% | ||||
Advance Pierre Foods: | ||||
Term Loan (First Lien), 7.00%, 9/30/16 | 3,345 | 3,344,773 | ||
Term Loan (Second Lien), 11.25%, 9/29/17 | 1,300 | 1,301,079 | ||
Del Monte Corp., Term Loan, 4.50%, 3/08/18 | 1,164 | 1,141,037 | ||
Pinnacle Foods Finance LLC, Tranche D Term Loan, | ||||
6.00% — 6.50%, 4/02/14 | 1,019 | 1,024,472 | ||
Solvest Ltd. (Dole): | ||||
Tranche B-2 Term Loan, 5.00% — 6.00%, 7/06/18 | 97 | 97,590 | ||
Tranche C-2 Term Loan, 5.00% — 6.00%, 7/06/18 | 181 | 181,239 | ||
7,090,190 | ||||
Health Care Equipment & Supplies — 0.3% | ||||
Biomet, Inc., Term Loan B, 3.24% — 3.57%, 3/25/15 | 368 | 363,977 | ||
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19 | 1,000 | 999,380 | ||
Immucor, Inc., Term Loan B, 7.25%, 8/17/18 | 299 | 301,270 | ||
1,664,627 | ||||
Health Care Providers & Services — 2.4% | ||||
Ardent Health Services, Term Loan (First Lien), | ||||
6.50%, 9/15/15 | 1 | 1,294 | ||
CHS/Community Health Systems, Inc.: | ||||
Non-Extended Delayed Draw Term Loan, | ||||
3.25%, 7/25/14 | 91 | 89,841 | ||
Non-Extended Term Loan, 2.49% — 4.50%, 7/25/14 | 1,773 | 1,749,580 | ||
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16 | 1,287 | 1,283,384 | ||
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 | 1,980 | 1,984,534 | ||
Emergency Medical Services, Term Loan, 5.25%, 5/25/18 | 951 | 947,574 | ||
Harden Healthcare LLC: | ||||
Term Loan A, 8.50%, 3/02/15 | 574 | 562,318 | ||
Tranche A Additional Term Loan, 7.75%, 3/02/15 | 3,458 | 3,389,316 | ||
Health Management Associates, Inc., Term Loan B, | ||||
4.50%, 11/16/18 | 270 | 268,245 | ||
inVentiv Health, Inc.: | ||||
Combined Term Loan, 6.50%, 8/04/16 | 1,509 | 1,450,502 | ||
Incremental Term Loan B-3, 6.75%, 5/15/18 | 993 | 952,800 | ||
Medpace, Inc., Term Loan, 6.50% — 7.25%, 6/16/17 | 2,836 | 2,722,320 | ||
15,401,708 | ||||
Health Care Technology — 0.2% | ||||
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17 | 905 | 905,871 | ||
Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18 | 620 | 630,075 | ||
1,535,946 | ||||
Hotels, Restaurants & Leisure — 2.3% | ||||
Caesars Entertainment Operating Co., Inc.: | ||||
Incremental Term Loan B4, 9.50%, 10/31/16 | 1,237 | 1,272,138 | ||
Term Loan B1, 3.24%, 1/28/15 | 2,574 | 2,412,063 | ||
Term Loan B3, 3.24% — 3.47%, 1/28/15 | 6,423 | 6,017,964 | ||
Dunkin' Brands, Inc., Term Loan B, 4.00% — 5.25%, | ||||
11/23/17 | 1,617 | 1,612,330 | ||
OSI Restaurant Partners LLC: | ||||
Revolver, 2.56% — 2.79%, 6/14/13 | 43 | 42,354 | ||
Term Loan B, 2.56%, 6/14/14 | 114 | 111,031 | ||
Seaworld Parks & Entertainment, Inc., Term Loan B, | ||||
4.00%, 8/17/17 | 357 | 356,895 | ||
Six Flags Theme Parks, Inc., Tranche B Term Loan | ||||
(First Lien), 4.25%, 12/20/18 | 1,155 | 1,149,953 | ||
Travelport LLC: | ||||
Extended Term Loan Tranche A, 6.54%, 9/28/12 | 428 | 203,454 | ||
Extended Term Loan Tranche B, 14.04%, 12/01/16 | 1,331 | 299,431 | ||
Twin River Worldwide Holdings, Inc., Term Loan, | ||||
8.50%, 11/05/15 | 1,282 | 1,282,308 | ||
14,759,921 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 37 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Household Durables — 0.0% | ||||
Berkline/Benchcraft LLC, Term Loan B, 14.00%, | ||||
11/03/13 (c)(k) | USD | 155 | $ | 43,019 |
Household Products — 0.2% | ||||
Prestige Brands, Inc., Term Loan, 5.25%, 1/31/19 | 1,000 | 1,003,750 | ||
Independent Power Producers & Energy Traders — 0.3% | ||||
The AES Corp., Term Loan, 4.25%, 6/01/18 | 1,489 | 1,487,261 | ||
Texas Competitive Electric Holdings Co. LLC, | ||||
Extended Term Loan, 4.76%, 10/10/17 | 428 | 238,590 | ||
1,725,851 | ||||
Industrial Conglomerates — 0.3% | ||||
Sequa Corp.: | ||||
Incremental Term Loan, 6.25%, 12/03/14 | 340 | 341,132 | ||
Term Loan, 3.76% — 3.84%, 12/03/14 | 1,824 | 1,804,561 | ||
2,145,693 | ||||
Internet Software & Services — 0.2% | ||||
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17 | 992 | 968,115 | ||
IT Services — 2.1% | ||||
Ceridian Corp., Term Loan, 3.24%, 11/10/14 | 1,359 | 1,285,209 | ||
First Data Corp.: | ||||
Extended Term Loan B, 4.24%, 3/23/18 | 5,739 | 5,150,016 | ||
Term Loan B-1, 2.99%, 9/24/14 | 860 | 821,868 | ||
Term Loan B-3, 2.99%, 9/24/14 | 109 | 103,775 | ||
infoGROUP, Inc., Term Loan B, 5.75%, 5/22/18 | 1,061 | 991,946 | ||
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18 | 2,050 | 2,054,987 | ||
TransUnion LLC, Term Loan B, 4.75%, 2/12/18 | 3,147 | 3,150,017 | ||
13,557,818 | ||||
Leisure Equipment & Products — 0.1% | ||||
Eastman Kodak Co., DIP Term Loan B, 1.00%, 7/20/13 | 845 | 855,301 | ||
Machinery — 0.6% | ||||
Terex Corp.: | ||||
Term Loan, 6.00%, 4/28/17 | EUR | 309 | 408,891 | |
Term Loan B, 5.50%, 4/28/17 | USD | 998 | 1,004,562 | |
Tomkins LLC, Term Loan B, 4.25%, 9/29/16 | 2,158 | 2,155,924 | ||
3,569,377 | ||||
Media — 7.1% | ||||
Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16 | 1,474 | 1,378,909 | ||
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18 | 2,189 | 2,175,319 | ||
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18 | 697 | 700,477 | ||
Cengage Learning Acquisitions, Inc., Tranche 1 | ||||
Incremental Term Loan, 7.50%, 7/03/14 | 2,036 | 1,970,027 | ||
Cequel Communications LLC, Term Loan B, | ||||
1.00%, 2/11/19 | 2,685 | 2,657,532 | ||
Charter Communications Operating LLC: | ||||
Term Loan B, 7.25%, 3/06/14 | 64 | 63,561 | ||
Term Loan C, 3.83%, 9/06/16 | 3,043 | 3,019,687 | ||
Clear Channel Communications: | ||||
Term Loan B, 3.89%, 1/28/16 | 3,355 | 2,753,514 | ||
Term Loan C, 3.89%, 1/28/16 | 795 | 630,038 | ||
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18 | 1,500 | 1,501,245 | ||
HMH Publishing Co., Ltd., Term Loan, 6.51%, 6/12/14 | 3,187 | 1,969,487 | ||
Hubbard Broadcasting, Term Loan B (Second Lien), | ||||
5.25%, 4/28/17 | 896 | 896,243 | ||
Intelsat Jackson Holdings SA, Tranche B Term Loan, | ||||
5.25%, 4/02/18 | 5,459 | 5,449,470 | ||
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 | 2,382 | 2,376,640 | ||
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19 | 3,195 | 3,179,025 | ||
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG): | ||||
Second Lien Term Loan, 5.18%, 9/02/16 | EUR | 904 | 891,852 | |
Term Loan B, 3.80%, 3/06/15 | 304 | 351,749 | ||
Term Loan C, 4.06%, 3/04/16 | 304 | 353,773 | ||
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13 | USD | 4,505 | 4,634,519 |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Media (concluded) | ||||
Sinclair Television Group, Inc.: | ||||
Incremental Term Loan B3, 1.00%, 10/28/16 | USD | 660 | $ | 656,905 |
Tranche B Term Loan, 4.00%, 10/28/16 | 565 | 562,350 | ||
Univision Communications, Inc., Extended First Lien | ||||
Term Loan, 4.49%, 3/31/17 | 3,915 | 3,635,469 | ||
UPC Broadband Holding B.V., Term Loan U, | ||||
4.72%, 12/29/17 | EUR | 97 | 126,615 | |
UPC Financing Partnership: | ||||
Term Loan, 4.75%, 12/29/17 | USD | 1,045 | 1,043,171 | |
Term Loan T, 3.77%, 12/30/16 | 355 | 349,054 | ||
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18 | 624 | 622,391 | ||
Weather Channel, Term Loan B, 4.25%, 2/13/17 | 1,116 | 1,116,422 | ||
45,065,444 | ||||
Metals & Mining — 1.2% | ||||
Novelis, Inc.: | ||||
Incremental Term Loan B2, 4.00%, 3/10/17 | 2,486 | 2,474,813 | ||
Term Loan, 4.00%, 3/10/17 | 3,317 | 3,299,918 | ||
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18 | 1,647 | 1,639,452 | ||
7,414,183 | ||||
Multi-Utilities — 0.0% | ||||
FirstLight Power Resources, Inc. Term B Advance | ||||
(First Lien), 2.75%, 11/01/13 | 325 | 306,439 | ||
Multiline Retail — 0.8% | ||||
99 Cents Only Stores, Term Loan B, 6.00% — 7.00%, | ||||
1/11/19 | 915 | 920,883 | ||
Hema Holding BV: | ||||
Second Lien Term Loan, 5.69%, 1/05/17 | EUR | 2,600 | 3,013,661 | |
Term Loan B, 2.69%, 7/06/15 | 338 | 434,148 | ||
Term Loan C, 3.44%, 7/05/16 | 338 | 431,894 | ||
4,800,586 | ||||
Oil, Gas & Consumable Fuels — 0.9% | ||||
Gibson Energy, Term Loan B, 5.75%, 6/15/18 | USD | 1,493 | 1,494,052 | |
Obsidian Natural Gas Trust, Term Loan, | �� | |||
7.00%, 11/02/15 | 3,933 | 3,952,850 | ||
5,446,902 | ||||
Paper & Forest Products — 0.3% | ||||
NewPage Corp., Term Loan, 8.00%, 3/07/13 | 1,450 | 1,460,875 | ||
Verso Paper Finance Holdings LLC, Term Loan, | ||||
6.79% — 7.54%, 2/01/13 (j) | 710 | 355,082 | ||
1,815,957 | ||||
Pharmaceuticals — 1.0% | ||||
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 | 1,485 | 1,472,378 | ||
Pharmaceutical Product Development, Inc., | ||||
Term Loan B, 6.25%, 12/05/18 | 1,235 | 1,245,806 | ||
Taminco Global Chemical Corp., New Term Loan, | ||||
6.25%, 2/15/19 | 675 | 677,774 | ||
Valeant Pharmaceuticals International, Add-on Term | ||||
Loan B, 3.75%, 2/08/19 | 1,615 | 1,609,961 | ||
Warner Chilcott Corp.: | ||||
Term Loan B-1, 4.25%, 3/15/18 | 907 | 905,296 | ||
Term Loan B-2, 4.25%, 3/15/18 | 454 | 452,648 | ||
6,363,863 | ||||
Professional Services — 0.4% | ||||
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18 | 1,000 | 1,011,430 | ||
Fifth Third Processing Solutions LLC, Term Loan B | ||||
(First Lien), 4.50%, 11/03/16 | 1,640 | 1,641,202 | ||
2,652,632 | ||||
Real Estate Investment Trusts (REITs) — 0.6% | ||||
Istar Financial, Inc., Term Loan A1, 5.00%, 6/28/13 | 4,022 | 4,003,854 | ||
Real Estate Management & Development — 0.5% | ||||
Realogy Corp., Extended Term Loan, 4.77%, 10/10/16 | 3,099 | 2,875,786 |
See Notes to Financial Statements.
