BLACKROCK FLOATING RATE INCOME STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-21413

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

Fund Address:    100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Floating

               Rate Income Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2018

Date of reporting period: 08/31/2018


Item 1 – Report to Stockholders

 

2


AUGUST 31, 2018

 

ANNUAL REPORT

  LOGO

 

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

BlackRock Limited Duration Income Trust (BLW)

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

In the 12 months ended August 31, 2018, the strongest corporate profits in seven years drove the equity market higher, while rising interest rates constrained bond returns. Though the market’s appetite for risk remained healthy, risk-taking was tempered somewhat, as shorter-term, higher-quality securities led the bond market, and U.S. equities outperformed most international stock markets.

Volatility in emerging market stocks rose as U.S.-China trade relations and debt concerns adversely affected the Chinese stock market, while Turkey and Argentina became embroiled in currency crises, largely due to hyperinflation in both countries. An economic slowdown in Europe led to modest performance for European equities.

Short-term U.S. Treasury interest rates rose the fastest, while longer-term rates slightly increased, leading to a negative return for long-term U.S. Treasuries and a substantial flattening of the yield curve. Many investors are concerned with the flattening yield curve as a harbinger of recession, but given the extraordinary monetary measures in the last decade, we believe a more accurate barometer for the economy is the returns along the risk spectrums in stock and bond markets. Although the fundamentals in credit markets remained relatively solid, investment-grade bonds declined slightly, and high-yield bonds posted modest returns.

In response to rising growth and inflation, the U.S. Federal Reserve (the “Fed”) increased short-term interest rates three times during the reporting period. The Fed also reduced its $4.2 trillion balance sheet by approximately $230 billion during the reporting period, gradually reversing the unprecedented stimulus measures it enacted after the financial crisis. Meanwhile, the European Central Bank announced that its bond-purchasing program would conclude at the end of the year, while also expressing its commitment to low interest rates. In contrast, the Bank of Japan continued to expand its balance sheet through bond purchasing while lowering its expectations for inflation.

The U.S. economy continued to gain momentum despite the Fed’s modest reduction of economic stimulus; unemployment declined to 3.9%, wages increased, and the number of job openings reached a record high. Strong economic performance may justify a more rapid pace of rate hikes in 2018, as the headline inflation rate and investors’ expectations for inflation have already surpassed the Fed’s target of 2.0%.

While U.S. monetary policy is seeking to restrain economic growth and inflation, fiscal policy has produced new sources of growth that could nourish the economy for the next few years. Corporate tax cuts and repatriation of capital held abroad could encourage a virtuous cycle of business spending. Lower individual tax rates coupled with the robust job market may refresh consumer spending.

We continue to believe the primary risks to economic expansion are trade protectionism, rapidly rising interest rates, and geopolitical tension. Given the deflationary forces of technology and globalization, a substantial increase in inflation is unlikely to materialize as long as the unemployment rate remains above 3.0%. However, we are closely monitoring trade protectionism and the rise of populism in Western nations. In particular, the outcome of trade negotiations between the United States and China is likely to influence the global growth trajectory and set the tone for free trade in many other nations.

In this environment, investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of August 31, 2018
     6-month   12-month

U.S. large cap equities
(S&P 500® Index)

  7.96%   19.66%

U.S. small cap equities
(Russell 2000® Index)

  15.84   25.45

International equities
(MSCI Europe, Australasia,
Far East Index)

  (2.55)   4.39

Emerging market equities
(MSCI Emerging Markets Index)

  (10.18)   (0.68)

3-month Treasury bills
(ICE BofAML 3-Month U.S. Treasury Bill Index)

  0.93   1.52

U.S. Treasury securities
(ICE BofAML 10-Year U.S. Treasury Index)

  1.42   (4.13)

U.S. investment grade bonds
(Bloomberg Barclays U.S. Aggregate Bond Index)

  1.15   (1.05)

Tax-exempt municipal bonds
(S&P Municipal Bond Index)

  1.78   0.61

U.S. high yield bonds
(Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)

  2.26   3.40
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.
 

 

 

2    THIS PAGE IS NOT PART OF YOUR FUND REPORT


Table of Contents

 

      Page  

The Markets in Review

     2  

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

     63  

Statements of Operations

     64  

Statements of Changes in Net Assets

     65  

Statements of Cash Flows

     66  

Financial Highlights

     67  

Notes to Financial Statements

     69  

Report of Independent Registered Public Accounting Firm

     82  

Important Tax Information

     82  

Disclosure of Investment Advisory Agreements

     83  

Automatic Dividend Reinvestment Plans

     87  

Director and Officer Information

     88  

Additional Information

     91  

Glossary of Terms Used in this Report

     94  

 

 

     3  


Fund Summary  as of August 31, 2018    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 managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

No assurance can be given that the Fund’s investment objective will be achieved.

Fund Information

 

Symbol on New York Stock Exchange (“NYSE”)

  FRA

Initial Offering Date

  October 31, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2018 ($13.80)(a)

  5.61%

Current Monthly Distribution per Common Share(b)

  $0.0645

Current Annualized Distribution per Common Share(b)

  $0.7740

Economic Leverage as of August 31, 2018(c)

  30%

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). 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

 

     08/31/18     

08/31/17

     Change      High      Low  

Market Price

  $ 13.80      $ 14.10        (2.13 )%     $ 14.62      $ 13.70  

Net Asset Value

    14.92        14.93        (0.07      15.07        14.81  

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

 

LOGO

 

 

4    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of August 31, 2018 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Performance and Portfolio Management Commentary

Returns for the period ended August 31, 2018 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

      5.28      5.71      5.30

Fund at Market Price(a)(b)

      3.11        8.00        4.21  

S&P/LSTA Leveraged Loan Index(c)

            4.88        4.85        4.04  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

An unmanaged market value-weighted index (the “Reference Benchmark”) designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

Floating rate loan interests (“bank loans”) benefited from a strong appetite for credit over much of the 12-month period. The largest sector contributors to performance included technology, health care and consumer cyclical services. By credit rating, B-rated positions were the largest contributors, followed by BB-rated and CCC-rated names. In terms of the Fund’s asset allocation, bank loan positions provided the largest contribution to performance, followed by holdings of high yield bonds and a small allocation to equities.

On the downside, the home construction sector was the sole sector detractor from performance. In terms of credit ratings, not-rated and CC-rated positions hurt Fund performance. A small position in convertible securities was also a detractor.

Describe recent portfolio activity.

The Fund maintained tactical exposures to high yield bonds and collateralized loan obligations. As much of the bank loan market trades above par, these tactical holdings are designed to add potential upside to the Fund. Over the period, the Fund reduced exposure to the communications sector in general, and cable & satellite issues in particular. Additionally, the Fund maintained its broad underweight to consumer cyclicals. By contrast, the Fund added to sectors such as pharmaceuticals, chemicals and diversified manufacturing. From a credit quality standpoint, the Fund increased exposure to B-rated credits, while reducing exposure to BB-rated names. The Fund’s core issuer and credit biases remained centered on cash-flow views and identification of a specific catalyst and/or idiosyncratic characteristics.

Describe portfolio positioning at period end.

At period end, the Fund held the majority of its portfolio in floating rate bank loans, with a meaningful position in high yield corporate bonds as well. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers, while limiting exposure to both higher quality loans with less compelling risk/reward profiles and lower-rated loans with more equity-like profiles and greater downside risk should credit sentiment weaken. From a sector perspective, the Fund’s largest overweight positions at period-end included independent energy, technology and health care. By contrast, the Fund remained underweight to the broad consumer cyclicals space, most notably retail, leisure and automotive issuers as the investment adviser believes these segments face fundamental headwinds. The Fund remained focused on industries and companies with stable business profiles and consistent cash flows, avoiding areas of the market with secular concerns and/or deteriorating fundamental trends.

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

 

 

FUND SUMMARY      5  


Fund Summary  as of August 31, 2018 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc.

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     08/31/18    

08/31/17

 

Floating Rate Loan Interests

    94     93

Corporate Bonds

    3       6  

Asset-Backed Securities

    3       1  

Investment Companies

          (a)  

Common Stocks(a)

           

Short-Term Securities(a)

           

Other

    (b)       (c)  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

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

 

CREDIT QUALITY ALLOCATION (d)(e)

 

     08/31/18    

08/31/17

 

A(a)

           

BBB/Baa

    8     9

BB/Ba

    41       42  

B

    45       40  

CCC/Caa

    4       5  

N/R

    2       4  

 

  (d) 

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.

 
  (e) 

Excludes Options Purchased and Short-Term Securities.

 
 

 

 

6    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of August 31, 2018    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 at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality.

The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.

No assurance can be given that the Fund’s investment objective will be achieved.

Fund Information

 

Symbol on NYSE

  BLW

Initial Offering Date

  July 30, 2003

Current Distribution Rate on Closing Market Price as of August 31, 2018 ($15.06)(a)

  6.33%

Current Monthly Distribution per Common Share(b)

  $0.0795

Current Annualized Distribution per Common Share(b)

  $0.9540

Economic Leverage as of August 31, 2018(c)

  28%

 

  (a) 

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

 
  (b) 

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

 
  (c) 

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

 

     08/31/18     

08/31/17

     Change      High      Low  

Market Price

  $ 15.06      $ 15.99        (5.82 )%     $ 16.30      $ 14.77  

Net Asset Value

    16.71        17.02        (1.82      17.14        16.57  

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

 

LOGO

 

 

FUND SUMMARY      7  


Fund Summary  as of August 31, 2018 (continued)    BlackRock Limited Duration Income Trust

 

Performance and Portfolio Management Commentary

Returns for the period ended August 31, 2018 were as follows:

 

          Average Annual Total Returns  
            1 Year      3 Years      5 Years  

Fund at NAV(a)(b)

      4.42      7.28      6.91

Fund at Market Price(a)(b)

      0.18        9.08        5.51  

Reference Benchmark(c)

      2.81        4.42        3.77  

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d)

      3.40        7.02        5.64  

S&P/LSTA Leveraged Loan Index(e)

      4.88        4.85        4.04  

BATS S Benchmark(f)

            0.19        1.38        1.60  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

The Fund’s discount to NAV widened during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 
  (d) 

An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 
  (e) 

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 
  (f) 

A composite index comprised of Bloomberg Barclays ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Barclays Corporate 1-5 year Index, Bloomberg Barclays CMBS Investment Grade 1-3.5 Yr. Index, Bloomberg Barclays MBS 15 Yr Index and Bloomberg Barclays Credit Ex-Corporate 1-5 Yr Index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

Past performance is not indicative of future results.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

The largest contributors to the Fund’s performance for the period were its allocations to senior loans, high yield corporate bonds and interest rate derivatives. Holdings in commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”) also contributed to performance.

The largest detractor from the Fund’s performance came from exposure to non-U.S. sovereign-related securities.

The Fund held derivatives during the period, including interest rate futures, currency forwards, currency options, interest rate swaps and credit default swaps. The derivatives were used primarily to adjust duration (sensitivity to interest rate movements) and yield curve exposures as well as to manage credit and currency risk. Currency forwards also were employed to provide the portfolio with active currency exposure. The Fund’s use of derivatives contributed positively to performance during the period.

Describe recent portfolio activity.

After reducing its allocation last year, the Fund added back exposure to high yield corporate bonds given the sector’s supportive technical backdrop and benign default outlook. The Fund also maintained an allocation to floating rate senior loans in anticipation of moderately higher interest rates as central banks continue gradual policy normalization. Consistent with the investment adviser’s expectations for rising interest rates, the Fund maintained a relatively short duration profile.

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified allocation to non-government spread sectors such as high yield corporate bonds, senior loans, investment grade corporates, CMBS, ABS, and agency and non-agency residential mortgage-backed securities. Additionally, the Fund held emerging market debt and sovereign debt. The Fund ended the period with an effective duration of 2.7 years.

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    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Fund Summary  as of August 31, 2018 (continued)    BlackRock Limited Duration Income Trust

 

Overview of the Fund’s Total Investments

 

PORTFOLIO COMPOSITION

 

     08/31/2018    

08/31/2017

 

Corporate Bonds

    45     45

Floating Rate Loan Interests

    29       27  

Asset-Backed Securities

    8       9  

Preferred Securities

    7       8  

Non-Agency Mortgage-Backed Securities

    5       6  

Foreign Agency Obligations

    3       4  

U.S. Government Sponsored Agency Securities

    3       1  

Short-Term Securities(a)

           

U.S Treasury Obligations

          (a)  

Other

    (b)       (c)  

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Includes a less than 1% holding in each of the following investment types: Common Stocks, Options Purchased, Options Written, Other Interests, Rights, Short-Term Securities and Warrants.

 
   

CREDIT QUALITY ALLOCATION (d)(e)

 

     08/31/2018     08/31/2017  

AAA/Aaa

    4     4

AA/Aa

    1       1  

A

    5       6  

BBB/Baa

    21       19  

BB/Ba

    31       33  

B

    27       29  

CCC/Caa

    6       4  

N/R(f)

    5       4  

 

  (d) 

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.

 
  (e) 

Excludes Options Purchased, Options Written and Short-Term Securities.

 
  (f) 

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

 
 

 

 

FUND SUMMARY      9  


The Benefits and Risks of Leveraging

 

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, 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 is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Funds (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the Funds’ shareholders 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, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Funds’ return on assets purchased with leverage proceeds, income to shareholders is lower than if the Funds had not used leverage. Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the value of the Funds’ obligations under their respective leverage arrangements generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that the Funds’ intended leveraging strategy will be successful.

The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33 13% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

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

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other asset without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

10    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security  

Shares

    Value  

Common Stocks — 0.4%

 

Chemicals — 0.1%  

GEO Specialty Chemicals, Inc.(a)(b)

      814,577     $ 266,997  
     

 

 

 
Diversified Financial Services — 0.2%  

Kcad Holdings I Ltd.(a)(b)

      309,827,230       1,174,245  
     

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

      14,906       149  
     

 

 

 
Hotels, Restaurants & Leisure — 0.0%  

Caesars Entertainment Corp.(b)

      19,011       193,912  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.0%  

SunPower Corp.(b)

      1,860       12,499  
     

 

 

 
Utilities — 0.1%  

Texgen LLC(a)(b)

      16,861       606,996  
     

 

 

 

Total Common Stocks — 0.4%
(Cost — $4,560,286)

 

    2,254,798  
 

 

 

 
     Par
(000)
        

Asset-Backed Securities — 4.6%

 

Allegro CLO II-S Ltd., Series 2014-1RA, Class B, 1.00%, 10/21/28(c)(d)(e)

    USD       250       250,000  

ALM VII R Ltd., Series 2013-7RA, Class BR, (3 mo. LIBOR US + 2.70%), 5.04%, 10/15/28(c)(f)

      250       251,916  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%), 6.53%, 12/09/26(c)(f)

      250       251,659  

Anchorage Capital CLO Ltd.(c)(d):

     

Series 2016-8A, Class AR, 3.34%, 07/28/28

      750       749,225  

Series 2016-8A, Class BR, 3.94%, 07/28/28

      500       499,567  

Series 2018-10A, Class A1A, 1.00%, 10/15/31(e)

      2,550       2,550,000  

Apidos CLO XXX Ltd., Series XXXA, Class A1A, 1.00%, 10/18/31(a)(c)(d)(e)

      250       250,000  

Ares CLO Ltd., Series 2016-40A, Class C, (3 mo. LIBOR US + 3.70%), 6.04%, 10/15/27(c)(f)

      250       251,289  

Ares XLVII CLO Ltd., Series 2018-48A, Class C, 4.14%, 07/20/30(c)(d)

      375       370,383  

Ares XLVIII CLO Ltd., Series 2018-48A, Class D, 5.04%, 07/20/30(c)(d)

      250       246,698  

Ares XXXIII CLO Ltd., Series 2015-1A, Class A2R, (3 mo. LIBOR US + 1.95%), 4.27%, 12/05/25(c)(f)

      450       450,311  

Ares XXXVR CLO Ltd., Series 2015-35RA, Class C, 4.24%, 07/15/30(c)(d)

      350       343,089  

Atlas Senior Loan Fund X Ltd., Series 2018-10A(c)(d):

     

Class B, 3.84%, 01/15/31

      500       493,210  

Class C, 4.19%, 01/15/31

      500       494,226  

Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A2R, (3 mo. LIBOR US + 2.05%), 4.40%, 01/20/29(c)(f)

      500       501,411  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class C, 5.39%, 10/15/30(c)(d)

      250       250,401  

Benefit Street Partners CLO XV Ltd., Series 2018-15A, Class A1, 3.31%, 07/18/31(c)(d)

      250       250,000  

Carlyle Global Market Strategies CLO Ltd., Series 2015-3A, Class A2R, 3.94%, 07/28/28(c)(d)

      500       498,276  

Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R, (3 mo. LIBOR US + 1.23%), 3.56%, 06/09/30(c)(f)

      500       500,726  
Security   Par
(000)
    Value  
Asset-Backed Securities (continued)  

CIFC Funding Ltd.(c)(d):

     

Series 2013-4A, Class DRR, 5.17%, 04/27/31

    USD       250     $ 247,721  

Series 2018-1A, Class B, 3.58%, 04/18/31

      375       369,686  

Series 2018-1A, Class C, 3.93%, 04/18/31

      375       373,126  

Series 2018-4A, Class A1, 1.00%, 10/17/31(a)(e)

      1,700       1,698,550  

Series 2018-4A, Class B, 1.00%, 10/17/31(e)

      425       425,000  

Series 2018-4A, Class D, 1.00%, 10/17/31(a)(e)

      300       300,000  

Galaxy CLO Ltd., Series 2015-21A, Class CR, 4.10%, 04/20/31(c)(d)

      250       247,321  

Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, 3.44%, 07/15/31(c)(d)

      1,000       995,404  

GoldentTree Loan Management US CLO Ltd., Series 2017-1A, Class C, (3 mo. LIBOR US + 2.20%), 4.55%, 04/20/29(c)(f)

      250       250,504  

Highbridge Loan Management Ltd.(c)(d):

     

Series 12A-18, Class B, 4.22%, 07/18/31

      250       243,424  

Series 12A-18, Class C, 5.12%, 07/18/31

      250       242,240  

Series 2013-2A, Class CR, 5.25%, 10/20/29

      250       248,879  

LCM XVIII LP(c)(d):

     

Series 18A, Class INC, 0.00%, 04/20/31(g)

      1,250       784,010  

Series 27A, Class A1, 3.53%, 07/16/31

      500       497,364  

Madison Park Funding Ltd., Series 2018-27A, Class B, 4.05%, 04/20/30(c)(d)

      1,000       987,967  

Octagon Investment Partners Ltd., Series 2013-1A(c)(d):

     

Class A1R2, 3.34%, 01/25/31

      250       249,714  

Class BR2, 3.74%, 01/25/31

      350       347,432  

Class CR2, 4.04%, 01/25/31

      350       344,085  

Octagon Investment Partners XVII Ltd., Series 2013-1A, Class ER2,
7.49%, 01/25/31(c)(d)

      250       246,793  

OZLM XIX Ltd., Series 2017-19A, Class C, 5.44%, 11/22/30(c)(d)

      250       250,983  

Palmer Square CLO Ltd.(c):

     

Series 2015-2A, Class A1AR, (3 mo. LIBOR US + 1.27%), 3.62%, 07/20/30(f)

      500       500,641  

Series 2018-1A, Class A1, 3.21%, 04/18/31(d)

      300       298,242  

Series 2018-1A, Class A2, 3.63%, 04/18/31(d)

      250       246,460  

Series 2018-1A, Class B, 3.93%, 04/18/31(d)

      250       245,289  

Series 2018-1A, Class D, 7.33%, 04/18/31(d)

      250       247,577  

Rockford Tower CLO Ltd., Series 2018-2A, Class A, 1.00%, 10/20/31(c)(d)(e)

      500       499,400  

Sound Point CLO Ltd., Series 2018-21A, Class A-1A, 1.00%, 10/26/31(e)(f)

      1,000       1,000,000  

TCI-Cent CLO Ltd., Series 2016-1A, Class A2, (3 mo. LIBOR US + 2.20%),
4.54%, 12/21/29(c)(f)

      300       300,682  

TICP CLO XI Ltd., Series 2018-11A, Class A, 1.00%, 10/20/31(a)(c)(d)(e)

      450       450,000  

Treman Park CLO Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 3.86%),
6.21%, 04/20/27(c)(f)

      1,400       1,403,950  

Venture XIX CLO Ltd., Series 2014-19A, Class BR, (3 mo. LIBOR US + 2.00%),
4.34%, 01/15/27(c)(f)

      250       249,666  

Webster Park CLO Ltd., Series 2015-1A, Class CR, 5.25%, 07/20/30(c)(d)

      500       495,052  

York CLO Ltd., Series 2014-1A, Class ARR, 1.00%, 10/22/29(c)(d)(e)

      1,000       1,000,000  
     

 

 

 

Total Asset-Backed Securities — 4.6%
(Cost — $26,014,499)

 

    25,739,549  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      11  


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Corporate Bonds — 4.9%

 

Aerospace & Defense — 0.2%  

Bombardier, Inc., 7.50%, 03/15/25(c)

    USD       1,160     $ 1,191,900  
     

 

 

 
Banks — 0.0%  

CIT Group, Inc., 5.00%, 08/01/23

      135       137,194  
     

 

 

 
Capital Markets — 0.3%  

Blackstone CQP Holdco LP(c):

     

6.50%, 03/20/21

      1,536       1,540,381  

6.00%, 08/18/21

      249       246,558  
     

 

 

 
    1,786,939  
Chemicals — 0.9%  

Alpha 3 BV/Alpha US Bidco, Inc.,
6.25%, 02/01/25(c)

      856       843,160  

GEO Specialty Chemicals, Inc.,
15.24%, 10/18/25(a)

      1,905       2,892,436  

Momentive Performance Materials, Inc., 3.88%, 10/24/21

      1,083       1,156,103  
     

 

 

 
    4,891,699  
Construction Materials — 0.4%  

HD Supply, Inc., 5.75%, 04/15/24(c)(h)

      2,049       2,154,011  
     

 

 

 
Containers & Packaging — 0.1%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 7.25%, 05/15/24(c)

      300       315,375  
     

 

 

 
Diversified Consumer Services — 0.4%  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(c)

      2,041       2,186,523  
     

 

 

 
Electric Utilities — 0.0%  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20(a)

      1,061        
     

 

 

 
Environmental, Maintenance, & Security Service — 0.1%  

Tervita Escrow Corp., 7.63%, 12/01/21(c)

      540       559,575  
     

 

 

 
Equity Real Estate Investment Trusts (REITs) — 0.0%  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

      46       51,380  
     

 

 

 
Health Care Providers & Services — 0.1%  

NVA Holdings, Inc., 6.88%, 04/01/26(c)

      370       367,688  
     

 

 

 
Health Care Services — 0.0%  

Aveta Inc. Escrow, 7.00%, 04/01/19(a)

      1,347        
     

 

 

 
Hotels, Restaurants & Leisure — 0.2%  

New Red Finance, Inc., 5.00%, 10/15/25(c)

      980       945,700  
     

 

 

 
Media — 0.9%  

Altice Financing SA(c):

     

6.63%, 02/15/23

      550       553,432  

7.50%, 05/15/26

      875       835,625  

Altice US Finance I Corp., 5.50%, 05/15/26(c)

      350       343,875  

Clear Channel Worldwide Holdings, Inc.:

     

6.50%, 11/15/22

      1,218       1,245,405  

Series B, 7.63%, 03/15/20

      545       547,044  

CSC Holdings LLC, 10.88%, 10/15/25(c)

      1,040       1,210,300  
     

 

 

 
    4,735,681  
Metals & Mining — 0.1%  

Freeport-McMoRan, Inc., 3.88%, 03/15/23

      625       600,781  
     

 

 

 
Oil, Gas & Consumable Fuels — 0.8%  

CNX Resources Corp., 5.88%, 04/15/22

      3,552       3,551,822  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(c)

      873       897,008  
     

 

 

 
    4,448,830  
Security   Par
(000)
    Value  
Software — 0.3%  

Infor US, Inc., 6.50%, 05/15/22

    USD       1,176     $ 1,191,253  

Informatica LLC, 7.13%, 07/15/23(c)

      658       669,515  
     

 

 

 
    1,860,768  
Wireless Telecommunication Services — 0.1%  

Frontier Communications Corp., 8.50%, 04/01/26(c)

      310       291,648  

Sprint Communications, Inc., 7.00%, 08/15/20

      325       340,438  
     

 

 

 
    632,086  
 

 

 

 

Total Corporate Bonds — 4.9%
(Cost — $26,728,844)

 

    26,866,130  
 

 

 

 

Floating Rate Loan Interests(f) — 136.1%

 

Aerospace & Defense — 1.3%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 08/18/24

      3,227       3,235,261  

DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 07/07/22

      506       507,048  

TransDigm, Inc., 2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.58%, 06/09/23

      3,338       3,330,170  

WP CPP Holdings LLC, 2018 Term Loan, (2 mo. LIBOR + 3.75%, 1.00% Floor), 6.28%, 04/30/25

      402       403,258  
     

 

 

 
    7,475,737  
Air Freight & Logistics — 0.2%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 01/15/25

      648       647,591  

XPO Logistics, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.06%, 02/24/25

      266       266,343  
     

 

 

 
    913,934  
Airlines — 0.0%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 3.30%, 09/10/18(a)

      120       119,615  
     

 

 

 
Auto Components — 0.5%  

Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.25%), 6.56%, 05/19/23

      1,009       1,008,232  

GPX International Tire Corp., Term Loan(a)(b)(i):

     

12.25%, 03/30/12

      1,098        

PIK, 13.00%, 03/30/12(j)

      18        

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.33%, 05/16/24

      1,594       1,589,803  
     

 

 

 
    2,598,035  
Auto Parts — 0.3%  

Mavis Tire Express Services Corp.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 03/20/25

      1,427       1,412,619  

Delayed Draw Term Loan, 03/20/25

      229       12,466  
     

 

 

 
    1,425,085  
Automobiles — 0.2%  

CH Hold Corp., :

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor) 5.08%, 02/01/24

      1,271       1,275,165  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor) 9.33%, 02/01/25(a)

      245       247,450  
     

 

 

 
    1,522,615  
Banks — 0.3%  

Capri Finance LLC, USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.59%, 11/01/24

      1,629       1,620,671  
     

 

 

 
 

 

 

12    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Building Materials — 0.3%  

Allied Universal HoldCo LLC, 2015 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 07/28/22

    USD       838     $ 825,450  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 1.00% Floor), 10.58%, 07/28/23

      645       636,738  
     

 

 

 
    1,462,188  
Building Products — 1.4%  

Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 08/18/23

      388       388,516  

CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 05/03/24

      1,935       1,948,808  

Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 12/14/24

      1,612       1,610,901  

Reece Ltd., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.34%, 07/02/25

      1,010       1,008,738  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 12/19/23

      2,707       2,712,096  
     

 

 

 
    7,669,059  
Capital Markets — 1.5%  

Duff & Phelps Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 02/13/25

      858       859,102  

EIG Management Company LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 02/22/25

      1,699       1,708,977  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 12/27/22

      1,338       1,341,697  

Greenhill & Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 5.81%, 10/12/22

      1,538       1,549,107  

GreenSky Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.38%, 03/29/25(a)

      1,072       1,077,674  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 4.33%, 03/27/23

      1,681       1,684,588  
     

 

 

 
    8,221,145  
Chemicals — 4.7%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24

      3,339       3,347,534  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.08%, 06/01/24

      3,569       3,569,918  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 05/16/24

      1,440       1,437,209  

Chemours Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 04/03/25

      899       896,296  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/28/24

      617       618,442  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 11/07/24

      1,042       1,044,347  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.10%, 07/09/19

      442       428,120  

Invictus US LLC:

     

1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.20%, 03/28/25

      1,644       1,649,193  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 8.83%, 03/25/26

      430       429,462  

LTI Holdings, Inc.(k):

     

2018 2nd Lien Term Loan, 08/10/26

      327       325,774  

2018 Add On 1st Lien Term Loan, 08/10/25

      1,036       1,038,590  
Security   Par
(000)
    Value  
Chemicals (continued)  

MacDermid, Inc., :

     

Term Loan B6, (1 mo. LIBOR + 3.00%, 1.00% Floor) 5.08%, 06/07/23

    USD       1,319     $ 1,322,061  

Term Loan B7, (1 mo. LIBOR + 2.50%, 1.00% Floor) 4.58%, 06/07/20

      1,914       1,917,938  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 5.63%, 10/11/24

      3,944       3,961,441  

PQ Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 02/08/25

      2,842       2,843,095  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.13%, 08/07/20

      422       421,990  

Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 03/08/25

      1,115       1,113,138  
     

 

 

 
    26,364,548  
Commercial Services & Supplies — 8.2%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.21%, 11/10/23

      3,237       3,241,420  

Aramark Services, Inc., 2018 Term Loan B3, (3 mo. LIBOR + 1.75%), 4.08%, 03/11/25

      293       293,290  

Asurion LLC:

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.58%, 08/04/25

      2,292       2,356,932  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.08%, 08/04/22

      1,922       1,931,498  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.08%, 11/03/23

      2,998       3,006,815  

2018 Term Loan B7, (1 mo. LIBOR + 6.50%), 5.08%, 11/03/24

      1,180       1,182,950  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 10/03/23

      2,967       2,962,398  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 05/20/24

      2,274       2,280,688  

Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.06%, 02/15/24

      3,053       3,056,576  

Dealer Tire LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.63%, 12/22/21(a)

      808       780,074  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.08%, 05/09/25(a)

      584       587,650  

Garda World Security Corp., 2017 Term Loan, (PRIME + 2.50%), 5.80%, 05/24/24

      914       916,843  

GFL Environmental, Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 05/30/25

      1,015       1,009,097  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.08%, 11/03/23

      910       854,991  

KAR Auction Services, Inc., Term Loan B5, (1 mo. LIBOR + 2.50%), 4.63%, 03/09/23

      2,527       2,534,475  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 05/02/22

      2,774       2,779,859  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 07/14/23

      2,386       2,386,497  

Verisure Holding AB, EUR Term Loan B1E,
10/20/22(k)

    EUR       1,000       1,151,487  

Verscend Holding Corp., 2018 Term Loan B, 08/27/25(k)

    USD       4,798       4,825,175  
 

 

 

SCHEDULES OF INVESTMENTS      13  


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Commercial Services & Supplies (continued)  

West Corp., 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 10/10/24

    USD       3,362     $ 3,345,953  

Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 09/27/24

      3,964       3,981,789  
     

 

 

 
    45,466,457  
Commercial Services & Supplies — 0.1%  

Employbridge LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.50%, 04/10/25

      575       581,469  
     

 

 

 
Communications Equipment — 1.0%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 11/21/24

      3,242       3,278,061  

Avaya, Inc.:

     

2018 Term Loan B, (1 mo. LIBOR + 4.25%), 6.31%, 12/15/24

      1,461       1,470,122  

CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 4.07%, 12/29/22

      356       357,270  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 11/01/24

      657       656,131  
     

 

 

 
    5,761,584  
Construction & Engineering — 2.3%  

AECOM, Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 02/22/25

      727       727,221  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.59%, 06/21/24

      6,581       6,611,143  

Engility Corp., Term Loan B1, (3 mo. LIBOR + 2.25%), 4.33%, 08/12/20

      196       195,699  

FrontDoor Inc, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.63%, 08/14/25

      743       743,929  

Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 03/23/25

      1,107       1,114,249  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.44%, 05/23/25

      2,426       2,369,310  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/08/23

      917       921,143  
     

 

 

 
    12,682,694  
Construction Materials — 2.0%  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.30%, 08/01/24

      2,764       2,772,764  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 03/29/25

      4,918       4,933,067  

GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 06/01/25

      2,216       2,195,139  

Xella International GmbH, 2017 EUR Term Loan B, (EURIBOR + 4.00%), 4.00%, 04/11/24

    EUR       1,000       1,152,671  
     

 

 

 
    11,053,641  
Containers & Packaging — 1.4%  

Berry Global, Inc., Term Loan Q, (3 mo. LIBOR + 2.00%), 4.19%, 10/01/22

    USD       4,180       4,180,704  

BWAY Holding Co., 2017 Term Loan B, (PRIME + 2.25%), 5.58%, 04/03/24

      1,781       1,773,369  

Flex Acquisition Co., Inc., 2018 Incremental Term Loan, (3 mo. LIBOR + 3.25%), 5.75%, 06/29/25

      1,848       1,845,690  
     

 

 

 
    7,799,763  
Distributors — 1.0%  

American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 10/31/23

      2,931       2,916,457  
Security   Par
(000)
    Value  
Distributors (continued)  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 08/28/24

    USD       2,456     $ 2,451,683  
     

 

 

 
    5,368,140  
Diversified Consumer Services — 4.3%  

AI Aqua Merger Sub, Inc., 2017 Incremental Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/13/23(a)

      2,079       2,063,693  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 07/12/24

      1,156       1,153,372  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (PRIME + 0.75%), 3.83%, 11/07/23

      2,918       2,915,505  

CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 03/31/25(a)

      695       692,394  

Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.32%, 05/20/24

      2,223       2,221,954  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.94%, 07/12/25(a)

      1,402       1,405,505  

J.D. Power and Associates, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 09/07/23

      1,396       1,404,199  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.31%, 05/15/24

      1,689       1,679,687  

Serta Simmons Bedding LLC, :

     

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor) 5.58%, 11/08/23

      2,783       2,381,541  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor) 10.07%, 11/08/24

      944       650,927  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 11/08/23

      962       961,960  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 11/14/22

      1,162       1,164,310  

Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 04/04/25

      1,300       1,308,125  

Wand Intermediate I LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 09/17/21

      1,365       1,364,576  

Weight Watchers International, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.75%), 7.09%, 11/29/24

      2,765       2,794,180  
     

 

 

 
    24,161,928  
Diversified Financial Services — 2.0%  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 04/04/24

      3,577       3,586,977  

CRCI Holdings Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.58%, 07/31/25

      733       734,224  

CVS Holdings I LP, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 02/06/25

      267       266,125  

Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.59%, 07/21/25

      785       788,682  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25

      1,672       1,671,408  

Global Business Travel Holdings Limited, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 07/20/25

      425       426,594  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 07/03/24

      1,649       1,658,435  

Oryx Southern Delaware Holdings LLC, Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 02/09/25

      1,207       1,180,820  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.59%, 07/30/25(a)

      732       739,686  
     

 

 

 
    11,052,951  
 

 

 

14    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Diversified Telecommunication Services — 5.7%  

CenturyLink, Inc.:

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.83%, 11/01/22

    USD       1,073     $ 1,070,355  

2017 Term Loan B, 01/31/25(k)

      7,284       7,196,699  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 10/04/23

      415       408,295  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 4.83%, 03/31/21

      2,626       2,547,523  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 05/16/24

      1,500       1,503,600  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 02/22/24

      2,862       2,864,750  

MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 11/15/24

      1,926       1,933,986  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.63%, 02/02/24

      2,869       2,868,688  

TDC A/S:

     

Term Loan, (EURIBOR + 3.50%), 3.50%, 05/31/25

    EUR       1,000       1,163,141  

USD Term Loan, (3 mo. LIBOR + 3.50%), 5.84%, 05/31/25

    USD       1,620       1,632,150  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.31%, 08/15/26

      4,305       4,249,982  

Telesat Canada, Term Loan B4, (3 mo. LIBOR + 2.50%), 4.84%, 11/17/23

      816       816,590  

Virgin Media Investment Holdings Ltd., Term Loan L, (1 mo. GBP LIBOR + 3.25%), 3.97%, 01/15/27

    GBP       1,000       1,284,069  

Zayo Group LLC:

     

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 01/19/24

    USD       290       290,957  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.08%, 01/19/21

      2,071       2,072,474  
     

 

 

 
    31,903,259  
Electric Utilities — 1.1%  

Dayton Power & Light Co. (The), Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/24/22

      516       515,417  

TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/04/23

      2,031       2,026,715  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18(a)(k)

      1,710        

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 12/31/25

      3,135       3,127,163  

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 12/14/23

      367       366,645  
     

 

 

 
    6,035,940  
Electrical Equipment — 1.1%  

EXC Holdings III Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 12/02/24

      915       923,410  

Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 04/01/24

      3,976       3,993,891  

MLN US HoldCo LLC, 2018 1st Lien Term Loan, 07/11/25(k)

      1,038       1,041,892  
     

 

 

 
    5,959,193  
Security   Par
(000)
    Value  
Energy Equipment & Services — 1.3%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.08%, 03/01/24

    USD       2,550     $ 2,463,938  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor),
5.58%, 02/12/25(a)

      1,820       1,829,100  

Ocean Rig UDW, Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24

      102       107,101  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor),
9.82%, 11/08/22(a)

      845       861,900  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 8.33%, 02/21/21

      622       579,990  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 1.43%), 3.51%, 07/13/20

      1,198       1,181,218  
     

 

 

 
    7,023,247  
Equity Real Estate Investment Trusts (REITs) — 2.8%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 03/24/24

      762       762,057  

DTZ U.S. Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.32%, 08/21/25

      2,719       2,708,804  

Iron Mountain, Inc., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 01/02/26

      845       832,857  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 03/21/25

      4,621       4,618,233  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.34%, 05/11/24

      1,353       1,350,507  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.07%, 12/20/24

      5,382       5,377,450  
     

 

 

 
    15,649,908  
Food & Staples Retailing — 1.0%  

Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.83%, 08/25/21

      843       840,834  

Hearthside Food Solutions LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.06%, 05/23/25

      586       580,506  

Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 08/03/22

      2,431       2,422,276  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 06/27/23

      1,606       1,603,001  
     

 

 

 
    5,446,617  
Food Products — 2.4%  

CFSP Acquisition Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.07%, 03/20/25

      541       535,438  

Chobani LLC, 2017 Term Loan B, 10/10/23(k)

      3,285       3,115,380  

Dole Food Co., Inc., 2017 Term Loan B, (PRIME + 1.75%), 4.82%, 04/06/24

      1,033       1,031,206  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.83%, 10/30/22

      5,041       5,035,877  

Pinnacle Foods Finance LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 02/02/24

      1,110       1,109,909  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.83%, 02/05/23

      2,757       2,765,377  
     

 

 

 
    13,593,187  
Gas Utilities — 0.3%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.84%, 07/31/25

      1,435       1,444,371  
     

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      15  


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health Care Equipment & Supplies — 3.4%  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/14/24

    USD       1,831     $ 1,839,954  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 06/08/20

      6,591       6,586,574  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00%, 1.00% Floor), 7.17%, 06/15/21

      3,562       3,601,172  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.20%, 09/24/24

