N-CSR 1 d104656dncsr.htm BLACKROCK DEBT 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: 811-08603

Name of Fund: BlackRock |  | Debt Strategies Fund, Inc. (DSU)

Fund Address: 100 |  | Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Debt Strategies Fund, Inc., 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 12/31/2020

Date of reporting period: 12/31/2020

Item 1 – | Report to Stockholders

(a) The Report to Shareholders is attached herewith.

|  | DECEMBER 31, 2020

|  | 2020 Annual Report

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information (unaudited) |  |

Section 19(a) Notices

BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) and BlackRock Limited Duration Income Trust’s (BLW) (collectively the “Funds”, or individually a “Fund”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

December 31, 2020

|  | Total Cumulative Distributions |  |  |  |  |  | % Breakdown of the Total Cumulative |
|  | for the Fiscal Period |  |  |  |  |  | Distributions for the Fiscal Period |
|  | Net |  |  | Net Realized |  |  | Net Realized |  |  |  |  |  | Total Per |  |  |  |  |  | Net |  |  | Net Realized |  |  | Net Realized |  |  |  |  |  | Total Per |
|  | Investment |  |  | Capital Gains |  |  | Capital Gains |  |  | Return of |  |  | Common |  |  |  |  |  | Investment |  |  | Capital Gains |  |  | Capital Gains |  |  | Return of |  |  | Common |
Fund Name |  |  | Income |  |  |  | Short-Term |  |  |  | Long-Term |  |  |  | Capital | (a) |  |  | Share |  |  |  |  |  |  |  | Income |  |  |  | Short-Term |  |  |  | Long-Term |  |  |  | Capital |  |  |  | Share |
DSU |  | $ | 0.648339 |  |  | $ | — |  |  | $ | — |  |  | $ | 0.183661 |  |  | $ | 0.832000 |  |  |  |  |  |  |  | 78 | % |  |  | — | % |  |  | — | % |  |  | 22 | % |  |  | 100 | %
FRA |  |  | 0.696324 |  |  |  | — |  |  |  | — |  |  |  | 0.225076 |  |  |  | 0.921400 |  |  |  |  |  |  |  | 76 |  |  |  | — |  |  |  | — |  |  |  | 24 |  |  |  | 100 |
BLW |  |  | 1.017530 |  |  |  | — |  |  |  | — |  |  |  | 0.159670 |  |  |  | 1.177200 |  |  |  |  |  |  |  | 86 |  |  |  | — |  |  |  | — |  |  |  | 14 |  |  |  | 100 |
(a)Each Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share. |

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website at blackrock.com.

Section 19(b) Disclosure

On September 5, 2019, the Funds, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Fund’s Board of Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, starting in October 2019, the Funds currently distribute the following fixed amounts per share on a monthly basis:

|  | Amount Per |
Exchange Symbol |  | Common Share |
DSU |  | $ | 0.0605 |
FRA |  |  | 0.0667 |
BLW |  |  | 0.0981 |

The fixed amounts distributed per share are subject to change at the discretion of each Fund’s Board. Under its Plan, each Fund will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, the Funds will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Fund may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Fund’s investment performance from the amount of these distributions or from the terms of the Plan. Each Fund’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate a Fund’s Plan at any time without prior notice to the Fund’s shareholders if it deems such actions to be in the best interests of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. The Funds are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.

2 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

The Markets in Review

Dear Shareholder,

The 12-month reporting period as of December 31, 2020 has been a time of sudden change in global financial markets, as the emergence and spread of the coronavirus (or “COVID-19”) led to a vast disruption in the global economy and financial markets. The threat from the coronavirus became increasingly apparent throughout February and March 2020, and countries around the world took economically disruptive countermeasures. Stay-at-home orders and closures of non-essential businesses became widespread, many workers were laid off, and unemployment claims spiked, causing a global recession and a sharp fall in equity prices.

After markets hit their lowest point of the reporting period in late March 2020, a steady recovery ensued, as businesses began to re-open and governments learned to adapt to life with the virus. Equity prices continued to rise throughout the summer, fed by strong fiscal and monetary support and improving economic indicators. Many equity indices neared or surpassed all-time highs late in the reporting period following a series of successful vaccine trials and passage of additional stimulus. In the United States, both large- and small-capitalization stocks posted a significant advance. International equities from developed economies grew at a more modest pace, lagging emerging market stocks, which rebounded sharply.

During the market downturn, the performance of different types of fixed-income securities initially diverged due to a reduced investor appetite for risk. U.S. Treasuries benefited from the risk-off environment, and posted solid returns, as the 10-year U.S. Treasury yield (which is inversely related to bond prices) touched an all-time low. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and both investment-grade and high-yield bonds recovered to post positive returns.

Following the coronavirus outbreak, the Fed instituted two emergency interest rate cuts, pushing short-term interest rates, already low as the year began, close to zero. To stabilize credit markets, the Fed also implemented a new bond-buying program, as did several other central banks around the world, including the European Central Bank and the Bank of Japan.

Looking ahead, while coronavirus-related disruptions have clearly hindered worldwide economic growth, we believe that the global expansion is likely to accelerate as vaccination efforts get under way. The results of the U.S. elections also cleared the way for additional stimulus spending in 2021, which is likely to be a solid tailwind for economic growth. Inflation should increase as the expansion continues, but a shift in central bank policy means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the equity expansion.

Overall, we favor a positive stance toward risk, with an overweight in both equities and credit. We see U.S. and Asian equities benefiting from structural growth trends in tech, while emerging markets should be particularly helped by a vaccine-led economic expansion. In credit, rising inflation should provide tailwinds for inflation-protected bonds, and Euro area peripherals and Asian bonds also provide attractive opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

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

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of December 31, 2020

|  | 6-Month |  | 12-Month
U.S. large cap equities (S&P 500® Index) |  | 22.16% |  | 18.40%
U.S. small cap equities (Russell 2000® Index) |  | 37.85 |  | 19.96
International equities (MSCI Europe, Australasia, Far East Index) |  | 21.61 |  | 7.82
Emerging market equities (MSCI Emerging Markets Index) |  | 31.14 |  | 18.31
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |  | 0.07 |  | 0.67
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |  | (1.87) |  | 10.58
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index) |  | 1.29 |  | 7.51
Tax-exempt municipal bonds (S&P Municipal Bond Index) |  | 2.92 |  | 4.95
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index) |  | 11.32 |  | 7.05

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |  | 3

Table of Contents

|  | Page |
Supplemental Information |  |  | 2 |
The Markets in Review |  |  | 3 |
Annual Report: |  |  |  |
The Benefits and Risks of Leveraging |  |  | 5 |
Derivative Financial Instruments |  |  | 5 |
Fund Summary |  |  | 6 |
Financial Statements: |  |  |  |
Schedules of Investments |  |  | 15 |
Statements of Assets and Liabilities |  |  | 100 |
Statements of Operations |  |  | 102 |
Statements of Changes in Net Assets |  |  | 103 |
Statements of Cash Flows |  |  | 105 |
Financial Highlights |  |  | 107 |
Notes to Financial Statements |  |  | 110 |
Report of Independent Registered Public Accounting Firm |  |  | 123 |
Important Tax Information |  |  | 124 |
Investment Objectives, Policies and Risks |  |  | 125 |
Automatic Dividend Reinvestment Plan |  |  | 134 |
Director and Officer Information |  |  | 135 |
Additional Information |  |  | 138 |
Glossary of Terms Used in this Report |  |  | 142 |

4 |  |

The Benefits and Risks of Leveraging |  |

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.

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

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

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

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33 1/3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

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

Derivative Financial Instruments

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

T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G / D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S |  | 5

Fund Summary as of December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Investment Objective

BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings or Baa or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to provide capital appreciation.

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

Fund Information

Symbol on New York Stock Exchange |  | DSU
Initial Offering Date |  | March 27, 1998
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($10.45)(a) |  | 6.95%
Current Monthly Distribution per Common Share(b) |  | $0.0605
Current Annualized Distribution per Common Share(b) |  | $0.7260
Leverage as of December 31, 2020(c) |  | 30%
(a)Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance does not guarantee future results. (b)The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. (c)Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

Market Price and Net Asset Value Per Share Summary

|  | 12/31/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 10.45 |  |  | $ | 11.20 |  |  |  | (6.70 | )% |  | $ | 11.50 |  |  | $ | 5.92 |
Net Asset Value |  |  | 11.55 |  |  |  | 12.25 |  |  |  | (5.71 | ) |  |  | 12.35 |  |  |  | 8.46 |

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

6 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Fund Summary as of December 31, 2020 (continued) |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

|  | Average Annual Total Returns |
|  | 1 Year |  |  | 3 Years |  |  | 5 Years |
Fund at NAV(a)(b) |  |  | 2.57 | % |  |  | 4.97 | % |  |  | 7.75 | %
Fund at Market Price(a)(b) |  |  | 1.50 |  |  |  | 4.15 |  |  |  | 8.47 |
Reference Benchmark(c) |  |  | 5.09 |  |  |  | 5.12 |  |  |  | 6.90 |
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) |  |  | 7.05 |  |  |  | 6.21 |  |  |  | 8.57 |
S&P/LSTA Leveraged Loan Index(e) |  |  | 3.12 |  |  |  | 4.01 |  |  |  | 5.24 |
(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 (50%) and the S&P/LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. (d)An unmanaged index comprised of issuers that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. (e)An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments. |

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not indicative of future results.

DSU is presenting the Reference Benchmark to accompany fund performance. The Reference Benchmark is presented for informational purposes only, as the Fund is actively managed and does not seek to track or replicate the performance of the Reference Benchmark or any other index. The portfolio investments of the Fund may differ substantially from the securities that comprise the indices within the Reference Benchmark, which may cause the Fund’s performance to differ materially from that of the Reference Benchmark. The Fund employs leverage as part of its investment strategy, which may change over time at the discretion of BlackRock Advisors, LLC (the “Manager”) as market and other conditions warrant. In contrast, the Reference Benchmark is not adjusted for leverage. Therefore, leverage generally may result in the Fund outperforming the Reference Benchmark in rising markets and underperforming in declining markets. The Board considers additional factors to evaluate the Fund’s performance, such as the performance of the Fund relative to a peer group of funds, a leverage-adjusted benchmark and/or other information provided by the Manager.

More information about the historical performance can be found in the “Closed-End Funds” section of blackrock.com.

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

What factors influenced performance?

After falling sharply in the first calendar quarter of 2020 due to the emergence of COVID-19, the high yield and floating rate loan interest (“bank loan”) markets recovered to finish 2020 with positive returns. Both categories were helped by the combination of aggressive fiscal and monetary stimulus, better-than-expected economic conditions in the second half of the year, and the approval of a coronavirus vaccine in early November 2020.

Bank loans made the largest contributor to the Fund’s absolute return in 2020, followed by high yield and investment grade bonds. From a sector perspective, technology, cable & satellite and building materials were the leading contributors. B rated issues made the largest contribution among the three major credit tiers, followed by CCCs and BBBs.

Energy was by far the largest detractor from performance at the sector level, followed by lodging and aerospace/defense. BB rated securities were the sole detractor by rating.

The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning. The Fund’s use of derivatives had a negative impact on Fund performance.

Describe recent portfolio activity.

The Fund increased its allocation to high yield and investment grade bonds throughout the year due to supportive supply-and-demand conditions and attractive relative valuations. The investment adviser’s credit rating views remained relatively consistent over the past several quarters, focusing on higher-quality B rated issues and avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the rest held mostly in high yield and investment grade corporate bonds. The Fund’s largest sector positions were in technology, health care and consumer cyclical services, while it had less exposure to retailers, home construction and transportation services. Within energy, the Fund remained broadly underweight across the midstream, independent energy and oil field services categories. From a credit rating perspective, the Fund continued to emphasize BB and B rated issues, with a higher allocation to the latter. The Fund also held a smaller in position in CCC rated debt.

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

F U N D S U M M A R Y |  | 7

Fund Summary as of December 31, 2020 (continued) |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Overview of the Fund’s Total Investments

PORTFOLIO ALLOCATION

Asset Type |  | 12/31/20 |  |  | 12/31/19 |
Floating Rate Loan Interests |  |  | 82 | % |  |  | 81 | %
Corporate Bonds |  |  | 16 |  |  |  | 15 |
Investment Companies |  |  | 1 |  |  |  | 3 |
Preferred Securities |  |  | 1 |  |  |  | 1 |
Other* |  |  | — |  |  |  | — |

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b) |  | 12/31/20 |  |  | 12/31/19 |
BBB/Baa |  |  | 7 | % |  |  | 7 | %
BB/Ba |  |  | 21 |  |  |  | 27 |
B |  |  | 64 |  |  |  | 59 |
CCC/Caa |  |  | 7 |  |  |  | 3 |
N/R |  |  | 1 |  |  |  | 4 |

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

(b) | Excludes common stocks, warrants, short-term securities, options purchased and options written.

* | Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

8 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Fund Summary as of December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Investment Objective

BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”) investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

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

Fund Information

Symbol on New York Stock Exchange |  | FRA
Initial Offering Date |  | October 31, 2003
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($12.11)(a) |  | 6.61%
Current Monthly Distribution per Common Share(b) |  | $0.0667
Current Annualized Distribution per Common Share(b) |  | $0.8004
Leverage as of December 31, 2020(c) |  | 30%

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

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

| (c) | Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |

Market Price and Net Asset Value Per Share Summary

|  | 12/31/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 12.11 |  |  | $ | 13.44 |  |  |  | (9.90 | )% |  | $ | 13.66 |  |  | $ | 6.72 |
Net Asset Value |  |  | 13.81 |  |  |  | 14.55 |  |  |  | (5.09 | ) |  |  | 14.66 |  |  |  | 10.16 |

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

F U N D S U M M A R Y |  | 9

Fund Summary as of December 31, 2020 (continued) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  |  |  |  | 1 Year |  |  | 3 Years |  |  | 5 Years |
Fund at NAV(a)(b) |  |  |  |  |  |  | 2.76 | % |  |  | 4.54 | % |  |  | 5.89 | %
Fund at Market Price(a)(b) |  |  |  |  |  |  | (2.45 | ) |  |  | 2.61 |  |  |  | 5.23 |
S&P/LSTA Leveraged Loan Index(c) |  |  |  |  |  |  | 3.12 |  |  |  | 4.01 |  |  |  | 5.24 |

| (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.

More information about the Fund’s historical performance can be found in the “Closed-End Funds” section of blackrock.com.

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

What factors influenced performance?

After falling sharply in the first calendar quarter of 2020 due to the emergence of COVID-19, the floating rate loan interest (“bank loan”) market recovered to finish 2020 with positive returns. As was the case with other credit-oriented segments of the bond market, bank loans were helped by the combination of aggressive fiscal and monetary stimulus, better-than-expected economic conditions in the second half of the year, and the approval of a coronavirus vaccine in early November 2020.

From an asset allocation perspective, the Fund’s core exposure to bank loans and tactical allocations to investment grade and high yield corporate bonds contributed to performance. By sector, the largest contributors included technology, cable/satellite and building materials. With respect to credit tiers, the Fund’s B rated positions were the leading contributors to absolute returns, followed by CCCs and BBBs.

At the sector level, the largest detractors from performance included energy and lodging. By rating class, BB rated issues were the sole detractor.

Describe recent portfolio activity.

The investment adviser increased the Fund’s allocation to high yield and investment grade bonds throughout the year due to the supportive technicals and attractive relative values in these areas. The investment adviser’s credit rating views remained relatively consistent over the past several quarters, focusing on higher-quality B rated issues and avoiding the more volatile, stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the rest primarily invested in high yield and investment grade corporates. By credit rating, B rated loans were the Fund’s largest position, and it had a much smaller weightings in the higher-risk CCC rated segment. Within the single B category, the investment adviser remained focused on higher-quality B+ and B rated areas, with less of an emphasis on B- rated debt.

The investment adviser’s core sector views stayed largely intact. Some of the Fund’s top sector positions were technology companies, particularly in the enterprise software business. Health care, cable/satellite and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. The investment adviser slightly increased the portfolio’s allocation to sectors with above-average sensitivity to COVID-19 during the second half of the year by participating in new issues in the gaming and airline categories. The Fund maintained a lower allocation to energy and to the consumer cyclical sectors, such as retailers and leisure, on the belief that these market segments continued to face significant headwinds.

Additionally, the Fund had a bias toward larger loan tranches, as well as to loan/bond capital structures over the loan-only segment. The Fund remained underweight in the 2017 and 2018 vintages, arguably a period with more aggressive lending standards and weaker protections for loan holders.

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

10 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Fund Summary as of December 31, 2020 (continued) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Overview of the Fund’s Total Investments

PORTFOLIO ALLOCATION

Asset Type |  | 12/31/20 |  |  | 12/31/19 |
Floating Rate Loan Interests |  |  | 93 | % |  |  | 94 | %
Corporate Bonds |  |  | 5 |  |  |  | 1 |
Investment Companies |  |  | 2 |  |  |  | 5 |
Other* |  |  | — |  |  |  | — |

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b) |  | 12/31/20 |  |  | 12/31/19 |
BBB/Baa |  |  | 6 | % |  |  | 8 | %
BB/Ba |  |  | 19 |  |  |  | 27 |
B |  |  | 67 |  |  |  | 58 |
CCC/Caa |  |  | 6 |  |  |  | 2 |
N/R |  |  | 2 |  |  |  | 5 |

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

(b) | Excludes common stocks, warrants, short-term securities, options purchased and options written.

* | Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

F U N D S U M M A R Y |  | 11

Fund Summary as of December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Investment Objective

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

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

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

| • |  | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality.

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

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

Fund Information

Symbol on New York Stock Exchange |  | BLW
Initial Offering Date |  | July 30, 2003
Current Distribution Rate on Closing Market Price as of December 31, 2020 ($15.92)(a) |  | 7.39%
Current Monthly Distribution per Common Share(b) |  | $0.0981
Current Annualized Distribution per Common Share(b) |  | $1.1772
Leverage as of December 31, 2020(c) |  | 31%

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

| (b) | The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain. |

| (c) | Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments. |

Market Price and Net Asset Value Per Share Summary

|  | 12/31/20 |  |  | 12/31/19 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 15.92 |  |  | $ | 16.39 |  |  |  | (2.87 | )% |  | $ | 16.70 |  |  | $ | 9.52 |
Net Asset Value |  |  | 16.93 |  |  |  | 17.05 |  |  |  | (0.70 | ) |  |  | 17.22 |  |  |  | 12.19 |

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

12 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Fund Summary as of December 31, 2020 (continued) |  | BlackRock Limited Duration Income Trust (BLW)

Performance and Portfolio Management Commentary

Returns for the period ended December 31, 2020 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  |  |  |  | 1 Year |  |  | 3 Years |  |  | 5 Years |
Fund at NAV(a)(b) |  |  |  |  |  |  | 7.58 | % |  |  | 7.26 | % |  |  | 8.67 | %
Fund at Market Price(a)(b) |  |  |  |  |  |  | 5.24 |  |  |  | 7.37 |  |  |  | 9.57 |
Reference Benchmark(c) |  |  |  |  |  |  | 5.06 |  |  |  | 4.73 |  |  |  | 5.63 |
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index(d) |  |  |  |  |  |  | 7.05 |  |  |  | 6.21 |  |  |  | 8.57 |
S&P/LSTA Leveraged Loan Index(e) |  |  |  |  |  |  | 3.12 |  |  |  | 4.01 |  |  |  | 5.24 |
BATS S Benchmark(f) |  |  |  |  |  |  | 4.43 |  |  |  | 3.72 |  |  |  | 2.98 |

| (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.

More information about the Fund’s historical performance can be found in the “Closed-End Funds” section of blackrock.com.

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

What factors influenced performance?

Positive contributors to the Fund’s absolute performance over the period included allocations to both high yield and investment grade corporate bonds as credit sentiment rebounded based on policy support after the market dislocation seen in the first quarter of 2020. Exposure to credit-sensitive floating rate loan interests (“bank loans”) and emerging market debt also added to performance. Finally, U.S. Treasuries also provided positive returns as interest rates declined over the period.

The largest detractors from the Fund’s absolute performance were exposures to tax-exempt municipal bonds, equities and taxable bonds.

Describe recent portfolio activity.

Over the period, the Fund increased its allocation to U.S. high yield corporate credit, investment grade corporate credit and emerging market debt. Over the same period, the Fund reduced exposure to U.S. Treasuries, commercial mortgage-backed securities (“CMBS”) and asset-backed securities (“ABS”).

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate credit, investment grade corporate credit, emerging market debt, CMBS and ABS. In addition, the Fund held modest exposures to government securities, including U.S. Treasuries and non-U.S. sovereign securities.

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.

