Blackrock Defined Opportunity Credit Trust (BHL) N-CSRS Certified semi-annual shareholder report (management investment company)

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 811-22126

Name of Fund: BlackRock Defined Opportunity Credit Trust (BHL)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Defined Opportunity Credit Trust, 55 East 52^nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 08/31/2015

Date of reporting period: 02/28/2015

Item 1 – Report to Stockholders

FEBRUARY 28, 2015

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Defined Opportunity Credit Trust (BHL)

BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

	Page
The Markets in Review	3
Semi-Annual Report:
Fund Summaries	4
The Benefits and Risks of Leveraging	10
Derivative Financial Instruments	10
Financial Statements
Schedules of Investments	11
Statements of Assets and Liabilities	51
Statements of Operations	52
Statements of Changes in Net Assets	53
Statements of Cash Flows	56
Financial Highlights	57
Notes to Financial Statements	60
Officers and Directors	74
Additional Information	75

2 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

The Markets in Review

Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), geopolitical risks, uneven global economic growth and uncertainty around policy moves from the world’s largest central banks. As the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program (which ultimately ended in October 2014), U.S. interest rates surprisingly trended lower during the period.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields remained persistently low, but were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy-related assets sold off sharply and emerging markets struggled as many of those economies rely heavily on oil exports. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted in early 2015. U.S. equities underperformed international markets given high valuations and the anticipation of a rate hike from the Fed. Oil prices showed signs of stabilizing as suppliers became more disciplined in their exploration and production efforts. Markets in Europe and Japan rebounded, driven largely by central bank policy accommodation and improving economic data.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC

 

Rob Kapito
President, BlackRock Advisors, LLC

Total Returns as of February 28, 2015

	6-month			12-month
U.S. large cap equities (S&P 500® Index)		6.12	%		15.51	%
U.S. small cap equities (Russell 2000® Index)		5.70			5.63
International equities (MSCI Europe, Australasia, Far East Index)		(1.26	)		(0.03	)
Emerging market equities (MSCI Emerging Markets Index)		(8.30	)		5.01
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.01			0.03
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		4.14			8.66
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)		2.25			5.05
Tax-exempt municipal bonds (S&P Municipal Bond Index)		2.17			6.47
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(0.08	)		2.81

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 28, 2015 BlackRock Defined Opportunity Credit Trust

Fund Overview

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-month period ended February 28, 2015, the Fund returned (0.79)% based on market price and 1.51% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% 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?

•  During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.

•  During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Fund’s modest position in equities was a negative contributor.

Describe recent portfolio activity.

•  During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral, and the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

•  At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

4 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”)	BHL
Initial Offering Date	January 31, 2008
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($13.17)1	5.31%
Current Monthly Distribution per Common Share2	$0.0583
Current Annualized Distribution per Common Share2	$0.6996
Economic Leverage as of February 28, 20153	29%

¹ Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

² The distribution rate is not constant and is subject to change.

³ Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary

	2/28/15		8/31/14		Change			High		Low
Market Price	$	13.17	$	13.84		(4.84	)%	$	13.89	$	12.61
Net Asset Value	$	14.03	$	14.41		(2.64	)%	$	14.42	$	13.72

Market Price and Net Asset Value History For the Past Five Years

      

Overview of the Fund’s Total Investments

Portfolio Composition	2/28/15			8/31/144
Floating Rate Loan Interests		93	%		94	%
Corporate Bonds		4			2
Asset-Backed Securities		3			2
Short-Term Securities		—			1
Common Stocks		—	5		1
Other6		—			—

⁴ Information has been revised to conform to current year presentation.

⁵ Representing less than 1% of the Fund’s total investments.

⁶ Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities and Warrants.

Credit Quality Allocation7,8	2/28/15			8/31/14
BBB/Baa		7	%		6	%
BB/Ba		45			43
B		42			44
CCC/Caa		3			4
N/R		3			3

⁷ For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

⁸ Excludes short-term securities.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 5

Fund Summary as of February 28, 2015 BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Overview

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-month period ended February 28, 2015, the Fund returned (0.09)% based on market price and 1.48% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% 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?

•  During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.

•  During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Fund’s modest position in equities was a negative contributor.

Describe recent portfolio activity.

•  During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral and with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

•  At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.

6 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE	FRA
Initial Offering Date	October 31, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($13.83)1	5.85%
Current Monthly Distribution per Common Share2	$0.0674
Current Annualized Distribution per Common Share2	$0.8088
Economic Leverage as of February 28, 20153	29%

¹ Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

² The distribution rate is not constant and is subject to change.

³ Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary

	2/28/15		8/31/14		Change			High		Low
Market Price	$	13.83	$	14.26		(3.02	)%	$	14.32	$	12.96
Net Asset Value	$	15.15	$	15.38		(1.50	)%	$	15.38	$	14.69

Market Price and Net Asset Value History For the Past Five Years

 

    

Overview of the Fund’s Total Investments

Portfolio Composition	2/28/15			8/31/144
Floating Rate Loan Interests		92	%		93	%
Corporate Bonds		4			3
Asset-Backed Securities		3			2
Common Stocks		1			1
Other5		—			1

⁴ Information has been revised to conform to current year presentation.

⁵ Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities, Options Purchased, Other Interests, Short-Term Securities and Warrants.

Credit Quality Allocation6,7	2/28/15			8/31/14
BBB/Baa		7	%		6	%
BB/Ba		44			43
B		41			43
CCC/Caa		4			4
N/R		4			4

⁶ For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

⁷ Excludes short-term securities.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 7

Fund Summary as of February 28, 2015 BlackRock Limited Duration Income Trust

Fund Overview

BlackRock Limited Duration Income Trust’s (BLW) (the “Fund”) investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:

• intermediate duration, investment grade corporate bonds, mortgage-related securities, asset-backed securities and U.S. Government and agency securities;

• senior, secured floating rate loans made to corporate and other business entities; and

• U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. 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-month period ended February 28, 2015, the Fund returned (0.71)% based on market price and 1.32% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.46)% based on market price and (1.60)% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•  The main contributors to the Fund’s absolute performance were its exposure to non-U.S. dollar securities, high yield, term loans, asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”). Other contributors included agency mortgage-backed securities (“MBS”) 15-year pass-throughs and emerging market debt.

•  The main detractors from the Fund’s absolute performance during the period were its positions in preferred equities, its duration exposure through U.S. Treasuries and its positions in investment grade credit.

•  The Fund held derivatives during the reporting period, which had a neutral effect on performance..

Describe recent portfolio activity.

•  The Fund’s allocations remained consistent throughout the six-month period, with its largest positions in high yield and investment grade corporate credit, followed by allocations in securitized credit, including ABS and CMBS.

Describe portfolio positioning at period end.

•  At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, as well as CMBS, ABS and agency and non-agency residential MBS.

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 28, 2015

BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE	BLW
Initial Offering Date	July 30, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($15.98)1	7.47%
Current Monthly Distribution per Common Share2	$0.0995
Current Annualized Distribution per Common Share2	$1.1940
Economic Leverage as of February 28, 20153	30%

¹ Current Distribution Rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. Past performance does not guarantee future results.

² The distribution rate is not constant and is subject to change.

³ Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

Market Price and Net Asset Value Per Share Summary

	2/28/15		8/31/14		Change			High		Low
Market Price	$	15.98	$	16.81		(4.94	)%	$	16.84	$	14.99
Net Asset Value	$	17.55	$	18.09		(2.99	)%	$	18.10	$	17.12

Market Price and Net Asset Value History For the Past Five Years

 

    

Overview of the Fund’s Total Investments

Portfolio Composition	2/28/15			8/31/144
Corporate Bonds		38	%		42	%
Floating Rate Loan Interests		30			32
Asset-Backed Securities		11			5
Non-Agency Mortgage-Backed Securities		9			7
Preferred Securities		7			8
U.S. Government Sponsored Agency Securities		4			4
Foreign Agency Obligations		1			—	5
Common Stocks		—	5		1
Short-Term Securities		—	5		1
Other6		—	6		—	7

⁴ Information has been revised to conform to current year presentation.

⁵ Representing less than 1% of the Fund’s total investments.

⁶ Includes a less than 1% holding in each of the following investment types: Options Purchased, Options Written, Other Interests and Warrants.

⁷ Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests and Warrants.

Credit Quality Allocation8, 9	2/28/15			8/31/14
AAA/Aaa10		6	%		6	%
AA/Aa		2			2
A		6			3
BBB/Baa		16			15
BB/Ba		31			32
B		29			31
CCC/Caa		5			7
N/R		5			4

⁸ For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

⁹ Excludes short-term securities.

¹⁰ The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 9

The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance the yield and net asset value (“NAV”) of their common shares (“Common Shares”). However, these objectives cannot be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which will be based on short-term interest rates, will normally be lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the 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.

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s financing cost of leverage are significantly lower than the income earned on the Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s 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 value of the Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAV positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Fund’s shares than if the Fund were not leveraged. In addition, the Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shares.

Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33¹⁄₃% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

If a Fund segregates or designates on its books and records cash or liquid assets having values not less than the value of the Fund’s obligations under the reverse repurchase agreement (including accrued interest), then such transaction will not be considered a senior security and will not be subject to the foregoing limitations and requirements under the 1940 Act.

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. 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 limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

10 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Schedule of Investments February 28, 2015 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Common Stocks (a)		Shares			Value
Diversified Consumer Services — 0.1%
Cengage Thomson Learning			8,922		$	192,385
Software — 0.4%
HMH Holdings/EduMedia.			24,355			481,742
Total Common Stocks — 0.5%						674,127
Asset-Backed Securities (b)			Par (000	)
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (c)	USD		500			485,153
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)			713			676,264
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (c)			250			237,940
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (c)			250			240,265
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.76%, 1/20/25 (c)			250			252,739
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (c)			250			237,350
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (c)			215			212,614
LCM LP, 0.00%, 4/20/27 (d)(e)			500			431,250
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (c)			250			234,781
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (c)			250			233,021
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (c)			250			242,313
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (c)			350			350,322
Voya CLO, Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26 (e)			1,000			940,700
Total Asset-Backed Securities — 3.8%						4,774,712
Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)			250			252,500
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16			44			49,397
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18			590			609,175
						911,072
Auto Components — 0.4%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17			164			166,050
4.88%, 3/15/19			325			334,360
						500,410
Chemicals — 0.1%
INEOS Finance PLC, 8.38%, 2/15/19 (b)			110			117,315
Commercial Services & Supplies — 0.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c)			68			68,340

Corporate Bonds		Par (000)		Value
Commercial Services & Supplies (concluded)
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)	USD		232	$	236,526
United Rentals North America, Inc., 5.75%, 7/15/18			80		83,050
					387,916
Communications Equipment — 0.4%
Avaya, Inc., 7.00%, 4/01/19 (b)			101		102,010
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20			342		362,520
					464,530
Diversified Financial Services — 0.1%
Reynolds Group Issuer, Inc., 7.13%, 4/15/19			120		124,575
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.:
3.83%, 1/15/18 (c)			228		230,850
6.13%, 1/15/21			127		134,461
					365,311
Health Care Providers & Services — 0.7%
CHS/Community Health Systems, Inc., 6.88%, 2/01/22			71		75,926
HCA, Inc.:
5.88%, 5/01/23			85		93,075
5.38%, 2/01/25			185		196,100
Tenet Healthcare Corp. (b):
5.00%, 3/01/19			325		326,625
5.50%, 3/01/19			240		244,500
					936,226
Independent Power and Renewable Electricity Producers — 0.3%
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b)			325		340,031
Media — 0.4%
Altice Financing SA, 6.63%, 2/15/23 (b)			200		208,250
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			96		99,240
Numericable Group SA, 6.00%, 5/15/22 (b)			200		203,500
					510,990
Metals & Mining — 0.0%
Novelis, Inc., 8.38%, 12/15/17			60		62,700
Oil, Gas & Consumable Fuels — 0.3%
Antero Resources Finance Corp., 5.38%, 11/01/21			150		151,125
CONSOL Energy, Inc., 5.88%, 4/15/22			140		134,400
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19			145		148,625
					434,150
Pharmaceuticals — 0.2%
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b)			225		238,219
Road & Rail — 0.2%
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)			196		202,125
Wireless Telecommunication Services — 1.0%
Digicel Group Ltd., 8.25%, 9/30/20 (b)			310		313,565
Sprint Communications, Inc., 7.00%, 3/01/20 (b)			800		886,248
T-Mobile USA, Inc., 6.13%, 1/15/22			50		52,625
					1,252,438
Total Corporate Bonds — 5.4%					6,848,008

Portfolio Abbreviations

ABS
ADS
BROIS
CAD
CLO Asset-Backed Security
American Depositary Shares
Brazilian Overnight Indexed Swap
Canadian Dollar
Collateralized Loan Obligation
CR
DIP
EUR
GBP
OTC Custodian Receipt
Debtor-In-Possession
Euro
British Pound
Over-the-Counter PIK
REMIC
SGD
USD Payment-In-Kind
Real Estate Mortgage Investment Conduit
Singapore Dollar
U.S. Dollar

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 11

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Aerospace & Defense — 2.3%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21	USD		670	$	671,394
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20			506		505,198
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			275		288,406
Transdigm, Inc.:
Term Loan C, 3.75%, 2/28/20			221		219,481
Term Loan D, 3.75%, 6/04/21			199		198,222
TransUnion LLC, Term Loan, 4.00%, 4/09/21			1,082		1,076,870
					2,959,571
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			156		144,061
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21			163		150,780
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			26		23,615
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			225		207,973
					526,429
Airlines — 0.7%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			322		321,832
Northwest Airlines, Inc.:
2.18%, 3/10/17			148		145,166
1.56%, 9/10/18			218		208,190
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			257		256,515
					931,703
Auto Components — 4.5%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			282		281,271
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16			57		56,999
Autoparts Holdings Ltd.:
1st Lien Term Loan, 6.50%, 7/29/17			623		622,638
2nd Lien Term Loan, 10.50%, 1/29/18			200		194,014
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			356		353,282
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			327		322,175
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			2,005		1,989,436
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19			958		962,531
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20			575		578,594
UCI International, Inc., Term Loan B, 5.50%, 7/26/17			336		336,000
					5,696,940
Automobiles — 0.3%
Chrysler Group LLC, Term Loan B:
3.25%, 12/31/18			189		188,070
3.50%, 5/24/17			198		198,334
					386,404
Banks — 0.3%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			257		257,078
2nd Lien Term Loan, 8.25%, 6/03/21			69		69,300
					326,378
Building Products — 3.9%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			336		329,406
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,264		1,241,603
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			318		310,454

Floating Rate Loan Interests (c)		Par (000)		Value
Building Products (concluded)
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21	USD		392	$	387,463
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			700		701,750
Nortek, Inc., Term Loan, 3.75%, 10/30/20			478		473,722
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			223		219,498
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			383		381,499
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			109		107,901
Term Loan B, 4.00%, 10/31/19			784		776,812
					4,930,108
Capital Markets — 0.4%
Affinion Group, Inc.:
2nd Lien Term Loan, 8.50%, 10/12/18			39		34,474
Term Loan B, 6.75%, 4/30/18			299		284,119
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			195		194,386
					512,979
Chemicals — 4.9%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			253		252,404
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			131		130,960
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			450		445,900
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			27		26,623
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22			270		270,508
Chemtura Corp., Term Loan B, 3.50%, 8/27/16			128		127,721
Chromaflo Technologies Corp.:
1st Lien Term Loan, 4.50%, 12/02/19			257		254,504
2nd Lien Term Loan, 8.25%, 5/30/20			110		108,625
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			473		463,756
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			193		192,360
MacDermid, Inc.:
1st Lien Term Loan, 4.50%, 6/07/20			654		655,701
Term Loan B2, 4.75%, 6/07/20			167		167,447
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21			461		462,404
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17			578		562,637
OXEA Finance LLC:
2nd Lien Term Loan, 8.25%, 7/15/20			315		296,494
Term Loan B2, 4.25%, 1/15/20			578		558,555
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18			155		155,118
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			354		349,686
2nd Lien Term Loan, 7.75%, 7/31/22			390		377,976
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			133		131,978
Univar, Inc., Term Loan B, 5.00%, 6/30/17			221		219,272
					6,210,629
Commercial Services & Supplies — 6.3%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			726		717,743
ARAMARK Corp.:
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16			14		13,718
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16			9		9,277
Term Loan E, 3.25%, 9/07/19			645		643,297
Term Loan F, 3.25%, 2/24/21			195		193,598
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			863		841,877

See Notes to Financial Statements.

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Commercial Services & Supplies (concluded)
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21	USD		1,035	$	1,037,370
Connolly Corp.:
1st Lien Term Loan, 5.00%, 5/14/21			672		674,567
2nd Lien Term Loan, 8.00%, 5/14/22			325		320,937
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21			240		241,200
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21			182		183,845
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21			308		304,983
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20			547		541,093
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			305		295,426
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			984		975,910
US Ecology, Inc., Term Loan, 3.75%, 6/17/21			214		213,596
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20			207		207,248
West Corp., Term Loan B10, 3.25%, 6/30/18			598		596,430
					8,012,115
Communications Equipment — 1.6%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21			327		326,400
2nd Lien Term Loan, 7.50%, 1/24/22			85		84,235
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17			343		332,684
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17			156		155,904
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22			135		136,012
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19			1,033		1,032,043
					2,067,278
Construction & Engineering — 0.4%
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21			192		192,852
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20			280		281,750
					474,602
Construction Materials — 1.5%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20			218		217,460
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18			1,596		1,591,353
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19			148		142,941
					1,951,754
Containers & Packaging — 1.2%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19			208		207,643
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21			571		570,420
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20			343		344,562
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22			250		250,520
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21			169		169,150
					1,542,295
Distributors — 1.1%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			666		661,884
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18			328		329,277
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19			230		226,558
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17			204		203,220
					1,420,939

Floating Rate Loan Interests (c)		Par (000)		Value
Diversified Consumer Services — 2.2%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21	USD		651	$	649,979
2nd Lien Term Loan, 8.00%, 8/13/21			91		90,378
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.25%, 1/30/20			80		80,100
Term Loan B, 3.75%, 1/30/20			632		631,013
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21			135		135,506
Garda World Securities Corp.:
Delayed Draw Term Loan, 4.00%, 11/06/20			11		10,543
Term Loan B, 4.00%, 11/06/20			42		41,215
ROC Finance LLC, Term Loan, 5.00%, 6/20/19			247		234,119
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21			813		812,670
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20			295		155,216
					2,840,739
Diversified Financial Services — 2.4%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21			599		594,297
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			225		223,969
Onex Wizard US Acquisition, Inc., Term Loan, 5.50%, 1/14/22			465		467,823
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18			742		743,650
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			589		587,430
TransFirst, Inc.:
2014 1st Lien Term Loan, 5.50%, 11/12/21			313		315,017
2014 2nd Lien Term Loan, 9.00%, 11/12/22			165		163,098
					3,095,284
Diversified Telecommunication Services — 5.1%
Altice Financing SA, Term Loan:
Delayed Draw, 5.50%, 7/02/19			395		397,499
5.25%, 2/04/22			160		160,650
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20			686		687,734
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22			540		540,448
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			518		519,597
Integra Telecom, Inc.:
2nd Lien Term Loan, 9.75%, 2/21/20			190		188,337
Term Loan B, 5.25%, 2/22/19			457		453,664
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22			835		838,482
Level 3 Financing, Inc.:
2019 Term Loan, 4.00%, 8/01/19			350		349,289
2020 Term Loan B, 4.00%, 1/15/20			2,330		2,328,835
					6,464,535
Electric Utilities — 0.4%
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20			209		177,519
American Energy — Utica LLC:
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18			52		45,875
2nd Lien Term Loan, 5.50%, 9/30/18			238		215,290
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18			52		45,882
					484,566
Electrical Equipment — 1.4%
Southwire Co., Term Loan, 3.25%, 2/10/21			263		256,876
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 5/05/16			448		450,132
Extended Term Loan, 4.66%, 10/10/17 (a)(f)			1,705		1,088,353
					1,795,361

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 13

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20	USD		650	$	643,834
Energy Equipment & Services — 1.1%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			256		255,260
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			264		264,264
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			956		918,498
					1,438,022
Food & Staples Retailing — 1.1%
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21			334		333,578
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20			235		237,204
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19			509		509,706
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			380		378,989
					1,459,477
Food Products — 3.4%
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20			257		256,750
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18			678		676,776
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			587		585,383
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19			54		54,142
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21			468		468,235
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21			439		439,175
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19			372		371,807
Pinnacle Foods Finance LLC:
Incremental Term Loan H, 3.00%, 4/29/20			123		122,710
Term Loan G, 3.00%, 4/29/20			605		601,492
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			560		484,422
2nd Lien Term Loan, 10.75%, 11/01/19			270		205,200
					4,266,092
Health Care Equipment & Supplies — 5.0%
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22			265		267,539
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17			707		705,712
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			438		435,754
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17			970		969,883
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			614		614,869
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			798		797,426
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21			506		505,228
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21			572		574,270
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			704		693,512
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			695		686,923
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19			100		100,623
					6,351,739
Health Care Providers & Services — 7.4%
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22			112		112,373
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20			335		331,650

Floating Rate Loan Interests (c)		Par (000)		Value
Health Care Providers & Services (concluded)
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21	USD		299	$	298,688
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18			241		241,499
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19			392		391,588
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21			1,945		1,949,085
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16			540		538,988
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22			350		351,971
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			2,204		2,206,129
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20			237		237,000
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18			422		421,398
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17			265		270,212
HCA, Inc., Term Loan B5, 2.92%, 3/31/17			315		314,962
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21			81		80,395
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			480		475,832
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			318		315,266
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			226		223,909
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18			419		416,184
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19			195		194,187
					9,371,316
Health Care Technology — 0.9%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			754		749,587
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19			434		431,610
					1,181,197
Hotels, Restaurants & Leisure — 11.3%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			190		188,104
2nd Lien Term Loan, 8.00%, 8/01/22			1,225		1,217,723
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			252		252,119
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			678		650,965
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21			1,280		1,286,630
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18			39		36,217
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			1,001		964,094
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			376		376,651
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20			154		154,151
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21			452		454,511
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			941		940,186
Intrawest ULC, Term Loan, 5.50%, 12/09/20			366		367,216
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21			1,977		1,974,460
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			594		593,875
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			782		778,657
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			370		369,328
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21			294		294,182

See Notes to Financial Statements.