      1,455       1,441,897  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.32%, 06/30/25

      5,393       5,390,018  
     

 

 

 
    18,859,615  
Health Care Providers & Services — 6.8%  

Acadia Healthcare Co., Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 02/11/22

      442       443,854  

2018 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.58%, 02/16/23

      2,056       2,065,264  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 06/30/25

      828       833,175  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/17/22(a)

      2,407       2,425,398  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.34%, 06/07/23

      3,487       3,493,633  

Concentra Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.84%, 06/01/22(a)

      1,895       1,902,106  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 06/24/21

      826       828,907  

DentalCorp Perfect Smile ULC:

     

Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83% 06/06/25

      217       35,919  

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 06/06/25

      869       871,810  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 12/20/24

      1,004       1,004,460  

DuPage Medical Group Ltd.:

     

2018 Term Loan, (1 mo. LIBOR + 2.75%), 4.81%, 08/15/24

      853       839,868  

2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.08%, 08/15/25

      395       395,000  

Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 12/01/23

      3,159       3,154,890  

Explorer Holdings, Inc., 2016 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.08%, 05/02/23

      1,069       1,074,436  

Gentiva Health Services, Inc.(a):

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.13%, 07/02/25

      1,092       1,098,660  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.38%, 07/02/26

      267       271,048  

HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.83%, 04/07/22

      1,412       1,417,315  

HCA, Inc.:

     

2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.08%, 03/13/25

      1,367       1,373,408  

Term Loan B11, (1 mo. LIBOR + 1.75%), 3.83%, 03/18/23

      1,806       1,813,059  
Security   Par
(000)
    Value  
Health Care Providers & Services (continued)  

Lifescan Global Corp., 2018 1st Lien Term Loan, 09/27/24(a)(k)

    USD       361     $ 350,170  

MPH Acquisition Holdings LLC, 2016 Term Loan B, 06/07/23(k)

      3,183       3,180,439  

National Mentor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 5.33%, 01/31/21

      478       479,148  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 10/20/22

      1,791       1,792,157  

NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/02/25

      1,827       1,818,949  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/06/24

      1,905       1,817,858  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/13/23

      613       612,663  

WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 06/07/24

      1,053       1,049,314  

Zotec Partners LLC, 2018 Term Loan,
(1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%, 02/14/24(a)

      1,232       1,230,710  
     

 

 

 
    37,673,618  
Health Care Services — 0.4%  

Ivory Merger Sub, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.84%, 03/07/25

      1,451       1,439,577  

Sound Inpatient Physicians:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 06/27/25

      704       705,176  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 8.83%, 06/26/26

      382       382,478  
     

 

 

 
    2,527,231  
Health Care Technology — 0.9%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 03/01/24

      2,476       2,476,415  

Press Ganey Holdings, Inc., :

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor) 4.83%, 10/23/23

      1,917       1,919,993  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor) 8.58%, 10/21/24(a)

      222       224,698  

Quintiles IMS, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 03/07/24

      499       500,169  
     

 

 

 
    5,121,275  
Hotels, Restaurants & Leisure — 8.2%  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.10%, 10/19/24

      1,382       1,377,630  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.21%, 09/15/23

      1,846       1,854,326  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 3.50%), 5.57%, 08/14/23

      705       708,241  

Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 02/16/24

      5,572       5,569,055  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 12/22/24

      4,432       4,444,183  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 08/08/21

      1,164       1,168,509  

CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 02/14/21

      578       542,773  
 

 

 

16    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/30/23

    USD       3,040     $ 3,034,327  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.08%, 11/30/23

      222       221,428  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.47%, 12/01/23

      150       150,609  

GVC Holdings PLC:

     

2018 EUR Term Loan, (EURIBOR + 2.75%), 2.75%, 03/29/24

    EUR       991       1,144,307  

2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 03/29/24

    USD       943       942,345  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 1.75%), 3.81%, 10/25/23

      1,562       1,566,769  

IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.32%, 02/05/25

      1,598       1,604,904  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 04/03/25

      1,430       1,427,577  

Lakeland Tours LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.34%, 12/15/24

      1,055       1,059,901  

Marriott Ownership Resorts, Inc., 2018 Term Loan B, 08/29/25(k)

      1,225       1,226,531  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 08/14/25(k)

      605       605,756  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 04/29/24

      1,439       1,426,954  

Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 02/22/24

      2,546       2,548,339  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.83%, 08/14/24

      3,886       3,874,389  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25

      6,420       6,467,701  

Tackle S.A.R.L, 2017 EUR Term Loan, 08/08/22(k)

    EUR       1,000       1,157,604  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 05/30/25

    USD       1,585       1,586,585  
     

 

 

 
    45,710,743  
Household Products — 1.1%  

Energizer Holdings, Inc., 2018 Term Loan B, 06/20/25(k)

      709       712,545  

Mastronardi Produce Ltd., Term Loan B, (3 mo. LIBOR + 3.25%), 5.33%, 05/01/25(a)

      590       592,950  

SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.31%, 06/15/25

      880       881,100  

Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.35%, 06/23/22

      3,806       3,806,937  
     

 

 

 
    5,993,532  
Independent Power and Renewable Electricity Producers — 2.5%  

AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.07%, 05/31/22

      1,057       1,055,331  

Aria Energy Operating LLC, Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 05/27/22(a)

      1,095       1,098,017  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 01/15/25

      1,253       1,254,305  

Calpine Corp., Term Loan B6, (3 mo. LIBOR + 2.50%), 4.84%, 01/15/23

      1,828       1,830,596  
Security   Par
(000)
    Value  
Independent Power and Renewable Electricity Producers (continued)  

Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/20/24

    USD       1,176     $ 1,179,415  

EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 05/03/25

      470       473,525  

Granite Acquisition, Inc.:

     

Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.84%, 12/19/21

      3,187       3,205,977  

Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 12/19/21

      543       546,612  

Kestrel Acquisition LLC/Hunterstown Generation Facility, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 06/02/25

      1,225       1,234,187  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 05/16/24

      841       842,267  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 12/09/21(a)

      1,284       1,136,010  
     

 

 

 
    13,856,242  
Industrial Conglomerates — 1.0%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.31%, 11/30/23

      4,056       4,050,482  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.19%, 11/28/21(a)

      1,549       1,518,521  
     

 

 

 
    5,569,003  
Insurance — 3.0%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.07%, 05/09/25

      2,989       2,987,798  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 01/25/24

      2,652       2,655,115  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 10/22/24

      1,107       1,106,099  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 12/02/24

      1,842       1,836,220  

Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.16%, 04/25/25

      1,618       1,615,880  

Sedgwick Claims Management Services, Inc., :

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor) 7.83%, 03/01/21

      2,883       2,875,514  

2nd Lien Term Loan, (1 mo. LIBOR + 5.75%, 1.00% Floor) 7.88%, 02/28/22

      2,540       2,546,350  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 06/22/23

      827       831,308  
     

 

 

 
    16,454,284  
Internet & Direct Marketing Retail — 0.3%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 08/18/23

      1,451       1,448,523  
     

 

 

 
Internet Software & Services — 2.0%  

Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 02/15/24

      3,739       3,748,431  

GTT Communications, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83 05/31/25

      291       285,074  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 05/01/24

      1,030       1,032,606  

Intralinks, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 6.08%, 11/11/24

      1,110       1,114,373  
 

 

 

SCHEDULES OF INVESTMENTS      17  


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Internet Software & Services (continued)  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 5.18%, 11/03/23

    USD       3,301     $ 3,277,978  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 05/06/24

      1,547       1,528,124  
     

 

 

 
    10,986,586  
IT Services — 6.9%  

Access CIG LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 02/27/25

      527       528,296  

2018 2nd Lien Incremental Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 02/27/26

      17       17,035  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 02/27/26

      227       227,217  

2018 Incremental Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 02/27/25

      74       74,046  

Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 4.57%, 03/20/25

      678       675,926  

Blackhawk Network Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.18%, 06/15/25

      1,654       1,658,800  

First Data Corp.:

     

2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.07%, 04/26/24

      11,144       11,124,708  

Term Loan A, (1 mo. LIBOR + 1.75%), 3.82%, 06/02/20

      603       602,415  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 08/01/24

      1,360       1,331,851  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 12/01/23

      2,240       2,243,415  

Learning Care Group, Inc., 2018 1st Lien Term Loan, 03/13/25(k)

      282       281,903  

Optiv Security, Inc., :

     

1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor) 5.31%, 02/01/24

      3,349       3,240,295  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor) 9.31%, 02/01/25

      782       753,231  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.59%, 08/01/25

      1,620       1,587,600  

TKC Holdings, Inc., :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor) 5.83%, 02/01/23

      2,301       2,299,254  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor) 10.08%, 02/01/24

      1,603       1,597,854  

Trans Union LLC:

     

2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.08%, 06/19/25

      18       18,056  

Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 04/10/23

      5,138       5,147,563  

Vantiv LLC, 2018 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 3.81%, 10/14/23

      1,012       1,012,224  

WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 06/30/23

      3,913       3,919,634  
     

 

 

 
    38,341,323  
Leisure Products — 0.2%  

MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 06/19/24(a)

      1,026       1,032,354  
     

 

 

 
Security   Par
(000)
    Value  
Life Sciences Tools & Services — 0.2%  

Albany Molecular Research, Inc., :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor) , 5.33%, 08/30/24

    USD       558     $ 557,513  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.08%, 08/30/25

      395       394,755  
     

 

 

 
    952,268  
Machinery — 2.3%  

Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/18/24

      887       886,311  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.83%, 01/31/24(a)

      188       188,442  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 07/30/24

      2,521       2,527,279  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 08/05/24

      1,627       1,630,464  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 05/27/22

      1,949       1,953,982  

Rexnord LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.06%, 08/21/24

      1,077       1,079,977  

Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 2.50%), 5.58%, 05/01/24

      1,944       1,948,523  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 03/28/25

      2,572       2,434,034  
     

 

 

 
    12,649,012  
Media — 10.9%  

Altice Financing SA:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.81%, 01/31/26

      717       691,343  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.81%, 07/15/25

      244       236,290  

Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 6.07%, 08/14/26

      4,561       4,433,110  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 07/28/25

      2,970       2,963,909  

Charter Communications Operating LLC:

     

2017 Term Loan A2, (1 mo. LIBOR + 1.50%), 3.58%, 03/31/23

      2,796       2,793,364  

2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/30/25

      4,959       4,959,370  

CSC Holdings LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.31%, 07/17/25

      3,955       3,937,450  

2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.56%, 01/25/26

      1,691       1,691,185  

Getty Images, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 10/18/19

      408       397,022  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 02/07/24

      607       607,788  

Hubbard Radio LLC, 2015 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 03/28/25

      229       228,562  

iHeartCommunications, Inc.(b)(i):

     

Extended Term Loan E, (3 mo. LIBOR + 7.50%), 9.19%, 07/30/19

      515       382,872  

Term Loan D, (3 mo. LIBOR + 6.75%), 8.44%, 01/30/19

      4,071       3,029,301  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.56%, 01/02/24

      1,828       1,915,233  

Learfield Communications LLC:

     

2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/01/23(a)

      1,887       1,901,467  

2017 1st Lien Term Loan, 12/01/23(a)(k)

      624       628,117  
 

 

 

18    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Media (continued)  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.31%, 03/24/25

    USD       1,219     $ 1,217,476  

Live Nation Entertainment, Inc., Term Loan B3, (1 mo. LIBOR + 1.75%), 3.88%, 10/31/23

      477       476,395  

MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 3.71%, 02/15/24

      1,078       1,073,390  

Meredith Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 01/31/25

      1,173       1,175,324  

MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 09/13/24

      841       843,917  

Mission Broadcasting, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.50%), 4.58%, 01/17/24

      167       167,567  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.50%), 4.58%, 01/17/24

      1,227       1,231,366  

Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.69%), 5.75%, 01/31/26

      541       519,049  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.42%, 03/01/25

      1,032       1,021,482  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 02/01/24

      1,358       1,349,326  

Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 01/03/24

      193       193,082  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.06%, 09/28/23

      3,031       3,032,942  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.08%, 01/27/24

      3,696       3,702,832  

Unitymedia Finance LLC:

     

Term Loan B, (1 mo. LIBOR + 2.25%), 4.31%, 09/30/25

      1,680       1,676,018  

USD Term Loan D, 01/15/26(k)

      360       359,150  

Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%), 4.06%, 06/01/23

      981       979,130  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 03/15/24

      1,189       1,140,738  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.56%, 01/15/26

      4,453       4,449,972  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.83%, 05/18/25

      2,510       2,495,832  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.56%, 04/15/25

      2,682       2,635,270  
     

 

 

 
    60,536,641  
Metals & Mining — 0.4%  

AMG Advanced Metallurgical Group N.V., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 01/29/25

      1,214       1,212,383  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%), 6.58%, 07/24/25

      718       724,283  

Preferred Proppants LLC, Term Loan B2, (3 mo. LIBOR + 7.75%), 10.08%, 07/27/20(a)

      220       197,721  
     

 

 

 
    2,134,387  
Multiline Retail — 0.7%  

Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.13%, 08/04/24

      977       979,450  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.31%, 09/30/22

      2,208       2,115,176  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 10/25/20

      1,214       1,125,050  
     

 

 

 
    4,219,676  
Security   Par
(000)
    Value  
Oil & Gas Equipment & Services — 0.2%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%, 05/10/25

    USD       1,327     $ 1,339,729  
     

 

 

 
Oil, Gas & Consumable Fuels — 4.3%  

BCP Raptor LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 06/24/24

      2,853       2,759,880  

Brazos Delaware II LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 6.08%, 05/21/25

      1,180       1,168,566  

California Resources Corp., :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor) 6.82%, 12/31/22

      2,434       2,467,279  

Second Out Term Loan, (1 mo. LIBOR + 10.38%, 1.00% Floor) 12.44%, 12/31/21

      2,168       2,397,338  

Chesapeake Energy Corp., Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.58%, 08/23/21

      2,705       2,820,949  

CONSOL Energy, Inc.:

     

1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.33%, 11/26/21(a)

      280       282,352  

1st Lien Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.08%, 11/28/22

      2,138       2,189,650  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.27%, 02/07/25

      803       802,650  

EWT Holdings III Corp., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 12/20/24

      830       830,350  

GIP III Stetson I LP, 2018 Term Loan B,
07/19/25(k)

      923       929,350  

Keane Group Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.88%, 05/25/25(a)

      1,144       1,138,096  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 02/17/25

      1,237       1,216,800  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 10/30/24

      1,568       1,551,780  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.57%, 12/31/23

      430       429,986  

Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.88%, 1.00% Floor), 8.95%, 12/12/21(a)

      1,205       1,205,000  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%, 01/17/25

      1,496       1,484,101  
     

 

 

 
    23,674,127  
Personal Products — 1.1%  

Clover Merger Sub, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 09/26/24

      3,826       3,630,001  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 09/26/25

      1,750       1,553,125  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.08%, 01/26/24

      1,012       1,009,823  
     

 

 

 
    6,192,949  
Pharmaceuticals — 3.8%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.88%, 04/16/21

      1,284       1,241,890  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 05/04/25

      3,474       3,495,911  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.38%, 04/29/24

      2,158       2,168,452  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.21%, 01/31/25

      4,051       4,067,228  
 

 

 

SCHEDULES OF INVESTMENTS      19  


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Pharmaceuticals (continued)  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 08/18/22

    USD       3,872     $ 3,868,448  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 06/01/25

      6,055       6,074,130  
     

 

 

 
    20,916,059  
Professional Services — 1.2%  

Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 09/27/24

      2,442       2,437,792  

Information Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.57%, 01/18/24

      775       778,738  

ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/02/25

      1,173       1,173,437  

PricewaterhouseCoopers LLP, 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 05/01/25(a)

      950       952,375  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 5.50%), 7.81%, 07/20/25

      1,140       1,137,150  

Sterling Infosystems, Inc., 1st Lien Term Loan, 06/19/24(k)

      325       322,358  
     

 

 

 
    6,801,850  
Real Estate Management & Development — 1.4%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 04/18/24

      4,299       4,296,615  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 02/08/25

      2,369       2,373,028  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 01/23/25

      1,210       1,212,101  
     

 

 

 
    7,881,744  
Road & Rail — 0.2%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/13/23

      1,223       1,221,170  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.8%  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.56%, 05/12/24(a)

      280       280,259  

Microchip Technology Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 05/29/25

      2,710       2,704,932  

ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 03/31/23

      508       508,676  

Versum Materials, Inc., Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 09/29/23

      939       939,751  
     

 

 

 
    4,433,618  
Software — 14.5%  

Almonde, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/13/24

      1,887       1,876,854  

Applied Systems, Inc., :

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor) 5.33%, 09/19/24

      2,073       2,079,626  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor) 9.33%, 09/19/25

      491       503,257  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.59%, 12/20/22

      1,091       1,093,534  

Barracuda Networks, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.31%, 02/12/25

      968       967,575  

BMC Software Finance, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 09/10/22

      1,221       1,221,472  

2018 USD Term Loan B, 09/01/25(k)

      4,464       4,464,952  
Security   Par
(000)
    Value  
Software (continued)  

Cypress Intermediate Holdings III, Inc., :

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor) 5.08%, 04/27/24

    USD       911     $ 909,788  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor) 8.83%, 04/27/25

      814       818,477  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.08%, 09/07/23

      2,489       2,488,127  

Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 5.57%, 05/28/24

      1,657       1,546,711  

DTI Holdco, Inc., 2018 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.95%, 09/30/23

      1,438       1,433,278  

Flexera Software LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 02/26/25

      613       613,616  

Help/Systems Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 03/28/25

      1,190       1,187,025  

Hyland Software, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 07/01/22

      1,523       1,531,188  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.08%, 07/07/25

      675       682,384  

Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/01/22

      3,620       3,622,374  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 08/05/22

      2,838       2,850,813  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.34%, 04/01/21

      1,280       1,132,963  

Kronos, Inc.:

     

2017 Term Loan B, (3 mo. LIBOR + 3.00%), 5.16%, 11/01/23

      4,553       4,561,682  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.59%, 11/01/24

      1,695       1,730,307  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 06/21/24(a)

      158       157,790  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.57%, 09/30/24

      2,876       2,899,176  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 11/29/24

      4,276       4,264,060  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.33%, 12/01/25

      1,275       1,273,725  

PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.33%, 08/01/25

      1,009       1,005,216  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 04/26/24

      2,019       2,018,253  

Project Leopard Holdings, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 07/07/23(a)

      863       866,724  

Renaissance Learning, Inc., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 5.58%, 05/30/25

      705       702,356  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 02/05/24

      4,527       4,540,696  

Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 03/03/23

      3,962       3,957,240  

SonicWALL, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.82%, 05/16/25(a)

      570       568,575  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 09/30/22

      4,423       4,432,552  

SS&C Technologies Holdings Europe 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.33%, 04/16/25

      1,940       1,940,741  
 

 

 

20    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Software (continued)  

SS&C Technologies, Inc.:

     

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.33%, 07/08/22

    USD       3,044     $ 3,048,398  

2018 Term Loan B3, 04/16/25(k)

      4,986       4,988,186  

2018 Term Loan B5, 04/16/25(k)

      742       742,156  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 05/01/24

      3,297       3,302,601  

Tibco Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/04/20

      2,396       2,401,424  
     

 

 

 
    80,425,872  
Specialty Retail — 2.1%  

Academy Ltd., 2015 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 07/01/22

      1,377       1,130,928  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 11/07/24

      2,441       2,447,862  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (1 mo. GBP LIBOR + 4.50%), 5.25%, 06/23/25

    GBP       1,000       1,286,079  

Leslie’s Poolmart, Inc., 2016 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 5.70%, 08/16/23

    USD       1,235       1,234,535  

Michaels Stores, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.56%, 01/28/23

      732       728,342  

National Vision, Inc., 2017 Repriced Term Loan, (1 mo. LIBOR + 2.75%), 4.83%, 11/20/24

      389       389,998  

Party City Holdings, Inc., 2018 Term Loan B, (PRIME + 1.75%), 4.83%, 08/19/22

      594       596,454  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 01/26/23

      837       610,649  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.86%, 12/20/24(a)

      1,259       1,261,822  

Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.34%, 09/12/24

      844       840,822  

TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.07%, 04/13/23

      1,131       1,136,256  
     

 

 

 
    11,663,747  
Technology Hardware, Storage & Peripherals — 0.9%  

Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 06/21/24(a)

      1,068       1,065,595  

Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.82%, 04/29/23

      4,093       4,090,237  
     

 

 

 
    5,155,832  
Textiles, Apparel & Luxury Goods — 0.5%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.58%, 08/12/22

      2,385       2,390,968  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/15/24

      532       532,612  
     

 

 

 
    2,923,580  
Thrifts & Mortgage Finance — 0.6%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 05/23/25

      3,214       3,224,441  
     

 

 

 
Trading Companies & Distributors — 1.5%        

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 01/02/25

      3,405       3,385,332  

HD Supply, Inc., Term Loan B3, (3 mo. LIBOR + 2.25%), 4.32%, 08/13/21

      2,347       2,357,529  
Security   Par
(000)
    Value  
Trading Companies & Distributors (continued)        

LSF9 Cypress Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.31%, 08/13/25

    USD       1,265     $ 1,266,581  

Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 5.58%, 06/09/23

      245       246,182  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 5.83%, 01/04/23

      280       281,676  

Pro Mach Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.07%, 03/07/25

      758       752,892  
     

 

 

 
    8,290,192  
Transportation — 0.6%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 8.08%, 06/15/23(a)

      700       700,000  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.83%, 08/18/22

      782       784,946  

Safe Fleet Holdings LLC,:

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor) 5.09%, 02/01/25

      1,302       1,290,347  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor) 8.84%, 02/01/26

      560       556,735  
     

 

 

 
    3,332,028  
Utilities — 0.1%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.32%, 11/28/24(a)

      726       727,532  
     

 

 

 
Wireless Telecommunication Services — 2.4%  

Geo Group, Inc. (The), 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 03/22/24

      2,007       1,997,474  

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 12/07/20(j)

      6,872       5,578,635  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/11/25

      4,370       4,353,951  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 09/09/21(a)

      1,337       1,342,295  
     

 

 

 
    13,272,355  
 

 

 

 

Total Floating Rate Loan Interests — 136.1%
(Cost — $760,040,506)

 

    755,920,119  
 

 

 

 
            Beneficial
Interest

(000)
        

Other Interests(l) — 0.0%

 

IT Services — 0.0%  

Millennium Corp.(a)(b)

      1,607        

Millennium Lender Claims(a)(b)

      1,508        
     

 

 

 

Total Other Interests — 0.0%
(Cost — $—)

 

     
 

 

 

 
       Shares         

Trust Preferred — 0.3%

 

Diversified Financial Services — 0.3%  

GMAC Capital Trust I, Series 2 (3 mo. LIBOR US + 8.10%), 7.62, 02/15/40(m)

      60,894       1,631,959  
     

 

 

 

Total Trust Preferreds — 0.3%
(Cost — $1,606,167)

 

    1,631,959  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      21  


Schedule of Investments  (continued)

August 31, 2018

  

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

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Warrants — 0.0%

 

Software — 0.0%  

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)(a)

      2,406     $  
     

 

 

 

Total Warrants — 0.0%
(Cost — $24)

 

     
 

 

 

 

Total Long-Term Investments — 146.3%
(Cost — $818,950,326)

 

    812,412,555  
 

 

 

 

Short-Term Securities — 0.0%

 

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.85%(n)(o)

      155,382       155,382  
     

 

 

 

Total Short-Term Securities — 0.0%
(Cost — $155,382)

 

    155,382  
 

 

 

 

Options Purchased — 0.0%
(Cost — $43,022)

 

     

Total Investments — 146.3%
(Cost — $819,148,730)

 

    812,567,937  

Liabilities in Excess of Other Assets — (46.3)%

 

    (257,198,288
 

 

 

 

Net Assets Applicable to Common Shares — 100.0%

 

  $ 555,369,649  
 

 

 

 
(a) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) 

Non-income producing security.

(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) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(e) 

When-issued security.

(f) 

Variable rate security. Rate shown is the rate in effect as of period end.

(g) 

Zero-coupon bond.

(h)

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(i) 

Issuer filed for bankruptcy and/or is in default.

(j) 

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.

(k) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(l) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(m) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(n) 

Annualized 7-day yield as of period end.

 
(o) 

During the year ended August 31, 2018, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliate    Shares
Held at

08/31/17
     Shares
Purchased
     Shares
Sold
     Shares
Held at

08/31/18
     Value at
08/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized

Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     3,819,454               (3,664,072 )(b)       155,382      $ 155,382      $ 40,057      $ 8      $  

iShares iBoxx USD High Yield Corporate Bond ETF

            146,000        (146,000                    111,693        (67,998       
              

 

 

    

 

 

    

 

 

    

 

 

 
   $ 155,382      $ 151,750      $ (67,990    $  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents net shares sold.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
     Counterparty      Settlement Date        Unrealized
Appreciation

(Depreciation)
 
USD     1,168,154        EUR     995,000      State Street Bank and Trust Co.        09/06/18        $ 13,127  
USD     1,674,298        EUR     1,426,000      UBS AG        09/06/18          18,952  
USD     2,591,309        GBP     1,972,000      Toronto-Dominion Bank        09/06/18          34,616  
USD     3,407,695        EUR     2,922,000      Barclays Bank PLC        10/04/18          8,673  
USD     2,550,231        GBP     1,961,000      JPMorgan Chase Bank N.A.        10/04/18          4,901  
                     

 

 

 
                        80,269  
                     

 

 

 
EUR     995,000        USD     1,156,292      Bank of America N.A.        09/06/18          (1,265
EUR     2,922,000        USD     3,400,624      Barclays Bank PLC        09/06/18          (8,675
GBP     1,961,000        USD     2,547,339      JPMorgan Chase Bank N.A.        09/06/18          (4,908
USD     1,152,477        EUR     995,000      Goldman Sachs International        09/06/18          (2,550
USD     574,068        EUR     502,000      Northern Trust Co.        09/06/18          (8,669
                     

 

 

 
                        (26,067
                     

 

 

 
                    $ 54,202  
                   

 

 

 

 

 

22    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

 

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
    

Exercise
Price

     Notional
Amount
(000)
     Value  

Call

 

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.      44        12/14/19        USD       942.86        USD            $  
                     

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of year end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

 

                 

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 80,269      $      $      $ 80,269  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Liabilities — Derivative Financial Instruments                                            

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 26,067      $      $      $ 26,067  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the year ended August 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Forward foreign currency exchange contracts

   $      $      $      $ 52,517      $      $      $ 52,517  

Options purchased(a)

                                 85,253               85,253  

Swaps

            (11,471                                  (11,471
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ (11,471    $      $ 52,517      $ 85,253      $      $ 126,299  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Forward foreign currency exchange contracts

   $      $      $      $ 2,366      $      $      $ 2,366  

Options purchased(b)

                                 65,446               65,446  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $ 2,366      $ 65,446      $      $ 67,812  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 
  (b) 

Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 6,197,610  

Average amounts sold — in USD

   $ 2,987,651  

Options:

 

Average notional value of swaption contracts purchased

   $ 11,828,597  

Credit default swaps:

 

Average notional amount — buy protection

   $ 1,263,000  

Average notional amount — sell protection

   $ 1,369,500  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

SCHEDULES OF INVESTMENTS      23  


Schedule of Investments  (continued)

August 31, 2018

  

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

 

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Forward foreign currency exchange contracts

   $ 80,269        $ 26,067  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

   $ 80,269        $ 26,067  

Derivatives not subject to an Master Netting Agreement or similar agreement (“MNA”)

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 80,269        $ 26,067  
  

 

 

      

 

 

 

The following table presents the Fund’s derivative assets (and liabilities) by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:

 

Counterparty    Derivative
Assets

Subject to
an MNA by
Counterparty
       Derivatives
Available for

Offset (a)
       Non-cash
Collateral

Received
       Cash
Collateral

Received
       Net Amount
of Derivative

Assets  (b)
 

Barclays Bank PLC

   $ 8,673        $ (8,673      $        $        $  

JPMorgan Chase Bank N.A.

     4,901          (4,901                           

State Street Bank and Trust Co.

     13,127                                     13,127  

Toronto-Dominion Bank

     34,616                                     34,616  

UBS AG

     18,952                                     18,952  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 80,269        $ (13,574      $        $        $ 66,695  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available for
Offset
 (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
       Net Amount
of Derivative
Liabilities
 (c)
 

Bank of America N.A.

   $ 1,265        $        $        $        $ 1,265  

Barclays Bank PLC

     8,675          (8,673                          2  

Goldman Sachs International

     2,550                                     2,550  

JPMorgan Chase Bank N.A.

     4,908          (4,901                          7  

Northern Trust Co.

     8,669                                     8,669  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 26,067        $ (13,574      $        $        $ 12,493  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

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

 
  (c) 

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

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments. For information about the Fund’s policy regarding valuation of investments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s investments categorized in the disclosure hierarchy:

 

      Level 1        Level 2        Level 3        Total  

Assets:

 

Investments:

 

Long-Term Investments:

 

Asset-Backed Securities

   $        $ 23,040,999        $ 2,698,550        $ 25,739,549  

Common Stocks(a)

     206,411          149          2,048,238          2,254,798  

Corporate Bonds

              23,973,694          2,892,436          26,866,130  

Floating Rate Loan Interests

              719,170,574          36,749,545          755,920,119  

Trust Preferred

     1,631,959                            1,631,959  

Short-Term Securities

     155,382                            155,382  

Liabilities:

 

Investments:

 

Unfunded Floating Rate Loan Interests(b)

              (3,212                 (3,212
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,993,752        $ 766,182,204        $ 44,388,769        $ 812,564,725  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

24    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

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

 

      Level 1        Level 2        Level 3        Total  

Derivative Financial Instruments(c)

                 

Assets:

                 

Forward foreign currency contracts

   $        $ 80,269        $        $ 80,269  

Liabilities:

                 

Forward foreign currency contracts

              (26,067                 (26,067
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 54,202        $        $ 54,202  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (c) 

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 period end, bank borrowings payable of $233,000,000 is categorized as Level 2 within the disclosure hierarchy.

During the year ended August 31, 2018, 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 year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-
Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Rights     Warrants     Total  

Assets:

               

Opening balance, as of August 31, 2017

  $     $ 478,161     $ 2,513,176     $ 30,767,366     $ 3     $ 49,016     $ 168     $ 33,807,890  

Transfers into Level 3(a)

                      12,445,090                         12,445,090  

Transfers out of Level 3(b)

                      (12,802,806                       (12,802,806

Accrued discounts/premiums

                      111,746                         111,746  

Net realized gain (loss)

                874,494       (571,120     (61,488     30,810             272,696  

Net change in unrealized appreciation (depreciation)(c)(d)

          899,339       (620,944     561,527       61,485       (49,016     (168     852,223  

Purchases

    2,698,550       670,738       2,813,160       25,498,193                         31,680,641  

Sales

                (2,687,450     (19,260,451           (30,810           (21,978,711
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of August 31, 2018

  $ 2,698,550     $ 2,048,238     $ 2,892,436     $ 36,749,545     $     $     $     $ 44,388,769  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2018(d)

  $     $ 899,349     $ 113,370     $ 164,349     $     $     $ (168   $ 1,176,900  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

As of August 31, 2017 the Fund used observable inputs in determining the value of certain investments. As of August 31, 2018, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (b) 

As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2018, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (c) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (d) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.

 

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

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS      25  


Schedule of Investments

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security         

Shares

    Value  

Common Stocks — 0.4%

 

Chemicals — 0.0%  

LyondellBasell Industries NV, Class A

      37     $ 4,173  
     

 

 

 
Diversified Financial Services — 0.3%  

Kcad Holdings I Ltd.(a)(b)

      546,753,936       2,072,198  
     

 

 

 
Health Care Management Services — 0.0%  

New Millennium HoldCo, Inc.(b)

      8,511       85  
     

 

 

 
Hotels, Restaurants & Leisure — 0.0%  

Caesars Entertainment Corp.(b)

      8,330       84,966  
     

 

 

 
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC(a)(b)

      3,155        
     

 

 

 
Metals & Mining — 0.0%  

Ameriforge Group, Inc.

      801       46,458  
     

 

 

 
Utilities — 0.1%  

Texgen LLC(a)(b)

      7,331       263,916  
     

 

 

 

Total Common Stocks — 0.4%
(Cost — $6,481,691)

 

    2,471,796  
 

 

 

 
            Par
(000)
        

Asset-Backed Securities — 11.5%

 

Asset-Backed Securities — 11.4%  

AIMCO CLO, Series 2014-AA, Class DR, (3 mo. LIBOR US + 3.25%), 5.60%, 07/20/26(c)(d)

    USD       250       250,079  

Allegro CLO II Ltd., Series 2014-1A, Class CR, (3 mo. LIBOR US + 3.85%), 6.20%, 01/21/27(c)(d)

      1,000       1,000,065  

Allegro CLO II-S Ltd., Series 2014-1RA, Class C, 1.00%, 10/21/28(c)(e)(f)

      1,000       1,000,000  

ALM VI, Ltd., Series 2012-6A, Class BR3, 4.10%, 07/15/26(c)(e)

      1,000       986,261  

ALM XII, Ltd., Series 2015-12A, Class C1R2, 4.99%, 04/16/27(c)(e)

      1,000       992,111  

ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, 5.04%, 07/15/27(c)(e)

      270       268,079  

AmeriCredit Automobile Receivables, Series 2014-3, Class C, 2.58%, 09/08/20

      2,377       2,376,169  

AMMC CLO Ltd., Series 2014-15A, Class D, (3 mo. LIBOR US + 4.20%), 6.53%, 12/09/26(c)(d)

      2,000       2,013,270  

Anchorage Capital CLO Ltd.(c):

     

Series 2014-3RA, Class E, 7.84%, 01/28/31(e)

      850       837,239  

Series 2014-4RA, Class D, 4.94%, 01/28/31(e)

      250       246,192  

Series 2014-5RA, Class E, 7.74%, 01/15/30(e)

      860       862,885  

Series 2015-7A, Class DR, 5.04%, 10/15/27(e)

      1,000       995,824  

Series 2016-8A, Class ER, 8.09%, 07/28/28(e)

      1,000       997,801  

Series 2016-9A, Class D, (3 mo. LIBOR US + 4.00%), 6.34%, 01/15/29(d)

      350       352,393  

Ares XL CLO Ltd., Series 2016-40A, Class D, (3 mo. LIBOR US + 6.60%), 8.94%, 10/15/27(c)(d)

      500       504,242  

Battalion CLO XI Ltd., Series 2017-11A, Class E, 8.32%, 10/24/29(c)(e)

      325       326,780  

Benefit Street Partners CLO XII Ltd., Series 2017-12A, Class D, 8.75%, 10/15/30(c)(e)

      500       506,075  

BlueMountain CLO Ltd., Series 2012-2A, Class DR, (3 mo. LIBOR US + 4.15%),
6.47%, 11/20/28(c)(d)

      1,000       1,006,016  

Carlyle Global Market Strategies CLO Ltd., Series 2015-1A, Class CR, (3 mo. LIBOR US + 2.00%), 4.35%, 04/20/27(c)(d)

      600       600,518  
Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30(c)

    USD       545     $ 506,764  

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44(c)

      3,048       3,052,756  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, 4.87%, 04/18/31(c)(e)

      250       245,729  

Galaxy CLO Ltd., Series 2015-21A, 7.60%, 04/20/31(c)(e)

      500       485,751  

Highbridge Loan Management Ltd., Series 5A-2015, Class E, (3 mo. LIBOR US + 5.35%), 7.69%, 01/29/26(c)(d)

      1,000       1,001,245  

Lendmark Funding Trust, Series 2017-2A, Class A, 2.80%, 05/20/26(c)

      2,240       2,210,310  

Litigation Fee Residual Funding,
4.00%, 10/30/27(a)

      1,309       1,302,950  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.62%), 9.97%, 01/20/29(c)(d)

      500       506,493  

Madison Park Funding XI Ltd., Series 2013-11A, Class ER, 8.80%, 07/23/29(c)(e)

      250       250,867  

Madison Park Funding XIII Ltd., Series 2014-13A, Class ER, 8.09%, 04/19/30(c)(e)

      1,250       1,257,652  

Madison Park Funding XIV Ltd., Series 2014-14A, Class E, (3 mo. LIBOR US + 4.75%), 7.10%, 07/20/26(c)(d)

      1,000       1,003,062  

Madison Park Funding XV Ltd., Series 2014-15A, Class B1R, (3 mo. LIBOR US + 2.20%), 4.54%, 01/27/26(c)(d)

      1,500       1,501,910  

Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, 7.34%, 01/15/28(c)(e)

      1,250       1,250,906  

Oaktree CLO Ltd., Series 2015-1A, Class DR, 7.55%, 10/20/27(c)(e)

      500       498,551  

Octagon Investment Partners LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 8.65%, 07/20/30(c)(d)

      500       506,696  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 07/18/25(c)

      4,000       4,020,130  

OZLM IX Ltd., Series 2014-9A Class CR, (3 mo. LIBOR US + 3.55%), 5.90%, 01/20/27(c)(d)

      1,000       1,001,048  

OZLM VIII Ltd., Series 2014-8A(c)(d):

     

Class BR, (3 mo. LIBOR US + 2.25%), 4.59%, 10/17/26

      2,500       2,501,770  

Class CR, (3 mo. LIBOR US + 3.40%), 5.74%, 10/17/26

      500       500,510  

OZLM XII Ltd., Series 2015-12A, Class C, (3 mo. LIBOR US + 3.70%), 6.04%, 04/30/27(c)(d)

      1,000       999,947  

OZLM XIX Ltd., Series 2017-19A, Class D, 8.94%, 11/22/30(c)(e)

      500       511,499  

OZLM XV Ltd., Series 2016-15A, Class C, (3 mo. LIBOR US + 4.00%), 6.35%, 01/20/29(c)(d)

      1,000       1,007,571  

OZLM XXI, Series 2017-21A, Class D, 7.89%, 01/20/31(c)(e)

      500       496,363  

Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, 8.54%, 11/14/29(c)(e)

      1,750       1,766,376  

Regatta V Funding Ltd., Series 2014-1A, Class BR, (3 mo. LIBOR US + 2.30%),
4.64%, 10/25/26(c)(d)

      2,000       2,002,521  

Rockford Tower CLO Ltd.(c)(d):

     

Series 2017-1A, Class D, (3 mo. LIBOR US + 3.25%), 5.59%, 04/15/29

      250       250,991  

Series 2017-2A, Class D, (3 mo. LIBOR US + 3.45%), 5.79%, 10/15/29

      500       502,536  
 

 

 

26    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Asset-Backed Securities (continued)  