F U N D S U M M A R Y |  | 13

Fund Summary as of December 31, 2020 (continued) |  | BlackRock Limited Duration Income Trust (BLW)

Overview of the Fund’s Total Investments

PORTFOLIO ALLOCATION

Asset Type(a) |  | 12/31/20 |  |  | 12/31/19 |
Corporate Bonds |  |  | 55 | % |  |  | 48 | %
Floating Rate Loan Interests |  |  | 30 |  |  |  | 31 |
Preferred Securities |  |  | 5 |  |  |  | 7 |
Asset-Backed Securities |  |  | 3 |  |  |  | 3 |
Foreign Agency Obligations |  |  | 3 |  |  |  | 2 |
U.S. Treasury Obligations |  |  | 2 |  |  |  | 2 |
Non-Agency Mortgage-Backed Securities |  |  | 1 |  |  |  | 1 |
Investment Companies |  |  | 1 |  |  |  | 2 |
U.S. Government Sponsored Agency Securities |  |  | — | * |  |  | 4 |
Other* |  |  | — |  |  |  | — |

CREDIT QUALITY ALLOCATION

Credit Rating(b)(c) |  | 12/31/20 |  |  | 12/31/19 |
AAA/Aaa |  |  | — | % |  |  | 1 | %
AA/Aa |  |  | 2 |  |  |  | 3 |
A |  |  | 4 |  |  |  | 7 |
BBB/Baa |  |  | 14 |  |  |  | 15 |
BB/Ba |  |  | 32 |  |  |  | 35 |
B |  |  | 39 |  |  |  | 34 |
CCC/Caa |  |  | 7 |  |  |  | 4 |
N/R |  |  | 2 |  |  |  | 1 |

(a) | Excludes short-term securities, options purchased and options written.

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

(c) | Excludes common stocks, warrants, short-term securities, options purchased and options written.

* | Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

14 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Shares |  |  | Value |
Common Stocks |
Construction & Engineering — 0.1% |
McDermott International Ltd.(a) |  |  |  |  |  |  | 141,483 |  |  | $ | 114,601 |
Diversified Financial Services — 0.0% |
Kcad Holdings I Ltd.(b) |  |  |  |  |  |  | 1,075,282,733 |  |  |  | 10,753 |
Energy Equipment & Services — 0.0% |
Pioneer Energy Services Corp.(b) |  |  |  |  |  |  | 809 |  |  |  | 31,416 |
Health Care Management Services — 0.0% |
New Millennium HoldCo, Inc. |  |  |  |  |  |  | 10,718 |  |  |  | 11 |
Metals & Mining — 0.0% |
Ameriforge Group, Inc. |  |  |  |  |  |  | 1,664 |  |  |  | 29,120 |
Preferred Proppants LLC(b) |  |  |  |  |  |  | 14,576 |  |  |  | 21,864 |
|  |  |  |  |  |  |  |  |  |  | 50,984 |
Oil, Gas & Consumable Fuels — 0.0% |
California Resources Corp.(a) |  |  |  |  |  |  | 2,336 |  |  |  | 55,106 |
Semiconductors & Semiconductor Equipment(a) — 0.0% |
Maxeon Solar Technologies Ltd. |  |  |  |  |  |  | 213 |  |  |  | 6,043 |
SunPower Corp. |  |  |  |  |  |  | 1,707 |  |  |  | 43,768 |
|  |  |  |  |  |  |  |  |  |  | 49,811 |
Software — 0.0% |
Avaya Holdings Corp.(a) |  |  |  |  |  |  | 40 |  |  |  | 766 |
Specialty Retail — 0.0% |
NMG Parent LLC |  |  |  |  |  |  | 1,477 |  |  |  | 95,414 |
Total Common Stocks — 0.1% |
(Cost: $15,916,895) |  |  |  |  |  |  |  |  |  |  | 408,862 |
|  |  |  |  | Par (000) |  |  |  |
Corporate Bonds |
Aerospace & Defense — 0.7% |
Bombardier, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 12/01/21 |  |  | USD |  |  |  | 7 |  |  |  | 7,280 |
6.13%, 01/15/23 |  |  |  |  |  |  | 664 |  |  |  | 649,060 |
7.50%, 12/01/24 |  |  |  |  |  |  | 58 |  |  |  | 55,638 |
7.50%, 03/15/25 |  |  |  |  |  |  | 14 |  |  |  | 12,985 |
7.88%, 04/15/27 |  |  |  |  |  |  | 17 |  |  |  | 15,631 |
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(c) |  |  |  |  |  |  | 200 |  |  |  | 194,000 |
Signature Aviation US Holdings, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/26 |  |  |  |  |  |  | 42 |  |  |  | 43,050 |
4.00%, 03/01/28 |  |  |  |  |  |  | 196 |  |  |  | 197,303 |
Spirit AeroSystems, Inc., 5.50%, 01/15/25(c) |  |  |  |  |  |  | 58 |  |  |  | 61,184 |
TransDigm, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 12/15/25(c) |  |  |  |  |  |  | 656 |  |  |  | 725,077 |
6.25%, 03/15/26(c) |  |  |  |  |  |  | 1,173 |  |  |  | 1,249,245 |
6.38%, 06/15/26 |  |  |  |  |  |  | 62 |  |  |  | 64,170 |
Triumph Group, Inc., 8.88%, 06/01/24(c) |  |  |  |  |  |  | 270 |  |  |  | 296,325 |
|  |  |  |  |  |  |  |  |  |  | 3,570,948 |
Airlines — 1.7% |
Allegiant Travel Co., 8.50%, 02/05/24(c) |  |  |  |  |  |  | 1,065 |  |  |  | 1,139,550 |
American Airlines, Inc., 11.75%, 07/15/25(c) |  |  |  |  |  |  | 2,177 |  |  |  | 2,510,625 |

Security |  |  | Par (000) |  |  | Value |
Airlines (continued) |
Delta Air Lines, Inc./SkyMiles IP Ltd.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 10/20/25 |  |  | USD |  |  |  | 75 |  |  | $ | 80,165 |
4.75%, 10/20/28 |  |  |  |  |  |  | 259 |  |  |  | 282,702 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(c) |  |  |  |  |  |  | 2,210 |  |  |  | 2,375,750 |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(c) |  |  |  |  |  |  | 22 |  |  |  | 24,921 |
United Airlines Pass-Through Trust, Series 2016-1, Class A, 5.88%, 10/15/27 |  |  |  |  |  |  | 2,405 |  |  |  | 2,597,911 |
|  |  |  |  |  |  |  |  |  |  | 9,011,624 |
Auto Components — 0.4% |
Clarios Global LP, 6.75%, 05/15/25(c) |  |  |  |  |  |  | 801 |  |  |  | 863,077 |
Clarios Global LP/Clarios US Finance Co. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 05/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 126,551 |
6.25%, 05/15/26(c) |  |  | USD |  |  |  | 122 |  |  |  | 130,845 |
8.50%, 05/15/27(c) |  |  |  |  |  |  | 488 |  |  |  | 530,168 |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(c) |  |  |  |  |  |  | 25 |  |  |  | 26,323 |
Goodyear Tire & Rubber Co., 9.50%, 05/31/25 |  |  |  |  |  |  | 65 |  |  |  | 73,470 |
Meritor, Inc., 4.50%, 12/15/28(c) |  |  |  |  |  |  | 24 |  |  |  | 24,600 |
Tenneco, Inc., 7.88%, 01/15/29(c) |  |  |  |  |  |  | 25 |  |  |  | 28,069 |
Venture Holdings Co. LLC, 12.00%, 07/01/49(a)(b)(d) |  |  |  |  |  |  | 5,150 |  |  |  | 1 |
ZF Finance GmbH |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 09/21/25 |  |  | EUR |  |  |  | 100 |  |  |  | 126,135 |
3.75%, 09/21/28 |  |  |  |  |  |  | 100 |  |  |  | 131,022 |
|  |  |  |  |  |  |  |  |  |  | 2,060,261 |
Automobiles — 0.8% |
Allison Transmission, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 06/01/29 |  |  | USD |  |  |  | 113 |  |  |  | 124,865 |
3.75%, 01/30/31 |  |  |  |  |  |  | 100 |  |  |  | 102,312 |
Asbury Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 03/01/28 |  |  |  |  |  |  | 35 |  |  |  | 36,488 |
4.75%, 03/01/30 |  |  |  |  |  |  | 73 |  |  |  | 78,292 |
AutoNation, Inc., 4.75%, 06/01/30 |  |  |  |  |  |  | 93 |  |  |  | 111,910 |
FCE Bank PLC, 1.62%, 05/11/23 |  |  | EUR |  |  |  | 100 |  |  |  | 122,228 |
Ford Motor Co. |  |  |  |  |  |  |  |  |  |  |  |
8.50%, 04/21/23 |  |  | USD |  |  |  | 169 |  |  |  | 190,211 |
4.35%, 12/08/26 |  |  |  |  |  |  | 9 |  |  |  | 9,585 |
4.75%, 01/15/43 |  |  |  |  |  |  | 176 |  |  |  | 179,520 |
5.29%, 12/08/46 |  |  |  |  |  |  | 78 |  |  |  | 81,510 |
Ford Motor Credit Co. LLC |  |  |  |  |  |  |  |  |  |  |  |
3.81%, 01/09/24 |  |  |  |  |  |  | 200 |  |  |  | 205,000 |
4.06%, 11/01/24 |  |  |  |  |  |  | 200 |  |  |  | 210,114 |
5.13%, 06/16/25 |  |  |  |  |  |  | 423 |  |  |  | 459,928 |
General Motors Co. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 10/01/25 |  |  |  |  |  |  | 581 |  |  |  | 704,735 |
6.80%, 10/01/27 |  |  |  |  |  |  | 296 |  |  |  | 380,393 |
5.00%, 10/01/28 |  |  |  |  |  |  | 19 |  |  |  | 22,608 |
General Motors Financial Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
2.75%, 06/20/25 |  |  |  |  |  |  | 574 |  |  |  | 613,780 |
5.65%, 01/17/29 |  |  |  |  |  |  | 21 |  |  |  | 26,021 |
Group 1 Automotive, Inc., 4.00%, 08/15/28(c) |  |  |  |  |  |  | 205 |  |  |  | 211,310 |
Ken Garff Automotive LLC, 4.88%, 09/15/28(c) |  |  |  |  |  |  | 39 |  |  |  | 40,560 |
Nissan Motor Co. Ltd., 4.81%, 09/17/30(c) |  |  |  |  |  |  | 200 |  |  |  | 225,203 |

S C H E D U L E O F I N V E S T M E N T S |  | 15

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Automobiles (continued) |
Penske Automotive Group, Inc., 3.50%, 09/01/25 |  |  | USD |  |  |  | 62 |  |  | $ | 63,008 |
Tesla, Inc., 5.30%, 08/15/25(c) |  |  |  |  |  |  | 135 |  |  |  | 140,737 |
|  |  |  |  |  |  |  |  |  |  | 4,340,318 |
Banks — 0.0% |
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 |  |  | EUR |  |  |  | 100 |  |  |  | 125,243 |
Banco Espirito Santo SA(a)(d) |  |  |  |  |  |  |  |  |  |  |  |
2.63%, 05/08/17 |  |  |  |  |  |  | 100 |  |  |  | 15,881 |
4.75%, 01/15/21(e) |  |  |  |  |  |  | 200 |  |  |  | 31,763 |
4.00%, 01/21/21 |  |  |  |  |  |  | 100 |  |  |  | 15,882 |
Freedom Mortgage Corp., 7.63%, 05/01/26(c) |  |  | USD |  |  |  | 22 |  |  |  | 23,269 |
|  |  |  |  |  |  |  |  |  |  | 212,038 |
Beverages — 0.3% |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(c)(f) |  |  |  |  |  |  | 441 |  |  |  | 470,768 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27(c) |  |  |  |  |  |  | 208 |  |  |  | 218,360 |
Trivium Packaging Finance BV |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 08/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 125,463 |
8.50%, 08/15/27(c) |  |  | USD |  |  |  | 814 |  |  |  | 891,330 |
|  |  |  |  |  |  |  |  |  |  | 1,705,921 |
Biotechnology — 0.0% |
Emergent BioSolutions, Inc., 3.88%, 08/15/28(c) |  |  |  |  |  |  | 25 |  |  |  | 25,888 |
Building Materials — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
Boise Cascade Co., 4.88%, 07/01/30(c) |  |  |  |  |  |  | 45 |  |  |  | 48,713 |
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(c) |  |  |  |  |  |  | 114 |  |  |  | 121,125 |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(c) |  |  |  |  |  |  | 30 |  |  |  | 31,200 |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(c) |  |  |  |  |  |  | 51 |  |  |  | 54,825 |
Griffon Corp., 5.75%, 03/01/28 |  |  |  |  |  |  | 28 |  |  |  | 29,610 |
Jeld-Wen, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 12/15/25 |  |  |  |  |  |  | 32 |  |  |  | 32,656 |
4.88%, 12/15/27 |  |  |  |  |  |  | 10 |  |  |  | 10,575 |
Masonite International Corp., 5.38%, 02/01/28(c) |  |  |  |  |  |  | 45 |  |  |  | 48,319 |
SRM Escrow Issuer LLC, 6.00%, 11/01/28(c) |  |  |  |  |  |  | 1,764 |  |  |  | 1,843,653 |
Standard Industries, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 02/15/27 |  |  |  |  |  |  | 34 |  |  |  | 35,530 |
4.38%, 07/15/30 |  |  |  |  |  |  | 90 |  |  |  | 96,276 |
3.38%, 01/15/31 |  |  |  |  |  |  | 199 |  |  |  | 199,995 |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(c) |  |  |  |  |  |  | 168 |  |  |  | 176,400 |
|  |  |  |  |  |  |  |  |  |  | 2,728,877 |
Building Products(c) — 0.1% |
LBM Acquisition LLC, 6.25%, 01/15/29 |  |  |  |  |  |  | 64 |  |  |  | 66,080 |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |  |  |  |  |  |  | 125 |  |  |  | 132,468 |
SRS Distribution, Inc., 8.25%, 07/01/26 |  |  |  |  |  |  | 403 |  |  |  | 428,187 |
White Cap Buyer LLC, 6.88%, 10/15/28 |  |  |  |  |  |  | 156 |  |  |  | 166,335 |
|  |  |  |  |  |  |  |  |  |  | 793,070 |
Capital Markets — 0.2% |
Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(e)(g) |  |  |  |  |  |  | 265 |  |  |  | 278,912 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 09/15/24 |  |  |  |  |  |  | 101 |  |  |  | 104,914 |
6.38%, 12/15/25 |  |  |  |  |  |  | 3 |  |  |  | 3,103 |

Security |  |  | Par (000) |  |  | Value |
Capital Markets (continued) |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 05/15/27 |  |  | USD |  |  |  | 138 |  |  | $ | 147,936 |
NFP Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 05/15/25 |  |  |  |  |  |  | 31 |  |  |  | 33,325 |
6.88%, 08/15/28 |  |  |  |  |  |  | 288 |  |  |  | 307,492 |
Owl Rock Capital Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/26 |  |  |  |  |  |  | 58 |  |  |  | 61,093 |
3.40%, 07/15/26 |  |  |  |  |  |  | 30 |  |  |  | 30,430 |
Owl Rock Technology Finance Corp., 3.75%, 06/17/26(c) |  |  |  |  |  |  | 40 |  |  |  | 40,217 |
RP Escrow Issuer LLC, 5.25%, 12/15/25(c) |  |  |  |  |  |  | 50 |  |  |  | 52,253 |
|  |  |  |  |  |  |  |  |  |  | 1,059,675 |
Chemicals — 0.6% |
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(c)(f) |  |  |  |  |  |  | 289 |  |  |  | 291,497 |
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(c) |  |  |  |  |  |  | 636 |  |  |  | 647,130 |
Axalta Coating Systems LLC, 3.38%, 02/15/29(c) |  |  |  |  |  |  | 150 |  |  |  | 150,000 |
Blue Cube Spinco LLC |  |  |  |  |  |  |  |  |  |  |  |
9.75%, 10/15/23 |  |  |  |  |  |  | 10 |  |  |  | 10,275 |
10.00%, 10/15/25 |  |  |  |  |  |  | 143 |  |  |  | 151,401 |
Chemours Co., 5.75%, 11/15/28(c) |  |  |  |  |  |  | 38 |  |  |  | 38,760 |
Element Solutions, Inc., 3.88%, 09/01/28(c) |  |  |  |  |  |  | 378 |  |  |  | 388,867 |
GCP Applied Technologies, Inc., 5.50%, 04/15/26(c) |  |  |  |  |  |  | 134 |  |  |  | 138,020 |
HB Fuller Co., 4.25%, 10/15/28 |  |  |  |  |  |  | 31 |  |  |  | 31,775 |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(c) |  |  |  |  |  |  | 181 |  |  |  | 199,100 |
Ingevity Corp., 3.88%, 11/01/28(c) |  |  |  |  |  |  | 23 |  |  |  | 23,173 |
Minerals Technologies, Inc., 5.00%, 07/01/28(c) |  |  |  |  |  |  | 55 |  |  |  | 57,552 |
PQ Corp., 5.75%, 12/15/25(c) |  |  |  |  |  |  | 307 |  |  |  | 315,059 |
Rayonier AM Products, Inc., 7.63%, 01/15/26(c) |  |  |  |  |  |  | 21 |  |  |  | 21,898 |
Valvoline, Inc., 4.25%, 02/15/30(c) |  |  |  |  |  |  | 58 |  |  |  | 61,480 |
WESCO Distribution, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/25 |  |  |  |  |  |  | 153 |  |  |  | 168,274 |
7.25%, 06/15/28 |  |  |  |  |  |  | 198 |  |  |  | 225,183 |
WR Grace & Co-Conn, 4.88%, 06/15/27(c) |  |  |  |  |  |  | 64 |  |  |  | 67,873 |
|  |  |  |  |  |  |  |  |  |  | 2,987,317 |
Commercial Services & Supplies — 0.1% |
AMN Healthcare, Inc., 4.00%, 04/15/29(c) |  |  |  |  |  |  | 28 |  |  |  | 28,630 |
APX Group, Inc., 7.88%, 12/01/22 |  |  |  |  |  |  | 163 |  |  |  | 163,407 |
ASGN, Inc., 4.63%, 05/15/28(c) |  |  |  |  |  |  | 79 |  |  |  | 82,160 |
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(c) |  |  |  |  |  |  | 24 |  |  |  | 25,083 |
Fortress Transportation and Infrastructure Investors LLC, 9.75%, 08/01/27(c) |  |  |  |  |  |  | 17 |  |  |  | 19,486 |
Herc Holdings, Inc., 5.50%, 07/15/27(c) |  |  |  |  |  |  | 106 |  |  |  | 112,360 |
Interface, Inc., 5.50%, 12/01/28(c) |  |  |  |  |  |  | 38 |  |  |  | 39,995 |
Prime Security Services Borrower LLC/Prime Finance, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
3.38%, 08/31/27 |  |  |  |  |  |  | 42 |  |  |  | 41,685 |
6.25%, 01/15/28 |  |  |  |  |  |  | 117 |  |  |  | 125,610 |
Team Health Holdings, Inc., 6.38%, 02/01/25(c) |  |  |  |  |  |  | 103 |  |  |  | 88,580 |
United Rentals North America, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 01/15/30 |  |  |  |  |  |  | 2 |  |  |  | 2,220 |
4.00%, 07/15/30 |  |  |  |  |  |  | 6 |  |  |  | 6,315 |
|  |  |  |  |  |  |  |  |  |  | 735,531 |