38 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Par | ||||
Floating Rate Loan Interests (b) | (000) | Value | ||
Road & Rail — 0.4% | ||||
RailAmerica, Inc., Term Loan B, 1.00%, 2/27/19 | USD | 2,390 | $ | 2,384,025 |
Semiconductors & Semiconductor Equipment — 0.3% | ||||
Freescale Semiconductor, Inc., Extended | ||||
Term Loan B, 4.52%, 12/01/16 | 1,053 | 1,025,813 | ||
NXP B.V., Term Loan A-2, 5.50%, 3/03/17 | 739 | 732,986 | ||
1,758,799 | ||||
Software — 0.3% | ||||
Bankruptcy Management Solutions, Inc., Term Loan | ||||
(First Lien), 7.50%, 8/20/14 | 719 | 152,881 | ||
Infor Enterprise Solutions Holdings, Inc., Extended | ||||
Initial Term Loan, 1.00%, 7/28/15 | EUR | 765 | 961,059 | |
Sophia, LP, Term Loan B, 6.25%, 7/19/18 | USD | 920 | 929,586 | |
2,043,526 | ||||
Specialty Retail — 1.9% | ||||
Academy Ltd., Term Loan, 6.00%, 8/03/18 | 1,800 | 1,799,802 | ||
Burlington Coat Factory Warehouse Corp., | ||||
Term Loan B, 6.25%, 2/23/17 | 575 | 574,500 | ||
Claire's Stores, Inc., Term Loan B, 2.99% — 3.30%, | ||||
5/29/14 | 1,005 | 952,295 | ||
General Nutrition Centers, Inc., Term Loan B, | ||||
4.25%, 3/02/18 | 1,875 | 1,869,450 | ||
The Gymboree Corp., Term Loan, 5.00%, 2/23/18 | 595 | 559,449 | ||
Michaels Stores, Inc.: | ||||
Extended Term Loan B3, 5.13%, 7/29/16 | 1,870 | 1,858,899 | ||
Term Loan B-2, 5.13%, 7/29/16 | 1,098 | 1,091,567 | ||
Petco Animal Supplies, Inc., Term Loan B, | ||||
4.50%, 11/24/17 | 1,213 | 1,207,010 | ||
Toys ‘R’ Us Delaware, Inc., Term Loan B1, | ||||
6.00%, 9/01/16 | 1,878 | 1,880,163 | ||
11,793,135 | ||||
Trading Companies & Distributors — 0.0% | ||||
Beacon Sales Acquisition, Inc., Term Loan B, | ||||
2.24% — 4.00%, 9/30/13 | 118 | 115,601 | ||
Wireless Telecommunication Services — 1.7% | ||||
Crown Castle International Corp., Term Loan B, | ||||
4.00%, 1/31/19 | 1,020 | 1,015,359 | ||
Digicel International, Tranche A, 3.13%, 3/30/12 | 169 | 167,792 | ||
MetroPCS Wireless, Inc., Term Loan B-3, | ||||
4.00% — 4.06%, 3/16/18 | 1,037 | 1,028,719 | ||
Vodafone Americas Finance 2, Inc., Term Loan, | ||||
6.88%, 8/11/15 (j) | 8,583 | 8,583,337 | ||
10,795,207 | ||||
Total Floating Rate Loan Interests — 42.3% | 267,783,969 | |||
Non-Agency Mortgage-Backed Securities | ||||
Collateralized Mortgage Obligations — 3.8% | ||||
Adjustable Rate Mortgage Trust, Series 2007-1, | ||||
Class 3A21, 5.67%, 3/25/37 (b) | 2,089 | 1,934,550 | ||
Citicorp Mortgage Securities, Inc., Series 2006-2, | ||||
Class 1A7, 5.75%, 4/25/36 | 1,126 | 1,129,019 | ||
Countrywide Alternative Loan Trust, Series 2005-54CB, | ||||
Class 3A4, 5.50%, 11/25/35 | 7,314 | 5,453,626 | ||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||
Series 2005-17, Class 1A6, 5.50%, 9/25/35 | 2,652 | 2,546,131 | ||
Series 2006-17, Class A2, 6.00%, 12/25/36 | 4,921 | 4,157,440 | ||
Series 2007-16, Class A1, 6.50%, 10/25/37 | 2,577 | 2,301,901 | ||
Series 2007-HY5, Class 3A1, 5.83%, 9/25/37 (b) | 3,128 | 2,439,433 | ||
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, | ||||
2.78%, 10/25/35 (b) | 2,558 | 1,890,079 |
Non-Agency Mortgage-Backed Securities | Shares | Value | ||
Collateralized Mortgage Obligations (concluded) | ||||
Morgan Stanley Reremic Trust, Series 2010-R4, | ||||
Class 4A, 0.47%, 2/26/37 (a)(b) | USD | 2,534 | $ | 2,432,436 |
24,284,615 | ||||
Commercial Mortgage-Backed Securities — 9.9% | ||||
Banc of America Commercial Mortgage, Inc. (b): | ||||
Series 2007-3, Class A2, 5.63%, 6/10/49 | 1,958 | 1,994,450 | ||
Series 2007-4, Class A4, 5.72%, 2/10/51 | 2,150 | 2,473,652 | ||
Centre Parcs Mortgage Finance Plc, Series 2007-1, | ||||
Class A2, 3.13%, 10/10/18 | GBP | 1,943 | 3,088,699 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust, | ||||
Series 2007-CD4, Class A2B, 5.21%, 12/11/49 | USD | 812 | 820,695 | |
Credit Suisse Mortgage Capital Certificates: | ||||
Series 2006-C5, Class AM, 5.34%, 12/15/39 | 1,440 | 1,441,226 | ||
Series 2007-C2, Class A2, 5.45%, 1/15/49 (b) | 940 | 952,129 | ||
Series 2007-C3, Class A2, 5.71%, 6/15/39 (b) | 3,236 | 3,245,906 | ||
Series 2007-C4, Class A3, 5.79%, 9/15/39 (b) | 2,815 | 2,975,739 | ||
Series 2007-C5, Class AAB, 5.62%, 9/15/40 (b) | 2,085 | 2,257,555 | ||
Extended Stay America Trust, Series 2010-ESHA, | ||||
Class C, 4.86%, 11/05/27 (a) | 2,320 | 2,364,509 | ||
First Union Commercial Mortgage Securities, Inc., | ||||
Series 1997-C2, Class G, 7.50%, 11/18/29 (b) | 3,310 | 3,479,555 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2006-GG7, Class AM, 5.88%, 7/10/38 (b) | 1,610 | 1,685,823 | ||
Series 2007-GG9, Class A4, 5.44%, 3/10/39 | 2,110 | 2,342,524 | ||
GS Mortgage Securities Corp. II, Series 2006-GG6, | ||||
Class AM, 5.62%, 4/10/38 (b) | 3,680 | 3,830,516 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
Series 2004-LN2, Class A2, 5.12%, 7/15/41 | 2,315 | 2,477,654 | ||
Series 2007-CB18, Class A4, 5.44%, 6/12/47 | 2,110 | 2,371,933 | ||
Series 2007-CB19, Class A4, 5.73%, 2/12/49 (b) | 2,140 | 2,428,376 | ||
LB-UBS Commercial Mortgage Trust, Series 2007-C6, | ||||
Class A4, 5.86%, 7/15/40 (b) | 3,395 | 3,845,024 | ||
Morgan Stanley Capital I, Series 2007-IQ15, Class A2, | ||||
5.84%, 6/11/49 (b) | 2,007 | 2,026,356 | ||
Titan Europe Plc, Series 2006-4FSX, Class A1, | ||||
9.14%, 9/03/14 (b) | GBP | 413 | 631,388 | |
Wachovia Bank Commercial Mortgage Trust (b): | ||||
Series 2007-C33, Class A2, 5.85%, 2/15/51 | USD | 13,527 | 13,623,354 | |
Series 2007-C33, Class A4, 5.90%, 2/15/51 | 2,030 | 2,237,880 | ||
62,594,943 | ||||
Total Non-Agency Mortgage-Backed Securities — 13.7% | 86,879,558 | |||
Beneficial | ||||
Interest | ||||
Other Interests (l) | (000) | |||
Auto Components — 0.0% | ||||
Lear Corp. Escrow | 1,000 | 10,000 | ||
Diversified Financial Services — 0.2% | ||||
JG Wentworth LLC Preferred Equity Interests (c) | 1 | 1,361,513 | ||
Household Durables — 0.0% | ||||
Berkline Benchcraft Equity LLC | USD | 3 | — | |
Total Other Interests — 0.2% | 1,371,513 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 39 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
(Percentages shown are based on Net Assets) |
Preferred Securities | Shares | Value | ||
Preferred Stocks — 0.1% | ||||
Auto Components — 0.1% | ||||
Dana Holding Corp.,0.00% (a)(c)(h) | 6,000 | $ | 807,750 | |
Trust Preferred — 0.4% | ||||
Diversified Financial Services — 0.4% | ||||
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 | 89,360 | 2,090,106 | ||
Total Preferred Securities — 0.5% | 2,897,856 | |||
Par | ||||
Taxable Municipal Bonds | (000) | |||
State of California, GO: | ||||
5.25%, 4/01/14 | USD | 1,075 | 1,151,830 | |
5.10%, 8/01/14 | 2,225 | 2,334,759 | ||
State of California, GO, Various Purpose 3, | ||||
Mandatory Put Bonds, 5.65%, 4/01/39 (b) | 455 | 479,334 | ||
State of Illinois, GO, 3.32%, 1/01/13 | 5,075 | 5,178,276 | ||
Total Taxable Municipal Bonds — 1.4% | 9,144,199 | |||
US Government Sponsored Agency Securities | ||||
Collateralized Mortgage Obligations — 0.6% | ||||
Freddie Mac Mortgage-Backed Securities, Series 3986, | ||||
Class M, 4.50%, 9/15/41 | 3,446 | 3,682,719 | ||
Interest Only Collateralized Mortgage Obligations — 0.9% | ||||
Fannie Mae Mortgage-Backed Securities, | ||||
Series 2010-126, Class UI, 5.50%, 10/25/40 | 13,233 | 2,200,203 | ||
Freddie Mac Mortgage-Backed Securities, Series K706, | ||||
Class X1, 1.60%, 10/25/18 (b) | 45,000 | 3,915,540 | ||
6,115,743 | ||||
Mortgage-Backed Securities — 7.8% | ||||
Fannie Mae Mortgage-Backed Securities (e): | ||||
5.00% , 7/01/20 — 8/01/23 | 14,867 | 16,091,459 | ||
3.50%, 8/01/26 | 12,518 | 13,251,602 | ||
Freddie Mac Mortgage-Backed Securities, 4.50%, | ||||
4/01/25 (e) | 18,205 | 19,773,262 | ||
49,116,323 | ||||
Total US Government Sponsored Agency Securities — 9.3% | 58,914,785 | |||
US Treasury Obligations — 0.0% | ||||
US Treasury Note, 0.38%, 7/31/13 (e) | 145 | 145,249 | ||
Warrants (m) | Shares | |||
Media — 0.1% | ||||
Cumulus Media, Inc. (Expires 3/26/19) | 51,701 | 373,426 | ||
Software — 0.0% | ||||
Bankruptcy Management Solutions, Inc. | ||||
(Expires 9/29/17) | 435 | — | ||
HMH Holdings/EduMedia (Expires 3/09/17) | 210 | 2 | ||
2 | ||||
Total Warrants — 0.1% | 373,428 | |||
Total Long-Term Investments | ||||
(Cost — $864,593,344) — 136.7% | 865,328,167 |
Short-Term Securities | Shares | Value | ||
BlackRock Liquidity Funds, TempFund, | ||||
Institutional Class, 0.11% (n)(o) | 166,291 | $ | 166,291 | |
Total Short-Term Securities | ||||
(Cost — $166,291) — 0.0% | 166,291 | |||
Options Purchased | Contracts | |||
Over-the-Counter Call Options — 0.0% | ||||
Marsico Parent Superholdco LLC, Strike Price | ||||
USD 942.86, Expires 12/14/19, Broker | ||||
Goldman Sachs Bank USA | 46 | — | ||
Total Options Purchased | ||||
(Cost — $44,978) — 0.0% | — | |||
Total Investments (Cost — $864,804,613) — 136.7% | $ | 865,494,458 | ||
Liabilities in Excess of Other Assets — (36.7)% | (232,582,471) | |||
Net Assets — 100.0% | $ | 632,911,987 |
(a) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) | Variable rate security. Rate shown is as of report date. |
(c) | Non-income producing security. |
(d) | Restricted security as to resale. As of report date the Portfolio held 2.1% of its net assets, with a current value of $8,353,516 and an original cost of $4,028,721 in these securities. |
(e) | All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements. |
(f) | Represents a step-down bond that pays an initial coupon rate for the first period and then a lower coupon rate for the following periods. Rate shown is as of report date. |
(g) | Represents a zero-coupon bond. Rate shown reflects the current yield as of report date. |
(h) | Convertible security. |
(i) | When-issued security. Unsettled when-issued transactions were as follows: |
Counterparty | Value | Unrealized Appreciation | ||||||
Bank of America Securities | $ | 3,952,225 | $ | 56,913 | ||||
Barclays Capital Inc. | $ | 685,006 | $ | 36,288 | ||||
Citigroup Global Markets, Inc. | $ | 219,569 | $ | 4,569 | ||||
Goldman Sachs & Co. | $ | 1,995,000 | — | |||||
JPMorgan Securities, Inc. | $ | 1,278,210 | $ | 10,960 | ||||
Morgan Stanley Co. | $ | 1,584,786 | $ | 46,786 | ||||
Wells Fargo Securities | $ | 480,760 | $ | 4,760 |
(j) | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares. |
(k) | Issuer filed for bankruptcy and/or is in default of interest payments. |
(l) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities. |
(m) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(n) | Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows: |
Affiliate | Shares Held at August 31, 2011 | Net Activity | Shares Held at February 29, 2012 | Income |
BlackRock Liquidity | ||||
Funds, TempFund, | ||||
Institutional Class | 5,229,778 | (5,063,487) | 166,291 | $ 2,324 |
(o) | Represents the current yield as of report date. |
See Notes to Financial Statements.