Santander Drive Auto Receivables Trust, Class D:

     

Series 2014-3, 2.65%, 08/17/20

    USD       2,691     $ 2,690,774  

Series 2014-4, 3.10%, 11/16/20

      4,446       4,453,301  

Shackleton CLO Ltd., Series 2013-3A, Class DR, 5.36%, 07/15/30(c)(e)

      500       499,408  

Sound Point CLO VII Ltd., Series 2014-3A, Class D, (3 mo. LIBOR US + 3.60%),
5.95%, 01/23/27(c)(d)

      2,000       2,003,691  

Sound Point CLO XIV Ltd., Series 2016-3A, Class E, (3 mo. LIBOR US + 6.65%),
9.00%, 01/23/29(c)(d)

      1,000       1,009,246  

Symphony CLO XV Ltd., Series 2014-15A, Class CR, (3 mo. LIBOR US + 2.20%),
4.54%, 10/17/26(c)(d)

      1,250       1,248,091  

Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%),
6.35%, 01/23/28(c)(d)

      1,000       1,010,728  

Thayer Park CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.10%), 8.45%, 04/20/29(c)(d)

      500       504,213  

THL Credit Wind River CLO Ltd., Series 2014-3A, Class E, (3 mo. LIBOR US + 5.60%), 7.95%, 01/22/27(c)(d)

      1,000       1,001,263  

TICP CLO VII Ltd., Series 2017-7A, Class E, (3 mo. LIBOR US + 6.51%), 8.85%, 07/15/29(c)(d)

      500       510,477  

Venture XXVI CLO Ltd., Series 2017-26A(c)(d):

     

Class D, (3 mo. LIBOR US + 4.25%), 6.60%, 01/20/29

      1,000       1,012,881  

Class E, (3 mo. LIBOR US + 6.80%), 9.15%, 01/20/29

      500       509,477  

Vibrant CLO IV Ltd., Series 2016-4A, Class D, (3 mo. LIBOR US + 4.50%), 6.85%, 07/20/28(c)(d)

      1,000       1,007,540  

Wellfleet CLO Ltd., Series 2017-3A, Class B, 4.29%, 01/17/31(c)(e)

      500       494,076  

World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 08/15/22

      3,000       3,003,251  

York CLO Ltd.(c):

     

Series 2015-1A, Class ER,
8.00%, 01/22/31(e)

      250       241,892  

Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 5.95%, 10/20/29(d)

      250       252,126  

Series 2016-2A, Class E, (3 mo. LIBOR US + 6.94%), 9.29%, 01/20/30(d)

      1,000       1,012,464  
     

 

 

 
    69,729,802  
Interest Only Asset-Backed Securities — 0.1%  

Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 03/30/30(a)(c)

      2,976       156,252  

Sterling Coofs Trust, Series 2004-1, Class A, 2.00%, 04/15/29(a)

      2,299       121,842  
     

 

 

 
    278,094  
 

 

 

 

Total Asset-Backed Securities — 11.5%
(Cost — $69,974,675)

 

    70,007,896  
 

 

 

 

Corporate Bonds — 61.3%

 

Aerospace — 0.0%  

Koninklijke KPN NV (5 year GBP Swap + 5.51%), 6.88%, 03/14/73(g)

    GBP       100       137,573  
     

 

 

 
Aerospace & Defense — 1.7%  

Arconic, Inc.:

     

5.87%, 02/23/22(h)

    USD       730       758,908  

5.13%, 10/01/24(h)

      742       745,339  

5.90%, 02/01/27

      155       156,953  
Security          Par
(000)
    Value  
Aerospace & Defense (continued)  

BBA US Holdings, Inc., 5.38%, 05/01/26(c)

    USD       271     $ 271,678  

Bombardier, Inc.(c):

     

7.75%, 03/15/20

      172       180,600  

8.75%, 12/01/21(h)

      823       905,300  

6.00%, 10/15/22

      19       19,048  

6.13%, 01/15/23(h)

      1,063       1,070,972  

7.50%, 12/01/24(h)

      861       905,126  

7.50%, 03/15/25(h)

      1,002       1,029,555  

7.45%, 05/01/34

      188       191,760  

EnPro Industries, Inc., 5.88%, 09/15/22

      111       113,081  

KLX, Inc., 5.88%, 12/01/22(c)(h)

      788       815,580  

Koppers, Inc., 6.00%, 02/15/25(c)

      225       226,125  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(c)

      298       307,685  

Moog, Inc., 5.25%, 12/01/22(c)

      270       273,713  

Pioneer Holdings LLC/Pioneer Finance Corp., 9.00%, 11/01/22(c)

      162       167,265  

TransDigm UK Holdings PLC, 6.88%, 05/15/26(c)

      600       615,642  

TransDigm, Inc.:

     

6.00%, 07/15/22(h)

      601       607,010  

6.50%, 07/15/24(h)

      178       180,893  

6.50%, 05/15/25

      299       304,232  

6.38%, 06/15/26(h)

      447       451,749  
     

 

 

 
    10,298,214  
Airlines — 1.8%  

Air Canada Pass-Through Trust, Series 2015-1, Class B, 3.88%, 09/15/24(c)(h)

      1,224       1,196,933  

American Airlines Pass-Through Trust:

     

Series 2013-2, Class A, 4.95%, 07/15/24(h)

      2,574       2,644,448  

Series 2013-2, Class B, 5.60%, 01/15/22(c)(h)

      351       357,698  

Series 2017-1, Class B, 4.95%, 08/15/26

      1,351       1,370,736  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 05/10/20

      239       238,405  

Latam Finance Ltd., 6.88%, 04/11/24(c)

      203       198,028  

United Airlines Pass-Through Trust:

     

Series 2014-2, Class B, 4.63%, 03/03/24(h)

      1,759       1,770,664  

Series 2015-1, Class A, 3.70%, 06/01/24

      2,430       2,417,170  

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 04/22/20

      315       316,114  

Virgin Australia Trust, Series 2013-1(c)(h):

     

Class A, 5.00%, 04/23/25

      281       286,178  

Class C, 7.13%, 10/23/18

      112       112,399  
     

 

 

 
    10,908,773  
Auto Components — 0.5%  

Adient Global Holdings Ltd., 3.50%, 08/15/24

    EUR       100       108,455  

Allison Transmission, Inc., 5.00%, 10/01/24(c)

    USD       28       27,580  

Aptiv PLC, 4.40%, 10/01/46

      240       219,076  

Federal-Mogul LLC/Federal-Mogul Financing Corp., 5.00%, 07/15/24

    EUR       149       183,233  

Fiat Chrysler Finance Europe, 4.75%, 07/15/22

      120       155,826  

GKN Holdings PLC, 3.38%, 05/12/32

    GBP       100       132,629  

Goodyear Dunlop Tires Europe BV, 3.75%, 12/15/23

    EUR       100       119,215  

Goodyear Tire & Rubber Co., 5.00%, 05/31/26

    USD       67       62,896  

HP Pelzer Holding GmbH, 4.13%, 04/01/24

    EUR       100       116,510  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

     

6.00%, 08/01/20

    USD       28       28,482  

6.25%, 02/01/22

      299       307,193  

6.75%, 02/01/24

      279       288,067  

6.38%, 12/15/25

      149       150,862  
 

 

 

SCHEDULES OF INVESTMENTS      27  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Auto Components (continued)  

IHO Verwaltungs GmbH(i):

     

(2.75% Cash or 3.50% PIK), 2.75%, 09/15/21

    EUR       100     $ 117,605  

(3.25% Cash or 4.00% PIK), 3.25%, 09/15/23

      100       118,961  

(3.75% Cash or 4.50% PIK), 3.75%, 09/15/26

      100       119,084  

(4.13% Cash or 4.88% PIK), 4.13%, 09/15/21(c)

    USD       200       199,000  

(4.50% Cash or 5.25% PIK), 4.50%, 09/15/23(c)

      200       194,000  

Tesla, Inc., 5.30%, 08/15/25(c)(h)

      496       429,040  

Volvo Car AB, 2.00%, 01/24/25

    EUR       100       114,901  
     

 

 

 
    3,192,615  
Automobiles — 0.4%  

General Motors Co., 3.50%, 10/02/18(h)

    USD       2,478       2,479,809  
     

 

 

 
Banks — 2.0%  

Allied Irish Banks PLC(5 year EUR Swap + 3.95%), 4.13%, 11/26/25(g)

    EUR       100       122,898  

Banco Espirito Santo SA(j):

     

4.75%, 01/15/19

      100       33,372  

4.00%, 01/21/19(b)

      100       34,242  

Banco Popolare, 2.75%, 07/27/20

      100       116,935  

Bank of Ireland(5 year EUR Swap + 3.55%), 4.25%, 06/11/24(g)

      100       118,924  

Bankia SA(5 year EUR Swap + 3.35%), 3.38%, 03/15/27(g)

      100       118,772  

Barclays PLC:

     

4.38%, 09/11/24(h)

    USD       580       562,921  

3.65%, 03/16/25(h)

      3,600       3,401,888  

5.20%, 05/12/26

      200       197,622  

CaixaBank SA(5 year EUR Swap + 3.35%), 3.50%, 02/15/27(g)

    EUR       100       121,832  

CIT Group, Inc.:

     

5.00%, 08/01/23(h)

    USD       582       591,458  

5.25%, 03/07/25

      127       129,143  

6.13%, 03/09/28

      98       102,410  

HSBC Holdings PLC, 4.38%, 11/23/26(h)

      395       392,081  

IKB Deutsche Industriebank AG, 4.00%, 01/31/28(e)

    EUR       100       115,654  

Intesa Sanpaolo SpA, 2.13%, 08/30/23

      100       115,623  

Inversiones Atlantida SA, 8.25%, 07/28/22(c)

    USD       370       377,400  

Nordea Bank AB, 4.50%, 03/26/20

    EUR       1,020       1,264,238  

Santander Holdings USA, Inc., 4.50%, 07/17/25(h)

    USD       1,750       1,747,619  

Santander UK Group Holdings PLC, 2.88%, 08/05/21(h)

      950       927,347  

Standard Chartered PLC, 3.89%, 03/15/24(c)(e)(h)

      1,500       1,476,442  
     

 

 

 
    12,068,821  
Beverages — 0.6%  

Anheuser-Busch InBev Finance, Inc., 3.30%, 02/01/23(h)

      3,000       2,977,838  

ARD Finance SA, (6.63% Cash or 7.38% PIK), 6.63%, 09/15/23(i)

    EUR       100       119,557  

BWAY Holding Co., 4.75%, 04/15/24

      100       119,076  

Central American Bottling Corp., 5.75%, 01/31/27(c)

    USD       176       174,240  

Crown European Holdings SA, 2.25%, 02/01/23(c)

    EUR       100       118,396  

OI European Group BV, 4.00%, 03/15/23(c)

    USD       246       233,393  
     

 

 

 
    3,742,500  
Biotechnology — 0.1%  

Illumina, Inc., 0.50%, 06/15/21(k)

      303       445,374  

Senvion Holding GmbH, 3.88%, 10/25/22

    EUR       100       101,438  
     

 

 

 
    546,812  
Building Materials — 0.1%  

American Woodmark Corp., 4.88%, 03/15/26(c)

    USD       97       93,362  
Security          Par
(000)
    Value  
Building Materials (continued)  

Titan Global Finance PLC, 3.50%, 06/17/21

    EUR       100     $ 121,281  
     

 

 

 
    214,643  
Building Products — 0.4%  

American Builders & Contractors Supply Co., Inc., 5.75%, 12/15/23(c)

    USD       184       189,060  

Beacon Escrow Corp., 4.88%, 11/01/25(c)

      215       198,337  

Building Materials Corp. of America, 6.00%, 10/15/25(c)(h)

      260       265,897  

CPG Merger Sub LLC, 8.00%, 10/01/21(c)(h)

      324       328,860  

Jeld-Wen, Inc.:

     

4.63%, 12/15/25(c)

      138       128,685  

4.88%, 12/15/27(c)

      19       17,717  

Masonite International Corp.(c):

     

5.63%, 03/15/23(h)

      464       474,440  

5.75%, 09/15/26

      160       161,600  

PGT Escrow Issuer, Inc., 6.75%, 08/01/26(c)

      107       109,776  

Standard Industries, Inc.(c):

     

5.50%, 02/15/23

      66       67,505  

5.38%, 11/15/24

      126       126,157  

USG Corp.(c):

     

5.50%, 03/01/25

      11       11,248  

4.88%, 06/01/27

      198       200,418  
     

 

 

 
    2,279,700  
Cable Television Services — 0.0%  

CB Escrow Corp., 8.00%, 10/15/25(c)

      146       129,575  
     

 

 

 
Capital Markets — 0.6%  

Blackstone CQP Holdco LP(c):

     

6.50%, 03/20/21

      2,040       2,045,819  

6.00%, 08/18/21

      332       328,744  

Lions Gate Capital Holdings LLC,
5.88%, 11/01/24(c)

      85       87,656  

Morgan Stanley, 4.00%, 07/23/25(h)

      965       969,219  

NFP Corp., 6.88%, 07/15/25(c)

      85       83,300  
     

 

 

 
    3,514,738  
Chemicals — 2.0%  

Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(c)(i)

      256       256,640  

Alpha 3 BV/Alpha US Bidco, Inc.,
6.25%, 02/01/25(c)(h)

      1,061       1,045,085  

Axalta Coating Systems Dutch Holding B BV, 3.75%, 01/15/25

    EUR       100       120,045  

Axalta Coating Systems LLC, 4.88%, 08/15/24(c)

    USD       454       451,162  

Blue Cube Spinco, Inc.:

     

9.75%, 10/15/23

      424       480,710  

10.00%, 10/15/25

      308       356,510  

CF Industries, Inc.:

     

5.15%, 03/15/34

      90       84,825  

4.95%, 06/01/43

      164       143,992  

Chemours Co.:

     

6.63%, 05/15/23

      129       135,128  

7.00%, 05/15/25

      112       119,560  

4.00%, 05/15/26

    EUR       369       431,486  

5.38%, 05/15/27

    USD       134       131,655  

Cydsa SAB de C.V., 6.25%, 10/04/27(c)

      252       237,815  

Hexion, Inc., 10.38%, 02/01/22(c)

      184       181,062  

Huntsman International LLC, 5.13%, 11/15/22

      280       288,750  

INEOS Finance PLC, 4.00%, 05/01/23

    EUR       100       118,412  

INEOS Group Holdings SA, 5.38%, 08/01/24

      100       122,053  

Mexichem SAB de CV, 5.50%, 01/15/48(c)

    USD       200       184,000  

Momentive Performance Materials, Inc., 3.88%, 10/24/21(h)

      1,578       1,684,515  

NOVA Chemicals Corp., 4.88%, 06/01/24(c)

      267       260,993  

Olin Corp., 5.00%, 02/01/30

      117       111,735  
 

 

 

28    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals (continued)  

Platform Specialty Products Corp.(c)(h):

     

6.50%, 02/01/22

    USD       2,210     $ 2,259,725  

5.88%, 12/01/25

      988       980,590  

PQ Corp.(c):

     

6.75%, 11/15/22(h)

      373       389,785  

5.75%, 12/15/25

      528       520,080  

PSPC Escrow Corp., 6.00%, 02/01/23

    EUR       100       121,734  

Sherwin-Williams Co., 2.75%, 06/01/22

    USD       180       175,239  

WR Grace & Co-Conn(c):

     

5.13%, 10/01/21(h)

      741       761,377  

5.63%, 10/01/24

      200       211,316  
     

 

 

 
    12,365,979  
Commercial Services & Supplies — 1.0%  

ADT Corp.:

     

6.25%, 10/15/21

      139       146,645  

3.50%, 07/15/22(h)

      285       269,681  

4.13%, 06/15/23

      284       270,155  

4.88%, 07/15/32(c)

      418       340,670  

Advanced Disposal Services, Inc.,
5.63%, 11/15/24(c)

      161       161,000  

Booz Allen Hamilton, Inc., 5.13%, 05/01/25(c)(h)

      204       200,430  

CD&R Waterworks Merger Sub LLC, 6.13%, 08/15/25(c)

      410       393,600  

Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22(c)

      71       73,485  

Harland Clarke Holdings Corp., 8.38%, 08/15/22(c)

      414       388,125  

KAR Auction Services, Inc., 5.13%, 06/01/25(c)

      444       435,120  

Mobile Mini, Inc., 5.88%, 07/01/24(h)

      499       506,485  

Paprec Holding SA, 4.00%, 03/31/25

    EUR       100       117,209  

Park Aerospace Holdings Ltd.(c):

     

3.63%, 03/15/21

    USD       226       222,045  

5.25%, 08/15/22

      369       375,919  

5.50%, 02/15/24

      12       12,330  

Pitney Bowes, Inc., 3.38%, 10/01/21(h)

      500       474,062  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(c)

      472       467,280  

United Rentals North America, Inc.:

     

5.75%, 11/15/24(h)

      609       628,610  

5.50%, 05/15/27

      246       245,385  

Verisure Holding AB, 6.00%, 11/01/22

    EUR       113       135,658  

Wrangler Buyer Corp., 6.00%, 10/01/25(c)

    USD       258       248,970  
     

 

 

 
    6,112,864  
Communications Equipment — 0.8%  

CommScope Technologies LLC(c):

     

6.00%, 06/15/25

      3       3,105  

5.00%, 03/15/27

      367       356,908  

CommScope, Inc.(c):

     

5.00%, 06/15/21

      465       467,325  

5.50%, 06/15/24

      102       103,275  

Motorola Solutions, Inc., 3.75%, 05/15/22(h)

      1,500       1,497,745  

Nokia OYJ:

     

3.38%, 06/12/22

      106       103,602  

4.38%, 06/12/27

      149       143,226  

6.63%, 05/15/39

      200       215,000  

Zayo Group LLC/Zayo Capital, Inc.(h):

     

6.00%, 04/01/23

      531       547,286  

6.38%, 05/15/25

      104       108,680  

5.75%, 01/15/27(c)

      1,030       1,032,575  
     

 

 

 
    4,578,727  
Construction & Engineering — 0.6%  

Aeropuertos Argentina 2000 SA,
6.88%, 02/01/27(c)

      293       262,068  
Security          Par
(000)
    Value  
Construction & Engineering (continued)  

Aeropuertos Dominicanos Siglo XXI SA,
6.75%, 03/30/29(c)

    USD       293     $ 303,988  

BlueLine Rental Finance Corp.,
9.25%, 03/15/24(c)(h)

      1,409       1,479,450  

Brand Energy & Infrastructure Services, Inc.,
8.50%, 07/15/25(c)

      404       415,110  

Engility Corp., 8.88%, 09/01/24

      216       230,580  

frontdoor, Inc., 6.75%, 08/15/26(c)

      147       150,491  

Pisces Midco, Inc., 8.00%, 04/15/26(c)

      184       188,600  

SPIE SA, 3.13%, 03/22/24

    EUR       100       116,641  

SRS Distribution, Inc., 8.25%, 07/01/26(c)

    USD       185       173,900  

Tutor Perini Corp., 6.88%, 05/01/25(c)

      219       222,833  

Weekley Homes LLC/Weekley Finance Corp., 6.63%, 08/15/25

      61       57,645  
     

 

 

 
    3,601,306  
Construction Materials — 0.6%  

American Builders & Contractors Supply Co., Inc., 5.88%, 05/15/26(c)

      226       226,271  

HD Supply, Inc., 5.75%, 04/15/24(c)(h)(l)

      2,580       2,712,225  

LKQ Italia Bondco SpA, 3.88%, 04/01/24

    EUR       100       123,040  

Navistar International Corp., 6.63%, 11/01/25(c)

    USD       271       281,840  

New Enterprise Stone & Lime Co., Inc., 10.13%, 04/01/22(c)

      160       171,800  

Rexel SA, 3.50%, 06/15/23

    EUR       116       139,972  

Williams Scotsman International, Inc.(c):

     

7.88%, 12/15/22

    USD       109       112,270  

6.88%, 08/15/23

      185       183,381  
     

 

 

 
    3,950,799  
Consumer Discretionary — 0.2%  

Blitz F18-674 GmbH, 6.00%, 07/30/26

    EUR       100       116,580  

Nielsen Co. Luxembourg Sarl, 5.00%, 02/01/25(c)

    USD       92       89,240  

Silversea Cruise Finance Ltd., 7.25%, 02/01/25(c)

      56       60,830  

Staples, Inc., 8.50%, 09/15/25(c)

      273       257,958  

Viking Cruises Ltd.(c):

     

6.25%, 05/15/25

      398       401,980  

5.88%, 09/15/27(h)

      598       587,535  
     

 

 

 
    1,514,123  
Consumer Finance — 1.0%  

Alliance Data Systems Corp.(c):

     

5.88%, 11/01/21(h)

      696       711,660  

5.38%, 08/01/22

      130       130,650  

Ally Financial, Inc., 8.00%, 11/01/31(h)

      1,416       1,731,060  

Credivalores-Crediservicios SAS,
9.75%, 07/27/22(c)

      200       202,000  

Mulhacen Pte Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 08/01/23(i)

    EUR       119       137,696  

Navient Corp.:

     

5.00%, 10/26/20(h)

    USD       310       310,840  

6.63%, 07/26/21

      113       117,661  

6.50%, 06/15/22

      375       387,769  

5.50%, 01/25/23

      134       132,491  

7.25%, 09/25/23(h)

      257       271,135  

5.88%, 10/25/24

      65       62,888  

6.75%, 06/25/25

      105       104,737  

6.75%, 06/15/26

      211       207,044  

5.63%, 08/01/33

      95       79,800  

Nexi Capital SpA, 3.63%, 05/01/23(e)

    EUR       100       115,495  

Springleaf Finance Corp.:

     

6.13%, 05/15/22

    USD       70       71,925  

5.63%, 03/15/23

      8       7,980  

6.88%, 03/15/25

      311       311,093  

7.13%, 03/15/26

      426       423,900  
 

 

 

SCHEDULES OF INVESTMENTS      29  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Consumer Finance (continued)  

Verscend Escrow Corp., 9.75%, 08/15/26(c)

    USD       530     $ 543,091  
     

 

 

 
    6,060,915  
Containers & Packaging — 1.2%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

     

4.63%, 05/15/23(c)(h)

      990       981,337  

6.75%, 05/15/24

    EUR       100       125,436  

7.25%, 05/15/24(c)(h)

    USD       1,595       1,676,744  

4.75%, 07/15/27(c)

    GBP       100       126,247  

4.75%, 07/15/27

      100       126,247  

Ball Corp., 4.00%, 11/15/23

    USD       48       46,860  

BWAY Holding Co.(c):

     

5.50%, 04/15/24(h)

      681       676,744  

7.25%, 04/15/25

      57       55,575  

Crown Americas LLC/Crown Americas Capital Corp.:

     

4.75%, 02/01/26(c)

      182       174,720  

4.25%, 09/30/26

      166       152,305  

Mercer International, Inc.:

     

6.50%, 02/01/24

      113       115,825  

5.50%, 01/15/26(c)

      117       114,075  

Reynolds Group Issuer, Inc/Reynolds Group Issuer LLC:

     

5.75%, 10/15/20(h)

      1,029       1,030,479  

(3 mo. LIBOR US + 3.50%),
5.84%, 07/15/21(c)(d)

      433       437,871  

5.13%, 07/15/23(c)

      59       58,779  

7.00%, 07/15/24(c)(h)

      729       740,664  

Sealed Air Corp.(c):

     

4.88%, 12/01/22

      192       192,960  

6.88%, 07/15/33

      44       47,520  

Silgan Holdings, Inc., 3.25%, 03/15/25

    EUR       100       119,174  

Smurfit Kappa Acquisitions ULC, 2.88%, 01/15/26

      100       118,963  
     

 

 

 
    7,118,525  
Diversified Consumer Services — 0.6%  

APX Group, Inc.(h):

     

8.75%, 12/01/20

    USD       262       262,000  

7.88%, 12/01/22

      336       343,140  

Ascend Learning LLC, 6.88%, 08/01/25(c)

      275       277,750  

Carriage Services, Inc., 6.63%, 06/01/26(c)

      152       154,660  

Graham Holdings Co., 5.75%, 06/01/26(c)

      173       176,893  

Laureate Education, Inc., 8.25%, 05/01/25(c)

      114       122,978  

Matthews International Corp., 5.25%, 12/01/25(c)

      62       59,675  

Pinnacle Bidco PLC, 6.38%, 02/15/25

    GBP       100       132,724  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 05/15/23(c)(h)

    USD       1,635       1,751,575  

ServiceMaster Co. LLC, 5.13%, 11/15/24(c)

      244       239,730  
     

 

 

 
    3,521,125  
Diversified Financial Services — 1.2%  

Arrow Global Finance PLC(3 mo. Euribor + 2.88%), 2.88%, 04/01/25(g)

    EUR       100       107,902  

Banca IFIS SpA, 4.50%, 10/17/27(e)

      100       106,237  

Cabot Financial Luxembourg SA, 7.50%, 10/01/23

    GBP       100       127,044  

Docuformas SAPI de C.V., 9.25%, 10/11/22(c)

    USD       421       382,057  

FS Energy & Power Fund, 7.50%, 08/15/23(c)

      260       266,097  

General Motors Financial Co., Inc.,
4.38%, 09/25/21(h)

      530       539,688  

Gilex Holding Sarl, 8.50%, 05/02/23(c)

      182       189,280  

HSBC Holdings PLC, 6.25%(e)(h)(m)

      1,158       1,162,400  

Intesa Sanpaolo SpA, 5.02%, 06/26/24(c)(h)

      2,442       2,209,655  

Intrum Justitia AB, 2.75%, 07/15/22

    EUR       100       112,988  

Jefferies Finance LLC/JFIN Co-Issuer Corp.(c)(h):

     

7.38%, 04/01/20

    USD       290       295,075  

6.88%, 04/15/22

      480       484,800  
Security          Par
(000)
    Value  
Diversified Financial Services (continued)  

LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(i)

    EUR       101     $ 116,664  

MSCI, Inc., 5.25%, 11/15/24(c)

    USD       105       107,888  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 06/01/25(c)(h)

      582       565,995  

Travelport Corporate Finance PLC,
6.00%, 03/15/26(c)

      171       173,993  

UniCredit SpA(5 year EUR Swap + 4.32%),
4.38%, 01/03/27(g)

    EUR       100       117,523  

Vantiv LLC/Vanity Issuer Corp.(c):

     

3.88%, 11/15/25

    GBP       100       126,080  

4.38%, 11/15/25

    USD       200       190,500  

WMG Acquisition Corp.:

     

4.13%, 11/01/24

    EUR       100       120,004  

5.50%, 04/15/26(c)

    USD       120       117,900  
     

 

 

 
    7,619,770  
Diversified Telecommunication Services — 1.4%  

CenturyLink, Inc.:

     

5.63%, 04/01/25(h)

      668       652,970  

Series P, 7.60%, 09/15/39

      26       23,270  

Series S, 6.45%, 06/15/21(h)

      412       428,480  

Series U, 7.65%, 03/15/42

      246       220,170  

Series W, 6.75%, 12/01/23(h)

      325       338,812  

Series Y, 7.50%, 04/01/24

      520       556,400  

Cincinnati Bell, Inc., 7.00%, 07/15/24(c)

      406       357,280  

Embarq Corp., 8.00%, 06/01/36

      356       347,100  

Frontier Communications Corp.:

     

7.13%, 03/15/19

      190       190,712  

10.50%, 09/15/22

      201       176,880  

11.00%, 09/15/25

      1,205       921,825  

Level 3 Financing, Inc.:

     

5.38%, 08/15/22

      184       185,840  

5.63%, 02/01/23

      115       116,404  

5.13%, 05/01/23(h)

      295       294,363  

5.38%, 01/15/24

      325       325,000  

5.38%, 05/01/25(h)

      303       299,212  

5.25%, 03/15/26(h)

      937       918,354  

OTE PLC, 3.50%, 07/09/20

    EUR       100       121,310  

SoftBank Group Corp.:

     

(5 year USD ICE Swap + 4.85%), 6.88%(g)(m)

    USD       290       262,450  

4.00%, 04/20/23

    EUR       100       121,763  

Telecom Italia Capital SA:

     

6.38%, 11/15/33

    USD       233       236,495  

6.00%, 09/30/34(h)

      784       772,083  

7.72%, 06/04/38

      21       22,995  

Telecom Italia Finance SA, 7.75%, 01/24/33

    EUR       37       58,466  

Telecom Italia SpA:

     

5.88%, 05/19/23

    GBP       100       142,812  

3.63%, 01/19/24

    EUR       100       123,768  

Telecom Italia SpA/Milano, 2.88%, 01/28/26

      100       115,355  

Verizon Communications, Inc., 3.38%, 02/15/25(h)

    USD       156       151,942  
     

 

 

 
    8,482,511  
Electric Utilities — 0.8%  

AES Corp., 5.50%, 04/15/25

      82       84,255  

Black Hills Corp., 3.15%, 01/15/27(h)

      305       283,480  

Celeo Redes Operacion Chile SA, 5.20%, 06/22/47(c)(h)

      1,006       998,656  

DPL, Inc., 7.25%, 10/15/21

      30       32,475  

Enel Finance International NV,
3.63%, 05/25/27(c)(h)

      900       828,773  

Energuate Trust, 5.88%, 05/03/27(c)

      200       191,000  

Eskom Holdings SOC Ltd., 6.35%, 08/10/28(c)

      325       324,922  
 

 

 

30    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric Utilities (continued)  

Exelon Corp., 3.40%, 04/15/26(h)

    USD       140     $ 134,964  

NextEra Energy Operating Partners LP(c):

     

4.25%, 09/15/24

      137       133,575  

4.50%, 09/15/27

      40       38,000  

Southern Co., 2.95%, 07/01/23(h)

      1,920       1,851,684  

Talen Energy Supply LLC, 6.50%, 06/01/25

      176       131,120  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. :

     

10.25%, 11/01/15(a)(b)

      47        

10.50%, 11/01/18(a)

      31       13  

11.50%, 10/01/20(a)

      300        
     

 

 

 
    5,032,917  
Electrical Equipment — 0.0%  

Areva SA, 4.88%, 09/23/24

    EUR       100       123,330  
     

 

 

 
Electronic Equipment, Instruments & Components — 0.1%  

CDW LLC/CDW Finance Corp.:

     

5.00%, 09/01/23

    USD       72       73,440  

5.50%, 12/01/24(h)

      493       512,720  

5.00%, 09/01/25

      107       106,331  

Energizer Gamma Acquisition BV, 4.63%, 07/15/26

    EUR       100       119,706  

Energizer Gamma Acquisition, Inc., 6.38%, 07/15/26(c)

    USD       177       182,974  

Itron, Inc., 5.00%, 01/15/26(c)

      25       23,830  
     

 

 

 
    1,019,001  
Energy Equipment & Services — 1.1%  

Calfrac Holdings LP, 8.50%, 06/15/26(c)

      163       155,257  

CSI Compressco LP/CSI Compressco Finance, Inc., 7.50%, 04/01/25(c)

      330       332,475  

Ensco PLC:

     

4.50%, 10/01/24

      26       21,580  

5.20%, 03/15/25

      103       86,134  

7.75%, 02/01/26

      553       528,115  

Gates Global LLC/Gates Global Co., 6.00%, 07/15/22(c)(h)

      609       615,090  

Halliburton Co., 3.80%, 11/15/25(h)

      100       99,871  

McDermott Technology Americas, Inc./McDermott Technology U.S., Inc., 10.63%, 05/01/24(c)

      246       261,756  

Oceaneering International, Inc., 4.65%, 11/15/24

      46       43,767  

Odebrecht Oil & Gas Finance Ltd., 0.00%(c)(m)(n)

    BRL       43       320  

Pattern Energy Group, Inc., 5.88%, 02/01/24(c)

    USD       299       301,242  

Pioneer Energy Services Corp., 6.13%, 03/15/22

      275       240,625  

Precision Drilling Corp.:

     

6.50%, 12/15/21

      54       55,072  

7.75%, 12/15/23

      75       79,313  

5.25%, 11/15/24

      134       127,635  

SESI LLC, 7.75%, 09/15/24

      208       215,280  

Transocean, Inc.:

     

8.38%, 12/15/21

      220       235,950  

5.80%, 10/15/22

      287       284,130  

9.00%, 07/15/23(c)(h)

      636       686,085  

7.50%, 01/15/26(c)

      219       223,106  

6.80%, 03/15/38

      134       110,383  

Trinidad Drilling Ltd., 6.63%, 02/15/25(c)

      263       260,370  

USA Compression Partners LP/USA Compression Finance Corp., 6.88%, 04/01/26(c)

      277       286,695  

Weatherford International Ltd.:

     

7.75%, 06/15/21(h)

      759       743,820  

8.25%, 06/15/23

      232       215,760  

6.50%, 08/01/36

      110       81,675  

7.00%, 03/15/38

      8       6,080  

5.95%, 04/15/42

      310       217,775  
     

 

 

 
    6,515,361  
Security          Par
(000)
    Value  
Environmental, Maintenance, & Security Service — 0.2%  

Hulk Finance Corp., 7.00%, 06/01/26(c)

    USD       262     $ 251,520  

Tervita Escrow Corp., 7.63%, 12/01/21(c)(h)

      842       872,522  

Waste Pro USA, Inc., 5.50%, 02/15/26(c)

      216       208,440  
     

 

 

 
    1,332,482  
Equity Real Estate Investment Trusts (REITs) — 1.4%  

AvalonBay Communities, Inc., 3.45%, 06/01/25(h)

      1,245       1,225,410  

ERP Operating LP, 3.38%, 06/01/25(h)

      1,015       997,666  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(c)

      145       146,813  

GEO Group, Inc.:

     

5.13%, 04/01/23

      249       240,285  

5.88%, 10/15/24

      158       154,050  

6.00%, 04/15/26

      22       21,230  

Hilton Domestic Operating Co., Inc.:

     

4.25%, 09/01/24

      263       255,767  

5.13%, 05/01/26(c)

      291       291,364  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.63%, 04/01/25

      30       29,625  

iStar, Inc.:

     

4.63%, 09/15/20

      33       32,835  

6.00%, 04/01/22

      62       62,543  

5.25%, 09/15/22

      67       66,330  

Marriott Ownership Resorts, Inc.,
6.50%, 09/15/26(c)

      200       204,000  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.:

     

5.63%, 05/01/24(h)

      1,361       1,400,129  

4.50%, 09/01/26(h)

      789       751,522  

4.50%, 01/15/28

      322       296,852  

MPT Operating Partnership LP/MPT Finance Corp.:

     

6.38%, 03/01/24

      33       34,792  

5.50%, 05/01/24

      50       50,625  

5.00%, 10/15/27

      176       172,480  

NH Hotel Group SA, 3.75%, 10/01/23

    EUR       129       156,677  

Starwood Property Trust, Inc., 5.00%, 12/15/21

    USD       234       235,755  

Trust F/1401, 6.95%, 01/30/44

      706       719,237  

Ventas Realty LP, 4.13%, 01/15/26(h)

      650       646,057  

VICI Properties 1 LLC/VICI FC, Inc., 8.00%, 10/15/23

      244       269,551  
     

 

 

 
    8,461,595  
Food & Staples Retailing — 0.1%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC:

     

6.63%, 06/15/24

      186       179,490  

5.75%, 03/15/25

      104       94,120  

B&M European Value Retail SA, 4.13%, 02/01/22

    GBP       100       131,252  

Casino Guichard Perrachon SA, 4.50%, 03/07/24

    EUR       200       204,035  

Post Holdings, Inc., 5.63%, 01/15/28(c)

    USD       73       70,536  

Rite Aid Corp., 6.13%, 04/01/23(c)

      196       175,851  
     

 

 

 
    855,284  
Food Products — 0.7%  

Acosta, Inc., 7.75%, 10/01/22(c)

      141       63,803  

Aramark Services, Inc.:

     

5.13%, 01/15/24(h)

      417       423,459  

5.00%, 04/01/25(c)

      46       46,288  

5.00%, 02/01/28(c)

      345       337,669  

Arcor SAIC, 6.00%, 07/06/23(c)

      180       168,772  

B&G Foods, Inc., 5.25%, 04/01/25

      51       49,534  

Chobani LLC/Chobani Finance Corp., Inc., 7.50%, 04/15/25(c)

      266       224,105  
 

 

 

SCHEDULES OF INVESTMENTS      31  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Food Products (continued)  

JBS USA LUX SA/JBS USA Finance, Inc.(c):

     

5.88%, 07/15/24

    USD       335     $ 322,437  

5.75%, 06/15/25(h)

      942       890,190  

6.75%, 02/15/28

      319       306,240  

MARB BondCo PLC:

     

7.00%, 03/15/24

      200       188,252  

6.88%, 01/19/25(c)

      200       185,002  

Minerva Luxembourg SA, 6.50%, 09/20/26(c)

      200       178,252  

Post Holdings, Inc.(c):

     

5.50%, 03/01/25

      246       245,385  

5.75%, 03/01/27

      253       249,837  

Simmons Foods, Inc., 7.75%, 01/15/24(c)

      135       138,712  
     

 

 

 
    4,017,937  
Health Care Equipment & Supplies — 1.0%  

Avantor, Inc.(c):

     

6.00%, 10/01/24(h)

      1,429       1,450,435  

9.00%, 10/01/25

      476       490,875  

Crimson Merger Sub, Inc., 6.63%, 05/15/22(c)(h)

      1,482       1,454,212  

DJO Finance LLC/DJO Finance Corp., 8.13%, 06/15/21(c)(h)

      1,323       1,366,394  

Immucor, Inc., 11.13%, 02/15/22(c)

      100       100,250  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC(c):

     

4.88%, 04/15/20

      284       282,935  

5.75%, 08/01/22

      449       418,693  

5.63%, 10/15/23

      81       72,191  

5.50%, 04/15/25

      29       24,759  

Teleflex, Inc.:

     

5.25%, 06/15/24

      250       256,875  

4.88%, 06/01/26

      56       55,160  

Thermo Fisher Scientific, Inc., 3.00%, 04/15/23(h)

      305       296,844  
     

 

 

 
    6,269,623  
Health Care Providers & Services — 2.9%  

Acadia Healthcare Co., Inc.:

     

5.13%, 07/01/22

      85       85,425  

5.63%, 02/15/23

      160       163,200  

6.50%, 03/01/24

      196       203,105  

Aetna, Inc., 2.80%, 06/15/23(h)

      340       327,875  

AHP Health Partners, Inc., 9.75%, 07/15/26(c)

      140       146,650  

Amsurg Corp., 5.63%, 07/15/22(h)

      367       376,175  

Centene Corp.:

     

4.75%, 05/15/22(h)

      314       319,495  

6.13%, 02/15/24

      37       38,896  

4.75%, 01/15/25

      200       201,000  

5.38%, 06/01/26(c)(h)

      1,371       1,415,324  

CHS/Community Health Systems, Inc., 8.63%, 01/15/24(c)

      337       351,323  

DaVita, Inc., 5.13%, 07/15/24(h)

      235       226,568  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 05/15/22(c)(i)

      258       261,225  

Envision Healthcare Corp.(c):

     

5.13%, 07/01/22

      73       74,095  

6.25%, 12/01/24

      225       240,188  

HCA, Inc.:

     

4.75%, 05/01/23

      26       26,423  

5.00%, 03/15/24(h)

      1,388       1,419,230  

5.25%, 04/15/25(h)

      1,642       1,693,312  

5.25%, 06/15/26(h)

      84       86,520  

5.38%, 09/01/26

      357       358,785  

5.63%, 09/01/28

      378       378,945  

5.50%, 06/15/47(h)

      913       915,282  

HealthSouth Corp., 5.75%, 11/01/24(h)

      80       81,000  

MEDNAX, Inc., 5.25%, 12/01/23(c)(h)

      123       122,693  
Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

Molina Healthcare, Inc., 4.88%, 06/15/25(c)

    USD       108     $ 106,650  

MPH Acquisition Holdings LLC,
7.13%, 06/01/24(c)(h)

      798       825,930  

NVA Holdings, Inc., 6.88%, 04/01/26(c)

      403       400,481  

Polaris Intermediate Corp., (8.50% Cash), 8.50%, 12/01/22(c)(h)(i)

      924       954,030  

Regional Care Hospital Partners Holdings, Inc., 8.25%, 05/01/23(c)

      137       145,563  

Sterigenics-Nordion Holdings LLC,
6.50%, 05/15/23(c)

      188       193,527  

Surgery Center Holdings, Inc.(c):

     

8.88%, 04/15/21

      139       144,734  

6.75%, 07/01/25(h)

      272       262,480  

Team Health Holdings, Inc., 6.38%, 02/01/25(c)(h)

      419       363,482  

Tenet Healthcare Corp.:

     

6.00%, 10/01/20(h)

      533       553,654  

7.50%, 01/01/22(c)

      176       184,305  

8.13%, 04/01/22(h)

      678       716,137  

6.75%, 06/15/23(h)

      645       645,000  

4.63%, 07/15/24(h)

      507       496,622  

6.88%, 11/15/31

      166       150,645  

UnitedHealth Group, Inc., 3.75%, 07/15/25(h)

      1,470       1,485,907  

Vizient, Inc., 10.38%, 03/01/24(c)

      322       351,785  

WellCare Health Plans, Inc.:

     

5.25%, 04/01/25

      85       86,913  

5.38%, 08/15/26(c)

      313       322,390  
     

 

 

 
    17,902,969  
Health Care Services — 0.0%  

Aveta Inc. Escrow, 7.00%, 04/01/19(a)(b)

      183        
     

 

 

 
Health Care Technology — 0.1%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(c)

      310       303,025  

Quintiles IMS, Inc.:

     

3.25%, 03/15/25(c)

    EUR       100       117,269  

3.25%, 03/15/25

      148       173,559  
     

 

 

 
    593,853  
Hotels, Restaurants & Leisure — 3.3%  

Boyd Gaming Corp., 6.00%, 08/15/26

    USD       194       195,455  

Boyne USA, Inc., 7.25%, 05/01/25(c)

      80       84,800  

Burger King France SAS (3 mo. Euribor + 5.25%), 5.25%, 05/01/23(g)

    EUR       100       117,229  

Churchill Downs, Inc., 4.75%, 01/15/28(c)

    USD       64       60,240  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

    EUR       100       109,110  

CPUK Finance Ltd., 4.25%, 02/28/47

    GBP       100       129,409  

CRC Escrow Issuer LLC/CRC Finco, Inc., 5.25%, 10/15/25(c)(h)

    USD       348       332,775  

Eldorado Resorts, Inc., 6.00%, 04/01/25

      91       92,479  

ESH Hospitality, Inc., 5.25%, 05/01/25(c)(h)

      285       276,094  

GLP Capital LP/GLP Financing II, Inc.:

     

5.38%, 11/01/23

      126       132,615  

5.25%, 06/01/25

      48       49,920  

5.38%, 04/15/26

      60       62,307  

5.75%, 06/01/28

      15       15,897  

Golden Nugget, Inc., 6.75%, 10/15/24(c)(h)

      396       402,435  

International Game Technology PLC, 4.75%, 02/15/23

    EUR       100       125,947  

IRB Holding Corp., 6.75%, 02/15/26(c)

    USD       70       66,850  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC(c):

     

5.00%, 06/01/24

      35       34,913  

5.25%, 06/01/26

      368       368,000  

4.75%, 06/01/27

      5       4,763  
 

 

 

32    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

McDonald’s Corp., 3.70%, 01/30/26(h)

    USD       405     $ 403,417  

Melco Resorts Finance Ltd., 4.88%, 06/06/25(c)

      375       355,968  

MGM Resorts International:

     

6.63%, 12/15/21(h)

      962       1,017,315  

7.75%, 03/15/22

      354       388,957  

4.63%, 09/01/26

      11       10,368  

New Red Finance, Inc.(c):

     

4.25%, 05/15/24

      245       233,975  

5.00%, 10/15/25(h)

      2,130       2,055,450  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 04/15/21(h)

      630       635,216  

Sabre GLBL, Inc.(c):

     

5.38%, 04/15/23

      147       148,102  

5.25%, 11/15/23

      180       180,383  

Scientific Games International, Inc.:

     

10.00%, 12/01/22(h)

      731       773,106  

5.00%, 10/15/25(c)(h)

      743       705,850  

3.38%, 02/15/26

    EUR       100       110,983  

Six Flags Entertainment Corp.(c)(h):

     

4.88%, 07/31/24

    USD       795       781,087  

5.50%, 04/15/27

      61       60,543  

Spirit Issuer PLC:

     

Series A2, (3 mo. LIBOR GBP + 2.70%), 3.37%, 12/28/31(d)

    GBP       1,800       2,263,698  

Series A5, 5.47%, 12/28/34

      4,500       6,063,291  

Stars Group Holdings BV/Stars Group US Co-Borrower LLC, 7.00%, 07/15/26(c)

    USD       182       189,280  

Station Casinos LLC, 5.00%, 10/01/25(c)

      303       292,774  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27

    GBP       60       85,808  

Wyndham Destinations, Inc., 4.15%, 04/01/24

    USD       13       12,844  

Wyndham Hotels & Resorts, Inc.,
5.38%, 04/15/26(c)

      121       120,092  

Wyndham Worldwide Corp., 3.90%, 03/01/23

      170       158,525  

Wynn Macau Ltd., 5.50%, 10/01/27(c)

      600       567,000  

Yum! Brands, Inc., 3.88%, 11/01/23

      98       93,590  
     

 

 

 
    20,368,860  
Household Durables — 0.7%  

Algeco Scotsman Global Finance PLC, 8.00%, 02/15/23(c)(h)

      600       616,500  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 07/01/22(c)

      259       260,942  

K Hovnanian Enterprises, Inc.,
10.00%, 07/15/22(c)

      204       204,000  

Lennar Corp.:

     

8.38%, 01/15/21

      134       147,065  

6.25%, 12/15/21(h)

      380       399,000  

4.88%, 12/15/23

      122       122,153  

4.75%, 05/30/25

      260       255,775  

5.25%, 06/01/26

      28       27,711  

4.75%, 11/29/27

      360       343,350  

Mattamy Group Corp.(c):

     

6.88%, 12/15/23

      143       145,502  

6.50%, 10/01/25

      176       173,395  

MDC Holdings, Inc., 6.00%, 01/15/43

      122       104,920  

Meritage Homes Corp., 5.13%, 06/06/27

      77       71,418  

PulteGroup, Inc., 6.38%, 05/15/33(h)

      469       457,275  

Tempur Sealy International, Inc.,
5.50%, 06/15/26(h)

      180       175,500  

TRI Pointe Group, Inc.:

     

4.88%, 07/01/21

      112       111,720  

5.25%, 06/01/27

      15       13,650  
Security          Par
(000)
    Value  
Household Durables (continued)  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc.:

     

4.38%, 06/15/19

    USD       110     $ 110,550  

5.88%, 06/15/24(h)

      248       247,058  

William Lyon Homes, Inc.:

     

6.00%, 09/01/23(c)

      56       54,057  

5.88%, 01/31/25

      95       90,131  
     

 

 

 
    4,131,672  
Household Products — 0.2%  

ACCO Brands Corp., 5.25%, 12/15/24(c)

      85       84,575  

Berkline Benchcraft LLC, 4.50%, 06/01/19(a)(j)

      200        

Diamond (BC) BV, 5.63%, 08/15/25

    EUR       106       115,128  

Prestige Brands, Inc., 6.38%, 03/01/24(c)

    USD       58       58,525  

Spectrum Brands, Inc., 6.63%, 11/15/22(h)

      815       838,431  
     

 

 

 
    1,096,659  
Independent Power and Renewable Electricity Producers — 0.8%  

AES Corp.:

     

4.50%, 03/15/23

      187       187,468  

4.88%, 05/15/23(h)

      157       158,963  

6.00%, 05/15/26

      317       335,227  

5.13%, 09/01/27

      351       354,510  

Calpine Corp.:

     

5.38%, 01/15/23

      238       226,100  

5.88%, 01/15/24(c)

      450       453,937  

5.75%, 01/15/25

      120       108,900  

5.25%, 06/01/26(c)(h)

      835       788,307  

Dynegy, Inc.:

     

7.38%, 11/01/22

      324       337,365  

7.63%, 11/01/24

      124       133,300  

Genneia SA, 8.75%, 01/20/22(c)

      293       253,445  

NRG Energy, Inc.:

     

6.63%, 01/15/27(h)

      861       900,821  

5.75%, 01/15/28(c)

      236       238,360  

NRG Yield Operating LLC, 5.38%, 08/15/24(h)

      325       326,625  

TerraForm Power Operating LLC(c):

     

4.25%, 01/31/23

      181       176,475  

6.63%, 06/15/25(l)

      30       31,950  

5.00%, 01/31/28

      181       169,461  
     

 

 

 
    5,181,214  
Industrial Conglomerates — 0.2%  

Algeco Global Finance PLC, 6.50%, 02/15/23

    EUR       100       121,301  

Apergy Corp., 6.38%, 05/01/26(c)

    USD       101       103,273  

BWX Technologies, Inc., 5.38%, 07/15/26(c)

      153       154,530  

Vertiv Group Corp., 9.25%, 10/15/24(c)(h)

      521       535,327  
     

 

 

 
    914,431  
Insurance — 1.6%  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(h)

      360       350,217  

American International Group, Inc., 3.75%, 07/10/25(h)

      2,705       2,642,343  

AmWINS Group, Inc., 7.75%, 07/01/26(c)

      191       201,266  

Aon PLC, 3.88%, 12/15/25(h)

      1,115       1,116,481  

Ardonagh Midco 3 PLC, 8.63%, 07/15/23(c)

      236       239,540  

Assicurazioni Generali SpA(g):

     

(3 mo. Euribor + 7.11%), 7.75%, 12/12/42

    EUR       100       135,372  

(3 mo. Euribor + 5.35%), 5.50%, 10/27/47

      100       119,836  

AssuredPartners, Inc., 7.00%, 08/15/25(c)

    USD       16       15,680  

Forethought Financial Group, Inc., 8.63%, 04/15/21(c)(h)

      750       833,659  

Groupama SA, 6.00%, 01/23/27

    EUR       100       140,161  

HUB International Ltd., 7.00%, 05/01/26(c)(h)

    USD       764       759,072  

Lincoln National Corp., 3.35%, 03/09/25(h)

      845       819,500  
 

 

 

SCHEDULES OF INVESTMENTS      33  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Insurance (continued)  

Muenchener Rueckversicherungs AG (3 mo. Euribor + 3.50%), 6.00%, 05/26/41(g)

    EUR       400     $ 531,439  

Nationwide Building Society, 4.13%, 10/18/32(c)(e)(h)

    USD       595       549,542  

USIS Merger Sub, Inc., 6.88%, 05/01/25(c)

      63       62,685  

Wand Merger Corp.(c):

     

8.13%, 07/15/23

      272       282,200  

9.13%, 07/15/26

      185       192,631  

Wayne Merger Sub LLC, 8.25%, 08/01/23(c)(h)

      947       982,512  
     

 

 

 
    9,974,136  
Internet Software & Services — 0.3%  

Equinix, Inc.:

     

2.88%, 03/15/24

    EUR       100       116,825  

5.88%, 01/15/26(h)

    USD       823       853,863  

Netflix, Inc.:

     

4.38%, 11/15/26

      92       86,681  

5.88%, 11/15/28(c)

      497       498,148  

Rackspace Hosting, Inc., 8.63%, 11/15/24(c)

      154       151,594  

Symantec Corp., 5.00%, 04/15/25(c)

      158       156,701  

United Group BV, 4.38%, 07/01/22

    EUR       126       150,873  
     

 

 

 
    2,014,685  
IT Services — 0.9%  

Banff Merger Sub, Inc.:

     

8.38%, 09/01/26

      110       128,346  

9.75%, 09/01/26(c)(h)

    USD       1,268       1,271,170  

First Data Corp.(c):

     

7.00%, 12/01/23(h)

      1,190       1,238,195  

5.00%, 01/15/24

      180       180,369  

5.75%, 01/15/24(h)

      2,024       2,064,480  

Gartner, Inc., 5.13%, 04/01/25(c)

      174       176,175  

InterXion Holding NV, 4.75%, 06/15/25

    EUR       100       120,881  

WEX, Inc., 4.75%, 02/01/23(c)

    USD       177       177,664  
     

 

 

 
    5,357,280  
Leisure Products — 0.1%  

Mattel, Inc.:

     

6.75%, 12/31/25(c)

      323       316,359  

6.20%, 10/01/40

      68       56,610  

5.45%, 11/01/41

      40       32,200  
     

 

 

 
    405,169  
Machinery — 0.4%  

Mueller Water Products, Inc., 5.50%, 06/15/26(c)

      170       170,850  

Platin 1426 GmbH, 5.38%, 06/15/23

    EUR       109       124,733  

RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(c)

    USD       283       272,387  

SPX FLOW, Inc.(c):

     

5.63%, 08/15/24

      292       292,730  

5.88%, 08/15/26

      139       140,390  

Terex Corp., 5.63%, 02/01/25(c)(h)

      758       752,315  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(c)(h)

      551       473,006  

Wabash National Corp., 5.50%, 10/01/25(c)

      241       228,950  
     

 

 

 
    2,455,361  
Media — 6.4%  

Altice Financing SA(c):

     

6.63%, 02/15/23

      565       568,526  

7.50%, 05/15/26(h)

      684       653,220  

Altice France SA:

     

7.38%, 05/01/26(c)(h)

      1,786       1,754,745  

5.88%, 02/01/27

    EUR       102       122,619  

8.13%, 02/01/27(c)

    USD       853       865,795  

Altice Luxembourg SA, 7.75%, 05/15/22(c)(h)

      1,265       1,219,144  

Altice US Finance I Corp.(c):

     

5.38%, 07/15/23(h)

      1,546       1,555,662  

5.50%, 05/15/26

      800       786,000  
Security          Par
(000)
    Value  
Media (continued)  

AMC Networks, Inc.:

     

5.00%, 04/01/24(h)

    USD       318     $ 312,833  

4.75%, 08/01/25

      196       189,140  

Cablevision SA, 6.50%, 06/15/21(c)

      176       165,044  

Cablevision Systems Corp., 8.00%, 04/15/20

      125       131,563  

CBS Radio, Inc., 7.25%, 11/01/24(c)

      15       14,363  

CCO Holdings LLC/CCO Holdings Capital Corp.:

     

5.13%, 02/15/23(h)

      270       270,338  

4.00%, 03/01/23(c)(h)

      670       639,012  

5.13%, 05/01/23(c)(h)

      375       375,000  

5.13%, 05/01/27(c)(h)

      2,133       2,034,349  

5.00%, 02/01/28(c)

      393       368,056  

Cequel Communications Holdings I LLC/Cequel Capital Corp.(c):

     

5.13%, 12/15/21

      187       187,000  

5.13%, 12/15/21(h)

      493       492,379  

7.75%, 07/15/25(h)

      476       506,345  

7.50%, 04/01/28

      479       499,357  

Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25(h)

      2,425       2,476,457  

Clear Channel International BV, 8.75%, 12/15/20(c)(h)

      560       578,200  

Clear Channel Worldwide Holdings, Inc.(h):

     

6.50%, 11/15/22

      3,157       3,223,544  

Series B, 7.63%, 03/15/20

      1,199       1,203,496  

CSC Holdings LLC(h):

     

10.13%, 01/15/23(c)

      1,210       1,324,950  

5.25%, 06/01/24

      454       440,380  

6.63%, 10/15/25(c)

      235       244,106  

10.88%, 10/15/25(c)

      1,950       2,269,312  

Discovery Communications LLC(h):

     

3.25%, 04/01/23

      1,490       1,448,144  

3.45%, 03/15/25

      170       162,854  

DISH DBS Corp.:

     

6.75%, 06/01/21

      206       209,090  

5.88%, 07/15/22(h)

      902       865,920  

5.00%, 03/15/23

      358       318,620  

5.88%, 11/15/24

      245       213,150  

7.75%, 07/01/26(h)

      359       323,998  

DISH Network Corp., 3.38%, 08/15/26(k)

      219       205,992  

DKT Finance ApS, 7.00%, 06/17/23

    EUR       158       195,349  

eircom Finance DAC, 4.50%, 05/31/22

      100       118,640  

GTT Communications, Inc., 7.88%, 12/31/24(c)

    USD       51       48,195  

Hughes Satellite Systems Corp.:

     

7.63%, 06/15/21

      93       100,091  

5.25%, 08/01/26(h)

      413       394,931  

Inmarsat Finance PLC, 4.88%, 05/15/22(c)

      100       100,250  

Intelsat Connect Finance SA, 9.50%, 02/15/23(c)

      253       252,165  

Intelsat Jackson Holdings SA:

     

5.50%, 08/01/23

      916       835,575  

9.75%, 07/15/25(c)

      755       799,356  

Intelsat SA, 4.50%, 06/15/25(c)(k)

      50       74,406  

Level 3 Parent LLC, 5.75%, 12/01/22

      405       408,037  

Live Nation Entertainment, Inc., 4.88%, 11/01/24(c)

      29       28,529  

MDC Partners, Inc., 6.50%, 05/01/24(c)

      341       305,621  

Meredith Corp., 6.88%, 02/01/26(c)

      154       155,925  

Midcontinent Communications/Midcontinent Finance Corp., 6.88%, 08/15/23(c)

      233       244,941  

Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 04/15/22(c)

      299       290,344  

Qualitytech LP/QTS Finance Corp., 4.75%, 11/15/25(c)

      146       139,430  
 

 

 

34    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

Radiate Holdco LLC/Radiate Finance, Inc., 6.88%, 02/15/23(c)

    USD       60     $ 57,900  

SFR Group SA, 6.25%, 05/15/24(c)

      420       414,750  

Sirius XM Radio, Inc., 5.00%, 08/01/27(c)

      237       228,999  

TEGNA, Inc.:

     

5.13%, 10/15/19

      105       105,000  

5.50%, 09/15/24(c)

      66       67,155  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(c)

      400       374,000  

Telenet Finance VI Luxembourg SCA, 4.88%, 07/15/27

    EUR       90       112,010  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24(c)

    USD       241       258,171  

Tribune Media Co., 5.88%, 07/15/22

      302       306,530  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 3.50%, 01/15/27

    EUR       100       122,311  

Univision Communications, Inc.(c):

     

5.13%, 05/15/23(h)

    USD       336       319,200  

5.13%, 02/15/25

      133       122,028  

UPCB Finance IV Ltd.:

     

5.38%, 01/15/25(c)

      200       197,520  

4.00%, 01/15/27

    EUR       90       107,189  

Videotron Ltd., 5.13%, 04/15/27(c)

    USD       326       322,740  

Virgin Media Finance PLC, 5.75%, 01/15/25(c)(h)

      655       631,256  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 09/15/24

    GBP       100       128,854  

Virgin Media Secured Finance PLC:

     

5.13%, 01/15/25

      100       131,902  

5.50%, 01/15/25

      180       238,602  

5.25%, 01/15/26(c)(h)

    USD       355       345,309  

5.50%, 08/15/26(c)(h)

      200       196,500  

Ziggo Bond Finance BV:

     

4.63%, 01/15/25

    EUR       137       158,228  

5.88%, 01/15/25(c)(h)

    USD       470       438,862  

Ziggo Secured Finance BV, 5.50%, 01/15/27(c)

      300       282,564  
     

 

 

 
    39,378,068  
Metals & Mining — 1.9%  

Alcoa Nederland Holding BV, 6.13%, 05/15/28(c)

      200       206,500  

Big River Steel LLC/BRS Finance Corp., 7.25%, 09/01/25(c)

      175       183,318  

Cleveland-Cliffs, Inc., 4.88%, 01/15/24(c)

      188       183,300  

Constellium NV(c):

     

5.75%, 05/15/24

      500       498,125  

6.63%, 03/01/25(h)

      273       277,777  

5.88%, 02/15/26

      250       245,000  

Freeport-McMoRan, Inc.:

     

4.00%, 11/14/21

      240       237,526  

3.55%, 03/01/22

      855       825,075  

3.88%, 03/15/23

      1,292       1,241,935  

5.40%, 11/14/34

      218       201,310  

5.45%, 03/15/43

      1,205       1,074,980  

Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(c)(h)

      626       657,106  

Joseph T Ryerson & Son, Inc., 11.00%, 05/15/22(c)

      172       189,630  

Kaiser Aluminum Corp., 5.88%, 05/15/24

      112       114,800  

Novelis Corp.(c)(h):

     

6.25%, 08/15/24

      810       820,125  

5.88%, 09/30/26

      626       609,599  

Nyrstar Netherlands Holdings BV, 6.88%, 03/15/24

    EUR       100       103,149  

Steel Dynamics, Inc.:

     

5.25%, 04/15/23(h)

    USD       200       203,060  

5.50%, 10/01/24

      56       57,400  

4.13%, 09/15/25

      195       185,738  

5.00%, 12/15/26

      15       14,925  
Security          Par
(000)
    Value  
Metals & Mining (continued)  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 06/15/25(c)

    USD       278     $ 289,815  

Teck Resources Ltd.:

     

4.50%, 01/15/21

      21       21,263  

8.50%, 06/01/24(c)(h)

      1,191       1,307,122  

5.20%, 03/01/42(h)

      473       442,846  

5.40%, 02/01/43

      142       135,255  

United States Steel Corp.:

     

6.88%, 08/15/25

      262       265,930  

6.25%, 03/15/26

      323       321,789  

Vale Overseas Ltd., 6.25%, 08/10/26

      188       206,589  

VM Holdings SA, 5.38%, 05/04/27(c)

      237       225,449  
     

 

 

 
    11,346,436  
Multi-Utilities — 0.4%  

Brooklyn Union Gas Co., 3.41%, 03/10/26(c)(h)

      1,475       1,440,936  

NGL Energy Partners LP/NGL Energy Finance Corp.:

     

5.13%, 07/15/19

      144       144,252  

6.88%, 10/15/21(h)

      553       561,295  

Superior Plus LP/Superior General Partner, Inc., 7.00%, 07/15/26(c)

      314       314,785  
     

 

 

 
    2,461,268  
Multiline Retail — 0.0%  

Neiman Marcus Group Ltd., 8.00%, 10/15/21(c)(h)

      332       224,930  
     

 

 

 
Offshore Drilling & Other Services — 0.0%  

Entegris, Inc., 4.63%, 02/10/26(c)

      190       183,112  
     

 

 

 
Oil, Gas & Consumable Fuels — 6.8%  

Andeavor Logistics LP, Series A, 6.88%(e)(m)

      125       125,281  

Andeavor Logistics LP/Tesoro Logistics Finance Corp., 4.25%, 12/01/27

      185       182,627  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 09/15/24

      55       55,413  

Antero Resources Corp.:

     

5.13%, 12/01/22

      76       76,760  

5.63%, 06/01/23

      104       107,021  

5.00%, 03/01/25

      247       248,853  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 04/01/22(c)

      207       228,735  

Berry Petroleum Co. LLC, 7.00%, 02/15/26(c)

      160       165,552  

Bruin E&P Partners LLC, 8.88%, 08/01/23(c)

      313       324,346  

California Resources Corp., 8.00%, 12/15/22(c)(h)

      509       456,191  

Callon Petroleum Co.:

     

6.13%, 10/01/24

      202       206,545  

Series WI, 6.38%, 07/01/26

      108       110,700  

Calumet Specialty Products Partners LP/Calumet Finance Corp.:

     

6.50%, 04/15/21

      24       23,640  

7.63%, 01/15/22

      128       126,720  

Carrizo Oil & Gas, Inc.:

     

6.25%, 04/15/23

      188       192,230  

8.25%, 07/15/25

      288       308,880  

Chaparral Energy, Inc., 8.75%, 07/15/23(c)

      276       274,620  

Cheniere Corpus Christi Holdings LLC:

     

7.00%, 06/30/24(h)

      523       578,569  

5.88%, 03/31/25

      352       374,000  

5.13%, 06/30/27(h)

      605       615,587  

Cheniere Energy Partners LP, Series WI, 5.25%, 10/01/25

      317       317,000  

Chesapeake Energy Corp.:

     

8.00%, 12/15/22(c)(h)

      640       672,800  

8.00%, 01/15/25

      181       184,846  

8.00%, 06/15/27(h)

      1,003       1,015,537  
 

 

 

SCHEDULES OF INVESTMENTS      35  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Citgo Holding, Inc., 10.75%, 02/15/20(c)

    USD       135     $ 144,113  

CNX Resources Corp., 5.88%, 04/15/22(h)

      3,001       3,000,850  

Comstock Escrow Corp., 9.75%, 08/15/26(c)

      507       494,959  

CONSOL Energy, Inc.:

     

8.00%, 04/01/23

      8       8,462  

11.00%, 11/15/25(c)(h)

      585       665,437  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 05/15/25(c)(h)

      459       467,606  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 04/01/23

      35       36,094  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(c)(h)

      1,273       1,237,992  

DCP Midstream LLC(c):

     

4.75%, 09/30/21

      80       81,200  

6.45%, 11/03/36

      226       237,865  

6.75%, 09/15/37

      373       401,907  

DCP Midstream Operating LP, 5.38%, 07/15/25

      94       96,350  

DEA Finance SA, 7.50%, 10/15/22

    EUR       100       124,810  

Denbury Resources, Inc.(c):

     

9.25%, 03/31/22

    USD       402       429,637  

7.50%, 02/15/24

      206       209,348  

Diamond Offshore Drilling, Inc.:

     

7.88%, 08/15/25

      184       187,680  

5.70%, 10/15/39

      7       5,565  

4.88%, 11/01/43

      163       116,138  

Diamondback Energy, Inc.:

     

4.75%, 11/01/24

      109       109,681  

5.38%, 05/31/25

      101       103,273  

Eclipse Resources Corp., 8.88%, 07/15/23

      70       71,050  

Enbridge, Inc., 6.25%, 03/01/78(e)

      1,565       1,520,059  

Endeavor Energy Resources LP/EER Finance, Inc.(c):

     

5.50%, 01/30/26

      427       425,932  

5.75%, 01/30/28

      133       132,668  

EnLink Midstream Partners LP:

     

4.40%, 04/01/24

      59       57,523  

4.15%, 06/01/25

      205       193,031  

4.85%, 07/15/26

      38       36,916  

5.05%, 04/01/45

      75       63,513  

5.45%, 06/01/47

      208       185,013  

Ensco Jersey Finance Ltd., 3.00%, 01/31/24(k)

      734       672,527  

Ensco PLC, 5.75%, 10/01/44

      30       21,825  

EP Energy LLC/Everest Acquisition Finance, Inc.:

     

9.38%, 05/01/20

      8       7,840  

9.38%, 05/01/24(c)

      340       267,750  

7.75%, 05/15/26(c)(h)

      616       629,860  

Extraction Oil & Gas, Inc.(c):

     

7.38%, 05/15/24

      290       295,075  

5.63%, 02/01/26

      537       502,766  

Genesis Energy LP/Genesis Energy Finance Corp.:

     

6.50%, 10/01/25

      95       91,913  

6.25%, 05/15/26

      158       148,915  

Geopark Ltd., 6.50%, 09/21/24(c)

      200       199,500  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 09/30/21(c)(h)

      877       901,117  

Gulfport Energy Corp.:

     

6.63%, 05/01/23

      190       193,800  

6.00%, 10/15/24

      26       25,675  

6.38%, 05/15/25

      72       71,370  

6.38%, 01/15/26

      113       110,175  

Halcon Resources Corp., 6.75%, 02/15/25

      417       389,374  

Hess Corp., 4.30%, 04/01/27

      50       48,566  

Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp., 5.63%, 02/15/26(c)

      341       343,558  
Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Impulsora Pipeline LLC, 6.05%, 12/31/42(a)

    USD       1,500     $ 1,507,480  

Jagged Peak Energy LLC, 5.88%, 05/01/26(c)

      30       29,550  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(c)

      156       156,390  

Matador Resources Co., 5.88%, 09/15/26(c)

      279       283,938  

MEG Energy Corp.(c)(h):

     

7.00%, 03/31/24

      202       183,315  

6.50%, 01/15/25

      401       398,995  

Nabors Industries, Inc.:

     

0.75%, 01/15/24(k)

      399       314,118  

5.75%, 02/01/25(c)

      155       149,124  

New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(c)

      74       75,295  

Newfield Exploration Co.:

     

5.63%, 07/01/24

      33       35,186  

5.38%, 01/01/26

      383       399,277  

NGPL PipeCo LLC(c):

     

4.88%, 08/15/27

      199       200,540  

7.77%, 12/15/37(h)

      354       437,190  

Noble Holding International Ltd.:

     

7.75%, 01/15/24(h)

      373       364,607  

7.95%, 04/01/25

      51       48,450  

7.88%, 02/01/26(c)(h)

      812       832,300  

Odebrecht Offshore Drilling Finance(c):

     

6.72%, 12/01/22

    BRL       85       80,101  

7.72%, 12/01/26(i)

      8       2,139  

Paramount Resources Ltd., 6.88%, 06/30/23(c)

    USD       326       339,040  

Parsley Energy LLC/Parsley Finance Corp.(c):

     

6.25%, 06/01/24

      73       76,103  

5.38%, 01/15/25

      316       318,338  

5.25%, 08/15/25

      77       76,423  

5.63%, 10/15/27

      223       225,788  

PBF Holding Co. LLC/ PBF Finance Corp., 7.25%, 06/15/25

      212       223,660  

PDC Energy, Inc.:

     

1.13%, 09/15/21(k)

      807       795,541  

6.13%, 09/15/24

      24       23,880  

5.75%, 05/15/26

      115       111,550  

Petrobras Global Finance BV:

     

6.13%, 01/17/22

      114       116,394  

8.75%, 05/23/26

      176       187,915  

6.00%, 01/27/28(c)

      189       169,722  

Petroleos Mexicanos:

     

5.38%, 03/13/22

      39       39,858  

6.50%, 03/13/27

      117       118,451  

5.35%, 02/12/28(c)

      89       83,037  

Precision Drilling Corp., 7.13%, 01/15/26(c)

      46       47,323  

QEP Resources, Inc.:

     

6.88%, 03/01/21

      24       25,260  

5.38%, 10/01/22(h)

      377       378,998  

5.63%, 03/01/26

      421       402,581  

Range Resources Corp.:

     

5.88%, 07/01/22(h)

      232       234,320  

5.00%, 03/15/23

      148       144,788  

4.88%, 05/15/25

      326       312,145  

Resolute Energy Corp., 8.50%, 05/01/20

      412       412,000  

Rockies Express Pipeline LLC, 6.88%, 04/15/40(c)

      273       316,680  

Rowan Cos., Inc.:

     

4.88%, 06/01/22

      234       217,620  

4.75%, 01/15/24

      64       55,040  

7.38%, 06/15/25(h)

      327       313,920  

Sanchez Energy Corp.:

     

7.75%, 06/15/21(h)

      874       607,430  

6.13%, 01/15/23(h)

      360       203,274  

7.25%, 02/15/23(c)

      117       113,929  
 

 

 

36    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

SESI LLC, 7.13%, 12/15/21

    USD       85     $ 86,275  

Seven Generations Energy Ltd., 5.38%, 09/30/25(c)(h)

      206       199,820  

SM Energy Co.:

     

5.00%, 01/15/24

      192       186,240  

5.63%, 06/01/25(h)

      341       337,590  

6.75%, 09/15/26

      34       35,233  

6.63%, 01/15/27

      234       241,322  

Southwestern Energy Co.:

     

6.20%, 01/23/25

      179       179,224  

7.50%, 04/01/26

      286       299,585  

7.75%, 10/01/27

      288       304,560  

Sunoco Logistics Partners Operations LP, 3.90%, 07/15/26(h)

      235       225,076  

Sunoco LP/Sunoco Finance Corp.(c):

     

4.88%, 01/15/23

      331       326,545  

5.50%, 02/15/26

      104       99,580  

5.88%, 03/15/28

      124       118,730  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(c)(h):

     

5.50%, 09/15/24

      563       575,667  

5.50%, 01/15/28

      896       904,960  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.:

     

5.25%, 05/01/23

      15       15,188  

5.13%, 02/01/25

      114       114,570  

5.88%, 04/15/26(c)

      338       346,450  

5.00%, 01/15/28(c)

      356       345,765  

Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(c)

      280       275,796  

Transocean Guardian Ltd., 5.88%, 01/15/24(c)

      269       270,345  

Transocean Pontus Ltd., 6.13%, 08/01/25(c)

      317       323,340  

Whiting Petroleum Corp., 6.63%, 01/15/26

      290       301,600  

WildHorse Resource Development Corp.:

     

6.88%, 02/01/25

      20       20,150  

6.88%, 02/01/25(c)

      140       141,050  

WPX Energy, Inc.:

     

6.00%, 01/15/22

      44       45,430  

8.25%, 08/01/23

      32       36,320  

5.25%, 09/15/24

      130       130,975  

5.75%, 06/01/26

      168       169,470  

YPF SA, 8.50%, 07/28/25

      250       222,500  
     

 

 

 
    41,807,090  
Paper & Forest Products — 0.0%  

Norbord, Inc., 6.25%, 04/15/23(c)

      168       174,930  
     

 

 

 
Pharmaceuticals — 2.4%  

AbbVie, Inc., 3.60%, 05/14/25(h)

      695       678,892  

Actavis Funding SCS, 3.45%, 03/15/22(h)

      2,460       2,442,045  

Charles River Laboratories International, Inc., 5.50%, 04/01/26(c)

      127       128,905  

CVS Health Corp.(h):

     

4.75%, 12/01/22

      165       171,484  

4.10%, 03/25/25

      2,355       2,359,606  

Elanco Animal Health, Inc.(c):

     

4.27%, 08/28/23

      130       130,697  

4.90%, 08/28/28

      139       139,963  

Endo DAC/Endo Finance LLC/Endo Finco, Inc., 5.88%, 10/15/24(c)

      205       204,744  

Endo Finance LLC/Endo Finco, Inc.(c):

     

7.25%, 01/15/22

      121       116,160  

5.38%, 01/15/23

      65       55,575  

6.00%, 07/15/23(h)

      233       200,380  
Security          Par
(000)
    Value  
Pharmaceuticals (continued)  

Ephios Bondco PLC, 6.25%, 07/01/22

    EUR       100     $ 119,829  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24(c)

    USD       162       171,333  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 08/01/23(c)(h)

      1,179       1,184,895  

Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23(h)

      1,500       1,432,406  

Valeant Pharmaceuticals International, Inc.(c):

     

7.50%, 07/15/21

      63       64,000  

5.63%, 12/01/21

      258       255,420  

6.50%, 03/15/22

      345       357,075  

5.50%, 03/01/23

      481       453,405  

4.50%, 05/15/23

    EUR       246       278,406  

5.88%, 05/15/23(h)

    USD       872       833,632  

7.00%, 03/15/24

      476       502,180  

6.13%, 04/15/25(h)

      962       894,660  

5.50%, 11/01/25(h)

      571       569,572  

9.00%, 12/15/25

      96       101,520  

9.25%, 04/01/26

      218       231,250  

8.50%, 01/31/27(c)(h)

      591       607,252  
     

 

 

 
    14,685,286  
Real Estate — 0.0%  

Prologis LP, 3.75%, 11/01/25(h)

      255       257,711  
     

 

 

 
Real Estate Management & Development — 0.2%  

ADLER Real Estate AG:

     

1.88%, 04/27/23

    EUR       100       114,549  

2.13%, 02/06/24

      100       114,223  

3.00%, 04/27/26

      100       114,601  

Greystar Real Estate Partners LLC, 5.75%, 12/01/25(c)

    USD       174       170,085  

Howard Hughes Corp., 5.38%, 03/15/25(c)

      218       215,275  

Realogy Group LLC/Realogy Co-Issuer Corp.(c):

     

4.50%, 04/15/19(h)

      301       302,505  

5.25%, 12/01/21

      58       58,000  

4.88%, 06/01/23(h)

      141       131,835  

RESIDOMO Sro, 3.38%, 10/15/24

    EUR       100       116,713  
     

 

 

 
    1,337,786  
Road & Rail — 0.9%  

Ashtead Capital, Inc., 5.25%, 08/01/26(c)

    USD       234       240,435  

EC Finance PLC, 2.38%, 11/15/22

    EUR       200       233,578  

Flexi-Van Leasing, Inc., 10.00%, 02/15/23(c)

    USD       169       147,030  

Herc Rentals, Inc.(c):

     

7.50%, 06/01/22

      112       117,180  

7.75%, 06/01/24

      106       114,316  

Hertz Corp., 7.63%, 06/01/22(c)

      404       400,970  

Hertz Holdings Netherlands BV, 5.50%, 03/30/23

    EUR       100       117,897  

Lima Metro Line 2 Finance Ltd.,
5.88%, 07/05/34(c)(h)

    USD       3,000       3,127,530  

Loxam SAS, 3.50%, 05/03/23

    EUR       100       119,865  

United Rentals North America, Inc.:

     

4.63%, 07/15/23

    USD       160       161,720  

4.63%, 10/15/25

      383       374,382  

Watco Cos. LLC/Watco Finance Corp., 6.38%, 04/01/23(c)