16 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Communications Equipment(c) — 0.1% |  |  |  |  |  |  |  |  |
Avaya, Inc., 6.13%, 09/15/28 |  |  | USD |  |  |  | 195 |  |  | $ | 208,311 |
CommScope Technologies LLC |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 06/15/25 |  |  |  |  |  |  | 101 |  |  |  | 103,273 |
5.00%, 03/15/27 |  |  |  |  |  |  | 76 |  |  |  | 74,860 |
CommScope, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 03/01/26 |  |  |  |  |  |  | 32 |  |  |  | 33,715 |
8.25%, 03/01/27 |  |  |  |  |  |  | 12 |  |  |  | 12,810 |
7.13%, 07/01/28 |  |  |  |  |  |  | 12 |  |  |  | 12,780 |
ViaSat, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 04/15/27 |  |  |  |  |  |  | 90 |  |  |  | 94,500 |
6.50%, 07/15/28 |  |  |  |  |  |  | 150 |  |  |  | 162,331 |
|  |  |  |  |  |  |  |  |  |  | 702,580 |
Construction & Engineering(c) — 0.0% |  |  |  |  |  |  |  |  |
KBR, Inc., 4.75%, 09/30/28 |  |  |  |  |  |  | 61 |  |  |  | 63,592 |
Weekley Homes LLC/Weekley Finance Corp., 4.88%, 09/15/28 |  |  |  |  |  |  | 23 |  |  |  | 24,035 |
|  |  |  |  |  |  |  |  |  |  | 87,627 |
Construction Materials(c) — 0.4% |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 4.00%, 01/15/28 |  |  |  |  |  |  | 125 |  |  |  | 129,375 |
Core & Main LP, 6.13%, 08/15/25 |  |  |  |  |  |  | 797 |  |  |  | 823,899 |
H&E Equipment Services, Inc., 3.88%, 12/15/28 |  |  |  |  |  |  | 41 |  |  |  | 41,439 |
IAA, Inc., 5.50%, 06/15/27 |  |  |  |  |  |  | 159 |  |  |  | 168,540 |
Picasso Finance Sub, Inc., 6.13%, 06/15/25 |  |  |  |  |  |  | 159 |  |  |  | 170,130 |
Williams Scotsman International, Inc., 4.63%, 08/15/28 |  |  |  |  |  |  | 77 |  |  |  | 79,695 |
Winnebago Industries, Inc., 6.25%, 07/15/28 |  |  |  |  |  |  | 45 |  |  |  | 48,375 |
Wolverine Escrow LLC, 9.00%, 11/15/26 |  |  |  |  |  |  | 501 |  |  |  | 474,221 |
|  |  |  |  |  |  |  |  |  |  | 1,935,674 |
Consumer Discretionary(c) — 0.1% |  |  |  |  |  |  |  |  |
Carnival Corp. |  |  |  |  |  |  |  |  |  |  |  |
11.50%, 04/01/23 |  |  |  |  |  |  | 30 |  |  |  | 34,702 |
10.50%, 02/01/26 |  |  |  |  |  |  | 42 |  |  |  | 48,930 |
7.63%, 03/01/26 |  |  |  |  |  |  | 76 |  |  |  | 82,801 |
9.88%, 08/01/27 |  |  |  |  |  |  | 61 |  |  |  | 70,150 |
NCL Corp. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
10.25%, 02/01/26 |  |  |  |  |  |  | 37 |  |  |  | 43,290 |
5.88%, 03/15/26 |  |  |  |  |  |  | 63 |  |  |  | 66,265 |
Nielsen Finance LLC/Nielsen Finance Co. |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/28 |  |  |  |  |  |  | 112 |  |  |  | 121,693 |
5.88%, 10/01/30 |  |  |  |  |  |  | 74 |  |  |  | 83,712 |
Royal Caribbean Cruises Ltd. |  |  |  |  |  |  |  |  |  |  |  |
10.88%, 06/01/23 |  |  |  |  |  |  | 45 |  |  |  | 51,205 |
9.13%, 06/15/23 |  |  |  |  |  |  | 54 |  |  |  | 58,590 |
11.50%, 06/01/25 |  |  |  |  |  |  | 95 |  |  |  | 111,060 |
|  |  |  |  |  |  |  |  |  |  | 772,398 |
Consumer Finance — 0.6% |  |  |  |  |  |  |  |  |
MPH Acquisition Holdings LLC, 5.75%, |  |  |  |  |  |  |  |  |  |  |  |
11/01/28(c) |  |  |  |  |  |  | 228 |  |  |  | 224,078 |
Navient Corp. |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 09/25/23 |  |  |  |  |  |  | 5 |  |  |  | 5,480 |
6.13%, 03/25/24 |  |  |  |  |  |  | 96 |  |  |  | 102,480 |
5.88%, 10/25/24 |  |  |  |  |  |  | 77 |  |  |  | 81,812 |
5.00%, 03/15/27 |  |  |  |  |  |  | 2 |  |  |  | 2,018 |
OneMain Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
8.88%, 06/01/25 |  |  |  |  |  |  | 27 |  |  |  | 30,544 |
6.63%, 01/15/28 |  |  |  |  |  |  | 8 |  |  |  | 9,500 |
5.38%, 11/15/29 |  |  |  |  |  |  | 14 |  |  |  | 15,750 |
4.00%, 09/15/30 |  |  |  |  |  |  | 100 |  |  |  | 103,761 |
PayPal Holdings, Inc., 1.65%, 06/01/25 |  |  |  |  |  |  | 257 |  |  |  | 268,509 |

Security |  |  | Par (000) |  |  | Value |
Consumer Finance (continued) |  |  |  |  |  |  |  |  |
Refinitiv US Holdings, Inc., 4.50%, 05/15/26 |  |  | EUR |  |  |  | 855 |  |  | $ | 1,098,042 |
Sabre GLBL, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 11/15/23 |  |  | USD |  |  |  | 10 |  |  |  | 10,125 |
9.25%, 04/15/25 |  |  |  |  |  |  | 287 |  |  |  | 341,530 |
7.38%, 09/01/25 |  |  |  |  |  |  | 81 |  |  |  | 87,885 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(c) |  |  |  |  |  |  | 87 |  |  |  | 90,480 |
Verscend Escrow Corp., 9.75%, 08/15/26(c) |  |  |  |  |  |  | 851 |  |  |  | 922,271 |
WEX, Inc., 4.75%, 02/01/23(c) |  |  |  |  |  |  | 8 |  |  |  | 8,010 |
|  |  |  |  |  |  |  |  |  |  | 3,402,275 |
Containers & Packaging — 0.1% |  |  |  |  |  |  |  |  |
Graham Packaging Co., Inc., 7.13%, 08/15/28(c) |  |  |  |  |  |  | 147 |  |  |  | 162,435 |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(c) |  |  |  |  |  |  | 53 |  |  |  | 54,457 |
International Paper Co., 7.30%, 11/15/39 |  |  |  |  |  |  | 5 |  |  |  | 8,012 |
LABL Escrow Issuer LLC(c) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/15/26 |  |  |  |  |  |  | 116 |  |  |  | 125,625 |
10.50%, 07/15/27 |  |  |  |  |  |  | 56 |  |  |  | 63,070 |
|  |  |  |  |  |  |  |  |  |  | 413,599 |
Diversified Consumer Services(c) — 0.3% |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC/Allied Universal Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/26 |  |  |  |  |  |  | 868 |  |  |  | 925,548 |
9.75%, 07/15/27 |  |  |  |  |  |  | 95 |  |  |  | 103,550 |
Ascend Learning LLC, 6.88%, 08/01/25 |  |  |  |  |  |  | 340 |  |  |  | 349,638 |
Brink’s Co., 5.50%, 07/15/25 |  |  |  |  |  |  | 15 |  |  |  | 16,013 |
Garda World Security Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 02/15/27 |  |  |  |  |  |  | 29 |  |  |  | 29,290 |
9.50%, 11/01/27 |  |  |  |  |  |  | 55 |  |  |  | 60,913 |
Sotheby’s, 7.38%, 10/15/27 |  |  |  |  |  |  | 200 |  |  |  | 214,250 |
|  |  |  |  |  |  |  |  |  |  | 1,699,202 |
Diversified Financial Services — 0.1% |  |  |  |  |  |  |  |  |
Arrow Global Finance PLC, 5.13%, 09/15/24 |  |  | GBP |  |  |  | 100 |  |  |  | 136,187 |
Central Garden & Pet Co., 4.13%, 10/15/30 |  |  | USD |  |  |  | 59 |  |  |  | 61,507 |
Citigroup, Inc., (5 year CMT + 3.60%), 4.00%(e)(g) |  |  |  |  |  |  | 50 |  |  |  | 51,313 |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(c)(f) |  |  |  |  |  |  | 24 |  |  |  | 21,271 |
Intrum AB, 4.88%, 08/15/25 |  |  | EUR |  |  |  | 100 |  |  |  | 126,135 |
Spectrum Brands, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/29 |  |  | USD |  |  |  | 18 |  |  |  | 19,330 |
5.50%, 07/15/30 |  |  |  |  |  |  | 50 |  |  |  | 53,875 |
Starwood Property Trust Inc., 5.50%, 11/01/23(c) |  |  |  |  |  |  | 9 |  |  |  | 9,405 |
|  |  |  |  |  |  |  |  |  |  | 479,023 |
Diversified Telecommunication Services — 1.2% |
CenturyLink, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/15/26(c) |  |  |  |  |  |  | 618 |  |  |  | 652,583 |
4.50%, 01/15/29(c) |  |  |  |  |  |  | 202 |  |  |  | 205,535 |
Series P, 7.60%, 09/15/39 |  |  |  |  |  |  | 183 |  |  |  | 222,345 |
Series U, 7.65%, 03/15/42 |  |  |  |  |  |  | 103 |  |  |  | 124,630 |
Cincinnati Bell, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 07/15/24 |  |  |  |  |  |  | 26 |  |  |  | 27,040 |
8.00%, 10/15/25 |  |  |  |  |  |  | 20 |  |  |  | 21,325 |
Consolidated Communications, Inc., 6.50%, |  |  |  |  |  |  |  |  |  |  |  |
10/01/28(c) |  |  |  |  |  |  | 150 |  |  |  | 160,500 |
Frontier Communications Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 10/15/27 |  |  |  |  |  |  | 145 |  |  |  | 156,781 |
5.00%, 05/01/28 |  |  |  |  |  |  | 216 |  |  |  | 225,180 |
6.75%, 05/01/29 |  |  |  |  |  |  | 135 |  |  |  | 144,450 |
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(c) |  |  |  |  |  |  | 155 |  |  |  | 158,681 |

S C H E D U L E O F I N V E S T M E N T S |  | 17

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Level 3 Financing, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 07/01/28 |  |  | USD |  |  |  | 207 |  |  | $ | 212,693 |
3.63%, 01/15/29 |  |  |  |  |  |  | 123 |  |  |  | 122,693 |
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(f) |  |  |  |  |  |  | 12 |  |  |  | 12,776 |
Sprint Capital Corp., 6.88%, 11/15/28 |  |  |  |  |  |  | 171 |  |  |  | 225,460 |
Switch Ltd., 3.75%, 09/15/28(c) |  |  |  |  |  |  | 100 |  |  |  | 101,500 |
Telecom Italia Capital SA |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/33 |  |  |  |  |  |  | 58 |  |  |  | 71,340 |
6.00%, 09/30/34 |  |  |  |  |  |  | 134 |  |  |  | 163,224 |
7.20%, 07/18/36 |  |  |  |  |  |  | 14 |  |  |  | 18,889 |
7.72%, 06/04/38 |  |  |  |  |  |  | 51 |  |  |  | 70,890 |
Telecom Italia SpA, 5.30%, 05/30/24(c) |  |  |  |  |  |  | 314 |  |  |  | 341,475 |
Zayo Group Holdings, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  |  |  |  |  |  | 2,254 |  |  |  | 2,259,635 |
6.13%, 03/01/28 |  |  |  |  |  |  | 472 |  |  |  | 499,140 |
|  |  |  |  |  |  |  |  |  |  | 6,198,765 |
Electric Utilities — 0.1% |  |  |  |  |  |  |  |  |
FirstEnergy Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.65%, 03/01/30 |  |  |  |  |  |  | 8 |  |  |  | 8,025 |
Series B, 3.90%, 07/15/27 |  |  |  |  |  |  | 29 |  |  |  | 31,967 |
Series B, 2.25%, 09/01/30 |  |  |  |  |  |  | 6 |  |  |  | 5,804 |
Series C, 4.85%, 07/15/47 |  |  |  |  |  |  | 151 |  |  |  | 187,919 |
Series C, 3.40%, 03/01/50 |  |  |  |  |  |  | 60 |  |  |  | 57,470 |
FirstEnergy Transmission LLC(c) |  |  |  |  |  |  |  |  |  |  |  |
5.45%, 07/15/44 |  |  |  |  |  |  | 94 |  |  |  | 119,273 |
4.55%, 04/01/49 |  |  |  |  |  |  | 45 |  |  |  | 52,553 |
PG&E Corp., 5.25%, 07/01/30 |  |  |  |  |  |  | 108 |  |  |  | 118,800 |
Pike Corp., 5.50%, 09/01/28(c) |  |  |  |  |  |  | 185 |  |  |  | 195,406 |
Texas Competitive Electric Holdings Co. |  |  |  |  |  |  |  |  |  |  |  |
LLC/TCEH Finance, Inc., Term Loan, 1.00%, 11/10/21(a)(b)(d) |  |  |  |  |  |  | 2,375 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 777,217 |
Electrical Equipment — 0.1% |  |  |  |  |  |  |  |  |
Gates Global LLC/Gates Corp., 6.25%, |  |  |  |  |  |  |  |  |  |  |  |
01/15/26(c) |  |  |  |  |  |  | 291 |  |  |  | 305,550 |
GrafTech Finance, Inc., 4.63%, 12/15/28(c) |  |  |  |  |  |  | 44 |  |  |  | 44,495 |
NM Holdings Co. LLC, Series B, 9.50%, 07/01/05(a)(b)(d) |  |  |  |  |  |  | 5,125 |  |  |  | 1 |
|  |  |  |  |  |  |  |  |  |  | 350,046 |
Electronic Equipment, Instruments & Components — 0.1% |
Brightstar Escrow Corp., 9.75%, 10/15/25(c) |  |  |  |  |  |  | 28 |  |  |  | 29,925 |
BWX Technologies, Inc., 4.13%, 06/30/28(c) |  |  |  |  |  |  | 81 |  |  |  | 84,341 |
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 |  |  |  |  |  |  | 125 |  |  |  | 127,463 |
Energizer Holdings, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 06/15/28 |  |  |  |  |  |  | 34 |  |  |  | 35,785 |
4.38%, 03/31/29 |  |  |  |  |  |  | 6 |  |  |  | 6,213 |
Xerox Corp., 4.80%, 03/01/35 |  |  |  |  |  |  | 181 |  |  |  | 182,357 |
|  |  |  |  |  |  |  |  |  |  | 466,084 |
Energy Equipment & Services — 0.2% |  |  |  |  |  |  |  |  |
Archrock Partners LP/Archrock Partners Finance Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 |  |  |  |  |  |  | 129 |  |  |  | 138,836 |
6.25%, 04/01/28 |  |  |  |  |  |  | 86 |  |  |  | 89,523 |
Pioneer Energy Services Corp.(b)(c)(f) (11.00% Cash), 11.00%, 05/15/25 |  |  |  |  |  |  | 329 |  |  |  | 262,855 |

Security |  |  | Par (000) |  |  | Value |
Energy Equipment & Services (continued) |  |  |  |  |  |  |  |  |
Pioneer Energy Services Corp.(b)(c)(f) (continued) |  |  |  |  |  |  |  |  |  |  |  |
(5.00% PIK), 5.00%, 11/15/25(h) |  |  | USD |  |  |  | 231 |  |  | $ | 124,956 |
USA Compression Partners LP/USA Compression Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/26 |  |  |  |  |  |  | 331 |  |  |  | 345,895 |
6.88%, 09/01/27 |  |  |  |  |  |  | 274 |  |  |  | 292,517 |
|  |  |  |  |  |  |  |  |  |  | 1,254,582 |
Environmental, Maintenance, & Security Service — 0.1% |
Covanta Holding Corp., 5.00%, 09/01/30 |  |  |  |  |  |  | 29 |  |  |  | 31,028 |
GFL Environmental, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 08/01/25 |  |  |  |  |  |  | 85 |  |  |  | 87,125 |
5.13%, 12/15/26 |  |  |  |  |  |  | 73 |  |  |  | 77,654 |
4.00%, 08/01/28 |  |  |  |  |  |  | 98 |  |  |  | 98,735 |
3.50%, 09/01/28 |  |  |  |  |  |  | 104 |  |  |  | 105,885 |
Stericycle Inc., 3.88%, 01/15/29(c) |  |  |  |  |  |  | 52 |  |  |  | 53,430 |
Tervita Corp., 11.00%, 12/01/25(c) |  |  |  |  |  |  | 37 |  |  |  | 39,813 |
Waste Pro USA, Inc., 5.50%, 02/15/26(c) |  |  |  |  |  |  | 71 |  |  |  | 72,598 |
|  |  |  |  |  |  |  |  |  |  | 566,268 |
Equity Real Estate Investment Trusts (REITs) — 0.5% |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(c) |  |  |  |  |  |  | 128 |  |  |  | 126,080 |
Diversified Healthcare Trust, 9.75%, 06/15/25 |  |  |  |  |  |  | 53 |  |  |  | 60,215 |
Global Net Lease, Inc./Global Net Lease |  |  |  |  |  |  |  |  |  |  |  |
Operating Partnership LP, 3.75%, 12/15/27(c) |  |  |  |  |  |  | 88 |  |  |  | 90,727 |
Iron Mountain, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 09/15/29 |  |  |  |  |  |  | 10 |  |  |  | 10,550 |
5.25%, 07/15/30 |  |  |  |  |  |  | 134 |  |  |  | 144,720 |
5.63%, 07/15/32 |  |  |  |  |  |  | 151 |  |  |  | 166,477 |
MGM Growth Properties Operating Partnership |  |  |  |  |  |  |  |  |  |  |  |
LP/MGP Finance Co-Issuer, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/15/25(c) |  |  |  |  |  |  | 205 |  |  |  | 219,555 |
4.50%, 09/01/26 |  |  |  |  |  |  | 139 |  |  |  | 149,550 |
4.50%, 01/15/28 |  |  |  |  |  |  | 420 |  |  |  | 446,830 |
3.88%, 02/15/29(c) |  |  |  |  |  |  | 137 |  |  |  | 140,083 |
MPT Operating Partnership LP/MPT Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  |  |  | 296 |  |  |  | 316,350 |
3.50%, 03/15/31 |  |  |  |  |  |  | 149 |  |  |  | 153,843 |
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.Issuer, 5.88%, 10/01/28(c) |  |  |  |  |  |  | 29 |  |  |  | 30,885 |
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27 |  |  |  |  |  |  | 521 |  |  |  | 539,235 |
Service Properties Trust |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 06/15/23 |  |  |  |  |  |  | 15 |  |  |  | 15,075 |
4.35%, 10/01/24 |  |  |  |  |  |  | 12 |  |  |  | 11,850 |
7.50%, 09/15/25 |  |  |  |  |  |  | 108 |  |  |  | 124,450 |
5.50%, 12/15/27 |  |  |  |  |  |  | 42 |  |  |  | 45,921 |
|  |  |  |  |  |  |  |  |  |  | 2,792,396 |
Food & Staples Retailing — 0.4% |  |  |  |  |  |  |  |  |
Albertsons Cos., Inc./Safeway, Inc./New |  |  |  |  |  |  |  |  |  |  |  |
Albertsons LP/Albertsons LLC(c) |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 03/15/26 |  |  |  |  |  |  | 146 |  |  |  | 148,190 |
4.63%, 01/15/27 |  |  |  |  |  |  | 11 |  |  |  | 11,701 |
4.88%, 02/15/30 |  |  |  |  |  |  | 91 |  |  |  | 100,271 |

18 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Food & Staples Retailing (continued) |  |  |  |  |  |  |  |  |
Kraft Heinz Foods Co. |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 03/01/31(c) |  |  | USD |  |  |  | 226 |  |  | $ | 252,003 |
5.00%, 07/15/35 |  |  |  |  |  |  | 24 |  |  |  | 29,094 |
6.88%, 01/26/39 |  |  |  |  |  |  | 164 |  |  |  | 227,248 |
4.63%, 10/01/39(c) |  |  |  |  |  |  | 88 |  |  |  | 98,257 |
6.50%, 02/09/40 |  |  |  |  |  |  | 35 |  |  |  | 47,310 |
5.20%, 07/15/45 |  |  |  |  |  |  | 101 |  |  |  | 120,095 |
4.38%, 06/01/46 |  |  |  |  |  |  | 217 |  |  |  | 234,782 |
4.88%, 10/01/49(c) |  |  |  |  |  |  | 219 |  |  |  | 255,490 |
5.50%, 06/01/50(c) |  |  |  |  |  |  | 395 |  |  |  | 497,602 |
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(c) |  |  |  |  |  |  | 70 |  |  |  | 78,137 |
Post Holdings, Inc., 4.63%, 04/15/30(c) |  |  |  |  |  |  | 87 |  |  |  | 91,521 |
TreeHouse Foods, Inc., 4.00%, 09/01/28 |  |  |  |  |  |  | 23 |  |  |  | 23,791 |
United Natural Foods, Inc., 6.75%, 10/15/28(c) |  |  |  |  |  |  | 40 |  |  |  | 41,849 |
|  |  |  |  |  |  |  |  |  |  | 2,257,341 |
Food Products(c) — 0.2% |  |  |  |  |  |  |  |  |
Aramark Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 05/01/25 |  |  |  |  |  |  | 99 |  |  |  | 105,806 |
5.00%, 02/01/28 |  |  |  |  |  |  | 3 |  |  |  | 3,161 |
Chobani LLC/Chobani Finance Corp., Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  |  |  |  |  |  | 272 |  |  |  | 285,219 |
4.63%, 11/15/28 |  |  |  |  |  |  | 85 |  |  |  | 86,275 |
JBS USA LUX SA/JBS USA Finance, Inc., 6.75%, 02/15/28 |  |  |  |  |  |  | 90 |  |  |  | 100,716 |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29 |  |  |  |  |  |  | 85 |  |  |  | 98,949 |
Simmons Foods, Inc., 7.75%, 01/15/24 |  |  |  |  |  |  | 174 |  |  |  | 181,177 |
|  |  |  |  |  |  |  |  |  |  | 861,303 |
Gas Utilities — 0.0% |  |  |  |  |  |  |  |  |
Ferrellgas LP/Ferrellgas Finance Corp., 10.00%, 04/15/25(c) |  |  |  |  |  |  | 26 |  |  |  | 28,744 |
Health Care Equipment & Supplies(c) — 0.1% |
Avantor Funding, Inc., 4.63%, 07/15/28 |  |  |  |  |  |  | 316 |  |  |  | 334,170 |
Hologic, Inc., 3.25%, 02/15/29 |  |  |  |  |  |  | 48 |  |  |  | 48,840 |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 06/01/25 |  |  |  |  |  |  | 285 |  |  |  | 303,525 |
7.25%, 02/01/28 |  |  |  |  |  |  | 103 |  |  |  | 108,665 |
|  |  |  |  |  |  |  |  |  |  | 795,200 |
Health Care Providers & Services — 0.8% |  |  |  |  |  |  |  |  |
Acadia Healthcare Co., Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 07/01/28 |  |  |  |  |  |  | 66 |  |  |  | 70,887 |
5.00%, 04/15/29 |  |  |  |  |  |  | 55 |  |  |  | 58,713 |
AdaptHealth LLC(c) |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 08/01/28 |  |  |  |  |  |  | 49 |  |  |  | 52,614 |
4.63%, 08/01/29(i) |  |  |  |  |  |  | 24 |  |  |  | 24,660 |
AHP Health Partners, Inc., 9.75%, 07/15/26(c) |  |  |  |  |  |  | 212 |  |  |  | 233,995 |
Centene Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 08/15/26(c) |  |  |  |  |  |  | 87 |  |  |  | 91,894 |
4.25%, 12/15/27 |  |  |  |  |  |  | 206 |  |  |  | 218,360 |
3.00%, 10/15/30 |  |  |  |  |  |  | 24 |  |  |  | 25,438 |
CHS/Community Health Systems, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 01/15/24 |  |  |  |  |  |  | 153 |  |  |  | 159,502 |
6.63%, 02/15/25 |  |  |  |  |  |  | 261 |  |  |  | 274,697 |
8.00%, 03/15/26 |  |  |  |  |  |  | 441 |  |  |  | 475,177 |
5.63%, 03/15/27 |  |  |  |  |  |  | 234 |  |  |  | 251,608 |
6.00%, 01/15/29 |  |  |  |  |  |  | 169 |  |  |  | 182,564 |
Encompass Health Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 02/01/28 |  |  |  |  |  |  | 2 |  |  |  | 2,090 |