40 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | Reverse repurchase agreements outstanding as of February 29, 2012 were as follows: |
Counterparty | Interest Rate | Trade Date | Maturity Date | Net Closing Amount | Face Amount | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.40% | 12/02/11 | Open | $ | 9,020,161 | $ | 9,011,250 |
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.55% | 12/02/11 | Open | 4,897,312 | 4,890,663 | ||
Barclays | |||||||
Capital, Inc. | 0.60% | 12/05/11 | Open | 3,076,591 | 3,072,188 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.50% | 12/05/11 | Open | 736,056 | 735,177 | ||
Deutsche | |||||||
Bank AG | 0.05% | 12/05/11 | Open | 985,681 | 985,565 | ||
BNP Paribas | |||||||
Securities Corp. | 0.37% | 1/09/12 | Open | 1,578,182 | 1,577,355 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.65% | 1/09/12 | Open | 687,032 | 686,400 | ||
Deutsche | |||||||
Bank AG | 0.09% | 1/09/12 | Open | 145,562 | 145,544 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.65% | 1/10/12 | Open | 624,832 | 624,269 | ||
UBS AG | 0.35% | 1/10/12 | Open | 2,746,708 | 2,745,400 | ||
UBS AG | 0.40% | 1/10/12 | Open | 2,887,246 | 2,885,675 | ||
UBS AG | 0.45% | 1/10/12 | Open | 729,822 | 729,375 | ||
UBS AG | 0.54% | 1/10/12 | Open | 1,845,936 | 1,844,580 | ||
UBS AG | 0.55% | 1/10/12 | Open | 3,645,227 | 3,642,500 | ||
UBS AG | 0.65% | 1/10/12 | Open | 10,709,154 | 10,699,687 | ||
Barclays | |||||||
Capital, Inc. | 0.40% | 1/13/12 | Open | 9,107,128 | 9,102,375 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.38% | 1/13/12 | Open | 3,639,267 | 3,637,462 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.65% | 1/13/12 | Open | 15,220,120 | 15,207,215 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.35% | 1/17/12 | Open | 2,368,990 | 2,368,000 | ||
UBS AG | 0.20% | 1/20/12 | Open | 1,306,978 | 1,306,687 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.35% | 1/24/12 | Open | 2,063,972 | 2,063,250 | ||
Deutsche | |||||||
Bank AG | (12.00)% | 1/25/12 | Open | 2,076,933 | 2,101,450 | ||
Barclays | |||||||
Capital, Inc. | 0.40% | 1/30/12 | Open | 21,459,151 | 21,452,000 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.65% | 1/30/12 | Open | 1,035,160 | 1,034,600 | ||
Deutsche | |||||||
Bank AG | (0.75)% | 1/30/12 | Open | 2,319,200 | 2,320,650 | ||
UBS AG | 0.00% | 1/30/12 | Open | 641,138 | 641,138 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.65% | 1/31/12 | Open | 3,033,533 | 3,032,000 | ||
Barclays | |||||||
Capital, Inc. | (1.25)% | 2/02/12 | Open | 429,797 | 430,200 | ||
UBS AG | 0.65% | 2/02/12 | Open | 924,525 | 924,075 | ||
UBS AG | (1.25)% | 2/02/12 | Open | 1,418,232 | 1,419,563 | ||
Barclays | |||||||
Capital, Inc. | 0.65% | 2/08/12 | Open | 3,127,295 | 3,126,110 | ||
UBS AG | 0.35% | 2/13/12 | Open | 3,345,690 | 3,345,170 | ||
Barclays | |||||||
Capital, Inc. | 0.60% | 2/14/12 | Open | 347,237 | 347,150 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.35% | 2/15/12 | Open | 5,596,036 | 5,595,275 | ||
Deutsche | |||||||
Bank AG | 0.24% | 2/15/12 | 3/15/12 | 62,217,887 | 62,206,275 | ||
UBS AG | (0.25)% | 2/15/12 | Open | 1,091,894 | 1,092,000 | ||
• | Reverse repurchase agreements outstanding as of February 29, 2012 were as follows (concluded): |
Counterparty | Interest Rate | Trade Date | Maturity Date | Net Closing Amount | Face Amount | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.35% | 2/16/12 | Open | $ | 2,571,612 | $ | 2,571,287 |
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.38% | 2/16/12 | Open | 2,445,085 | 2,444,750 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.65% | 2/16/12 | Open | 13,039,699 | 13,036,650 | ||
UBS AG | 0.25% | 2/16/12 | Open | 693,283 | 693,225 | ||
Barclays | |||||||
Capital, Inc. | 0.65% | 2/17/12 | Open | 1,397,927 | 1,397,725 | ||
UBS AG | 0.40% | 2/17/12 | Open | 1,093,646 | 1,093,500 | ||
Barclays | |||||||
Capital, Inc. | 0.40% | 2/28/12 | Open | 2,374,076 | 2,374,050 | ||
Barclays | |||||||
Capital, Inc. | 0.65% | 2/28/12 | Open | 18,418,125 | 18,417,793 | ||
Credit Suisse | |||||||
Securities | |||||||
(USA) LLC | 0.35% | 2/28/12 | Open | 3,394,653 | 3,394,620 | ||
Barclays | |||||||
Capital, Inc. | (0.25)% | 2/29/12 | Open | 1,344,991 | 1,345,000 | ||
UBS AG | 0.55% | 2/29/12 | Open | 4,764,483 | 4,764,410 | ||
Total | $ | 238,623,245 | $ | 238,561,283 |
• | Financial futures contracts purchased as of February 29, 2012 were as follows: |
Notional | Unrealized | |||||
Contracts | Issue | Exchange | Expiration | Value | Appreciation | |
12 | 90-Day | Chicago | March | |||
Euro-Dollar | Mercantile | 2012 | USD 2,986,200 | $ | 7,317 | |
8 | 90-Day | Chicago | June | |||
Euro-Dollar | Mercantile | 2012 | USD 1,991,000 | 10,678 | ||
8 | 90-Day | Chicago | September | |||
Euro-Dollar | Mercantile | 2012 | USD 1,990,200 | 16,278 | ||
8 | 90-Day | Chicago | March | |||
Euro-Dollar | Mercantile | 2013 | USD 1,988,700 | 25,978 | ||
6 | 90-Day | Chicago | June | |||
Euro-Dollar | Mercantile | 2013 | USD 1,490,925 | 23,009 | ||
6 | 90-Day | Chicago | September | |||
Euro-Dollar | Mercantile | 2013 | USD 1,490,250 | 26,009 | ||
6 | 90-Day | Chicago | December | |||
Euro-Dollar | Mercantile | 2013 | USD 1,489,275 | 28,708 | ||
6 | 90-Day | Chicago | March | |||
Euro-Dollar | Mercantile | 2014 | USD 1,488,300 | 31,033 | ||
Total | $ | 169,010 |
• | Financial futures contracts sold as of February 29, 2012 were as follows: |
Notional | Unrealized | ||||
Contracts | Issue | Exchange | Expiration | Value | Depreciation |
15 | Euro-Bund | Eurex | March | EUR 2,098,350 | $(45,571) |
Futures | 2012 |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 41 |
Consolidated Schedule of Investments (continued) | BlackRock Limited Duration Income Trust (BLW) |
• | Foreign currency exchange contracts as of February 29, 2012 were as follows: |
Unrealized | |||||||
Currency | Currency | Settlement | Appreciation | ||||
Purchased | Sold | Counterparty | Date | (Depreciation) | |||
GBP | 335,000 | USD | 533,400 | UBS AG | 3/02/12 | $ | (449) |
USD | 27,645,464 | GBP | 18,034,500 | UBS AG | 4/11/12 | (1,037,237) | |
USD | 533,251 | GBP | 335,000 | UBS AG | 4/11/12 | 456 | |
EUR | 1,480,000 | USD | 1,962,153 | Deutsche | |||
Bank AG | 4/18/12 | 10,007 | |||||
EUR | 605,000 | USD | 788,565 | Royal Bank | |||
of Scotland Plc | 4/18/12 | 17,622 | |||||
USD | 26,708,742 | EUR | 20,732,500 | Citibank NA | 4/18/12 | (918,160) | |
USD | 752,981 | EUR | 570,000 | UBS AG | 4/18/12 | (6,567) | |
Total | $ | (1,934,328) |
• | Credit default swaps on single-name issues — sold protection outstanding as of February 29, 2012 were as follows: |
Issuer | Receive Fixed Rate | Counterparty | Expiration Date | Issuer Credit Rating1 | Notional Amount (000)2 | Unrealized Depreciation |
Aviva | ||||||
USA | Deutsche | |||||
Corp. | 1.00% | Bank AG | 5/25/12 | Not Rated | USD 4,700 | $ (2,530) |
1 | Using the S&P’s rating. |
2 | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement. |
• | Credit default swaps on traded indexes — buy protection outstanding as of February 29, 2012 were as follows: |
Index | Pay Fixed Rate | Counterparty | Expiration Date | Notional Amount (000) | Unrealized Depreciation |
Dow Jones CDX | |||||
North America | |||||
Investment | |||||
Grade Index | Morgan Stanley | ||||
Series 16 | 1.00% | & Co., Inc. | 6/20/16 | USD 7,700 | $ (5,519) |
• | Credit default swaps on traded indexes — sold protection outstanding as of February 29, 2012 were as follows: |
Issuer | Receive Fixed Rate | Counterparty | Expiration Date | Issuer Credit Rating3 | Notional Amount (000)4 | Unrealized Appreciation |
Dow Jones CDX | ||||||
North America | ||||||
Investment | ||||||
Grade Index | Morgan Stanley | |||||
Series 16 | 1.00% | & Co., Inc. | 6/20/16 | BBB+ | USD 7,700 | $ 125,306 |
3 | Using S&P’s rating of the underlying securities. |
4 | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement. |
• | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease. |
• | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows: |
• | Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities |
• | Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) |
• | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's own assumptions used in determining the fair value of investments and derivative financial instruments) |
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund's perceived risk of investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund's investments and derivative financial instruments:
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Assets: | |||||||||||||||
Investments: | |||||||||||||||
Long Term | |||||||||||||||
Investments: | |||||||||||||||
Asset-Backed | |||||||||||||||
Securities | — | $ | 26,296,583 | $ | 9,941,978 | $ | 36,238,561 | ||||||||
Common | |||||||||||||||
Stocks | — | 8,365,747 | 3,031,532 | 11,397,279 | |||||||||||
Corporate | |||||||||||||||
Bonds | — | 390,180,043 | 1,727 | 390,181,770 | |||||||||||
Floating Rate | |||||||||||||||
Loan Interests | — | 237,920,561 | 29,863,408 | 267,783,969 | |||||||||||
Non-Agency | |||||||||||||||
Mortgage-Backed | |||||||||||||||
Securities | — | 84,447,122 | 2,432,436 | 86,879,558 | |||||||||||
Other Interests | — | — | 1,371,513 | 1,371,513 | |||||||||||
Preferred | |||||||||||||||
Securities | $ | 2,090,106 | 807,750 | — | 2,897,856 | ||||||||||
Taxable Municipal | |||||||||||||||
Bonds | — | 9,144,199 | — | 9,144,199 | |||||||||||
US Government | |||||||||||||||
Sponsored | |||||||||||||||
Agency | |||||||||||||||
Securities | — | 58,914,785 | — | 58,914,785 | |||||||||||
US Treasury | |||||||||||||||
Obligations | — | 145,249 | — | 145,249 | |||||||||||
Warrants | — | 373,426 | 2 | 373,428 | |||||||||||
Short-Term | |||||||||||||||
Securities | 166,291 | — | — | 166,291 | |||||||||||
Total | $ | 2,256,397 | $ | 816,595,465 | $ | 46,642,596 | $ | 865,494,458 |
See Notes to Financial Statements.