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Sabre, Inc.:
Incremental Term Loan, 4.50%, 2/19/19	USD		114	$	113,563
Term Loan B, 4.00%, 2/19/19			524		522,851
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20			348		347,001
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			1,142		1,140,154
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21			763		768,811
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20			258		258,634
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19			366		364,761
					14,414,844
Household Products — 1.1%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19			631		629,520
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19			238		237,841
Spectrum Brands, Inc.:
Term Loan A, 3.00%, 9/04/17			176		175,077
Term Loan C, 3.50%, 9/04/19			339		338,182
					1,380,620
Independent Power and Renewable Electricity Producers — 2.1%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18			873		872,948
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16			648		650,821
Granite Acquisition Inc.:
Term Loan B, 5.00%, 12/19/21			710		717,697
Term Loan C, 5.00%, 12/19/21			31		31,579
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21			375		376,406
					2,649,451
Industrial Conglomerates — 0.5%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			629		613,068
Insurance — 2.5%
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19			412		411,131
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20			249		242,316
CNO Financial Group, Inc.:
Term Loan B1, 3.00%, 9/28/16			215		214,174
Term Loan B2, 3.75%, 9/28/18			515		512,028
Cooper Gay Swett & Crawford of Delaware Holding Corp.:
1st Lien Term Loan, 5.00%, 4/16/20			414		380,604
2nd Lien Term Loan C, 8.25%, 10/16/20			200		172,334
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21			483		480,869
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			457		449,930
2nd Lien Term Loan, 6.75%, 2/28/22			260		254,150
					3,117,536
Internet Software & Services — 1.9%
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21			420		417,146
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21			572		572,394
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21			862		864,255
W3 Co.:
1st Lien Term Loan, 5.75%, 3/13/20			403		362,543
2nd Lien Term Loan, 9.25%, 9/11/20			155		145,722
					2,362,060

Floating Rate Loan Interests (c)		Par (000)		Value
IT Services — 3.8%
First Data Corp.:
2018 Extended Term Loan, 3.67%, 3/24/18	USD		2,845	$	2,839,533
2018 Term Loan, 3.67%, 9/24/18			295		294,723
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19			428		426,577
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18			245		228,254
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19			123		108,988
SunGard Data Systems, Inc.:
Term Loan C, 3.92%, 2/28/17			350		349,671
Term Loan E, 4.00%, 3/08/20			126		126,356
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21			392		392,233
					4,766,335
Leisure Products — 0.4%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21			364		361,231
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19			93		89,778
					451,009
Machinery — 2.3%
Alliance Laundry Systems LLC:
2nd Lien Term Loan, 9.50%, 12/10/19			131		131,073
Refinancing Term Loan, 4.25%, 12/10/18			344		342,857
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			266		265,798
Term Loan B3, 4.25%, 8/30/20			79		78,799
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20			305		302,689
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18			191		188,481
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			180		180,164
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			564		562,443
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			664		638,146
Wabash National Corp., Term Loan B, 4.50%, 5/08/19			237		235,539
					2,925,989
Media — 13.7%
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 7.00%, 3/31/20			1,365		1,364,346
Term Loan, 0.00%, 7/03/15 (a)(f)			591		—
Charter Communications Operating LLC:
Term Loan E, 3.00%, 7/01/20			458		456,307
Term Loan G, 4.25%, 9/12/21			935		942,003
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19			1,364		1,304,683
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20			525		521,575
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21			254		252,721
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			453		451,460
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19			343		343,395
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			983		975,046
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22			350		344,750
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20			114		112,995
MCC Iowa LLC:
Term Loan I, 2.65%, 6/30/17			249		247,506
Term Loan J, 3.75%, 6/30/21			124		123,753
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20			637		638,557

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 15

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Media (concluded)
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18	USD		253	$	249,038
Mediacom ILLC, Term Loan E, 3.15%, 10/23/17			478		474,315
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21			309		306,037
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			509		509,312
Term Loan B2, 4.50%, 5/21/20			440		440,624
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20			365		362,290
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			706		701,251
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20			368		364,607
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20			1,144		1,142,916
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			519		518,068
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21	EUR		281		313,775
Virgin Media Investment Holdings Ltd.:
Term Loan B, 3.50%, 6/07/20	USD		780		777,598
Term Loan E, 4.25%, 6/30/23	GBP		650		1,002,981
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19	USD		947		946,917
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21			57		56,647
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			425		420,928
Term Loan B2A, 3.50%, 1/15/22			276		273,051
Term Loan B3, 3.50%, 1/15/22			453		449,071
					17,388,523
Metals & Mining — 1.1%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			100		92,500
Novelis, Inc., Term Loan, 3.75%, 3/10/17			780		778,517
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17			580		579,655
					1,450,672
Multiline Retail — 2.3%
99¢ Only Stores, Term Loan, 4.50%, 1/11/19			449		449,378
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			1,035		1,030,665
2nd Lien Term Loan, 8.50%, 3/26/20			200		198,250
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22			470		473,408
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20			151		151,465
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			580		574,650
					2,877,816
Oil, Gas & Consumable Fuels — 4.5%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18			426		340,504
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20			430		427,493
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			848		660,897
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18			440		424,235
Fieldwood Energy LLC:
1st Lien Term Loan, 3.88%, 9/28/18			311		297,340
2nd Lien Term Loan, 8.38%, 9/30/20			135		103,179
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21			205		206,281
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15			119		118,271
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19			27		16,306

Floating Rate Loan Interests (c)		Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21	USD		375	$	376,875
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			325		328,250
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19			360		352,800
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			105		101,325
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			405		384,750
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			61		55,019
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			269		261,262
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21			214		199,752
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22			250		248,750
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21			360		363,449
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/19/22			380		378,100
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			134		132,648
					5,777,486
Personal Products — 0.1%
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21			93		93,027
Pharmaceuticals — 6.2%
Akorn, Inc., Term Loan B, 4.50%, 4/16/21			569		570,235
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19			277		277,084
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			211		208,066
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21			357		356,407
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21			976		973,772
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21			363		360,360
Mallinckrodt International Finance SA:
Incremental Term Loan B1, 3.50%, 3/19/21			329		328,283
Term Loan B, 3.25%, 3/19/21			526		522,869
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19			845		839,365
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18			981		979,404
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18			568		568,397
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20			469		468,540
Valeant Pharmaceuticals International, Inc., Term Loan B:
Series C2, 3.50%, 12/11/19			524		523,157
Series D2, 3.50%, 2/13/19			568		566,214
Series E, 3.50%, 8/05/20			326		325,399
					7,867,552
Professional Services — 2.5%
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21			305		306,439
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			469		466,364
2014 2nd Lien Term Loan, 7.50%, 7/25/22			160		159,450
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20			393		388,262
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			717		715,008
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22			275		273,166

See Notes to Financial Statements.

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Professional Services (concluded)
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19	USD		422	$	418,250
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			391		386,080
					3,113,019
Real Estate Management & Development — 1.8%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			523		522,989
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21			492		493,219
Realogy Corp.:
Extended Letter of Credit, 4.40%, 10/10/16			40		39,643
Term Loan B, 3.75%, 3/05/20			1,182		1,180,191
					2,236,042
Road & Rail — 0.8%
Hertz Corp., Term Loan B2, 3.50%, 3/11/18			328		325,765
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			462		447,667
2nd Lien Term Loan, 7.75%, 9/21/21			225		200,250
					973,682
Semiconductors & Semiconductor Equipment — 1.7%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21			1,169		1,169,791
Freescale Semiconductor, Inc.:
Term Loan B4, 4.25%, 2/28/20			529		527,709
Term Loan B5, 5.00%, 1/15/21			163		163,694
NXP BV, Term Loan D, 3.25%, 1/11/20			326		323,431
					2,184,625
Software — 3.8%
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20			241		236,800
GCA Services Group, Inc.:
2nd Lien Term Loan, 9.25%, 10/22/20			176		174,240
Term Loan B, 4.25%, 11/01/19			386		384,964
Infor US, Inc.:
Term Loan B3, 3.75%, 6/03/20			196		193,758
Term Loan B5, 3.75%, 6/03/20			980		970,637
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			202		192,275
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20			114		114,232
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			409		417,822
Initial Incremental Term Loan, 4.50%, 10/30/19			243		243,276
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/12/20			505		501,697
2nd Lien Term Loan, 8.50%, 10/11/21			350		345,551
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21			219		213,188
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18			638		637,362
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20			75		74,696
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20			130		124,962
					4,825,460
Specialty Retail — 4.8%
Academy Ltd., Term Loan, 4.50%, 8/03/18			519		517,821
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20			298		299,118
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19			329		322,582
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			548		543,817

Floating Rate Loan Interests (c)		Par (000)		Value
Specialty Retail (concluded)
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20	USD		662	$	659,710
Term Loan B, 3.75%, 1/28/20			515		511,680
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19			944		937,429
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17			771		770,211
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22			1,165		1,172,805
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18			369		311,916
					6,047,089
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.:
Term Loan C, 3.75%, 10/29/18			385		385,686
Term Loan B, 4.50%, 4/29/20			447		448,727
					834,413
Textiles, Apparel & Luxury Goods — 1.8%
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21			496		496,250
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			527		445,680
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21			466		439,186
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21			502		498,078
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19			379		379,050
					2,258,244
Thrifts & Mortgage Finance — 0.3%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			441		438,795
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			601		594,841
Total Floating Rate Loan Interests — 133.2%					168,984,484
Non-Agency Mortgage Backed Securities — 0.2%
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)			304		309,564
Investment Companies			Shares
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust			12		173
Eaton Vance Senior Income Trust			3,347		21,856
Total Investment Companies — 0.0%					22,029
Warrants (g)
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)			691	$	3,687
Total Investments (Cost — $182,519,416) — 143.1%					181,616,611
Liabilities in Excess of Other Assets — (43.1)%					(54,697,640	)
Net Assets — 100.0%				$	126,918,971

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 17

Schedule of Investments (continued) BlackRock Defined Opportunity Credit Trust (BHL)
 

Notes to Schedule of Investments

(a)	Non-income producing security.
(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)	Variable rate security. Rate shown is as of report date.
(d)	When-issued security. Unsettled when-issued transactions were as follows:

Counterparty	Value		Unrealized Appreciation
Deutsche Bank Securities, Inc.	$	1,293,750		—

(e)	Zero-coupon bond.
(f)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(g)	Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
•	During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate	Shares Held at August 31, 2014		Net Activity			Shares Held at February 28, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		2,958,501		(2,958,501	)		—	$	142

• As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Depreciation
EUR	120,000		USD	135,638	Deutsche Bank AG	4/21/15	$	(1,275	)
USD	405,054		EUR	351,000	Citibank N.A.	4/21/15		12,042
USD	813,069		GBP	536,000	Bank of America N.A.	4/21/15		(14,156	)
Total							$	(3,389	)

• For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

• Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

• Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

• Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Asset-Backed Securities	$	—	$	3,596,662	$	1,178,050	$	4,774,712
Common Stocks		481,742		192,385		—		674,127
Corporate Bonds		—		6,848,008		—		6,848,008
Floating Rate Loan Interests		—		157,949,885		11,034,599		168,984,484
Investment Companies		22,029		—		—		22,029
Non-Agency Mortgage-Backed Securities		—		309,564		—		309,564
Warrants		—		—		3,687		3,687
Total	$	503,771	$	168,896,504	$	12,216,336	$	181,616,611

See Notes to Financial Statements.

18 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Schedule of Investments (concluded) BlackRock Defined Opportunity Credit Trust (BHL)
 

	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Foreign currency exchange contracts		—	$	12,042			—	$	12,042
Liabilities:
Foreign currency exchange contracts		—		(15,431	)		—		(15,431	)
Total		—	$	(3,389	)		—	$	(3,389	)

¹ Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	99,981		—			—	$	99,981
Foreign currency at value		2,102		—			—		2,102
Liabilities:
Bank borrowings payable		—	$	(52,000,000	)		—		(52,000,000	)
Total	$	102,083	$	(52,000,000	)		—	$	(51,897,917	)

During the six months ended February 28, 2015, there were no transfers between level 1 and level 2.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Asset-Backed Securities			Floating Rate Loan Interests			Unfunded Floating Rate Loan Interests (Liabilities)			Warrants		Total
Assets:
Opening Balance, as of August 31, 2014	$	921,580		$	13,599,109		$	(85	)		—	$	14,520,604
Transfers into Level 32		—			4,360,933			—			—		4,360,933
Transfers out of Level 33		(921,580	)		(5,813,003	)		—		$	3,214		(6,731,369	)
Accrued discounts/premiums		1,851			9,718			—			—		11,569
Net realized gain		—			5,630			—			—		5,630
Net change in unrealized appreciation/ depreciation4,5		12,649			(225,441	)		85			473		(212,234	)
Purchases		1,163,550			2,028,676			—			—		3,192,226
Sales		—			(2,931,023	)		—			—		(2,931,023	)
Closing Balance, as of February 28, 2015	$	1,178,050		$	11,034,599			—		$	3,687	$	12,216,336
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154	$	12,649		$	(250,310	)	$	85		$	473	$	(237,103	)

² As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,360,933 transferred from Level 2 to Level 3 in the disclosure hierarchy.

³ As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,731,369 transferred from Level 3 to Level 2 in the disclosure hierarchy.

⁴ Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

⁵ Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations.

The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information inputs could result in a significantly lower or higher value of such Level 3 investments.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 19

Consolidated Schedule of Investments
 February 28, 2015 (Unaudited) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Common Stocks (a)		Shares		Value
Chemicals — 0.0%
GEO Specialty Chemicals, Inc. (b)			23,849	$	20,749
Diversified Consumer Services — 0.4%
HMH Holdings/EduMedia			116,627		2,306,882
Diversified Financial Services — 0.0%
Kcad Holdings I Ltd.			217,833,983		217,834
Electrical Equipment — 0.0%
Medis Technologies Ltd.			260,833		3
Media — 0.2%
Cengage Thomson Learning			37,579		810,316
Paper & Forest Products — 0.4%
Ainsworth Lumber Co. Ltd.			393,892		1,061,848
Ainsworth Lumber Co. Ltd. (b)			346,000		932,741
					1,994,589
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.			1,860		60,747
Total Common Stocks — 1.0%					5,411,120
Asset-Backed Securities			Par (000)
ALM Loan Funding (b)(c):
Series 2013-7RA, Class C, 3.71%, 4/24/24	USD		1,075		1,043,079
Series 2013-7RA, Class D, 5.26%, 4/24/24			900		835,245
Series 2013-8A, Class B, 3.01%, 1/20/26			1,150		1,113,486
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c)			713		676,264
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c)			1,000		960,000
Ares CLO Ltd., Series 2014-32A, Class C, 4.45%, 11/15/25 (b)(c)			1,000		993,340
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (b)(c)			860		818,515
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c)			1,100		1,057,166
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c)			650		615,010
Carlyle Global Market Strategies CLO Ltd. (b)(c):
Series 2012-4A, Class D, 4.76%, 1/20/25			700		707,670
Series 2013-1A, Class C, 4.26%, 2/14/25			250		247,241
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (b)(c)			625		593,375
CIFC Funding 2014-V, Ltd., Series 2014-5A, Class D2, 4.74%, 1/17/27 (b)(c)			1,000		980,700
CIFC Funding Ltd., Series 2014-3A, Class C1, 3.06%, 7/22/26 (b)(c)			250		242,359
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c)			950		939,458
LCM LP, 0.00%, 4/20/27 (b)(d)(e)			1,500		2,156,250
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c)			370		349,500
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (b)(c)			750		704,343
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (b)(c)			1,000		932,083
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (b)(c)			250		242,313
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.90%, 11/14/26 (b)(c)			500		480,515
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c)			500		501,333
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c)			250		238,605

Asset-Backed Securities		Par (000)		Value
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c)	USD		500	$	483,752
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c)			1,250		1,144,375
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (b)(c)			1,500		1,501,380
Voya CLO Ltd., Series 2014-3A, Class C, 3.86%, 7/25/26 (b)(c)			250		240,345
Voya CLO, Ltd., Series 2014-4A (b):
Class C, 4.23%, 10/14/26 (c)			1,000		987,030
Class SUB, 0.00%, 10/14/26 (e)			1,000		940,700
Total Asset-Backed Securities — 4.0%					22,725,432
Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)			1,140		1,151,400
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			175		197,588
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18			2,605		2,689,663
					4,038,651
Auto Components — 0.4%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17			717		725,962
4.88%, 3/15/19			1,415		1,455,752
					2,181,714
Banks — 0.0%
CIT Group, Inc., 5.00%, 8/01/23			135		142,425
Capital Markets — 0.2%
Blackstone CQP Holdco LP, 9.30%, 3/18/19			928		918,510
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f)			129		325,245
					1,243,755
Chemicals — 0.6%
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15			1,559		3,554,720
Commercial Services & Supplies — 0.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c)			295		296,475
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)			939		958,686
United Rentals North America, Inc., 5.75%, 7/15/18			350		363,344
					1,618,505
Communications Equipment — 0.3%
Avaya, Inc., 7.00%, 4/01/19 (b)			390		393,900
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20			1,323		1,402,380
					1,796,280
Construction & Engineering — 0.1%
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b)			335		338,350
Consumer Finance — 0.2%
Ally Financial, Inc.:
7.50%, 9/15/20			128		152,320
5.13%, 9/30/24			135		142,594
8.00%, 11/01/31			621		804,280
					1,099,194
Health Care Providers & Services — 0.7%
CHS/Community Health Systems, Inc., 6.88%, 2/01/22			314		335,784
HCA, Inc.:
5.88%, 5/01/23			370		405,150
5.38%, 2/01/25			810		858,600

See Notes to Financial Statements.

20 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Health Care Providers & Services (concluded)
Tenet Healthcare Corp. (b):
5.00%, 3/01/19	USD		1,400	$	1,407,000
5.50%, 3/01/19			1,040		1,059,500
					4,066,034
Hotels, Restaurants & Leisure — 0.0%
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(g)			120		—
Independent Power and Renewable Electricity Producers — 0.3%
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b)			1,400		1,464,750
Media — 0.4%
Altice Financing SA, 6.63%, 2/15/23 (b)			550		572,687
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)			514		531,348
Numericable Group SA, 6.00%, 5/15/22 (b)			842		856,735
					1,960,770
Metals & Mining — 0.0%
Novelis, Inc., 8.38%, 12/15/17			255		266,475
Oil, Gas & Consumable Fuels — 0.3%
Antero Resources Finance Corp., 5.38%, 11/01/21			600		604,500
CONSOL Energy, Inc., 5.88%, 4/15/22			620		595,200
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19			635		650,875
					1,850,575
Pharmaceuticals — 0.2%
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b)			1,005		1,064,044
Road & Rail — 0.2%
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b)			884		911,625
Wireless Telecommunication Services — 1.0%
Digicel Group Ltd., 8.25%, 9/30/20 (b)			1,355		1,370,582
Sprint Communications, Inc., 7.00%, 3/01/20 (b)			3,510		3,888,413
T-Mobile USA, Inc., 6.13%, 1/15/22			225		236,813
					5,495,808
Total Corporate Bonds — 5.9%					33,093,675
Floating Rate Loan Interests (c)
Aerospace & Defense — 2.3%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21			2,945		2,951,126
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20			2,201		2,197,367
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			1,175		1,232,281
Transdigm, Inc.:
Term Loan C, 3.75%, 2/28/20			882		877,925
Term Loan D, 3.75%, 6/04/21			821		817,665
TransUnion LLC, Term Loan, 4.00%, 4/09/21			4,754		4,732,301
					12,808,665
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			693		640,062
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21			725		669,913
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			114		104,875
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			1,000		924,018
					2,338,868
Airlines — 0.7%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			1,422		1,420,542

Floating Rate Loan Interests (c)		Par (000)		Value
Airlines (concluded)
Northwest Airlines, Inc.:
2.18%, 3/10/17	USD		653	$	635,917
1.56%, 9/10/18			958		914,254
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			1,139		1,134,583
					4,105,296
Auto Components — 4.5%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			1,236		1,234,469
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16			243		242,245
Autoparts Holdings Ltd.:
1st Lien Term Loan, 6.50%, 7/29/17			2,779		2,777,925
2nd Lien Term Loan, 10.50%, 1/29/18			907		881,571
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			1,579		1,565,233
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			1,544		1,522,277
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			8,798		8,729,766
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19			4,179		4,197,471
GPX International Tire Corp., Term Loan (a)(g):
PIK, 13.00%, 12/31/49 (h)			18		—
12.25%, 12/31/49			1,097		—
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20			2,520		2,535,750
UCI International, Inc., Term Loan B, 5.50%, 7/26/17			1,440		1,440,000
					25,126,707
Automobiles — 0.3%
Chrysler Group LLC, Term Loan B:
3.25%, 12/31/18			819		816,618
3.50%, 5/24/17			868		867,714
					1,684,332
Banks — 0.3%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			1,153		1,151,908
2nd Lien Term Loan, 8.25%, 6/03/21			307		306,900
					1,458,808
Building Products — 3.9%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			1,461		1,434,359
CPG International, Inc., Term Loan, 4.75%, 9/30/20			5,735		5,635,048
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			1,404		1,372,789
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21			1,742		1,721,510
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			3,065		3,072,663
Nortek, Inc., Term Loan, 3.75%, 10/30/20			2,080		2,062,664
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			1,012		995,059
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			1,679		1,672,027
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			500		495,365
Term Loan B, 4.00%, 10/31/19			3,386		3,354,854
					21,816,338
Capital Markets — 0.4%
Affinion Group, Inc.:
2nd Lien Term Loan, 8.50%, 10/12/18			186		162,919
Term Loan B, 6.75%, 4/30/18			1,359		1,290,527
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			870		866,239
					2,319,685

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 21

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Chemicals — 4.7%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19	USD		1,099	$	1,096,985
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			570		569,173
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			1,986		1,969,876
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			116		115,827
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22			1,015		1,016,908
Chemtura Corp., Term Loan B, 3.50%, 8/27/16			499		498,210
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19			1,139		1,125,692
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			2,049		2,008,007
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			856		853,288
MacDermid, Inc.:
1st Lien Term Loan, 4.50%, 6/07/20			2,858		2,866,168
Term Loan B2, 4.75%, 6/07/20			747		751,249
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21			2,074		2,080,820
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17			2,441		2,377,194
OXEA Finance LLC:
2nd Lien Term Loan, 8.25%, 7/15/20			1,365		1,284,806
Term Loan B2, 4.25%, 1/15/20			2,518		2,434,725
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18			677		678,643
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			1,541		1,521,873
2nd Lien Term Loan, 7.75%, 7/31/22			1,725		1,671,818
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			581		576,791
Univar, Inc., Term Loan B, 5.00%, 6/30/17			979		971,013
					26,469,066
Commercial Services & Supplies — 6.2%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			3,191		3,153,373
ARAMARK Corp.:
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16			46		45,668
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16			32		31,877
Term Loan E, 3.25%, 9/07/19			2,848		2,839,112
Term Loan F, 3.25%, 2/24/21			863		858,780
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			3,790		3,695,113
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			4,540		4,548,528
Connolly Corp.:
1st Lien Term Loan, 5.00%, 5/14/21			2,985		2,998,074
2nd Lien Term Loan, 8.00%, 5/14/22			1,500		1,481,250
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21			960		964,800
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21			870		877,360
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21			1,350		1,337,989
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20			2,388		2,361,135
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			1,340		1,296,063
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			4,305		4,271,400
US Ecology, Inc., Term Loan, 3.75%, 6/17/21			906		901,851
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20			923		924,646
West Corp., Term Loan B10, 3.25%, 6/30/18			2,606		2,597,498
					35,184,517

Floating Rate Loan Interests (c)		Par (000)		Value
Communications Equipment — 1.9%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21	USD		1,429	$	1,424,301
2nd Lien Term Loan, 7.50%, 1/24/22			380		376,580
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17			1,506		1,462,085
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17			689		687,841
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22			605		609,537
Telesat Canada, Term Loan A, 4.40%, 3/24/17	CAD		2,125		1,689,240
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19	USD		4,550		4,543,948
					10,793,532
Construction & Engineering — 0.1%
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21			845		848,547
Construction Materials — 1.5%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20			960		958,802
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18			7,153		7,132,549
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19			657		633,703
					8,725,054
Containers & Packaging — 1.2%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19			918		914,620
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21			2,496		2,492,931
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20			1,502		1,508,084
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22			1,000		1,002,080
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21			771		771,125
					6,688,840
Distributors — 1.1%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			2,962		2,945,416
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18			1,445		1,451,813
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19			1,009		992,997
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17			880		878,202
					6,268,428
Diversified Consumer Services — 2.2%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21			2,869		2,862,830
2nd Lien Term Loan, 8.00%, 8/13/21			417		415,741
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.25%, 1/30/20			240		240,300
Term Loan B, 3.75%, 1/30/20			2,769		2,763,738
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21			575		577,156
Garda World Securities Corp.:
Delayed Draw Term Loan, 4.00%, 11/06/20			47		46,054
Term Loan B, 4.00%, 11/06/20			182		180,028
ROC Finance LLC, Term Loan, 5.00%, 6/20/19			1,067		1,011,394
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21			3,696		3,694,407
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20			1,352		712,042
					12,503,690
Diversified Financial Services — 2.4%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21			2,671		2,649,572
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			975		970,535

See Notes to Financial Statements.