Security |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |  |  |  |  |  |  |  |  |
Encompass Health Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 02/01/30 |  |  | USD |  |  |  | 19 |  |  | $ | 20,354 |
4.63%, 04/01/31 |  |  |  |  |  |  | 33 |  |  |  | 35,310 |
HCA, Inc., 3.50%, 09/01/30 |  |  |  |  |  |  | 272 |  |  |  | 289,021 |
Legacy LifePoint Health LLC(c) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 04/15/25 |  |  |  |  |  |  | 116 |  |  |  | 124,562 |
4.38%, 02/15/27 |  |  |  |  |  |  | 44 |  |  |  | 44,055 |
LifePoint Health, Inc., 5.38%, 01/15/29(c) |  |  |  |  |  |  | 49 |  |  |  | 48,895 |
Molina Healthcare, Inc., 3.88%, 11/15/30(c) |  |  |  |  |  |  | 73 |  |  |  | 78,292 |
Prime Healthcare Services, Inc., 7.25%, |  |  |  |  |  |  |  |  |  |  |  |
11/01/25(c) |  |  |  |  |  |  | 45 |  |  |  | 47,813 |
Providence Service Corp., 5.88%, 11/15/25(c) |  |  |  |  |  |  | 23 |  |  |  | 24,323 |
RegionalCare Hospital Partners Holdings, |  |  |  |  |  |  |  |  |  |  |  |
Inc./LifePoint Health, Inc., 9.75%, 12/01/26(c) |  |  |  |  |  |  | 17 |  |  |  | 18,700 |
Surgery Center Holdings, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/01/25 |  |  |  |  |  |  | 145 |  |  |  | 147,537 |
10.00%, 04/15/27 |  |  |  |  |  |  | 267 |  |  |  | 295,035 |
Teleflex, Inc., 4.25%, 06/01/28(c) |  |  |  |  |  |  | 94 |  |  |  | 99,640 |
Tenet Healthcare Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 04/01/25 |  |  |  |  |  |  | 41 |  |  |  | 44,793 |
4.88%, 01/01/26 |  |  |  |  |  |  | 392 |  |  |  | 410,075 |
5.13%, 11/01/27 |  |  |  |  |  |  | 354 |  |  |  | 374,797 |
4.63%, 06/15/28 |  |  |  |  |  |  | 26 |  |  |  | 27,235 |
6.13%, 10/01/28 |  |  |  |  |  |  | 135 |  |  |  | 140,667 |
|  |  |  |  |  |  |  |  |  |  | 4,393,303 |
Health Care Technology(c) — 0.1% |  |  |  |  |  |  |  |  |
Catalent Pharma Solutions, Inc., 5.00%, 07/15/27 |  |  |  |  |  |  | 41 |  |  |  | 43,302 |
Change Healthcare Holdings LLC/Change |  |  |  |  |  |  |  |  |  |  |  |
Healthcare Finance, Inc., 5.75%, 03/01/25 |  |  |  |  |  |  | 229 |  |  |  | 233,580 |
Charles River Laboratories International, Inc., |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 05/01/28 |  |  |  |  |  |  | 46 |  |  |  | 48,185 |
Mednax, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 12/01/23 |  |  |  |  |  |  | 122 |  |  |  | 123,501 |
6.25%, 01/15/27 |  |  |  |  |  |  | 62 |  |  |  | 66,492 |
Syneos Health, Inc., 3.63%, 01/15/29 |  |  |  |  |  |  | 147 |  |  |  | 147,406 |
West Street Merger Sub, Inc., 6.38%, 09/01/25 |  |  |  |  |  |  | 134 |  |  |  | 137,350 |
|  |  |  |  |  |  |  |  |  |  | 799,816 |
Healthcare — 0.0% |  |  |  |  |  |  |  |  |
Akumin, Inc., 7.00%, 11/01/25(c) |  |  |  |  |  |  | 17 |  |  |  | 17,850 |
Hotels, Restaurants & Leisure — 1.1% |  |  |  |  |  |  |  |  |
1011778 BC ULC/New Red Finance, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 01/15/28 |  |  |  |  |  |  | 218 |  |  |  | 224,540 |
4.00%, 10/15/30 |  |  |  |  |  |  | 63 |  |  |  | 63,846 |
Affinity Gaming, 6.88%, 12/15/27(c) |  |  |  |  |  |  | 38 |  |  |  | 39,816 |
Boyd Gaming Corp. |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 06/01/25(c) |  |  |  |  |  |  | 79 |  |  |  | 87,863 |
6.38%, 04/01/26 |  |  |  |  |  |  | 32 |  |  |  | 33,242 |
4.75%, 12/01/27 |  |  |  |  |  |  | 58 |  |  |  | 60,248 |
Boyne USA, Inc., 7.25%, 05/01/25(c) |  |  |  |  |  |  | 19 |  |  |  | 19,926 |
Caesars Entertainment, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 07/01/25 |  |  |  |  |  |  | 472 |  |  |  | 502,680 |
8.13%, 07/01/27 |  |  |  |  |  |  | 328 |  |  |  | 363,103 |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(c) |  |  |  | 154 |  |  |  | 163,175 |
CCM Merger, Inc., 6.38%, 05/01/26(c) |  |  |  |  |  |  | 53 |  |  |  | 55,650 |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op(c) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 05/01/25 |  |  |  |  |  |  | 388 |  |  |  | 404,490 |
6.50%, 10/01/28 |  |  |  |  |  |  | 19 |  |  |  | 20,604 |

S C H E D U L E O F I N V E S T M E N T S |  | 19

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Churchill Downs, Inc., 4.75%, 01/15/28(c) |  |  | USD |  |  |  | 137 |  |  | $ | 144,192 |
Dave & Buster’s, Inc., 7.63%, 11/01/25(c) |  |  |  |  |  |  | 61 |  |  |  | 64,203 |
GLP Capital LP/GLP Financing II, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/25 |  |  |  |  |  |  | 162 |  |  |  | 182,263 |
5.38%, 04/15/26 |  |  |  |  |  |  | 80 |  |  |  | 91,814 |
Golden Nugget, Inc., 6.75%, 10/15/24(c) |  |  |  |  |  |  | 455 |  |  |  | 451,733 |
Hilton Domestic Operating Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/25(c) |  |  |  |  |  |  | 41 |  |  |  | 43,563 |
5.75%, 05/01/28(c) |  |  |  |  |  |  | 163 |  |  |  | 177,262 |
4.88%, 01/15/30 |  |  |  |  |  |  | 193 |  |  |  | 210,852 |
4.00%, 05/01/31(c) |  |  |  |  |  |  | 132 |  |  |  | 139,275 |
Las Vegas Sands Corp. |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 08/18/26 |  |  |  |  |  |  | 31 |  |  |  | 33,173 |
3.90%, 08/08/29 |  |  |  |  |  |  | 28 |  |  |  | 30,112 |
Marriott International, Inc., Series EE, 5.75%, 05/01/25 |  |  |  |  |  |  | 393 |  |  |  | 459,693 |
MGM Resorts International, 5.75%, 06/15/25 |  |  |  |  |  |  | 73 |  |  |  | 80,712 |
Peninsula Pacific Entertainment LLC/Peninsula |  |  |  |  |  |  |  |  |  |  |  |
Pacific Entertainment Finance, Inc., 8.50%, |  |  |  |  |  |  |  |  |  |  |  |
11/15/27(c) |  |  |  |  |  |  | 33 |  |  |  | 35,310 |
Powdr Corp., 6.00%, 08/01/25(c) |  |  |  |  |  |  | 69 |  |  |  | 72,622 |
Scientific Games International, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 07/01/25 |  |  |  |  |  |  | 65 |  |  |  | 71,175 |
8.25%, 03/15/26 |  |  |  |  |  |  | 506 |  |  |  | 545,266 |
SeaWorld Parks & Entertainment, Inc., 9.50%, 08/01/25(c) |  |  |  |  |  |  | 52 |  |  |  | 56,453 |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(c) |  |  |  |  |  |  | 275 |  |  |  | 297,000 |
Vail Resorts, Inc., 6.25%, 05/15/25(c) |  |  |  |  |  |  | 89 |  |  |  | 95,007 |
Wyndham Destinations, Inc., 6.63%, 07/31/26(c) |  |  |  |  |  |  | 56 |  |  |  | 64,120 |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(c) |  |  |  |  |  |  | 44 |  |  |  | 45,718 |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(c) |  |  |  |  |  |  | 250 |  |  |  | 261,875 |
Yum! Brands, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/30(c) |  |  |  |  |  |  | 49 |  |  |  | 53,729 |
3.63%, 03/15/31 |  |  |  |  |  |  | 22 |  |  |  | 22,238 |
5.35%, 11/01/43 |  |  |  |  |  |  | 14 |  |  |  | 15,820 |
|  |  |  |  |  |  |  |  |  |  | 5,784,363 |
Household Durables — 0.2% |  |  |  |  |  |  |  |  |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp., 4.88%, 02/15/30(c) |  |  |  |  |  |  | 260 |  |  |  | 268,775 |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(c) |  |  |  |  |  |  | 75 |  |  |  | 80,156 |
Diebold Nixdorf, Inc., 9.38%, 07/15/25(c) |  |  |  |  |  |  | 42 |  |  |  | 47,040 |
Mattamy Group Corp., 4.63%, 03/01/30(c) |  |  |  |  |  |  | 102 |  |  |  | 108,120 |
MDC Holdings, Inc., 6.00%, 01/15/43 |  |  |  |  |  |  | 52 |  |  |  | 69,708 |
NCR Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/01/27 |  |  |  |  |  |  | 72 |  |  |  | 76,500 |
5.00%, 10/01/28 |  |  |  |  |  |  | 35 |  |  |  | 36,925 |
6.13%, 09/01/29 |  |  |  |  |  |  | 78 |  |  |  | 86,385 |
5.25%, 10/01/30 |  |  |  |  |  |  | 36 |  |  |  | 38,610 |
New Home Co., Inc., 7.25%, 10/15/25(c) |  |  |  |  |  |  | 22 |  |  |  | 22,594 |
PulteGroup, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 01/15/27 |  |  |  |  |  |  | 44 |  |  |  | 51,920 |
7.88%, 06/15/32 |  |  |  |  |  |  | 23 |  |  |  | 34,414 |
Taylor Morrison Communities, Inc., 5.13%, |  |  |  |  |  |  |  |  |  |  |  |
08/01/30(c) |  |  |  |  |  |  | 50 |  |  |  | 56,000 |

Security |  |  | Par (000) |  |  | Value |
Household Durables (continued) |  |  |  |  |  |  |  |  |
Tempur Sealy International, Inc., 5.50%, 06/15/26 |  |  | USD |  |  |  | 2 |  |  | $ | 2,082 |
TRI Pointe Group, Inc., 5.70%, 06/15/28 |  |  |  |  |  |  | 18 |  |  |  | 20,322 |
|  |  |  |  |  |  |  |  |  |  | 999,551 |
Household Products — 0.0% |  |  |  |  |  |  |  |  |
Kronos Acquisition Holdings, Inc./KIK Custom |  |  |  |  |  |  |  |  |  |  |  |
Products, Inc., 5.00%, 12/31/26(c) |  |  |  |  |  |  | 24 |  |  |  | 25,037 |
Independent Power and Renewable Electricity Producers(c) — 0.2% |
Calpine Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/26 |  |  |  |  |  |  | 68 |  |  |  | 70,346 |
5.13%, 03/15/28 |  |  |  |  |  |  | 458 |  |  |  | 481,802 |
4.63%, 02/01/29 |  |  |  |  |  |  | 86 |  |  |  | 88,432 |
5.00%, 02/01/31 |  |  |  |  |  |  | 100 |  |  |  | 104,500 |
3.75%, 03/01/31 |  |  |  |  |  |  | 78 |  |  |  | 77,246 |
Clearway Energy Operating LLC, 4.75%, 03/15/28 |  |  |  |  |  |  | 20 |  |  |  | 21,450 |
NRG Energy, Inc., 3.63%, 02/15/31 |  |  |  |  |  |  | 127 |  |  |  | 130,658 |
TerraForm Power Operating LLC, 4.75%, 01/15/30 |  |  |  |  |  |  | 74 |  |  |  | 79,180 |
|  |  |  |  |  |  |  |  |  |  | 1,053,614 |
Insurance — 0.3% |  |  |  |  |  |  |  |  |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(c) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 10/15/27 |  |  |  |  |  |  | 349 |  |  |  | 356,852 |
6.75%, 10/15/27 |  |  |  |  |  |  | 731 |  |  |  | 782,170 |
AmWINS Group, Inc., 7.75%, 07/01/26(c) |  |  |  |  |  |  | 25 |  |  |  | 26,848 |
AssuredPartners, Inc., 5.63%, 01/15/29(c) |  |  |  |  |  |  | 86 |  |  |  | 89,762 |
HUB International Ltd., 7.00%, 05/01/26(c) |  |  |  |  |  |  | 467 |  |  |  | 488,384 |
Unipol Gruppo SpA, 3.25%, 09/23/30 |  |  | EUR |  |  |  | 100 |  |  |  | 129,283 |
Willis North America, Inc., 2.95%, 09/15/29 |  |  | USD |  |  |  | 10 |  |  |  | 10,941 |
|  |  |  |  |  |  |  |  |  |  | 1,884,240 |
Interactive Media & Services — 0.1% |  |  |  |  |  |  |  |  |
Arches Buyer, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 06/01/28 |  |  |  |  |  |  | 36 |  |  |  | 36,457 |
6.13%, 12/01/28 |  |  |  |  |  |  | 16 |  |  |  | 16,523 |
Netflix, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 04/15/28 |  |  |  |  |  |  | 112 |  |  |  | 126,302 |
5.88%, 11/15/28 |  |  |  |  |  |  | 14 |  |  |  | 16,783 |
3.63%, 06/15/30 |  |  | EUR |  |  |  | 100 |  |  |  | 138,692 |
4.88%, 06/15/30(c) |  |  | USD |  |  |  | 127 |  |  |  | 146,050 |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 10.75%, 06/01/28(c) |  |  |  |  |  |  | 30 |  |  |  | 34,200 |
|  |  |  |  |  |  |  |  |  |  | 515,007 |
Internet Software & Services(c) — 0.4% |  |  |  |  |  |  |  |  |
Expedia Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.60%, 12/15/23 |  |  |  |  |  |  | 486 |  |  |  | 517,933 |
6.25%, 05/01/25 |  |  |  |  |  |  | 275 |  |  |  | 318,753 |
4.63%, 08/01/27 |  |  |  |  |  |  | 95 |  |  |  | 106,115 |
Match Group Holdings II LLC |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/01/28 |  |  |  |  |  |  | 43 |  |  |  | 45,069 |
4.13%, 08/01/30 |  |  |  |  |  |  | 78 |  |  |  | 81,120 |
TripAdvisor, Inc., 7.00%, 07/15/25 |  |  |  |  |  |  | 82 |  |  |  | 88,560 |
Uber Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25 |  |  |  |  |  |  | 230 |  |  |  | 248,451 |
8.00%, 11/01/26 |  |  |  |  |  |  | 82 |  |  |  | 89,492 |

20 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Internet Software & Services (continued) |
Uber Technologies, Inc. (continued) |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 09/15/27 |  |  | USD |  |  |  | 138 |  |  | $ | 151,800 |
6.25%, 01/15/28 |  |  |  |  |  |  | 265 |  |  |  | 288,187 |
|  |  |  |  |  |  |  |  |  |  | 1,935,480 |
IT Services — 0.7% |  |  |  |  |  |  |  |  |
Austin BidCo, Inc., 7.13%, 12/15/28(c) |  |  |  |  |  |  | 23 |  |  |  | 24,006 |
Banff Merger Sub, Inc., 9.75%, 09/01/26(c) |  |  |  |  |  |  | 506 |  |  |  | 546,556 |
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(c) |  |  |  |  |  |  | 101 |  |  |  | 104,030 |
Camelot Finance SA, 4.50%, 11/01/26(c) |  |  |  |  |  |  | 113 |  |  |  | 117,944 |
Dun & Bradstreet Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 08/15/26 |  |  |  |  |  |  | 102 |  |  |  | 109,650 |
10.25%, 02/15/27 |  |  |  |  |  |  | 232 |  |  |  | 261,580 |
Fiserv, Inc., 2.25%, 06/01/27 |  |  |  |  |  |  | 1,385 |  |  |  | 1,476,059 |
Gartner, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 07/01/28 |  |  |  |  |  |  | 83 |  |  |  | 87,565 |
3.75%, 10/01/30 |  |  |  |  |  |  | 96 |  |  |  | 101,161 |
Presidio Holdings, Inc., 4.88%, 02/01/27(c) |  |  |  |  |  |  | 5 |  |  |  | 5,304 |
Rackspace Technology Global, Inc., 5.38%, 12/01/28(c) |  |  |  |  |  |  | 136 |  |  |  | 142,487 |
Tempo Acquisition LLC/Tempo |  |  |  |  |  |  |  |  |  |  |  |
Acquisition Finance Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 06/01/25 |  |  |  |  |  |  | 190 |  |  |  | 201,875 |
6.75%, 06/01/25 |  |  |  |  |  |  | 291 |  |  |  | 300,763 |
Unisys Corp., 6.88%, 11/01/27(c) |  |  |  |  |  |  | 33 |  |  |  | 36,053 |
|  |  |  |  |  |  |  |  |  |  | 3,515,033 |
Leisure Products — 0.0% |  |  |  |  |  |  |  |  |
Mattel, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 12/31/25(c) |  |  |  |  |  |  | 12 |  |  |  | 12,666 |
5.88%, 12/15/27(c) |  |  |  |  |  |  | 34 |  |  |  | 37,782 |
6.20%, 10/01/40 |  |  |  |  |  |  | 33 |  |  |  | 38,527 |
5.45%, 11/01/41 |  |  |  |  |  |  | 116 |  |  |  | 127,641 |
|  |  |  |  |  |  |  |  |  |  | 216,616 |
Machinery — 0.3% |  |  |  |  |  |  |  |  |
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(c) |  |  |  |  |  |  | 35 |  |  |  | 35,613 |
Clark Equipment Co., 5.88%, 06/01/25(c) |  |  |  |  |  |  | 284 |  |  |  | 299,620 |
Colfax Corp., 6.38%, 02/15/26(c) |  |  |  |  |  |  | 84 |  |  |  | 89,670 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(c)(f) |  |  |  |  |  |  | 445 |  |  |  | 483,937 |
Platin 1426 GmbH, 5.38%, 06/15/23 |  |  | EUR |  |  |  | 100 |  |  |  | 121,360 |
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(c) |  |  | USD |  |  |  | 57 |  |  |  | 58,069 |
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(c) |  |  |  |  |  |  | 147 |  |  |  | 152,880 |
Vertical US Newco, Inc., 5.25%, 07/15/27(c) |  |  |  |  |  |  | 200 |  |  |  | 212,000 |
|  |  |  |  |  |  |  |  |  |  | 1,453,149 |
Media — 2.3% |  |  |  |  |  |  |  |  |
Advantage Sales & Marketing, Inc., 6.50%, 11/15/28(c) |  |  |  |  |  |  | 46 |  |  |  | 48,645 |
Altice Financing SA, 5.00%, 01/15/28(c) |  |  |  |  |  |  | 204 |  |  |  | 209,026 |
Altice France Holding SA(c) |  |  |  |  |  |  |  |  |  |  |  |
10.50%, 05/15/27 |  |  |  |  |  |  | 539 |  |  |  | 605,027 |
6.00%, 02/15/28 |  |  |  |  |  |  | 272 |  |  |  | 275,400 |
Cable One, Inc., 4.00%, 11/15/30(c) |  |  |  |  |  |  | 77 |  |  |  | 79,984 |
CCO Holdings LLC/CCO Holdings Capital Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 05/01/27 |  |  |  |  |  |  | 48 |  |  |  | 50,937 |
5.00%, 02/01/28 |  |  |  |  |  |  | 34 |  |  |  | 35,955 |
5.38%, 06/01/29 |  |  |  |  |  |  | 117 |  |  |  | 128,261 |
4.50%, 08/15/30 |  |  |  |  |  |  | 134 |  |  |  | 142,207 |