      319       326,178  
     

 

 

 
    5,481,081  
Semiconductors & Semiconductor Equipment — 1.2%  

Advanced Micro Devices, Inc., 7.50%, 08/15/22

      73       81,760  

Analog Devices, Inc.(h):

     

3.90%, 12/15/25

      375       373,135  

3.50%, 12/05/26

      275       265,480  

Applied Materials, Inc., 3.90%, 10/01/25(h)

      285       291,153  
 

 

 

SCHEDULES OF INVESTMENTS      37  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Semiconductors & Semiconductor Equipment (continued)  

Broadcom Corp./Broadcom Cayman Finance Ltd.(h):

     

3.00%, 01/15/22

    USD       1,250     $ 1,219,242  

3.63%, 01/15/24

      1,515       1,466,942  

Microchip Technology, Inc., 1.63%, 02/15/25(k)

      506       836,601  

Micron Technology, Inc., 5.50%, 02/01/25

      10       10,349  

ON Semiconductor Corp., 1.00%, 12/01/20(k)

      498       632,514  

Qorvo, Inc., 5.50%, 07/15/26(c)

      422       424,110  

QUALCOMM, Inc., 3.45%, 05/20/25(h)

      1,570       1,529,308  

Sensata Technologies BV(c):

     

5.63%, 11/01/24

      179       185,265  

5.00%, 10/01/25(h)

      278       277,305  
     

 

 

 
    7,593,164  
Software — 1.9%  

ACI Worldwide, Inc.(c):

     

6.38%, 08/15/20(h)

      360       360,000  

5.75%, 08/15/26

      554       559,540  

BMC Software Finance, Inc., 8.13%, 07/15/21(c)

      222       226,931  

CA, Inc., 3.60%, 08/15/22(h)

      555       550,443  

CDK Global, Inc., 4.88%, 06/01/27

      490       481,425  

Citrix Systems, Inc., 0.50%, 04/15/19(k)

      140       220,584  

Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Holdings LLC, 10.00%, 11/30/24(c)(h)

      611       681,265  

Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK),
7.13%, 05/01/21(c)(h)(i)

      545       549,943  

Infor US, Inc., 6.50%, 05/15/22(h)

      2,303       2,332,870  

Informatica LLC, 7.13%, 07/15/23(c)(h)

      1,725       1,755,187  

Nuance Communications, Inc.:

     

5.38%, 08/15/20(c)(h)

      36       36,000  

6.00%, 07/01/24

      174       178,350  

5.63%, 12/15/26

      143       142,464  

PTC, Inc., 6.00%, 05/15/24

      227       238,350  

RP Crown Parent LLC, 7.38%, 10/15/24(c)

      454       468,619  

Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(c)(h)

      1,762       1,933,795  

Sophia LP/Sophia Finance, Inc.,
9.00%, 09/30/23(c)(h)

      303       315,877  

TIBCO Software, Inc., 11.38%, 12/01/21(c)(h)

      784       838,880  
     

 

 

 
    11,870,523  
Specialty Retail — 0.3%  

Asbury Automotive Group, Inc., 6.00%, 12/15/24(h)

      334       334,835  

Catalent Pharma Solutions, Inc.,
4.88%, 01/15/26(c)

      324       309,015  

Group 1 Automotive, Inc.:

     

5.00%, 06/01/22(h)

      155       153,450  

5.25%, 12/15/23(c)

      18       17,505  

Hexion US Finance Corp., 6.63%, 04/15/20

      193       182,626  

L Brands, Inc.:

     

6.88%, 11/01/35(h)

      401       333,953  

6.75%, 07/01/36

      71       57,865  

Masaria Investments SAU, 5.00%, 09/15/24

    EUR       100       112,593  

Penske Automotive Group, Inc., 5.50%, 05/15/26

    USD       32       31,360  

PVH Corp., 3.13%, 12/15/27

    EUR       100       115,357  
     

 

 

 
    1,648,559  
Technology Hardware, Storage & Peripherals — 0.4%  

Dell International LLC/EMC Corp.(c)(h):

     

4.42%, 06/15/21

    USD       40       40,687  

7.13%, 06/15/24

      651       695,951  

6.02%, 06/15/26

      135       143,117  

8.35%, 07/15/46

      80       98,149  
Security          Par
(000)
    Value  
Technology Hardware, Storage & Peripherals (continued)  

Hewlett Packard Enterprise Co.,
4.90%, 10/15/25(h)

    USD       375     $ 386,743  

Western Digital Corp., 4.75%, 02/15/26(h)

      1,099       1,077,493  
     

 

 

 
    2,442,140  
Textiles, Apparel & Luxury Goods — 0.0%  

BiSoho SAS, 5.88%, 05/01/23

    EUR       49       59,374  
     

 

 

 
Thrifts & Mortgage Finance — 0.1%  

Jerrold Finco PLC, 6.25%, 09/15/21

    GBP       100       132,238  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(c):

     

5.25%, 03/15/22

    USD       23       23,086  

5.25%, 10/01/25

      284       266,605  
     

 

 

 
    421,929  
Tobacco — 0.1%  

Reynolds American, Inc., 3.25%, 06/12/20

      396       395,529  
     

 

 

 
Transportation — 0.0%  

JB Poindexter & Co., Inc., 7.13%, 04/15/26(c)

      103       106,476  
     

 

 

 
Transportation Infrastructure — 0.2%  

Ceva Logistics Finance BV, 5.25%, 08/01/25

    EUR       100       115,727  

Rumo Luxembourg Sarl, 7.38%, 02/09/24(c)

    USD       293       292,956  

Transurban Finance Co. Property Ltd., 4.13%, 02/02/26(c)(h)

      435       432,834  

WFS Global Holding SAS, 9.50%, 07/15/22

    EUR       100       121,977  
     

 

 

 
    963,494  
Utilities — 0.2%  

ContourGlobal Power Holdings SA, 3.38%, 08/01/23

      100       116,278  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 07/27/23(c)

    USD       293       242,091  

Inkia Energy Ltd., 5.88%, 11/09/27(c)

      377       363,805  

Stoneway Capital Corp., 10.00%, 03/01/27(c)(h)

      293       262,569  

Vistra Operations Co. LLC, 5.50%, 09/01/26(c)

      210       212,824  
     

 

 

 
    1,197,567  
Wireless Telecommunication Services — 2.2%  

CoreCivic, Inc., 4.75%, 10/15/27

      169       151,677  

CyrusOne LP/CyrusOne Finance Corp.:

     

5.00%, 03/15/24(h)

      510       516,375  

5.38%, 03/15/27

      66       66,330  

Digicel Group Ltd., 7.13%, 04/01/22(c)(h)

      200       118,000  

Digicel Ltd., 6.00%, 04/15/21(c)(h)

      2,073       1,935,374  

Equinix, Inc., 2.88%, 10/01/25

    EUR       100       113,893  

Frontier Communications Corp., 8.50%, 04/01/26(c)

    USD       529       497,683  

Matterhorn Telecom SA:

     

3.88%, 05/01/22

    EUR       100       118,231  

4.00%, 11/15/27

      100       110,833  

Radiate Holdco LLC/Radiate Finance, Inc., 6.63%, 02/15/25(c)

    USD       215       201,025  

Rogers Communications, Inc., 5.00%, 03/15/44(h)

      545       568,562  

SBA Communications Corp.:

     

4.00%, 10/01/22

      401       392,074  

4.88%, 09/01/24

      420       414,414  

Sprint Capital Corp.:

     

6.90%, 05/01/19

      135       138,037  

6.88%, 11/15/28

      461       457,542  

8.75%, 03/15/32

      298       329,290  

Sprint Communications, Inc.:

     

7.00%, 03/01/20(c)(h)

      904       939,030  

7.00%, 08/15/20

      125       130,938  
 

 

 

38    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Wireless Telecommunication Services (continued)  

Sprint Corp.(h):

     

7.88%, 09/15/23

    USD       577     $ 620,996  

7.13%, 06/15/24

      2,162       2,243,075  

7.63%, 02/15/25

      429       455,276  

7.63%, 03/01/26

      641       673,153  

Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 03/20/23(c)(h)

      422       420,202  

T-Mobile USA, Inc.:

     

4.00%, 04/15/22

      197       195,769  

6.38%, 03/01/25

      282       293,280  

6.50%, 01/15/26

      227       239,982  

4.50%, 02/01/26(h)

      489       466,384  

4.75%, 02/01/28(h)

      285       268,413  

Wind Tre SpA, 3.13%, 01/20/25

    EUR       100       108,414  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 06/01/22(c)(i)

    USD       128       130,130  
     

 

 

 
    13,314,382  
     

 

 

 

Total Corporate Bonds — 61.3%
(Cost — $378,397,388)

 

    375,815,071  
     

 

 

 

Floating Rate Loan Interests(d) — 40.1%

 

Aerospace & Defense — 0.4%  

Accudyne Industries LLC, 2017 Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 08/18/24

      1,003       1,005,804  

DAE Aviation Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 07/07/22

      159       159,074  

TransDigm, Inc.:

     

2018 Term Loan E, (1 mo. LIBOR + 2.50%), 4.58%, 05/30/25

      262       260,636  

2018 Term Loan F, (1 mo. LIBOR + 2.50%), 4.58%, 06/09/23

      790       788,425  

WP CPP Holdings LLC, 2018 Term Loan, (2 mo. LIBOR + 3.75%, 1.00% Floor), 6.21%, 04/30/25

      189       189,592  
     

 

 

 
    2,403,531  
Air Freight & Logistics — 0.1%  

Avolon TLB Borrower 1 (US) LLC, Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 01/15/25

      200       199,627  

XPO Logistics, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.06%, 02/24/25

      206       206,753  
     

 

 

 
    406,380  
Airlines — 0.0%  

Northwest Airlines, Inc., Term Loan, (6 mo. LIBOR + 1.23%), 3.30%, 09/10/18(a)

      69       68,970  
     

 

 

 
Auto Components — 0.2%  

Dayco Products LLC, 2017 Term Loan B, (3 mo. LIBOR + 4.25%), 6.56%, 05/19/23

      308       308,343  

USI, Inc., 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.33%, 05/16/24

      626       623,872  
     

 

 

 
    932,215  
Auto Parts — 0.1%  

Mavis Tire Express Services Corp.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 03/20/25

      452       447,788  

2018 Delayed Draw Term Loan, (1 mo. LIBOR + 3.25%), 1.24%, 03/20/25

      73       3,952  
     

 

 

 
    451,740  
Security          Par
(000)
    Value  
Automobiles — 0.1%  

CH Hold Corp.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 02/01/24

    USD       402     $ 403,595  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor), 9.33%, 02/01/25(a)

      110       111,100  

FCA US LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.07%, 12/31/18

      373       373,118  
     

 

 

 
    887,813  
Banks — 0.1%  

Capri Finance LLC, USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.59%, 11/01/24

      642       638,566  
     

 

 

 
Building Materials — 0.1%  

Allied Universal HoldCo LLC, 2015 Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 07/28/22

      227       223,821  

USAGM HoldCo LLC, 2015 2nd Lien Term Loan, (1 mo. LIBOR + 8.50%, 1.00% Floor), 10.58%, 07/28/23

      290       286,285  
     

 

 

 
    510,106  
Building Products — 0.4%  

Continental Building Products LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 08/18/23

      127       126,732  

CPG International, Inc., 2017 Term Loan, (6 mo. LIBOR + 3.75%, 1.00% Floor), 6.25%, 05/03/24

      628       632,267  

Jeld-Wen, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.00%), 4.33%, 12/14/24

      507       507,135  

Reece Ltd., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.34%, 07/02/25

      360       359,550  

Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 12/19/23

      650       651,706  
     

 

 

 
    2,277,390  
Capital Markets — 0.3%  

Duff & Phelps Corp., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 02/13/25

      269       269,718  

Fortress Investment Group LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 12/27/22

      424       425,421  

Greenhill & Co., Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.84%, 10/12/22

      416       419,448  

RPI Finance Trust, Term Loan B6, (3 mo. LIBOR + 2.00%), 4.33%, 03/27/23

      845       846,350  
     

 

 

 
    1,960,937  
Chemicals — 1.4%  

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/31/24

      1,128       1,130,536  

Axalta Coating Systems US Holdings, Inc., Term Loan, (3 mo. LIBOR + 1.75%), 4.08%, 06/01/24

      913       913,191  

Charter NEX US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 05/16/24

      441       439,559  

Chemours Co. (The), 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 04/03/25

      288       287,448  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/28/24

      214       214,460  

Encapsys LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 11/07/24

      334       334,791  

Evergreen Acqco 1 LP, Term Loan, (3 mo. LIBOR + 3.75%), 6.10%, 07/09/19

      100       97,102  

Invictus US LLC:

     

1st Lien Term Loan, (2 mo. LIBOR + 3.00%), 5.20%, 03/28/25

      527       528,377  
 

 

 

SCHEDULES OF INVESTMENTS      39  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals (continued)  

2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 8.83%, 03/25/26

    USD       135     $ 134,831  

LTI Holdings, Inc.(o):

     

2018 2nd Lien Term Loan, 08/10/26

      107       106,599  

2018 Add On 1st Lien Term Loan, 08/10/25

      337       337,842  

MacDermid, Inc.:

     

Term Loan B6, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 06/07/23

      468       469,603  

Term Loan B7, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 06/07/20

      571       572,193  

Oxea Holding Drei GmbH, 2017 Term Loan B2, (1 mo. LIBOR + 3.50%), 5.63%, 10/11/24

      1,235       1,240,659  

PQ Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 02/08/25

      912       912,197  

Tata Chemicals North America, Inc., Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.13%, 08/07/20

      476       475,633  

Vectra Co., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 03/08/25

      375       374,374  
     

 

 

 
    8,569,395  
Commercial Services & Supplies — 2.4%  

Advanced Disposal Services, Inc., Term Loan B3, (1 Week LIBOR + 2.25%), 4.21%, 11/10/23

      1,009       1,010,691  

Aramark Services, Inc., 2018 Term Loan B3, (3 mo. LIBOR + 1.75%), 4.08%, 03/11/25

      495       495,749  

Asurion LLC:

     

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.58%, 08/04/25

      731       751,709  

2017 Term Loan B4, (1 mo. LIBOR + 3.00%), 5.08%, 08/04/22

      217       217,491  

2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 5.08%, 11/03/23

      1,379       1,382,467  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 5.08%, 11/03/24

      392       392,980  

Camelot UK Holdco Ltd., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 10/03/23

      886       884,986  

Catalent Pharma Solutions, Inc., Term Loan B, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 05/20/24

      747       749,293  

Creative Artists Agency LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.06%, 02/15/24

      951       952,260  

Dealer Tire LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.70%, 12/22/21(a)

      268       258,901  

Employbridge LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.50%, 04/10/25

      270       273,037  

EnergySolutions, LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor),
6.08%, 05/09/25(a)

      193       194,206  

Garda World Security Corp., 2017 Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.80%, 05/24/24

      279       280,147  

Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 7.08%, 11/03/23

      267       251,235  

KAR Auction Services, Inc., Term Loan B5, (1 mo. LIBOR + 2.50%), 4.63%, 03/09/23

      498       499,512  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 05/02/22

      1,478       1,481,234  

US Security Associates Holdings, Inc., 2016 Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 07/14/23

      755       754,781  

Verscend Holding Corp., 2018 Term Loan B, 08/27/25(o)

      1,569       1,577,572  
Security          Par
(000)
    Value  
Commercial Services & Supplies (continued)  

West Corporation:

     

2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 10/10/24

    USD       1,100     $ 1,094,688  

2018 Term Loan B1, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 10/10/24

      100       98,944  

Wrangler Buyer Corp., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 09/27/24

      1,265       1,270,151  
     

 

 

 
    14,872,034  
Communications Equipment — 0.3%  

Avantor, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 11/21/24

      1,103       1,114,910  

Avaya, Inc.:

     

2018 Term Loan B, (1 mo. LIBOR + 4.25%), 6.31%, 12/15/24

      516       519,415  

Exit Term Loan B, 05/29/20(a)

      289        

CommScope, Inc., Term Loan B5, (1 mo. LIBOR + 2.00%), 4.08%, 12/29/22

      141       141,985  

Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 11/01/24

      204       203,800  
     

 

 

 
    1,980,110  
Construction & Engineering — 0.7%  

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.60%, 06/21/24

      2,134       2,144,216  

Engility Corp., Term Loan B1, (PRIME + 1.75%), 4.33%, 08/12/20

      64       63,396  

FrontDoor Inc, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.63%, 08/14/25

      244       244,305  

Pike Corp., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 03/23/25

      349       351,381  

SRS Distribution, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.44%, 05/23/25

      805       785,931  

USIC Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/08/23

      407       408,673  
     

 

 

 
    3,997,902  
Construction Materials — 0.5%  

Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.31%, 08/01/24

      878       881,112  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 03/29/25

      1,621       1,626,011  

GYP Holdings III Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 06/01/25

      660       653,363  
     

 

 

 
    3,160,486  
Containers & Packaging — 0.4%  

Berry Global, Inc.:

     

2018 Term Loan S, (3 mo. LIBOR + 1.75%), 3.94%, 02/08/20

      222       222,044  

Term Loan Q, (3 mo. LIBOR + 2.00%), 4.19%, 10/01/22

      1,077       1,077,299  

BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 5.58%, 04/03/24

      562       558,922  

Flex Acquisition Co., Inc., 2018 Incremental Term Loan, (3 mo. LIBOR + 3.25%), 5.75%, 06/29/25

      601       600,249  
     

 

 

 
    2,458,514  
Distributors — 0.3%  

American Builders & Contractors Supply Co., Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 10/31/23

      926       921,130  

TriMark USA LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 08/28/24

      786       784,853  
     

 

 

 
    1,705,983  
 

 

 

40    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Diversified Consumer Services — 1.1%  

AI Aqua Merger Sub, Inc.:

     

2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/13/23

    USD       464     $ 461,968  

2017 Incremental Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/13/23(a)

      239       237,524  

Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 07/12/24

      377       376,207  

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 11/07/23

      512       511,405  

CHG PPC Parent LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 03/31/25(a)

      235       234,119  

Equian LLC, Add on Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.32%, 05/20/24

      547       546,897  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%),
5.94%, 07/12/25(a)

      459       460,148  

Nomad Foods Europe Midco Ltd., 2017 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.31%, 05/15/24

      522       518,798  

Serta Simmons Bedding LLC.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 11/08/23

      881       754,075  

2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.07%, 11/08/24

      296       204,490  

ServiceMaster Co., 2016 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 11/08/23

      289       288,540  

Spin Holdco, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 11/14/22

      426       426,483  

Uber Technologies, 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 04/04/25

      435       437,719  

Weight Watchers International, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.75%), 7.05%, 11/29/24

      1,355       1,369,726  
     

 

 

 
    6,828,099  
Diversified Financial Services — 0.6%  

AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 04/04/24

      1,138       1,141,199  

CRCI Holdings Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.58%, 07/31/25

      249       249,416  

CVS Holdings I LP, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 02/06/25

      86       86,310  

Edelman Financial Center LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 5.59%, 07/21/25

      253       254,187  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 6.33%, 02/07/25

      656       655,497  

Global Business Travel Holdings Limited, 2018 Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 07/20/25

      140       140,525  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 07/03/24

      575       577,948  

Oryx Southern Delaware Holdings LLC, Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 02/09/25

      259       253,730  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.59%, 07/30/25(a)

      249       251,614  
     

 

 

 
    3,610,426  
Diversified Telecommunication Services — 1.8%  

CenturyLink, Inc.:

     

2017 Term Loan A, (1 mo. LIBOR + 2.75%), 4.83%, 11/01/22

      878       875,745  

2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 01/31/25

      2,363       2,335,050  
Security          Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Consolidated Communications, Inc., 2016 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 10/04/23

    USD       138     $ 135,669  

Frontier Communications Corp., Delayed Draw Term Loan A, (1 mo. LIBOR + 2.75%), 4.83%, 03/31/21

      780       756,843  

Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 05/16/24

      556       557,678  

Level 3 Financing, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 02/22/24

      839       840,083  

MTN Infrastructure TopCo, Inc, 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 11/15/24

      609       611,045  

Sprint Communications, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 2.50%), 4.63%, 02/02/24

      1,172       1,171,889  

TDC A/S:

     

Term Loan, (EURIBOR + 3.50%), 3.50%, 05/31/25

    EUR       1,000       1,163,141  

USD Term Loan, (3 mo. LIBOR + 3.50%), 5.84%, 05/31/25

    USD       545       549,087  

Telenet Financing USD LLC, Term Loan AN, (1 mo. LIBOR + 2.25%), 4.31%, 08/15/26

      1,390       1,372,236  

Zayo Group LLC:

     

2017 Incremental Term Loan, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 01/19/24

      95       95,314  

2017 Term Loan B1, (1 mo. LIBOR + 2.00%), 4.08%, 01/19/21

      634       634,496  
     

 

 

 
    11,098,276  
Electric Utilities — 0.3%  

Dayton Power & Light Co. (The), Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/24/22

      240       239,569  

TEX Operations Co. LLC, Exit Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/04/23

      649       647,641  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 11/10/18(a)

      780        

Vistra Energy Corp., 1st Lien Term Loan B3, (1 mo. LIBOR + 2.00%), 4.06%, 12/31/25

      1,055       1,052,362  

Vistra Operations Co. LLC, 2016 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 12/14/23

      151       151,507  
     

 

 

 
    2,091,079  
Electrical Equipment — 0.3%  

EXC Holdings III Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 12/02/24

      299       301,112  

Gates Global LLC, 2017 Repriced Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 04/01/24

      1,174       1,179,813  

MLN US HoldCo LLC, 2018 1st Lien Term Loan, 07/11/25(o)

      409       410,534  
     

 

 

 
    1,891,459  
Electronic Equipment, Instruments & Components — 0.0%  

Zebra Technologies Corporation, 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.06%, 10/27/21

      196       196,411  
     

 

 

 
Energy Equipment & Services — 0.4%  

Gavilan Resources LLC, 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.08%, 03/01/24

      778       751,743  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 02/12/25(a)

      580       582,900  

Ocean Rig UDW, Inc., Term Loan, (Fixed + 8.00%), 8.00%, 09/20/24

      44       46,454  
 

 

 

SCHEDULES OF INVESTMENTS      41  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Energy Equipment & Services (continued)  

Pioneer Energy Services Corp., Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.82%, 11/08/22(a)

    USD       260     $ 265,200  

Seadrill Partners Finco LLC, Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 8.33%, 02/21/21

      270       251,710  

Weatherford International Ltd., Term Loan, (1 mo. LIBOR + 1.42%), 3.51%, 07/13/20

      411       405,491  
     

 

 

 
    2,303,498  
Equity Real Estate Investment Trusts (REITs) — 0.8%  

Capital Automotive LP, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 03/24/24

      246       245,825  

DTZ U.S. Borrower LLC, 2018 Add On Term Loan B, (1 mo. LIBOR + 3.25%), 5.32%, 08/21/25

      892       888,655  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 03/21/25

      1,368       1,367,370  

RHP Hotel Properties LP, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.34%, 05/11/24

      405       404,167  

VICI Properties 1 LLC, Replacement Term Loan B, (1 mo. LIBOR + 2.00%), 4.07%, 12/20/24

      1,873       1,871,318  
     

 

 

 
    4,777,335  
Food & Staples Retailing — 0.3%  

Albertsons LLC, 2017 Term Loan B4, (1 mo. LIBOR + 2.75%), 4.83%, 08/25/21

      260       259,862  

Hearthside Food Solutions LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.06%, 05/23/25

      274       271,928  

Hostess Brands LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 08/03/22

      648       645,524  

US Foods, Inc., 2016 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 06/27/23

      652       650,310  
     

 

 

 
    1,827,624  
Food Products — 0.9%  

CFSP Acquisition Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.07%, 03/20/25

      174       171,920  

Chobani LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 10/10/23

      1,117       1,059,412  

Dole Food Co., Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 04/06/24

      331       330,764  

JBS USA LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.50%), 4.83%, 10/30/22

      1,614       1,612,314  

Pinnacle Foods Finance LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 02/02/24

      439       439,496  

Post Holdings Inc., 2017 Series A Incremental Term Loan, (1 mo. LIBOR + 2.00%), 4.07%, 05/24/24

      606       604,885  

Reynolds Group Holdings, Inc., 2017 Term Loan, (1 mo. LIBOR + 2.75%), 4.83%, 02/05/23

      1,254       1,257,118  
     

 

 

 
    5,475,909  
Gas Utilities — 0.1%  

AL Midcoast Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 5.50%), 7.84%, 07/31/25

      464       467,101  
     

 

 

 
Health Care Equipment & Supplies — 1.0%  

CryoLife, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.33%, 11/14/24

      582       584,986  

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.46%, 06/08/20

      2,077       2,075,246  

Immucor, Inc., Extended Term Loan B, (2 mo. LIBOR + 5.00%, 1.00% Floor), 7.17%, 06/15/21

      1,125       1,137,339  

Mallinckrodt International Finance SA, Term Loan B, (3 mo. LIBOR + 2.75%), 5.20%, 09/24/24

      446       442,415  
Security          Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.32%, 06/30/25

    USD       1,754     $ 1,752,594  
     

 

 

 
    5,992,580  
Health Care Providers & Services — 1.9%  

Acadia Healthcare Co., Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 02/11/22

      224       225,239  

2018 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.58%, 02/16/23

      619       621,491  

AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 06/30/25

      260       261,625  

Auris Luxembourg III Sarl, 2017 Term Loan B7, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 01/17/22(a)

      847       853,478  

CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 06/07/23

      1,145       1,147,293  

Concentra Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor),
4.84%, 06/01/22(a)

      605       607,269  

DaVita HealthCare Partners, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 06/24/21

      250       251,093  

DentalCorp Perfect Smile ULC.:

     

1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.09%, 06/06/25

      73       12,056  

1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% floor), 5.83%, 06/06/25

      292       292,626  

Diplomat Pharmacy, Inc., 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 12/20/24

      315       314,950  

Envision Healthcare Corp., 2016 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 12/01/23

      1,349       1,347,711  

Gentiva Health Services, Inc. :

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 6.13%, 07/02/25(a)

      355       357,341  

2018 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.38%, 07/02/26(a)

      86       87,108  

HC Group Holdings III, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.75%), 5.83%, 04/07/22

      812       814,782  

HCA, Inc.:

     

2018 Term Loan B10, (1 mo. LIBOR + 2.00%), 4.08%, 03/13/25

      150       150,373  

Term Loan B11, (1 mo. LIBOR + 1.75%), 3.83%, 03/18/23

      779       782,085  

Lifescan Global Corp., 2018 1st Lien Term Loan, 09/27/24(a)

      115       111,550  

MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 5.08%, 06/07/23

      1,059       1,057,734  

nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.58%, 10/20/22

      603       604,007  

NVA Holdings, Inc., Term Loan B3, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/02/25

      645       642,564  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/06/24

      624       595,300  

Vizient, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/13/23

      193       192,848  

WP CityMD Bidco LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 06/07/24

      254       253,566  
     

 

 

 
    11,584,089  
 

 

 

42    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care Services — 0.1%  

Sound Inpatient Physicians:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 06/27/25

    USD       226     $ 226,377  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 8.83%, 06/26/26

      123       123,154  
     

 

 

 
    349,531  
Health Care Technology — 0.2%  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 03/01/24

      782       782,359  

Press Ganey Holdings, Inc.:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 10/23/23

      633       633,690  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 1.00% Floor), 8.58%, 10/21/24(a)

      96       97,596  
     

 

 

 
    1,513,645  
Hotels, Restaurants & Leisure — 2.4%  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 4.10%, 10/19/24

      438       436,573  

Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 4.21%, 09/15/23

      877       880,795  

Bronco Midstream Funding LLC, Term Loan B, (3 mo. LIBOR + 3.50%), 5.57%, 08/14/23

      312       313,280  

Burger King Newco Unlimited Liability Co., Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 4.33%, 02/16/24

      1,982       1,980,460  

Caesars Resort Collection LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 12/22/24

      1,488       1,492,550  

CCM Merger, Inc., Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 08/08/21

      482       484,036  

CEC Entertainment, Inc., Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 02/14/21

      376       353,183  

ESH Hospitality, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 08/30/23

      820       818,193  

Four Seasons Hotels Ltd., 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.08%, 11/30/23

      399       398,145  

Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.47%, 12/01/23

      50       50,203  

GVC Holdings PLC, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 03/29/24

      329       329,073  

Hilton Worldwide Finance LLC, Term Loan B2, (1 mo. LIBOR + 1.75%), 3.81%, 10/25/23

      28       27,746  

IRB Holding Corp., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.29%, 02/05/25

      389       390,764  

Lakeland Tours, LLC, 2017 1st Lien Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.34%, 12/15/24

      366       367,774  

KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 04/03/25

      511       510,199  

Marriott Ownership Resorts, Inc., 2018 Term Loan B, 08/29/25(o)

      406       406,507  

Penn National Gaming, Inc., 2018 1st Lien Term Loan B, 08/14/25(o)

      198       198,248  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 04/29/24

      437       433,568  

Sabre GLBL, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 02/22/24

      889       890,130  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 4.83%, 08/14/24

      1,137       1,133,111  

Stars Group Holdings BV, 2018 Incremental Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 07/10/25

      2,092       2,107,544  
Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 05/30/25

    USD       510     $ 510,510  
     

 

 

 
    14,512,592  
Household Products — 0.3%  

Energizer Holdings, Inc., 2018 Term Loan B, 06/20/25(o)

      230       231,150  

Mastronardi Produce Ltd., Term Loan B, (3 mo. LIBOR + 3.25%), 5.33%, 05/01/25(a)

      190       190,950  

SIWF Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 6.31%, 06/15/25

      415       415,519  

Spectrum Brands, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.35%, 06/23/22

      923       923,671  
     

 

 

 
    1,761,290  
Independent Power and Renewable Electricity Producers — 0.8%  

AES Corp., 2018 Term Loan B, (3 mo. LIBOR + 1.75%), 4.07%, 05/31/22

      474       473,419  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 01/15/25

      812       812,735  

Calpine Corp.:

     

Term Loan B6, (3 mo. LIBOR + 2.50%), 4.84%, 01/15/23

      268       268,460  

Term Loan B7, (3 mo. LIBOR + 2.50%), 4.84%, 05/31/23

      255       255,538  

Compass Power Generation LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/20/24

      392       393,138  

EIF Channelview Cogeneration LLC, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 05/03/25

      150       151,125  

Granite Acquisition, Inc.:

     

Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.84%, 12/19/21

      1,055       1,061,388  

Term Loan C, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.83%, 12/19/21

      174       175,159  

Kestrel Acquisition LLC/Hunterstown Generation Facility, 2018 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 06/02/25

      410       413,075  

Nautilus Power LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 05/16/24

      266       266,016  

Terra-Gen Finance Co. LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor),
6.33%, 12/09/21(a)

      497       439,889  
     

 

 

 
    4,709,942  
Industrial Conglomerates — 0.3%  

Cortes NP Acquisition Corp., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.31%, 11/30/23

      1,557       1,555,237  

Sequa Mezzanine Holdings LLC, 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.19%, 11/28/21(a)

      525       514,328  
     

 

 

 
    2,069,565  
Insurance — 0.9%  

Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.07%, 05/09/25

      837       837,096  

AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 01/25/24

      864       864,705  

AssuredPartners, Inc., 2017 1st Lien Add-On Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 10/22/24

      391       390,359  

Davis Vision, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 12/02/24

      602       600,169  
 

 

 

SCHEDULES OF INVESTMENTS      43  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Insurance (continued)  

Hub International Ltd., 2018 Term Loan B, (3 mo. LIBOR + 3.00%), 5.33%, 04/25/25

    USD       526     $ 525,311  

Sedgwick Claims Management Services, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 03/01/21

      1,079       1,076,361  

2nd Lien Term Loan, (3 mo. LIBOR + 5.75%, 1.00% Floor), 7.88%, 02/28/22

      765       766,912  

Stratose Intermediate Holdings II LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 06/22/23

      382       383,806  
     

 

 

 
    5,444,719  
Internet & Direct Marketing Retail — 0.1%  

Harbor Freight Tools USA, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.58%, 08/18/23

      530       529,583  
     

 

 

 
Internet Software & Services — 0.5%  

Go Daddy Operating Co. LLC, 2017 Repriced Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 02/15/24

      1,287       1,289,957  

GTT Communications, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 05/31/25

      93       91,002  

Inmar Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 05/01/24

      293       293,637  

Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (2 mo. LIBOR + 3.00%, 1.00% Floor), 5.35%, 11/03/23

      1,041       1,034,509  

TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 05/06/24

      498       491,766  
     

 

 

 
    3,200,871  
IT Services — 2.0%  

Access CIG LLC:

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 02/27/25

      170       170,581  

2018 2nd Lien Incremental Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 02/27/26

      5       5,010  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 02/27/26

      71       71,324  

2018 Incremental Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 02/27/25

      24       24,015  

Altran Technologies SA, 1st Lien Term Loan, (3 mo. LIBOR + 2.25%), 4.57%, 03/20/25

      215       213,712  

Blackhawk Network Holdings, Inc, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.18%, 06/15/25

      556       557,401  

First Data Corp., 2024 Term Loan, (1 mo. LIBOR + 2.00%), 4.07%, 04/26/24

      3,529       3,522,701  

Flexential Intermediate Corp., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.50%), 5.83%, 08/01/24

      691       676,708  

Greeneden US Holdings II LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 12/01/23

      792       793,580  

Learning Care Group, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 03/13/25

      89       88,531  

Optiv Security, Inc.:

     

1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.31%, 02/01/24

      1,119       1,082,620  

2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 1.00% Floor), 9.31%, 02/01/25

      314       302,493  

Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 1.00% Floor), 9.59%, 08/01/25

      513       502,740  

TKC Holdings, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.83%, 02/01/23

      722       721,354  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%, 1.00% Floor), 10.08%, 02/01/24

      510       508,363  
Security          Par
(000)
    Value  
IT Services (continued)  

Trans Union LLC:

     

2018 Term Loan B4, (1 mo. LIBOR + 2.00%), 4.08%, 06/19/25

    USD       168     $ 168,526  

Term Loan B3, (1 mo. LIBOR + 2.00%), 4.08%, 04/10/23

      1,398       1,400,862  

Vantiv LLC, 2018 1st Lien Term Loan B3, (1 mo. LIBOR + 1.75%), 3.81%, 10/14/23

      475       474,870  

WEX, Inc., 2017 Term Loan B2, (1 mo. LIBOR + 2.25%), 4.33%, 06/30/23

      1,245       1,247,426  
     

 

 

 
    12,532,817  
Life Sciences Tools & Services — 0.1%  

Albany Molecular Research, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 08/30/24

      179       179,108  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%, 1.00% Floor), 9.08%, 08/30/25

      130       129,919  
     

 

 

 
    309,027  
Machinery — 0.7%  

Clark Equipment Co., 2018 Term Loan B, (3 mo. LIBOR + 2.00%), 4.33%, 05/18/24

      281       280,949  

Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.83%, 01/31/24(a)

      83       83,600  

Gardner Denver, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 07/30/24

      813       815,224  

Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 08/05/24

      490       491,363  

Infiltrator Systems, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 05/27/22

      752       753,691  

Rexnord LLC, 2017 Term Loan B, (3 mo. LIBOR + 2.00%), 4.06%, 08/21/24

      381       381,750  

Tecomet, Inc., 2017 Repriced Term Loan, (PRIME + 2.50%), 5.58%, 05/01/24

      630       631,168  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 03/28/25

      849       803,056  
     

 

 

 
        4,240,801  
Media — 3.3%  

Altice Financing SA, 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.81%, 01/31/26

      83       79,932  

Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 6.07%, 08/14/26

      1,460       1,419,061  

Altice US Finance I Corp., 2017 Term Loan, (1 mo. LIBOR + 2.25%), 4.33%, 07/28/25

      1,057       1,054,364  

Cable One, Inc., 2017 Term Loan B, (3 mo. LIBOR + 1.75%), 4.09%, 05/01/24

      257       257,722  

Charter Communications Operating LLC:

     

2017 Term Loan A2, (1 mo. LIBOR + 1.50%), 3.58%, 03/31/23

      1,017       1,015,769  

2017 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/30/25

      1,787       1,786,543  

CSC Holdings LLC:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 2.25%), 4.31%, 07/17/25

      1,242       1,236,530  

2018 Term Loan B, (1 mo. LIBOR + 2.50%), 4.56%, 01/25/26

      459       458,965  

Getty Images, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.58%, 10/18/19

      101       98,567  

Gray Television, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 02/07/24

      469       469,100  

iHeartCommunications, Inc.(j)(n):

     

Extended Term Loan E, 0.00%, 07/30/19

      215       159,839  

Term Loan D, 0.00%, 01/30/19

      1,341       998,145  
 

 

 

44    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)  

Intelsat Jackson Holdings SA, 2017 Term Loan B4, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.56%, 01/02/24

    USD       583     $ 611,196  

Learfield Communications LLC:

     

2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 12/01/23(a)

      590       594,101  

2017 1st Lien Term Loan, 12/01/23(a)(o)

      202       203,475  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.31%, 03/24/25

      392       391,510  

Meredith Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 01/31/25

      377       377,614  

MH Sub I LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.83%, 09/13/24

      279       279,641  

Mission Broadcasting, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.50%), 4.58%, 01/17/24

      64       64,223  

Nexstar Broadcasting, Inc., 2017 Term Loan B2, (3 mo. LIBOR + 2.50%), 4.58%, 01/17/24

      470       471,943  

Numericable Group SA, Term Loan B12, (1 mo. LIBOR + 3.68%), 5.75%, 01/31/26

      256       245,715  

PSAV Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.54%, 03/01/25

      453       448,680  

Radiate Holdco LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 02/01/24

      444       441,598  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.06%, 09/28/23

      991       991,991  

Tribune Media Co., Term Loan C, (1 mo. LIBOR + 3.00%), 5.08%, 01/27/24

      1,222       1,224,113  

Unitymedia Finance LLC:

     

Term Loan B, (1 mo. LIBOR + 2.25%), 4.31%, 09/30/25

      691       689,362  

USD Term Loan D, 01/15/26(o)

      115       114,729  

Unitymedia Hessen GmbH & Co. KG, 2018 Term Loan E, (1 mo. LIBOR + 2.00%), 4.06%, 06/01/23

      312       311,879  

Univision Communications, Inc., Term Loan C5, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 03/15/24

      383       367,486  

Virgin Media Bristol LLC, 2017 Term Loan, (1 mo. LIBOR + 2.50%), 4.56%, 01/15/26

      1,795       1,793,779  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.83%, 05/18/25