42 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Consolidated Schedule of Investments (concluded) | BlackRock Limited Duration Income Trust (BLW) |
Valuation Inputs | Level 1 | Level 2 | Level 3 | Total | |||||||||||
Derivative Financial Instruments1 | |||||||||||||||
Assets: | |||||||||||||||
Forward currency | |||||||||||||||
exchange | |||||||||||||||
contracts | — | $ | 28,085 | — | $ | 28,085 | |||||||||
Interest rate | |||||||||||||||
contracts | $ | 169,010 | — | — | 169,010 | ||||||||||
Credit contracts | — | 125,306 | — | 125,306 | |||||||||||
Liabilities: | |||||||||||||||
Forward currency | |||||||||||||||
exchange | |||||||||||||||
contracts | — | (1,962,413 | ) | — | (1,962,413 | ) | |||||||||
Interest rate | |||||||||||||||
contracts | (45,571 | ) | — | — | (45,571 | ) | |||||||||
Credit contracts | — | (5,519 | ) | $ | (2,530 | ) | (8,049 | ) | |||||||
Total | $ | 123,439 | $ | (1,814,541 | ) | $ | (2,530 | ) | $ | (1,693,632 | ) |
1 | Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value. |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
Asset- Backed Securities | Common Stocks | Corporate Bonds | Floating Rate Loan Interests | Non-Agency Mortgage- Backed | Other Interests | Preferred Stocks | Warrants | Total | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Balance, as of August 31, 2011 | $ | 11,549,300 | $ | 3,358,522 | $ | 186,065 | $ | 38,869,232 | $ | 2,829,283 | $ | 1,441,471 | $ | 384,565 | $ | 292,017 | $ | 58,910,455 | ||||||||||||||||||
Accrued discounts/premiums | (114,026 | ) | — | 704 | 191,091 | 3,826 | — | — | — | 81,595 | ||||||||||||||||||||||||||
Net realized gain (loss) | (112,837 | ) | (2 | ) | 66,012 | (738,773 | ) | 32,228 | 1,455 | 452,430 | — | (299,487 | ) | |||||||||||||||||||||||
Net change in unrealized | ||||||||||||||||||||||||||||||||||||
appreciation/depreciation2 | 287,032 | (979,326 | ) | (57,054 | ) | (363,969 | ) | (19,519 | ) | (79,790 | ) | (384,565 | ) | (4 | ) | (1,597,195 | ) | |||||||||||||||||||
Purchases | — | 120,663 | — | 1,514,114 | — | 9,832 | — | — | 1,644,609 | |||||||||||||||||||||||||||
Sales | (714,172 | ) | — | (194,000 | ) | (1,659,732 | ) | (413,382 | ) | (1,455 | ) | (452,430 | ) | — | (3,435,171 | ) | ||||||||||||||||||||
Transfers in3 | — | 580,599 | — | 4,235,101 | — | — | — | — | 4,815,700 | |||||||||||||||||||||||||||
Transfers out3 | (953,319 | ) | (48,924 | ) | — | (12,183,656 | ) | — | — | — | (292,011 | ) | (13,477,910 | ) | ||||||||||||||||||||||
Balance, as of | ||||||||||||||||||||||||||||||||||||
February 29, 2012 | $ | 9,941,978 | $ | 3,031,532 | $ | 1,727 | $ | 29,863,408 | $ | 2,432,436 | $ | 1,371,513 | — | $ | 2 | $ | 46,642,596 |
2 | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held on February 29, 2012 was $(1,904,852). |
3 | The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer. |
The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:
Credit | ||
Contracts | ||
Liabilities: | ||
Balance, as of August 31, 2011 | $ | (3,846) |
Accrued discounts/premiums | — | |
Net realized gain (loss) | — | |
Net change in unrealized appreciation/depreciation4 | 1,316 | |
Purchases | — | |
Issuances5 | — | |
Sales | — | |
Settlements6 | — | |
Transfers in7 | — | |
Transfers out7 | — | |
Balance, as of February 29, 2012 | $ | (2,530) |
4 | Included in the related net change in unrealized appreciation/depreciation in the Statement of Operations. The change in unrealized appreciation/depreciation on derivative financial instruments still held on February 29, 2012 was $1,316. |
5 | Issuances represent upfront cash received on certain derivative financiaL instruments. |
6 | Settlements represent periodic contractual cash flows and/or cash flows to terminate certain derivative financial instruments. |
7 | The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused thetransfer. |
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 43 |
Statements of Assets and Liabilities
February 29, 2012 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) 1 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) 1 | BlackRock Limited Duration Income Trust (BLW) 1 | ||||||||
Assets | ||||||||||||
Investments at value — unaffiliated2 | $ | 160,404,755 | $ | 171,554,843 | $ | 350,269,669 | $ | 865,328,167 | ||||
Investments at value — affiliated3 | 2,243,014 | 1,820,693 | 3,253,818 | 166,291 | ||||||||
Cash | — | 50,310 | 8,173 | — | ||||||||
Investments sold receivable | 5,439,908 | 6,817,838 | 12,150,475 | 36,085,380 | ||||||||
Principal paydown receivable | 724,732 | 755,147 | 1,496,277 | 1,415,547 | ||||||||
Interest receivable | 295,266 | 421,713 | 894,417 | 7,812,056 | ||||||||
Foreign currency at value4 | 24,904 | 16,791 | 17,751 | 644,512 | ||||||||
Cash pledged as collateral for financial futures contracts | — | — | — | 132,500 | ||||||||
Cash pledged as collateral for reverse repurchase agreements | — | — | — | 300,000 | ||||||||
Unrealized appreciation on swaps | — | — | — | 125,306 | ||||||||
Unrealized appreciation on foreign currency exchange contracts | 6,894 | 7,053 | 11,875 | 28,085 | ||||||||
Swaps receivable | — | — | — | 24,800 | ||||||||
Dividends receivable — unaffiliated | — | — | — | 6,735 | ||||||||
Margin variation receivable | — | — | — | 4,890 | ||||||||
Prepaid expenses | — | 8,227 | 6,103 | 45,982 | ||||||||
Other assets | — | — | — | 851,336 | ||||||||
Total assets | 169,139,473 | 181,452,615 | 368,108,558 | 912,971,587 | ||||||||
Liabilities | ||||||||||||
Bank overdraft | 144,275 | — | — | 2,664,840 | ||||||||
Reverse repurchase agreements | — | — | — | 238,561,283 | ||||||||
Loan payable | 35,000,000 | 40,000,000 | 78,000,000 | — | ||||||||
Investments purchased payable | 7,831,719 | 8,633,751 | 16,590,429 | 35,489,322 | ||||||||
Unrealized depreciation on foreign currency exchange contracts | 211,088 | 179,668 | 325,415 | 1,962,413 | ||||||||
Investment advisory fees payable | 125,380 | 101,252 | 206,092 | 364,853 | ||||||||
Income dividends payable | 52,848 | 37,493 | 73,968 | 93,077 | ||||||||
Interest expense payable | 32,544 | 18,359 | 127,051 | 54,609 | ||||||||
Officer's and Directors' fees payable | 7,032 | 7,874 | 15,585 | 228,607 | ||||||||
Deferred income | 3,656 | 3,863 | 7,908 | 174,468 | ||||||||
Swaps payable | — | — | — | 142,393 | ||||||||
Unrealized depreciation on swaps | — | — | — | 8,049 | ||||||||
Other accrued expenses payable | 255,499 | 70,368 | 110,220 | 315,686 | ||||||||
Total liabilities | 43,664,041 | 49,052,628 | 95,456,668 | 280,059,600 | ||||||||
Net Assets | $ | 125,475,432 | $ | 132,399,987 | $ | 272,651,890 | $ | 632,911,987 | ||||
Net Assets Consist of | ||||||||||||
Paid-in capital5,6,7 | $ | 128,073,078 | $ | 229,202,981 | $ | 349,984,847 | $ | 701,959,183 | ||||
Undistributed (distributions in excess of) net investment income | 410,216 | (533,657 | ) | 104,370 | 2,778,947 | |||||||
Accumulated net realized loss | (3,731,481 | ) | (88,649,784 | ) | (73,186,170 | ) | (71,511,489 | ) | ||||
Net unrealized appreciation/depreciation | 723,619 | (7,619,553 | ) | (4,251,157 | ) | (314,654 | ) | |||||
Net Assets | $ | 125,475,432 | $ | 132,399,987 | $ | 272,651,890 | $ | 632,911,987 | ||||
Net asset value, offering and redemption price per share | $ | 13.90 | $ | 10.68 | $ | 14.76 | $ | 17.14 | ||||
1 Consolidated Statement of Assets and Liabilities | ||||||||||||
2 Investments at cost — unaffiliated | $ | 159,479,952 | $ | 179,013,961 | $ | 354,213,500 | $ | 864,638,322 | ||||
3 Investments at cost — affiliated | $ | 2,243,014 | $ | 1,820,693 | $ | 3,253,818 | $ | 166,291 | ||||
4 Foreign currency at cost | $ | 24,523 | $ | 16,557 | $ | 17,503 | $ | 638,919 | ||||
5 Par value per share | $ | 0.001 | $ | 0.10 | $ | 0.10 | $ | 0.001 | ||||
6 Shares outstanding | 9,027,106 | 12,401,086 | 18,467,299 | 36,923,585 | ||||||||
7 Shares authorized | unlimited | 200 million | 200 million | unlimited |
See Notes to Financial Statements.