Security |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
CCO Holdings LLC/CCO Holdings Capital |  |  |  |  |  |  |  |  |  |  |  |
Corp.(c) (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 02/01/31 |  |  | USD |  |  |  | 286 |  |  | $ | 301,404 |
4.50%, 05/01/32 |  |  |  |  |  |  | 434 |  |  |  | 463,390 |
Clear Channel International BV, 6.63%, |  |  |  |  |  |  |  |  |  |  |  |
08/01/25(c) |  |  |  |  |  |  | 200 |  |  |  | 211,000 |
Clear Channel Worldwide Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
9.25%, 02/15/24 |  |  |  |  |  |  | 363 |  |  |  | 367,537 |
5.13%, 08/15/27(c) |  |  |  |  |  |  | 659 |  |  |  | 665,590 |
Connect Finco Sarl/Connect US Finco LLC, |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 10/01/26(c) |  |  |  |  |  |  | 738 |  |  |  | 794,974 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/24 |  |  |  |  |  |  | 344 |  |  |  | 372,346 |
4.63%, 12/01/30(c) |  |  |  |  |  |  | 223 |  |  |  | 232,756 |
3.38%, 02/15/31(c) |  |  |  |  |  |  | 405 |  |  |  | 397,406 |
DISH DBS Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 07/15/22 |  |  |  |  |  |  | 689 |  |  |  | 720,005 |
7.75%, 07/01/26 |  |  |  |  |  |  | 219 |  |  |  | 245,282 |
GCI LLC, 4.75%, 10/15/28(c) |  |  |  |  |  |  | 29 |  |  |  | 30,930 |
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |  |  |  |  |  |  | 20 |  |  |  | 22,075 |
Lamar Media Corp., 4.00%, 02/15/30 |  |  |  |  |  |  | 57 |  |  |  | 59,138 |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(c) |  |  |  |  |  |  | 200 |  |  |  | 215,250 |
Liberty Broadband Corp., 2.75%, 09/30/50(c)(h) |  |  |  |  |  |  | 481 |  |  |  | 514,556 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(c)(f) |  |  |  |  |  |  | 205 |  |  |  | 198,850 |
Lions Gate Capital Holdings LLC(c) |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 02/01/24 |  |  |  |  |  |  | 26 |  |  |  | 26,650 |
5.88%, 11/01/24 |  |  |  |  |  |  | 21 |  |  |  | 21,315 |
Live Nation Entertainment, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 11/01/24 |  |  |  |  |  |  | 9 |  |  |  | 9,113 |
6.50%, 05/15/27 |  |  |  |  |  |  | 329 |  |  |  | 367,993 |
4.75%, 10/15/27 |  |  |  |  |  |  | 30 |  |  |  | 30,748 |
3.75%, 01/15/28(i) |  |  |  |  |  |  | 61 |  |  |  | 61,634 |
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27(c) |  |  |  |  |  |  | 36 |  |  |  | 36,630 |
Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(c) |  |  |  |  |  |  | 95 |  |  |  | 96,900 |
Radiate Holdco LLC/Radiate Finance, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 09/15/26 |  |  |  |  |  |  | 714 |  |  |  | 736,312 |
6.50%, 09/15/28 |  |  |  |  |  |  | 1,096 |  |  |  | 1,154,910 |
Scripps Escrow II, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 01/15/29 |  |  |  |  |  |  | 31 |  |  |  | 32,217 |
5.38%, 01/15/31 |  |  |  |  |  |  | 55 |  |  |  | 57,338 |
SES SA, (5 year EUR Swap + 5.40%), 5.63%(e) |  |  | EUR |  |  |  | 100 |  |  |  | 134,031 |
Sinclair Television Group, Inc., 4.13%, 12/01/30(c) |  |  | USD |  |  |  | 216 |  |  |  | 221,018 |
Sirius XM Radio, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 07/01/29 |  |  |  |  |  |  | 60 |  |  |  | 66,019 |
4.13%, 07/01/30 |  |  |  |  |  |  | 57 |  |  |  | 60,669 |
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(c) |  |  |  |  |  |  | 131 |  |  |  | 135,585 |
Terrier Media Buyer, Inc., 8.88%, 12/15/27(c) |  |  |  |  |  |  | 112 |  |  |  | 123,480 |
Townsquare Media, Inc., 6.88%, 02/01/26(c)(i) |  |  |  |  |  |  | 25 |  |  |  | 26,183 |
Univision Communications, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 02/15/25 |  |  |  |  |  |  | 107 |  |  |  | 107,802 |
6.63%, 06/01/27 |  |  |  |  |  |  | 347 |  |  |  | 372,695 |
Virgin Media Secured Finance PLC, 4.50%, 08/15/30(c) |  |  |  |  |  |  | 200 |  |  |  | 209,000 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(c) |  |  |  |  |  |  | 242 |  |  |  | 251,680 |
WMG Acquisition Corp.(c) 3.88%, 07/15/30 |  |  |  |  |  |  | 15 |  |  |  | 15,942 |

S C H E D U L E O F I N V E S T M E N T S |  | 21

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
WMG Acquisition Corp.(c) (continued) |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 02/15/31 |  |  | USD |  |  |  | 19 |  |  | $ | 18,620 |
Ziggo Bond Co. BV, 5.13%, 02/28/30(c) |  |  |  |  |  |  | 200 |  |  |  | 211,060 |
Ziggo BV, 5.50%, 01/15/27(c) |  |  |  |  |  |  | 169 |  |  |  | 176,394 |
|  |  |  |  |  |  |  |  |  |  | 12,149,869 |
Metals & Mining — 0.6% |  |  |  |  |  |  |  |  |
Allegheny Technologies, Inc., 7.88%, 08/15/23 |  |  |  |  |  |  | 20 |  |  |  | 21,887 |
Arconic Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 05/15/25 |  |  |  |  |  |  | 13 |  |  |  | 13,878 |
6.13%, 02/15/28 |  |  |  |  |  |  | 106 |  |  |  | 114,281 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(c) |  |  |  |  |  |  | 293 |  |  |  | 316,440 |
Constellium SE(c) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 03/01/25 |  |  |  |  |  |  | 300 |  |  |  | 306,375 |
5.88%, 02/15/26 |  |  |  |  |  |  | 321 |  |  |  | 330,630 |
Freeport-McMoRan, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 08/01/28 |  |  |  |  |  |  | 92 |  |  |  | 97,750 |
4.63%, 08/01/30 |  |  |  |  |  |  | 168 |  |  |  | 184,380 |
5.45%, 03/15/43 |  |  |  |  |  |  | 551 |  |  |  | 685,995 |
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(c) |  |  |  |  |  |  | 96 |  |  |  | 97,440 |
Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28(c) |  |  |  |  |  |  | 57 |  |  |  | 64,552 |
Kaiser Aluminum Corp., 4.63%, 03/01/28(c) |  |  |  |  |  |  | 75 |  |  |  | 77,812 |
New Gold, Inc., 7.50%, 07/15/27(c) |  |  |  |  |  |  | 158 |  |  |  | 174,590 |
Novelis Corp., 4.75%, 01/30/30(c) |  |  |  |  |  |  | 385 |  |  |  | 414,786 |
thyssenkrupp AG, 2.88%, 02/22/24 |  |  | EUR |  |  |  | 64 |  |  |  | 78,596 |
United States Steel Corp., 12.00%, 06/01/25(c) |  |  | USD |  |  |  | 173 |  |  |  | 199,815 |
|  |  |  |  |  |  |  |  |  |  | 3,179,207 |
Multi-line Retail(c) — 0.1% |  |  |  |  |  |  |  |  |
Macy’s, Inc., 8.38%, 06/15/25 |  |  |  |  |  |  | 176 |  |  |  | 195,448 |
Nordstrom, Inc., 8.75%, 05/15/25 |  |  |  |  |  |  | 75 |  |  |  | 84,004 |
|  |  |  |  |  |  |  |  |  |  | 279,452 |
Oil, Gas & Consumable Fuels — 3.0% |  |  |  |  |  |  |  |  |
Antero Midstream Partners LP/Antero Midstream Finance Corp., 7.88%, 05/15/26(c) |  |  |  |  |  |  | 101 |  |  |  | 104,291 |
Antero Resources Corp., 8.38%, 07/15/26(c)(i) |  |  |  |  |  |  | 17 |  |  |  | 17,352 |
Apache Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 11/15/27 |  |  |  |  |  |  | 68 |  |  |  | 72,080 |
5.10%, 09/01/40 |  |  |  |  |  |  | 59 |  |  |  | 62,909 |
5.25%, 02/01/42 |  |  |  |  |  |  | 10 |  |  |  | 10,778 |
4.75%, 04/15/43 |  |  |  |  |  |  | 103 |  |  |  | 106,797 |
4.25%, 01/15/44 |  |  |  |  |  |  | 46 |  |  |  | 45,385 |
5.35%, 07/01/49 |  |  |  |  |  |  | 23 |  |  |  | 23,599 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 11/01/27 |  |  |  |  |  |  | 212 |  |  |  | 235,320 |
8.25%, 12/31/28 |  |  |  |  |  |  | 37 |  |  |  | 36,908 |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(c) |  |  |  |  |  |  | 54 |  |  |  | 57,510 |
Brand Industrial Services, Inc., 8.50%, 07/15/25(c) |  |  |  |  |  |  | 314 |  |  |  | 320,672 |
Buckeye Partners LP |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 03/01/25(c) |  |  |  |  |  |  | 5 |  |  |  | 5,063 |
3.95%, 12/01/26 |  |  |  |  |  |  | 34 |  |  |  | 34,442 |
4.50%, 03/01/28(c) |  |  |  |  |  |  | 61 |  |  |  | 62,830 |
5.85%, 11/15/43 |  |  |  |  |  |  | 16 |  |  |  | 15,743 |
5.60%, 10/15/44 |  |  |  |  |  |  | 6 |  |  |  | 5,768 |
Cenovus Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 08/15/22 |  |  |  |  |  |  | 26 |  |  |  | 26,567 |
3.80%, 09/15/23 |  |  |  |  |  |  | 15 |  |  |  | 15,581 |

Security |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |  |  |  |  |  |
Cenovus Energy, Inc. (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 07/15/25 |  |  | USD |  |  |  | 94 |  |  | $ | 105,980 |
5.40%, 06/15/47 |  |  |  |  |  |  | 35 |  |  |  | 41,087 |
Cheniere Energy Partners LP |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/26 |  |  |  |  |  |  | 151 |  |  |  | 157,040 |
4.50%, 10/01/29 |  |  |  |  |  |  | 133 |  |  |  | 140,685 |
5.25%, 10/01/25 |  |  |  |  |  |  | 12 |  |  |  | 12,315 |
Cheniere Energy, Inc., 4.63%, 10/15/28(c) |  |  |  |  |  |  | 414 |  |  |  | 434,700 |
CITGO Petroleum Corp., 7.00%, 06/15/25(c) |  |  |  |  |  |  | 90 |  |  |  | 89,775 |
CNX Resources Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 03/14/27 |  |  |  |  |  |  | 73 |  |  |  | 78,110 |
6.00%, 01/15/29 |  |  |  |  |  |  | 84 |  |  |  | 86,057 |
Comstock Resources, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25(c) |  |  |  |  |  |  | 278 |  |  |  | 284,836 |
9.75%, 08/15/26 |  |  |  |  |  |  | 131 |  |  |  | 141,135 |
Continental Resources, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/31(c) |  |  |  |  |  |  | 79 |  |  |  | 87,688 |
4.90%, 06/01/44 |  |  |  |  |  |  | 124 |  |  |  | 122,637 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 5.63%, 05/01/27(c) |  |  |  | 194 |  |  |  | 192,060 |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(c) |  |  |  |  |  |  | 677 |  |  |  | 691,373 |
CVR Energy, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 02/15/25 |  |  |  |  |  |  | 105 |  |  |  | 101,325 |
5.75%, 02/15/28 |  |  |  |  |  |  | 54 |  |  |  | 51,165 |
DCP Midstream Operating LP |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 07/15/25 |  |  |  |  |  |  | 22 |  |  |  | 24,174 |
5.63%, 07/15/27 |  |  |  |  |  |  | 65 |  |  |  | 72,150 |
5.13%, 05/15/29 |  |  |  |  |  |  | 118 |  |  |  | 130,876 |
6.45%, 11/03/36(c) |  |  |  |  |  |  | 250 |  |  |  | 270,000 |
6.75%, 09/15/37(c) |  |  |  |  |  |  | 21 |  |  |  | 22,680 |
Diamondback Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 05/31/25 |  |  |  |  |  |  | 60 |  |  |  | 67,547 |
3.50%, 12/01/29 |  |  |  |  |  |  | 84 |  |  |  | 89,739 |
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(c) |  |  |  |  |  |  | 78 |  |  |  | 82,710 |
eG Global Finance PLC |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 02/07/25(c) |  |  |  |  |  |  | 200 |  |  |  | 206,000 |
6.25%, 10/30/25 |  |  | EUR |  |  |  | 142 |  |  |  | 178,140 |
8.50%, 10/30/25(c) |  |  | USD |  |  |  | 244 |  |  |  | 260,235 |
Endeavor Energy Resources LP/EER Finance, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/25 |  |  |  |  |  |  | 73 |  |  |  | 78,110 |
5.50%, 01/30/26 |  |  |  |  |  |  | 421 |  |  |  | 432,009 |
5.75%, 01/30/28 |  |  |  |  |  |  | 320 |  |  |  | 345,184 |
Energy Transfer Operating LP |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 12/15/45 |  |  |  |  |  |  | 92 |  |  |  | 108,679 |
5.00%, 05/15/50 |  |  |  |  |  |  | 11 |  |  |  | 11,912 |
EnLink Midstream LLC, 5.63%, 01/15/28(c) |  |  |  |  |  |  | 56 |  |  |  | 57,131 |
EnLink Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |
4.40%, 04/01/24 |  |  |  |  |  |  | 136 |  |  |  | 134,201 |
4.85%, 07/15/26 |  |  |  |  |  |  | 39 |  |  |  | 38,077 |
5.60%, 04/01/44 |  |  |  |  |  |  | 249 |  |  |  | 199,822 |
5.05%, 04/01/45 |  |  |  |  |  |  | 20 |  |  |  | 15,938 |
EQM Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 07/01/25(c) |  |  |  |  |  |  | 88 |  |  |  | 96,360 |
4.13%, 12/01/26 |  |  |  |  |  |  | 17 |  |  |  | 17,128 |
6.50%, 07/01/27(c) |  |  |  |  |  |  | 117 |  |  |  | 131,746 |
EQT Corp. |  |  |  |  |  |  |  |  |  |  |  |
3.90%, 10/01/27 |  |  |  |  |  |  | 120 |  |  |  | 119,214 |
5.00%, 01/15/29 |  |  |  |  |  |  | 44 |  |  |  | 46,390 |

22 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |  |  |  |  |  |
EQT Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 02/01/30 |  |  | USD |  |  |  | 27 |  |  | $ | 33,075 |
Extraction Oil & Gas, Inc.(a)(c)(d) |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 05/15/24 |  |  |  |  |  |  | 383 |  |  |  | 68,940 |
5.63%, 02/01/26 |  |  |  |  |  |  | 133 |  |  |  | 23,940 |
Genesis Energy LP/Genesis Energy Finance Corp., 8.00%, 01/15/27 |  |  |  |  |  |  | 68 |  |  |  | 67,334 |
Harvest Midstream I LP, 7.50%, 09/01/28(c) |  |  |  |  |  |  | 94 |  |  |  | 99,992 |
Indigo Natural Resources LLC, 6.88%, 02/15/26(c) |  |  |  |  |  |  | 42 |  |  |  | 42,945 |
MasTec, Inc., 4.50%, 08/15/28(c) |  |  |  |  |  |  | 66 |  |  |  | 69,300 |
Matador Resources Co., 5.88%, 09/15/26 |  |  |  |  |  |  | 121 |  |  |  | 118,580 |
MEG Energy Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 03/31/24 |  |  |  |  |  |  | 63 |  |  |  | 63,630 |
6.50%, 01/15/25 |  |  |  |  |  |  | 91 |  |  |  | 93,735 |
7.13%, 02/01/27 |  |  |  |  |  |  | 79 |  |  |  | 81,567 |
Murphy Oil Corp., 5.75%, 08/15/25 |  |  |  |  |  |  | 55 |  |  |  | 54,450 |
Murphy Oil USA, Inc., 4.75%, 09/15/29 |  |  |  |  |  |  | 109 |  |  |  | 115,949 |
Neptune Energy Bondco PLC, 6.63%, 05/15/25(c) |  |  |  |  |  |  | 200 |  |  |  | 197,854 |
New Enterprise Stone & Lime Co. Inc., 9.75%, 07/15/28(c) |  |  |  |  |  |  | 26 |  |  |  | 28,470 |
New Fortress Energy, Inc., 6.75%, 09/15/25(c) |  |  |  |  |  |  | 353 |  |  |  | 374,950 |
NGPL PipeCo LLC, 7.77%, 12/15/37(c) |  |  |  |  |  |  | 186 |  |  |  | 251,468 |
NuStar Logistics LP |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 10/01/25 |  |  |  |  |  |  | 41 |  |  |  | 43,665 |
6.00%, 06/01/26 |  |  |  |  |  |  | 124 |  |  |  | 134,107 |
6.38%, 10/01/30 |  |  |  |  |  |  | 2 |  |  |  | 2,266 |
Occidental Petroleum Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.70%, 08/15/22 |  |  |  |  |  |  | 123 |  |  |  | 123,154 |
2.70%, 02/15/23 |  |  |  |  |  |  | 87 |  |  |  | 86,917 |
6.95%, 07/01/24 |  |  |  |  |  |  | 19 |  |  |  | 20,520 |
2.90%, 08/15/24 |  |  |  |  |  |  | 89 |  |  |  | 85,662 |
5.50%, 12/01/25 |  |  |  |  |  |  | 45 |  |  |  | 46,917 |
3.40%, 04/15/26 |  |  |  |  |  |  | 21 |  |  |  | 20,022 |
3.20%, 08/15/26 |  |  |  |  |  |  | 5 |  |  |  | 4,675 |
3.00%, 02/15/27 |  |  |  |  |  |  | 2 |  |  |  | 1,780 |
8.88%, 07/15/30 |  |  |  |  |  |  | 2 |  |  |  | 2,348 |
6.13%, 01/01/31 |  |  |  |  |  |  | 77 |  |  |  | 82,405 |
4.30%, 08/15/39 |  |  |  |  |  |  | 174 |  |  |  | 147,120 |
6.20%, 03/15/40 |  |  |  |  |  |  | 284 |  |  |  | 281,160 |
4.50%, 07/15/44 |  |  |  |  |  |  | 72 |  |  |  | 61,020 |
4.63%, 06/15/45 |  |  |  |  |  |  | 199 |  |  |  | 173,454 |
6.60%, 03/15/46 |  |  |  |  |  |  | 7 |  |  |  | 7,103 |
4.40%, 04/15/46 |  |  |  |  |  |  | 114 |  |  |  | 99,347 |
4.10%, 02/15/47 |  |  |  |  |  |  | 17 |  |  |  | 13,897 |
4.20%, 03/15/48 |  |  |  |  |  |  | 69 |  |  |  | 56,235 |
4.40%, 08/15/49 |  |  |  |  |  |  | 35 |  |  |  | 29,498 |
Ovintiv Exploration, Inc., 5.75%, 01/30/22 |  |  |  |  |  |  | 28 |  |  |  | 29,082 |
Parsley Energy LLC/Parsley Finance Corp., |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/15/27(c) |  |  |  |  |  |  | 477 |  |  |  | 522,076 |
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, |  |  |  |  |  |  |  |  |  |  |  |
05/15/25(c) |  |  |  |  |  |  | 362 |  |  |  | 356,896 |
PDC Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 09/15/24 |  |  |  |  |  |  | 187 |  |  |  | 192,163 |
6.25%, 12/01/25 |  |  |  |  |  |  | 29 |  |  |  | 28,638 |
5.75%, 05/15/26 |  |  |  |  |  |  | 48 |  |  |  | 49,560 |
Plains All American Pipeline LP/PAA Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
3.55%, 12/15/29 |  |  |  |  |  |  | 13 |  |  |  | 13,605 |
4.30%, 01/31/43 |  |  |  |  |  |  | 7 |  |  |  | 6,887 |