22 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Diversified Financial Services (concluded)
Onex Wizard US Acquisition, Inc., Term Loan, 5.25%, 1/14/22	USD		2,090	$	2,102,686
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18			3,245		3,253,506
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			2,569		2,561,985
TransFirst, Inc.:
2014 1st Lien Term Loan, 5.50%, 11/12/21			1,373		1,381,227
2014 2nd Lien Term Loan, 9.00%, 11/12/22			741		733,937
					13,653,448
Diversified Telecommunication Services — 4.9%
Altice Financing SA, Term Loan, 5.25%, 2/04/22			1,100		1,104,466
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20			3,018		3,025,555
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22			2,410		2,412,000
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			2,703		2,710,726
Integra Telecom, Inc.:
2nd Lien Term Loan, 9.75%, 2/21/20			850		842,562
Term Loan B, 5.25%, 2/22/19			2,004		1,990,270
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22			3,675		3,690,325
Level 3 Financing, Inc.:
2019 Term Loan, 4.00%, 8/01/19			1,647		1,645,448
2020 Term Loan B, 4.00%, 1/15/20			10,260		10,254,870
					27,676,222
Electric Utilities — 0.4%
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20			915		777,113
American Energy — Utica LLC:
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18			224		197,260
2nd Lien Term Loan, 5.50%, 9/30/18			1,049		949,235
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18			224		197,291
					2,120,899
Electrical Equipment — 1.4%
Southwire Co., Term Loan, 3.25%, 2/10/21			1,171		1,143,827
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 5/05/16			1,971		1,979,708
Extended Term Loan, 4.66%, 10/10/17 (a)(g)			7,510		4,793,858
					7,917,393
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20			2,012		1,993,957
Energy Equipment & Services — 1.4%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			1,812		1,806,455
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			1,167		1,166,750
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			4,969		4,773,002
					7,746,207
Food & Staples Retailing — 1.1%
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21			1,471		1,468,738
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20			1,040		1,049,755
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19			2,222		2,225,063
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			1,670		1,665,558
					6,409,114

Floating Rate Loan Interests (c)		Par (000)		Value
Food Products — 3.3%
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20	USD		1,121	$	1,120,813
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18			2,986		2,978,823
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			2,575		2,568,912
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19			227		227,396
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21			2,149		2,151,886
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21			1,939		1,941,382
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19			1,452		1,451,746
Pinnacle Foods Finance LLC:
Incremental Term Loan H, 3.00%, 4/29/20			528		525,201
Term Loan G, 3.00%, 4/29/20			2,638		2,620,787
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			2,451		2,120,407
2nd Lien Term Loan, 10.75%, 11/01/19			1,195		908,200
					18,615,553
Health Care Equipment & Supplies — 5.0%
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22			1,255		1,267,023
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17			3,100		3,096,777
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			1,923		1,913,566
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17			4,250		4,247,781
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			2,740		2,741,329
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			3,518		3,513,507
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21			2,188		2,184,370
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21			2,612		2,621,670
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			3,180		3,131,090
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			3,080		3,042,405
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19			444		447,772
					28,207,290
Health Care Providers & Services — 7.3%
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22			469		470,562
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20			1,470		1,455,300
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21			1,298		1,299,293
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18			1,057		1,057,128
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19			1,717		1,715,058
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21			8,578		8,594,820
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16			2,339		2,335,614
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22			1,600		1,609,008
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			9,666		9,676,091
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20			1,032		1,031,937
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18			1,902		1,899,503
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17			1,193		1,217,025

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 23

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Health Care Providers & Services (concluded)
HCA, Inc., Term Loan B5, 2.92%, 3/31/17	USD		1,402	$	1,401,404
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21			363		361,778
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			2,115		2,098,488
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			1,322		1,309,981
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			990		980,131
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18			1,837		1,826,315
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19			884		879,892
					41,219,328
Health Care Technology — 0.9%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			3,345		3,323,827
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19			1,902		1,889,858
					5,213,685
Hotels, Restaurants & Leisure — 11.3%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			833		826,666
2nd Lien Term Loan, 8.00%, 8/01/22			5,815		5,780,459
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			2,316		2,315,356
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			2,966		2,846,888
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21			5,620		5,649,112
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18			151		138,945
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			3,908		3,763,257
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			1,661		1,663,132
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20			669		669,340
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21			1,923		1,932,866
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			4,119		4,115,833
Intrawest ULC, Term Loan, 5.50%, 12/09/20			1,604		1,607,810
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21			8,056		8,046,129
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			2,475		2,474,480
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			3,447		3,433,151
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			1,618		1,615,812
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21			1,279		1,281,439
Sabre, Inc.:
Incremental Term Loan, 4.50%, 2/19/19			504		503,625
Term Loan B, 4.00%, 2/19/19			2,312		2,308,494
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20			1,530		1,526,851
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			5,023		5,016,677
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21			3,337		3,361,662
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20			1,106		1,107,736
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19			1,626		1,618,901
					63,604,621
Household Products — 1.1%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19			2,741		2,734,149
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19			1,039		1,039,261
Spectrum Brands, Inc.:
Term Loan A, 3.00%, 9/04/17			777		774,810
Term Loan C, 3.50%, 9/04/19			1,458		1,454,469
					6,002,689

Floating Rate Loan Interests (c)		Par (000)		Value
Independent Power and Renewable Electricity Producers — 2.0%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18	USD		3,569	$	3,569,889
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16			2,845		2,857,326
Granite Acquisition Inc.:
Term Loan B, 5.00%, 12/19/21			3,115		3,148,468
Term Loan C, 5.00%, 12/19/21			137		138,532
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21			1,655		1,661,206
					11,375,421
Industrial Conglomerates — 0.5%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			2,801		2,729,221
Insurance — 2.3%
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19			1,784		1,779,954
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20			1,090		1,062,463
CNO Financial Group, Inc.:
Term Loan B1, 3.00%, 9/28/16			945		940,275
Term Loan B2, 3.75%, 9/28/18			2,249		2,235,553
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20			1,817		1,671,939
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21			2,117		2,106,997
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			2,015		1,985,561
2nd Lien Term Loan, 6.75%, 2/28/22			1,155		1,129,013
					12,911,755
Internet Software & Services — 1.7%
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21			1,856		1,843,975
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21			2,537		2,538,442
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21			3,820		3,829,400
W3 Co., 1st Lien Term Loan, 5.75%, 3/13/20			1,764		1,587,229
					9,799,046
IT Services — 3.7%
First Data Corp.:
2018 Extended Term Loan, 3.67%, 3/24/18			12,519		12,497,576
2018 Term Loan, 3.67%, 9/24/18			1,150		1,148,919
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19			1,847		1,841,667
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18			1,015		945,207
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19			539		479,227
SunGard Data Systems, Inc.:
Term Loan C, 3.92%, 2/28/17			1,515		1,513,576
Term Loan E, 4.00%, 3/08/20			567		566,423
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21			1,726		1,726,676
					20,719,271
Leisure Products — 0.4%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21			1,616		1,605,473
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19			396		381,131
					1,986,604
Machinery — 2.3%
Alliance Laundry Systems LLC:
2nd Lien Term Loan, 9.50%, 12/10/19			573		573,443
Refinancing Term Loan, 4.25%, 12/10/18			1,522		1,515,659
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			1,159		1,156,396
Term Loan B3, 4.25%, 8/30/20			344		342,829
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20			1,353		1,342,079

See Notes to Financial Statements.

24 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Machinery (concluded)
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18	USD		967	$	952,253
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			800		800,728
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			2,403		2,395,890
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			2,929		2,813,242
Wabash National Corp., Term Loan B, 4.50%, 5/08/19			1,043		1,037,724
					12,930,243
Media — 13.0%
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 7.00%, 3/31/20			5,636		5,635,071
Term Loan, 0.00%, 7/03/15 (a)(g)			2,489		—
Charter Communications Operating LLC:
Term Loan E, 3.00%, 7/01/20			2,004		1,996,958
Term Loan G, 4.25%, 9/12/21			4,100		4,130,709
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19			6,175		5,906,441
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20			2,267		2,251,677
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21			1,104		1,099,556
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			1,981		1,972,650
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19			1,372		1,373,581
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			4,313		4,278,778
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22			1,490		1,467,650
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20			494		491,281
MCC Iowa LLC:
Term Loan I, 2.65%, 6/30/17			1,075		1,069,227
Term Loan J, 3.75%, 6/30/21			522		519,763
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20			2,687		2,693,364
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18			1,112		1,093,814
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21			1,357		1,342,614
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			2,236		2,238,557
Term Loan B2, 4.50%, 5/21/20			1,934		1,936,656
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20			1,607		1,594,077
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			3,035		3,012,414
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20			1,862		1,842,482
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20			4,800		4,794,345
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			2,271		2,264,649
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21	EUR		1,272		1,421,172
Virgin Media Investment Holdings Ltd.:
Term Loan B, 3.50%, 6/07/20	USD		3,415		3,404,482
Term Loan E, 4.25%, 6/30/23	GBP		2,840		4,382,256
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19	USD		3,964		3,963,038
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21			250		249,317
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			1,879		1,861,115
Term Loan B2A, 3.50%, 1/15/22			1,219		1,207,123
Term Loan B3, 3.50%, 1/15/22			2,004		1,985,287
					73,480,104

Floating Rate Loan Interests (c)		Par (000)		Value
Metals & Mining — 1.0%
Novelis, Inc., Term Loan, 3.75%, 3/10/17	USD		3,383	$	3,377,566
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17			2,515		2,514,812
					5,892,378
Multiline Retail — 2.3%
99¢ Only Stores, Term Loan, 4.50%, 1/11/19			1,959		1,961,868
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			4,843		4,820,938
2nd Lien Term Loan, 8.50%, 3/26/20			870		862,387
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22			2,085		2,100,116
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20			661		662,863
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			2,580		2,557,324
					12,965,496
Oil, Gas & Consumable Fuels — 4.5%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18			1,867		1,492,646
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20			2,050		2,038,048
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			3,701		2,884,624
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18			1,920		1,851,206
Fieldwood Energy LLC:
1st Lien Term Loan, 3.88%, 9/28/18			1,353		1,293,188
2nd Lien Term Loan, 8.38%, 9/30/20			390		298,073
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21			895		900,594
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15			532		526,756
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19			110		67,228
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21			1,650		1,658,250
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			1,435		1,449,350
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19			1,560		1,528,800
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			470		453,550
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,800		1,710,000
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			267		240,829
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			1,169		1,136,974
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21			945		882,627
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22			1,105		1,099,475
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21			1,565		1,579,993
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22			1,685		1,676,575
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			599		594,458
					25,363,244
Personal Products — 0.1%
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21			419		418,620
Pharmaceuticals — 6.0%
Akorn, Inc., Term Loan B, 4.50%, 4/16/21			2,484		2,491,028
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19			1,221		1,222,137
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			911		900,007
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21			1,568		1,564,230

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 25

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (c)		Par (000)		Value
Pharmaceuticals (concluded)
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21	USD		4,262	$	4,250,795
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21			1,587		1,574,725
Mallinckrodt International Finance SA:
Incremental Term Loan B1, 3.50%, 3/19/21			1,436		1,432,507
Term Loan B, 3.25%, 3/19/21			2,308		2,293,717
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19			3,717		3,692,506
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18			4,312		4,303,930
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18			2,608		2,607,937
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20			2,023		2,022,122
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 3.50%, 12/11/19			2,303		2,296,786
Series D2 Term Loan B, 3.50%, 2/13/19			2,008		2,003,331
Series E Term Loan B, 3.50%, 8/05/20			1,436		1,432,621
					34,088,379
Professional Services — 2.4%
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21			1,365		1,371,443
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			2,030		2,019,255
2014 2nd Lien Term Loan, 7.50%, 7/25/22			880		876,973
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20			1,699		1,677,941
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			3,228		3,217,535
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22			975		968,497
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			1,827		1,809,175
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			1,634		1,613,607
					13,554,426
Real Estate Management & Development — 1.7%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			2,296		2,296,605
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21			2,157		2,160,226
Realogy Corp.:
Extended Letter of Credit, 4.40%, 10/10/16			115		112,876
Term Loan B, 3.75%, 3/05/20			5,185		5,176,700
					9,746,407
Road & Rail — 0.8%
Hertz Corp., Term Loan B2, 3.50%, 3/11/18			1,448		1,436,327
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			2,025		1,963,959
2nd Lien Term Loan, 7.75%, 9/21/21			975		867,750
					4,268,036
Semiconductors & Semiconductor Equipment — 1.9%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21			5,129		5,132,149
Freescale Semiconductor, Inc.:
Term Loan B4, 4.25%, 2/28/20			3,544		3,535,168
Term Loan B5, 5.00%, 1/15/21			706		709,338
NXP BV, Term Loan D, 3.25%, 1/11/20			1,412		1,401,534
					10,778,189
Software — 3.8%
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20			1,054		1,034,189
GCA Services Group, Inc.:
2nd Lien Term Loan, 9.25%, 10/22/20			780		772,200
Term Loan B, 4.25%, 11/01/19			1,683		1,679,841

Floating Rate Loan Interests (c)		Par (000)		Value
Software (concluded)
Infor US, Inc.:
Term Loan B3, 3.75%, 6/03/20	USD		846	$	838,003
Term Loan B5, 3.75%, 6/03/20			3,988		3,949,512
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			887		842,348
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20			506		506,595
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			1,787		1,824,149
Initial Incremental Term Loan, 4.50%, 10/30/19			1,469		1,469,785
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/12/20			2,184		2,169,049
2nd Lien Term Loan, 8.50%, 10/11/21			1,600		1,579,664
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21			959		933,200
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18			2,795		2,790,162
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20			325		323,681
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20			575		552,719
					21,265,097
Specialty Retail — 4.8%
Academy Ltd., Term Loan, 4.50%, 8/03/18			2,766		2,762,336
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20			1,316		1,319,535
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19			1,451		1,422,293
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			2,365		2,345,397
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20			2,905		2,896,771
Term Loan B, 3.75%, 1/28/20			2,242		2,226,946
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19			4,137		4,109,124
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17			3,352		3,347,173
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22			5,170		5,204,639
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18			1,601		1,352,930
					26,987,144
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.:
Term Loan C, 3.75%, 10/29/18			1,679		1,680,830
Term Loan B, 4.50%, 4/29/20			1,987		1,994,694
					3,675,524
Textiles, Apparel & Luxury Goods — 1.7%
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21			2,134		2,133,875
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			2,287		1,932,232
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21			2,050		1,929,616
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21			2,214		2,194,504
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19			1,667		1,669,553
					9,859,780
Thrifts & Mortgage Finance — 0.3%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			1,921		1,911,196
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			2,650		2,623,154
Total Floating Rate Loan Interests — 131.0%					738,849,514

See Notes to Financial Statements.

26 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
(Percentages shown are based on Net Assets)

Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)	USD		1,336	$	1,360,450
Investment Companies			Shares
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust			54		776
Eaton Vance Senior Income Trust			13,945		91,061
Total Investment Companies — 0.0%					91,837
Other Interests (i)			Beneficial Interest (000)
Auto Components — 0.0%
Intermet Liquidating Trust, Class A	USD		256		3
Household Durables — 0.3%
Stanley Martin, Class B Membership Units (j)			1,250		1,758,750
Total Other Interests — 0.3%					1,758,753

Preferred Securities	Shares		Value
Preferred Stock — 0.0%
Consumer Finance — 0.0%
Ally Financial, Inc., Series A, 8.50% (c)(k)		4,976	$	132,063
Trust Preferreds — 0.3%
Diversified Financial Services — 0.3%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c)		60,894		1,579,573
Total Preferred Securities — 0.3%				1,711,636
Warrants (l)
Chemicals — 0.0%
GEO Specialty Chemicals, Inc., (Expires 3/31/15)		143,928		123,778
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		2,406		12,839
Total Warrants — 0.0%				136,617
Total Long-Term Investments (Cost — $815,002,691) — 142.8%				805,139,034
Options Purchased (Cost — $43,022) — 0.0%				—
Total Investments (Cost — $815,045,713) — 142.8%				805,139,034
Liabilities in Excess of Other Assets — (42.8)%				(241,186,594	)
Net Assets — 100.0%			$	563,952,440

Notes to Schedule of Investments

(a)	Non-income producing security.
(b)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c)	Variable rate security. Rate shown is as of report date.
(d)	When-issued security. Unsettled when-issued transactions were as follows:

Counterparty	Value		Unrealized Appreciation
Deutsche Bank Securities, Inc.	$	2,156,250		—

(e)	Zero-coupon bond.
(f)	Convertible security.
(g)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h)	Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(i)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j)	Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.
(k)	Security is perpetual in nature and has no stated maturity date.
(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 of the warrants, if any.
•	During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(b)(3) of the 1940 Act, were as follows:

Affiliate	Shares Held at August 31, 2014		Net Activity			Shares Held at February 28, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		3,456,864		(3,456,864	)		—	$	144

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 27

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

• As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation/ (Depreciation)
EUR	529,000	USD	598,031	Royal Bank of Scotland PLC	4/21/15	$	(5,714	)
USD	2,423,774	CAD	2,900,000	UBS AG	4/21/15		105,601
USD	1,447,116	EUR	1,254,000	Citibank N.A.	4/21/15		43,022
USD	3,159,744	GBP	2,083,000	Bank of America N.A.	4/21/15		(55,014	)
Total						$	87,895

• As of February 28, 2015, OTC options purchased outstanding were as follows:

Description	Counterparty	Put/ Call	Strike Price		Expiration Date	Contracts	Notional Amount (000)		Value
Marsico Parent Superholdco LLC	Goldman Sachs & Co.	Call	USD	942.86	12/14/19	44	USD	—		—

• For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

• Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

•	��	Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
•		Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
•		Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	18,106,282	$	4,619,150	$	22,725,432
Common Stocks	$	3,429,477		1,743,057		238,586		5,411,120
Corporate Bonds		—		28,620,445		4,473,230		33,093,675
Floating Rate Loan Interests		—		691,361,761		47,487,753		738,849,514
Investment Companies		91,837		—		—		91,837
Non-Agency Mortgage-Backed Securities		—		1,360,450		—		1,360,450
Other Interests		—		—		1,758,753		1,758,753
Preferred Securities		1,711,636		—		—		1,711,636
Warrants		—		—		136,617		136,617
Total	$	5,232,950	$	741,191,995	$	58,714,089	$	805,139,034

	Level 1		Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Foreign currency exchange contracts		—	$	148,623			—	$	148,623
Liabilities:
Foreign currency exchange contracts		—		(60,728	)		—		(60,728	)
Total		—	$	87,895			—	$	87,895

¹ Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.

28 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	3,119,964		—			—	$	3,119,964
Foreign currency at value		2,192		—			—		2,192
Liabilities:
Bank borrowings payable		—	$	(231,000,000	)		—		(231,000,000	)
Total	$	3,122,156	$	(231,000,000	)		—	$	(227,877,844	)

During the six months ended February 28, 2015, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Common Stocks			Asset-Backed Securities			Corporate Bonds			Floating Rate Loan Interests			Other Interests			Unfunded Floating Rate Loan Interests (Liabilities)			Warrants			Total
Assets:
Opening Balance, as of August 31, 2014	$	1,510,942		$	1,159,180		$	4,766,957		$	58,688,498		$	1,858,753		$	(374	)	$	138,171		$ 68,122,127
Transfers into Level 31		—			—			—			18,772,312			—			—			11,191		18,783,503
Transfers out of Level 32		—			(1,159,180	)		—			(26,062,679	)		—			—			—		(27,221,859)
Accrued discounts/Premiums		—			4,491			43,508			33,217			—			—			—		81,216
Net realized gain (loss)					—			—			64,178			—			—			—		64,178
Net change in unrealized appreciation/ depreciation3,4		(1,272,356	)		29,399			(444,061	)		(962,745	)		(100,000	)		374			(12,745	)	(2,762,134)
Purchases		—			4,585,260			225,926			8,970,164			—			—			—		13,781,350
Sales		—						(119,100	)		(12,015,192	)		—			—			—		(12,134,292)
Closing Balance, as of February 28, 2015	$	238,586		$	4,619,150		$	4,473,230		$	47,487,753		$	1,758,753			—		$	136,617		$ 58,714,089
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154	$	(1,272,357	)	$	29,399		$	(444,060	)	$	(1,065,570	)	$	(100,000	)		—		$	(12,746	)	$ (2,865,334)

¹ As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $18,783,503 transferred from Level 2 to Level 3 in the disclosure hierarchy.

² As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $27,221,859 transferred from Level 3 to Level 2 in the disclosure hierarchy.

³ Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations.

⁴ Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 29

Consolidated Schedule of Investments (concluded) BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $50,651,609. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

	Value		Valuation Techniques	Unobservable Inputs	Range of Unobservable Inputs Utilized
Assets:
Common Stocks	$	20,749	Market Comparable Companies	Last 12 Months EBITDA Multiple1	6.75x
				Illiquidity Discount2	17.50%
		217,834		Last 12 Months EBITDA Multiple1	3.88x-4.63x
				Current Fiscal Year EBITDA Multiple1	3.88x-4.63x
				Discontinued Operations Expected Sale Proceeds	$603
Corporate Bonds		3,554,720	Market Comparable Companies	Last 12 Months EBITDA Multiple1	6.75x
				Illiquidity Discount2	17.50%
		918,510	Discounted Cash Flow	Internal Rate of Return2	10.00%
Floating Rate Loan Interests		1,455,300	Discounted Cash Flow	Internal Rate of Return2	10.00%
Other Interests		1,758,750	Market Comparable Companies	Tangible Book Value Multiple1	1.25x
Warrants		123,778	Market Comparable Companies	Last 12 Months EBITDA Multiple1	6.75x
				Illiquidity Discount2	17.50%
		12,839	Last Dealer Mark-Adjusted	Delta Adjustment Based on Daily Movement in the Common Equity1		120%
Total	$	8,062,480

¹ Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

² Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

³ Amount is stated in millions.

See Notes to Financial Statements.

30 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments February 28, 2015 (Unaudited) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Common Stocks		Shares			Value
Chemicals — 0.0%
LyondellBasell Industries NV, Class A			37		$	3,179
Construction & Engineering — 0.0%
USI United Subcontractors			6,454			180,711
Diversified Consumer Services — 0.4%
HMH Holdings/EduMedia. (a)			128,441			2,540,563
Diversified Financial Services — 0.1%
Kcad Holdings I Ltd. (a)			384,412,912			384,413
Household Durables — 0.0%
Berkline Benchcraft Equity LLC (a)			3,155			—
Media — 0.1%
Cengage Thomson Learning (a)			38,155			822,736
Total Common Stocks — 0.6%						3,931,602
Asset-Backed Securities			Par (000	)
Asset-Backed Securities — 15.4%
ACAS CLO Ltd., Series 2014-1A, Class C, 3.16%, 7/18/26 (b)(c)	USD		1,500			1,444,800
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.90%, 4/15/24 (b)(c)			1,750			1,695,469
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.43%, 5/10/32 (b)(c)			411			406,860
ALM Loan Funding, Series 2013-7RA (b)(c):
Class C, 3.71%, 4/24/24			1,210			1,174,070
Class D, 5.26%, 4/24/24			1,040			965,172
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c)			3,140			2,980,306
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20			4,850			4,873,484
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c)			2,000			1,920,000
Apidos CLO XVII, Series 2014-17A, Class B, 3.11%, 4/17/26 (b)(c)			3,000			2,935,496
Ares CLO, Ltd., ARES 2014 32A B 144A, 3.50%, 11/15/25 (b)(c)			1,250			1,245,888
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c)			1,100			1,057,166
Babson CLO Ltd., Series 2014-3A, Class C1, 3.23%, 1/15/26 (b)(c)			2,000			1,955,000
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.61%, 10/22/25 (b)(c)			500			462,723
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c)			750			709,627
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.06%, 7/20/26 (b)(c)			1,250			1,196,520
Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.36%, 10/20/26 (b)(c)			2,500			2,436,290
Carlyle Global Market Strategies CLO 2014-5, Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (b)(c)			2,000			1,993,118
Carlyle Global Market Strategies CLO 2015-1, Ltd., Series 2015-1A, Class C, 3.41%, 4/20/27 (b)(c)(d)			1,000			993,500
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.26%, 2/14/25 (b)(c)			250			247,242
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19			2,530			2,563,178
Cent CLO, Series 2014-21A, Class C, 3.76%, 7/27/26 (b)(c)			1,000			961,140
Central Park CLO Ltd., Series 2011-1A, Class D, 3.46%, 7/23/22 (b)(c)			500			494,114
CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class C1, 3.16%, 10/17/26 (b)(c)			2,850			2,776,715
CIFC Funding 2014-V, Ltd., Series 2014-5A (b)(c):
Class C, 3.59%, 1/17/27			445			437,925
Class D2, 4.74%, 1/17/27			445			436,412

Asset-Backed Securities		Par (000)		Value
Asset-Backed Securities (concluded)
CIFC Funding 2015-1, Ltd., Series 2015-1A, Class D, 4.26%, 1/22/27 (b)(c)(d)	USD		1,000	$	963,700
CIFC Funding Ltd., Series 2014-3A, Class D, 3.66%, 7/22/26 (b)(c)			420		395,936
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.33%, 10/25/47 (b)			696		690,538
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c)			2,306		2,244,828
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (c)			3,230		3,261,543
Flagship CLO, Series 2014-8A, Class C, 3.33%, 1/16/26 (b)(c)			2,000		1,966,758
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c)			1,090		1,077,904
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.30%, 7/17/23 (b)(c)			5,000		4,973,185
GSAA Trust, Series 2007-3, Class 1A2, 0.34%, 3/25/47 (b)			2,671		1,380,640
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.75%, 4/15/25 (b)(c)			1,000		935,697
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.75%, 7/15/26 (b)(c)			1,165		1,108,928
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.51%, 1/20/25 (b)(c)			700		700,062
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c)			420		396,730
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class B, 3.38%, 11/14/25 (b)(c)			2,250		2,199,479
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.61%, 7/17/25 (b)(c)			2,000		1,857,488
OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (c)			4,350		4,349,130
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c)			500		501,333
OZLM IX, Ltd., Series 2014-9A, Class C, 3.85%, 1/20/27 (b)(c)			1,500		1,431,306
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c)			780		744,448
OZLM VIII, Ltd., Series 2014-8A, Class B, 3.28%, 10/17/26 (b)(c)			2,500		2,451,231
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c)			500		483,752
Regatta V Funding Ltd., Series 2014-1A, Class B, 3.23%, 10/25/26 (b)(c)			2,000		1,948,756
Santander Drive Auto Receivables Trust, Series 2014-4, Class C, 2.60%, 11/16/20			4,500		4,524,786
Santander Drive Auto Receivables Trust 2014-3, Series 2014-3, Class D, 2.65%, 8/17/20			4,015		3,978,439
Santander Drive Auto Receivables Trust 2014-4, Series 2014-4, Class D, 3.10%, 11/16/20			4,500		4,510,593
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c)			2,000		1,831,000
Symphony CLO XV Ltd., Series 2014-15A, Class C, 3.40%, 10/17/26 (b)(c)			4,000		3,999,390
Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.54%, 1/15/27 (b)(c)			445		436,723
Voya CLO, Ltd., Series 2014-4A (c):
Class C, 4.23%, 10/14/26 (b)			2,500		2,467,574
Class SUB, 0.00%, 10/14/26 (e)			1,000		940,700
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22			3,000		3,120,099
					100,234,891
Interest Only Asset-Backed Securities — 0.2%
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c)			6,503		447,112
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (c)			8,203		551,144
					998,256
Total Asset-Backed Securities — 15.6%					101,233,147