44 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Six Months Ended February 29, 2012 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) 1 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) 1 | BlackRock Limited Duration Income Trust (BLW) 1 | ||||||||
Investment Income | ||||||||||||
Interest | $ | 4,864,969 | $ | 5,153,487 | $ | 10,864,074 | $ | 26,678,155 | ||||
Dividends — unaffiliated | 12,386 | 14,917 | 28,114 | 241,742 | ||||||||
Dividends — affiliated | 278 | 221 | 469 | 10,478 | ||||||||
Total income | 4,877,633 | 5,168,625 | 10,892,657 | 26,930,375 | ||||||||
Expenses | ||||||||||||
Investment advisory | 790,058 | 634,558 | 1,297,340 | 2,289,406 | ||||||||
Professional | 79,446 | 80,847 | 96,667 | 131,705 | ||||||||
Borrowing costs2 | 63,510 | 49,680 | 146,259 | — | ||||||||
Custodian | 32,728 | 29,319 | 51,069 | 71,189 | ||||||||
Accounting services | 19,949 | 19,174 | 31,216 | 54,733 | ||||||||
Transfer agent | 13,472 | 13,155 | 23,804 | 10,070 | ||||||||
Printing | 10,119 | 12,438 | 25,674 | 83,929 | ||||||||
Officer and Directors | 6,770 | 6,217 | 14,656 | 33,212 | ||||||||
Registration | 4,561 | 3,919 | 4,628 | 5,790 | ||||||||
Miscellaneous | 10,384 | 11,733 | 19,318 | 32,439 | ||||||||
Total expenses excluding interest expense | 1,030,997 | 861,040 | 1,710,631 | 2,712,473 | ||||||||
Interest expense | 178,138 | 198,711 | 398,776 | 440,737 | ||||||||
Total expenses | 1,209,135 | 1,059,751 | 2,109,407 | 3,153,210 | ||||||||
Less fees waived by advisor | (185 | ) | (125 | ) | (310 | ) | (1,424 | ) | ||||
Total expenses after fees waived | 1,208,950 | 1,059,626 | 2,109,097 | 3,151,786 | ||||||||
Net investment income | 3,668,683 | 4,108,999 | 8,783,560 | 23,778,589 | ||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | (491,634 | ) | (2,825,595 | ) | (5,714,967 | ) | (4,910,506 | ) | ||||
Financial futures contracts | — | — | — | 1,150 | ||||||||
Foreign currency transactions | 602,568 | 526,348 | 865,796 | 2,988,127 | ||||||||
Options written | — | — | — | 276,020 | ||||||||
Swaps | — | — | — | (236,726 | ) | |||||||
110,934 | (2,299,247 | ) | (4,849,171 | ) | (1,881,935 | ) | ||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments | 6,509,886 | 8,744,7463 | 18,217,669 | 27,398,647 | ||||||||
Financial futures contracts | — | — | — | (39,630 | ) | |||||||
Foreign currency transactions | (174,935 | ) | (153,550 | ) | (250,232 | ) | (1,348,200 | ) | ||||
Options written | — | — | — | 363,558 | ||||||||
Swaps | — | — | — | 37,276 | ||||||||
Unfunded loan commitments | 38,703 | 45,062 | 77,372 | 111,558 | ||||||||
6,373,654 | 8,636,258 | 18,044,809 | 26,523,209 | |||||||||
Total realized and unrealized gain | 6,484,588 | 6,337,011 | 13,195,638 | 24,641,274 | ||||||||
Net Increase in Net Assets Resulting from Operations | $ | 10,153,271 | $ | 10,446,010 | $ | 21,979,198 | $ | 48,419,863 |
1 | Consolidated Statement of Operations. |
2 | See Note 6 of the Notes to Financial Statements for details of short-term borrowings. |
3 | Net of income tax of $19,690. |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 45 |
Statements of Changes in Net Assets
BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) | ||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 29, 2012 (Unaudited) | Year Ended August 31, 2011 | Six Months Ended February 29, 2012 (Unaudited)1 | Year Ended August 31, 2011 | |||||||||
Operations | |||||||||||||
Net investment income | $ | 3,668,683 | $ | 7,713,890 | $ | 4,108,999 | $ | 9,340,837 | |||||
Net realized gain (loss) | 110,934 | 2,153,352 | (2,299,247 | ) | (3,171,498 | ) | |||||||
Net change in unrealized appreciation/depreciation | 6,373,654 | (6,154,792 | ) | 8,636,258 | (458,676 | ) | |||||||
Net increase in net assets resulting from operations | 10,153,271 | 3,712,450 | 10,446,010 | 5,710,663 | |||||||||
Dividends and Distributions to Shareholders From | |||||||||||||
Net investment income | (3,574,734 | ) | (7,140,522 | ) | (4,352,781 | ) | (8,509,258 | ) | |||||
Tax return of capital | — | — | — | (739,496 | ) | ||||||||
Decrease in net assets resulting from dividends and distributions to shareholders | (3,574,734 | ) | (7,140,522 | ) | (4,352,781 | ) | (9,248,754 | ) | |||||
Capital Share Transactions | |||||||||||||
Reinvestment of dividends | — | 263,352 | — | 460,151 | |||||||||
Net Assets | |||||||||||||
Total increase (decrease) in net assets | 6,578,537 | (3,164,720 | ) | 6,093,229 | (3,077,940 | ) | |||||||
Beginning of period | 118,896,895 | 122,061,615 | 126,306,758 | 129,384,698 | |||||||||
End of period | $ | 125,475,432 | $ | 118,896,895 | $ | 132,399,987 | $ | 126,306,758 | |||||
Undistributed (distributions in excess of) net investment income | $ | 410,216 | $ | 316,267 | $ | (533,657 | ) | $ | (252,833 | ) |
1 | Consolidated Statement of Changes in Net Assets. |
See Notes to Financial Statements.
46 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Statements of Changes in Net Assets
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) | BlackRock Limited Duration Income Trust (BLW) | ||||||||||||
Increase (Decrease) in Net Assets: | Six Months Ended February 29, 2012 (Unaudited)1 | Year Ended August 31, 2011 | Six Months Ended February 29, 2012 (Unaudited)1 | Year Ended August 31, 2011 | |||||||||
Operations | |||||||||||||
Net investment income | $ | 8,783,560 | $ | 17,704,917 | $ | 23,778,589 | $ | 49,530,733 | |||||
Net realized gain (loss) | (4,849,171 | ) | 2,197,485 | (1,881,935 | ) | 3,272,761 | |||||||
Net change in unrealized appreciation/depreciation | 18,044,809 | (8,915,990 | ) | 26,523,209 | (17,061,349 | ) | |||||||
Net increase in net assets resulting from operations | 21,979,198 | 10,986,412 | 48,419,863 | 35,742,145 | |||||||||
Dividends and Distributions to Shareholders From | |||||||||||||
Net investment income | (8,531,892 | ) | (15,965,641 | ) | (25,383,514 | ) | (45,830,635 | ) | |||||
Tax return of capital | — | (1,072,049 | ) | — | — | ||||||||
Decrease in net assets resulting from dividends and distributions to shareholders | (8,531,892 | ) | (17,037,690 | ) | (25,383,514 | ) | (45,830,635 | ) | |||||
Capital Share Transactions | |||||||||||||
Reinvestment of dividends | — | 876,684 | 57,977 | 524,981 | |||||||||
Net Assets | |||||||||||||
Total increase (decrease) in net assets | 13,447,306 | (5,174,594 | ) | 23,094,326 | (9,563,509 | ) | |||||||
Beginning of period | 259,204,584 | 264,379,178 | 609,817,661 | 619,381,170 | |||||||||
End of period | $ | 272,651,890 | $ | 259,204,584 | $ | 632,911,987 | $ | 609,817,661 | |||||
Undistributed (distributions in excess of) net investment income | $ | 104,370 | $ | (138,319 | ) | $ | 2,778,947 | $ | 4,392,851 |
1 | Consolidated Statement of Changes in Net Assets. |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 47 |
Six Months Ended February 29, 2012 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) | BlackRock Diversified Income Strategies Fund, Inc. (DVF) 1 | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) 1 | BlackRock Limited Duration Income Trust (BLW) 1 | ||||||||
Cash Provided by Operating Activities | ||||||||||||
Net increase in net assets resulting from operations | $ | 10,153,271 | $ | 10,446,010 | $ | 21,979,198 | $ | 48,419,863 | ||||
Adjustments to reconcile net increase in net assets resulting from | ||||||||||||
operations to net cash provided by operating activities: | ||||||||||||
(Increase) decrease in interest receivable | 69,713 | 201,548 | 170,253 | (225,992 | ) | |||||||
Increase in swap receivable | — | — | — | (15,269 | ) | |||||||
Decrease in dividends receivable — affiliated | — | — | — | 623 | ||||||||
Increase in dividends receivable — unaffiliated | — | — | — | (735 | ) | |||||||
Increase in margin variation receivable | — | — | — | (2,665 | ) | |||||||
Increase in other assets | — | — | — | (81,748 | ) | |||||||
(Increase) decrease in prepaid expenses | 17,953 | 13,067 | 36,494 | (6,586 | ) | |||||||
Decrease in investment advisory fees payable | (15,555 | ) | (12,835 | ) | (22,526 | ) | (28,460 | ) | ||||
Decrease in interest expense payable | (18,420 | ) | (21,971 | ) | (33,639 | ) | (164,205 | ) | ||||
Increase (decrease) in deferred income | (3,798 | ) | (2,894 | ) | (7,684 | ) | 174,468 | |||||
Decrease in other accrued expenses payable | (60,025 | ) | (74,866 | ) | (169,812 | ) | (131,047 | ) | ||||
Increase in swaps payable | — | — | — | 73,071 | ||||||||
Increase in cash pledged as collateral for financial futures contracts | — | — | — | (54,000 | ) | |||||||
Decrease in cash pledged as collateral for reverse repurchase agreements | — | — | — | 1,695,000 | ||||||||
Increase in Officer's and Directors' fees payable | 6,580 | 7,451 | 14,586 | 54,921 | ||||||||
Net periodic and termination payments on swaps | — | — | — | (236,726 | ) | |||||||
Net realized and unrealized gain on investments | (5,882,020 | ) | (5,810,663 | ) | (12,329,842 | ) | (21,610,484 | ) | ||||
Amortization of premium and accretion of discount on investments | (643,798 | ) | (217,571 | ) | (825,130 | ) | (506,765 | ) | ||||
Paid-in-kind income | (43,877 | ) | (76,274 | ) | (170,952 | ) | (455,833 | ) | ||||
Proceeds from sales of long-term investments | 41,399,227 | 45,422,805 | 86,239,323 | 204,813,393 | ||||||||
Purchases of long-term investments | (33,665,514 | ) | (35,717,646 | ) | (73,099,379 | ) | (208,153,140 | ) | ||||
Net proceeds from sales (purchases) of short-term securities | (12,261 | ) | (1,820,693 | ) | 2,142,849 | 5,063,487 | ||||||
Cash provided by operating activities | 11,301,476 | 12,335,468 | 23,923,739 | 28,621,171 | ||||||||
Cash Used for Financing Activities | ||||||||||||
Cash receipts from borrowings | 35,200,000 | 35,000,000 | 66,000,000 | 63,461,329 | ||||||||
Cash payments on borrowings | (43,200,000 | ) | (42,000,000 | ) | (81,000,000 | ) | (69,020,008 | ) | ||||
Cash dividends paid | (3,577,251 | ) | (4,360,936 | ) | (8,562,093 | ) | (25,348,459 | ) | ||||
Increase (decrease) in bank overdraft | 144,275 | (1,044,731 | ) | (573,035 | ) | 2,664,840 | ||||||
Cash used for financing activities | (11,432,976 | ) | (12,405,667 | ) | (24,135,128 | ) | (28,242,298 | ) | ||||
Cash Impact from Foreign Exchange Fluctuations | ||||||||||||
Cash impact from foreign exchange fluctuations | 813 | 618 | 147 | 5,688 | ||||||||
Cash and Foreign Currency | ||||||||||||
Net increase (decrease) in cash and foreign currency | (130,687 | ) | (69,581 | ) | (211,242 | ) | 384,561 | |||||
Cash and foreign currency at beginning of period | 155,591 | 136,682 | 237,166 | 259,951 | ||||||||
Cash and foreign currency at end of period | $ | 24,904 | $ | 67,101 | $ | 25,924 | $ | 644,512 | ||||
Cash Flow Information | ||||||||||||
Cash paid during the period for interest | $ | 196,558 | $ | 220,682 | $ | 432,415 | $ | 604,942 | ||||
Noncash Financing Activities | ||||||||||||
Capital shares issued in reinvestment of dividends | — | — | — | $ | 57,977 |
1 | Consolidated Statement of Cash Flows. |
A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the year, based on the average borrowing outstanding in relation to average total assets.
See Notes to Financial Statements.