Security |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |  |  |  |  |  |
Plains All American Pipeline LP/PAA Finance Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.90%, 02/15/45 |  |  | USD |  |  |  | 21 |  |  | $ | 22,287 |
QEP Resources, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 10/01/22 |  |  |  |  |  |  | 677 |  |  |  | 704,926 |
5.25%, 05/01/23 |  |  |  |  |  |  | 150 |  |  |  | 157,875 |
5.63%, 03/01/26 |  |  |  |  |  |  | 25 |  |  |  | 27,414 |
Range Resources Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 07/01/22 |  |  |  |  |  |  | 69 |  |  |  | 69,000 |
5.00%, 08/15/22 |  |  |  |  |  |  | 103 |  |  |  | 101,970 |
5.00%, 03/15/23 |  |  |  |  |  |  | 46 |  |  |  | 44,850 |
4.88%, 05/15/25 |  |  |  |  |  |  | 39 |  |  |  | 36,839 |
Rattler Midstream LP, 5.63%, 07/15/25(c) |  |  |  |  |  |  | 79 |  |  |  | 83,444 |
Sabine Pass Liquefaction LLC, 4.50%, |  |  |  |  |  |  |  |  |  |  |  |
05/15/30(c) |  |  |  |  |  |  | 144 |  |  |  | 170,680 |
SM Energy Co. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 11/15/22 |  |  |  |  |  |  | 11 |  |  |  | 10,615 |
10.00%, 01/15/25(c) |  |  |  |  |  |  | 225 |  |  |  | 241,875 |
Southwestern Energy Co. |  |  |  |  |  |  |  |  |  |  |  |
4.10%, 03/15/22 |  |  |  |  |  |  | 158 |  |  |  | 158,790 |
7.50%, 04/01/26 |  |  |  |  |  |  | 36 |  |  |  | 37,764 |
8.38%, 09/15/28 |  |  |  |  |  |  | 31 |  |  |  | 33,635 |
Sunoco Logistics Partners Operations LP |  |  |  |  |  |  |  |  |  |  |  |
5.30%, 04/01/44 |  |  |  |  |  |  | 153 |  |  |  | 165,336 |
5.35%, 05/15/45 |  |  |  |  |  |  | 41 |  |  |  | 45,166 |
5.40%, 10/01/47 |  |  |  |  |  |  | 133 |  |  |  | 148,605 |
Sunoco LP/Sunoco Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 02/15/26 |  |  |  |  |  |  | 8 |  |  |  | 8,200 |
5.88%, 03/15/28 |  |  |  |  |  |  | 151 |  |  |  | 163,080 |
4.50%, 05/15/29(c) |  |  |  |  |  |  | 56 |  |  |  | 58,240 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(c) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 09/15/24 |  |  |  |  |  |  | 6 |  |  |  | 6,105 |
7.50%, 10/01/25 |  |  |  |  |  |  | 44 |  |  |  | 47,502 |
6.00%, 12/31/30 |  |  |  |  |  |  | 50 |  |  |  | 51,452 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 02/01/25 |  |  |  |  |  |  | 75 |  |  |  | 76,875 |
5.38%, 02/01/27 |  |  |  |  |  |  | 17 |  |  |  | 17,856 |
5.50%, 03/01/30 |  |  |  |  |  |  | 255 |  |  |  | 276,853 |
4.88%, 02/01/31(c) |  |  |  |  |  |  | 97 |  |  |  | 105,690 |
Transocean, Inc., 11.50%, 01/30/27(c) |  |  |  |  |  |  | 167 |  |  |  | 119,405 |
Viper Energy Partners LP, 5.38%, 11/01/27(c) |  |  |  |  |  |  | 117 |  |  |  | 122,265 |
Western Midstream Operating LP |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 08/15/28 |  |  |  |  |  |  | 95 |  |  |  | 98,800 |
5.30%, 03/01/48 |  |  |  |  |  |  | 54 |  |  |  | 53,512 |
5.50%, 08/15/48 |  |  |  |  |  |  | 6 |  |  |  | 5,890 |
6.25%, 02/01/50 |  |  |  |  |  |  | 120 |  |  |  | 132,000 |
WPX Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.25%, 08/01/23 |  |  |  |  |  |  | 261 |  |  |  | 297,049 |
5.25%, 09/15/24 |  |  |  |  |  |  | 6 |  |  |  | 6,536 |
5.75%, 06/01/26 |  |  |  |  |  |  | 28 |  |  |  | 29,435 |
5.25%, 10/15/27 |  |  |  |  |  |  | 78 |  |  |  | 82,650 |
5.88%, 06/15/28 |  |  |  |  |  |  | 66 |  |  |  | 71,942 |
4.50%, 01/15/30 |  |  |  |  |  |  | 59 |  |  |  | 62,540 |
|  |  |  |  |  |  |  |  |  |  | 15,977,021 |
Personal Products — 0.0% |  |  |  |  |  |  |  |  |
Edgewell Personal Care Co., 5.50%, 06/01/28(c) |  |  |  |  |  |  | 41 |  |  |  | 44,063 |
Pharmaceuticals — 0.4% |  |  |  |  |  |  |  |  |
Bausch Health Americas, Inc., 8.50%, 01/31/27(c) |  |  |  |  |  |  | 101 |  |  |  | 112,329 |

S C H E D U L E O F I N V E S T M E N T S |  | 23

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Pharmaceuticals (continued) |  |  |  |  |  |  |  |  |
Bausch Health Cos., Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 12/15/25 |  |  | USD |  |  |  | 255 |  |  | $ | 281,507 |
7.00%, 01/15/28 |  |  |  |  |  |  | 185 |  |  |  | 203,352 |
5.00%, 02/15/29 |  |  |  |  |  |  | 167 |  |  |  | 171,709 |
6.25%, 02/15/29 |  |  |  |  |  |  | 168 |  |  |  | 182,490 |
5.25%, 01/30/30 |  |  |  |  |  |  | 84 |  |  |  | 88,200 |
5.25%, 02/15/31 |  |  |  |  |  |  | 94 |  |  |  | 98,204 |
Elanco Animal Health, Inc., 5.90%, 08/28/28 |  |  |  |  |  |  | 57 |  |  |  | 67,260 |
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
9.50%, 07/31/27 |  |  |  |  |  |  | 184 |  |  |  | 205,390 |
6.00%, 06/30/28 |  |  |  |  |  |  | 91 |  |  |  | 77,350 |
Jaguar Holding Co. II/PPD Development LP(c) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/15/25 |  |  |  |  |  |  | 122 |  |  |  | 128,663 |
5.00%, 06/15/28 |  |  |  |  |  |  | 178 |  |  |  | 190,015 |
P&L Development LLC/PLD Finance Corp., |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 11/15/25(c) |  |  |  |  |  |  | 46 |  |  |  | 49,450 |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(c) |  |  |  |  |  |  | 254 |  |  |  | 275,590 |
|  |  |  |  |  |  |  |  |  |  | 2,131,509 |
Real Estate Management & Development — 0.3% |
Consus Real Estate AG, 9.63%, 05/15/24 |  |  | EUR |  |  |  | 100 |  |  |  | 130,990 |
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28(c) |  |  | USD |  |  |  | 842 |  |  |  | 928,305 |
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(c) |  |  |  |  |  |  | 24 |  |  |  | 24,456 |
Howard Hughes Corp., 5.38%, 08/01/28(c) |  |  |  |  |  |  | 45 |  |  |  | 48,398 |
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25(c) |  |  |  |  |  |  | 171 |  |  |  | 185,658 |
Unique Pub Finance Co. PLC |  |  |  |  |  |  |  |  |  |  |  |
Series A4, 5.66%, 06/30/27 |  |  | GBP |  |  |  | 46 |  |  |  | 64,700 |
Series N, 6.46%, 03/30/32 |  |  |  |  |  |  | 100 |  |  |  | 133,073 |
|  |  |  |  |  |  |  |  |  |  | 1,515,580 |
Semiconductors & Semiconductor Equipment — 0.4% |
ams AG, 2.13%, 11/03/27 |  |  | EUR |  |  |  | 100 |  |  |  | 122,014 |
Broadcom, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.70%, 04/15/25 |  |  | USD |  |  |  | 910 |  |  |  | 1,042,831 |
3.15%, 11/15/25 |  |  |  |  |  |  | 514 |  |  |  | 561,263 |
ON Semiconductor Corp., 3.88%, 09/01/28(c) |  |  |  |  |  |  | 106 |  |  |  | 109,710 |
Qorvo, Inc., 3.38%, 04/01/31(c) |  |  |  |  |  |  | 7 |  |  |  | 7,227 |
Sensata Technologies, Inc., 3.75%, 02/15/31(c) |  |  |  |  |  |  | 71 |  |  |  | 73,597 |
|  |  |  |  |  |  |  |  |  |  | 1,916,642 |
Software(c) — 0.7% |  |  |  |  |  |  |  |  |
ANGI Group LLC, 3.88%, 08/15/28 |  |  |  |  |  |  | 84 |  |  |  | 85,470 |
Black Knight InfoServ LLC, 3.63%, 09/01/28 |  |  |  |  |  |  | 122 |  |  |  | 124,898 |
Boxer Parent Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 10/02/25 |  |  |  |  |  |  | 124 |  |  |  | 134,595 |
9.13%, 03/01/26 |  |  |  |  |  |  | 215 |  |  |  | 231,125 |
BY Crown Parent LLC, 7.38%, 10/15/24 |  |  |  |  |  |  | 602 |  |  |  | 612,535 |
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26 |  |  |  |  |  |  | 461 |  |  |  | 472,525 |
CDK Global, Inc., 5.25%, 05/15/29 |  |  |  |  |  |  | 28 |  |  |  | 31,022 |
Open Text Corp., 3.88%, 02/15/28 |  |  |  |  |  |  | 82 |  |  |  | 85,280 |
Open Text Holdings, Inc., 4.13%, 02/15/30 |  |  |  |  |  |  | 9 |  |  |  | 9,574 |
PTC, Inc., 4.00%, 02/15/28 |  |  |  |  |  |  | 80 |  |  |  | 83,850 |
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24 |  |  |  |  |  |  | 1,315 |  |  |  | 1,362,669 |

Security |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
SS&C Technologies, Inc., 5.50%, 09/30/27 |  |  | USD |  |  |  | 236 |  |  | $ | 252,053 |
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 |  |  |  |  |  |  | 493 |  |  |  | 505,941 |
|  |  |  |  |  |  |  |  |  |  | 3,991,537 |
Specialty Retail(c) — 0.1% |  |  |  |  |  |  |  |  |
Gap, Inc., 8.88%, 05/15/27 |  |  |  |  |  |  | 105 |  |  |  | 121,800 |
L Brands, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 07/01/25 |  |  |  |  |  |  | 133 |  |  |  | 144,409 |
6.63%, 10/01/30 |  |  |  |  |  |  | 46 |  |  |  | 51,175 |
PetSmart, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 03/15/23 |  |  |  |  |  |  | 135 |  |  |  | 135,000 |
5.88%, 06/01/25 |  |  |  |  |  |  | 98 |  |  |  | 100,695 |
|  |  |  |  |  |  |  |  |  |  | 553,079 |
Technology Hardware, Storage & Peripherals — 0.0% |
Seagate HDD Cayman, 4.13%, 01/15/31(c) |  |  |  |  |  |  | 30 |  |  |  | 31,987 |
Textiles, Apparel & Luxury Goods — 0.0% |
Hanesbrands, Inc., 5.38%, 05/15/25(c) |  |  |  |  |  |  | 30 |  |  |  | 31,740 |
Levi Strauss & Co., 5.00%, 05/01/25 |  |  |  |  |  |  | 33 |  |  |  | 33,825 |
William Carter Co., 5.50%, 05/15/25(c) |  |  |  |  |  |  | 11 |  |  |  | 11,682 |
Wolverine World Wide, Inc., 6.38%, 05/15/25(c) |  |  |  |  |  |  | 24 |  |  |  | 25,560 |
|  |  |  |  |  |  |  |  |  |  | 102,807 |
Thrifts & Mortgage Finance — 0.1% |  |  |  |  |  |  |  |  |
Genworth Mortgage Holdings, Inc., 6.50%, |  |  |  |  |  |  |  |  |  |  |  |
08/15/25(c) |  |  |  |  |  |  | 184 |  |  |  | 199,180 |
LD Holdings Group LLC, 6.50%, 11/01/25(c) |  |  |  |  |  |  | 16 |  |  |  | 16,840 |
MGIC Investment Corp., 5.25%, 08/15/28 |  |  |  |  |  |  | 47 |  |  |  | 50,290 |
Nationstar Mortgage Holdings, Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  |  |  |  |  |  | 78 |  |  |  | 82,777 |
5.50%, 08/15/28 |  |  |  |  |  |  | 81 |  |  |  | 85,050 |
5.13%, 12/15/30 |  |  |  |  |  |  | 45 |  |  |  | 47,035 |
|  |  |  |  |  |  |  |  |  |  | 481,172 |
Utilities — 0.0% |  |  |  |  |  |  |  |  |
Vistra Operations Co. LLC, 5.63%, 02/15/27(c) |  |  |  |  |  |  | 99 |  |  |  | 105,300 |
Wireless Telecommunication Services — 0.6% |
Altice France SA(c) |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 05/01/26 |  |  |  |  |  |  | 391 |  |  |  | 411,528 |
8.13%, 02/01/27 |  |  |  |  |  |  | 334 |  |  |  | 368,238 |
GLP Capital LP/GLP Financing II, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.30%, 01/15/29 |  |  |  |  |  |  | 25 |  |  |  | 28,924 |
4.00%, 01/15/31 |  |  |  |  |  |  | 386 |  |  |  | 421,211 |
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(c) |  |  |  |  |  |  | 57 |  |  |  | 61,032 |
SBA Communications Corp., 3.88%, 02/15/27 |  |  |  |  |  |  | 586 |  |  |  | 615,300 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 04/15/23(c) |  |  |  |  |  |  | 35 |  |  |  | 35,700 |
8.25%, 10/15/23 |  |  |  |  |  |  | 171 |  |  |  | 172,283 |
VICI Properties LP/VICI Note Co., Inc.(c) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 12/01/26 |  |  |  |  |  |  | 496 |  |  |  | 514,426 |
4.63%, 12/01/29 |  |  |  |  |  |  | 321 |  |  |  | 343,470 |
|  |  |  |  |  |  |  |  |  |  | 2,972,112 |
Total Corporate Bonds — 22.9% |  |  |  |  |  |  |  |  |
(Cost: $125,482,350) |  |  |  |  |  |  |  |  |  |  | 123,096,188 |

24 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Floating Rate Loan Interests(e) |
Aerospace & Defense — 2.0% |
Bleriot US Bidco, Inc. |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |  |  | USD |  |  |  | 111 |  |  | $ | 110,915 |
Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |  |  |  |  |  |  | 713 |  |  |  | 709,858 |
Dynasty Acquisition Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |  |  |  |  |  |  | 1,805 |  |  |  | 1,714,190 |
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |  |  |  |  |  |  | 3,356 |  |  |  | 3,188,393 |
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/09/26 |  |  |  |  |  |  | 780 |  |  |  | 624,096 |
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 |  |  |  |  |  |  | 893 |  |  |  | 899,698 |
Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25 |  |  |  |  |  |  | 3,559 |  |  |  | 3,483,007 |
|  |  |  |  |  |  |  |  |  |  | 10,730,157 |
Air Freight & Logistics — 0.6% |  |  |  |  |  |  |  |  |
WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 |  |  |  |  |  |  | 3,634 |  |  |  | 3,477,579 |
Airlines — 1.3% |  |  |  |  |  |  |  |  |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27 |  |  |  |  |  |  | 455 |  |  |  | 389,022 |
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23 |  |  |  |  |  |  | 2,255 |  |  |  | 2,020,775 |
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23 |  |  |  |  |  |  | 1,587 |  |  |  | 1,426,534 |
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 |  |  |  |  |  |  | 670 |  |  |  | 687,515 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 |  |  |  |  |  |  | 2,112 |  |  |  | 2,195,171 |
|  |  |  |  |  |  |  |  |  |  | 6,719,017 |
Auto Components — 2.3% |  |  |  |  |  |  |  |  |
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26 |  |  |  |  |  |  | 5,507 |  |  |  | 5,477,799 |
USI, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24 |  |  |  |  |  |  | 4,393 |  |  |  | 4,326,290 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26 |  |  |  |  |  |  | 251 |  |  |  | 249,688 |
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26 |  |  |  |  |  |  | 2,325 |  |  |  | 2,289,424 |
|  |  |  |  |  |  |  |  |  |  | 12,343,201 |
Automobiles — 0.5% |  |  |  |  |  |  |  |  |
Mavis Tire Express Services Corp. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25 |  |  |  |  |  |  | 1,312 |  |  |  | 1,286,066 |
2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25 |  |  |  |  |  |  | 1,191 |  |  |  | 1,193,978 |
|  |  |  |  |  |  |  |  |  |  | 2,480,044 |

Security |  |  | Par (000) |  |  | Value |
Building Materials — 0.6% |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 07/12/26 |  |  | USD |  |  |  | 2,086 |  |  | $ | 2,074,907 |
CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25 |  |  |  |  |  |  | 162 |  |  |  | 162,796 |
CP Atlas Buyer, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |  |  |  |  |  |  | 266 |  |  |  | 266,333 |
2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |  |  |  |  |  |  | 798 |  |  |  | 798,997 |
|  |  |  |  |  |  |  |  |  |  | 3,303,033 |
Building Products — 1.3% |  |  |  |  |  |  |  |  |
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24 |  |  |  |  |  |  | 1,528 |  |  |  | 1,526,233 |
LSF10 XL Bidco SCA, EUR Term Loan B3, (EURIBOR + 4.00%), 4.00%, 10/12/26 |  |  | EUR |  |  |  | 1,000 |  |  |  | 1,210,008 |
MI Windows and Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27 |  |  | USD |  |  |  | 474 |  |  |  | 474,593 |
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23 |  |  |  |  |  |  | 3,752 |  |  |  | 3,754,384 |
|  |  |  |  |  |  |  |  |  |  | 6,965,218 |
Capital Markets — 1.7% |  |  |  |  |  |  |  |  |
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27 |  |  |  |  |  |  | 5,519 |  |  |  | 5,519,997 |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27 |  |  |  |  |  |  | 1,265 |  |  |  | 1,262,634 |
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 06/27/25 |  |  |  |  |  |  | — | (j) |  |  | 250 |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24 |  |  |  |  |  |  | 533 |  |  |  | 526,046 |
GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27 |  |  |  |  |  |  | 733 |  |  |  | 735,179 |
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26 |  |  |  |  |  |  | 1,311 |  |  |  | 1,299,591 |
|  |  |  |  |  |  |  |  |  |  | 9,343,697 |
Chemicals — 4.2% |  |  |  |  |  |  |  |  |
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 |  |  |  |  |  |  | 2,736 |  |  |  | 2,723,809 |
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 |  |  |  |  |  |  | 2,959 |  |  |  | 2,965,967 |
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24 |  |  |  |  |  |  | 1,264 |  |  |  | 1,252,748 |
Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25 |  |  |  |  |  |  | 743 |  |  |  | 727,634 |
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24 |  |  |  |  |  |  | 1,350 |  |  |  | 1,315,316 |
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24 |  |  |  |  |  |  | 1,269 |  |  |  | 1,259,558 |

S C H E D U L E O F I N V E S T M E N T S |  | 25

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |  |
Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27 |  |  | USD |  |  |  | 2,887 |  |  | $ | 2,885,814 |
Invictus US LLC |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25 |  |  |  |  |  |  | 679 |  |  |  | 665,702 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26 |  |  |  |  |  |  | 973 |  |  |  | 925,058 |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26 |  |  |  |  |  |  | 3,294 |  |  |  | 3,266,118 |
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b) |  |  |  |  |  |  | 378 |  |  |  | 376,511 |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24 |  |  |  |  |  |  | 1,327 |  |  |  | 1,307,338 |
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24 |  |  |  |  |  |  | 2,405 |  |  |  | 2,372,329 |
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25 |  |  |  |  |  |  | 425 |  |  |  | 420,341 |
|  |  |  |  |  |  |  |  |  |  | 22,464,243 |
Commercial Services & Supplies — 3.8% |
Asurion LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25 |  |  |  |  |  |  | 1,728 |  |  |  | 1,738,343 |
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23 |  |  |  |  |  |  | 1,265 |  |  |  | 1,252,342 |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24 |  |  |  |  |  |  | 926 |  |  |  | 917,354 |
2020 Term Loan B8, 12/23/26(k) |  |  |  |  |  |  | 704 |  |  |  | 695,973 |
Creative Artists Agency LLC |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26 |  |  |  |  |  |  | 742 |  |  |  | 732,488 |
2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26 |  |  |  |  |  |  | 1,728 |  |  |  | 1,704,971 |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25 |  |  |  |  |  |  | 2,708 |  |  |  | 2,682,821 |
Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24 |  |  |  |  |  |  | 1,710 |  |  |  | 1,682,823 |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 |  |  |  |  |  |  | 477 |  |  |  | 468,231 |
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 |  |  |  |  |  |  | 506 |  |  |  | 446,154 |
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%, 09/19/26(b) |  |  |  |  |  |  | 1,286 |  |  |  | 1,263,853 |
Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26 |  |  |  |  |  |  | 1,506 |  |  |  | 1,509,343 |
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25 |  |  |  |  |  |  | 2,911 |  |  |  | 2,905,342 |
West Corp. |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24 |  |  |  |  |  |  | 1,020 |  |  |  | 986,405 |
2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/24 |  |  |  |  |  |  | 1,404 |  |  |  | 1,350,480 |
|  |  |  |  |  |  |  |  |  |  | 20,336,923 |