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 31

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Aerospace & Defense — 0.7%
Bombardier, Inc., 7.50%, 3/15/25 (c)(d)	USD		167	$	167,000
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f)			928		900,160
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c)			250		262,188
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)(f)			339		379,680
TransDigm, Inc.:
6.00%, 7/15/22 (f)			1,795		1,817,437
6.50%, 7/15/24			835		853,787
					4,380,252
Airlines — 2.7%
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c)			651		681,239
American Airlines Group, Inc., 4.63%, 3/01/20 (c)(d)			315		315,394
American Airlines Pass-Through Trust, Series 2013-2 (f):
Class A, 4.95%, 7/15/24			3,538		3,860,720
Class B, 5.60%, 1/15/22 (c)			680		712,096
Class C, 6.00%, 1/15/17 (c)			2,600		2,626,000
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f)			2,090		2,215,400
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18			208		234,142
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24			2,300		2,311,500
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 (f)			1,402		1,444,504
Virgin Australia Trust, Series 2013-1 (c):
Class A, 5.00%, 4/23/25			687		721,604
Class B, 6.00%, 4/23/22 (f)			1,400		1,445,679
Class C, 7.13%, 10/23/18 (f)			996		1,013,615
					17,581,893
Auto Components — 1.1%
Affinia Group, Inc., 7.75%, 5/01/21 (f)			1,095		1,138,800
Autodis SA, 6.50%, 2/01/19	EUR		100		117,621
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f)	USD		2,058		2,117,270
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20	GBP		554		951,516
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c)	USD		186		197,858
Schaeffler Holding Finance BV (g):
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21	EUR		115		139,308
6.25%, 11/15/19 (c)(f)	USD		804		852,240
6.75%, 11/15/22 (c)(f)			943		1,032,585
6.88%, 8/15/18	EUR		375		441,675
Titan International, Inc., 6.88%, 10/01/20	USD		275		250,250
					7,239,123
Automobiles — 0.7%
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19 (f)			1,087		1,148,329
General Motors Co. (f):
3.50%, 10/02/18			2,478		2,552,340
5.20%, 4/01/45			550		608,922
					4,309,591
Banks — 0.8%
Banco Espirito Santo SA:
4.75%, 1/15/18	EUR		100		116,661
4.00%, 1/21/19			100		115,111
CIT Group, Inc.:
5.00%, 5/15/17 (f)	USD		890		925,600
5.50%, 2/15/19 (c)(f)			1,370		1,464,119
5.00%, 8/01/23			235		247,925
HSBC Holdings PLC, 6.25%, 3/19/18	EUR		1,000		1,298,229
Nordea Bank AB, 4.50%, 3/26/20			1,020		1,341,492
					5,509,137

Corporate Bonds		Par (000)		Value
Beverages — 0.1%
Constellation Brands, Inc.:
7.25%, 5/15/17	USD		82	$	91,225
3.88%, 11/15/19			294		305,025
					396,250
Building Products — 0.9%
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c)			190		193,800
BMBG Bond Finance SCA, 5.07%, 10/15/20 (b)	EUR		200		225,190
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(f)	USD		650		658,125
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(f)			770		827,750
Cemex SAB de CV:
4.38%, 3/05/23 (d)	EUR		100		111,905
5.70%, 1/11/25 (c)	USD		670		656,935
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f)			1,030		1,040,300
Ply Gem Industries, Inc., 6.50%, 2/01/22			745		722,650
USG Corp., 9.75%, 1/15/18 (f)			1,390		1,600,265
					6,036,920
Capital Markets — 0.8%
American Capital Ltd., 6.50%, 9/15/18 (c)(f)			975		1,017,656
Blackstone CQP Holdco LP, 9.30%, 3/18/19			1,076		1,064,949
E*Trade Financial Corp.:
0.00%, 8/31/19 (c)(e)(h)			249		627,799
5.38%, 11/15/22			627		661,485
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(f)			1,020		1,067,248
UBS Group AG (b)(i):
5.75%	EUR		200		233,322
7.00%	USD		200		208,747
					4,881,206
Chemicals — 0.5%
Ashland, Inc., 3.88%, 4/15/18 (f)			675		702,000
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (c)			398		430,835
Chemtura Corp., 5.75%, 7/15/21			200		198,500
Huntsman International LLC:
8.63%, 3/15/21			655		705,219
5.13%, 4/15/21	EUR		331		392,630
INEOS Group Holdings SA:
6.13%, 8/15/18 (c)	USD		314		318,710
6.50%, 8/15/18	EUR		122		141,814
LSB Industries, Inc., 7.75%, 8/01/19	USD		167		174,098
					3,063,806
Commercial Services & Supplies — 1.2%
Abengoa Greenfield SA, 6.50%, 10/01/19 (c)(f)			766		729,615
ADS Waste Holdings, Inc., 8.25%, 10/01/20			292		303,680
ARAMARK Corp., 5.75%, 3/15/20 (f)			712		744,040
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f)			1,000		1,045,153
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c)			203		192,850
Covanta Holding Corp., 6.38%, 10/01/22			100		107,750
Mobile Mini, Inc., 7.88%, 12/01/20 (f)			915		967,612
Modular Space Corp., 10.25%, 1/31/19 (c)(f)			1,253		939,750
Silk Bidco, 7.50%, 2/01/22	EUR		120		139,322
United Rentals North America, Inc. (f):
5.75%, 7/15/18	USD		494		512,834
7.63%, 4/15/22			658		730,913
5.75%, 11/15/24			1,039		1,096,145
					7,509,664
Communications Equipment — 2.1%
ADC Telecommunications, Inc., 3.50%, 7/15/15 (h)			6,670		6,703,350
Alcatel-Lucent USA, Inc. (c)(f):
4.63%, 7/01/17			800		826,000
6.75%, 11/15/20			2,150		2,300,500
Avaya, Inc., 7.00%, 4/01/19 (c)			437		441,370

See Notes to Financial Statements.

32 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Communications Equipment (concluded)
CommScope, Inc. (c):
5.00%, 6/15/21	USD		215	$	217,688
5.50%, 6/15/24			221		223,762
Zayo Group LLC/Zayo Capital, Inc. (f):
8.13%, 1/01/20			1,620		1,717,200
10.13%, 7/01/20			951		1,074,630
					13,504,500
Construction & Engineering — 0.4%
AECOM Technology Corp. (c)(f):
5.75%, 10/15/22			215		225,213
5.88%, 10/15/24			701		744,812
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)			165		171,188
Novafives SAS:
4.07%, 6/30/20 (b)	EUR		100		109,924
4.50%, 6/30/21			100		111,352
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f)	USD		1,138		1,149,380
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23			320		303,600
					2,815,469
Construction Materials — 0.9%
HD Supply, Inc. (f):
11.00%, 4/15/20			770		881,650
7.50%, 7/15/20			2,696		2,884,720
5.25%, 12/15/21 (c)			1,828		1,898,835
Officine MaccaFerri SpA, 5.75%, 6/01/21	EUR		150		164,500
					5,829,705
Consumer Finance — 1.3%
Ally Financial, Inc.:
5.13%, 9/30/24	USD		230		242,938
8.00%, 11/01/31			719		947,282
8.00%, 11/01/31 (f)			2,030		2,618,700
General Motors Financial Co., Inc. (f):
2.63%, 7/10/17			2,760		2,795,016
4.38%, 9/25/21			530		563,125
Hyundai Capital America, 3.75%, 4/06/16 (c)(f)			1,285		1,319,867
					8,486,928
Containers & Packaging — 0.4%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
6.00%, 6/30/21 (c)			380		370,025
4.25%, 1/15/22	EUR		320		363,468
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f)	USD		1,560		1,575,600
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f)			144		152,640
Crown European Holdings SA, 4.00%, 7/15/22	EUR		260		317,139
SGD Group SAS, 5.63%, 5/15/19			100		113,863
					2,892,735
Distributors — 0.1%
VWR Funding, Inc., 7.25%, 9/15/17 (f)	USD		874		915,515
Diversified Consumer Services — 0.1%
Laureate Education, Inc., 10.00%, 9/01/19 (c)			615		587,325
Diversified Financial Services — 0.9%
Aircastle Ltd., 6.25%, 12/01/19 (f)			367		405,975
HSH Nordbank AG, 0.89%, 2/14/17 (b)	EUR		153		147,715
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c):
7.38%, 4/01/20 (f)	USD		585		579,150
6.88%, 4/15/22			456		440,040
Leucadia National Corp., 8.13%, 9/15/15 (f)			1,870		1,934,337
MSCI, Inc., 5.25%, 11/15/24 (c)			311		324,218
Onex Wizard Acquisition Co. II SCA, 7.75%, 2/15/23	EUR		102		119,850
Reynolds Group Issuer, Inc.:
9.00%, 4/15/19	USD		790		827,525
9.88%, 8/15/19			307		328,874
5.75%, 10/15/20			625		649,219

Corporate Bonds		Par (000)		Value
Diversified Financial Services (concluded)
Reynolds Group Issuer, Inc. (concluded):
6.88%, 2/15/21	USD		210	$	222,075
					5,978,978
Diversified Telecommunication Services — 3.1%
CenturyLink, Inc.:
6.45%, 6/15/21			155		170,113
Series V, 5.63%, 4/01/20 (f)			751		803,570
Frontier Communications Corp.:
8.50%, 4/15/20			60		67,800
6.25%, 9/15/21			45		46,238
7.13%, 1/15/23			205		213,969
7.63%, 4/15/24			95		101,650
6.88%, 1/15/25			190		190,475
Level 3 Communications, Inc., 8.88%, 6/01/19 (f)			735		778,181
Level 3 Financing, Inc.:
3.83%, 1/15/18 (b)			411		416,137
8.13%, 7/01/19 (f)			3,083		3,264,126
7.00%, 6/01/20			495		532,229
6.13%, 1/15/21 (f)			1,682		1,780,817
5.38%, 8/15/22 (f)			1,055		1,091,598
Series TIT, 6.00%, 7/24/17 (h)	EUR		200		263,805
Telecom Italia Finance SA, 7.75%, 1/24/33			75		127,161
Telecom Italia SpA:
6.13%, 11/15/16 (h)			100		153,746
6.38%, 6/24/19	GBP		200		342,233
4.88%, 9/25/20	EUR		220		282,919
4.50%, 1/25/21			270		342,508
5.88%, 5/19/23	GBP		450		766,360
Telefonica Europe BV, 4.20% (b)(i)	EUR		200		238,078
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22			271		331,830
6.75%, 8/15/24			397		500,906
Verizon Communications, Inc., 3.65%, 9/14/18 (f)	USD		7,000		7,419,426
					20,225,875
Electric Utilities — 0.3%
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)(f)			728		735,280
Homer City Generation LP (g):
(8.14% Cash or 8.64% PIK) ,8.14% 10/01/19			327		331,253
(8.73% Cash or 9.23% PIK) ,8.73% 10/01/26			589		600,532
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17			403		419,146
					2,086,211
Electrical Equipment — 0.1%
Belden, Inc., 5.50%, 4/15/23	EUR		349		419,313
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20			106		131,430
					550,743
Energy Equipment & Services — 0.4%
Calfrac Holdings LP, 7.50%, 12/01/20 (c)	USD		503		451,443
MEG Energy Corp. (c)(f):
6.50%, 3/15/21			244		236,070
7.00%, 3/31/24			864		841,320
Peabody Energy Corp., 6.25%, 11/15/21 (f)			583		485,347
Precision Drilling Corp., 5.25%, 11/15/24 (c)			522		443,700
					2,457,880
Food & Staples Retailing — 0.9%
Brakes Capital, 7.13%, 12/15/18	GBP		1,255		1,999,534
Family Tree Escrow LLC (c):
5.25%, 3/01/20	USD		178		186,010
5.75%, 3/01/23 (f)			1,731		1,821,877
R&R Ice Cream PLC:
4.75%, 5/15/20	EUR		150		172,683
5.50%, 5/15/20	GBP		105		165,275
Rite Aid Corp., 9.25%, 3/15/20 (f)	USD		1,095		1,212,713
					5,558,092

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 33

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Food Products — 0.3%
Anna Merger Sub, Inc., 7.75%, 10/01/22 (c)	USD		635	$	654,050
Boparan Finance PLC, 5.50%, 7/15/21	GBP		115		160,676
Smithfield Foods, Inc.:
5.88%, 8/01/21 (c)	USD		193		203,374
6.63%, 8/15/22 (f)			783		851,513
					1,869,613
Health Care Equipment & Supplies — 0.2%
Biomet, Inc., 6.50%, 10/01/20 (f)			418		442,558
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (f)			413		430,553
Teleflex, Inc., 6.88%, 6/01/19 (f)			675		703,687
					1,576,798
Health Care Providers & Services — 2.3%
Acadia Healthcare Co., Inc., 5.13%, 7/01/22			240		241,200
Amsurg Corp., 5.63%, 7/15/22 (f)			1,016		1,076,960
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 (f)			995		1,036,790
CHS/Community Health Systems, Inc. (f):
5.13%, 8/15/18			490		507,150
6.88%, 2/01/22			1,404		1,501,402
Crown Newco 3 PLC, 7.00%, 2/15/18	GBP		205		328,752
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (f)	USD		1,093		1,133,987
HCA Holdings, Inc., 7.75%, 5/15/21			285		304,950
HCA, Inc.:
3.75%, 3/15/19 (f)			786		802,703
6.50%, 2/15/20 (f)			160		182,000
5.88%, 3/15/22			82		92,168
4.75%, 5/01/23			108		113,929
5.00%, 3/15/24 (f)			335		361,800
5.38%, 2/01/25			713		755,780
HealthSouth Corp., 5.75%, 11/01/24			203		212,135
Hologic, Inc., 6.25%, 8/01/20 (f)			1,289		1,350,227
Kindred Healthcare, Inc., 6.38%, 4/15/22			186		186,000
Omnicare, Inc.:
4.75%, 12/01/22 (f)			165		172,219
5.00%, 12/01/24			104		109,460
Tenet Healthcare Corp.:
6.25%, 11/01/18			264		288,090
5.00%, 3/01/19 (c)(f)			911		915,555
4.75%, 6/01/20			520		535,600
6.00%, 10/01/20 (f)			811		881,963
8.13%, 4/01/22 (f)			1,098		1,243,485
Voyage Care Bondco PLC, 6.50%, 8/01/18	GBP		355		564,509
					14,898,814
Hotels, Restaurants & Leisure — 4.1%
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (c)(g)	USD		204		206,550
CDW LLC/CDW Finance Corp.:
6.00%, 8/15/22			535		571,112
5.00%, 9/01/23			265		266,325
5.50%, 12/01/24 (f)			1,302		1,354,080
Cleopatra Finance, Ltd.:
4.13%, 2/15/20	EUR		100		114,843
6.25%, 2/15/22 (c)	USD		200		200,250
4.75%, 2/15/23	EUR		125		145,337
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (h)	GBP		100		133,543
Enterprise Inns PLC, 6.50%, 12/06/18			926		1,523,245
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (f)	USD		357		371,280
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c)			485		517,738
New Red Finance, Inc., 6.00%, 4/01/22 (c)(f)			860		894,400
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f)			576		589,651
Snai SpA, 7.63%, 6/15/18	EUR		205		236,861

Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Spirit Issuer PLC (b):
Series A1, 1.11%, 12/28/28	GBP		445	$	594,801
Series A2, 3.26%, 12/28/31			1,800		2,695,563
Series A5, 5.47%, 12/28/34			4,500		6,877,855
Series A6, 2.36%, 12/28/36			2,670		3,952,046
Station Casinos LLC, 7.50%, 3/01/21 (f)	USD		2,245		2,413,375
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(j)			375		—
The Unique Pub Finance Co. PLC:
Series A3, 6.54%, 3/30/21	GBP		1,211		1,925,246
Series A4, 5.66%, 6/30/27			771		1,179,139
					26,763,240
Household Durables — 1.2%
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c)	USD		510		455,175
Beazer Homes USA, Inc.:
6.63%, 4/15/18 (f)			910		946,400
5.75%, 6/15/19			523		504,695
Berkline/Benchcraft LLC, 4.50%, 11/03/15 (a)(j)			200		—
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)			259		268,065
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(f)			2,130		2,220,525
KB Home, 7.25%, 6/15/18 (f)			880		940,500
Standard Pacific Corp., 8.38%, 1/15/21 (f)			1,000		1,155,000
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c)			297		291,060
Tri Pointe Holdings, Inc. (c):
4.38%, 6/15/19			500		494,375
5.88%, 6/15/24			340		340,425
					7,616,220
Household Products — 0.1%
Spectrum Brands, Inc.:
6.38%, 11/15/20			250		269,375
6.63%, 11/15/22			285		312,075
					581,450
Independent Power and Renewable Electricity Producers — 1.0%
The AES Corp., 7.75%, 10/15/15 (f)			412		429,139
Baytex Energy Corp., 5.13%, 6/01/21 (c)			170		161,925
Calpine Corp.:
6.00%, 1/15/22 (c)			143		155,942
5.38%, 1/15/23 (f)			1,099		1,115,485
5.88%, 1/15/24 (c)			438		475,230
5.50%, 2/01/24 (f)			927		937,429
5.75%, 1/15/25 (f)			962		981,240
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (c)(f)			1,180		1,234,575
NRG Energy, Inc.:
7.88%, 5/15/21			177		192,399
6.25%, 5/01/24			267		272,340
NRG REMA LLC:
Series B, 9.24%, 7/02/17			63		66,915
Series C, 9.68%, 7/02/26 (f)			589		639,065
					6,661,684
Insurance — 1.5%
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f)			3,000		3,249,699
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(f)			304		322,240
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f)			750		876,892
Genworth Holdings, Inc., 4.80%, 2/15/24			240		210,827
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c)			391		401,753
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c)			595		638,137
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)	EUR		400		562,482

See Notes to Financial Statements.

34 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Insurance (concluded)
Pension Insurance Corp. PLC, 6.50%, 7/03/24	GBP		125	$	200,855
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(f)	USD		3,250		3,436,875
					9,899,760
Internet Software & Services — 0.2%
IAC/InterActiveCorp, 4.88%, 11/30/18 (f)			695		719,325
Interactive Data Corp., 5.88%, 4/15/19 (c)(f)			741		741,926
					1,461,251
IT Services — 1.3%
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)(f)			664		690,560
Epicor Software Corp., 8.63%, 5/01/19 (f)			1,260		1,323,000
First Data Corp.:
7.38%, 6/15/19 (c)(f)			1,775		1,863,750
6.75%, 11/01/20 (c)(f)			813		871,942
11.75%, 8/15/21			713		830,645
Open Text Corp., 5.63%, 1/15/23 (c)			1,214		1,250,420
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f)			800		832,000
WEX, Inc., 4.75%, 2/01/23 (c)(f)			550		548,625
					8,210,942
Media — 5.5%
Adria Bidco BV, 7.88%, 11/15/20	EUR		140		169,200
Altice Financing SA:
6.50%, 1/15/22 (c)(f)	USD		850		879,750
5.25%, 2/15/23	EUR		100		119,598
6.63%, 2/15/23 (c)(f)	USD		581		604,966
Altice Finco SA, 7.63%, 2/15/25 (c)			200		207,602
Altice SA:
7.25%, 5/15/22	EUR		800		949,975
7.75%, 5/15/22 (c)(f)	USD		1,050		1,084,125
6.25%, 2/15/25	EUR		175		199,770
7.63%, 2/15/25 (c)	USD		740		764,050
AMC Networks, Inc., 7.75%, 7/15/21 (f)			865		949,337
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 2/15/23			270		272,025
CCOH Safari LLC (f):
5.50%, 12/01/22			993		1,026,514
5.75%, 12/01/24			1,969		2,037,915
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j)			509		—
Clear Channel Worldwide Holdings, Inc.:
7.63%, 3/15/20			677		715,927
6.50%, 11/15/22			1,178		1,235,552
Columbus International, Inc., 7.38%, 3/30/21 (c)(f)			895		939,750
DISH DBS Corp. (f):
7.13%, 2/01/16			200		208,750
4.25%, 4/01/18			1,330		1,336,650
5.88%, 11/15/24			1,336		1,329,320
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c)			305		294,325
Gannett Co., Inc.:
5.13%, 10/15/19			197		206,358
5.13%, 7/15/20			218		227,265
6.38%, 10/15/23			304		329,840
Gray Television, Inc., 7.50%, 10/01/20 (f)			428		445,120
iHeartCommunications, Inc.:
9.00%, 12/15/19			345		340,688
9.00%, 3/01/21 (f)			966		932,190
9.00%, 9/15/22			755		726,687
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(f)			825		839,602
Intelsat Jackson Holdings SA (f):
7.25%, 10/15/20			1,660		1,726,400
5.50%, 8/01/23			975		922,594
Intelsat Luxembourg SA:
6.75%, 6/01/18 (f)			800		786,000
7.75%, 6/01/21			320		296,400
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c)			185		198,413
MDC Partners, Inc., 6.75%, 4/01/20 (c)			733		771,482

Corporate Bonds		Par (000)		Value
Media (concluded)
Media General Financing Sub, Inc., 5.88%, 11/15/22 (c)	USD		303	$	309,818
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c)			245		248,675
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)			345		356,644
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)			330		337,425
Numericable Group SA:
4.88%, 5/15/19 (c)(f)			1,770		1,770,000
5.38%, 5/15/22	EUR		110		130,266
6.00%, 5/15/22 (c)(f)	USD		1,530		1,556,775
5.63%, 5/15/24	EUR		260		308,410
6.25%, 5/15/24 (c)(f)	USD		510		523,515
Outfront Media Capital LLC/Outfront Media Capital Corp.:
5.25%, 2/15/22			105		109,988
5.63%, 2/15/24			95		101,294
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)			800		848,000
Sinclair Television Group, Inc., 5.63%, 8/01/24 (c)			191		193,388
Sirius XM Radio, Inc., 5.75%, 8/01/21 (c)(f)			424		445,200
Sterling Entertainment Corp., 9.75%, 12/15/19			1,175		1,198,500
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c)(f)			789		842,257
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25	EUR		236		280,779
Virgin Media Secured Finance PLC, 6.00%, 4/15/21	GBP		1,274		2,094,870
Ziggo Bond Finance BV, 4.63%, 1/15/25	EUR		137		161,359
					35,891,303
Metals & Mining — 2.0%
Alcoa, Inc., 5.13%, 10/01/24 (f)	USD		1,843		2,004,318
ArcelorMittal, 4.50%, 8/05/15 (f)			738		746,302
Constellium NV:
4.63%, 5/15/21	EUR		195		209,486
5.75%, 5/15/24 (c)	USD		358		339,205
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f)			695		750,600
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f)			510		552,713
Novelis, Inc.:
8.38%, 12/15/17			175		182,875
8.75%, 12/15/20 (f)			2,906		3,153,010
Peabody Energy Corp., 6.50%, 9/15/20 (f)			324		274,185
Perstorp Holding AB, 8.75%, 5/15/17 (c)			290		300,150
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17			160		163,600
Steel Dynamics, Inc. (f):
5.13%, 10/01/21 (c)			645		661,125
6.38%, 8/15/22			555		595,237
ThyssenKrupp AG:
3.13%, 10/25/19	EUR		295		350,340
1.75%, 11/25/20			75		83,702
2.50%, 2/25/25			100		111,480
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f)	USD		2,156		2,336,565
					12,814,893
Multi-Utilities — 0.0%
CE Energy AS, 7.00%, 2/01/21	EUR		150		170,585
Multiline Retail — 0.1%
Hema Bondco I BV, 6.25%, 6/15/19			205		190,980
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f)	USD		516		542,445
					733,425
Oil, Gas & Consumable Fuels — 4.1%
Access Midstream Partners LP/ACMP Finance Corp.:
4.88%, 5/15/23 (f)			455		468,650
4.88%, 3/15/24			104		107,120
Antero Resources Finance Corp., 5.38%, 11/01/21 (f)			774		779,805