      800       795,131  

Ziggo Secured Finance Partnership, Term Loan E, (1 mo. LIBOR + 2.50%), 4.56%, 04/15/25

      874       858,869  
     

 

 

 
    20,311,572  
Metals & Mining — 0.1%  

AMG Advanced Metallurgical Group N.V., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 01/29/25

      329       328,933  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (1 mo. LIBOR + 4.50%), 6.58%, 07/24/25

      241       243,109  

Preferred Proppants LLC, Term Loan B2, (3 mo. LIBOR + 7.75%), 10.08%, 07/27/20(a)

      104       93,018  
     

 

 

 
        665,060  
Multiline Retail — 0.2%  

Hudson’s Bay Co., 2015 Term Loan B, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.31%, 09/30/22

      966       925,022  

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 10/25/20

      376       348,581  
     

 

 

 
    1,273,603  
Security          Par
(000)
    Value  
Oil & Gas Equipment & Services — 0.1%  

McDermott Technology Americas, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%, 05/10/25

    USD       611     $ 616,981  
     

 

 

 
Oil, Gas & Consumable Fuels — 1.2%  

BCP Raptor LLC, Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 6.33%, 06/24/24

      915       884,901  

Brazos Delaware II LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 6.08%, 05/21/25

      372       368,395  

California Resources Corp., 1.00% Floor):

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 4.75%, 6.82%, 12/31/22

      651       659,951  

Second Out Term Loan, (1 mo. LIBOR + 10.37%, 12.44%, 12/31/21

      745       823,767  

Chesapeake Energy Corp., Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.58%, 08/23/21

      962       1,002,826  

CONSOL Energy, Inc.:

     

1st Lien Term Loan A, (1 mo. LIBOR + 4.25%), 6.33%, 11/26/21(a)

      92       92,879  

1st Lien Term Loan B, (1 mo. LIBOR + 6.00%, 1.00% Floor), 8.08%, 11/28/22

      720       737,976  

EG Group Ltd., 2018 Term Loan B, (3 mo. LIBOR + 4.00%), 6.27%, 02/07/25

      254       254,256  

EWT Holdings III Corp., 2017 Repriced Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 12/20/24

      343       342,878  

GIP III Stetson I LP, 2018 Term Loan B,
07/19/25(o)

      302       304,078  

Lucid Energy Group II LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 02/17/25

      394       387,610  

Medallion Midland Acquisition LLC, 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 10/30/24

      542       536,624  

MEG Energy Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/31/23

      141       140,540  

Vine Oil & Gas LP, Term Loan B, (1 mo. LIBOR + 6.87%, 1.00% Floor), 8.95%, 12/12/21(a)

      383       383,000  

Woodford Express LLC, 2018 Term Loan B, (1 mo. LIBOR + 5.00%, 1.00% Floor), 7.08%, 01/17/25

      359       356,184  
     

 

 

 
    7,275,865  
Personal Products — 0.3%  

Clover Merger Sub, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.58%, 09/26/24

      1,233       1,169,386  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.83%, 09/26/25

      544       482,800  

Prestige Brands, Inc., Term Loan B4, (1 mo. LIBOR + 2.00%), 4.08%, 01/26/24

      355       354,710  
     

 

 

 
    2,006,896  
Pharmaceuticals — 1.1%  

Akorn, Inc., Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.88%, 04/16/21

      505       488,543  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.63%, 05/04/25

      1,155       1,161,950  

Endo Luxembourg Finance Company I Sarl, 2017 Term Loan B, (1 mo. LIBOR + 4.25%), 6.38%, 04/29/24

      674       677,106  

Grifols Worldwide Operations USA, Inc., 2017 Acquisition Term Loan, (1 Week LIBOR + 2.25%), 4.21%, 01/31/25

      1,170       1,175,167  

Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.58%, 08/18/22

      1,519       1,517,503  
 

 

 

SCHEDULES OF INVESTMENTS      45  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Pharmaceuticals (continued)  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 06/01/25

    USD       1,972     $ 1,978,509  
     

 

 

 
    6,998,778  
Professional Services — 0.4%  

Cast and Crew Payroll LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 09/27/24

      741       740,136  

Information Resources, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.57%, 01/18/24

      341       342,248  

ON Assignment, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/02/25

      352       351,648  

PricewaterhouseCoopers LLP, 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 05/01/25(a)

      310       310,775  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (2 mo. LIBOR + 5.50%), 7.69%, 07/20/25

      372       371,070  

Sterling Infosystems, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/19/24

      86       85,117  
     

 

 

 
    2,200,994  
Real Estate Management & Development — 0.4%  

CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.33%, 04/18/24

      1,373       1,372,886  

Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 02/08/25

      808       809,064  

SMG Holdings, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 01/23/25

      389       389,724  
     

 

 

 
    2,571,674  
Road & Rail — 0.1%  

Road Infrastructure Investment LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/13/23

      526       525,154  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.2%  

MaxLinear, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.56%, 05/12/24(a)

      111       110,800  

Microchip Technology Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 05/29/25

      875       873,364  

ON Semiconductor Corp., 2018 1st Lien Term Loan B, (1 mo. LIBOR + 1.75%), 3.83%, 03/31/23

      160       159,869  
     

 

 

 
        1,144,033  
Software — 4.4%  

Almonde, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 06/13/24

      597       594,415  

Applied Systems, Inc.:

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.33%, 09/19/24

      640       642,453  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 9.33%, 09/19/25

      160       163,676  

Aptean, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 6.59%, 12/20/22

      375       376,057  

Barracuda Networks, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.31%, 02/12/25

      309       309,225  

BMC Software Finance, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 09/10/22

      390       389,844  

2018 USD Term Loan B, 09/01/25(o)

      1,454       1,454,894  
Security          Par
(000)
    Value  
Software (continued)  

Cypress Intermediate Holdings III, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 5.08%, 04/27/24

    USD       291     $ 290,485  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 8.83%, 04/27/25

      248       249,364  

Dell, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 4.08%, 09/07/23

      873       872,946  

Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 5.57%, 05/28/24

      537       500,844  

DTI Holdco, Inc., 2018 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 6.94%, 09/30/23

      502       500,668  

Flexera Software LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 5.33%, 02/26/25

      194       194,561  

Hyland Software, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 07/01/22

      476       478,220  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 9.08%, 07/07/25

      235       237,571  

Infor (US), Inc., Term Loan B6, (1 mo. LIBOR + 2.75%, 1.00% Floor), 4.83%, 02/01/22

      1,341       1,341,461  

Informatica Corp., 2018 Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 08/05/22

      1,057       1,062,309  

IQOR US, Inc., Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.34%, 04/01/21

      372       329,028  

Kronos, Inc.:

     

2017 Term Loan B, (3 mo. LIBOR + 3.00%), 5.34%, 11/01/23

      1,275       1,277,676  

2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 1.00% Floor), 10.59%, 11/01/24

      615       627,810  

MA FinanceCo. LLC, Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 06/21/24(a)

      51       50,765  

McAfee LLC, 2017 Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.57%, 09/30/24

      1,088       1,096,408  

Mitchell International, Inc.:

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 5.33%, 11/29/24

      1,356       1,352,546  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 9.33%, 12/01/25

      400       399,600  

PowerSchool, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 5.33%, 08/01/25

      331       329,759  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (6 mo. LIBOR + 3.50%, 1.00% Floor), 5.99%, 04/26/24

      651       650,842  

Project Leopard Holdings, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 07/07/23(a)

      278       278,946  

Renaissance Learning, Inc., 2018 Add On Term Loan, (3 mo. LIBOR + 3.25%), 5.58%, 05/30/25

      240       239,100  

SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.08%, 02/05/24

      1,448       1,452,025  

Solera LLC, Term Loan B, (1 mo. LIBOR + 2.75%), 4.83%, 03/03/23

      2,005       2,002,238  

Sophia LP, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.58%, 09/30/22

      1,593       1,596,625  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 2.25%), 4.33%, 04/16/25

      621       620,991  

SS&C Technologies Inc.:

     

2018 Term Loan B3, (1 mo. LIBOR + 2.25%), 4.33%, 04/16/25

      1,597       1,597,539  

2018 Term Loan B5, 04/16/25(o)

      251       251,053  

2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 4.33%, 07/08/22

      911       912,037  
 

 

 

46    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Software (continued)  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR + 3.00%), 5.08%, 05/01/24

    USD       1,178     $ 1,180,345  

Tibco Software, Inc., Repriced Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/04/20

      1,026       1,028,346  
     

 

 

 
    26,932,672  
Specialty Retail — 0.7%  

Academy Ltd., 2015 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.08%, 07/01/22

      636       522,112  

Belron Finance US LLC, Term Loan B, (3 mo. LIBOR + 2.50%), 4.84%, 11/07/24

      758       760,404  

CD&R Firefly Bidco Ltd., 2018 Term Loan B1, (2 mo. LIBOR + 4.50%), 5.25%, 06/23/25

    GBP       1,000       1,286,079  

Leslie’s Poolmart, Inc., 2016 Term Loan, (2 mo. LIBOR + 3.50%, 1.00% Floor), 5.70%, 08/16/23

    USD       395       395,038  

Michaels Stores, Inc., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.57%, 01/28/23

      211       210,161  

Party City Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 5.05%, 08/19/22

      133       133,355  

Petco Animal Supplies, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.59%, 01/26/23

      277       202,416  

Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.86%, 12/20/24(a)

      393       394,007  

Staples, Inc., 2017 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.34%, 09/12/24

      278       276,680  

TruGreen LP, 2017 Term Loan, (1 mo. LIBOR + 4.00%, 1.00% Floor), 6.07%, 04/13/23

      379       380,397  
     

 

 

 
    4,560,649  
Technology Hardware, Storage & Peripherals — 0.3%  

Seattle Spinco, Inc., Term Loan B3, (1 mo. LIBOR + 2.50%), 4.58%, 06/21/24(a)

      344       342,831  

Western Digital Corp., 2018 Term Loan B4, (3 mo. LIBOR + 1.75%), 3.82%, 04/29/23

      1,339       1,338,518  
     

 

 

 
    1,681,349  
Textiles, Apparel & Luxury Goods — 0.1%  

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.58%, 08/12/22

      705       706,170  

Varsity Brands, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.58%, 12/15/24

      164       164,264  
     

 

 

 
    870,434  
Thrifts & Mortgage Finance — 0.2%  

IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.68%, 05/23/25

      1,129       1,132,746  
     

 

 

 
Trading Companies & Distributors — 0.5%  

Beacon Roofing Supply, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 4.32%, 01/02/25

      1,099       1,092,394  

HD Supply, Inc.:

     

Term Loan B3, (3 mo. LIBOR + 2.25%), 4.32%, 08/13/21

      812       815,943  

Term Loan B4, (3 mo. LIBOR + 2.50%), 4.57%, 10/17/23

      222       222,976  

LSF9 Cypress Holdings LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.25%), 5.31%, 08/13/25

      425       425,531  
Security          Par
(000)
    Value  
Trading Companies & Distributors (continued)  

Nexeo Solutions LLC, 2017 Repriced Term Loan, (3 mo. LIBOR + 3.25%), 5.58%, 06/09/23

    USD       309     $ 310,248  

Oxbow Carbon LLC, 2017 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 5.83%, 01/04/23

      146       147,074  

Pro Mach Group, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 5.07%, 03/07/25

      354       351,680  
     

 

 

 
    3,365,846  
Transportation — 0.2%  

Direct ChassisLink, Inc., 2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.00%), 8.08%, 06/15/23(a)

      220       220,000  

Gruden Acquisition, Inc., 2017 Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 7.83%, 08/18/22

      254       255,374  

Safe Fleet Holdings LLC.:

     

2018 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.09%, 02/01/25

      474       469,667  

2018 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 1.00% Floor), 8.84%, 02/01/26

      215       213,746  
     

 

 

 
    1,158,787  
Utilities — 0.0%  

ExGen Renewables IV LLC, Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor),
5.32%, 11/28/24(a)

      221       221,209  
     

 

 

 
Wireless Telecommunication Services — 0.6%  

Geo Group, Inc. (The), 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 03/22/24

      643       640,358  

Ligado Networks LLC:

     

2015 2nd Lien Term Loan, 12.50%, 12/07/20

      37       11,444  

PIK Exit Term Loan (9.75% PIK),
8.75%, 12/07/20(i)

      2,293       1,861,349  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.00%), 4.08%, 04/11/25

      670       667,608  

Xplornet Communications, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor),
6.33%, 09/09/21(a)

      428       429,455  
     

 

 

 
    3,610,214  
     

 

 

 

Total Floating Rate Loan Interests — 40.1%
(Cost — $246,801,459)

 

    245,724,857  
     

 

 

 
Foreign Agency Obligations — 3.3%  

Argentine Republic Government International Bond(h):

     

5.63%, 01/26/22

      326       275,470  

7.50%, 04/22/26

      3,008       2,483,134  

6.88%, 01/26/27

      758       593,135  

7.63%, 04/22/46

      2,422       1,782,616  

Colombia Government International Bond, 4.50%, 01/28/26

      206       210,635  

Cyprus Government International Bond,
4.63%, 02/03/20(c)

    EUR       2,600       3,210,344  

Egypt Government International Bond:

     

5.75%, 04/29/20

    USD       882       892,977  

8.50%, 01/31/47(c)

      227       221,814  

Iceland Government International Bond,
5.88%, 05/11/22(h)

      3,030       3,329,356  

Indonesia Government International Bond:

     

3.75%, 04/25/22

      206       205,226  

4.75%, 01/08/26

      395       404,631  

Lebanon Government International Bond, 6.85%, 03/23/27

      91       72,510  

Mexico Government International Bond:

     

4.00%, 10/02/23

      330       330,825  

4.15%, 03/28/27

      210       207,165  
 

 

 

SCHEDULES OF INVESTMENTS      47  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Foreign Agency Obligations (continued)  

Portugal Government International Bond, 5.13%, 10/15/24(c)(h)

    USD       3,190     $ 3,332,485  

Qatar Government International Bond, 4.63%, 06/02/46

      200       199,300  

Republic of South Africa Government Bond, 6.25%, 03/31/36

    ZAR       8,294       403,505  

Republic of South Africa Government International Bond:

     

5.88%, 05/30/22

    USD       783       811,940  

4.88%, 04/14/26

      227       215,408  

Russian Federal Bond - OFZ, 7.05%, 01/19/28

    RUB       34,303       459,520  

Russian Foreign Bond - Eurobond:

     

4.75%, 05/27/26

    USD       200       198,571  

4.25%, 06/23/27

      200       190,710  

Saudi Government International Bond, 3.25%, 10/26/26(c)

      227       214,515  

Turkey Government International Bond, 6.25%, 09/26/22

      200       180,062  
     

 

 

 

Total Foreign Agency Obligations — 3.3%
(Cost — $21,990,515)

 

    20,425,854  
     

 

 

 

Non-Agency Mortgage-Backed Securities — 6.9%

 

Collateralized Mortgage Obligations — 0.8%  

Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

      2,164       1,886,784  

Countrywide Home Loan Mortgage Pass-Through Trust:

     

Series 2005-17, Class 1A6, 5.50%, 09/25/35

      420       417,157  

Series 2006-17, Class A2, 6.00%, 12/25/36

      1,184       965,480  

Series 2007-HY5, Class 3A1,
3.75%, 09/25/37(e)

      871       826,713  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.18%, 10/25/35(e)

      673       570,339  
     

 

 

 
    4,666,473  
Commercial Mortgage-Backed Securities — 6.1%  

Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33(c)(e)

      4,830       4,746,637  

Citigroup Commercial Mortgage Trust, Series 2015-SSHP, Class D, (1 mo. LIBOR + 3.05%), 5.11%, 09/15/27(c)(d)

      2,825       2,833,881  

Commercial Mortgage Pass-Through Certificates, Series 2014-PAT(c)(d):

     

Class E, (1 mo. LIBOR + 3.15%), 5.22%, 08/13/27

      1,000       1,007,235  

Class F, (1 mo. LIBOR + 2.44%), 4.51%, 08/13/27

      2,000       1,998,496  

Commercial Mortgage Trust:

     

Series 2013-LC6, Class B, 3.74%, 01/10/46

      1,110       1,095,338  

Series 2015-3BP, Class A,
3.18%, 02/10/35(c)

      5,930       5,810,596  

Series 2015-CR22, Class B,
3.93%, 03/10/48(e)

      5,000       4,907,619  

Core Industrial Trust, Series 2015-TEXW, Class D, 3.98%, 02/10/34(c)(e)

      3,615       3,617,642  

CSAIL Commercial Mortgage Trust, Series 2015-C1, Class B, 4.04%, 04/15/50(e)

      890       894,447  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class DFX, 3.49%, 12/15/34(c)(e)

      4,830       4,807,163  

Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust, Series 2006-GG7, Class AM, 5.95%, 07/10/38(e)

      489       489,417  
Security          Par
(000)
    Value  
Commercial Mortgage-Backed Securities (continued)  

GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 02/10/46(c)

    USD       1,995     $ 1,978,186  

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-NINE, Class A, 2.95%, 10/06/38(c)(e)

      800       753,255  

WF-RBS Commercial Mortgage Trust, Series 2012-C8:

     

Class B, 4.31%, 08/15/45

      1,085       1,104,712  

Class C, 5.06%, 08/15/45(e)

      1,395       1,408,884  
     

 

 

 
    37,453,508  
 

 

 

 

Total Non-Agency Mortgage-Backed Securities — 6.9%
(Cost — $42,506,310)

 

    42,119,981  
 

 

 

 
       Beneficial
Interest
(000)
        

Other Interests(p) — 0.0%

 

Auto Components — 0.0%  

Lear Corp. Escrow(a)(b)

      1,000       10  
     

 

 

 
IT Services — 0.0%  

Millennium Corp.(a)(b)

      918        

Millennium Lender Claims(a)(b)

      861        
     

 

 

 
     
 

 

 

 

Total Other Interests — 0.0%
(Cost — $—)

 

    10  
 

 

 

 
       Par
(000)
        

Preferred Securities — 9.6%

     
Capital Trusts — 7.3%  
Auto Components — 0.1%  

General Motors Financial Co., Inc., Series A, 5.75%(e)(h)(m)

      352       342,540  
     

 

 

 
Banks — 2.1%  

Banco Santander SA, 6.25%(g)(m)

      100       116,800  

Capital One Financial Corp., Series E,
5.55%(g)(h)(m)

      3,000       3,082,500  

CIT Group, Inc., Series A, 5.80%(g)(m)

      235       233,825  

Citigroup, Inc., 5.90%(g)(h)(m)

      5,000       5,137,500  

Citigroup, Inc., 5.95%(g)(h)(m)

      1,370       1,402,537  

Cooperatieve Rabobank UA, 6.63%(g)(m)

      200       261,241  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 2.56%(d)(m)

      100       76,869  

Intesa Sanpaolo SpA, 7.00%(g)(m)

      200       238,773  

Wells Fargo & Co., Series S, 5.90%(g)(h)(m)

      1,585       1,607,190  

Wells Fargo & Co., Series U, 5.88%(g)(h)(m)

      785       827,194  
     

 

 

 
    12,984,429  
Capital Markets — 1.0%  

Goldman Sachs Group, Inc., Series M,
5.38%(g)(h)(m)

      1,730       1,771,088  

Goldman Sachs Group, Inc., Series P, 5.00%(e)(m)

      228       215,686  

Morgan Stanley, Series H, 5.45%(g)(h)(m)

      2,546       2,581,007  

State Street Corp., Series F, 5.25%(g)(h)(m)

      1,625       1,675,375  
     

 

 

 
    6,243,156  
Chemicals — 0.0%  

Solvay Finance SA, 5.12%(g)(m)

      100       126,238  
     

 

 

 
 

 

 

48    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Diversified Financial Services — 3.3%  

ATF Netherlands BV, 3.75%(g)(m)

    USD       100     $ 117,460  

Bank of America Corp., Series AA, 6.10%(g)(h)(m)

      998       1,051,143  

Bank of America Corp., Series U, 5.20%(g)(h)(m)

      1,250       1,236,750  

Bank of America Corp., Series V, 5.13%(g)(h)(m)

      510       516,375  

Bank of America Corp., Series X, 6.25%(g)(h)(m)

      1,929       2,035,095  

Barclays PLC, 7.25%(g)(m)

    GBP       200       268,396  

Credit Agricole SA, 6.50%(g)(m)

    EUR       100       127,788  

Credit Suisse Group AG, 6.25%(g)(m)

    USD       200       199,500  

HBOS Capital Funding LP, 6.85%(m)

      100       100,860  

HSBC Holdings PLC, 6.00%(g)(m)

      415       402,052  

JPMorgan Chase & Co., Series R, 6.00%(g)(m)

      150       156,341  

JPMorgan Chase & Co., Series U, 6.13%(g)(h)(m)

      6,690       6,957,600  

JPMorgan Chase & Co., Series V, 5.00%(g)(h)(m)

      4,060       4,093,698  

Royal Bank of Scotland Group PLC, 8.63%(g)(m)

      400       428,160  

Societe Generale SA, 6.00%(c)(g)(h)(m)

      2,000       1,956,088  

UBS Group Funding Switzerland AG, 5.00%(e)(m)

      200       172,500  

UniCredit SpA, 6.75%(g)(m)

    EUR       200       229,828  
     

 

 

 
    20,049,634  
Diversified Telecommunication Services — 0.1%  

Telefonica Europe BV, 3.75%(g)(m)

      100       117,626  

Telefonica Europe BV, 4.20%(g)(m)

      200       239,712  

Telefonica Europe BV, 5.00%(g)(m)

      100       121,969  
     

 

 

 
    479,307  
Electric Utilities — 0.1%  

Enel SpA, 7.75%, 09/10/75(g)

      100       142,181  

Origin Energy Finance Ltd., 4.00%, 09/16/74(g)

      100       119,337  

RWE AG, 2.75%, 04/21/75(g)

      20       23,712  
     

 

 

 
    285,230  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26

      100       123,109  
     

 

 

 
Insurance — 0.6%  

Voya Financial, Inc., 5.65%, 05/15/53(g)(h)

      3,500       3,500,000  
     

 

 

 
Oil, Gas & Consumable Fuels — 0.0%  

Gas Natural Fenosa Finance BV, 3.38%(e)(m)

      100       114,914  

Repsol International Finance BV, 4.50%, 03/25/75(g)

      100       123,459  
     

 

 

 
    238,373  
     

 

 

 

Total Capital Trusts — 7.3%
(Cost — $43,554,994)

 

    44,372,016  
     

 

 

 
       Shares         
Preferred Stocks — 1.8%  
Capital Markets — 1.7%  

Goldman Sachs Group, Inc., Series J, 5.50%(g)(m)

      202,526       5,292,004  

Morgan Stanley, Series F, 6.88%(g)(m)

      120,000       3,364,800  

Morgan Stanley, Series K, 5.85%(g)(m)

      53,253       1,385,111  

SCE Trust III, Series H, 5.75%(g)(m)

      21,200       565,404  
     

 

 

 
    10,607,319  
Machinery — 0.1%  

Stanley Black & Decker, Inc., 5.38%(m)

      3,520       380,195  
     

 

 

 
Wireless Telecommunication Services — 0.0%  

CF-B L2 (D) LLC, (Aquired 04/08/15, cost $11,497), 0.00%(q)

      131,225       64,143  
     

 

 

 

Total Preferred Stocks — 1.8%
(Cost — $10,606,837)

 

    11,051,657  
     

 

 

 
Security              
Shares
    Value  
Trust Preferred — 0.5%  
Diversified Financial Services — 0.5%  

GMAC Capital Trust I, Series 2, (3 mo. LIBOR US + 8.10%), 7.62%, 02/15/40(g)

      105,753     $ 2,834,180  
     

 

 

 

Total Trust Preferreds — 0.5%
(Cost — $2,686,547)

 

    2,834,180  
     

 

 

 

Total Preferred Securities — 9.6%
(Cost — $56,848,378)

 

    58,257,853  
     

 

 

 
            Par
(000)
        

U.S. Government Sponsored Agency Securities — 4.2%

 

Collateralized Mortgage Obligations — 1.0%  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 5.06%, 10/25/29(d)

    USD       1,600       1,719,379  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44

      4,539       4,534,284  
     

 

 

 
    6,253,663  
Interest Only Collateralized Mortgage Obligations — 0.3%  

Freddie Mac Mortgage-Backed Securities, Class X1(e):

     

Series K042, 1.18%, 12/25/24

      34,382       1,902,401  

Series K707, 1.63%, 12/25/18

      26,900       48,329  
     

 

 

 
    1,950,730  
Mortgage-Backed Securities — 2.9%  

Fannie Mae Mortgage-Backed Securities(h):

     

3.00%, 05/01/30

      17,154       17,112,991  

5.00%, 07/01/20 - 08/01/23

      459       470,534  
     

 

 

 
    17,583,525  
     

 

 

 

Total U.S. Government Sponsored Agency Securities — 4.2%
(Cost — $26,650,478)

 

    25,787,918  
 

 

 

 
       Shares         

Warrants — 0.0%

 

Metals & Mining — 0.0%  

AFGlobal Corp. (Expires 12/20/20)(a)

      2,542        
     

 

 

 
Software — 0.0%  

HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)(a)

      3,100        
     

 

 

 

Total Warrants — 0.0%
(Cost — $31)

 

     
     

 

 

 

Total Long-Term Investments — 137.3%
(Cost — $849,650,925)

 

    840,611,236  
     

 

 

 
Short-Term Securities — 0.0%  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.85%(r)(s)

      180,494       180,494  
     

 

 

 

Total Short-Term Securities — 0.0%
(Cost — $180,494)

 

    180,494  
     

 

 

 

Options Purchased — 0.0%
(Cost — $44,978)

 

     
     

 

 

 

Total Investments — 137.3%
(Cost — $849,876,397)

 

    840,791,730  

Liabilities in Excess of Other Assets — (37.4)%

 

    (228,743,431
     

 

 

 

Net Assets — 100.0%

 

  $ 612,048,299  
 

 

 

 
 

 

 

SCHEDULES OF INVESTMENTS      49  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

 

(a) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) 

Non-income producing security.

(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) 

Variable rate security. Rate shown is the rate in effect as of period end.

(e) 

Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

(f) 

When-issued security.

(g) 

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(h) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(i) 

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.

(j) 

Issuer filed for bankruptcy and/or is in default.

(k) 

Convertible security.

(l)

Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

(m) 

Perpetual security with no stated maturity date.

(n) 

Zero-coupon bond.

(o) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(p) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(q) 

Restricted security as to resale, excluding 144A securities. As of period end, the Fund held restricted securities with a current value of $64,143 and an original cost of $11,497, which was less than 0.05% of its net assets.

(r) 

Annualized 7-day yield as of period end.

 
(s) 

During the year ended August 31, 2018, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, and/or related parties of the Fund were as follows:

 

Affiliate    Shares
Held at
08/31/17
     Shares
Purchased
     Shares
Sold
     Shares
Held at
08/31/18
     Value at
08/31/18
     Income      Net
Realized
Gain (Loss)
 (a)
     Change in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

     1,298,832               (1,118,338 )(b)       180,494      $ 180,494      $ 85,012      $ 28      $  

iShares iBoxx $ High Yield Corporate Bond ETF

            55,000        (55,000                    34,789        (26,356       
              

 

 

    

 

 

    

 

 

    

 

 

 
               $ 180,494      $ 119,801      $ (26,328    $  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Includes net capital gain distributions, if applicable.

 
  (b) 

Represents net shares sold.

 

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

Barclays Capital, Inc.

     2.80     05/30/18        Open      $ 285,525      $ 287,445      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.34       05/30/18        Open        569,320        572,979      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       05/30/18        Open        755,370        760,127      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.60       05/30/18        Open        632,820        637,033      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.60       05/30/18        Open        626,850        631,023      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.60       05/30/18        Open        618,008        621,954      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.60       05/30/18        Open        384,683        387,243      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.60       05/30/18        Open        499,083        502,405      Corporate Bonds    Open/Demand

Citigroup Global Markets, Inc.

     1.25       05/30/18        Open        14,220        14,254      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        413,250        415,665      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        1,385,700        1,393,797      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        472,175        474,934      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        335,700        337,662      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        910,000        915,318      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        94,500        95,052      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        360,000        362,104      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        1,059,250        1,065,440      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        277,163        278,782      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        366,563        368,705      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       05/30/18        Open        435,000        437,542      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        364,250        366,653      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        284,970        286,850      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        367,625        370,050      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        229,830        231,346      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        510,300        513,666      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        386,400        388,949      Corporate Bonds    Open/Demand

 

 

50    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     2.60 %       05/30/18        Open      $ 676,450      $ 680,912      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       05/30/18        Open        727,578        732,376      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.66       05/30/18        Open        782,898        788,103      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.50       05/31/18        Open        1,107,082        1,114,286      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.50       06/01/18        Open        205,590        206,147      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/01/18        Open        50,630        50,939      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     1.00       06/01/18        Open        249,113        249,599      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        381,150        383,560      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        480,000        483,035      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        399,330        401,855      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        250,430        252,014      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        1,545,953        1,555,729      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        96,750        97,362      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        451,090        453,943      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        299,063        300,954      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        413,340        415,954      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        154,500        155,477      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        170,858        171,938      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        255,125        256,738      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        353,225        355,459      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        271,150        272,865      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        233,788        235,266      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        487,448        490,530      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        256,725        258,348      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        89,653        90,219      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        255,750        257,367      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        915,388        921,176      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        585,170        588,870      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        100,425        101,060      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        65,200        65,612      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        96,863        97,475      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        489,880        492,978      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        434,093        436,838      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        169,560        170,632      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        576,135        579,778      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        416,500        419,134      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        143,550        144,458      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/01/18        Open        470,700        473,677      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.70       06/01/18        Open        390,600        393,105      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.80       06/01/18        Open        682,080        686,514      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/04/18        Open        499,290        502,169      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       06/04/18        Open        1,300,390        1,307,932      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.67       06/04/18        Open        207,680        208,971      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.67       06/04/18        Open        247,725        249,265      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.20       06/06/18        Open        187,000        188,053      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       06/06/18        Open        258,000        259,567      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/07/18        Open        367,331        369,479      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.45       06/13/18        Open        345,790        347,672      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.30       06/14/18        Open        388,920        390,858      Corporate Bonds    Open/Demand

UBS Ltd.

     2.20       06/14/18        Open        388,970        390,973      Corporate Bonds    Open/Demand

UBS Ltd.

     2.30       06/14/18        Open        3,181,500        3,197,354      Corporate Bonds    Open/Demand

UBS Ltd.

     2.34       06/14/18        Open        763,125        767,150      Corporate Bonds    Open/Demand

UBS Ltd.

     2.50       06/14/18        Open        254,023        255,398      Corporate Bonds    Open/Demand

UBS Ltd.

     2.50       06/14/18        Open        157,038        157,888      Corporate Bonds    Open/Demand

UBS Ltd.

     2.50       06/14/18        Open        299,460        301,082      Corporate Bonds    Open/Demand

UBS Ltd.

     2.50       06/14/18        Open        1,780,000        1,789,642      Capital Trusts    Open/Demand

UBS Ltd.

     2.50       06/14/18        Open        3,038,475        3,054,351      Corporate Bonds    Open/Demand

UBS Ltd.

     2.55       06/14/18        Open        257,731        259,139      Corporate Bonds    Open/Demand

UBS Securities LLC

     2.50       06/14/18        Open        2,008,545        2,019,425      Corporate Bonds    Open/Demand

UBS Securities LLC

     2.50       06/14/18        Open        265,898        267,338      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/15/18        Open        778,500        782,447      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/18/18        Open        520,125        522,627      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      51  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     2.34 %       06/18/18        Open      $ 126,350      $ 126,958      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/18/18        Open        209,738        210,746      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/18/18        Open        305,150        306,618      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.45       06/18/18        Open        309,198        310,809      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/18/18        Open        485,970        488,567      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/18/18        Open        257,513        258,889      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/18/18        Open        349,580        351,448      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     0.15       06/19/18        Open        213,806        213,871      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     0.75       06/19/18        Open        186,200        186,483      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     1.80       06/19/18        Open        378,410        379,791      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     2.10       06/19/18        Open        316,975        318,325      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

     2.60       06/19/18        Open        802,305        805,804      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/19/18        Open        141,960        142,634      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/19/18        Open        415,563        417,657      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/19/18        Open        1,766,400        1,774,782      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/19/18        Open        1,345,240        1,352,022      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/19/18        Open        133,313        133,945      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/19/18        Open        279,075        280,399      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        890,258        894,951      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        110,363        110,944      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        268,830        270,247      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        75,600        75,999      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        865,530        870,093      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        164,500        165,367      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/19/18        Open        335,320        337,088      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     0.25       06/20/18        Open        212,400        212,506      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/20/18        Open        1,156,250        1,161,661      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       06/20/18        Open        1,397,588        1,404,128      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/20/18        Open        107,865        108,426      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/22/18        Open        503,580        506,113      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/22/18        Open        534,988        537,678      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/22/18        Open        657,638        660,945      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/22/18        Open        536,209        538,905      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       06/22/18        Open        618,840        621,952      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.70       06/25/18        Open        629,140        632,301      Foreign Agency Obligations    Open/Demand

RBC Capital Markets LLC

     2.60       06/25/18        Open        264,825        266,106      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       06/25/18        Open        447,720        449,886      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       06/27/18        Open        162,000        162,134      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       06/27/18        Open        513,000        515,038      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       06/27/18        Open        162,000        162,644      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       06/27/18        Open        6,554,000        6,580,034      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     2.20       06/27/18        Open        921,000        924,658      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/03/18        Open        253,132        254,233      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       07/16/18        Open        451,248        452,862      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       07/16/18        Open        334,425        335,621      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     2.80       07/16/18        Open        496,056        497,831      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       07/16/18        Open        948,103        951,325      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     0.50       07/16/18        Open        408,375        408,114      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.00       07/16/18        Open        895,738        898,027      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.55       07/16/18        Open        2,490,000        2,498,113      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.55       07/16/18        Open        2,724,000        2,732,876      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        2,086,000        2,093,197      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        2,481,000        2,489,559      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        328,000        329,132      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        341,000        342,176      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        575,000        576,984      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        1,628,000        1,633,617      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        342,000        343,180      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        1,752,000        1,758,044      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        2,109,000        2,116,276      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        1,290,000        1,294,451      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        131,000        131,452      Corporate Bonds    Open/Demand

 

 

52    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

Deutsche Bank Securities, Inc.

     2.70 %       07/16/18        Open      $ 1,342,000      $ 1,346,630      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        1,513,000        1,518,220      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        1,512,000        1,517,216      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/16/18        Open        177,000        177,518      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       07/16/18        Open        2,498,000        2,505,022      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        1,402,500        1,406,693      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        93,200        93,479      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        38,400        38,515      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        525,863        527,435      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        248,188        248,930      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        266,875        267,673      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/16/18        Open        486,200        487,654      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        177,000        177,588      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        259,065        259,926      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        1,002,575        1,005,906      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        111,308        111,677      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        698,775        701,096      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        239,975        240,772      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        327,015        328,101      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/16/18        Open        486,810        488,427      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     (1.25     07/17/18        Open        529,390        528,563      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.30       07/17/18        Open        2,154,825        2,161,020      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        470,794        472,294      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        561,356        563,146      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        639,900        641,940      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        764,826        767,264      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        583,116        584,975      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        451,385        452,824      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        722,628        724,931      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        560,745        562,532      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        519,100        520,755      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        521,336        522,998      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/17/18        Open        596,640        598,542      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.16       07/17/18        Open        96,590        96,851      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        297,000        298,002      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        851,000        853,872      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        1,133,000        1,136,824      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        406,000        407,370      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        642,000        644,167      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        264,000        264,891      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        974,000        977,287      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        1,000,000        1,003,375      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        466,000        467,573      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        461,000        462,556      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        537,000        538,812      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        155,000        155,523      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        532,000        533,796      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        218,000        218,736      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        33,000        33,111      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        907,000        910,061      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        383,000        384,293      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        327,000        328,104      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        178,000        178,601      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        543,000        544,833      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        413,000        414,394      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        646,000        648,180      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        911,000        914,075      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        250,000        250,844      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/17/18        Open        892,000        895,011      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.45       07/17/18        Open        413,000        413,309      Capital Trusts    Open/Demand

RBC Capital Markets LLC

     2.34       07/17/18        Open        1,631,875        1,636,648      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/17/18        Open        2,007,500        2,013,372      Corporate Bonds    Open/Demand

 

 

SCHEDULES OF INVESTMENTS      53  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     2.34 %       07/17/18        Open      $ 240,338      $ 241,040      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/17/18        Open        604,500        606,268      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/17/18        Open        1,389,150        1,393,213      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/17/18        Open        1,151,625        1,154,994      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       07/17/18        Open        642,875        644,755      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/17/18        Open        259,700        260,544      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/17/18        Open        205,538        206,206      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/17/18        Open        316,118        317,145      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/17/18        Open        363,188        364,368      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/17/18        Open        2,273,438        2,280,826      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.50       07/18/18        Open        760,043        760,803      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.67       07/19/18        Open        453,010        454,455      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.45       07/23/18        Open        653,438        655,172      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       07/23/18        Open        216,788        217,412      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       07/23/18        Open        838,189        840,604      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       07/23/18        Open        528,240        529,762      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       07/23/18        Open        907,705        910,321      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.71       07/23/18        Open        348,975        350,000      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     (0.25     07/23/18        Open        82,000        81,978      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.40       07/23/18        Open        301,000        301,783      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        396,000        397,158      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        206,000        206,603      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        572,000        573,673      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        216,000        216,632      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        335,000        335,980      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        452,000        453,322      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        1,460,000        1,464,271      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        127,000        127,371      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        497,000        498,454      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        198,000        198,579      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        213,000        213,623      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        883,000        885,583      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        160,000        160,468      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        1,634,000        1,638,779      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        417,000        418,220      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        986,000        988,884      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        818,000        820,393      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        123,000        123,360      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        562,000        563,644      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/23/18        Open        555,000        556,623      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       07/24/18        Open        309,015        309,896      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     (1.50     07/25/18        Open        278,960        278,530      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     2.55       07/25/18        Open        346,860        347,769      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/25/18        Open        422,661        423,769      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/25/18        Open        368,873        369,839      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/25/18        Open        221,588        222,168      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       07/25/18        Open        399,146        400,192      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       07/25/18        Open        419,784        420,931      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/25/18        Open        145,070        145,458      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/25/18        Open        152,510        152,918      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        479,655        480,764      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        487,025        488,151      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        510,000        511,179      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        453,960        455,009      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        529,425        530,649      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        487,575        488,702      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       07/31/18        Open        458,200        459,259      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/01/18        Open        228,150        228,644      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.66       08/02/18        Open        962,000        964,061      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     0.00       08/07/18        Open        105,000        105,000      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.47       08/09/18        Open        361,401        361,947      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       08/09/18        Open        589,000        589,972      Corporate Bonds    Open/Demand

 

 

54    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
 (a)
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash
Underlying Collateral
   Remaining Contractual
Maturity of the Agreements
 (a)

RBC Capital Markets LLC

     2.60 %       08/09/18        Open      $ 525,000      $ 525,834      Corporate Bonds    Open/Demand

Royal Bank of Canada

     2.09       08/10/18        9/13/18        375,902        376,316      U.S. Government Sponsored Agency Securities    Up to 30 Days

BNP Paribas S.A.