Security |  |  | Par (000) |  |  | Value |
Communications Equipment — 0.2% |  |  |  |  |  |  |  |  |
Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24 |  |  | USD |  |  |  | 907 |  |  | $ | 906,528 |
Construction & Engineering — 1.3% |  |  |  |  |  |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 |  |  |  |  |  |  | 3,183 |  |  |  | 3,458,252 |
Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26 |  |  |  |  |  |  | 463 |  |  |  | 461,539 |
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25 |  |  |  |  |  |  | 523 |  |  |  | 521,625 |
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25 |  |  |  |  |  |  | 2,602 |  |  |  | 2,557,401 |
|  |  |  |  |  |  |  |  |  |  | 6,998,817 |
Construction Materials — 1.8% |  |  |  |  |  |  |  |  |
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24 |  |  |  |  |  |  | 4,805 |  |  |  | 4,776,977 |
Filtration Group Corp. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25 |  |  |  |  |  |  | 2,145 |  |  |  | 2,120,065 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 |  |  |  |  |  |  | 1,281 |  |  |  | 1,281,422 |
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 |  |  |  |  |  |  | 1,024 |  |  |  | 1,023,983 |
Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(b) |  |  |  |  |  |  | 715 |  |  |  | 715,000 |
|  |  |  |  |  |  |  |  |  |  | 9,917,447 |
Consumer Discretionary(k) — 0.3% |  |  |  |  |  |  |  |  |
Zaxby’s Operating Company LLC |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 12/10/27 |  |  |  |  |  |  | 1,236 |  |  |  | 1,236,000 |
2nd Lien Term Loan, 12/08/28(b) |  |  |  |  |  |  | 563 |  |  |  | 568,630 |
|  |  |  |  |  |  |  |  |  |  | 1,804,630 |
Containers & Packaging — 1.8% |  |  |  |  |  |  |  |  |
Berry Global, Inc. |  |  |  |  |  |  |  |  |  |  |  |
Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22 |  |  |  |  |  |  | 2,893 |  |  |  | 2,888,133 |
Term Loan Y, (1 mo. LIBOR + 2.00%), 2.15%, 07/01/26 |  |  |  |  |  |  | 1,292 |  |  |  | 1,284,353 |
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24 |  |  |  |  |  |  | 2,254 |  |  |  | 2,172,002 |
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23 |  |  |  |  |  |  | 1,943 |  |  |  | 1,929,902 |
Pregis TopCo Corp. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26 |  |  |  |  |  |  | 551 |  |  |  | 548,668 |
2020 Incremental Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 08/01/26(b) |  |  |  |  |  |  | 257 |  |  |  | 255,073 |
Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27 |  |  |  |  |  |  | 735 |  |  |  | 737,146 |
|  |  |  |  |  |  |  |  |  |  | 9,815,277 |

26 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Distributors — 1.2% |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27 |  |  | USD |  |  |  | 2,694 |  |  | $ | 2,665,884 |
TMK Hawk Parent Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24 |  |  |  |  |  |  | 990 |  |  |  | 951,012 |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24(b) |  |  |  |  |  |  | 3,287 |  |  |  | 2,563,813 |
|  |  |  |  |  |  |  |  |  |  | 6,180,709 |
Diversified Consumer Services — 3.2% |  |  |  |  |  |  |  |  |
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27 |  |  |  |  |  |  | 639 |  |  |  | 636,395 |
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 |  |  |  |  |  |  | 1,195 |  |  |  | 1,187,591 |
Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 |  |  |  |  |  |  | 990 |  |  |  | 991,172 |
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 |  |  |  |  |  |  | 3,071 |  |  |  | 3,078,945 |
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23 |  |  |  |  |  |  | 1,767 |  |  |  | 1,747,768 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25 |  |  |  |  |  |  | 3,011 |  |  |  | 2,912,178 |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25 |  |  |  |  |  |  | 1,406 |  |  |  | 1,423,501 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24 |  |  |  |  |  |  | 1,121 |  |  |  | 1,105,968 |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27 |  |  |  |  |  |  | 680 |  |  |  | 680,000 |
Serta Simmons Bedding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23 |  |  |  |  |  |  | 421 |  |  |  | 425,490 |
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 |  |  |  |  |  |  | 862 |  |  |  | 774,683 |
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23 |  |  |  |  |  |  | 2,425 |  |  |  | 2,418,821 |
|  |  |  |  |  |  |  |  |  |  | 17,382,512 |
Diversified Financial Services — 4.9% |  |  |  |  |  |  |  |  |
Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26 |  |  |  |  |  |  | 952 |  |  |  | 941,758 |
Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(b) |  |  |  |  |  |  | 761 |  |  |  | 762,995 |
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24 |  |  |  |  |  |  | 5,002 |  |  |  | 4,940,260 |

Security |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |  |  |  |  |  |  |  |  |
Allsup’s Convenience Stores, Inc., Term Loan, |  |  |  |  |  |  |  |  |  |  |  |
(1 mo. LIBOR + 6.25%), 6.40%, 11/18/24 |  |  | USD |  |  |  | 667 |  |  | $ | 668,061 |
Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27 |  |  |  |  |  |  | 1,111 |  |  |  | 1,109,611 |
Delta TopCo, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28 |  |  |  |  |  |  | 595 |  |  |  | 598,719 |
2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27 |  |  |  |  |  |  | 3,270 |  |  |  | 3,266,599 |
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |  |  |  |  |  |  | 1,161 |  |  |  | 1,145,797 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24 |  |  |  |  |  |  | 1,342 |  |  |  | 1,271,370 |
LBM Acquisition LLC(k) |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, 12/09/27 |  |  |  |  |  |  | 189 |  |  |  | 188,491 |
Term Loan B, 12/17/27 |  |  |  |  |  |  | 849 |  |  |  | 848,209 |
LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |  |  |  |  |  |  | 680 |  |  |  | 681,476 |
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |  |  |  |  |  |  | 2,258 |  |  |  | 2,254,229 |
SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25 |  |  |  |  |  |  | 1,735 |  |  |  | 1,628,941 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25 |  |  |  |  |  |  | 557 |  |  |  | 529,544 |
Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27 |  |  |  |  |  |  | 625 |  |  |  | 622,834 |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27 |  |  |  |  |  |  | 3,069 |  |  |  | 3,050,176 |
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28 |  |  |  |  |  |  | 1,876 |  |  |  | 1,862,512 |
|  |  |  |  |  |  |  |  |  |  | 26,371,582 |
Diversified Telecommunication Services — 2.8% |
Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27 |  |  |  |  |  |  | 510 |  |  |  | 508,567 |
Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27 |  |  |  |  |  |  | 995 |  |  |  | 998,671 |
Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21 |  |  |  |  |  |  | 1,369 |  |  |  | 1,373,285 |
GCI LLC, 2020 Term Loan B, 10/15/25(k) |  |  |  |  |  |  | 1,099 |  |  |  | 1,093,408 |
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24 |  |  |  |  |  |  | 2,340 |  |  |  | 2,338,598 |
Intelsat Jackson Holdings SA |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 |  |  |  |  |  |  | 455 |  |  |  | 460,688 |
2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22 |  |  |  |  |  |  | 158 |  |  |  | 160,467 |
Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26 |  |  |  |  |  |  | 1,545 |  |  |  | 1,551,331 |

S C H E D U L E O F I N V E S T M E N T S |  | 27

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 03/01/27 |  |  | USD |  |  |  | 1,676 |  |  | $ | 1,646,672 |
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 |  |  |  |  |  |  | 2,334 |  |  |  | 2,325,613 |
Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27 |  |  |  |  |  |  | 842 |  |  |  | 843,083 |
Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.28%, 01/15/27 |  |  | GBP |  |  |  | 1,400 |  |  |  | 1,867,041 |
|  |  |  |  |  |  |  |  |  |  | 15,167,424 |
Electric Utilities — 0.2% |  |  |  |  |  |  |  |  |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27 |  |  | USD |  |  |  | 1,203 |  |  |  | 1,201,195 |
Electrical Equipment — 0.7% |  |  |  |  |  |  |  |  |
Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24 |  |  |  |  |  |  | 3,513 |  |  |  | 3,500,207 |
Electronic Equipment, Instruments & Components — 0.2% |
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25 |  |  |  |  |  |  | 984 |  |  |  | 982,120 |
Energy Equipment & Services — 0.0% |  |  |  |  |  |  |  |  |
Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25 |  |  |  |  |  |  | 169 |  |  |  | 169,288 |
Entertainment — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b) |  |  |  |  |  |  | 1,759 |  |  |  | 1,767,795 |
Environmental, Maintenance, & Security Service — 0.8% |
Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27 |  |  |  |  |  |  | 1,771 |  |  |  | 1,773,891 |
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |  |  |  |  |  |  | 2,272 |  |  |  | 2,280,797 |
|  |  |  |  |  |  |  |  |  |  | 4,054,688 |
Equity Real Estate Investment Trusts (REITs) — 0.7% |
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24 |  |  |  |  |  |  | 3,938 |  |  |  | 3,868,495 |
Food & Staples Retailing — 1.2% |  |  |  |  |  |  |  |  |
Hearthside Food Solutions LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25 |  |  |  |  |  |  | 1,031 |  |  |  | 1,014,204 |
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25 |  |  |  |  |  |  | 1,401 |  |  |  | 1,375,213 |
2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25 |  |  |  |  |  |  | 179 |  |  |  | 179,248 |

Security |  |  |  |  | Par (000) |  |  | Value |
Food & Staples Retailing (continued) |
US Foods, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23 |  |  | USD |  |  |  | 3,010 |  |  | $ | 2,961,349 |
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26 |  |  |  |  |  |  | 747 |  |  |  | 733,459 |
|  |  |  |  |  |  |  |  |  |  | 6,263,473 |
Food Products — 2.9% |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25 |  |  |  |  |  |  | 1,111 |  |  |  | 1,106,691 |
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26 |  |  |  |  |  |  | 415 |  |  |  | 413,579 |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 |  |  |  |  |  |  | 2,767 |  |  |  | 2,757,380 |
Froneri International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28(b) |  |  |  |  |  |  | 374 |  |  |  | 376,201 |
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27 |  |  |  |  |  |  | 4,333 |  |  |  | 4,285,663 |
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26 |  |  |  |  |  |  | 598 |  |  |  | 592,464 |
Pathway Vet Alliance LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |  |  |  |  |  |  | 39 |  |  |  | 38,930 |
2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |  |  |  |  |  |  | 477 |  |  |  | 476,609 |
Reynolds Group Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23 |  |  |  |  |  |  | 2,364 |  |  |  | 2,352,238 |
2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26 |  |  |  |  |  |  | 1,703 |  |  |  | 1,688,099 |
Shearer’s Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27 |  |  |  |  |  |  | 849 |  |  |  | 848,609 |
Sovos Brands Intermediate, Inc., 2018 Term Loan, (3 mo. LIBOR + 4.75%), 4.96%, 11/20/25(b) |  |  |  |  |  |  | 669 |  |  |  | 670,129 |
|  |  |  |  |  |  |  |  |  |  | 15,606,592 |
Health Care Equipment & Supplies — 1.3% |
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27 |  |  |  |  |  |  | 1,843 |  |  |  | 1,844,161 |
Ortho-Clinical Diagnostics SA |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25 |  |  |  |  |  |  | 3,821 |  |  |  | 3,761,874 |
EUR Term Loan B, (3 mo. LIBOR + 3.50%), 3.50%, 06/30/25 |  |  | EUR |  |  |  | 993 |  |  |  | 1,192,482 |
|  |  |  |  |  |  |  |  |  |  | 6,798,517 |
Health Care Providers & Services — 4.3% |  |  |  |  |  |  |  |  |
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 |  |  | USD |  |  |  | 830 |  |  |  | 832,350 |
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23 |  |  |  |  |  |  | 2,178 |  |  |  | 2,162,110 |

28 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 |  |  | USD |  |  |  | 1,115 |  |  | $ | 1,116,261 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25 |  |  |  |  |  |  | 1,727 |  |  |  | 1,435,439 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.40%, 02/18/28(b) |  |  |  |  |  |  | 1,460 |  |  |  | 1,328,600 |
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |  |  |  |  |  |  | 376 |  |  |  | 365,346 |
2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |  |  |  |  |  |  | 1,599 |  |  |  | 1,554,025 |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26 |  |  |  |  |  |  | 874 |  |  |  | 813,839 |
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 |  |  |  |  |  |  | 2,479 |  |  |  | 2,461,727 |
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26 |  |  |  |  |  |  | 2,646 |  |  |  | 2,640,766 |
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 |  |  |  |  |  |  | 1,017 |  |  |  | 1,010,895 |
Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 11/18/27(b) |  |  |  |  |  |  | 1,741 |  |  |  | 1,740,978 |
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 |  |  |  |  |  |  | 5,913 |  |  |  | 5,930,587 |
|  |  |  |  |  |  |  |  |  |  | 23,392,923 |
Health Care Services — 1.0% |  |  |  |  |  |  |  |  |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26 |  |  |  |  |  |  | 2,412 |  |  |  | 2,378,630 |
Unified Physician Management LLC, 2020 Term Loan, 12/16/27(b)(k) |  |  |  |  |  |  | 1,267 |  |  |  | 1,257,497 |
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26 |  |  |  |  |  |  | 1,891 |  |  |  | 1,887,683 |
|  |  |  |  |  |  |  |  |  |  | 5,523,810 |
Health Care Technology — 1.4% |  |  |  |  |  |  |  |  |
Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 |  |  |  |  |  |  | 3,205 |  |  |  | 3,186,962 |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR |  |  |  |  |  |  |  |  |  |  |  |
+ 2.75%), 2.90%, 10/10/25 |  |  |  |  |  |  | 2,567 |  |  |  | 2,546,468 |
Press Ganey Holdings, Inc., 2020 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 07/25/26 |  |  |  |  |  |  | 1,698 |  |  |  | 1,693,755 |
Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 03/07/24 |  |  |  |  |  |  | 279 |  |  |  | 277,385 |
|  |  |  |  |  |  |  |  |  |  | 7,704,570 |
Hotels, Restaurants & Leisure — 7.3% |  |  |  |  |  |  |  |  |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26 |  |  |  |  |  |  | 3,265 |  |  |  | 3,215,213 |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26 |  |  |  |  |  |  | 496 |  |  |  | 466,955 |
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 |  |  |  |  |  |  | 885 |  |  |  | 886,218 |

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.96%, 10/19/24 |  |  | USD |  |  |  | 1,085 |  |  | $ | 1,073,984 |
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23 |  |  |  |  |  |  | 1,087 |  |  |  | 1,076,174 |
Caesars Resort Collection LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24 |  |  |  |  |  |  | 2,901 |  |  |  | 2,842,844 |
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25 |  |  |  |  |  |  | 3,541 |  |  |  | 3,542,273 |
CCM Merger, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25 |  |  |  |  |  |  | 1,371 |  |  |  | 1,366,997 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 |  |  |  |  |  |  | 3,653 |  |  |  | 3,261,658 |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23 |  |  |  |  |  |  | 903 |  |  |  | 895,267 |
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 |  |  |  |  |  |  | 1,878 |  |  |  | 1,808,576 |
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b) |  |  |  |  |  |  | 201 |  |  |  | 227,378 |
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25 |  |  |  |  |  |  | 532 |  |  |  | 534,326 |
IRB Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Fourth Amendment Incremental Term Loan, 11/12/27(k) |  |  |  |  |  |  | 4,045 |  |  |  | 4,046,254 |
2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 |  |  |  |  |  |  | 1,996 |  |  |  | 1,976,653 |
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25 |  |  |  |  |  |  | 872 |  |  |  | 864,274 |
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 |  |  |  |  |  |  | 683 |  |  |  | 625,291 |
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24 |  |  |  |  |  |  | 1,642 |  |  |  | 1,649,557 |
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24 |  |  |  |  |  |  | 1,144 |  |  |  | 1,115,650 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25 |  |  |  |  |  |  | 1,015 |  |  |  | 1,018,189 |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27 |  |  |  |  |  |  | 1,994 |  |  |  | 1,961,105 |
Travelport Finance (Luxembourg) Sarl |  |  |  |  |  |  |  |  |  |  |  |
(3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25 |  |  |  |  |  |  | 1,470 |  |  |  | 1,447,303 |
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26 |  |  |  |  |  |  | 2,619 |  |  |  | 1,767,405 |
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26 |  |  |  |  |  |  | 1,879 |  |  |  | 1,860,387 |
|  |  |  |  |  |  |  |  |  |  | 39,529,931 |

S C H E D U L E O F I N V E S T M E N T S |  | 29

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Household Durables — 0.2% |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 |  |  | USD |  |  |  | 1,061 |  |  | $ | 1,061,531 |
Independent Power and Renewable Electricity Producers — 0.7% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25 |  |  |  |  |  |  | 669 |  |  |  | 659,401 |
Calpine Corp. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26 |  |  |  |  |  |  | 1,061 |  |  |  | 1,046,002 |
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26 |  |  |  |  |  |  | 1,923 |  |  |  | 1,900,820 |
|  |  |  |  |  |  |  |  |  |  | 3,606,223 |
Industrial Conglomerates — 2.8% |  |  |  |  |  |  |  |  |
AVSC Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25 |  |  |  |  |  |  | 4,406 |  |  |  | 3,742,778 |
(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26 |  |  |  |  |  |  | 1,273 |  |  |  | 1,457,011 |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23(b) |  |  |  |  |  |  | 1,426 |  |  |  | 1,433,583 |
Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27 |  |  |  |  |  |  | 1,708 |  |  |  | 1,713,509 |
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27 |  |  |  |  |  |  | 6,934 |  |  |  | 6,885,382 |
|  |  |  |  |  |  |  |  |  |  | 15,232,263 |
Insurance — 3.6% |  |  |  |  |  |  |  |  |
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |  |  |  |  |  |  | 2,440 |  |  |  | 2,399,589 |
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |  |  |  |  |  |  | 1,190 |  |  |  | 1,168,709 |
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24 |  |  |  |  |  |  | 2,559 |  |  |  | 2,553,874 |
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 |  |  |  |  |  |  | 603 |  |  |  | 602,827 |
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27 |  |  |  |  |  |  | 1,558 |  |  |  | 1,533,395 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25 |  |  |  |  |  |  | 2,809 |  |  |  | 2,755,342 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25 |  |  |  |  |  |  | 1,420 |  |  |  | 1,422,078 |
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27 |  |  |  |  |  |  | 1,463 |  |  |  | 1,457,845 |
Sedgwick Claims Management Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25 |  |  |  |  |  |  | 1,742 |  |  |  | 1,712,318 |
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26 |  |  |  |  |  |  | 2,078 |  |  |  | 2,068,476 |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 |  |  |  |  |  |  | 1,497 |  |  |  | 1,506,718 |
|  |  |  |  |  |  |  |  |  |  | 19,181,171 |
Interactive Media & Services — 1.6% |  |  |  |  |  |  |  |  |
Adevinta ASA, USD Term Loan B, 10/13/27(k) |  |  |  |  |  |  | 2,218 |  |  |  | 2,214,629 |

Security |  |  |  |  | Par (000) |  |  | Value |
Interactive Media & Services (continued) |
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 |  |  | USD |  |  |  | 3,763 |  |  | $ | 3,759,463 |
Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27 |  |  |  |  |  |  | 1,721 |  |  |  | 1,726,376 |
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24 |  |  |  |  |  |  | 869 |  |  |  | 863,912 |
|  |  |  |  |  |  |  |  |  |  | 8,564,380 |
Internet & Direct Marketing Retail — 0.5% |
CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27 |  |  |  |  |  |  | 2,428 |  |  |  | 2,423,824 |
IT Services — 6.3% |  |  |  |  |  |  |  |  |
Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27 |  |  |  |  |  |  | 2,134 |  |  |  | 2,135,067 |
Aruba Investments, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28 |  |  |  |  |  |  | 1,275 |  |  |  | 1,275,000 |
2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 |  |  |  |  |  |  | 690 |  |  |  | 689,137 |
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26 |  |  |  |  |  |  | 3,610 |  |  |  | 3,590,595 |
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 |  |  |  |  |  |  | 4,253 |  |  |  | 4,256,987 |
GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b) |  |  |  |  |  |  | 1,379 |  |  |  | 1,351,488 |
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25 |  |  |  |  |  |  | 1,121 |  |  |  | 701,623 |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27 |  |  |  |  |  |  | 2,838 |  |  |  | 2,700,320 |
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 |  |  |  |  |  |  | 333 |  |  |  | 332,213 |
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(b) |  |  |  |  |  |  | 3,730 |  |  |  | 3,692,700 |
Trans Union LLC, 2019 Term Loan B5, (1 mo. |  |  |  |  |  |  |  |  |  |  |  |
LIBOR + 1.75%), 1.90%, 11/16/26 |  |  |  |  |  |  | 3,129 |  |  |  | 3,114,390 |
Veritas US, Inc., 2020 USD Term Loan B, (3 mo. |  |  |  |  |  |  |  |  |  |  |  |
LIBOR + 5.50%, 1.00% Floor), 6.50%, |  |  |  |  |  |  |  |  |  |  |  |
09/01/25 |  |  |  |  |  |  | 6,692 |  |  |  | 6,666,616 |
Virtusa Corp., Term Loan B, 12/01/27(k) |  |  |  |  |  |  | 939 |  |  |  | 931,957 |
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26 |  |  |  |  |  |  | 2,217 |  |  |  | 2,199,862 |
|  |  |  |  |  |  |  |  |  |  | 33,637,955 |
Leisure Products — 0.1% |  |  |  |  |  |  |  |  |
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24 |  |  |  |  |  |  | 782 |  |  |  | 723,026 |