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 35

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Bonanza Creek Energy, Inc., 6.75%, 4/15/21	USD		95	$	93,100
California Resources Corp., 6.00%, 11/15/24 (c)(f)			1,280		1,140,800
Chaparral Energy, Inc., 7.63%, 11/15/22			305		225,700
Cimarex Energy Co., 4.38%, 6/01/24			206		202,910
Concho Resources, Inc., 5.50%, 4/01/23 (f)			1,365		1,412,775
CONSOL Energy, Inc., 5.88%, 4/15/22 (f)			1,653		1,586,880
El Paso LLC:
7.80%, 8/01/31			116		143,462
7.75%, 1/15/32 (f)			556		693,842
Energy Transfer Equity LP, 5.88%, 1/15/24 (f)			875		936,250
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (f)			450		461,250
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f)			520		490,100
Kinder Morgan Energy Partners LP (f):
4.15%, 2/01/24			640		664,460
4.25%, 9/01/24			1,035		1,080,756
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(f)			1,285		1,408,598
Kinder Morgan, Inc. (f):
3.05%, 12/01/19			630		636,007
5.00%, 2/15/21 (c)			302		325,336
5.63%, 11/15/23 (c)			306		343,401
Laredo Petroleum, Inc., 7.38%, 5/01/22			132		135,960
Linn Energy LLC/Linn Energy Finance Corp.:
8.63%, 4/15/20 (f)			1,083		982,822
7.75%, 2/01/21			215		187,588
NGPL PipeCo LLC, 9.63%, 6/01/19 (c)(f)			353		353,883
Oasis Petroleum, Inc.:
7.25%, 2/01/19			380		377,625
6.50%, 11/01/21			410		393,344
Range Resources Corp., 5.75%, 6/01/21			161		169,453
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22			376		375,060
Rosetta Resources, Inc., 5.63%, 5/01/21			379		360,997
RSP Permian, Inc., 6.63%, 10/01/22 (c)			359		361,244
Sabine Pass Liquefaction LLC:
5.63%, 4/15/23 (f)			536		548,060
5.75%, 5/15/24 (f)			456		466,260
5.63%, 3/01/25 (c)			748		751,740
Sabine Pass LNG LP, 7.50%, 11/30/16 (f)			2,385		2,522,137
Sanchez Energy Corp., 6.13%, 1/15/23 (c)			681		624,817
SandRidge Energy, Inc.:
8.75%, 1/15/20			79		60,435
7.50%, 2/15/23 (f)			921		658,515
Seventy Seven Energy, Inc., 6.50%, 7/15/22			258		134,160
Southern Star Central Corp., 5.13%, 7/15/22 (c)(f)			935		960,712
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21			636		669,390
Tesoro Logistics LP/Tesoro Logistics Finance Corp. (f):
5.88%, 10/01/20			138		144,555
6.25%, 10/15/22 (c)			677		717,620
Ultra Petroleum Corp., 5.75%, 12/15/18 (c)			425		412,250
Whiting Petroleum Corp., 5.00%, 3/15/19 (f)			1,212		1,193,820
					26,763,649
Pharmaceuticals — 1.1%
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (c)(g)			156		158,925
Endo Finance LLC/Endo Finco, Inc. (c):
7.00%, 12/15/20			135		142,763
7.25%, 1/15/22			121		129,924
6.00%, 2/01/25 (f)			798		844,882
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)(f)			759		777,975
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)(f)			830		877,725

Corporate Bonds		Par (000)		Value
Pharmaceuticals (concluded)
Valeant Pharmaceuticals International, Inc. (c):
6.75%, 8/15/18 (f)	USD		2,214	$	2,352,375
6.38%, 10/15/20 (f)			613		645,182
7.50%, 7/15/21			335		363,475
5.63%, 12/01/21			520		529,100
5.50%, 3/01/23			519		524,190
					7,346,516
Professional Services — 0.1%
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f)			540		554,850
Real Estate Investment Trusts (REITs) — 0.5%
Felcor Lodging LP, 6.75%, 6/01/19 (f)			820		856,900
iStar Financial, Inc.:
4.00%, 11/01/17			435		432,825
5.00%, 7/01/19			305		305,000
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f)			1,300		1,421,690
					3,016,415
Real Estate Management & Development — 0.9%
Realogy Corp. (c):
7.63%, 1/15/20 (f)			1,837		1,979,367
9.00%, 1/15/20			301		331,100
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)(f)			759		772,283
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c)			220		224,400
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (f)			2,110		2,220,775
					5,527,925
Road & Rail — 1.1%
Asciano Finance Ltd., 3.13%, 9/23/15 (c)(f)			3,400		3,437,522
EC Finance PLC, 5.13%, 7/15/21	EUR		180		212,004
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f)	USD		1,170		1,206,562
The Hertz Corp.:
7.50%, 10/15/18			540		558,900
6.75%, 4/15/19			405		418,669
5.88%, 10/15/20			435		449,138
7.38%, 1/15/21 (f)			675		710,438
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c)			319		320,595
					7,313,828
Semiconductors & Semiconductor Equipment — 0.3%
Micron Technology, Inc., 5.50%, 2/01/25 (c)(f)			840		861,000
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (c)(f)			560		593,600
Sensata Technologies BV, 5.63%, 11/01/24 (c)			179		191,977
					1,646,577
Software — 0.7%
Infor Software Parent LLC/Infor Software Parent, Inc. (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(g)			744		748,650
Infor US, Inc., 9.38%, 4/01/19 (f)			2,000		2,147,500
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f)			1,715		1,757,875
					4,654,025
Specialty Retail — 0.3%
Magnolia BC SA, 9.00%, 8/01/20	EUR		171		199,394
New Look Bondco I PLC, 8.75%, 5/14/18	GBP		100		162,228
Party City Holdings, Inc., 8.88%, 8/01/20	USD		374		408,595
PC Nextco Holdings LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19			252		257,040
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f)			508		533,400
THOM Europe SAS, 7.38%, 7/15/19	EUR		230		267,677
					1,828,334

See Notes to Financial Statements.

36 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Corporate Bonds		Par (000)		Value
Textiles, Apparel & Luxury Goods — 0.1%
Levi Strauss & Co., 6.88%, 5/01/22	USD		380	$	418,000
The William Carter Co., 5.25%, 8/15/21			346		362,349
					780,349
Trading Companies & Distributors — 0.2%
Ashtead Capital, Inc. (c):
6.50%, 7/15/22 (f)			1,054		1,146,225
5.63%, 10/01/24			420		441,000
					1,587,225
Transportation Infrastructure — 1.3%
Aguila 3 SA, 7.88%, 1/31/18 (c)(f)			378		382,725
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(f)			640		652,128
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (c)(g)			878		812,150
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (c)(f)			6,155		6,376,389
					8,223,392
Wireless Telecommunication Services — 2.2%
Digicel Ltd., 6.00%, 4/15/21 (c)(f)			2,073		2,057,452
The Geo Group, Inc., 5.88%, 1/15/22			340		358,700
SBA Communications Corp., 4.88%, 7/15/22 (c)(f)			815		815,000
Sprint Communications, Inc. (c)(f):
9.00%, 11/15/18			2,020		2,348,250
7.00%, 3/01/20			1,141		1,264,011
Sprint Corp. (f):
7.88%, 9/15/23			1,735		1,791,387
7.13%, 6/15/24			590		587,050
T-Mobile USA, Inc.:
6.63%, 4/28/21			263		279,766
6.13%, 1/15/22			75		78,938
6.73%, 4/28/22			173		184,245
6.00%, 3/01/23			478		498,559
6.50%, 1/15/24			535		565,763
6.38%, 3/01/25 (f)			1,520		1,588,400
Vodafone Group PLC, 2.50%, 9/26/22			1,080		1,037,903
Wind Acquisition Finance SA, 4.00%, 7/15/20	EUR		695		791,156
					14,246,580
Total Corporate Bonds — 53.2%					345,437,441
Floating Rate Loan Interests (b)
Aerospace & Defense — 0.9%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21	USD		910		911,893
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20			1,277		1,275,257
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			1,375		1,442,031
Transdigm, Inc.:
Term Loan C, 3.75%, 2/28/20			647		643,812
Term Loan D, 3.75%, 6/04/21			299		297,333
TransUnion LLC, Term Loan, 4.00%, 4/09/21			1,568		1,560,968
					6,131,294
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			678		626,429
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21			710		655,643
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			122		113,042
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			979		904,335
					2,299,449
Airlines — 0.1%
Northwest Airlines, Inc.:
2.18%, 3/10/17			376		366,708
1.56%, 9/10/18			552		527,160

Floating Rate Loan Interests (b)		Par (000)		Value
Airlines (concluded)
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19	USD		7	$	6,777
					900,645
Auto Components — 1.6%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			712		710,992
Autoparts Holdings Ltd.:
1st Lien Term Loan, 6.50%, 7/29/17			958		957,905
2nd Lien Term Loan, 10.50%, 1/29/18			1,050		1,021,125
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			851		843,950
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			3,332		3,305,830
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19			2,488		2,498,395
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20			975		981,094
					10,319,291
Banks — 0.1%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			416		415,280
2nd Lien Term Loan, 8.25%, 6/03/21			351		351,450
					766,730
Beverages — 0.0%
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/2011 (a)(j)			1,000		—
Building Products — 1.1%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			776		761,844
CPG International, Inc., Term Loan, 4.75%, 9/30/20 (b)			1,631		1,602,177
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			938		916,809
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			1,025		1,027,563
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			1,141		1,121,880
United Subcontractors, Inc., Term Loan, 4.26%, 6/30/15			172		168,109
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			762		755,310
Term Loan B, 4.00%, 10/31/19			804		796,232
					7,149,924
Capital Markets — 0.3%
Affinion Group, Inc.:
2nd Lien Term Loan, 8.50%, 10/12/18			633		554,460
Term Loan B, 6.75%, 4/30/18			521		494,918
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			576		573,072
					1,622,450
Chemicals — 1.4%
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			765		750,111
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			658		655,996
MacDermid, Inc.:
1st Lien Term Loan, 4.50%, 6/07/20			660		661,765
Term Loan B2, 4.75%, 6/07/20			288		289,638
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21			1,222		1,225,372
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17			1,251		1,218,405
OXEA Finance LLC:
2nd Lien Term Loan, 8.25%, 7/15/20			705		663,581
Term Loan B2, 4.25%, 1/15/20			672		649,260
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18			769		770,744
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			519		512,216
2nd Lien Term Loan, 7.75%, 7/31/22			1,050		1,017,628

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 37

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)		Par (000)		Value
Chemicals (concluded)
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20	USD		655	$	650,112
					9,064,828
Commercial Services & Supplies — 1.6%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			999		986,888
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			1,559		1,519,948
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			1,350		1,352,665
Connolly Corp.:
1st Lien Term Loan, 5.00%, 5/14/21			1,169		1,174,246
2nd Lien Term Loan, 8.00%, 5/14/22			1,000		987,500
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20			1,866		1,844,637
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			336		325,460
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			1,769		1,755,178
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 (d)			380		380,334
					10,326,856
Communications Equipment — 0.9%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21			327		325,681
2nd Lien Term Loan, 7.50%, 1/24/22			265		262,615
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17			756		733,905
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17			432		431,223
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 (b)(d)			290		292,175
Telesat Canada, Term Loan A, 4.40%, 3/24/17	CAD		1,560		1,239,902
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19	USD		2,738		2,735,007
					6,020,508
Construction & Engineering — 0.1%
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20			710		714,437
Construction Materials — 0.4%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20			500		499,170
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18			1,859		1,853,858
					2,353,028
Containers & Packaging — 0.2%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19			382		380,679
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21			904		903,282
					1,283,961
Distributors — 0.4%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			2,079		2,067,005
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18			199		199,493
					2,266,498
Diversified Consumer Services — 0.6%
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21			514		512,463
Garda World Securities Corp.:
Delayed Draw Term Loan, 4.00%, 11/06/20			12		11,694
Term Loan B, 4.00%, 11/06/20			46		45,711
ROC Finance LLC, Term Loan, 5.00%, 6/20/19			622		589,980
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21			2,587		2,586,343
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20			793		417,679
					4,163,870

Floating Rate Loan Interests (b)		Par (000)		Value
Diversified Financial Services — 0.5%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21	USD		860	$	853,017
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18			1,502		1,505,993
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			1,114		1,110,687
					3,469,697
Diversified Telecommunication Services — 1.9%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20			2,216		2,221,246
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			1,716		1,720,551
Integra Telecom, Inc.:
2nd Lien Term Loan, 9.75%, 2/21/20			975		966,469
Term Loan B, 5.25%, 2/22/19			1,154		1,146,357
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22			1,320		1,325,504
Level 3 Financing, Inc.:
2019 Term Loan, 4.00%, 8/01/19			659		658,085
2020 Term Loan B, 4.00%, 1/15/20			4,240		4,237,880
					12,276,092
Electric Utilities — 0.2%
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20			296		251,606
American Energy — Utica LLC:
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18			503		442,687
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18			503		442,757
					1,137,050
Electrical Equipment — 0.4%
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 5/05/16			668		670,829
Extended Term Loan, 4.66%, 10/10/17 (a)(j)			3,080		1,966,056
					2,636,885
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Term Loan, 3.25%, 4/29/20			835		827,471
Energy Equipment & Services — 0.2%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			1,093		1,089,764
Food & Staples Retailing — 0.3%
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21			628		627,325
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20			240		242,251
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/1			901		901,788
					1,771,364
Food Products — 1.5%
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18			1,495		1,491,163
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			1,033		1,030,467
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21			672		672,465
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21			2,244		2,246,373
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19			1,034		1,034,250
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20			1,038		1,031,129
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			1,464		1,266,295
2nd Lien Term Loan, 10.75%, 11/01/19			1,380		1,048,800
					9,820,942

See Notes to Financial Statements.

38 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)		Par (000)		Value
Health Care Equipment & Supplies — 1.3%
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17	USD		1,157	$	1,156,068
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			510		507,105
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17			1,688		1,687,242
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			630		629,123
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21			1,816		1,822,684
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			1,245		1,226,109
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			1,455		1,437,264
					8,465,595
Health Care Providers & Services — 2.6%
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22			238		238,793
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20			1,360		1,346,400
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21			458		457,988
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18			437		437,432
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21			3,965		3,972,563
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16			1,169		1,167,807
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22			800		804,504
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			2,831		2,833,606
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20			894		893,687
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17			1,000		1,019,874
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21			161		160,791
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			713		706,997
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			576		570,613
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			405		401,347
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18			591		587,554
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 (d)			1,500		1,493,745
					17,093,701
Hotels, Restaurants & Leisure — 4.0%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			973		965,268
2nd Lien Term Loan, 8.00%, 8/01/22			3,460		3,439,448
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			1,202		1,154,378
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21			1,875		1,884,713
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18			84		77,428
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			3,099		2,983,925
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			772		772,867
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20			235		235,283
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21			1,496		1,503,354
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			996		995,573
Intrawest ULC, Term Loan, 5.50%, 12/09/20			609		610,372
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21			4,590		4,583,808

Floating Rate Loan Interests (b)		Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20	USD		644	$	643,365
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			1,064		1,060,050
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			658		656,978
Sabre, Inc.:
Incremental Term Loan, 4.50%, 2/19/19			395		395,000
Term Loan B, 4.00%, 2/19/19			559		557,801
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			2,329		2,326,349
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21			1,197		1,205,978
					26,051,938
Household Products — 0.2%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19			1,144		1,141,024
Independent Power and Renewable Electricity Producers — 0.7%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 (d)			2,043		2,043,177
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 (d)			1,313		1,318,861
Granite Acquisition Inc.:
Term Loan B, 5.00%, 12/19/21			1,116		1,127,809
Term Loan C, 5.00%, 12/19/21			49		49,624
					4,539,471
Industrial Conglomerates — 0.3%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			2,272		2,213,646
Insurance — 0.8%
Alliant Holdings I, Inc.:
Term Loan B, 5.00%, 12/20/19			584		582,346
Term Loan B1, 5.00%, 12/20/19			138		137,625
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/28/18			1,301		1,293,786
Cooper Gay Swett & Crawford of Delaware Holding Corp.:
1st Lien Term Loan, 5.00%, 4/16/20			1,044		960,572
2nd Lien Term Loan C, 8.25%, 10/16/20			500		430,835
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			1,097		1,080,810
2nd Lien Term Loan, 6.75%, 2/28/22			665		650,038
					5,136,012
Internet Software & Services — 0.5%
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21			1,169		1,161,372
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21			801		801,352
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21			1,443		1,446,357
					3,409,081
IT Services — 1.8%
First Data Corp.:
2018 Extended Term Loan, 3.67%, 3/24/18			7,087		7,074,294
2018 Term Loan, 3.67%, 9/24/18			1,640		1,638,458
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18			754		702,321
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19			275		244,050
SunGard Data Systems, Inc.:
Term Loan C, 3.92%, 2/28/17			705		704,337
Term Loan E, 4.00%, 3/08/20			379		379,068
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21			810		810,046
					11,552,574
Leisure Products — 0.1%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21			422		419,612

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 39

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)		Par (000)		Value
Machinery — 0.6%
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18	USD		1,025	$	1,020,887
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18			536		528,160
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			305		305,278
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			1,310		1,305,606
Wabash National Corp., Term Loan B, 4.50%, 5/08/19			820		815,558
					3,975,489
Media — 4.0%
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20			961		963,238
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 7.00%, 3/31/20			3,454		3,453,236
Term Loan, 0.00%, 7/03/15 (a)(j)			2,005		—
Charter Communications Operating LLC:
Term Loan E, 3.00%, 7/01/20			1,167		1,162,848
Term Loan G, 4.25%, 9/12/21			640		644,794
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19			2,563		2,451,256
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20			1,281		1,272,134
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			882		877,943
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			2,514		2,494,187
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20			1,163		1,165,900
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			1,106		1,107,199
Term Loan B2, 4.50%, 5/21/20			957		957,879
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20			945		937,426
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20			1,083		1,082,129
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			2,411		2,404,784
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21	EUR		442		493,653
Virgin Media Investment Holdings Ltd.:
Term Loan B, 3.50%, 6/07/20	USD		410		408,737
Term Loan E, 4.25%, 6/30/23	GBP		790		1,219,008
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 (d)	USD		1,516		1,516,230
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21			107		106,739
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			489		483,925
Term Loan B2A, 3.50%, 1/15/22			333		330,083
Term Loan B3, 3.50%, 1/15/22			548		542,868
					26,076,196
Metals & Mining — 0.6%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			255		235,875
Novelis, Inc., Term Loan, 3.75%, 3/10/17			1,991		1,987,444
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17			1,463		1,462,515
					3,685,834
Multiline Retail — 0.8%
BJ’s Wholesale Club, Inc. (b):
1st Lien Term Loan, 4.50%, 9/26/19			583		580,476
2nd Lien Term Loan, 8.50%, 3/26/20			575		569,969
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 (d)			2,410		2,427,473
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			1,634		1,620,053
					5,197,971

Floating Rate Loan Interests (b)		Par (000)		Value
Oil, Gas & Consumable Fuels — 2.1%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18	USD		1,491	$	1,192,064
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20			1,335		1,327,217
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			1,925		1,500,626
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18			1,127		1,086,298
Fieldwood Energy LLC:
1st Lien Term Loan, 3.88%, 9/28/18			464		443,474
2nd Lien Term Loan, 8.38%, 9/30/20			420		321,002
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15			540		534,859
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19			112		67,995
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			1,645		1,661,450
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19			900		882,000
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			275		265,375
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			1,005		954,750
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			105		94,530
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			458		445,113
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21			368		343,760
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22 (d)			1,935		1,925,325
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			297		294,773
					13,340,611
Pharmaceuticals — 1.4%
Akorn, Inc., Term Loan B, 4.50%, 4/16/21			1,292		1,295,535
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21			849		846,466
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21			2,089		2,083,822
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21			789		784,303
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19			1,642		1,631,047
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18			1,385		1,382,149
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 3.50%, 12/11/19			478		476,370
Series E Term Loan B, 3.50%, 8/05/20			721		718,656
					9,218,348
Professional Services — 0.8%
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			484		481,248
2014 2nd Lien Term Loan, 7.50%, 7/25/22			605		602,919
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20			420		415,096
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			608		605,876
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22			850		844,331
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			1,051		1,040,762
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			1,160		1,145,901
					5,136,133
Real Estate Management & Development — 0.7%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			941		941,381
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21			1,145		1,147,022

See Notes to Financial Statements.