48 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Financial Highlights | BlackRock Defined Opportunity Credit Trust (BHL) |
Six Months Ended February 29, 2012 (Unaudited) | Year Ended August 31, | Period January 31, 20081 to August 31, 2008 | |||||||||||||
2011 | 2010 | 2009 | |||||||||||||
Per Share Operating Performance | |||||||||||||||
Net asset value, beginning of period | $ | 13.17 | $ | 13.55 | $ | 12.53 | $ | 14.31 | $ | 14.33 | 2 | ||||
Net investment income3 | 0.41 | 0.86 | 0.85 | 0.87 | 0.47 | ||||||||||
Net realized and unrealized gain (loss) | 0.72 | (0.45 | ) | 0.87 | (1.55 | ) | 0.21 | ||||||||
Net increase (decrease) from investment operations | 1.13 | 0.41 | 1.72 | (0.68 | ) | 0.68 | |||||||||
Dividends and distributions from: | |||||||||||||||
Net investment income | (0.40 | ) | (0.79 | ) | (0.70 | ) | (1.09 | ) | (0.62 | ) | |||||
Tax return of capital | — | — | — | (0.01 | ) | (0.06 | ) | ||||||||
Total dividends and distributions | (0.40 | ) | (0.79 | ) | (0.70 | ) | (1.10 | ) | (0.68 | ) | |||||
Capital charges with respect to issuance of shares | — | — | — | — | (0.02 | ) | |||||||||
Net asset value, end of period | $ | 13.90 | $ | 13.17 | $ | 13.55 | $ | 12.53 | $ | 14.31 | |||||
Market price, end of period | $ | 13.45 | $ | 12.65 | $ | 12.86 | $ | 11.03 | $ | 12.66 | |||||
Total Investment Return4 | |||||||||||||||
Based on net asset value | 8.88 | %5 | 2.93 | % | 14.39 | % | (2.16 | )% | 4.79 | %5 | |||||
Based on market price | 9.69 | %5 | 4.17 | % | 23.33 | % | (2.65 | )% | (11.44 | )%5 | |||||
Ratios to Average Net Assets | |||||||||||||||
Total expenses | 2.00 | %6 | 2.02 | % | 1.91 | % | 2.39 | % | 1.78 | %6 | |||||
Total expenses after fees waived and paid indirectly | 2.00 | %6 | 2.02 | % | 1.90 | % | 2.39 | % | 1.78 | %6 | |||||
Total expenses after fees waived and paid indirectly and excluding interest expense | 1.70 | %6 | 1.71 | % | 1.65 | % | 1.94 | % | 1.48 | %6 | |||||
Net investment income | 6.07 | %6 | 6.10 | % | 6.40 | % | 8.11 | % | 5.52 | %6 | |||||
Supplemental Data | |||||||||||||||
Net assets, end of period (000) | $ | 125,475 | $ | 118,897 | $ | 122,062 | $ | 112,862 | $ | 127,695 | |||||
Borrowings outstanding, end of period (000) | $ | 35,000 | $ | 43,000 | $ | 24,000 | $ | 27,000 | $ | 38,500 | |||||
Average borrowings outstanding during the period (000) | $ | 37,318 | $ | 36,369 | $ | 24,633 | $ | 31,141 | $ | 13,788 | |||||
Portfolio turnover | 21 | % | 91 | % | 102 | % | 41 | % | 18 | % | |||||
Asset coverage, end of period per $1,000 | $ | 4,585 | $ | 3,765 | $ | 6,086 | $ | 5,180 | $ | 4,317 |
1 | Commencement of operations. |
2 | Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share. |
3 | Based on average shares outstanding. |
4 | Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
5 | Aggregate total investment return. |
6 | Annualized. |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 49 |
Financial Highlights | BlackRock Diversified Income Strategies Fund, Inc. (DVF) |
Six Months Ended February 29, 2012 (Unaudited)1 | Year Ended August 31, | |||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||
Per Share Operating Performance | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.19 | $ | 10.47 | $ | 8.74 | $ | 13.94 | $ | 17.50 | $ | 18.70 | ||||||
Net investment income2 | 0.33 | 0.75 | 0.80 | 1.06 | 1.61 | 1.83 | ||||||||||||
Net realized and unrealized gain (loss) | 0.51 | (0.28 | ) | 1.78 | (4.88 | ) | (3.41 | ) | (1.23 | ) | ||||||||
Net increase (decrease) from investment operations | 0.84 | 0.47 | 2.58 | (3.82 | ) | (1.80 | ) | 0.60 | ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.35 | ) | (0.69 | ) | (0.80 | ) | (1.14 | ) | (1.72 | ) | (1.80 | ) | ||||||
Tax return of capital | — | (0.06 | ) | (0.05 | ) | (0.24 | ) | (0.04 | ) | — | ||||||||
Total dividends and distributions | (0.35 | ) | (0.75 | ) | (0.85 | ) | (1.38 | ) | (1.76 | ) | (1.80 | ) | ||||||
Net asset value, end of period | $ | 10.68 | $ | 10.19 | $ | 10.47 | $ | 8.74 | $ | 13.94 | $ | 17.50 | ||||||
Market price, end of period | $ | 10.12 | $ | 9.84 | $ | 10.45 | $ | 8.80 | $ | 12.77 | $ | 17.16 | ||||||
Total Investment Return3 | ||||||||||||||||||
Based on net asset value | 8.73 | %4 | 4.30 | % | 30.27 | % | (23.82 | )% | (10.17 | )% | 3.00 | % | ||||||
Based on market price | 6.70 | %4 | 0.91 | % | 29.13 | % | (16.27 | )% | (16.08 | )% | 0.19 | % | ||||||
Ratios to Average Net Assets | ||||||||||||||||||
Total expenses | 1.66 | %5 | 1.74 | % | 1.53 | % | 2.47 | % | 2.77 | % | 3.66 | % | ||||||
Total expenses after fees waived and paid indirectly | 1.66 | %5 | 1.74 | % | 1.53 | % | 2.47 | % | 2.77 | % | 3.66 | % | ||||||
Total expenses after fees waived and paid indirectly | ||||||||||||||||||
and excluding interest expense | 1.35 | %5 | 1.39 | % | 1.26 | % | 1.57 | % | 1.23 | % | 1.30 | % | ||||||
Net investment income | 6.43 | %5 | 6.99 | % | 7.86 | % | 13.63 | % | 10.40 | % | 9.63 | % | ||||||
Supplemental Data | ||||||||||||||||||
Net assets, end of period (000) | $ | 132,400 | $ | 126,307 | $ | 129,385 | $ | 107,556 | $ | 169,707 | $ | 212,792 | ||||||
Borrowings outstanding, end of period (000) | $ | 40,000 | $ | 47,000 | $ | 29,000 | $ | 18,000 | $ | 65,500 | $ | 72,000 | ||||||
Average borrowings outstanding during the period (000) | $ | 41,599 | $ | 43,553 | $ | 25,074 | $ | 28,247 | $ | 64,335 | $ | 95,465 | ||||||
Portfolio turnover | 21 | % | 93 | % | 105 | % | 45 | % | 41 | % | 72 | % | ||||||
Asset coverage, end of period per $1,000 | $ | 4,310 | $ | 3,687 | $ | 5,462 | $ | 6,975 | $ | 3,591 | $ | 3,955 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
See Notes to Financial Statements.
50 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Financial Highlights | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |
Six Months Ended February 29, 2012 (Unaudited)1 | Year Ended August 31, | |||||||||||||||||
2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||
Per Share Operating Performance | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.04 | $ | 14.36 | $ | 12.93 | $ | 16.12 | $ | 18.25 | $ | 19.32 | ||||||
Net investment income2 | 0.48 | 0.96 | 0.91 | 1.14 | 1.45 | 1.54 | ||||||||||||
Net realized and unrealized gain (loss) | 0.70 | (0.36 | ) | 1.48 | (3.04 | ) | (2.03 | ) | (1.07 | ) | ||||||||
Net increase (decrease) from investment operations | 1.18 | 0.60 | 2.39 | (1.90 | ) | (0.58 | ) | 0.47 | ||||||||||
Dividends and distributions from: | ||||||||||||||||||
Net investment income | (0.46 | ) | (0.86 | ) | (0.94 | ) | (1.29 | ) | (1.55 | ) | (1.54 | ) | ||||||
Tax return of capital | — | (0.06 | ) | (0.02 | ) | — | — | — | ||||||||||
Total dividends and distributions | (0.46 | ) | (0.92 | ) | (0.96 | ) | (1.29 | ) | (1.55 | ) | (1.54 | ) | ||||||
Net asset value, end of period | $ | 14.76 | $ | 14.04 | $ | 14.36 | $ | 12.93 | $ | 16.12 | $ | 18.25 | ||||||
Market price, end of period | $ | 14.52 | $ | 13.33 | $ | 14.61 | $ | 12.26 | $ | 14.49 | $ | 16.70 | ||||||
Total Investment Return3 | ||||||||||||||||||
Based on net asset value | 8.76 | %4 | 4.04 | % | 18.91 | % | (8.88 | )% | (2.56 | )% | 2.74 | % | ||||||
Based on market price | 12.69 | %4 | (2.91 | )% | 27.59 | % | (3.88 | )% | (4.28 | )% | 3.85 | % | ||||||
Ratios to Average Net Assets | ||||||||||||||||||
Total expenses | 1.60 | %5 | 1.60 | % | 1.45 | % | 1.96 | % | 2.61 | % | 3.33 | % | ||||||
Total expenses after fees waived and paid indirectly | 1.60 | %5 | 1.60 | % | 1.45 | % | 1.96 | % | 2.60 | % | 3.33 | % | ||||||
Total expenses after fees waived and paid indirectly and excluding | ||||||||||||||||||
interest expense | 1.30 | %5 | 1.30 | % | 1.22 | % | 1.31 | % | 1.18 | % | 1.20 | % | ||||||
Net investment income | 6.68 | %5 | 6.44 | % | 6.43 | % | 10.18 | % | 8.49 | % | 7.88 | % | ||||||
Supplemental Data | ||||||||||||||||||
Net assets, end of period (000) | $ | 272,652 | $ | 259,205 | $ | 264,379 | $ | 237,160 | $ | 295,005 | $ | 334,065 | ||||||
Borrowings outstanding, end of period (000) | $ | 78,000 | $ | 93,000 | $ | 53,000 | $ | 38,000 | $ | 101,500 | $ | 107,000 | ||||||
Average borrowings outstanding during the period (000) | $ | 83,484 | $ | 79,195 | $ | 48,258 | $ | 50,591 | $ | 102,272 | $ | 133,763 | ||||||
Portfolio turnover | 21 | % | 91 | % | 96 | % | 58 | % | 49 | % | 69 | % | ||||||
Asset coverage, end of period per $1,000 | $ | 4,496 | $ | 3,787 | $ | 5,988 | $ | 7,241 | $ | 3,906 | $ | 4,122 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
See Notes to Financial Statements.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 51 |
Financial Highlights | BlackRock Limited Duration Income Trust (BLW) |
Six Months Ended February 29, 2012 (Unaudited)1 | Year Ended August 31, | Period November 1, 2007 to August 31, 2008 | Year Ended October 31, | ||||||||||||||||||
2011 | 2010 | 2009 | 2007 | 2006 | |||||||||||||||||
Per Share Operating Performance | |||||||||||||||||||||
Net asset value, beginning of period | $ | 16.52 | $ | 16.79 | $ | 14.95 | $ | 16.71 | $ | 18.52 | $ | 19.01 | $ | 19.17 | |||||||
Net investment income | 0.64 | 2 | 1.34 | 2 | 1.12 | 2 | 1.01 | 2 | 1.14 | 2 | 1.50 | 1.35 | |||||||||
Net realized and unrealized gain (loss) | 0.67 | (0.37 | ) | 1.62 | (1.61 | ) | (1.76 | ) | (0.49 | ) | 0.03 | ||||||||||
Net increase (decrease) from investment operations | 1.31 | 0.97 | 2.74 | (0.60 | ) | (0.62 | ) | 1.01 | 1.38 | ||||||||||||
Dividends and distributions from: | |||||||||||||||||||||
Net investment income | (0.69 | ) | (1.24 | ) | (0.90 | ) | (1.16 | ) | (1.19 | ) | (1.41 | ) | (1.52 | ) | |||||||
Net realized gain | — | — | — | — | — | (0.06 | ) | — | |||||||||||||
Tax return of capital | — | — | — | — | — | (0.03 | ) | (0.02 | ) | ||||||||||||
Total dividends and distributions | (0.69 | ) | (1.24 | ) | (0.90 | ) | (1.16 | ) | (1.19 | ) | (1.50 | ) | (1.54 | ) | |||||||
Net asset value, end of period | $ | 17.14 | $ | 16.52 | $ | 16.79 | $ | 14.95 | $ | 16.71 | $ | 18.52 | $ | 19.01 | |||||||
Market price, end of period | $ | 16.96 | $ | 16.01 | $ | 16.76 | $ | 14.09 | $ | 14.57 | $ | 16.68 | $ | 18.85 | |||||||
Total Investment Return3 | |||||||||||||||||||||
Based on net asset value | 8.20 | %4 | 5.85 | % | 19.00 | % | (1.57 | )% | (2.60 | )%4 | 5.66 | % | 7.85 | % | |||||||
Based on market price | 10.48 | %4 | 2.77 | % | 26.04 | % | 6.40 | % | (5.70 | )%4 | (4.03 | )% | 17.31 | % | |||||||
Ratios to Average Net Assets | |||||||||||||||||||||
Total expenses | 1.04 | %5 | 1.01 | % | 0.82 | % | 0.72 | % | 1.39 | %5 | 2.16 | % | 2.20 | % | |||||||
Total expenses after fees waived and before | |||||||||||||||||||||
fees paid indirectly | 1.04 | %5 | 1.00 | % | 0.81 | % | 0.71 | % | 1.39 | %5 | 2.16 | % | 2.20 | % | |||||||
Total expenses after fees waived and paid indirectly | 1.04 | %5 | 1.00 | % | 0.81 | % | 0.71 | % | 1.38 | %5 | 2.14 | % | 2.19 | % | |||||||
Total expenses after fees waived and paid indirectly and | |||||||||||||||||||||
excluding interest expense | 0.89 | %5 | 0.87 | % | 0.73 | % | 0.69 | % | 0.76 | %5 | 0.83 | % | 0.91 | % | |||||||
Net investment income | 7.83 | %5 | 7.75 | % | 6.90 | % | 7.42 | % | 7.84 | %5 | 7.92 | % | 7.10 | % | |||||||
Supplemental Data | |||||||||||||||||||||
Net assets, end of period (000) | $ | 632,912 | $ | 609,818 | $ | 619,381 | $ | 551,505 | $ | 616,393 | $ | 638,109 | $ | 699,206 | |||||||
Borrowings outstanding, end of period (000) | $ | 238,561 | $ | 244,120 | $ | 123,233 | — | $ | 64,538 | $ | 109,287 | $ | 220,000 | ||||||||
Average borrowings outstanding during the period (000) | $ | 226,649 | $ | 191,303 | $ | 44,160 | $ | 11,705 | $ | 120,295 | $ | 172,040 | $ | 179,366 | |||||||
Portfolio turnover | 23 | % | 106 | %6 | 248 | %7 | 287 | %8 | 191 | %9 | 65 | % | 132 | % | |||||||
Asset coverage, end of period per $1,000 | $ | 3,653 | $ | 3,498 | $ | 6,026 | — | $ | 10,551 | $ | 7,251 | $ | 4,178 |
1 | Consolidated Financial Highlights. |
2 | Based on average shares outstanding. |
3 | Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions. |
4 | Aggregate total investment return. |
5 | Annualized. |
6 | Includes mortgage dollar roll and to-be-announced (“TBA”) transactions. Excluding these transactions the portfolio turnover rate would have been 87%. |
7 | Includes mortgage dollar roll transactions. Excluding these transactions the portfolio turnover rate would have been 113%. |
8 | Includes mortgage dollar roll transactions. Excluding these transactions the portfolio turnover rate would have been 79%. |
9 | Includes TBA transactions. Excluding these transactions, the portfolio turnover rate would have been 24%. |
See Notes to Financial Statements.