     2.49       08/14/18        Open        393,460        393,923      Corporate Bonds    Open/Demand

Cantor Fitzerald & Co.

     2.10       08/15/18        9/18/18        16,566,700        16,581,990      U.S. Government Sponsored Agency Securities    Up to 30 Days

HSBC Securities (USA), Inc.

     2.45       08/15/18        Open        193,000        193,210      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/16/18        Open        634,142        634,829      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       08/17/18        Open        492,000        492,443      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     1.05       08/20/18        Open        208,080        208,147      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       08/20/18        Open        4,343,750        4,347,135      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        618,469        618,998      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        565,600        566,084      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        390,443        390,777      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        1,235,273        1,236,329      Capital Trusts    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        347,000        347,297      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        469,538        469,939      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.80       08/20/18        Open        502,411        502,841      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.31       08/20/18        Open        551,131        551,520      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.45       08/20/18        Open        1,470,000        1,471,100      Capital Trusts    Open/Demand

BNP Paribas S.A.

     2.45       08/20/18        Open        2,895,000        2,897,167      Capital Trusts    Open/Demand

BNP Paribas S.A.

     2.52       08/20/18        Open        516,295        516,693      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.52       08/20/18        Open        503,663        504,050      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.90       08/20/18        Open        207,936        208,120      Foreign Agency Obligations    Open/Demand

Citigroup Global Markets, Inc.

     (1.00     08/20/18        Open        287,042        286,889      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

     2.75       08/20/18        Open        1,574,300        1,575,623      Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

     2.75       08/20/18        Open        2,180,800        2,182,632      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       08/20/18        Open        1,161,000        1,161,958      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       08/20/18        Open        814,000        814,672      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

     2.70       08/20/18        Open        1,561,000        1,562,288      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        873,000        873,587      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        270,000        270,182      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        1,374,000        1,374,924      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        3,259,000        3,261,191      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        2,363,000        2,364,588      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        1,423,000        1,423,957      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.20       08/20/18        Open        783,000        783,526      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.45       08/20/18        Open        3,133,000        3,135,345      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

     2.45       08/20/18        Open        306,000        306,229      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

     2.45       08/20/18        Open        843,000        843,631      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.34       08/20/18        Open        374,263        374,530      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       08/21/18        Open        998,980        999,604      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       08/21/18        Open        942,638        943,227      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       08/21/18        Open        171,080        171,187      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       08/21/18        Open        93,203        93,261      Corporate Bonds    Open/Demand

BNP Paribas S.A.

     2.50       08/21/18        Open        212,030        212,163      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/21/18        Open        162,225        162,342      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       08/22/18        Open        396,031        396,284      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/23/18        Open        1,371,675        1,372,484      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/28/18        Open        263,865        263,922      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.55       08/30/18        Open        917,665        917,730      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

     2.30       08/30/18        Open        1,755,979        1,756,091      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/30/18        Open        400,530        400,559      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/30/18        Open        624,000        624,045      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/30/18        Open        407,480        407,509      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/30/18        Open        1,020,740        1,020,814      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

     2.60       08/30/18        Open        366,540        366,566      Corporate Bonds    Open/Demand
          

 

 

    

 

 

       
   $ 233,291,481      $ 234,015,753        
  

 

 

    

 

 

       

 

  (a) 

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

 

 

 

SCHEDULES OF INVESTMENTS      55  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts:

                 

Euro Stoxx 50 Index

     1          09/21/18        $ 39        $ (362

Euro Stoxx 600 Index

     1          09/21/18          9          (449

Ultra Long U.S. Treasury Bond

     6          12/19/18          956          (5,255

2-Year U.S. Treasury Note

     289          12/31/18          61,083          58,357  
                 

 

 

 
                    52,291  
                 

 

 

 

Short Contracts:

                 

Euro Bund

     1          09/06/18          154          (964

10-Year U.S. Treasury Note

     314          12/19/18          37,763          (37,260

10-Year U.S. Ultra Long Treasury Note

     73          12/19/18          9,347          19,086  

Long Gilt Future

     1          12/27/18          159          (338

5-Year U.S. Treasury Note

     193          12/31/18          21,886          (29,619
                 

 

 

 
                    (49,095
                 

 

 

 
                  $ 3,196  
                 

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency
Purchased
       Currency
Sold
     Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     13,908,287        EUR     11,822,000      Citibank N.A.        09/06/18        $ 184,939  
USD     138,249        EUR     119,000      State Street Bank and Trust Co.        09/06/18          110  
USD     1,168,234        EUR     995,000      State Street Bank and Trust Co.        09/06/18          13,207  
USD     76,318        EUR     65,000      UBS AG        09/06/18          864  
USD     576,494        EUR     491,000      UBS AG        09/06/18          6,526  
USD     5,040,506        EUR     4,293,000      UBS AG        09/06/18          57,057  
USD     2,256,021        GBP     1,713,000      Citibank N.A.        09/06/18          35,121  
USD     523,056        GBP     398,000      State Street Bank and Trust Co.        09/06/18          7,050  
USD     1,281,355        GBP     975,000      State Street Bank and Trust Co.        09/06/18          17,270  
USD     7,450,669        GBP     5,670,000      Toronto-Dominion Bank        09/06/18          99,529  
USD     550,139        MXN     10,254,000      Goldman Sachs International        09/06/18          13,516  
USD     58,645        NZD     86,000      Westpac Banking Corp.        09/06/18          1,747  
EUR     736,000        USD     836,770      Citibank N.A.        09/13/18          18,026  
USD     179,747        ZAR     2,578,295      HSBC Bank PLC        09/13/18          4,488  
USD     167,974        ZAR     2,416,640      JPMorgan Chase Bank N.A.        09/13/18          3,703  
USD     157,279        ZAR     2,251,290      Morgan Stanley & Co. International PLC        09/13/18          4,247  
USD     749,879        EUR     643,000      Barclays Bank PLC        10/04/18          1,908  
USD     1,236,193        EUR     1,060,000      Barclays Bank PLC        10/04/18          3,146  
USD     5,006,582        EUR     4,293,000      Barclays Bank PLC        10/04/18          12,742  
USD     13,846,281        EUR     11,822,000      Citibank N.A.        10/04/18          94,316  
USD     2,231,325        GBP     1,713,000      Citibank N.A.        10/04/18          7,892  
USD     236,686        GBP     182,000      JPMorgan Chase Bank N.A.        10/04/18          455  
USD     1,261,461        GBP     970,000      JPMorgan Chase Bank N.A.        10/04/18          2,424  
USD     7,373,693        GBP     5,670,000      JPMorgan Chase Bank N.A.        10/04/18          14,171  
USD     384,573        RUB     25,851,000      JPMorgan Chase Bank N.A.        10/19/18          3,085  
                     

 

 

 
                        607,539  
                     

 

 

 
EUR     643,000        USD     748,323      Barclays Bank PLC        09/06/18          (1,909
EUR     1,060,000        USD     1,233,628      Barclays Bank PLC        09/06/18          (3,147
EUR     4,293,000        USD     4,996,193      Barclays Bank PLC        09/06/18          (12,744
EUR     11,822,000        USD     13,817,554      Citibank N.A.        09/06/18          (94,206
GBP     1,713,000        USD     2,228,784      Citibank N.A.        09/06/18          (7,884
GBP     182,000        USD     236,418      JPMorgan Chase Bank N.A.        09/06/18          (455
GBP     970,000        USD     1,260,030      JPMorgan Chase Bank N.A.        09/06/18          (2,428
GBP     5,670,000        USD     7,365,330      JPMorgan Chase Bank N.A.        09/06/18          (14,190
USD     184,121        EUR     159,000      BNP Paribas S.A.        09/06/18          (451
MXN     3,192,793        USD     168,000      Citibank N.A.        09/13/18          (1,103

 

 

56    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency
Purchased
       Currency
Sold
     Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     836,214        EUR     736,000      Morgan Stanley & Co. International PLC        09/13/18        $ (18,582
USD     168,000        MXN     3,227,986      BNP Paribas S.A.        09/13/18          (737
ZAR     1,240,561        USD     85,000      BNP Paribas S.A.        09/13/18          (673
ZAR     3,022,727        USD     210,000      Citibank N.A.        09/13/18          (4,530
                     

 

 

 
                        (163,039
                     

 

 

 
                    $ 444,500  
                     

 

 

 

OTC Options Purchased

 

Description    Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount (000)
     Value  

Call

 

Marsico Parent Superholdco LLC

   Goldman Sachs & Co.      46        12/14/19      USD     942.86      USD          $  
                     

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Fund
     Payment
Frequency
     Termination
Date
     Credit
Rating
 (a)
     Notional
Amount
(000)
 (b)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation

(Depreciation)
 

Chesapeake Energy Corp.

     5.00      Quarterly        12/20/21        CCC+        USD        75      $ 4,547      $ (2,080    $ 6,627  

iTraxx XO, Series 29, Version 1

     5.00      Quarterly        06/20/23        BB-        EUR        115        13,018        13,527        (509
                    

 

 

    

 

 

    

 

 

 
                     $ 17,565      $ 11,447      $ 6,118  
                    

 

 

    

 

 

    

 

 

 

 

  (a) 

Using Standard & Poor’s (“S&P”) rating of the issuer or the underlying securities of the index, as applicable.

 
  (b) 

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Fund

  

Received by the Fund

  Effective
Date
    Termination
Date
    Notional
Amount (000)
   

Value

    Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate    Frequency
3-Month LIBOR, 2.32%    Quarterly    2.54    Semi-annual     N/A       09/04/24     USD     18,700     $ (218,555   $ 191     $ (218,746
2.60    Semi-annual   

3-Month LIBOR, 2.32%

  

Quarterly

    N/A       09/04/24     USD     18,700       155,355       (59,157     214,512  
2.24    Semi-annual    3-Month LIBOR, 2.32%   

Quarterly

    N/A       08/09/27     USD     17,400       925,434       248       925,186  
3.01    Semi-annual   

3-Month LIBOR, 2.32%

  

Quarterly

    N/A       02/14/48     USD     6,000       (73,779     179       (73,958
                  

 

 

   

 

 

   

 

 

 
                   $ 788,455     $ (58,539   $ 846,994  
                  

 

 

   

 

 

   

 

 

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received

by the Fund
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000) (b)
    Value     Upfront
Premium
Paid

(Received)
    Unrealized
Appreciation
(Depreciation)
 

Telecom Italia SpA/Milano

     1.00     Quarterly     Citibank N.A.     12/20/22     BB+     EUR        30     $ (1,315   $ (539   $ (776

Casino Guichard Perrachon SA

     1.00       Quarterly     BNP Paribas S.A.     06/20/23     BB     EUR        10       (1,978     (979     (999

Casino Guichard Perrachon SA

     1.00       Quarterly     BNP Paribas S.A.     06/20/23     BB     EUR        10       (1,979     (979     (1,000

Casino Guichard Perrachon SA

     1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR        10       (1,979     (970     (1,009

Casino Guichard Perrachon SA

     1.00       Quarterly     Bank of America N.A.     06/20/23     BB     EUR        9       (1,830     (1,387     (443

Casino Guichard Perrachon SA

     1.00       Quarterly     Citibank N.A.     06/20/23     BB     EUR        21       (4,106     (2,934     (1,172

Casino Guichard Perrachon SA

     1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR        5       (1,077     (699     (378

Casino Guichard Perrachon SA

     1.00       Quarterly     Citibank N.A.     06/20/23     BB     EUR        9       (1,793     (1,243     (550

Casino Guichard Perrachon SA

     1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR        9       (1,795     (1,244     (551

Casino Guichard Perrachon SA

     1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BB     EUR        4       (718     (466     (252

Casino Guichard Perrachon SA

     1.00       Quarterly     Barclays Bank PLC     06/20/23     BB     EUR        6       (1,146     (715     (431

Casino Guichard Perrachon SA

     1.00       Quarterly     Barclays Bank PLC     06/20/23     BB     EUR        44       (8,748     (5,622     (3,126

Deutsche Bank AG

     1.00       Quarterly     JPMorgan Chase Bank N.A.     06/20/23     BBB-     EUR        50       (1,067     (345     (722

 

 

SCHEDULES OF INVESTMENTS      57  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Credit Default Swaps — Sell Protection (continued)

 

Reference Obligation/Index    Financing
Rate Received

by the Fund
    Payment
Frequency
    Counterparty   Termination
Date
    Credit
Rating
 (a)
  Notional
Amount
(000) (b)
    Value     Upfront
Premium
Paid

(Received)
    Unrealized
Appreciation
(Depreciation)
 

Intrum Justitia AB

     5.00 %       Quarterly     Credit Suisse International     06/20/23     BB+     EUR        20     $ 1,162     $ 1,950     $ (788

Intrum Justitia AB

     5.00       Quarterly     Credit Suisse International     06/20/23     BB+     EUR        50       2,905       5,160       (2,255

Intrum Justitia AB

     5.00       Quarterly     Credit Suisse International     06/20/23     BB+     EUR        7       398       790       (392

Intrum Justitia AB

     5.00       Quarterly     Morgan Stanley & Co. International PLC     06/20/23     BB+     EUR        23       1,345       2,665       (1,320

Intrum Justitia AB

     5.00       Quarterly     Citibank N.A.     06/20/23     BB+     EUR        9       542       454       88  

Intrum Justitia AB

     5.00       Quarterly     Citibank N.A.     06/20/23     BB+     EUR        21       1,202       1,006       196  

Jaguar Land Rover Automotive PLC

     5.00       Quarterly     BNP Paribas S.A.     06/20/23     B+     EUR        30       2,608       2,328       280  

Thomas Cook Finance 2 PLC

     5.00       Quarterly     Morgan Stanley & Co. International PLC     06/20/23     B+     EUR        50       7,399       6,538       861  

Markit CMBX North America, Series 8

     3.00       Monthly     Barclays Bank PLC     10/17/57     BBB-     USD        5,000       (439,499     (513,982     74,483  

Markit CMBX North America, Series 8

     3.00       Monthly     Morgan Stanley & Co. International PLC     10/17/57     BBB-     USD        4,450       (392,638     (601,726     209,088  

Markit CMBX North America, Series 8

     3.00       Monthly     Credit Suisse International     10/25/57     BBB-     USD        2,500       (219,750     (253,982     34,232  

Markit CMBX North America, Series 9

     3.00       Monthly     Morgan Stanley & Co. International PLC     09/17/58     BBB-     USD        7,550       (599,393     (943,853     344,460  

Markit CMBX North America, Series 9

     3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD        5,000       (396,949     (549,362     152,413  

Markit CMBX North America, Series 9

     3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD        5,000       (396,949     (549,362     152,413  

Markit CMBX North America, Series 9

     3.00       Monthly     Credit Suisse International     09/17/58     BBB-     USD        5,000       (396,950     (543,362     146,412  
                 

 

 

   

 

 

   

 

 

 
                  $ (2,854,098   $ (3,952,860   $ 1,098,762  
                 

 

 

   

 

 

   

 

 

 

 

  (a) 

Using S&P’s rating of the issuer or the underlying securities of the index, as applicable.

 
  (b) 

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps

 

      Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Centrally Cleared Swaps(a)

   $ 14,145      $ (61,237    $ 1,146,325      $ (293,213    $  

OTC Derivatives

     20,891        (3,973,751      1,114,926        (16,164       

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized appreciation(a)

   $      $      $      $      $ 77,443      $      $ 77,443  

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

                          607,539                      607,539  

Swaps — centrally cleared

                    

Net unrealized appreciation(a)

            6,627                      1,139,698               1,146,325  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            1,135,817                                    1,135,817  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 1,142,444      $      $ 607,539      $ 1,217,141      $      $ 2,967,124  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

58    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Net unrealized depreciation(a)

   $      $      $ 811      $      $ 73,436      $      $ 74,247  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          163,039                      163,039  

Swaps — centrally cleared

                    

Net unrealized depreciation(a)

            509                      292,704               293,213  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            3,989,915                                    3,989,915  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 3,990,424      $ 811      $ 163,039      $ 366,140      $      $ 4,520,414  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

For the year ended August 31, 2018, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $ (114    $      $ 3,476,559      $      $ 3,476,445  

Forward foreign currency exchange contracts

                          380,051                      380,051  

Options purchased(a)

                          (4,229,886      23,031               (4,206,855

Options written

                          4,062,086                      4,062,086  

Swaps

            1,100,100                      55,369               1,155,469  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 1,100,100      $ (114    $ 212,251      $ 3,554,959      $      $ 4,867,196  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $ (811    $      $ 285,091      $      $ 284,280  

Forward foreign currency exchange contracts

                          280,534                      280,534  

Options purchased(b)

                          (902,534      25,688               (876,846

Options written

                          753,240                      753,240  

Swaps

            1,678,861                      987,798               2,666,659  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 1,678,861      $ (811    $ 131,240      $ 1,298,577      $      $ 3,107,867  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments.

 
  (b) 

Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

 

Average notional value of contracts — long

   $ 16,347,962  

Average notional value of contracts — short

   $ 78,837,259  

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

   $ 129,154,139  

Average amounts sold — in USD

   $ 79,166,278  

Options:

 

Average value of option contracts purchased

   $ 722,201  

Average value of option contracts written

   $ 721,129  

Average notional value of swaption contracts purchased

   $ 4,031,250  

Credit default swaps:

 

Average notional amount — buy protection

   $ 431,798  

Average notional amount — sell protection

   $ 35,627,366  

Interest rate swaps:

 

Average notional amount — pays fixed rate

   $ 40,600,000  

Average notional amount — receives fixed rate

   $ 18,700,000  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

SCHEDULES OF INVESTMENTS      59  


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Derivative Financial Instruments — Offsetting as of Period End

 

      Assets        Liabilities  

Futures contracts

   $ 27,094        $ 61,139  

Forward foreign currency exchange contracts

     607,539          163,039  

Swaps — Centrally cleared

              114,007  

Swaps — OTC(a)

     1,135,817          3,989,915  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

   $ 1,770,450        $ 4,328,100  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (27,094        (175,146
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 1,743,356        $ 4,152,954  
  

 

 

      

 

 

 

 

  (a) 

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

 

The following table presents the Fund’s derivative assets (and liabilities) by counterparty net of amounts available for offset under a Master Netting Agreement (“MNA”) and net of the related collateral received (and pledged) by the Fund:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
  (a)
       Non-cash
Collateral

Received
       Cash
Collateral

Received (b)
       Net Amount
of Derivative

Assets  (c)(f)
 

Barclays Bank PLC

   $ 92,279        $ (92,279      $        $        $  

BNP Paribas S.A.

     2,608          (2,608                           

Citibank N.A.

     342,038          (114,937                 (150,000        77,101  

Credit Suisse International

     493,370          (493,370                           

Goldman Sachs International

     13,516                                     13,516  

HSBC Bank PLC

     4,488                                     4,488  

JPMorgan Chase Bank N.A.

     23,838          (23,709                          129  

Morgan Stanley & Co. International PLC

     567,859          (567,859                           

State Street Bank and Trust Co.

     37,637                                     37,637  

Toronto-Dominion Bank

     99,529                                     99,529  

UBS AG

     64,447                                     64,447  

Westpac Banking Corp.

     1,747                                     1,747  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,743,356        $ (1,294,762      $        $ (150,000      $ 298,594  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
                      
Counterparty    Derivative
Liabilities

Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
  (a)
       Non-cash
Collateral
Pledged
       Cash
Collateral
Pledged
 (d)
       Net Amount
of Derivative

Liabilities  (e)(f)
 

Bank of America N.A.

   $ 1,830        $        $        $        $ 1,830  

Barclays Bank PLC

     541,676          (92,279                 (449,397         

BNP Paribas S.A.

     5,818          (2,608                          3,210  

Citibank N.A.

     114,937          (114,937                           

Credit Suisse International

     1,899,503          (493,370                 (1,406,133         

JPMorgan Chase Bank N.A.

     23,709          (23,709                           

Morgan Stanley & Co. International PLC

     1,565,481          (567,859                 (997,622         
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 4,152,954        $ (1,294,762      $        $ (2,853,152      $ 5,040  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 
  (b) 

Excess collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (c) 

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

 
  (d) 

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

 
  (e) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 
  (f) 

Net amount may also include forward foreign currency exchange contracts and currency options that are not required to be collateralized.

 

 

 

60    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Schedule of Investments  (continued)

August 31, 2018

  

BlackRock Limited Duration Income Trust (BLW)

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.

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

   $        $ 68,426,852        $ 1,581,044        $ 70,007,896  

Common Stocks(a)

     89,139          46,543          2,336,114          2,471,796  

Corporate Bonds

              374,307,578          1,507,493          375,815,071  

Floating Rate Loan Interests

              235,991,805          9,733,052          245,724,857  

Foreign Agency Obligations

              20,425,854                   20,425,854  

Non-Agency Mortgage-Backed Securities

              42,119,981                   42,119,981  

Other Interests

                       10          10  

Preferred Securities

     13,821,694          44,372,016                   58,193,710  

U.S. Government Sponsored Agency Securities

              25,787,918                   25,787,918  

Short-Term Securities

     180,494                            180,494  

Liabilities:

 

Investments:

 

Unfunded Floating Rate Loan Interests(b)

              (782                 (782
  

 

 

      

 

 

      

 

 

      

 

 

 

Subtotal

   $ 14,091,327        $ 811,477,765        $ 15,157,713        $ 840,726,805  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(c)

                    64,143  
                 

 

 

 

Total Investments

                  $ 840,790,948  
                 

 

 

 

Derivative Financial Instruments(d)

 

Assets:

 

Credit contracts

   $        $ 1,121,553        $        $ 1,121,553  

Forward foreign currency contracts

              607,539                   607,539  

Interest rate contracts

     77,443          1,139,698                   1,217,141  

Liabilities:

 

Credit contracts

              (16,673                 (16,673

Equity contracts

     (811                          (811

Forward foreign currency contracts

              (163,039                 (163,039

Interest rate contracts

     (73,436        (292,704                 (366,140
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 3,196        $ 2,396,374        $        $ 2,399,570  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

See above Schedule of Investments for values in each industry.

 
  (b) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (c) 

As of August 31, 2018, certain of the Fund’s Investments were fair valued using net asset value (“NAV”) per share and have been excluded from the fair value hierarchy.

 
  (d) 

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument are shown at value.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $234,015,753 are categorized within as Level 2 the disclosure hierarchy.

During the year ended August 31, 2018, there were no transfers between Level 1 and Level 2.

 

 

SCHEDULES OF INVESTMENTS      61  


Schedule of Investments  (continued)

August 31, 2018

  

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 year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-
Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Rights     Warrants     Unfunded
Floating
Rate Loan
Interests
    Grand Total  

Assets:

               

Opening balance, as of August 31, 2017

  $ 2,211,493     $ 749,053     $ 1,163,602     $ 9,460,693     $ 10     $ 19,050     $ 217     $ 755     $ 13,604,873  

Transfers into Level 3(a)

                      2,940,148                               2,940,148  

Transfers out of Level 3(b)

    (250,000                 (3,695,749                             (3,945,749

Accrued discounts/premiums

    (58,025           50,411       15,326                               7,712  

Net realized gain (loss)

    (60,130           28,647       53,202             11,974                   33,693  

Net change in unrealized appreciation (depreciation)(c)

    24,678       1,355,977       (31,518     (17,178           (19,050     (217     (755     1,311,937  

Purchases

          231,084       1,500,000       6,754,567                               8,485,651  

Sales

    (286,972           (1,203,649     (5,777,957           (11,974                 (7,280,552
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of August 31, 2018

  $ 1,581,044     $ 2,336,114     $ 1,507,493     $ 9,733,052     $ 10     $     $     $     $ 15,157,713  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at August 31, 2018(c)

  $ 24,678     $ 1,355,977     $ (43,268   $ 17,340     $     $     $ (217   $     $ 1,354,108  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

As of August 31, 2017, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2018, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (b) 

As of August 31, 2017, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2018, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (c) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at August 31, 2018 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See notes to financial statements.

 

 

62    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Assets and Liabilities

August 31, 2018

 

     FRA     BLW  

ASSETS

 

Investments at value — unaffiliated(a)

  $ 812,412,555     $ 840,611,236  

Investments at value — affiliated(b)

    155,382       180,494  

Cash

    508,498       172,706  

Cash pledged:

   

Collateral — OTC derivatives

          3,540,000  

Centrally cleared swaps

          1,017,170  

Collateral — reverse repurchase agreements

          908,000  

Futures contracts

          497,859  

Foreign currency at value(c)

    10,219       1,563,206  

Receivables:

   

Investments sold

    5,815,854       2,845,730  

Interest — unaffiliated

    2,772,823       8,229,772  

Dividends — affiliated

    1,487       9,505  

Variation margin on futures contracts

          27,094  

Swap premiums paid

          20,891  

Unrealized appreciation on:

 

OTC swaps

          1,114,926  

Forward foreign currency exchange contracts

    80,269       607,539  

Deferred offering costs

    30,883        

Prepaid expenses

    8,997       9,751  
 

 

 

   

 

 

 

Total assets

    821,796,967       861,355,879  
 

 

 

   

 

 

 

LIABILITIES

   

Cash received as collateral — OTC derivatives

          150,000  

Reverse repurchase agreements at value

          234,015,753  

Payables:

   

Bank borrowings

    233,000,000        

Investments purchased

    31,853,608       8,723,064  

Interest expense

    565,674        

Investment advisory fees

    503,660       399,906  

Income dividend distributions

    80,776       92,760  

Offering costs

    4,000        

Directors’ and Officer’s fees

    8,539       429,320  

Reverse repurchase agreements

          606,400  

Capital shares redeemed

          121,010  

Variation margin on futures contracts

          61,139  

Variation margin on centrally cleared swaps

          114,007  

Other accrued expenses

    381,782       440,485  

Swap premiums received

          3,973,751  

Unrealized depreciation on:

   

Forward foreign currency exchange contracts

    26,067       163,039  

OTC swaps

          16,164  

Unfunded floating rate loan interests

    3,212       782  

Contingencies(g)

           
 

 

 

   

 

 

 

Total liabilities

    266,427,318       249,307,580  
 

 

 

   

 

 

 

NET ASSETS

  $ 555,369,649     $ 612,048,299  
 

 

 

   

 

 

 

NET ASSETS CONSIST OF

   

Paid-in capital(d)(e)(f)

  $ 578,383,742     $ 648,026,927  

Undistributed net investment income

    3,993,685       634,190  

Accumulated net realized loss

    (20,582,442     (29,876,752

Net unrealized appreciation (depreciation)

    (6,425,336     (6,736,066
 

 

 

   

 

 

 

NET ASSETS

  $ 555,369,649     $ 612,048,299  
 

 

 

   

 

 

 

Netasset value, offering and redemption price per share

  $ 14.92     $ 16.71  
 

 

 

   

 

 

 

(a) Investments at cost — unaffiliated

  $ 818,993,348     $ 849,695,903  

(b) Investments at cost — affiliated

  $ 155,382     $ 180,494  

(c) Foreign currency at cost

  $ 10,233     $ 1,604,750  

(d) Par value

  $ 0.100     $ 0.001  

(e) Shares outstanding

    37,232,488       36,636,616  

(f)  Shares authorized

    200 million       unlimited  

 

(g) 

See Note 12 of the Note to Financial Statements for details of contingencies.

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      63  


Statements of Operations

Year Ended August 31, 2018

 

     FRA (a)     BLW  

INVESTMENT INCOME

 

Interest — unaffiliated

  $ 40,765,537     $ 44,614,550  

Dividends — unaffiliated

    212,941       818,633  

Dividends — affiliated

    151,750       119,801  

Other income

    564,255       194,492  

Foreign taxes withheld

          (459
 

 

 

   

 

 

 

Total investment income

    41,694,483       45,747,017  
 

 

 

   

 

 

 

EXPENSES

 

Investment advisory

    5,956,091       4,824,499  

Custodian

    211,635       173,887  

Professional

    190,338       129,736  

Accounting services

    107,443       106,843  

Transfer agent

    54,918       72,565  

Directors and Officer

    52,611       84,213  

Printing

    32,724       37,249  

Offering

    30,809        

Registration

    14,377       14,289  

Miscellaneous

    47,176       96,326  
 

 

 

   

 

 

 

Total expenses excluding interest expense

    6,698,122       5,539,607  

Interest expense

    5,709,193       5,274,106  
 

 

 

   

 

 

 

Total expenses

    12,407,315       10,813,713  

Less fees waived and/or reimbursed by the Manager

    (17,979     (8,615
 

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    12,389,336       10,805,098  
 

 

 

   

 

 

 

Net investment income

    29,305,147       34,941,919  
 

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Investments — unaffiliated

    557,907       (1,515,988

Investments — affiliated

    (67,998     (26,356

Futures contracts

          3,476,445  

Forward foreign currency exchange contracts

    52,517       380,051  

Foreign currency transactions

    107,369       (279,662

Capital gain distributions from investment companies — affiliated

    8       28  

Options written

          4,062,086  

Swaps

    (11,471     1,155,469  
 

 

 

   

 

 

 
    638,332       7,252,073  
 

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

   

Investments

    (3,128,997     (22,993,619

Futures contracts

          284,280  

Forward foreign currency exchange contracts

    2,366       280,534  

Foreign currency translations

    101,369       (122,469

Options written

          753,240  

Swaps

          2,666,659  

Unfunded floating rate loan interests

    (5,967     (1,537
 

 

 

   

 

 

 
    (3,031,229     (19,132,912
 

 

 

   

 

 

 

Net realized and unrealized loss

    (2,392,897     (11,880,839
 

 

 

   

 

 

 

NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS

  $ 26,912,250     $ 23,061,080  
 

 

 

   

 

 

 

 

(a) 

Consolidated Statement of Operations through November 30, 2017.

See notes to financial statements.

 

 

64    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Statements of Changes in Net Assets

 

    FRA (a)            BLW  
    Year Ended August 31,            Year Ended August 31,  
     2018     2017             2018     2017  

INCREASE (DECREASE) IN NET ASSETS

          

OPERATIONS

          

Net investment income

  $ 29,305,147     $ 28,272,606        $ 34,941,919     $ 37,454,376  

Net realized gain

    638,332       3,659,778          7,252,073       7,378,260  

Net change in unrealized appreciation (depreciation)

    (3,031,229     4,076,256          (19,132,912     8,782,722  
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase in net assets resulting from operations

    26,912,250       36,008,640          23,061,080       53,615,358  
 

 

 

   

 

 

      

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

 

      

From net investment income

    (27,514,809     (30,307,245        (35,259,837     (47,105,906
 

 

 

   

 

 

      

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

 

      

Cost of shares repurchased

                   (5,481,140      
 

 

 

   

 

 

      

 

 

   

 

 

 

NET ASSETS

 

      

Total increase (decrease) in net assets

    (602,559     5,701,395          (17,679,897     6,509,452  

Beginning of year

    555,972,208       550,270,813          629,728,196       623,218,744  
 

 

 

   

 

 

      

 

 

   

 

 

 

End of year

  $ 555,369,649     $ 555,972,208        $ 612,048,299     $ 629,728,196  
 

 

 

   

 

 

      

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income, end of year

  $ 3,993,685     $ 2,005,585        $ 634,190     $ 232,048  
 

 

 

   

 

 

      

 

 

   

 

 

 

 

(a) 

Consolidated Statements of Changes in Net Assets through November 30, 2017.

(b) 

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

See notes to financial statements.

 

 

FINANCIAL STATEMENTS      65  


 

Statements of Cash Flows

Year Ended August 31, 2018

 

     FRA (a)     BLW  

CASH PROVIDED BY OPERATING ACTIVITIES

   

Net increase in net assets resulting from operations

  $ 26,912,250     $ 23,061,080  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities:

   

Proceeds from sales of long-term investments and principal paydowns

    476,654,801       460,673,320  

Purchases of long-term investments

    (481,778,257     (451,099,838

Net proceeds from sales of short-term securities

    3,664,072       1,118,338  

Amortization of premium and accretion of discount on investments and other fees

    (459,541     1,485,525  

Paid-in-kind income

    (1,069,178      

Premiums received from options written

          4,860,352  

Premiums paid on closing options written

          (871,174

Net realized gain on investments

    (415,535     (2,414,964

Net unrealized depreciation on investments

    3,132,598       20,402,658  
(Increase) Decrease in Assets:  

Receivables:

 

Interest — unaffiliated

    18,665       406,646  

Dividends — affiliated

    165       (5,660

Variation margin on futures contracts

          (26,874

Swap premiums paid

          (1,194

Prepaid expenses

    914       670  
Increase (Decrease) in Liabilities:  

Cash received:

   

Collateral — OTC derivatives

          150,000  

Collateral — reverse repurchase agreements

          (780,000

Payables:

   

Investment advisory fees

    3,183       (13,623

Interest expense and fees

    161,627       (595,059

Director’s and Officer’s fees

    (759     21,728  

Variation margin on futures contracts

          (45,362

Variation margin on centrally cleared swaps

          78,740  

Other accrued expenses

    66,589       133,739  

Swap premiums received

          (39,882

Offering costs

    4,000        
 

 

 

   

 

 

 

Net cash provided by operating activities

    26,895,594       56,499,166  
 

 

 

   

 

 

 

CASH (USED FOR) FINANCING ACTIVITIES

   

Payments on redemption of Common Shares

          (5,360,130

Net borrowing of reverse repurchase agreements

          (17,637,729

Payments from Bank Borrowing

    (352,000,000      

Proceeds from Bank Borrowing

    348,000,000        

Cash dividends paid to Common Shareholders

    (27,522,659     (35,256,157
 

 

 

   

 

 

 

Net cash used for financing activities

    (31,522,659     (58,254,016
 

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

   

Cash impact from foreign exchange fluctuations

  $ (157   $ (38,783
 

 

 

   

 

 

 

CASH

   

Net decrease in restricted and unrestricted cash and foreign currency

    (4,627,222     (1,793,633

Restricted and unrestricted cash and foreign currency at beginning of year

    5,145,939       9,492,574  
 

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of year

  $ 518,717     $ 7,698,941  
 

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

   

Cash paid during the year for interest expense

  $ 5,547,566     $ 5,869,165  
 

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES

   

Cash

  $ 508,498     $ 172,706  

Cash pledged:

   

Collateral — reverse repurchase agreements

          908,000  

Collateral — OTC derivatives

          3,540,000  

Futures contracts

          497,859  

Centrally cleared swaps

          1,017,170  

Foreign currency at value

    10,219       1,563,206  
 

 

 

   

 

 

 
  $ 518,717     $ 7,698,941  
 

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE BEGINNING OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES

   

Cash

  $ 5,133,521     $ 1,286,815  

Cash pledged:

   

Collateral — OTC derivatives

          4,950,000  

Futures contracts

          775,255  

Centrally cleared swaps

          626,170  

Foreign currency at value

    12,418       1,854,334  
 

 

 

   

 

 

 
  $ 5,145,939     $ 9,492,574  
 

 

 

   

 

 

 

 

(a)

Consolidated Statement of Cash Flows through November 30, 2017.

See notes to financial statements.

 

 

66    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Financial Highlights  

(For a share outstanding throughout each period)

 

    FRA (a)  
    Year Ended August 31,  
    2018      2017      2016      2015     2014  

Net asset value, beginning of year

  $ 14.93      $ 14.78      $ 14.91      $ 15.38     $ 15.36  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income(b)

    0.79        0.76        0.76        0.81       0.87  

Net realized and unrealized gain (loss)

    (0.06      0.20        (0.14      (0.47     0.04  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net increase from investment operations

    0.73        0.96        0.62        0.34       0.91  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Distributions from net investment income(c)

    (0.74      (0.81      (0.75      (0.81     (0.89
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net asset value, end of year

  $ 14.92      $ 14.93      $ 14.78      $ 14.91 (d)     $ 15.38  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Market price, end of year

  $ 13.80      $ 14.10      $ 13.70      $ 12.94     $ 14.26  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Return(e)

 

Based on net asset value

    5.28      6.93      5.00      2.88 %(d)      6.45
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Based on market price

    3.11      8.95      12.14      (3.71 )%      1.33
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets

 

Total expenses

    2.23 %(f)       1.88      1.54      1.56     1.48
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly

    2.22 %(f)       1.88      1.54      1.56     1.48
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and paid indirectly and excluding interest expense

    1.20 %(f)       1.21      1.14      1.19     1.15
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income

    5.27 %(f)       5.08      5.27      5.39     5.65
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Supplemental Data

 

Net assets, end of year (000)

  $ 555,370      $ 555,972      $ 550,271      $ 555,104     $ 572,463  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Borrowings outstanding, end of year (000)

  $ 233,000      $ 237,000      $ 225,000      $ 196,000     $ 235,000  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Asset coverage, end of year per $1,000 of bank borrowings

  $ 3,385      $ 3,346      $ 3,446      $ 3,832     $ 3,436  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Portfolio turnover rate

    57      64      48      43     58
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) 

Consolidated Financial Highlights through November 30, 2017.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

(e) 

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

(f) 

Excludes 0.01% of expenses incurred indirectly as a result of investments in underlying funds.

See notes to financial statements.