40 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)		Par (000)		Value
Real Estate Management & Development (concluded)
Realogy Corp.:
Extended Letter of Credit, 4.40%, 10/10/16	USD		47	$	46,382
Term Loan B, 3.75%, 3/05/20			2,090		2,086,913
					4,221,698
Road & Rail — 0.2%
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			1,007		977,166
2nd Lien Term Loan, 7.75%, 9/21/21			675		600,750
					1,577,916
Semiconductors & Semiconductor Equipment — 0.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 (b)			2,667		2,668,120
Freescale Semiconductor, Inc.:
Term Loan B4, 4.25%, 2/28/20			716		714,166
Term Loan B5, 5.00%, 1/15/21			375		376,991
					3,759,277
Software — 1.5%
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20			458		449,437
GCA Services Group, Inc.:
2nd Lien Term Loan, 9.25%, 10/22/20			560		554,400
Term Loan B, 4.25%, 11/01/19			523		522,058
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			1,105		1,094,572
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			607		576,825
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20			233		233,431
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20			1,837		1,875,103
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/12/20			629		624,331
2nd Lien Term Loan, 8.50%, 10/11/21			1,200		1,184,748
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21			843		820,573
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18			815		813,976
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20			150		149,391
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20			560		538,300
					9,437,145
Specialty Retail — 1.2%
Academy Ltd., Term Loan, 4.50%, 8/03/18			1,449		1,446,675
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20			1,194		1,190,454
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19			2,425		2,408,886
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17			888		886,886
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 (b)(d)			2,085		2,098,969
					8,031,870
Technology Hardware, Storage & Peripherals — 0.2%
Dell, Inc., Term Loan B, 4.50%, 4/29/20 (b)			1,107		1,110,893
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 (b)			1,240		1,047,747
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 (b)			1,033		972,753
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 (b)			780		781,247
					2,801,747
Thrifts & Mortgage Finance — 0.1%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 (b)			853		848,337
Wireless Telecommunication Services — 0.2%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 (b)			1,527		1,511,482
Total Floating Rate Loan Interests — 42.9%					278,366,635

Foreign Agency Obligations		Par (000)		Value
Cyprus Government International Bond, 4.63%, 2/03/20 (c)	EUR		2,600	$	2,829,518
Iceland Government International Bond:
4.88%, 6/16/16	USD		580		605,680
5.88%, 5/11/22			3,030		3,458,827
Portugal Obrigacoes do Tesouro OT, 4.45%, 6/15/18 (c)	EUR		2,350		2,955,544
Total Foreign Agency Obligations — 1.5%					9,849,569
Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 2.4%
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35	USD		4,904		4,450,210
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2005-17, Class 1A6, 5.50%, 9/25/35			1,153		1,127,872
Series 2006-17, Class A2, 6.00%, 12/25/36			2,519		2,292,721
Series 2007-HY5, Class 3A1, 4.79%, 9/25/37 (b)			1,706		1,568,040
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.59%, 10/25/35 (b)			1,733		1,552,296
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)			4,162		4,238,169
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.40%, 2/26/37 (b)(c)			406		404,982
					15,634,290
Commercial Mortgage-Backed Securities — 9.4%
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.75%, 2/10/51 (b)			1,656		1,799,943
COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (c)			5,930		6,013,477
Commercial Mortgage Pass-Through Certificates (b)(c):
Series 2013-LC13, Class D, 4.88%, 8/10/46			3,530		3,648,509
Series 2014-KYO, Class F, 3.67%, 6/11/27			1,855		1,847,393
Series 2014-PAT, Class E, 3.32%, 8/13/27			1,000		991,514
Series 2014-PAT, Class F, 2.61%, 8/13/27			2,000		1,894,594
Commercial Mortgage Trust, Series 2013-LC6:
Class B, 3.74%, 1/10/46			1,110		1,150,110
Class D, 4.29%, 1/10/46 (b)(c)			1,330		1,287,344
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39			1,850		1,954,827
Credit Suisse Mortgage Capital Certificates (b):
Series 2007-C2, Class A2, 5.45%, 1/15/49			5		4,985
Series 2007-C5, Class AAB, 5.62%, 9/15/40			930		971,416
Series 2014-SURF, Class E, 3.27%, 2/15/29 (c)			1,000		998,733
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (c)			4,830		4,720,605
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.79%, 7/10/38 (b)			1,610		1,689,169
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c)			1,995		2,052,268
GS Mortgage Securities Trust (b):
Series 2006-GG6, Class AM, 5.55%, 4/10/38			3,680		3,801,514
Series 2014-GSFL, Class D, 4.07%, 7/15/31 (c)			1,140		1,138,829
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (b)(c)			1,400		1,422,215
JPMorgan Chase Commercial Mortgage Securities Corp.:
Series 2004-LN2, Class A2, 5.12%, 7/15/41			155		155,242
Series 2007-CB18, Class A4, 5.44%, 6/12/47			2,027		2,145,903

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 41

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (concluded)
JPMorgan Chase Commercial Mortgage Securities Corp. (concluded):
Series 2007-CB19, Class A4, 5.70%, 2/12/49 (b)	USD		2,140	$	2,296,404
Series 2012-LC9, Class XA, 1.89%, 12/15/47 (b)			14,479		1,324,636
LB-UBS Commercial Mortgage Trust (b):
Series 2007-C2, Class AM, 5.49%, 2/15/40			2,500		2,641,837
Series 2007-C6, Class A4, 5.86%, 7/15/40			4,401		4,627,284
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.82%, 6/12/50 (b)			1,392		1,459,914
Talisman Finance PLC, Series 6, Class A, 0.25%, 10/22/16 (b)	EUR		1,252		1,387,120
Titan Europe PLC, Series 2007-1X, Class A, 8.00%, 1/20/17 (b)	GBP		1,338		1,694,468
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.94%, 2/15/51 (b)	USD		2,019		2,152,973
WF-RBS Commercial Mortgage Trust:
Series 2012-C8, Class B, 4.31%, 8/15/45			1,085		1,169,618
Series 2012-C8, Class C, 4.88%, 8/15/45 (b)			1,395		1,520,722
Series 2014-C20, Class XA, 1.24%, 5/15/47 (b)			14,861		1,108,369
					61,071,935
Interest Only Commercial Mortgage-Backed Securities — 0.3%
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.21%, 11/15/45 (b)(c)			16,361		1,790,506
Scientific Instruments: Control & Filter — 0.3%
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class GFX, 3.38%, 12/15/19 (c)			2,500		2,216,520
Total Non-Agency Mortgage-Backed Securities — 12.4%					80,713,251
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 0.9%
Freddie Mac Mortgage-Backed Securities:
Series K032, Class A2, 3.31%, 5/25/23 (b)			3,500		3,731,262
Series 3986, Class M, REMIC, 4.50%, 9/15/41			2,206		2,419,005
					6,150,267
Interest Only Collateralized Mortgage Obligations — 1.2%
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.03%, 12/25/17 (b)			18,874		1,668,295
Freddie Mac Mortgage-Backed Securities, Class X1 (b):
Series K042, 1.06%, 12/25/24			35,089		2,949,928
Series K707, 1.55%, 12/25/18			42,301		2,163,843
Series K710, 1.78%, 5/25/19			13,167		841,178
					7,623,244
Mortgage-Backed Securities — 3.2%
Fannie Mae Mortgage-Backed Securities:
3.50%, 8/01/26			6,811		7,268,529
5.00%, 7/01/20–8/01/23			4,637		4,942,675
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25			7,981		8,618,670
					20,829,874
Total U.S. Government Sponsored Agency Securities — 5.3%					34,603,385

Other Interests (k)		Beneficial Interest  (000)		Value
Auto Components — 0.0%
Lear Corp. Escrow	USD		1,000	$	8,750
Construction Materials — 0.0%
USI Senior Holdings			6		—
Total Other Interests — 0.0%					8,750
Preferred Securities
Capital Trusts		Par (000)
Banks — 2.7%
Bank of America Corp., Series V, 5.13% (b)(f)(i)			3,470		3,417,950
Citigroup, Inc., 5.95% (b)(f)(i)			1,370		1,387,125
JPMorgan Chase & Co., Series U, 6.13% (b)(f)(i)			6,690		6,927,495
JPMorgan Chase & Co., Series V, 5.00% (b)(f)(i)			3,000		2,951,250
Wells Fargo & Co., Series S, 5.90% (b)(f)(i)			3,000		3,126,540
					17,810,360
Capital Markets — 0.8%
Credit Suisse Group AG, 6.25% (b)(c)(f)(i)			1,445		1,431,851
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(f)(i)			1,920		1,982,400
Morgan Stanley, Series H, 5.45% (b)(f)(i)			1,426		1,459,154
					4,873,405
Diversified Financial Services — 1.9%
Bank of America Corp.:
Series U, 5.20% (b)(f)(i)			1,250		1,206,250
Citigroup, Inc., 5.90% (b)(f)(i)			5,000		5,018,750
Macquarie Bank Ltd., 10.25%, 6/20/57 (b)			1,450		1,621,245
Societe Generale SA, 6.00% (b)(c)(f)(i)			4,825		4,584,329
					12,430,574
Insurance — 2.8%
The Allstate Corp., 6.13%, 5/15/67 (b)(f)			3,000		3,180,000
AXA SA, 6.46% (b)(c)(f)(i)			1,625		1,735,500
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(f)			2,500		2,850,000
Liberty Mutual Group, Inc.:
7.00%, 3/07/67 (b)(c)(f)			1,575		1,604,531
7.80%, 3/07/87 (c)(f)			1,500		1,800,000
Swiss Re Capital I LP, 6.85% (b)(c)(f)(i)			3,000		3,148,500
Voya Financial, Inc., 5.65%, 5/15/53 (b)(f)			3,500		3,631,250
					17,949,781
Total Capital Trusts — 8.2%					53,064,120
Preferred Stocks			Shares
Capital Markets — 0.9%
The Goldman Sachs Group, Inc., Series J, 5.50% (b)(i)			202,526		5,050,998
SCE Trust III, 5.75% (b)(i)			21,200		593,600
					5,644,598
Consumer Finance — 0.0%
Ally Financial, Inc., Series A, 8.50% (b)(i)			8,657		229,757
Diversified Financial Services — 0.5%
Morgan Stanley, 6.88% (b)			120,000		3,254,400
Diversified Telecommunication Services — 0.1%
Orange SA, 4.00% (b)			200,000		243,600
Total Preferred Stocks — 1.5%					9,372,355

See Notes to Financial Statements.

42 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
(Percentages shown are based on Net Assets)

Trust Preferreds	Shares		Value
Diversified Financial Services — 0.4%
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)		105,753	$	2,743,203
Total Preferred Securities — 10.1%				65,179,678
Warrants
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		3,100		16,542
Total Long-Term Investments (Cost — $919,176,254) — 141.6%				919,340,000

Short-Term Securities	Shares		Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (m)(n)		1,278,380	$	1,278,380
Total Short-Term Securities (Cost — $1,278,380) — 0.2%				1,278,380
Options Purchased (Cost — $44,978) — 0.0%				—
Total Investments (Cost — $920,499,612) — 141.8%				920,618,380
Liabilities in Excess of Other Assets — (41.8)%				(271,050,354	)
Net Assets — 100.0%			$	649,568,026

Notes to Schedule of Investments

(a)	Non-income producing security.
(b)	Variable rate security. Rate shown is as of report date.
(c)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d)	When-issued security. Unsettled when-issued transactions were as follows:

Counterparty	Value		Unrealized Appreciation/ (Depreciation)
BNP Paribas Securities Corp.	$	963,700		—
Bank of America N.A.		1,516,230	$	(6,063	)
Barclays Bank PLC		3,536,922		(5,245	)
Citigroup Global Markets, Inc.		2,210,874		24,319
Credit Suisse Securities (USA) LLC		292,175		3,625
Deutsche Bank AG		1,318,861		6,469
J.P. Morgan Securities LLC		482,394		394
Merrill Lynch International		380,334		1,738
Morgan Stanley & Co. LLC		3,420,973		2,410
RBC Capital Markets, LLC		1,925,325		19,350

(e)	Zero-coupon bond.
(f)	All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(g)	Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(h)	Convertible security.
(i)	Security is perpetual in nature and has no stated maturity date.
(j)	Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k)	Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(l)	Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
(m)	During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate	Shares Held at August 31, 2014		Net Activity			Shares Held at February 28, 2015		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		7,390,390		(6,112,010	)		1,278,380	$	1,302

(n) Represents the current yield as of report date.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 43

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
 

• As of February 28, 2015, reverse repurchase agreements outstanding were as follows:

Counterparty	Interest Rate	Trade Date	Maturity Date1	Face Value		Face Value Including Accrued Interest
Barclays Capital, Inc.	0.35%	2/28/14	Open	$	3,109,000	$	3,120,063
Barclays Capital, Inc.	0.35%	2/28/14	Open		3,202,000		3,213,394
HSBC Securities (USA), Inc.	0.38%	3/10/14	Open		6,339,571		6,363,394
Deutsche Bank Securities, Inc.	0.60%	4/16/14	Open		500,000		502,658
Barclays Capital, Inc.	0.60%	4/17/14	Open		611,000		614,238
Barclays Capital, Inc.	0.60%	4/17/14	Open		1,633,000		1,641,655
Barclays Capital, Inc.	0.60%	4/17/14	Open		278,000		279,473
Barclays Capital, Inc.	0.60%	4/17/14	Open		960,000		965,088
Barclays Capital, Inc.	0.60%	4/17/14	Open		502,000		504,661
Barclays Capital, Inc.	0.60%	4/17/14	Open		1,244,000		1,249,743
HSBC Securities (USA), Inc.	0.55%	5/9/14	Open		1,125,643		1,130,734
Deutsche Bank Securities, Inc.	0.60%	5/13/14	Open		933,000		937,541
Deutsche Bank Securities, Inc.	0.60%	5/13/14	Open		1,049,000		1,054,105
UBS Securities LLC	0.35%	5/13/14	Open		1,693,000		1,697,806
UBS Securities LLC	0.45%	5/13/14	Open		811,000		813,960
UBS Securities LLC	(0.50)%	5/13/14	Open		980,000		976,026
UBS Securities LLC	0.55%	5/13/14	Open		2,326,000		2,336,377
UBS Securities LLC	0.55%	5/13/14	Open		788,000		791,515
Barclays Capital, Inc.	0.40%	5/14/14	Open		3,311,000		3,321,706
Deutsche Bank Securities, Inc.	0.60%	5/27/14	Open		700,000		703,243
Barclays Capital, Inc.	(1.75)%	6/25/14	Open		518,870		512,590
Barclays Capital, Inc.	0.60%	7/2/14	Open		1,288,000		1,293,195
UBS Securities LLC	0.65%	7/11/14	Open		411,750		413,482
Barclays Capital, Inc.	0.60%	7/15/14	Open		1,208,000		1,212,611
HSBC Securities (USA), Inc.	0.55%	7/23/14	Open		2,410,417		2,418,555
BNP Paribas Securities Corp.	0.59%	8/12/14	Open		855,000		857,817
BNP Paribas Securities Corp.	0.59%	8/12/14	Open		643,000		645,118
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		1,227,506		1,230,619
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		3,164,425		3,172,450
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		3,386,250		3,394,838
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		2,793,750		2,800,835
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		2,269,975		2,275,732
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		3,108,750		3,116,634
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		2,991,199		2,998,785
HSBC Securities (USA), Inc.	0.55%	9/16/14	Open		2,378,880		2,384,913
HSBC Securities (USA), Inc.	0.60%	9/16/14	Open		2,669,040		2,676,424
Barclays Capital, Inc.	0.60%	9/17/14	Open		1,242,000		1,245,415
Barclays Capital, Inc.	0.44%	9/17/14	Open		1,061,000		1,063,140
Barclays Capital, Inc.	0.55%	9/17/14	Open		1,278,000		1,281,222
Barclays Capital, Inc.	0.60%	9/17/14	Open		1,239,000		1,242,407
Barclays Capital, Inc.	0.60%	9/17/14	Open		489,000		490,345
Barclays Capital, Inc.	0.60%	9/17/14	Open		942,000		944,590
Barclays Capital, Inc.	0.60%	9/17/14	Open		869,000		871,390
Barclays Capital, Inc.	0.60%	9/17/14	Open		1,175,000		1,178,231
Barclays Capital, Inc.	0.60%	9/17/14	Open		941,000		943,588
Barclays Capital, Inc.	0.60%	9/17/14	Open		657,000		658,807
Barclays Capital, Inc.	0.60%	9/17/14	Open		833,000		835,291
Barclays Capital, Inc.	0.60%	9/17/14	Open		658,000		659,810
Barclays Capital, Inc.	0.60%	9/17/14	Open		877,000		879,412
Barclays Capital, Inc.	0.60%	9/17/14	Open		716,000		717,969
Barclays Capital, Inc.	0.60%	9/17/14	Open		629,000		630,730
RBC Capital Markets LLC	0.65%	9/18/14	Open		620,940		622,779
RBC Capital Markets LLC	0.34%	9/19/14	Open		598,400		599,321
RBC Capital Markets LLC	0.34%	9/19/14	Open		967,725		969,215
RBC Capital Markets LLC	0.34%	9/19/14	Open		349,800		350,836
RBC Capital Markets LLC	0.65%	9/19/14	Open		693,000		695,040
RBC Capital Markets LLC	0.65%	9/19/14	Open		576,850		578,548
RBC Capital Markets LLC	0.65%	9/19/14	Open		548,250		549,864
HSBC Securities (USA), Inc.	0.55%	9/22/14	Open		1,873,585		1,878,165
HSBC Securities (USA), Inc.	0.55%	9/22/14	Open		1,447,800		1,451,339
HSBC Securities (USA), Inc.	0.55%	9/22/14	Open		834,063		836,101
HSBC Securities (USA), Inc.	0.55%	9/22/14	Open		905,450		907,663
HSBC Securities (USA), Inc.	0.55%	9/22/14	Open		796,800		798,748
HSBC Securities (USA), Inc.	0.55%	9/22/14	Open		820,124		822,128
HSBC Securities (USA), Inc.	0.60%	9/22/14	Open		1,019,323		1,022,041

See Notes to Financial Statements.

44 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
 

As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty	Interest Rate	Trade Date	Maturity Date1	Face Value		Face Value Including Accrued Interest
HSBC Securities (USA), Inc.	0.60%	9/22/14	Open	$	908,040	$	910,461
HSBC Securities (USA), Inc.	0.60%	9/22/14	Open		891,053		893,429
HSBC Securities (USA), Inc.	0.60%	9/22/14	Open		935,588		938,082
HSBC Securities (USA), Inc.	0.60%	9/22/14	Open		856,069		858,352
HSBC Securities (USA), Inc.	0.65%	9/22/14	Open		833,565		835,973
UBS Securities LLC	0.48%	9/22/14	Open		2,610,000		2,615,568
UBS Securities LLC	0.50%	9/22/14	Open		4,400,000		4,409,778
UBS Securities LLC	0.50%	9/22/14	Open		3,027,575		3,034,303
UBS Securities LLC	0.50%	9/22/14	Open		4,071,094		4,080,141
Deutsche Bank Securities, Inc.	0.50%	10/2/14	Open		1,437,000		1,439,994
Deutsche Bank Securities, Inc.	0.60%	10/2/14	Open		1,284,000		1,287,210
Deutsche Bank Securities, Inc.	0.60%	10/2/14	Open		739,000		740,848
Deutsche Bank Securities, Inc.	0.60%	10/2/14	Open		1,316,000		1,319,290
Deutsche Bank Securities, Inc.	0.60%	10/2/14	Open		729,000		730,823
Deutsche Bank Securities, Inc.	0.60%	10/2/14	Open		1,176,000		1,178,940
Deutsche Bank Securities, Inc.	0.60%	10/2/14	Open		1,019,000		1,021,547
Deutsche Bank Securities, Inc.	0.59%	10/30/14	Open		617,865		619,121
Deutsche Bank Securities, Inc.	0.60%	11/5/14	Open		1,598,000		1,601,089
BNP Paribas Securities Corp.	0.34%	11/7/14	Open		7,278,000		7,285,836
RBC Capital Markets LLC	0.65%	11/17/14	Open		445,950		446,787
HSBC Securities (USA), Inc.	0.35%	11/25/14	Open		1,557,268		1,558,721
HSBC Securities (USA), Inc.	0.55%	11/25/14	Open		512,775		513,527
HSBC Securities (USA), Inc.	0.55%	11/25/14	Open		516,313		517,070
HSBC Securities (USA), Inc.	0.35%	11/28/14	Open		603,000		603,545
HSBC Securities (USA), Inc.	0.55%	12/3/14	Open		349,594		350,064
HSBC Securities (USA), Inc.	0.55%	12/3/14	Open		501,830		502,505
HSBC Securities (USA), Inc.	0.55%	12/3/14	Open		587,813		588,603
RBC Capital Markets LLC	0.34%	12/3/14	Open		305,020		305,274
RBC Capital Markets LLC	0.34%	12/3/14	Open		315,180		315,442
RBC Capital Markets LLC	0.45%	12/3/14	Open		330,225		330,588
BNP Paribas Securities Corp.	0.64%	12/4/14	Open		564,000		564,872
BNP Paribas Securities Corp.	0.64%	12/4/14	Open		595,000		595,920
BNP Paribas Securities Corp.	0.64%	12/4/14	Open		745,000		746,152
RBC Capital Markets LLC	0.65%	12/4/14	Open		1,509,450		1,511,821
UBS Securities LLC	0.55%	12/9/14	Open		1,878,000		1,880,353
UBS Securities LLC	0.55%	12/9/14	Open		2,160,000		2,162,706
UBS Securities LLC	0.55%	12/9/14	Open		2,025,000		2,027,537
UBS Securities LLC	0.55%	12/9/14	Open		1,800,000		1,802,255
UBS Securities LLC	0.55%	12/9/14	Open		2,035,000		2,037,549
UBS Securities LLC	0.55%	12/9/14	Open		1,700,000		1,702,130
UBS Securities LLC	0.55%	12/9/14	Open		1,580,000		1,581,979
UBS Securities LLC	0.55%	12/9/14	Open		1,865,000		1,867,336
HSBC Securities (USA), Inc.	0.65%	12/10/14	Open		678,902		679,895
HSBC Securities (USA), Inc.	0.65%	12/15/14	Open		1,652,400		1,654,667
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		295,000		295,364
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,344,000		1,345,658
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,211,000		1,212,494
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		799,000		799,985
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		787,000		787,971
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,273,000		1,274,570
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,416,000		1,417,746
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		729,000		729,899
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,025,000		1,026,264
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		702,000		702,866
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		395,000		395,487
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		611,000		611,754
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,968,000		1,970,427
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		693,000		693,855
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		694,000		694,856
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		768,000		768,947
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		819,000		820,010
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,211,000		1,212,494
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		763,000		763,941
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		649,000		649,800
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		344,000		344,424

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 45

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
 

As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty	Interest Rate	Trade Date	Maturity Date1	Face Value		Face Value Including Accrued Interest
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open	$	1,181,000	$	1,182,457
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		193,000		193,238
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,503,000		1,504,854
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		401,000		401,495
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,000,000		1,001,233
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		947,000		948,168
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		391,000		391,482
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		456,000		456,562
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,021,000		1,022,259
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		913,000		914,126
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,474,000		1,475,818
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,025,000		1,026,264
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		138,000		138,170
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		574,000		574,708
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,582,000		1,583,951
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,291,000		1,292,592
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		384,000		384,474
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,173,000		1,174,447
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		397,000		397,490
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		521,000		521,643
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		79,000		79,097
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		819,000		820,010
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		868,000		869,071
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,093,000		1,094,348
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		797,000		797,983
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		967,000		968,193
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		993,000		994,225
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		721,000		721,889
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		465,000		465,574
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,346,000		1,347,660
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,479,000		1,480,824
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		473,000		473,583
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		450,000		450,555
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,549,000		1,550,910
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		122,000		122,150
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		828,000		829,021
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		488,000		488,602
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		944,000		945,164
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		765,000		765,944
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		541,000		541,667
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		713,000		713,879
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		569,000		569,702
Deutsche Bank Securities, Inc.	0.60%	12/17/14	Open		1,483,000		1,484,829
Barclays Capital, Inc.	0.60%	12/18/14	Open		370,000		370,450
Deutsche Bank Securities, Inc.	0.60%	12/18/14	Open		462,000		462,562
Deutsche Bank Securities, Inc.	0.60%	12/18/14	Open		760,000		760,925
UBS Securities LLC	0.40%	12/18/14	Open		2,857,500		2,859,818
UBS Securities LLC	0.50%	12/18/14	Open		1,234,955		1,236,207
UBS Securities LLC	0.55%	12/18/14	Open		419,738		420,206
UBS Securities LLC	0.55%	12/18/14	Open		600,838		601,508
Credit Suisse Securities (USA) LLC	0.50%	12/19/14	Open		5,929,000		5,933,743
Credit Suisse Securities (USA) LLC	0.50%	12/19/14	Open		3,025,000		3,027,420
Credit Suisse Securities (USA) LLC	0.50%	12/19/14	Open		1,199,000		1,199,959
Credit Suisse Securities (USA) LLC	0.50%	12/19/14	Open		1,426,000		1,427,426
UBS Securities LLC	0.60%	12/19/14	Open		979,200		980,375
UBS Securities LLC	0.60%	12/19/14	Open		1,036,925		1,038,169
UBS Securities LLC	0.60%	12/19/14	Open		1,050,975		1,052,236
UBS Securities LLC	0.60%	12/19/14	Open		845,813		846,827
UBS Securities LLC	0.65%	12/19/14	Open		855,221		856,333
UBS Securities LLC	0.65%	12/19/14	Open		1,031,835		1,033,176
UBS Securities LLC	0.65%	12/19/14	Open		1,676,111		1,678,290
Credit Suisse Securities (USA) LLC	0.50%	12/19/14	Open		1,309,000		1,310,309

See Notes to Financial Statements.

46 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
 

As of February 28, 2015, reverse repurchase agreements outstanding were as follows (concluded):

Counterparty	Interest Rate	Trade Date	Maturity Date1	Face Value		Face Value Including Accrued Interest
Deutsche Bank Securities, Inc.	0.60%	1/6/15	Open	$	427,000	$	427,384
Deutsche Bank Securities, Inc.	0.60%	1/13/15	Open		1,523,000		1,524,193
Deutsche Bank Securities, Inc.	0.60%	1/15/15	Open		1,171,000		1,171,878
HSBC Securities (USA), Inc.	0.60%	1/26/15	Open		354,848		355,049
Deutsche Bank Securities, Inc.	0.60%	2/4/15	Open		495,000		495,206
HSBC Securities (USA), Inc.	0.60%	2/4/15	Open		1,260,850		1,261,375
UBS Securities LLC	0.55%	2/6/15	Open		959,669		960,006
Deutsche Bank Securities, Inc.	0.60%	2/11/15	Open		642,000		642,193
Morgan Stanley & Co. LLC	0.22%	2/18/15	3/18/15		20,134,000		20,134,639
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		560,057		560,108
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		701,000		701,064
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		680,432		680,494
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		168,558		168,574
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		342,791		342,822
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		161,738		161,753
HSBC Securities (USA), Inc.	0.55%	2/23/15	Open		214,500		214,520
HSBC Securities (USA), Inc.	0.55%	2/25/15	Open		1,864,800		1,864,914
HSBC Securities (USA), Inc.	0.55%	2/25/15	Open		1,633,631		1,633,731
HSBC Securities (USA), Inc.	0.55%	2/25/15	Open		955,966		956,025
HSBC Securities (USA), Inc.	0.55%	2/25/15	Open		852,840		852,892
HSBC Securities (USA), Inc.	0.55%	2/25/15	Open		740,631		740,677
HSBC Securities (USA), Inc.	0.55%	2/25/15	Open		790,935		790,983
HSBC Securities (USA), Inc.	0.60%	2/25/15	Open		832,050		832,105
HSBC Securities (USA), Inc.	0.60%	2/25/15	Open		721,000		721,048
HSBC Securities (USA), Inc.	0.65%	2/25/15	Open		986,790		986,861
HSBC Securities (USA), Inc.	0.65%	2/25/15	Open		856,163		856,224
RBC Capital Markets LLC	(1.00)%	2/25/15	Open		328,440		328,404
UBS Securities LLC	0.55%	2/25/15	Open		655,785		655,825
UBS Securities LLC	0.55%	2/25/15	Open		712,215		712,259
UBS Securities LLC	0.55%	2/25/15	Open		742,646		742,692
UBS Securities LLC	0.55%	2/25/15	Open		669,818		669,858
UBS Securities LLC	0.55%	2/25/15	Open		670,766		670,807
Deutsche Bank Securities, Inc.	0.60%	2/26/15	Open		1,121,000		1,121,056
RBC Capital Markets LLC	(2.00)%	2/26/15	Open		326,525		326,471
Deutsche Bank Securities, Inc.	0.60%	2/27/15	Open		687,206		687,234
Total				$	278,245,466	$	278,720,582

¹ Certain agreements have no stated maturity and can be terminated by either party at any time.