52 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Notes to Financial Statements (Unaudited)
1. Organization and Significant Accounting Policies:
BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Diversified Income Strategies Fund, Inc. (“DVF”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW”) (collectively, the “Funds” or individually as a “Fund”) are registered under the 1940 Act, as diversified, closed-end management investment companies. BHL and BLW are organized as Delaware Statutory trusts. DVF and FRA are organized as Maryland corporations. The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“US GAAP”), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board of Directors” or 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 NAVs of their Common Shares on a daily basis.
The following is a summary of significant accounting policies followed by the Funds:
Basis of Consolidation: The accompanying consolidated financial statements include the accounts of DVF JGW SPV, LLC, DVF (S-MARTIN) SPV, LLC, FRA JGW SPV, LLC and BLW JGW SPV, LLC (the “Taxable Subsidiaries”), all of which are wholly owned taxable subsidiaries of each Fund. The Taxable Subsidiaries enable the Funds to hold investments that are organized as an operating partnership and still satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investments held by the Taxable Subsidiaries is taxable to such subsidiaries. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. The Funds may invest up to 25% of their total assets in the Taxable Subsidiary. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Funds.
Valuation: US GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Funds value their bond investments on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. TBA commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service 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. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.
Equity investments traded on a recognized securities exchange or the NAS-DAQ Global Market System (“NASDAQ”) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last available bid (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 such prior day’s price no longer reflects the fair value of the security.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the NYSE. Foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.
Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and 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.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 53 |
Notes to Financial Statements (continued)
In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the market value of such investment or if a price is not available, the investment will be valued in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Assets”). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of each Fund’s net assets. If events (for example, a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.
Foreign Currency Transactions: The Funds’ books and records are maintained in US dollars. Purchases and sales of investment securities are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the US dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US dollar falls in relative value.
The Funds do not isolate the portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in foreign currency exchange rates on investments are not segregated on the Statement 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. The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgage-Backed Securities: Certain Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of 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 subject to such a prepayment feature will have the effect of shortening the maturity of the security. If a Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
Certain Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by 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 Treasury.
Collateralized Debt Obligations: Certain Funds may invest in collateralized debt obligations (“CDOs”), which include collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”). CBOs and CLOs are types of asset-backed securities. A CDO is a bankruptcy remote entity which 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.
Zero-Coupon Bonds: The Funds may invest in zero-coupon bonds, which are normally issued at a significant discount from face value and do not provide for periodic interest payments. Zero-coupon bonds may experience greater volatility in market value than similar maturity debt obligations which provide for regular interest payments.
Preferred Stock: Certain Funds may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with
54 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Notes to Financial Statements (continued)
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.
Floating Rate Loan Interests: Certain Funds may invest in floating rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the “borrower”) by banks, other financial institutions, and 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. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. 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. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of their 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, the Funds 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 the Funds upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. The Funds 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. The Funds 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 the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds 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, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds’ 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, the Funds may be treated as general creditors of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments and When-Issued Delayed Delivery Securities: Certain 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. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions, which is shown in the Schedules of Investments.
TBA Commitments: Certain Funds may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Funds generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Funds will not be entitled to receive interest and principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Funds’ portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Funds are required to purchase may decline below the agreed upon repurchase price of those securities.
Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell securities to a bank or
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 55 |
Notes to Financial Statements (continued)
broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. 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. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities that the Funds are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Funds’ use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Funds’ obligation to repurchase the securities.
Segregation and Collateralization: In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that the Funds either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts and swaps), or certain borrowings (e.g., reverse repurchase agreements and loan payable), the Funds will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.
Dividends and Distributions: Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.
Income Taxes: 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 federal income tax provision is required.
Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ US federal tax returns remains open for each of the three years ended August 31, 2011 and the period ended August 31, 2008 for BHL and BLW and the four years ended August 31, 2011 for DVF and FRA. The statutes of limitations on the Funds’ state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Recent Accounting Standards: In May 2011, the Financial Accounting Standards Board (the “FASB”) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ financial statement disclosures.
In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ financial statement disclosures.
Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan: Under the deferred compensation plan approved by each Fund’s Board, independent Directors (“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 other BlackRock Closed-End Funds selected by the Independent Directors. This has approximately the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.
56 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Notes to Financial Statements (continued)
The deferred compensation plan is not funded and obligations there-under represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Fund’s deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in dividends — affiliated in the Statements of Operations.
Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are pro rated among those funds on the basis of relative net assets or other appropriate methods.
The Funds have an arrangement with the custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.
2. Derivative Financial Instruments:
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counter-party fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (“ISDA Master Agreement”) implemented between a Fund and each of its respective counterparties. An ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instrument’s payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. See Note 1 “Segregation and Collateralization” for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
Financial Futures Contracts: The Funds purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Funds and the counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date. 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 value of the contract. Such receipts or payments are known as margin variation and are recorded by the Funds as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest rates and the underlying assets.
Foreign Currency Exchange Contracts: The Funds enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies, in which some of the investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Options: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (interest rate 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
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 57 |
Notes to Financial Statements (continued)
the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (write) an option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is “covered,” meaning that the Funds holds the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.
Options on swaps (swaptions) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swap option is granting or buying 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 the Funds 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 at a price different from the current market value.
Swaps: The Funds enter into swap agreements, in which the Funds and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. 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.
• | Credit default swaps — The Funds enter into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments 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. |
Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of February 29, 2012
Asset Derivatives
BHL | DVF | FRA | BLW | ||||||
Statements of Assets and Liabilities Location | Value | ||||||||
Interest rate contracts | Net unrealized appreciation/ | ||||||||
depreciation1; Investments at | |||||||||
value — unaffiliated | — | — | — | $ | 169,010 | ||||
Foreign currency exchange contracts | Unrealized appreciation on foreign | ||||||||
currency exchange contracts | $ | 6,894 | $ | 7,053 | $ | 11,875 | 28,085 | ||
Credit contracts | Unrealized appreciation on swaps; | ||||||||
Investments at value — unaffiliated | — | — | — | 125,306 | |||||
Total | $ | 6,894 | $ | 7,053 | $ | 11,875 | $ | 322,401 |
58 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Notes to Financial Statements (continued)
Liability Derivatives | |||||||||
BHL | DVF | FRA | BLW | ||||||
Statements of Assets and Liabilities Location | Value | ||||||||
Interest rate contracts | Net unrealized appreciation/ depreciation1; Investments at | ||||||||
value — unaffiliated | — | — | — | $ | 45,571 | ||||
Foreign currency exchange contracts | Unrealized appreciation on foreign | ||||||||
currency exchange contracts | $ | 211,088 | $ | 179,668 | $ | 325,415 | 1,962,413 | ||
Credit contracts | Unrealized appreciation on swaps; | ||||||||
Investments at value — unaffiliated | — | — | — | 8,049 | |||||
Total | $ | 211,088 | $ | 179,668 | $ | 325,415 | $ | 2,016,033 |
1 | Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day’s margin variation is reported within the Statements of Assets and Liabilities. |
The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended February 29, 2012
Net Realized Gain (Loss) From | ||||||||||||
BHL | DVF | FRA | BLW | |||||||||
Interest rate contracts: | ||||||||||||
Financial futures contracts | — | — | — | $ | 1,150 | |||||||
Foreign currency exchange contracts: | ||||||||||||
Foreign currency exchange contracts | $ | 565,611 | $ | 508,006 | $ | 734,007 | 2,817,999 | |||||
Credit contracts: | ||||||||||||
Swaps | — | — | — | (236,726 | ) | |||||||
Options2 | — | — | — | 176,120 | ||||||||
Total | $ | 565,611 | $ | 508,006 | $ | 734,007 | $ | 2,758,543 | ||||
Net Change in Unrealized Appreciation/Depreciation on | ||||||||||||
BHL | DVF | FRA | BLW | |||||||||
Interest rate contracts: | ||||||||||||
Financial futures contracts | — | — | — | $ | (39,630 | ) | ||||||
Options2 | — | — | — | (74,027 | ) | |||||||
Foreign currency exchange contracts: | ||||||||||||
Foreign currency exchange contracts | $ | (178,283 | ) | $ | (150,084 | ) | $ | (255,990 | ) | (1,378,570 | ) | |
Credit contracts: | ||||||||||||
Swaps | — | — | — | 37,276 | ||||||||
Options2 | — | — | — | 178,638 | ||||||||
Total | $ | (178,283 | ) | $ | (150,084 | ) | $ | (255,990 | ) | $ | (1,276,313 | ) |
2 | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments. |
For the six months ended February 29, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:
BHL | DVF | FRA | BLW | |||||
Financial future contracts: | ||||||||
Average number of contracts purchased | — | — | — | 66 | ||||
Average number of contracts sold | — | — | — | 8 | ||||
Average notional value of contracts purchased | — | — | — | $ | 16,395,263 | |||
Average notional value of contracts sold | — | — | — | $ | 1,397,815 | |||
Foreign currency exchange contracts: | ||||||||
Average number of contracts — US dollars purchased | 4 | 4 | 4 | 5 | ||||
Average number of contracts — US dollars sold | 4 | 3 | 3 | 5 | ||||
Average US dollar amounts purchased | $ | 6,316,861 | $ | 5,541,354 | $ | 10,046,183 | $ | 52,831,987 |
Average US dollar amounts sold | $ | 747,039 | $ | 636,233 | $ | 1,495,868 | $ | 4,416,216 |
Options: | ||||||||
Average number of option contracts purchased | — | 13 | 20 | 46 | ||||
Average notional value of option contracts | — | $ | 12,257 | $ | 18,857 | $ | 43,372 | |
Average number of swaption contracts purchased | — | — | — | — | ||||
Average number of swaption contracts written | — | — | — | 1 | ||||
Average notional value of swaption contracts purchased | — | — | — | — | ||||
Average notional value of swaption contracts written | — | — | — | $ | 3,850,000 | |||
Credit default swaps: | ||||||||
Average number of contracts — buy protection | — | — | — | 1 | ||||
Average number of contracts — sell protection | — | — | — | 2 | ||||
Average notional value-buy protection | — | — | — | $ | 7,700,000 | |||
Average notional value-sell protection | — | — | — | $ | 8,550,000 |
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 59 |
Notes to Financial Statements (continued)
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (“PNC”) and Barclays Bank PLC (“Barclays”) are the largest stockholders of BlackRock, Inc. (“BlackRock”). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (the “Manager”), the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Fund’s average daily net assets, plus the proceeds of any outstanding borrowings used for leverage as follows:
BHL | 1.00 | % |
DVF | 0.75 | % |
FRA | 0.75 | % |
BLW | 0.55 | % |
The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pay to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investment in other affiliated investment companies, if any. These amounts are shown as, or included in, fees waived by advisor in the Statements of Operations. For the six months ended February 29, 2012, the amounts waived were as follows:
BHL | $ | 185 |
DVF | $ | 125 |
FRA | $ | 310 |
BLW | $ | 1,424 |
The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (“BFM”), an affiliate of the Manager. The Manager pays BFM, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.