 

 

FINANCIAL HIGHLIGHTS      67  


Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

    BLW  
    Year Ended August 31,  
    2018      2017      2016      2015 (a)     2014 (a)  

Net asset value, beginning of year

  $ 17.02      $ 16.84      $ 17.04      $ 18.09     $ 17.54  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income(b)

    0.95        1.01        1.32        1.16       1.26  

Net realized and unrealized gain (loss)

    (0.31      0.44        (0.22      (0.92     0.51  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net increase from investment operations

    0.64        1.45        1.10        0.24       1.77  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Distributions from net investment income(c)

    (0.95      (1.27      (1.30      (1.29     (1.22
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net asset value, end of year

  $ 16.71      $ 17.02      $ 16.84      $ 17.04 (d)     $ 18.09  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Market price, end of year

  $ 15.06      $ 15.99      $ 15.74      $ 14.60     $ 16.81  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total Return(e)

 

Based on net asset value

    4.42      9.62      7.78      2.23 %(d)      10.77
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Based on market price

    0.18      10.18      17.59      (5.74 )%      6.89
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets

 

Total expenses

    1.73      1.45      1.21      1.15     1.14
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly

    1.73      1.45      1.21      1.15     1.14
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and paid indirectly and excluding interest expense

    0.89      0.89      0.89      0.92     0.92
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Net investment income

    5.60      6.00      8.04      6.65     7.00
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Supplemental Data

 

Net assets, end of year (000)

  $ 612,048      $ 629,728      $ 623,219      $ 630,388     $ 669,382  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Borrowings outstanding, end of year (000)

  $ 234,622      $ 252,280      $ 263,445      $ 264,036     $ 293,890  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

Portfolio turnover rate

    50      55      54      47     57
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

 

 

(a) 

Consolidated Financial Highlights.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value per share and total return performance presented herein are different than the information previously published on August 31, 2015.

(e) 

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

See notes to financial statements.

 

 

68    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred To As    Organized    Diversification
Classification

BlackRock Floating Rate Income Strategies Fund, Inc.

  FRA    Maryland    Diversified

BlackRock Limited Duration Income Trust

  BLW    Delaware    Diversified

The Board of Directors and Board 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 net asset values (“NAVs”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the account of FRA Subsidiary, LLC (the “Taxable Subsidiary”). As of period end, the Taxable Subsidiary, which was wholly-owned by FRA, was dissolved. The Taxable Subsidiary enabled FRA to hold an investment in an operating partnership and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the 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 financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are 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 Funds 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, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities and payment-in-kind interest are recognized on an accrual basis.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the portion of the results of operations arising as a result of changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend date and made at least annually. The character and timing of distributions are determined in accordance with U.S. 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, if applicable. Deferred compensation liabilities are included in the Directors’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

 

 

NOTES TO FINANCIAL STATEMENTS      69  


Notes to Financial Statements  (continued)

 

Recent Accounting Standards: In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update “Premium Amortization of Purchased Callable Debt Securities” which amends the amortization period for certain purchased callable debt securities. Under the new guidance, the premium amortization of purchased callable debt securities that have explicit, non-contingent call features and are callable at fixed prices will be amortized to the earliest call date. The guidance will be applied on a modified retrospective basis and is effective for fiscal years, and their interim periods, beginning after December 15, 2018. Management is currently evaluating the impact of this guidance to the Funds.

In August 2018, the Financial Accounting Standards Board issued Accounting Standards Update 2018-13 “Changes to the Disclosure Requirements for Fair Value Measurement” which modifies disclosure requirements for fair value measurements. The guidance is effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years. Management is currently evaluating the impact of this guidance to the Funds.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the NYSE (generally 4:00 p.m., Eastern time). 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 values of their financial instruments using various independent dealers or pricing services under policies approved by the Board of Directors of each Fund (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 oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

   

Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official closing 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 may be valued at the last available bid (long positions) or ask (short positions) price.

 

   

Fixed-income securities for which market quotations are readily available are generally valued using the last available bid prices or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

 

   

Investments in open-end U.S. mutual funds are valued at NAV each business day.

 

   

Futures contracts traded on exchanges are valued at their last sale price.

 

   

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE. 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. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

   

Swap agreements are valued utilizing quotes received daily by 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.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such investments, or 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

 

 

70    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee will include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.

The 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 each Fund’s 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 Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis. As a result of the inherent uncertainty in valuation of these investments, the fair values may differ from the values that would have been used had an active market existed.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by third party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third Party Pricing Services

Market approach

 

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii)   recapitalizations and other transactions across the capital structure; and

(iii)  market multiples of comparable issuers.

Income approach

 

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii)   quoted prices for similar investments or assets in active markets; and

(iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)  relevant news and other public sources; and

(iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”) or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:

 

   

Level 1 — Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access

 

   

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

 

   

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

 

NOTES TO FINANCIAL STATEMENTS      71  


Notes to Financial Statements  (continued)

 

As of August 31, 2018, certain investments of BLW were valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

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

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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

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

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

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

 

 

72    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, certain funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

 

Fund   Borrower    Par     

Commitment

Amount

     Value      Unrealized
Appreciation
(Depreciation)
 

FRA

  Access CIG, LLC    $ 12,150      $ 12,150      $ 12,175      $ 25  
  Access CIG, LLC      65,782        65,782        65,988        206  
  CFSP Acquisition Corp.      122,223        121,918        121,078        (840
  DentalCorp Perfect Smile ULC      181,430        181,738        182,034        296  
  GFL Environmental, Inc      126,089        126,089        125,354        (735
  Mavis Tire Express Services Corp.      216,378        216,378        214,214        (2,164

BLW

  Access CIG, LLC      25,012        25,012        25,086        74  
  CFSP Acquisition Corp.      39,244        39,146        38,876        (270
  DentalCorp Perfect Smile ULC      60,897        61,000        61,100        100  
    Mavis Tire Express Services Corp.      68,590        68,590        67,904        (686

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. A fund may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the

 

 

NOTES TO FINANCIAL STATEMENTS      73  


Notes to Financial Statements  (continued)

 

settlement date. Since the value of securities purchased may fluctuate prior to settlement, a fund may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, a fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, a fund’s maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

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

For the year ended August 31, 2018, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $253,735,379 and 2.08%, respectively.

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

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

 

Counterparty   Reverse Repurchase
Agreements
    

Fair Value of

Non-cash Collateral
Pledged Including
Accrued Interest (a)

    Cash Collateral
Pledged/Received
     Net
Amount
 

Barclays Capital, Inc.

  $ 29,621,450      $ (29,621,450   $      $  

BNP Paribas S.A.

    22,226,089        (22,226,089             

Cantor Fitzerald & Co.

    16,581,990        (16,581,990             

Citigroup Global Markets, Inc.

    301,143        (301,143             

Credit Suisse Securities (USA) LLC

    5,169,396        (5,169,396             

Deutsche Bank Securities, Inc.

    53,383,529        (53,383,529             

HSBC Securities (USA), Inc.

    25,931,075        (25,931,075             

J.P. Morgan Securities LLC

    1,904,274        (1,904,274             

RBC Capital Markets LLC

    66,060,751        (66,060,751             

Royal Bank of Canada

    376,316        (376,316             

UBS Ltd.

    10,172,977        (10,172,977             

UBS Securities LLC

    2,286,763        (2,286,763             
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 234,015,753      $ (234,015,753   $      $  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a) 

Net collateral, including accrued interest, with a value of $269,285,222 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 

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

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk), and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

 

 

74    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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 on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value — unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

   

Swaptions — Certain Funds purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

 

   

Foreign currency options — Certain Funds purchase and write foreign currency options, foreign currency futures and options on foreign currency futures to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk). Foreign currency options give the purchaser the right to buy from or sell to the writer a foreign currency at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when it otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

 

 

NOTES TO FINANCIAL STATEMENTS      75  


Notes to Financial Statements  (continued)

 

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the Funds’ counterparty on the swap agreement becomes the CCP. The Funds are required to interface with the CCP through the 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 in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gains (losses) in the Statements of Operations.

 

   

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

   

Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one market (e.g., fixed-income) with another market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

 

   

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define their contractual rights and to secure rights that will help them 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 right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the 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 counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from their counterparties are not fully collateralized, they 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, they 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. Based on the terms of agreements, collateral may not be required for all derivative contracts.

 

 

76    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

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.

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

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

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, the FRA pays the Manager a monthly fee at an annual rate equal to 0.75% of the average daily value of the Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “net assets” mean the total assets of the Fund minus the sum of its accrued liabilities.

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” means the total assets of the Fund minus the sum of its accrued liabilities (other than aggregate indebtedness constituting financial leverage).

Distribution Fees: FRA has, and BLW had, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA and BLW common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, BLW is no longer actively engaged in a Shelf Offering, has no effective registration statement or current prospectus and the Distribution Agreement with BLW has been terminated. Pursuant to FRA’s Distribution Agreement, FRA will Compensate BRIL with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL.

Expense Waivers: 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 (the “affiliated money market fund waiver”). These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended August 31, 2018, the amounts waived were as follows:

 

     FRA      BLW  

Amounts waived

  $ 2,053      $ 4,824  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2019 for BLW and through December 31, 2019 for FRA. Each agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of a Fund’s Independent Directors. These amounts are included as fees waived and/or reimbursed by the Manager in the Statement of Operations. For the year ended August 31, 2018, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

     FRA      BLW  

Amounts waived

  $ 15,926      $ 3,791  

Directors and Officers: Certain Directors and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended August 31, 2018, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

     Purchases      Sales      Net Realized Gain  

BLW

  $ 7,371,615      $ 815,271      $ 5,707  

 

7.

PURCHASES AND SALES

For the year ended August 31, 2018, purchases and sales of investments, including paydowns, and excluding short-term securities, were as follows:

 

Purchases  
     FRA      BLW  

Non-U.S. Government Securities

  $ 473,319,463      $ 439,505,653  
 

 

 

    

 

 

 
Sales  
     FRA      BLW  

Non-U.S. Government Securities (includes paydowns)

  $ 472,479,637      $ 453,651,385  

U.S. Government Securities

           2,831,619  
 

 

 

    

 

 

 
  $ 472,479,637      $ 456,483,004  
 

 

 

    

 

 

 

 

 

NOTES TO FINANCIAL STATEMENTS      77  


Notes to Financial Statements  (continued)

 

 

8.

INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for each of the four years ended August 31, 2018. 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 August 31, 2018, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

U.S. GAAP require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of period end, the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed income securities, the classification of investments, foreign currency transactions, the expiration of capital loss carryforwards, liquidating distribution on a wholly-owned subsidiary, non-deductible expenses and dividend recognized for tax purposes were reclassified to the following accounts:

 

     FRA     BLW  

Paid-in capital

  $ (51,120,339   $ (37,509,280

Undistributed net investment income

    197,762       720,060  

Accumulated net realized loss

    50,922,577       36,789,220  

The tax character of distributions paid was as follows:

 

     FRA      BLW  

Ordinary income

    

8/31/2018

  $ 27,514,809      $ 35,259,837  

8/31/2017

  $ 30,307,245      $ 47,105,906  

As of period end the tax components of accumulated net earnings (losses) were as follows:

 

     FRA     BLW  

Undistributed ordinary income

  $ 4,093,006     $ 2,222,259  

Capital loss carryforwards

    (20,497,662     (29,620,342

Net unrealized gains (losses)(a)

    (6,609,437     (8,580,545
 

 

 

   

 

 

 
  $ (23,014,093   $ (35,978,628
 

 

 

   

 

 

 

 

  (a) 

The differences between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the classification of investments, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the timing and recognition of partnership income, the accounting for swap agreements and the deferral of compensation to directors.

 

As of August 31, 2018, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

 

Expires   FRA      BLW  

No expiration date(a)

  $ 18,291,581      $ 29,620,342  

2019

    2,206,081         
 

 

 

    

 

 

 
  $ 20,497,662      $ 29,620,342  
 

 

 

    

 

 

 

 

  (a) 

Must be utilized prior to losses subject to expiration.

 

During the year ended August 31, 2018, the Funds listed below utilized the following amounts of their respective capital loss carryforward:

 

     FRA      BLW  

Amount utilized

  $ 518,851      $ 6,837,267  

As of August 31, 2018, gross unrealized appreciation and gross unrealized depreciation for investments and derivatives based on cost for federal income tax purposes were as follows:

 

     FRA     BLW  

Tax cost

  $ 819,278,631     $ 850,162,810  
 

 

 

   

 

 

 

Gross unrealized appreciation

    3,744,795       12,007,748  

Gross unrealized depreciation

    (10,455,489     (19,445,137
 

 

 

   

 

 

 

Net unrealized depreciation

  $ (6,710,694   $ (7,437,389
 

 

 

   

 

 

 

 

 

78    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

The Tax Cuts and Jobs Act (the “Act”) was enacted on December 22, 2017. Certain provisions of the Act were effective upon enactment with the remainder becoming effective for tax years beginning after December 31, 2017. Although the Act does not amend any provisions directly related to the qualification or taxation of regulated investment companies (“RICs”), the Act does change the taxation of entities in which some RICs invest, the tax treatment of income derived from those entities and the taxation of RIC shareholders. While management does not anticipate significant impact to the Funds or to their shareholders, there is uncertainty in the application of certain provisions in the Act. Specifically, provisions in the Act may increase the amount of or accelerate the recognition of taxable income and may limit the deductibility of certain expenses by RICs. Until full clarity around these provisions is obtained, the impact on the Funds’ financial statements, if any, cannot be fully determined.

 

9.

BANK BORROWINGS

FRA is 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 FRA. As of period end, FRA has not received any notice to terminate. FRA has granted a security interest in substantially all of their assets to SSB. The SSB Agreement allows for a maximum commitment of $274,000,000.

Advances will be made by SSB to FRA, at FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to FRA as of period end 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.

FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended August 31, 2018, the average amount of bank borrowings and the daily weighted average interest rates for FRA with loans under the revolving credit agreements were $238,021,918 and 2.40%, respectively.

 

10.

PRINCIPAL RISKS

In the normal course of business, certain Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations.

Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that they believe the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

 

 

NOTES TO FINANCIAL STATEMENTS      79  


Notes to Financial Statements  (continued)

 

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent the Funds deposit collateral with its counterparty to a written option.

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

Concentration Risk: Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.

 

11.

CAPITAL SHARE TRANSACTIONS

BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. The par value for each Fund’s shares is $0.001 and $0.10, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Each Fund participates in an open market share repurchase program under which it may repurchase, from December 1, 2017 through November 30, 2018, up to 5% of its outstanding common shares based on common shares outstanding as of the close of business on November 30, 2017, subject to certain conditions. On September 7, 2018, each Fund announced a continuation of the repurchase program. Commencing on December 1, 2018, each Fund may repurchase through November 30, 2019, up to 5% of its common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts. For the year ended August 31, 2018, FRA did not repurchase any shares. The total amount of the repurchase offer is reflected in BLW’s Statements of Changes in Net Assets.

For the years shown, shares repurchased and cost, including transaction costs for BLW were as follows:

 

Year Ended August 31,  

Shares

     Amount  

2018

    367,238      $ 5,481,140  

2017

            

For the years ended August 31, 2018 and August 31, 2017, shares issued and outstanding remained constant for FRA.

FRA filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing it to issue an additional 3,050,000 Common Shares through Shelf Offering. Under the Shelf Offering, FRA, 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’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). FRA has not issued any Common Shares through its Shelf Offering. See additional information – Shelf Offering Program for additional information about the Shelf Offering.

Initial costs incurred by FRA in connection with its shelf offering are recorded as “Deferred offering cost” on the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the shelf offering period will be charged to expense. Any subsequent costs incurred to keep the filing active will be charged to expense as incurred.

 

12.

CONTINGENCIES

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to FRA, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that FRA and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that FRA and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. FRA cannot predict the outcome of the lawsuit, or the effect, if any, on FRA’s NAV, in the event of an unfavorable outcome. Accordingly, no liability related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that could potentially be realized by the FRA but does not expect any potential loss to exceed the payment of approximately $668,165 received in 2009.

 

 

80    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Notes to Financial Statements  (continued)

 

 

13.

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:

 

         Common Dividend Per Share      
     Paid (a)      Declared (b)  

FRA

  $ 0.0645        $0.0645  

BLW

    0.0795        0.0795  

 

  (a) 

Net investment income dividend paid on September 28, 2018 to Common Shareholders of record on September 14, 2018.

 
  (b) 

Net investment income dividend declared on October 1, 2018, payable to Common Shareholders of record on October 15, 2018.

 

 

 

NOTES TO FINANCIAL STATEMENTS      81  


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Directors of BlackRock Floating Rate Income Strategies Fund, Inc. and to the Shareholders and Board of Trustees of BlackRock Limited Duration Income Trust:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust (the “Funds”), including the schedules of investments, as of August 31, 2018, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. For BlackRock Floating Rate Income Strategies Fund, Inc., all the presented statements of operations, cash flows, and changes in net assets, as well as the financial highlights were consolidated through November 30, 2017. For BlackRock Limited Duration Income Trust the presented financial highlights were consolidated through December 19, 2014. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of August 31, 2018, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of August 31, 2018, by correspondence with the custodian, agent banks, and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

October 23, 2018

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

Important Tax Information  (unaudited)

During the fiscal year ended August 31, 2018, the following information is provided with respect to the ordinary income distributions paid by the Funds:

 

     Payable Dates    FRA      BLW  

Qualified Dividend Income for Individuals(a)

  September 2017 — December 2017           8.86
  January 2018 — August 2018             9.06  

Dividends Qualifying for the Dividends Received Deduction for Corporations(a)

  September 2017 — August 2018             7.74  

Interest-Related Dividends for Non-U.S. Residents(b)

  September 2017 — December 2017      81.07        43.61  
    January 2018 — August 2018      75.00        75.60  

 

  (a) 

The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

 
  (b) 

Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

 

 

 

82    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements

 

The Board of Directors or the Board of Trustees, as applicable (the “Board,” the members of which are referred to as “Board Members”), of BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” and together with FRA, each a “Fund,” and, collectively, the “Funds”) met in person on April 24, 2018 (the “April Meeting”) and June 6-7, 2018 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Agreement,” and collectively, the “Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Manager is referred to herein as “BlackRock”.

Activities and Composition of the Board

On the date of the June Meeting, the Board of each Fund consisted of ten individuals, eight of whom were not “interested persons” of the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of its Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of each Board is an Independent Board Member. Each Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of the Agreement for its Fund on an annual basis. Each Board has four quarterly meetings per year, each typically extending for two days, and additional in-person and telephonic meetings throughout the year, as needed. Each Board also has a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement for its Fund. Each Board’s consideration of the Agreement for its Fund is a year-long deliberative process, during which the Board assessed, among other things, the nature, extent and quality of the services provided to its Fund by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management, accounting, administrative, and shareholder services; oversight of the Fund’s service providers; marketing; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements.

Each Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement for its Fund, including the services and support provided by BlackRock to the Fund and its shareholders. BlackRock also furnished additional information to each Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreements.” Among the matters each Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year, and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, paid to BlackRock and its affiliates by the Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to the Fund; (e) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Fund’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (f) the Fund’s adherence to its compliance policies and procedures; (g) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of the Fund’s valuation and liquidity procedures; (l) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (n) periodic updates on BlackRock’s business.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, each Board requested and received materials specifically relating to the Agreement for its Fund. Each Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding the Funds’ fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Funds’ as compared with a peer group of funds (“Performance Peers”) and other metrics, as applicable; (b) information on the composition of the Expense Peers and Performance Peers, and a description of the Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to each Fund’s Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, closed-end funds, and open-end funds, under similar investment mandates, as applicable; (e) review of non-management fees; (f) the existence and impact and sharing of potential economies of scale, if any, and the sharing of potential economies of scale with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by each Board as appropriate regarding BlackRock’s and the operations of its Fund.

At the April Meeting, each Board reviewed materials relating to its consideration of the Agreement for its Fund. As a result of the discussions that occurred during the April Meeting, and as a culmination of each Board’s year-long deliberative process, each Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board considered, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Fund as compared with Performance Peers and other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS      83  


Disclosure of Investment Advisory Agreements  (continued)

 

realized by BlackRock and its affiliates from their relationship with the Fund; (d) the Fund’s fees and expenses compared to Expense Peers; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (g) other factors deemed relevant by the Board Members.

Each Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. Each Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. Each Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: Each Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of its Fund. Throughout the year, each Board compared its Fund’s performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. Each Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective(s), strategies and outlook.

Each Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and its Fund’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. Each Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. Each Board engaged in a review of BlackRock’s compensation structure with respect to its Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, each Board considered the quality of the administrative and other non-investment advisory services provided to its Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder, and other services (in addition to any such services provided to its Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering, registration statements in connection with the equity shelf programs of FRA and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of the Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the April Meeting, each Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of its Fund’s performance as of December 31, 2017. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the ex-date at a fund’s ex-date NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, each Board received and reviewed information regarding the investment performance of its Fund as compared to its Performance Peers; a custom peer group of funds as defined by BlackRock (“Customized Peer Group”) for FRA; and, for BLW, the performance of its Fund as compared with the Fund’s custom benchmark. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of the Fund throughout the year.

In evaluating performance, each Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, each Board recognized that it is possible that long-term performance can be impacted by even one period of significant outperformance or underperformance, so that a single investment theme has the ability to affect long-term performance disproportionately.

The Board of FRA noted that for the one-, three- and five-year periods reported, the Fund ranked in the third, second and third quartiles, respectively, against its Customized Peer Group. BlackRock believes that the Customized Peer Group is an appropriate performance metric for the Fund. The Board and BlackRock reviewed FRA’s underperformance during the applicable periods. The Board was informed that, among other things, security selection within healthcare and overweight positions in the cable & satellite and wirelines sectors detracted from performance over the one-year period. In addition, FRA’s focus on quality when higher risk assets outperformed coupled with the Fund’s lower relative use of leverage detracted from performance over both the one- and five-year periods.

The Board and BlackRock discussed BlackRock’s strategy for improving FRA’s investment performance. Discussions covered topics such as performance attribution, FRA’s investment personnel, and the resources appropriate to support the Fund’s investment processes.

The Board of BLW noted that for each of the one-, three- and five-year periods reported, the Fund outperformed its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for the Fund.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any

 

 

84    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Disclosure of Investment Advisory Agreements  (continued)

 

reimbursements or fee waivers. Each Board also compared its Fund’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. Each Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).

Each Board received and reviewed statements relating to BlackRock’s financial condition. Each Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to its Fund. Each Board reviewed BlackRock’s estimated profitability with respect to its Fund and other funds the Board currently oversees for the year ended December 31, 2017 compared to available aggregate estimated profitability data provided for the prior two years. Each Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. Each Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. Each Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

Each Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. Each Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. Each Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, each Board considered the estimated cost of the services provided to its Fund by BlackRock, and BlackRock’s and its affiliates’ estimated profits relating to the management of the Fund and the other funds advised by BlackRock and its affiliates. As part of its analysis, each Board reviewed BlackRock’s methodology in allocating its costs of managing its Fund, to the Fund. Each Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement for its Fund and to continue to provide the high quality of services that is expected by the Board. Each Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing its Fund in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, closed-end fund, sub-advised mutual fund, collective investment trust, and institutional separate account product channels, as applicable.

The Board of FRA noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

The Board of BLW noted that the Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to more fully participate in these economies of scale. Each Board considered the Fund’s asset levels and whether the current fee was appropriate.

Based on each Board’s review and consideration of the issue, each Board concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of FRA noted that although the Fund may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of the Fund’s assets will occur primarily through the appreciation of its investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: Each Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with its Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Fund, including for administrative, securities lending and cash management services. Each Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. Each Board also noted that, subject to applicable law, BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

In connection with its consideration of the Agreement for its Fund, each Board also received information regarding BlackRock’s brokerage and soft dollar practices. Each Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

Each Board noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

Each Board also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the completion of the redemption of auction rate preferred securities for all of the BlackRock closed-end funds; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

 

 

DISCLOSURE OF INVESTMENT ADVISORY AGREEMENTS      85  


Disclosure of Investment Advisory Agreements  (continued)

 

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Agreement between the Manager and its Fund for a one-year term ending June 30, 2019. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, each Board, including the Independent Board Members, was satisfied that the terms of the Agreement for its Fund were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreement for its Fund, each Board did not identify any single factor or group of factors as, all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination.

 

 

86    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Automatic Dividend Reinvestment Plan

 

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value per share (“NAV”) is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N. A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P. O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

AUTOMATIC DIVIDEND REINVESTMENT PLAN      87  


Director and Officer Information

 

Independent Directors (a)
         
Name
Year of Birth
 (b)
   Position(s) Held
(Length of Service)
 (c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
 (d)
   Public Company and
Other Investment Company
Directorships Held During
Past Five Years

Richard E. Cavanagh

1946

   Chair of the Board and Director
(Since 2007)
   Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) since 2015 (board member since 2009); Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.    73 RICs consisting of 73 Portfolios    None

Karen P. Robards

1950

   Vice Chair of the Board and Director
(Since 2007)
   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987.    73 RICs consisting of 73 Portfolios    Greenhill & Co., Inc.; AtriCure, Inc. (medical devices) from 2000 until 2017

Michael J. Castellano

1946

   Director
(Since 2011)
   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and since 2017; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) since 2015.    73 RICs consisting of 73 Portfolios    None

Cynthia L. Egan

1955

   Director
(Since 2016)
   Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.    73 RICs consisting of 73 Portfolios    Unum (insurance); The Hanover Insurance Group (insurance); Envestnet (investment platform) from 2013 until 2016

Frank J. Fabozzi

1948

   Director
(Since 2007)
   Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014 and since 2016; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011.    73 RICs consisting of 73 Portfolios    None

R. Glenn Hubbard

1958

   Director
(Since 2007)
   Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988.    73 RICs consisting of 73 Portfolios    ADP (data and information services); Metropolitan Life Insurance Company (insurance)

W. Carl Kester

1951

   Director
(Since 2007)
   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008, Deputy Dean for Academic Affairs from 2006 to 2010, Chairman of the Finance Unit, from 2005 to 2006, Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.    73 RICs consisting of 73 Portfolios    None

Catherine A. Lynch

1961

   Director
(Since 2016)
   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.    73 RICs consisting of 73 Portfolios    None

 

 

88    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Director and Officer Information  (continued)

 

Interested Directors (a)(e)
         
Name
Year of Birth
 (b)
   Position(s) Held
(Length of Service)
 (c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
 (d)
   Public Company and
Other Investment Company
Directorships Held During
Past Five Years

Robert Fairbairn

1965

   Director
(Since 2018)
   Senior Managing Director of BlackRock, Inc. since 2010; oversees BlackRock’s Strategic Partner Program and Strategic Product Management Group; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.    133 RICs consisting of 133 Portfolios    None

John M. Perlowski

1964

   Director
(Since 2015)
President and Chief Executive Officer
(Since 2011)
   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    133 RICs consisting of 133 Portfolios    None

(a) The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b) Each Independent Director will serve until his or her successor is elected and qualifies, or until his or her earlier death, resignation, retirement or removal, or until December 31 of the year in which he or she turns 75. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding of good cause therefor.

(c) Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Independent Directors as joining the Board in 2007, each Director first became a member of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.

(d) For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 73 RICs consisting of 73 Portfolios. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex.

(e) Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Funds based on their positions with BlackRock and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Equity-Bond Complex and the BlackRock Equity-Liquidity Complex. Interested Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon a finding of good cause therefor.

 

 

DIRECTOR AND OFFICER INFORMATION      89  


Director and Officer Information  (continued)

 

Officers Who Are Not Directors (a)
     
Name
Year of Birth
 (b)
   Position(s) Held
(Length of Service)
   Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

   Vice President
(Since 2015)
   Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015.

Neal J. Andrews

1966

   Chief Financial Officer
(Since 2007)
   Managing Director of BlackRock, Inc. since 2006.

Jay M. Fife

1970

   Treasurer
(Since 2007)
   Managing Director of BlackRock, Inc. since 2007.

Charles Park

1967

   Chief Compliance Officer
(Since 2014)
   Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

   Secretary
(Since 2012)
   Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.

(b) Officers of the Fund serve at the pleasure of the Board.

 

As of the date of this report, the portfolio managers of FRA are Josh Tarnow, David Delbos, Carly Wilson, Abigail Apistolas and Mitchell Garfin. Mr. Delbos, Ms. Wilson, Ms. Apistolas and Mr. Garfin each joined FRA’s portfolio management team effective August 31, 2018. Mr. Delbos has been a Managing Director of BlackRock, Inc. since 2012. Ms. Wilson has been a Director of BlackRock, Inc. since 2016; a Vice President thereof from 2011 to 2015. Ms. Apistolas has been an Associate of BlackRock, Inc. since 2016; an Associate at Morgan Stanley from 2012 to 2016. Mr. Garfin has been a Managing Director of BlackRock, Inc. since 2009.

As of the date of this report, the portfolio managers of BLW are Thomas Musmanno, James E. Keenan, Mitchell Garfin, Scott MacLellan and David Delbos. Mr. MacLellan joined BLW’s portfolio management team effective August 10, 2018. Mr. MacLellan has been a Director of BlackRock, Inc. since 2010. Mr. Delbos joined BLW’s portfolio management team effective August 31, 2018. Mr. Delbos has been a Managing Director of BlackRock, Inc. since 2012.

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Distributor(a)

BlackRock Investments, LLC

New York, NY 10022

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Skadden, Arps, Slate, Meagher & Flom LLP

Boston, MA 02116

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

FRA

 

 

90    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held for the Funds on July 30, 2018 and the adjourned Annual Meeting of Shareholders for FRA was held on August 27, 2018, for shareholders of record on May 31, 2018, to elect trustee or director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Shareholders elected the Class II Trustees & Class III Trustee as follows:

 

  

 

  Frank J. Fabozzi (a)     Robert Fairbairn (b)     Catherine A. Lynch (a)     Karen P. Robards (a)  
     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

BLW

    32,981,027       887,185       33,462,405       405,807       33,453,738       414,474       33,437,383       430,829  

For the Trust listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, R. Glenn Hubbard, John M. Perlowski and W. Carl Kester.

Shareholders elected the Class II Trustees & Class III Trustee as follows:

 

  

 

  Robert Fairbairn (b)     R. Glenn Hubbard (a)     W. Carl Kester (a)     John M. Perlowski (a)     Karen P. Robards (a)  
     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

FRA

    33,517,924       464,239       32,985,259       996,904       33,003,646       978,517       33,523,630       458,533       33,549,459       432,704  

For the Trust listed above, Trustees whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, Frank J. Fabozzi, and Catherine A. Lynch.

 

  (a) 

Class II

 
  (b) 

Class III

 

Fund Certification

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

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

BLW does not make available copies of its Statement of Additional Information because the Fund’s shares are not continuously offered, which means that the Statement of Additional Information has not been updated after completion of the Fund’s offerings and the information contained in its Statement of Additional Information may have become outdated.

FRA’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling (800) 882-0052.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders or in the principal risk factors associated with investment in the Funds. Except as disclosed on page 90, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, as amended, the Funds from time to time may purchase their common shares in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

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

 

 

ADDITIONAL INFORMATION      91  


Additional Information  (continued)

 

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial advisor. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, 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 (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room or how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

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

The amounts and sources of distributions reported in this notice are for financial reporting purposes and are not being provided for tax reporting purposes. The actual amounts and character of the distributions for tax reporting purposes will be reported to shareholders on Form 1099-DIV which is sent to shareholders shortly after calendar year end.

August 31, 2018

 

     Total Fiscal Year to Date Cummulative
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
 

FRA

  $ 0.7390000     $     $     $     $ 0.7390000       100     0     0     0     100

BLW

    0.9540000                         0.9540000       100       0       0       0       100  

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website http://www.blackrock.com.

 

 

92    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


Additional Information  (continued)

 

Shelf Offering Program

From time-to-time, FRA may seek to raise additional equity capital through an equity shelf program (a “Shelf Offering”). In a Shelf Offering, FRA 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 FRA 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.

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

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

ADDITIONAL INFORMATION      93  


Glossary of Terms Used in this Report

 

Currency
BRL    Brazilian Real
EUR    Euro
GBP    British Pound
MXN    Mexican Peso
NZD    New Zealand Dollar
RUB    New Russian Ruble
USD    U.S. Dollar
ZAR    South African Rand

 

Portfolio Abbreviations
ABS    Asset-Backed Security
CLO    Collateralized Loan Obligation
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FNMA    Federal National Mortgage Association
LIBOR    London Interbank Offered Rate
PIK    Payment-In-Kind
 

 

 

94    2018 BLACKROCK ANNUAL REPORT TO SHAREHOLDERS


This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. 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.

 

LOGO

 

 

CEFT-BK3-8/18-AR    LOGO


Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Michael Castellano

Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 –

Principal Accountant Fees and Services

 

3


The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

      (a) Audit Fees    (b) Audit-Related Fees1    (c) Tax Fees2    (d) All Other Fees
Entity Name    Current
Fiscal Year
End
         Previous
Fiscal Year
End
         Current
Fiscal Year
End
         Previous
Fiscal Year
End
         Current
Fiscal Year
End
         Previous
Fiscal Year
End
        

Current

Fiscal Year
End

         Previous    
Fiscal Year    
End      
BlackRock Floating Rate Income Strategies Fund, Inc.    $72,624         $72,612         $0         $4,000         $26,600         $26,556         $0         $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

      Current Fiscal Year End    Previous Fiscal Year End

(b) Audit-Related Fees1

   $0    $0

(c) Tax Fees2

   $0    $0

(d) All Other Fees3

   $2,274,000    $2,129,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,274,000 and $2,129,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

 

4


Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

Entity Name   

Current Fiscal Year

End

  

Previous Fiscal Year

End

         
BlackRock Floating Rate Income Strategies Fund, Inc.    $26,600    $30,556      

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal

Year End

  

Previous Fiscal

Year End

$2,274,000    $2,129,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

Item 5 –

Audit Committee of Listed Registrants

 

  (a)

The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Michael Castellano

 

5


Frank J. Fabozzi

W. Carl Kester

Catherine A. Lynch

Karen P. Robards

 

  (b)

Not Applicable

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies

(a)(1) As of the date of filing this Report:

The registrant is managed by a team of investment professionals comprised of Joshua Tarnow, Managing Director at BlackRock, David Delbos, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock, Carly Wison, Director at BlackRock, and Abigail Apistolas, Associate at BlackRock. Each is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Mr. Tarnow has been a member of the registrant’s portfolio management team

 

6


since 2009. Messrs. Delbos and Garfin and Mses. Wilson and Apistolas have been members of the registrant’s portfolio management team since 2018. Messrs. Delbos and Garfin and Mses. Wilson and Apistolas became portfolio managers to the Fund on August 31, 2018.

 

           Portfolio Manager    Biography
  Joshua Tarnow    Managing Director of BlackRock, Inc. since 2009; Senior Partner at R3 Capital Partners from 2008 to 2009; Managing Director at Lehman Brothers from 2006 to 2008.
  David Delbos    Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2007 to 2011; Vice President of BlackRock, Inc. from 2005 to 2006.
  Mitchell Garfin    Managing Director of BlackRock, Inc. since 2009; Director of BlackRock, Inc. from 2005 to 2008.
  Carly Wilson    Director of BlackRock, Inc. since 2016; Vice President of BlackRock, Inc. from 2011 to 2015; Associate at BlackRock, Inc. from 2009 to 2010; Associate at R3 Capital Partners from 2008 to 2009; Associate at Lehman Brothers from 2004 to 2008.
  Abigail Apistolas    Associate of BlackRock, Inc. since 2016; Associate at Morgan Stanley from 2012 to 2016; Analyst at Morgan Stanley from 2012 to 2014.

(a)(2) As of August 31, 2018:

 

     

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

  

Other

Registered

Investment

Companies

        

Other Pooled

Investment

Vehicles

        

Other

Accounts

        

Other

Registered

Investment

Companies

        

Other Pooled

Investment

Vehicles

        

Other    

Accounts    

Joshua Tarnow

   5         4         1         0         0         0
     $8.51 Billion         $235.4 Million         $395.8 Million         $0         $0         $0

David Delbos

   15         14         22         0         0         5
     $27.06 Billion         $9.64 Billion         $9.23 Billion         $0         $0         $1.08 Billion

Mitchell Garfin

   16         17         22         0         0         5
     $29.45 Billion         $9.29 Billion         $9.61 Billion         $0         $0         $1.08 Billion

Carly Wilson

   7         14         3         0         0         0
     $8.44 Billion         $6.06 Billion         $306.5 Million         $0         $0         $0

Abigail Apistolas

   8         12         8         0         0         0
     $8.22 Billion         $6.16 Billion         $890.6 Million         $0         $0         $0

(iv) Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and

 

7


advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Tarnow, Delbos and Garfin and Mses. Wilson and Apistolas may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Tarnow, Delbos and Garfin and Mses. Wilson and Apistolas may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of August 31, 2018:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of August 31, 2018.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

 

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Discretionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

 

Portfolio Manager    Benchmarks

Joshua Tarnow

Carly Wilson

  

A combination of market-based indices (e.g. Bank of America Merrill Lynch 3 Month U.S. Treasury Bill Index)

 

David Delbos

Mitchell Garfin

   A combination of market-based indices (e.g., The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.
Abigail Apistolas   

A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain customized indices and certain fund industry peer groups.

 

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

 

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For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($275,000 for 2018). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of August 31, 2018.

 

Portfolio Manager   

Dollar Range of Equity Securities

of the Fund Beneficially Owned

Joshua Tarnow    $100,001-$500,000
David Delbos    None
Mitchell Garfin    None
Carly Wilson    None
Abigail Apistolas    None

(b) Not Applicable

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

 

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Period                              

(a) Total

Number of    

Shares

Purchased

 

(b) Average

Price Paid per    

Share

 

(c) Total Number of

Shares Purchased as Part    

of Publicly Announced

Plans or Programs

 

(d) Maximum Number of

Shares that May Yet Be

Purchased Under the Plans    

or Programs1

March 1-31, 2018

  0   0   0   1,861,624

April 1-31, 2018

  0   0   0   1,861,624

May 1-31, 2018

  0   0   0   1,861,624

June 1-30, 2018

  0   0   0   1,861,624

July 1-31, 2018

  0   0   0   1,861,624

August 1-31, 2018

  0   0   0   1,861,624

Total:

  0   0   0   1,861,624

 

1 On September 6, 2017, the Fund announced a continuation of the open market share repurchase program, pursuant to which the Fund may repurchase through November 30, 2018 up to 5% of its outstanding shares based on common shares outstanding on November 30, 2017, in open market transactions. On September 7, 2018, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2018, the Fund may repurchase through November 30, 2019, up to 5% of its common shares outstanding as of the close of business on November 30, 2018, subject to certain conditions.

 

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 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

 

Item 13 –

Exhibits attached hereto

(a)(1) – Code of Ethics – See Item 2

(a)(2) – Certifications – Attached hereto

(a)(3) – Not Applicable

(a)(4) – Not Applicable

(b) – Certifications – Attached hereto

 

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

 

  BlackRock Floating Rate Income Strategies Fund, Inc.
           By:       /s/ John M. Perlowski                
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Floating Rate Income Strategies Fund, Inc.
 

Date: November 2, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

           By:       /s/ John M. Perlowski                
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Floating Rate Income Strategies Fund, Inc.
 

Date: November 2, 2018

 

           By:       /s/ Neal J. Andrews                
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Floating Rate Income Strategies Fund, Inc.
  Date: November 2, 2018

 

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