• As of February 28, 2015, financial futures contracts outstanding were as follows:

Contracts Long/Short	Issue	Exchange	Expiration	Notional Value			Unrealized Appreciation (Depreciation)
(62)	5-Year U.S. Treasury Note	Chicago Board of Trade	June 2015		USD	7,395,438	$	(8,161	)
(137)	10-Year U.S. Treasury Note	Chicago Board of Trade	June 2015		USD	17,508,172		(29,043	)
(116)	Long U.S. Treasury Bond	Chicago Board of Trade	June 2015		USD	18,773,875		(102,021	)
82	Ultra Long U.S. Treasury Bond	Chicago Board of Trade	June 2015		USD	13,799,063		117,889
Total							$	(21,336	)

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 47

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
 

• As of February 28, 2015, forward foreign currency contracts outstanding were as follows:

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	170,000	USD	192,475	State Street Bank and Trust Co.	4/21/15	$	(2,128	)
GBP	208,000	USD	318,638	Citibank N.A.	4/21/15		2,375
GBP	1,258,000	USD	1,908,756	Toronto Dominion Bank	4/21/15		32,754
USD	1,262,870	CAD	1,511,000	UBS AG	4/21/15		55,022
USD	115,941	EUR	101,000	Bank of America N.A.	4/21/15		2,852
USD	478,274	EUR	419,000	Bank of America N.A.	4/21/15		9,123
USD	108,684	EUR	97,000	Bank of America N.A.	4/21/15		74
USD	21,343,230	EUR	18,495,000	Citibank N.A.	4/21/15		634,520
USD	171,470	EUR	151,000	Goldman Sachs & Co.	4/21/15		2,396
USD	118,571	EUR	104,000	Royal Bank of Scotland PLC	4/21/15		2,123
USD	254,601	EUR	225,000	UBS AG	4/21/15		2,670
USD	30,650,886	GBP	20,206,000	Bank of America N.A.	4/21/15		(533,656	)
Total						$	208,125

• As of February 28, 2015, OTC options purchased were as follows:

Description	Counterparty	Put/ Call	Strike Price	Expiration Date	Contracts	Value
Marsico Parent Superholdco LLC	Goldman Sachs & Co.	Call	USD        942.86	12/14/19	46	—

• As of February 28, 2015, centrally cleared interest rate swaps outstanding were as follows:

Fixed Rate	Floating Rate	Clearinghouse	Expiration Date	Notional Amount (000)		Unrealized Appreciation (Depreciation)
2.54%	3-month LIBOR	Chicago Mercantile	9/04/24	USD	18,700	$	737,007
2.60%	3-month LIBOR	Chicago Mercantile	9/04/24	USD	18,700		(740,932	)
Total						$	(3,925	)

• As of February 28, 2015, OTC credit default swaps — buy protection outstanding were as follows:

Issuer	Pay Fixed Rate	Counterparty	Expiration Date	Notional Amount (000)	Value	Premiums Paid		Unrealized Depreciation
Westpac Banking Corp.	1.00%	Deutsche Bank AG	9/20/17	USD       1	$  (9)	$	8	$	(17	)
Australia & New Zealand Banking Group Ltd.	1.00%	Deutsche Bank AG	9/20/17	USD       1	(10)		8		(18	)
Total					$(19)	$	16	$	(35	)

• As of February 28, 2015, OTC interest rate swaps outstanding were as follows:

Fixed Rate	Floating Rate	Counterparty/ Clearinghouse	Expiration Date	Notional Amount (000)	Market Value	Premiums Received		Unrealized Depreciation
11.15%	1-Day BROIS	Deutsche Bank AG	1/04/16	BRL  56,933	$(310,158)	$	(593)	$	(309,565)

•  For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.

•  Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

•  Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access

•  Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

•  Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

See Notes to Financial Statements.

48 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Schedule of Investments (continued) BlackRock Limited Duration Income Trust (BLW)
 

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.

As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

	Level 1		Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	85,777,260	$	15,455,887	$	101,233,147
Common Stocks	$	2,543,742		822,736		565,124		3,931,602
Corporate Bonds		—		338,101,367		8,966,799		347,068,166
Floating Rate Loan Interests		—		256,723,451		21,643,184		278,366,635
Foreign Agency Obligations		—		9,849,569		—		9,849,569
Non-Agency Mortgage-Backed Securities		—		73,776,126		6,937,125		80,713,251
Other Interests		—		—		8,750		8,750
Preferred Securities		11,871,958		51,676,995		—		63,548,953
U.S. Government Sponsored Agency Securities		—		34,603,385		—		34,603,385
Warrants		—		—		16,542		16,542
Money Market Funds		1,278,380		—		—		1,278,380
Total	$	15,694,080	$	851,330,889	$	53,593,411	$	920,618,380

	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments1
Assets:
Interest rate contracts	$	117,889		$	737,007			—	$	854,896
Foreign currency exchange contracts					743,909					743,909
Liabilities:
Interest rate contracts		(139,225	)		(1,050,497	)		—		(1,189,722	)
Credit rate contracts		—			(35	)		—		(35	)
Foreign currency exchange contracts		—			(535,784	)		—		(535,784	)
Total	$	(21,336	)	$	(105,400	)		—	$	(126,736	)

¹ Derivative financial instruments are swaps, financial futures contracts and forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	1,186,592		—			—	$	1,186,592
Cash pledged for financial futures contracts		469,500		—			—		469,500
Cash pledged as collateral for reverse repurchase agreements		600,000		—			—		600,000
Cash pledged as collateral for OTC derivatives		90,000		—			—		90,000
Cash pledged for centrally cleared swaps		10,000		—			—		10,000
Foreign currency at value		19,657		—			—		19,657
Liabilities:
Reverse repurchase agreements		—	$	(278,720,582	)		—		(278,720,582	)
Cash received as collateral for reverse repurchase agreements		—		(198,000	)		—		(198,000	)
Total	$	2,375,749	$	(278,918,582	)		—	$	(276,542,833	)

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 49

Consolidated Schedule of Investments (concluded) BlackRock Limited Duration Income Trust (BLW)
 

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

	Common Stocks			Asset-Backed Securities			Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage- Backed Securities		Other Interests		Unfunded Floating Rate Loan Interests (Liabilities)			Warrants	Total
Assets:
Opening Balance, as of August 31, 2014	$	2,748,166		$	14,418,405		$	8,907,388		$	33,197,391			—	$	8,750	$	(175	)	—	$59,279,925
Transfers into Level 31		—			—			—			5,568,235			—		—		—		$14,419	5,582,654
Transfers out of Level 32		—			(10,116,243	)		—			(14,142,897	)		—		—		—		—	(24,259,140)
Accrued discounts/premiums		—			(41,233	)		(464	)		23,665		$	915		—		—		—	(17,117)
Net realized gain		(1	)		(413,707	)		(3,036,848	)		30,133			—		—		—		—	(3,420,423)
Net change in unrealized appreciation/ depreciation		(2,183,041	)		451,169			2,973,382			(379,501	)		33,293		—		175		2,123	897,600
Purchases		—			12,120,799			495,529			3,501,575			6,902,917		—		—		—	23,020,820
Sales		—			(963,303	)		(372,188	)		(6,155,417	)		—		—		—		—	(7,490,908)
Closing Balance, as of February 28, 2015	$	565,124		$	15,455,887		$	8,966,799		$	21,643,184			6,937,125	$	8,750		—		$16,542	$53,593,411
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154	$	(2,183,041	)	$	455,869		$	(435,653	)	$	(430,583	)	$	33,293		—		—		$2,123	$(2,557,992)

¹ As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,582,654 transferred from Level 2 to Level 3 in the disclosure hierarchy.

² As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $24,259,140 transferred from Level 3 to Level 2 in the disclosure hierarchy.

³ Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations.

⁴ Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.

50 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Statements of Assets and Liabilities

February 28, 2015 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)			BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1			BlackRock Limited Duration Income Trust (BLW)1
Assets
Investments at value — unaffiliated2	$	181,616,611		$	805,139,034		$	919,340,000
Investments at value — affiliated3		—			—			1,278,380
Cash		99,981			3,119,964			1,186,592
Cash pledged for financial futures contracts		—			—			469,500
Investments sold receivable		2,453,293			10,681,703			11,845,366
Cash pledged as collateral for reverse repurchase agreements		—			—			600,000
Interest receivable		1,029,697			4,563,142			9,274,118
Swaps receivable		—			—			1,827,734
Unrealized appreciation on forward foreign currency exchange contracts		12,042			148,623			743,909
Foreign currency at value4		2,102			2,192			19,657
Variation margin receivable on financial futures contracts		—			—			45,109
Cash pledged as collateral for OTC derivatives		—			—			90,000
Dividends receivable		—			—			1,696
Principal paydowns receivable		—			—			735
Swap premiums paid		—			—			16
Cash pledged for centrally cleared swaps		—			—			10,000
Deferred offering costs		—			16,873			18,165
Prepaid expenses		1,942			12,945			15,685
Other assets		—			—			269,432
Total assets		185,215,668			823,684,476			947,036,094
Liabilities
Bank borrowings payable		52,000,000			231,000,000			—
Reverse repurchase agreements		—			—			278,720,582
Investments purchased payable		5,912,195			27,649,265			14,770,319
Swaps payable		—			—			1,827,799
Investment advisory fees payable		137,069			455,019			386,139
Unrealized depreciation on forward foreign currency exchange contracts		15,431			60,728			535,784
Officer’s and Directors’ fees payable		2,514			10,772			352,319
Unrealized depreciation on OTC derivatives		—			—			309,600
Income dividends payable		77,967			125,024			91,109
Interest expense payable		38,190			167,451			—
Cash received as collateral for reverse repurchase agreements		—			—			198,000
Variation margin payable on financial futures contracts		—			—			29,276
Variation margin payable on centrally cleared swaps		—			—			1,135
Swap premiums received		—			—			593
Offering costs payable		—			10,007			12,486
Other accrued expenses payable		113,331			253,770			232,927
Total liabilities		58,296,697			259,732,036			297,468,068
Net Assets	$	126,918,971		$	563,952,440		$	649,568,026
Net Assets Consist of
Paid-in capital5,6,7	$	128,319,712		$	660,033,945		$	703,327,827
Distributions in excess of net investment income		(86,327	)		(674,343	)		(3,396,935	)
Accumulated net realized loss		(408,152	)		(85,588,374	)		(50,589,792	)
Net unrealized appreciation/depreciation		(906,262	)		(9,818,788	)		226,926
Net Assets	$	126,918,971		$	563,952,440		$	649,568,026
Net asset value per share	$	14.03		$	15.15		$	17.55
1  Consolidated Statement of Assets and Liabilities
2  Investments at cost — unaffiliated	$	182,519,416		$	815,045,713		$	919,221,232
3  Investments at cost — affiliated		—			—		$	1,278,380
4  Foreign currency at cost	$	2,170		$	2,196		$	19,623
5  Par value per share	$	0.001		$	0.100		$	0.001
6  Shares outstanding		9,044,041			37,232,488			37,003,854
7  Shares authorized		unlimited			200 million			unlimited

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 51

Statements of Operations

Six Months Ended February 28, 2015 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)			BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1			BlackRock Limited Duration Income Trust (BLW)1
Investment Income
Interest	$	4,407,091		$	19,430,864		$	25,016,227
Dividends — unaffiliated		34,993			152,649			413,875
Dividends — affiliated		142			144			1,302
Total income		4,442,226			19,583,657			25,431,404
Expenses
Investment advisory		891,891			2,954,158			2,553,119
Custodian		38,567			120,385			91,962
Professional		56,091			61,537			97,998
Accounting services		15,548			50,326			46,526
Offering		—			51,761			55,725
Transfer agent		13,009			31,677			37,997
Officer and Directors		5,772			25,161			32,770
Printing		6,674			11,792			13,048
Registration		4,700			7,017			6,433
Miscellaneous		15,156			30,920			51,503
Total expenses excluding interest expense and income tax		1,047,408			3,344,734			2,987,081
Interest expense		242,477			1,074,203			716,387
Income tax		—			4,878			—
Total expenses		1,289,885			4,423,815			3,703,468
Less fees waived by Manager		(133	)		(178	)		(2,027	)
Total expenses after fees waived and paid indirectly		1,289,752			4,423,637			3,701,441
Net investment income		3,152,474			15,160,020			21,729,963
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		(688,453	)		(4,002,462	)		(7,582,951	)
Financial futures contracts		—			—			(1,801,111	)
Foreign currency transactions		276,813			1,296,164			8,018,051
Options written		—			—			93,500
Swaps		—			—			(18,449	)
		(411,640	)		(2,706,298	)		(1,290,960	)
Net change in unrealized appreciation/depreciation on:
Investments		(1,104,006	)		(5,600,249	)		(12,525,932	)
Financial futures contracts		—			—			72,226
Foreign currency translations		(82,584	)		(238,324	)		(1,818,176	)
Options written		—			—			(11,948	)
Swaps		—			—			(291,389	)
Unfunded floating rate loan interests		6,227			27,493			2,520
		(1,180,363	)		(5,811,080	)		(14,572,699	)
Net realized and unrealized loss		(1,592,003	)		(8,517,378	)		(15,863,659	)
Net Increase in Net Assets Resulting from Operations	$	1,560,471		$	6,642,642		$	5,866,304

¹ Consolidated Statement of Operations.

See Notes to Financial Statements.

52 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Statements of Changes in Net Assets BlackRock Defined Opportunity Credit Trust (BHL)

	Six Months Ended February 28,			Year Ended August 31,
Increase (Decrease) in Net Assets:	2015 (Unaudited)			2014
Operations
Net investment income	$	3,152,474		$	6,953,558
Net realized gain (loss)		(411,640	)		1,555,241
Net change in unrealized appreciation/depreciation		(1,180,363	)		(1,214,434	)
Net increase in net assets resulting from operations		1,560,471			7,294,365
Distributions to Shareholders From1
Net investment income		(3,705,740	)		(7,542,730	)
Net realized gain		(1,286,571	)		—
Decrease in net assets resulting from distributions to shareholders		(4,992,311	)		(7,542,730	)
Net Assets
Total decrease in net assets		(3,431,840	)		(248,365	)
Beginning of period		130,350,811			130,599,176
End of period	$	126,918,971		$	130,350,811
Undistributed (distributions in excess of) net investment income, end of period	$	(86,327	)	$	466,939

¹ Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 53

Consolidated Statements of Changes in Net Assets BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

	Six Months Ended February 28,			Year Ended August 31,
Increase (Decrease) in Net Assets:	2015 (Unaudited)			2014
Operations
Net investment income	$	15,160,020		$	32,487,698
Net realized gain (loss)		(2,706,298	)		606,314
Net change in unrealized appreciation/depreciation		(5,811,080	)		771,265
Net increase in net assets resulting from operations		6,642,642			33,865,277
Distributions to Shareholders From1
Net investment income		(15,153,623	)		(33,203,943	)
Net Assets
Total increase (decrease) in net assets		(8,510,981	)		661,334
Beginning of period		572,463,421			571,802,087
End of period	$	563,952,440		$	572,463,421
Distributions in excess of net investment income, end of period	$	(674,343	)	$	(680,740	)

¹ Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

54 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Consolidated Statements of Changes in Net Assets BlackRock Limited Duration Income Trust (BLW)

	Six Months Ended February 28,			Year Ended August 31,
Increase (Decrease) in Net Assets:	2015 (Unaudited)			2014
Operations
Net investment income	$	21,729,963		$	46,667,443
Net realized gain (loss)		(1,290,960	)		4,294,232
Net change in unrealized appreciation/depreciation		(14,572,699	)		14,593,852
Net increase in net assets resulting from operations		5,866,304			65,555,527
Distributions to Shareholders From1
Net investment income		(25,680,675	)		(45,292,717	)
Net Assets
Total increase (decrease) in net assets		(19,814,371	)		20,262,810
Beginning of period		669,382,397			649,119,587
End of period	$	649,568,026		$	669,382,397
Undistributed (distributions in excess of) net investment income, end of period	$	(3,396,935	)	$	553,777

¹ Distributions for annual periods determined in accordance with federal income tax regulations.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 55

Statements of Cash Flows

Six Months Ended February 28, 2015 (Unaudited)	BlackRock Defined Opportunity Credit Trust (BHL)			BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)			BlackRock Limited Duration Income Trust (BLW)
Cash Provided by Operating Activities
Net increase in net assets resulting from operations	$	1,560,471		$	6,642,642		$	5,866,304
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:
(Increase) decrease in interest receivable		(4,764	)		(146,167	)		556,771
Increase in swaps receivable		—			—			(1,245,742	)
(Increase) decrease in other assets		—			38,072			(3,500	)
Increase in variation margin receivable on financial futures contracts		—			—			(17,838	)
Decrease in swap premiums paid		—			—			3
(Increase) decrease in prepaid expenses		2,181			(3,562	)		(4,715	)
Decrease in cash pledged for financial futures contracts		—			—			186,000
Decrease in cash pledged as collateral for OTC derivatives		400,000			—			—
Increase in cash pledged as collateral for reverse repurchase agreements		—			—			(592,000	)
Increase in cash received for reverse repurchase agreements		—			—			(304,000	)
Decrease in investment advisory fees payable		(16,059	)		(52,111	)		(63,975	)
Decrease in interest expense and fees payable		(987	)		(7,593	)		(184,054	)
Decrease in other accrued expenses payable		(15,848	)		(95,194	)		(29,779	)
Increase in variation margin payable on financial futures contracts		—			—			21,120
Increase in variation margin payable on centrally cleared swaps		—			—			1,135
Increase in swaps payable		—			—			1,263,852
Decrease in swap premiums received		—			—			(279	)
Increase (decrease) in Officer’s and Directors’ fees payable		(7	)		(354	)		16,717
Net realized loss on investments and options written		690,515			3,993,779			9,121,400
Net unrealized loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests		1,180,363			5,811,080			14,644,500
Amortization of premium and accretion of discount on investments		(154,587	)		(640,292	)		608,542
Proceeds from sales of long-term investments		34,040,314			148,755,225			188,043,486
Purchases of long-term investments		(32,662,955	)		(145,764,172	)		(183,537,385	)
Net proceeds from sales of short-term securities		2,958,501			3,456,864			6,112,010
Premiums paid on closing options written		—			—			(93,500	)
Net cash provided by operating activities		7,977,138			21,988,217			40,365,073
Cash Used for Financing Activities
Net borrowing of reverse repurchase agreements		—			—			(14,985,090	)
Proceeds from bank borrowings		22,000,000			78,000,000			—
Payments for bank borrowings		(25,000,000	)		(82,000,000	)		—
Cash payments for offering costs		—			(75,129	)		(75,129	)
Cash dividends paid to Common Shareholders		(4,986,497	)		(15,150,512	)		(25,680,972	)
Amortization of deferred offering costs		—			51,761			55,725
Net cash used for financing activities		(7,986,497	)		(19,173,880	)		(40,685,466	)
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations	$	18		$	320		$	16,533
Cash and Foreign Currency
Net increase (decrease) in cash		(9,341	)		2,814,657			(303,860	)
Cash and foreign currency at beginning of period		111,424			307,499			1,510,109
Cash and foreign currency at end of period	$	102,083		$	3,122,156		$	1,206,249
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest	$	243,464		$	1,081,796		$	900,441

See Notes to Financial Statements.

56 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Financial Highlights BlackRock Defined Opportunity Credit Trust (BHL)

	Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31,
					2014			2013			2012			2011			2010
Per Share Operating Performance
Net asset value, beginning of period	$	14.41		$	14.44		$	14.12		$	13.17		$	13.55		$	12.53
Net investment income1		0.35			0.77			0.87			0.85			0.86			0.85
Net realized and unrealized gain (loss)		(0.18	)		0.03			0.30			0.90			(0.45	)		0.87
Net increase from investment operations		0.17			0.80			1.17			1.75			0.41			1.72
Distributions from:2
Net investment income		(0.41	)		(0.83	)		(0.85	)		(0.80	)		(0.79	)		(0.70	)
Net realized gain		(0.14	)		—			—			—			—			—
Total distributions		(0.55	)		(0.83	)		(0.85	)		(0.80	)		(0.79	)		(0.70	)
Net asset value, end of period	$	14.03		$	14.41		$	14.44		$	14.12		$	13.17		$	13.55
Market price, end of period	$	13.17		$	13.84		$	13.77		$	13.94		$	12.65		$	12.86
Total Return3
Based on net asset value		1.51%4			5.98%			8.52%			13.94%			2.93%			14.39%
Based on market price		(0.79)%4			6.75%			4.82%			17.12%			4.17%			23.33%
Ratios to Average Net Assets
Total expenses		2.04%	5		1.92%			1.92%			1.91%			2.02%			1.91%
Total expenses after fees waived and paid indirectly		2.04%	5		1.92%			1.92%			1.91%			2.02%			1.90%
Total expenses after fees waived and paid indirectly and excluding interest expense		1.66%	5		1.60%			1.58%	6		1.61%	6		1.71%			1.65%
Net investment income		4.99%	5		5.31%			6.04%			6.24%			6.10%			6.40%
Supplemental Data
Net assets, end of period (000)	$	126,919		$	130,351		$	130,599		$	127,455		$	118,897		$	122,062
Borrowings outstanding, end of period (000)	$	52,000		$	55,000		$	49,000		$	55,000		$	43,000		$	24,000
Asset coverage, end of period per $1,000	$	3,441		$	3,370		$	3,665		$	3,317		$	3,765		$	6,086
Portfolio turnover rate		19%			59%			85%			53%			91%			102%

¹ Based on average shares outstanding.

² Distributions for annual periods determined in accordance with federal income tax regulations.

³ Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁴ Aggregate total return.

⁵ Annualized.

⁶ For the years ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs was 1.57% and 1.52%, respectively.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 57

Financial Highlights BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

	Six Months Ended February 28, 20151 (Unaudited)			Year Ended August 31,
					20141			20131			20121			2011			2010
Per Share Operating Performance
Net asset value, beginning of period	$	15.38		$	15.36		$	14.98		$	14.04		$	14.36		$	12.93
Net investment income2		0.41			0.87			0.99			0.97			0.96			0.91
Net realized and unrealized gain (loss)		(0.23	)		0.04			0.42			0.90			(0.36	)		1.48
Net increase from investment operations		0.18			0.91			1.41			1.87			0.60			2.39
Distributions from:3
Net investment income		(0.41	)		(0.89	)		(1.03	)		(0.93	)		(0.86	)		(0.94	)
Net realized gain		—			—			—			—			(0.06	)		(0.02	)
Total distributions		(0.41	)		(0.89	)		(1.03	)		(0.93	)		(0.92	)		(0.96	)
Net asset value, end of period	$	15.15		$	15.38		$	15.36		$	14.98		$	14.04		$	14.36
Market price, end of period	$	13.83		$	14.26		$	14.96		$	15.20		$	13.33		$	14.61
Total Return4
Based on net asset value		1.48%5			6.45%			9.68%			13.91%			4.04%			18.91%
Based on market price		(0.09)%5			1.33%			5.28%			21.74%			(2.91)%			27.59%
Ratios to Average Net Assets
Total expenses		1.59%	6		1.48%			1.54%	7		1.67%	8		1.60%			1.45%
Total expenses after fees waived and paid indirectly		1.59%	6		1.48%			1.52%	7		1.67%	8		1.60%			1.45%
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax		1.20%	6		1.15%			1.15%	7,9		1.35%	8,9		1.30%			1.22%
Net investment income		5.45%	6		5.65%			6.49%			6.67%			6.44%			6.43%
Supplemental Data
Net assets, end of period (000)	$	563,952		$	572,463		$	571,802		$	276,990		$	259,205		$	264,379
Borrowings outstanding, end of period (000)	$	231,000		$	235,000		$	214,000		$	117,000		$	93,000		$	53,000
Asset coverage, end of period per $1,000	$	3,441		$	3,436		$	3,672		$	3,367		$	3,787		$	5,988
Portfolio turnover rate		19%			58%			88%			53%			91%			96%

¹ Consolidated Financial Highlights.