BlackRock provides investment management and other services to the Taxable Subsidiaries. BlackRock does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Trust pays BlackRock based on the Trust’s net assets, which includes the assets of the Taxable Subsidiaries.
Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for compensation paid to the Funds’ Chief Compliance Officer.
4. Income Tax Information:
As of August 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:
Expires August 31, | BHL | DVF | FRA | BLW | ||||
2013 | — | — | $ | 691,829 | — | |||
2014 | — | $ | 1,755,694 | — | — | |||
2015 | — | 2,237,399 | — | — | ||||
2016 | — | 1,444,704 | 475,453 | $ | 21,882,229 | |||
2017 | — | 20,249,830 | 20,954,032 | 9,996,868 | ||||
2018 | $ | 3,842,154 | 52,502,532 | 43,990,722 | 37,509,275 | |||
2019 | — | 7,153,981 | 2,206,081 | — | ||||
Total | $ | 3,842,154 | $ | 85,344,140 | $ | 68,318,117 | $ | 69,388,372 |
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.
As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
BHL | DVF | FRA | BLW | |||||||||
Tax cost | $ | 161,731,334 | $ | 178,945,341 | $ | 356,083,778 | $ | 862,343,227 | ||||
Gross unrealized appreciation | $ | 3,469,111 | $ | 3,784,963 | $ | 7,938,098 | $ | 31,579,288 | ||||
Gross unrealized depreciation | (2,552,676 | ) | (9,354,768 | ) | (10,498,389 | ) | (28,428,057 | ) | ||||
Net unrealized appreciation (depreciation) | $ | 916,435 | $ | (5,569,805 | ) | $ | (2,560,291 | ) | $ | 3,151,231 |
60 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Notes to Financial Statements (continued)
5. Investments:
Purchases and sales of investments including paydowns and excluding short-term securities and US government securities for the six months ended February 29, 2012, were as follows:
Purchases | Sales | ||||
BHL | $ | 33,690,415 | $ | 44,901,492 | |
DVF | $ | 36,911,188 | $ | 48,167,977 | |
FRA | $ | 73,612,690 | $ | 94,672,701 | |
BLW | $ | 192,260,792 | $ | 196,418,870 |
For the six months ended February 29, 2012, purchases and sales of US government securities for BLW were $473,966 and $2,038,634, respectively.
Transactions in options written for the six months ended February 29, 2012, were as follows:
Calls | Puts | ||||||||||
BLW | Notional (000) | Premium Received | Notional (000) | Premium Received | |||||||
Outstanding options, | |||||||||||
beginning of year | 7,400 | $ | 76,220 | 15,100 | $ | 229,830 | |||||
Options written | — | — | — | — | |||||||
Options expired | (7,400 | ) | (76,220 | ) | (15,100 | ) | (229,830 | ) | |||
Outstanding options, | |||||||||||
end of year | — | — | — | — |
6. Borrowings:
BHL, DVF and FRA are entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). The Funds have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:
Commitment Amounts | ||
BHL | $ | 63,300,000 |
DVF | $ | 66,800,000 |
FRA | $ | 137,200,000 |
Prior to March 2, 2012, advances were made by SSB to the Funds at the Funds’ option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above the Overnight LIBOR or (b) 0.80% above the 7-day, 30-day, 60-day or 90-day LIBOR.
Effective March 2, 2012, advances were made by SSB to the Funds at the Funds’ option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above the 7-day, 30-day, 60-day or 90-day LIBOR.
In addition, the Funds pay a facility fee and a commitment fee based upon SSB’s total commitment to the Funds. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of February 29, 2012 are shown in the Statements of Assets and Liabilities as loan payable.
The Funds 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 February 29, 2012, the daily weighted average interest rate for BLW with borrowings from reverse repurchase agreements was as follows:
Daily Weighted Average Interest Rate | |
BLW | 0.39% |
For the six months ended February 29, 2012, the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:
Daily Weighted Average Interest Rate | |
BHL | 0.96% |
DVF | 0.96% |
FRA | 0.96% |
7. Commitments:
The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded floating rate loan interests and bridge loan commitments (“commitments”). Bridge loan commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. At February 29, 2012, the Funds had outstanding bridge loan commitments as follows:
Commitment Amounts | |
BHL | $1,415,000 |
DVF | $1,495,000 |
FRA | $3,060,000 |
BLW | $7,899,610 |
In connection with either of these commitments, the Funds earn 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. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income. As of February 29, 2012, the Funds had no outstanding unfunded floating rate loan interests.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 61 |
Notes to Financial Statements (concluded)
8. Concentration, Market and Credit Risk:
In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counter-party credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe 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 generally approximated by their value recorded in the Funds’ Statements of Assets and Liabilities, less any collateral held by the Funds.
The Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Please see the Schedules of Investments for these securities. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.
9. Capital Share Transactions:
BHL and BLW are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. DVF and FRA are authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares without 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:
Six Months Ended February 29, 2012 | Year Ended August 31, 2011 | |
BHL | — | 18,402 |
DVF | — | 42,239 |
FRA | — | 58,212 |
BLW | 3,518 | 30,417 |
At February 29, 2012, the shares owned by affiliates of the Manager of the Funds were as follows:
BHL | 8,517 |
FRA | 9,017 |
10. 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 item was noted:
The Funds will pay a net investment income dividend in the following amounts per share on March 30, 2012 to Common Shareholders of record on March 15, 2012:
Common Dividend Per Share | |
BHL | $0.0660 |
DVF | $0.0585 |
FRA | $0.0770 |
BLW | $0.1050 |
62 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chairperson of the Board,
Chairperson of the Audit Committee and Director
Paul L. Audet, Director
Michael J. Castellano, Director and Member of the Audit
Committee
Frank J. Fabozzi, Director and Member of the Audit
Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
John M. Perlowski, President and Chief Executive Officer
Anne Ackerley, Vice President
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and
Anti-Money Laundering Officer
Ira P. Shapiro, Secretary
1 | John F. Powers, who was a Director of the Funds, resigned as of February 21, 2012. |
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Financial Management, Inc.
New York, NY 10055
Custodian and Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110
Transfer Agent
Common Shares
Computershare Trust Company, N.A.
Canton, MA 02021
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809
BLW is managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno was added to the team of portfolio managers responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 63 |
Dividend Policy
Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.
General Information
On February 9, 2012, the Board of BLW approved the removal of BLW's non-fundamental investment policy requiring that counterparties with respect to swap transactions be rated A or A-1 or better by S&P's or Fitch Ratings, Inc. ("Fitch") or A or P-1 or better by Moody's. As a result of this investment policy change, BLW may enter into swap transactions with any counterparties approved by the Manager. Such counterparties may entail a greater degree of credit risk or risk of nonperformance than counterparties rated A or A-1 or better by S&P's or Fitch or A or P-1 or better by Moody's. The Manager will seek to minimize BLW's exposure to counterparty risk by entering into swap transactions with counterparties the Manager believe to be creditworthy at the time they enter into such transactions. To the extent BLW engages in swap transactions, shareholders of BLW will be dependent on the analytical ability of the Manager to evaluate the credit quality of counterparties to such transactions. In the event of the insolvency of a counterparty, BLW may not be able to recover its assets, in full or at all, during the insolvency process. In addition, counterparties to investments may have no obligation to make markets in such investments and may have the ability to apply essentially discretionary margin and credit requirements. The foregoing investment policy amendment will not alter BLW's investment objective.
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.
During the period, there were no material changes in the Funds’ investment objectives or policies or 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 or in the principal risk factors associated with investment in the Funds. Other than as disclosed on page 63, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.
Quarterly performance, semi-annual and annual reports and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Electronic Delivery
Electronic copies of most financial reports are available on the Funds’ web-sites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds’ electronic delivery program.
Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:
Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.
Householding
The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and 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) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
64 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
Additional Information (continued)
General Information (concluded)
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.
Availability of Proxy Voting Record
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 upon request and without charge (1) at http://www.blackrock.com or by calling (800) 441-7762 and (2) on the SEC’s website at http://www.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 http://www.blackrock.com. Investors and others are advised to periodically 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.
Section 19(a) Notices
These reported amounts and sources of distributions are estimates 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 year and may be subject to changes based on the tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will explain the character of these dividends and distributions for federal income tax purposes.
February 29, 2012
Total Fiscal Year-to-Date Cumulative Distributions by Character | Percent of Fiscal Year-to-Date Cumulative Distributions by Character | ||||||||
Net Investment Income | Net Realized Capital Gains | Return of Capital | Total Per Common Share | Net Investment Income | Net Realized Capital Gains | Return of Capital | Total Per Common Share | ||
DVF | $0.337593 | — | $0.013407 | $0.351000 | 96% | 0% | 4% | 100% |
Each Fund estimates that it has distributed more than the amount of earned income and net realized 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’.
SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 | 65 |
Additional Information (concluded)
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to 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.
66 | SEMI-ANNUAL REPORT | FEBRUARY 29, 2012 |
This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.
![]() | |
#CEFT BK4 2/12 SAR | ![]() |
Item 2 – | Code of Ethics – Not Applicable to this semi-annual report | |
Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report | |
Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report | |
Item 5 – | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report | |
Item 6 – | Investments | |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form. | ||
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing. | ||
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report | |
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies | |
(a) | Not Applicable to this semi-annual report | |
(b) | As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR. | |
Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable | |
Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. | |
Item 11 – | Controls and Procedures | |
(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended. | ||
(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. | ||
Item 12 – | Exhibits attached hereto | |
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report | ||
(a)(2) – Certifications – Attached hereto | ||
(a)(3) – Not Applicable | ||
(b) – Certifications – Attached hereto |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock Diversified Income Strategies Fund, Inc.
By: | /s/ John M. Perlowski |
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock Diversified Income Strategies Fund, Inc.
Date: May 1, 2012
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 Diversified Income Strategies Fund, Inc.
Date: May 1, 2012
By: | /s/ Neal J. Andrews |
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock Diversified Income Strategies Fund, Inc.
Date: May 1, 2012