² Based on average shares outstanding.

³ Distributions for annual periods determined in accordance with federal income tax regulations.

⁴ Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Aggregate total return.

⁶ Annualized

⁷ Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.

⁸ Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively.

⁹ For the year ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively.

See Notes to Financial Statements.

58 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Financial Highlights BlackRock Limited Duration Income Trust (BLW)

	Six Months Ended February 28, 20151 (Unaudited)			Year Ended August 31,
					20141			20131			20121			2011			2010
Per Share Operating Performance
Net asset value, beginning of period	$	18.09		$	17.54		$	17.38		$	16.52		$	16.79		$	14.95
Net investment income2		0.59			1.26			1.30			1.31			1.34			1.12
Net realized and unrealized gain (loss)		(0.44	)		0.51			0.25			0.88			(0.37	)		1.62
Net increase from investment operations		0.15			1.77			1.55			2.19			0.97			2.74
Distributions from net investment income3		(0.69	)		(1.22	)		(1.39	)		(1.33	)		(1.24	)		(0.90	)
Net asset value, end of period	$	17.55		$	18.09		$	17.54		$	17.38		$	16.52		$	16.79
Market price, end of period	$	15.98		$	16.81		$	16.89		$	18.00		$	16.01		$	16.76
Total Return4
Based on net asset value		1.32%5			10.77%			9.13%			13.86%			5.85%			19.00%
Based on market price		(0.71)%	5		6.89%			1.47%			21.68%			2.77%			26.04%
Ratio to Average Net Assets
Total expenses		1.15%	6		1.14%			1.12%			1.05%			1.01%			0.82%
Total expenses after fees waived and paid indirectly		1.15%	6		1.14%			1.12%			1.05%			1.00%			0.81%
Total expenses after fees waived and paid indirectly and excluding interest expense		0.93%	6		0.92%			0.90%			0.89%			0.87%			0.73%
Net investment income		6.74%	6		7.00%			7.34%			7.82%			7.75%			6.90%
Supplemental Data
Net assets, end of period (000)	$	649,568		$	669,382		$	649,120		$	642,391		$	609,818		$	619,381
Borrowings outstanding, end of period (000)	$	278,721		$	293,890		$	273,347		$	296,476		$	244,120		$	123,233
Asset coverage, end of period per $1,000	$	3,331		$	3,278		$	3,375		$	3,167		$	3,498		$	6,026
Portfolio turnover rate7		20%			57%			71%			54%			106%			248%

¹ Consolidated Financial Highlights.

² Based on average shares outstanding.

³ Distributions for annual periods determined in accordance with federal income tax regulations.

⁴ Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions.

⁵ Aggregate total return.

⁶ Annualized.

⁷ Includes mortgage dollar rolls (“MDRs”). Additional information regarding portfolio turnover is as follows:

	Six Months Ended February 28, 2015			Year Ended August 31,
	(Unaudited)			2014			2013			2012			2011			2010
Portfolio turnover (excluding MDRs)		20	%		57	%		71	%		54	%		87	%		113	%

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 59

Notes to Financial Statements  (Unaudited)

1. Organization:

The following are registered under the 1940 Act as closed-end management investment companies and referred to herein collectively as the “Funds”:

Trust Name	Herein Referred To As		Organized		Diversification Classification
BlackRock Defined Opportunity Credit Trust		BHL		Delaware		Diversified
BlackRock Floating Rate Income Strategies Fund, Inc.		FRA		Maryland		Diversified
BlackRock Limited Duration Income Trust		BLW		Delaware		Diversified

The Board of Directors and 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.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the account of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA. The Taxable Subsidiary enables the Fund to hold investments in an operating company and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for the Fund. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for the Fund. The Fund may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of February 28, 2015, were $2,142,730 or 0.4% of FRA’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Fund.

The accompanying consolidated financial statements of BLW include the account of BLW Subsidiary, LLC (the “BLW Taxable Subsidiary”). As of December 19, 2014, the BLW Taxable Subsidiary, which was wholly owned by the Fund, was dissolved. The BLW Taxable Subsidiary enabled the Fund to hold an investment in an operating company and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the BLW Taxable Subsidiary were taxable to such subsidiary. There was no tax provision required for income or realized gains during the period.

2. Significant Accounting Policies:

The Funds’ financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies followed by the Funds:

Valuation: The Funds’ investments are valued at fair value as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time) (or if the reporting date falls on a day the NYSE is closed, investments are valued at fair value as of the report date). U.S. 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 determine the fair value of their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Funds for all financial instruments.

Bond investments are valued 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. To-be-announced (“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. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.

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.

60 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (continued)

Equity investments traded on a recognized exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close 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.

Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the NYSE. Forward 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 options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

In the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Investments”). When determining the price for Fair Value Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Funds’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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 the Fund’s net assets. If events (e.g., 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 Investments and be valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board.

Foreign Currency: The Funds’ books and records are maintained in U.S. 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 U.S. dollar rises in value against a foreign currency, the Funds’ investments denominated in that currency will lose value because that currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. 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 in the Statements of Operations from the effects of changes in market prices of those investments but are included as a component of net realized and unrealized gain (loss) from investments. 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 generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., financial futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 61

Notes to Financial Statements (continued)

the Fund’s future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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 date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date. The character and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the 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 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.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund. Deferred compensation liabilities are included in officer’s and directors’ fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are prorated 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.

3. Securities and Other Investments:

Asset-Backed and Mortgage-Backed Securities: The Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of 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. In addition, the Funds may subsequently have to reinvest the proceeds at lower interest rates. If the Funds have purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

The Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

62 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (continued)

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 an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Certain Funds may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in IOs.

Stripped Mortgage-Backed Securities: Certain Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. The Funds also may invest in stripped mortgage-backed securities that are privately issued.

Zero-Coupon Bonds: Certain 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.

Capital Trusts and Trust Preferred Securities: Certain Funds may invest in capital trusts and/or trust preferred securities. These securities are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics, or by an affiliated business trust of a corporation, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured as either fixed or adjustable coupon securities that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation will pay interest to the trust, which will then be distributed to holders of the trust preferred securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. Payments on these securities are treated as interest rather than dividends for federal income tax purposes. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stock: Certain Funds may invest in preferred stock. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Floating Rate Loan Interests: The Funds may invest in floating rate loan interests. The floating rate loan interests held by the Funds 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

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 63

Notes to Financial Statements (continued)

generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of its investment policies.

When the Funds purchase a floating rate loan interest they may receive a facility fee and when they sell a floating rate loan interest they 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 they are 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 they have 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 a general creditor 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.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of February 28, 2015, the Funds had no outstanding unfunded floating rate loan interests.

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.

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 broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. 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 to be repurchased may decline below the repurchase price.

For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by the Funds to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, the Funds may receive a fee for use of the security by the counterparty, which may result in interest income to the Funds.

For the six months ended February 28, 2015, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $285,619,095 and 0.51%, respectively.

64 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (continued)

Reverse repurchase transactions are entered into by the Funds under Master Repurchase Agreements (each, an “MRA”), which permit the Funds, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Funds. With reverse repurchase transactions, typically the Funds and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, the Funds receive or post securities as collateral with a market value in excess of the repurchase price to be paid or received by the Funds upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Funds are considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

As of February 28, 2015, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

Counterparty	Reverse Repurchase Agreements		Fair Value of Non-cash Collateral Pledged Including Accrued Interest1			Cash Collateral Pledged1		Net Amount
Barclays Capital, Inc	$	31,941,212	$	(31,941,212	)		—		—
BNP Paribas Securities Corp.		10,695,716		(10,695,716	)		—		—
Credit Suisse Securities (USA) LLC		12,898,857		(12,898,857	)		—		—
Deutsche Bank Securities, Inc		74,108,164		(74,108,164	)		—		—
HSBC Securities (USA), Inc.		67,766,214		(67,766,214	)		—		—
Morgan Stanley & Co. LLC		20,134,639		(20,134,639	)
RBC Capital Markets LLC		7,930,387		(7,930,387	)		—		—
UBS Securities LLC		53,245,393		(53,245,393	)		—		—
Total	$	278,720,582	$	(278,720,582	)		—		—

¹ Net collateral with a value of $310,063,396 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, the Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce the Fund’s obligation to repurchase the securities.

4. Derivative Financial Instruments:

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to economically hedge their exposure to certain risks such as credit risk, equity risk, interest rate risk or foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: The Funds invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Funds and a 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, financial 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.

Upon entering into a financial futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited, if any, is recorded on the Statements of Assets and Liabilities as cash pledged for financial futures contracts. 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 variation margin. Variation margin is recorded by the Funds as unrealized appreciation or depreciation and, if applicable, as a receivable or payable for variation margin in the Statements of Assets and Liabilities.

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 or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: The Funds enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies in which some of the

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 65

Notes to Financial Statements (continued)

investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk, and/or 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 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 hold 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 swaptions 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.

The Funds also purchase or sell listed or OTC foreign currency options, foreign currency futures and related options on foreign currency futures as a short or long hedge against possible variations in foreign exchange rates or to gain exposure to foreign currencies (foreign currency exchange rate risk). When foreign currency is purchased or sold through an exercise of a foreign currency option, the related premium paid (or received) is added to (or deducted from) the basis of the foreign currency acquired or deducted from (or added to) the proceeds of the foreign currency sold (receipts from the foreign currency purchased). Such transactions may be effected with respect to hedges on non-U.S. dollar denominated instruments owned by the Funds but not yet delivered, or committed or anticipated to be purchased by the Funds.

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 when it otherwise would not, or at a price different from the current market value.

For the six months ended February 28, 2015, transactions in options written, including swaptions, were as follows:

	BLW
	Calls								Puts
	Contracts		Notional (000)1			Premium Received			Contracts		Notional (000)1			Premium Received
Outstanding options, beginning of period		—	$	18,700		$	93,500			—	$	18,700		$	93,500
Options written		—		—			—			—		—			—
Options exercised		—		(18,700	)		(93,500	)		—		—			—
Options expired		—		—			—			—		(18,700	)		(93,500	)
Options closed		—		—			—			—		—			—
Outstanding options, end of period		—		—			—			—		—			—

¹ Amount shown is in the currency in which the transaction was denominated.

Swaps: The Funds enter into swap agreements in which the Funds and a counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Funds for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC 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 contract is the premium received or paid.

66 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (continued)

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and the Fund’s counterparty on the swap agreement becomes the CCP. The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statements of Operations.

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 their risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which they are not otherwise exposed (credit risk). The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps on single-name issuers are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a guarantee from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation accelerators, repudiation, moratorium or restructuring). Credit default swaps on traded indexes are agreements in which the buyer pays fixed periodic payments to the seller in consideration for a guarantee from the seller to make a specific payment should a write-down, principal or interest shortfall or default of all or individual underlying securities included in the index occur. As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

•   Interest rate swaps — The Funds enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk). Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex swaps, the notional principal amount may decline (or amortize) over time.

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments as of February 28, 2015
		Value
		BHL				FRA				BLW
	Statements of Assets and Liabilities Location	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities		Derivative Assets	Derivative Liabilities
Interest rate contracts	Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC swaps; Swap premiums paid/received; Investments at value — unaffiliated2; Options written at value		—		—		—		—	$   854,896	$1,190,315
Foreign currency exchange contracts	Unrealized appreciation/depreciation on forward foreign currency exchange contracts	$	12,042	$	15,431	$	148,623	$	60,728	743,909	535,784
Credit contracts	Unrealized appreciation on OTC swaps; Swap premiums paid		—		—		—		—	16	35
Total		$	12,042	$	15,431	$	148,623	$	60,728	$1,598,821	$1,726,134

¹ Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

² Includes options purchased at value as reported in the Schedules of Investments.

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Notes to Financial Statements (continued)

The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended February 28, 2015
	BHL		FRA		BLW			BHL			FRA			BLW
	Net Realized Gain (Loss) From							Net Change in Unrealized Appreciation/Depreciation on
Interest rate contracts:
Financial futures contracts		—		—	$	(1,801,111	)		—			—		$	72,226
Swaps		—		—		(18,441	)		—			—			(291,397	)
Options1		—		—		(108,193	)		—			—			186,984
Foreign currency exchange contracts:
Foreign currency transactions/translations	$	259,924	$	1,302,052		8,088,322		$	(82,602	)	$	(238,644	)		(1,853,730	)
Credit contracts:
Swaps		—				(8	)		—			—			8
Total	$	259,924	$	1,302,052	$	6,160,569		$	(82,602	)	$	(238,644	)	$	(1,885,909	)

¹ 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 28, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

	BHL		FRA		BLW
Financial future contracts:
Average notional value of contracts long		—		—	$	11,161,063
Average notional value of contracts short		—		—	$	44,489,969
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	1,882,943	$	9,610,965	$	57,316,723
Average amounts sold — in USD	$	280,128	$	1,111,721	$	2,105,010
Options:
Average notional value of swaption contracts purchased		—		—		—
Average notional value of swaption contracts written		—		—	$	18,700,000	2
Credit default swaps:
Average notional value-buy protection		—		—	$	1,000
Average notional value-sell protection		—		—		—
Interest rate swaps:				—
Average notional value-pays fixed rate		—		—	$	18,700,000
Average notional value-receives fixed rate		—		—	$	39,826,708

² Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

Counterparty Credit Risk: A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

The Funds’ risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Funds. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform.

With exchange-traded purchased options and futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

In order to better define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with their counterparties. An ISDA Master Agreement is a bilateral agreement between each Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the

68 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (continued)

right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties 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 its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold (typically either $250,000 or $500,000) before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the Funds and counterparties are not permitted to sell, re-pledge or use the collateral they receive. To the extent amounts due to the Funds from their counterparties are not fully collateralized, the Funds bear the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, the Funds bear the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

As of February 28, 2015, the Funds’ derivative assets and liabilities (by type) are as follows:

BHL	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	12,042	$	15,431
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—
Total derivative assets and liabilities subject to an MNA	$	12,042	$	15,431

FRA	Assets		Liabilities
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	148,623	$	60,728
Derivatives not subject to an MNA or similar agreement		—		—
Total derivative assets and liabilities subject to an MNA	$	148,623	$	60,728

BLW	Assets			Liabilities
Derivative Financial Instruments:
Financial futures contracts	$	45,109		$	29,276
Forward foreign currency exchange contracts		743,909			535,784
Swaps — Centrally cleared		—			1,135
Swaps — OTC1		16			310,193
Total derivative assets and liabilities in the Statement of Assets and Liabilities	$	789,034			876,388
Derivatives not subject to an MNA or similar agreement		(45,109	)		(30,411	)
Total derivative assets and liabilities subject to an MNA	$	743,925		$	845,977

¹ Includes unrealized appreciation/depreciation on OTC swaps and swap premiums paid/received in the Statements of Assets and Liabilities.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 69

Notes to Financial Statements (continued)

As of February 28, 2015, the following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Funds:

BHL
Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets1
Citibank N.A.	$	12,042		—		—		—	$	12,042
Total	$	12,042		—		—		—	$	12,042

BHL
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset2		Non-cash Collateral Pledged		Cash Collateral Pledged3		Net Amount of Derivative Liabilities4
Bank of America N.A.	$	14,156		—		—		—	$	14,156
Deutsche Bank AG		1,275		—		—		—		1,275
Total	$	15,431		—		—		—	$	15,431

FRA
Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets1
Citibank N.A.	$	43,022		—		—		—	$	43,022
UBS AG		105,601		—		—		—		105,601
Total	$	148,623		—		—		—	$	148,623

FRA
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset2		Non-cash Collateral Pledged		Cash Collateral Pledged3		Net Amount of Derivative Liabilities4
Bank of America N.A.	$	55,014		—		—		—	$	55,014
Royal Bank of Scotland PLC		5,714		—		—		—		5,714
Total	$	60,728		—		—		—	$	60,728

BLW
Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset			Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets1
Bank of America N.A.	$	12,049	$	(12,049	)		—		—		—
Citibank N.A.		636,895		—			—		—	$	636,895
Credit Suisse International
Deutsche Bank AG		16		(16	)		—		—		—
Goldman Sachs Bank USA		2,396		—			—		—		2,396
Royal Bank of Scotland PLC		2,123		—			—		—		2,123
Toronto Dominion Bank		32,754		—			—		—		32,754
UBS AG		57,692		—			—		—		57,692
Total	$	743,925	$	(12,065	)		—		—	$	731,860

BLW
Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset2			Non-cash Collateral Pledged		Cash Collateral Pledged3		Net Amount of Derivative Liabilities4
Bank of America N.A.	$	533,656	$	(12,049	)		—		—	$	521,607
Deutsche Bank AG		310,193		(16	)		—		—		310,177
State Street Bank and Trust Co.		2,128		—			—		—		2,128
Total	$	845,977	$	(12,065	)		—		—	$	833,912

¹ Net amount represents the net amount receivable from the counterparty in the event of default.

² The amount of derivatives available for offset is limited to the amount of the assets and/or liabilities that are subject to an MNA.

³ Excess of the collateral pledged to the individual counterparty is not shown for financial reporting purposes.

⁴ Net amount represents the net amount payable due to the counterparty in the event of default.

70 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (continued)

5. Investment Advisory Agreement and Other Transactions with Affiliates:

The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate, for 1940 Act purposes, of BlackRock, Inc. (“BlackRock”).

Each Fund entered into an Investment Advisory Agreement with 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 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 at the following annual rates, plus the proceeds of any outstanding borrowings used for leverage as follows:

BHL	1.00%
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 pays 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 fees waived by Manager in the Statements of Operations.

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Fund pays the Manager based on the Fund’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 a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Officer and Directors in the Statements of Operations.

6. Purchases and Sales:

For the six months ended February 28, 2015, purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities were as follows:

Purchases
	BHL		FRA		BLW
Non-U.S. Government Securities	$	34,678,446	$	156,571,870	$	174,705,570
U.S. Government Securities		—		—	$	12,071,661
Total Purchases	$	35,678,446	$	156,571,870	$	186,777,231
Sales
	BHL		FRA		BLW
Non-U.S. Government Securities
(includes paydowns)	$	35,239,982	$	155,713,836	$	173,874,397
U.S. Government Securities		—		—	$	11,943,885
Total Sales	$	35,239,982	$	155,713,836	$	185,818,282

7. Income Tax Information:

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns remains open for each of the four years ended August 31, 2014. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of February 28, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 71

Notes to Financial Statements (continued)

As of August 31, 2014, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

Expires August 31,	FRA		BLW
2015	$	169,958		—
2016		20,623,334	$	284,006
2017		30,228,590		9,996,868
2018		27,716,009		37,509,275
2019		2,206,081		—
Total	$	80,943,972	$	47,790,149

As of February 28, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

	BHL			FRA			BLW
Tax cost	$	182,968,512		$	817,345,375		$	923,984,737
Gross unrealized appreciation		1,098,285			8,690,025			21,483,021
Gross unrealized depreciation		(2,450,186	)		(20,896,366	)		(24,849,378	)
Net unrealized depreciation	$	(1,351,901	)	$	(12,206,341	)	$	(3,366,357	)

8. Borrowings:

BHL and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds. As of February 28, 2015, the Funds have not received any notice to terminate. The Funds have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

	Commitment Amounts
BHL	$  64,000,000
FRA	$280,000,000

Advances will be 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 7-day, 30-day, 60-day or 90-day LIBOR.

In addition, the Funds pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Funds meet certain conditions. 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 28, 2015 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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 28, 2015, the average amount of bank borrowings and the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:

	Average Amount of Bank Borrowings		Daily Weighted Average Interest Rate
BHL	$	52,607,735		0.92%
FRA	$	233,060,773		0.92%

9. Principal Risks:

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, interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty 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

72 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Notes to Financial Statements (concluded)

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 Statements of Assets and Liabilities, less any collateral held by the Funds.

The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. See the Schedules of Investments for these securities and/or derivatives. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain 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. Investment percentages in the securities are presented in the Schedules of Investments. 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.

10. 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. FRA is 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.

Shares issued and outstanding remained constant for the six months ended February 28, 2015 and the year ended August 31, 2014.

FRA and BLW each filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing them to issue an additional 3,050,000 and 3,750,000 Common Shares, respectively, through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, FRA and BLW, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA and BLW’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). Please see Additional Information — Shelf Offering Program for additional information about the Shelf Offering. Costs incurred by FRA and BLW in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

11. Subsequent Events:

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Funds paid a net investment income dividend in the following amounts per share on March 31, 2015 to Common Shareholders of record on March 13, 2015:

	Common Dividend Per Share
BHL	$0.0583
FRA	$0.0674
BLW	$0.0995

Additionally, the Funds declared a net investment income dividend on April 1, 2015 payable to Common Shareholders of record on April 15, 2015, for the same amounts noted above.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 73

Officers and Directors

Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chairperson of the Board, Chairperson of the
        Audit Committee and 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
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
Barbara G. Novick, Director
John M. Perlowski, Director, President and Chief Executive Officer
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Charles Park, Chief Compliance Officer
Janey Ahn, Secretary

Effective September 5, 2014, Brendan Kyne resigned as a Vice President of the Funds.

Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Directors of the Funds. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Directors of the Funds.

Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Custodian and Accounting Agent
State Street Bank and Trust Company
Boston, MA 02110

Transfer Agent
Common Shares
Computershare Trust Company, N.A.
Canton, MA 02021 Independent Registered
Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116

Legal Counsel
Skadden, Arps, Slate,
Meagher & Flom LLP
New York, NY 10036 Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809

74 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

Additional Information

Fund Certification

Certain Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by section 302 of the Sarbanes-Oxley Act.

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 distributions 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 portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. 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

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 shareholders or in the principal risk factors associated with investment in the Funds. 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

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment 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) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds files 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 Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 75

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 upon request and without charge (1) by calling (800) 882-0052; (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) 882-0052 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 as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Section 19(a) Notices

BHL’s and BLW’s amounts and sources of distributions reported are estimates and are provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the 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 tell you how to report these distributions for federal income tax purposes. Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website http://www.blackrock.com.

February 28, 2015
	Total Fiscal Year to Date Cumulative Distributions by Character										Percentage of Fiscal Year to Date Cumulative Distributions by Character
	Net Investment Income		Net Realized Capital Gains Short Term		Net Realized Capital Gains Long Term		Return of Capital		Total Per Common Share		Net Investment Income		Net Realized Capital Gains Short Term		Net Realized Capital Gains Long Term		Return of Capital		Total Per Common Share
BHL	$	0.455211		—		—	$	0.096789	$	0.552000		82%		—		—		18%		100	%
BLW	$	0.662359		—		—	$	0.031641	$	0.694000		95%		—		—		5%		100	%

The Funds estimate that they have 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.’ When distributions exceed total return performance, the difference will incrementally reduce the Funds’ net asset value per share.

Shelf Offering Program

From time-to-time, each Fund may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, a Fund may, subject to market conditions, raise additional equity capital by issuing new Common Shares from time to time in varying amounts at a net price at or above the Fund’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow a Fund to pursue additional investment opportunities without the need to sell existing portfolio investments, it could also entail risks — including that the issuance of additional Common Shares may limit the extent to which the Common Shares are able to trade at a premium to NAV in the secondary market. BHL has not filed a registration statement with respect to any Shelf Offerings. This report is not an offer to sell BHL Common Shares and is not a solicitation of an offer to buy BHL Common Shares. If BHL files a registration with respect to any Shelf Offering, the prospectus contained therein will contain more complete information about BHL and should be read carefully before investing.

BLW and FRA each has filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectuses of BLW and FRA are not offers to sell BLW or FRA Common Shares or solicitations of an offer to buy BLW or FRA Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of BLW and FRA contain important information about such Funds, including their investment objectives, risks, charges and expenses. Investors are urged to read the prospectuses of BLW and FRA carefully and in their entirety before investing. Copies of the final prospectuses for BLW and FRA can be obtained from BlackRock at http://www.blackrock.com.

76 SEMI-ANNUAL REPORT FEBRUARY 28, 2015

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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 77

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This report is intended for existing shareholders. 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 the 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-BK3-2/15-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

2

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 Defined Opportunity Credit Trust
By:	/s/ John M. Perlowski
	John M. Perlowski
	Chief Executive Officer (principal executive officer) of
	BlackRock Defined Opportunity Credit Trust
Date: May 1, 2015
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 Defined Opportunity Credit Trust
Date: May 1, 2015
By:	/s/ Neal J. Andrews
	Neal J. Andrews
	Chief Financial Officer (principal financial officer) of
	BlackRock Defined Opportunity Credit Trust
Date: May 1, 2015

3