30 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Life Sciences Tools & Services — 0.7% |  |  |  |  |  |  |  |  |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 |  |  | USD |  |  |  | 2,469 |  |  | $ | 2,441,807 |
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(b) |  |  |  |  |  |  | 1,104 |  |  |  | 1,113,325 |
|  |  |  |  |  |  |  |  |  |  | 3,555,132 |
Machinery — 1.9% |  |  |  |  |  |  |  |  |
Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24 |  |  |  |  |  |  | 1,300 |  |  |  | 1,283,204 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27 |  |  |  |  |  |  | 2,527 |  |  |  | 2,491,359 |
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24(b) |  |  |  |  |  |  | 382 |  |  |  | 378,370 |
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25 |  |  |  |  |  |  | 6,054 |  |  |  | 5,890,460 |
|  |  |  |  |  |  |  |  |  |  | 10,043,393 |
Media — 13.1% |  |  |  |  |  |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25 |  |  |  |  |  |  | 660 |  |  |  | 644,474 |
USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26 |  |  |  |  |  |  | 1,759 |  |  |  | 1,717,617 |
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26 |  |  |  |  |  |  | 2,831 |  |  |  | 2,814,739 |
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25 |  |  |  |  |  |  | 3,589 |  |  |  | 3,573,309 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26 |  |  |  |  |  |  | 5,847 |  |  |  | 5,617,083 |
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 |  |  |  |  |  |  | 9,129 |  |  |  | 9,150,481 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25 |  |  |  |  |  |  | 588 |  |  |  | 578,371 |
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27 |  |  |  |  |  |  | 1,976 |  |  |  | 1,955,389 |
E.W. Scripps Co., 2020 Term Loan B3, 12/15/27(k) |  |  |  |  |  |  | 916 |  |  |  | 916,000 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 |  |  |  |  |  |  | 3,858 |  |  |  | 3,471,211 |
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26 |  |  |  |  |  |  | 1,488 |  |  |  | 1,492,032 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25 |  |  |  |  |  |  | 1,559 |  |  |  | 1,533,354 |
Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26 |  |  |  |  |  |  | 2,497 |  |  |  | 2,421,568 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24 |  |  |  |  |  |  | 4,241 |  |  |  | 4,179,079 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24 |  |  |  |  |  |  | 1,736 |  |  |  | 1,728,898 |
Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26 |  |  |  |  |  |  | 838 |  |  |  | 833,901 |

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26 |  |  | USD |  |  |  | 1,544 |  |  | $ | 1,532,161 |
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26 |  |  |  |  |  |  | 2,206 |  |  |  | 2,206,998 |
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26 |  |  |  |  |  |  | 3,008 |  |  |  | 3,007,479 |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b) |  |  |  |  |  |  | 4,338 |  |  |  | 4,305,590 |
UFC Holdings LLC, 2019 Term Loan, (6 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/29/26 |  |  |  |  |  |  | 1 |  |  |  | 694 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, 01/31/29(k) |  |  |  |  |  |  | 2,097 |  |  |  | 2,093,603 |
USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28 |  |  |  |  |  |  | 2,578 |  |  |  | 2,551,988 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25 |  |  |  |  |  |  | 3,155 |  |  |  | 2,897,699 |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27 |  |  |  |  |  |  | 9,474 |  |  |  | 9,402,607 |
|  |  |  |  |  |  |  |  |  |  | 70,626,325 |
Metals & Mining — 0.4% |
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25 |  |  |  |  |  |  | 2,050 |  |  |  | 2,008,065 |
Multi-line Retail — 0.2% |
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24 |  |  |  |  |  |  | 907 |  |  |  | 900,148 |
Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25 |  |  |  |  |  |  | 114 |  |  |  | 121,520 |
|  |  |  |  |  |  |  |  |  |  | 1,021,668 |
Oil, Gas & Consumable Fuels — 0.6% |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00% |  |  |  |  |  |  | 393 |  |  |  | 425,914 |
Chesapeake Energy Corp., 2019 Last Out Term Loan, 9.00%, 06/24/24(a)(d) |  |  |  |  |  |  | 315 |  |  |  | 261,781 |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25 |  |  |  |  |  |  | 1,722 |  |  |  | 1,684,192 |
EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |  |  |  |  |  |  | 720 |  |  |  | 710,208 |
McDermott Technology Americas, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, 06/30/24(b)(k) |  |  |  |  |  |  | 2 |  |  |  | 1,218 |
2020 Take Back Term Loan, 3.00%, 06/30/25 |  |  |  |  |  |  | 322 |  |  |  | 208,774 |
|  |  |  |  |  |  |  |  |  |  | 3,292,087 |
Paper & Forest Products — 0.7% |
Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27 |  |  |  |  |  |  | 3,629 |  |  |  | 3,643,681 |
Personal Products — 1.1% |  |  |  |  |  |  |  |  |
Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26 |  |  |  |  |  |  | 5,941 |  |  |  | 5,952,176 |

S C H E D U L E O F I N V E S T M E N T S |  | 31

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Pharmaceuticals — 3.2% |  |  |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25 |  |  | USD |  |  |  | 2,281 |  |  | $ | 2,219,136 |
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26 |  |  |  |  |  |  | 2,329 |  |  |  | 2,326,126 |
Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27 |  |  |  |  |  |  | 941 |  |  |  | 932,032 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27 |  |  |  |  |  |  | 1,885 |  |  |  | 1,867,438 |
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22 |  |  |  |  |  |  | 3,779 |  |  |  | 3,775,522 |
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25 |  |  |  |  |  |  | 6,228 |  |  |  | 6,200,204 |
|  |  |  |  |  |  |  |  |  |  | 17,320,458 |
Professional Services — 1.5% |  |  |  |  |  |  |  |  |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Add-On Term Loan, 02/06/26(k) |  |  |  |  |  |  | 915 |  |  |  | 914,616 |
Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26 |  |  |  |  |  |  | 5,991 |  |  |  | 5,988,338 |
STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27 |  |  |  |  |  |  | 1,447 |  |  |  | 1,421,412 |
|  |  |  |  |  |  |  |  |  |  | 8,324,366 |
Real Estate Management & Development — 0.6% |  |  |  |
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 |  |  |  |  |  |  | 1,836 |  |  |  | 1,807,339 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25 |  |  |  |  |  |  | 1,311 |  |  |  | 1,285,300 |
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 |  |  |  |  |  |  | 179 |  |  |  | 175,943 |
|  |  |  |  |  |  |  |  |  |  | 3,268,582 |
Road & Rail — 0.4% |  |  |  |  |  |  |  |  |
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 09/25/25 |  |  |  |  |  |  | 869 |  |  |  | 863,010 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25(b) |  |  |  |  |  |  | 1,401 |  |  |  | 1,278,430 |
|  |  |  |  |  |  |  |  |  |  | 2,141,440 |
Semiconductors & Semiconductor Equipment — 0.0% |
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/19/26 |  |  |  |  |  |  | — | (j) |  |  | 31 |
Software — 17.4% |  |  |  |  |  |  |  |  |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24 |  |  |  |  |  |  | 3,571 |  |  |  | 3,566,146 |
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25 |  |  |  |  |  |  | 764 |  |  |  | 767,113 |
Barracuda Networks, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 |  |  |  |  |  |  | 3,182 |  |  |  | 3,172,539 |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28 |  |  |  |  |  |  | 771 |  |  |  | 776,783 |

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25 |  |  | USD |  |  |  | 2,314 |  |  | $ | 2,301,551 |
By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26 |  |  |  |  |  |  | 2,007 |  |  |  | 1,997,306 |
Cloudera, Inc., Term Loan B, 12/17/27(k) |  |  |  |  |  |  | 531 |  |  |  | 529,673 |
Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27 |  |  |  |  |  |  | 1,006 |  |  |  | 1,008,954 |
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 |  |  |  |  |  |  | 1,346 |  |  |  | 1,340,797 |
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24 |  |  |  |  |  |  | 337 |  |  |  | 307,393 |
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23 |  |  |  |  |  |  | 1,078 |  |  |  | 960,603 |
Epicor Software Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 |  |  |  |  |  |  | 1,886 |  |  |  | 1,962,628 |
2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27 |  |  |  |  |  |  | 4,235 |  |  |  | 4,255,540 |
Financial & Risk US Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 EUR Term Loan, (EURIBOR + 3.25%), 3.25%, 10/01/25 |  |  | EUR |  |  |  | 951 |  |  |  | 1,159,785 |
2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25 |  |  | USD |  |  |  | 9,336 |  |  |  | 9,316,418 |
Informatica LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25 |  |  |  |  |  |  | 1,914 |  |  |  | 1,944,145 |
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27 |  |  |  |  |  |  | 7,823 |  |  |  | 7,749,654 |
McAfee LLC, 2018 USD Term Loan B, (1 mo. |  |  |  |  |  |  |  |  |  |  |  |
LIBOR + 3.75%), 3.90%, 09/30/24 |  |  |  |  |  |  | 3,126 |  |  |  | 3,123,865 |
MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26(b) |  |  |  |  |  |  | 770 |  |  |  | 777,771 |
Mitchell International, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24 |  |  |  |  |  |  | 2,493 |  |  |  | 2,444,967 |
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25 |  |  |  |  |  |  | 1,094 |  |  |  | 1,055,841 |
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 |  |  |  |  |  |  | 1,835 |  |  |  | 1,834,482 |
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |  |  |  |  |  |  | 1,307 |  |  |  | 1,304,007 |
Omnitracs, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%), 8.15%, 10/01/28 |  |  |  |  |  |  | 953 |  |  |  | 938,705 |
Planview Parent, Inc.(b)(k) |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 12/11/28 |  |  |  |  |  |  | 824 |  |  |  | 815,760 |
Delayed Draw Term Loan, 12/17/27 |  |  |  |  |  |  | 328 |  |  |  | 327,497 |
Term Loan, 12/17/27 |  |  |  |  |  |  | 1,405 |  |  |  | 1,401,685 |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, |  |  |  |  |  |  |  |  |  |  |  |
05/30/25 |  |  |  |  |  |  | 590 |  |  |  | 578,720 |
Sabre GLBL, Inc., 2020 Term Loan B, 12/17/27(k) |  |  |  |  |  |  | 987 |  |  |  | 988,234 |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25 |  |  |  |  |  |  | 3,331 |  |  |  | 3,285,244 |
Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23 |  |  |  |  |  |  | 3,160 |  |  |  | 3,132,510 |

32 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 |  |  | USD |  |  |  | 4,577 |  |  | $ | 4,580,250 |
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 385 |  |  |  | 379,450 |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 498 |  |  |  | 490,716 |
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 1,748 |  |  |  | 1,726,550 |
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 |  |  |  |  |  |  | 6,113 |  |  |  | 6,063,512 |
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28 |  |  |  |  |  |  | 3,674 |  |  |  | 3,704,422 |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27 |  |  |  |  |  |  | 1,767 |  |  |  | 1,813,384 |
2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26 |  |  |  |  |  |  | 4,577 |  |  |  | 4,596,804 |
Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26 |  |  |  |  |  |  | 5,158 |  |  |  | 5,149,691 |
|  |  |  |  |  |  |  |  |  |  | 93,631,095 |
Specialty Retail — 2.3% |  |  |  |  |  |  |  |  |
Belron Finance US LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25 |  |  |  |  |  |  | 2,008 |  |  |  | 2,003,000 |
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26 |  |  |  |  |  |  | 1,151 |  |  |  | 1,148,492 |
USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24 |  |  |  |  |  |  | 1,443 |  |  |  | 1,438,901 |
MED ParentCo LP |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26 |  |  |  |  |  |  | 376 |  |  |  | 369,619 |
1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26 |  |  |  |  |  |  | 1,500 |  |  |  | 1,473,944 |
PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22 |  |  |  |  |  |  | 2,934 |  |  |  | 2,926,199 |
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |  |  |  |  |  |  | 2,001 |  |  |  | 1,964,257 |
WOOF Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/16/27 |  |  |  |  |  |  | 491 |  |  |  | 489,979 |
2nd Lien Term Loan, 12/11/28(k) |  |  |  |  |  |  | 495 |  |  |  | 496,237 |
|  |  |  |  |  |  |  |  |  |  | 12,310,628 |
Technology Hardware, Storage & Peripherals — 0.4% |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26 |  |  |  |  |  |  | 1,612 |  |  |  | 1,370,743 |
Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23 |  |  |  |  |  |  | 841 |  |  |  | 838,575 |
|  |  |  |  |  |  |  |  |  |  | 2,209,318 |

Security |  |  |  |  | Par (000) |  |  | Value |
Thrifts & Mortgage Finance — 0.5% |
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25 |  |  | USD |  |  |  | 2,938 |  |  | $ | 2,928,635 |
Wireless Telecommunication Services — 1.2% |  |  |  |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25 |  |  |  |  |  |  | 3,370 |  |  |  | 3,328,577 |
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27 |  |  |  |  |  |  | 3,200 |  |  |  | 3,201,329 |
|  |  |  |  |  |  |  |  |  |  | 6,529,906 |
Total Floating Rate Loan Interests — 120.1% (Cost: $646,756,787) |  |  | 646,309,001 |
|  |  |  |  |  |  | Shares |  |  |  |  |
Investment Companies |  |  |  |  |  |  |  |  |
Equity Funds — 0.1% |  |  |  |  |  |  |  |  |
SPDR S&P Oil & Gas Exploration & Production ETF |  |  |  |  |  |  | 4,875 |  |  |  | 285,188 |
Fixed Income Funds — 2.2% |  |  |  |  |  |  |  |  |
Invesco Senior Loan ETF |  |  |  |  |  |  | 45,000 |  |  |  | 1,002,600 |
iShares iBoxx $ High Yield Corporate Bond ETF(l) |  |  |  |  |  |  | 62,000 |  |  |  | 5,412,600 |
iShares iBoxx $ Investment Grade Corporate Bond ETF(l) |  |  |  |  |  |  | 39,000 |  |  |  | 5,387,070 |
|  |  |  |  |  |  |  |  |  |  | 11,802,270 |
Total Investment Companies — 2.3% (Cost: $11,521,724) |  |  | 12,087,458 |

|  |  |  |  |  |  | Benefical Interest (000) |  |  |  |  |
Other Interests(m) |  |  |  |  |  |  |  |  |
IT Services(a)(b) — 0.0% |  |  |  |  |  |  |  |  |
Millennium Corp. |  |  | USD |  |  |  | 1,156 |  |  |  | — |
Millennium Lender Claims |  |  |  |  |  |  | 1,084 |  |  |  | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  | — |
|  |  |  |  |  |  | Par (000) |  |  |  |  |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts — 1.1%(e) |  |  |  |  |  |  |  |  |  |  |  |
Automobiles — 0.0% |  |  |  |  |  |  |  |  |
General Motors Financial Co., Inc., Series C, 5.70%(g) |  |  | USD |  |  |  | 50 |  |  |  | 55,125 |
Banks — 0.1% |  |  |  |  |  |  |  |  |
Bankia SA, 6.38% |  |  | EUR |  |  |  | 200 |  |  |  | 261,739 |
Wells Fargo & Co., Series U, 5.88%(g) |  |  | USD |  |  |  | 475 |  |  |  | 538,531 |
|  |  |  |  |  |  |  |  |  |  | 800,270 |
Diversified Financial Services(g) — 0.9% |
Bank of America Corp. |  |  |  |  |  |  |  |  |  |  |  |
Series AA, 6.10% |  |  |  |  |  |  | 657 |  |  |  | 744,414 |
Series DD, 6.30% |  |  |  |  |  |  | 55 |  |  |  | 64,212 |

S C H E D U L E O F I N V E S T M E N T S |  | 33

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

|  |  |  |  | Par |  |  |  |
Security |  |  |  |  | (000) |  |  | Value |
Diversified Financial Services (continued) |
Bank of America Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
Series X, 6.25% |  |  | USD |  |  |  | 350 |  |  | $ | 388,347 |
Series Z, 6.50% |  |  |  |  |  |  | 232 |  |  |  | 265,060 |
BNP Paribas SA, 4.50%(c) |  |  |  |  |  |  | 200 |  |  |  | 202,106 |
Citigroup, Inc., Series Q, 4.32% |  |  |  |  |  |  | 161 |  |  |  | 160,195 |
HSBC Holdings PLC, 6.00% |  |  |  |  |  |  | 600 |  |  |  | 653,250 |
JPMorgan Chase & Co. |  |  |  |  |  |  |  |  |  |  |  |
Series FF, 5.00% |  |  |  |  |  |  | 765 |  |  |  | 804,803 |
Series HH, 4.60% |  |  |  |  |  |  | 166 |  |  |  | 171,395 |
Series I, 3.68% |  |  |  |  |  |  | 107 |  |  |  | 106,781 |
Series V, 3.56% |  |  |  |  |  |  | 799 |  |  |  | 784,970 |
Morgan Stanley, Series H, 3.85% |  |  |  |  |  |  | 403 |  |  |  | 400,098 |
Natwest Group PLC, 8.63% |  |  |  |  |  |  | 246 |  |  |  | 255,326 |
|  |  |  |  |  |  |  |  |  |  | 5,000,957 |
Utilities — 0.1% |
Electricite de France SA, 3.38% |  |  | EUR |  |  |  | 200 |  |  |  | 265,953 |
Total Capital Trusts — 1.1% |  |  | 6,122,305 |
|  |  |  |  | Shares |  |  |  |
Preferred Stocks — 0.1% |
Capital Markets — 0.1% |
Goldman Sachs Group, Inc., Series J, 5.50%(e)(g) |  |  |  |  |  |  | 13,550 |  |  |  | 370,322 |
Insurance — 0.0% |
Alliant Holdings, Inc.(b) |  |  |  |  |  |  | 83 |  |  |  | 81,671 |
Total Preferred Stocks — 0.1% |  |  | 451,993 |
Total Preferred Securities — 1.2% (Cost: $6,217,702) |  |  | 6,574,298 |
Warrants |
Metals & Mining — 0.0% |
AFGlobal Corp. (Expires 06/08/22)(a)(b) |  |  |  |  |  |  | 5,283 |  |  |  | — |

Security |  | Shares |  |  | Value |
Oil, Gas & Consumable Fuels(a) — 0.0% |
California Resources Corp. (Expires 10/27/24) |  |  | 1,152 |  |  | $ | 4,608 |
SM Energy Co. (Expires 06/30/23) |  |  | 11,411 |  |  |  | 69,721 |
|  |  |  |  |  |  | 74,329 |
Transportation Infrastructure — 0.0% |  |  |  |  |  |  |  |
Turbo Cayman Ltd. (Strike Price $0.01)(a)(b) |  |  | 1 |  |  |  | — |
Total Warrants — 0.0% (Cost: $48,949) |  |  |  |  |  |  | 74,329 |
Total Investments — 146.6% (Cost: $805,944,407) |  |  |  |  |  |  | 788,550,136 |
Liabilities in Excess of Other Assets — (46.6)% |  |  |  |  |  |  | (250,591,533 | )
Net Assets — 100.0% |  |  |  |  |  | $ | 537,958,603 |

(a) | Non-income producing security.

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

(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) | Issuer filed for bankruptcy and/or is in default.

(e) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(f) | 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.

(g) | Perpetual security with no stated maturity date.

(h) | Convertible security.

(i) | When-issued security.

(j) | Amount is less than 500.

(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) | Affiliate of the Fund.

(m) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

Affiliated Issuer |  |  | Value at 12/31/19 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 12/31/20 |  |  | Shares Held at 12/31/20 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) |  |  | $ | — |  |  | $ | — | (b) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | — |  |  | $ | 9,026 |  |  | $ | — |
iShares iBoxx $ High Yield Corporate Bond ETF |  |  |  | — |  |  |  | 12,869,137 |  |  |  | (7,884,095 | ) |  |  | 65,135 |  |  |  | 362,423 |  |  |  | 5,412,600 |  |  |  | 62,000 |  |  |  | 250,859 |  |  |  | — |
iShares iBoxx $ Investment Grade Corporate Bond ETF |  |  |  | — |  |  |  | 5,057,376 |  |  |  | — |  |  |  | — |  |  |  | 329,694 |  |  |  | 5,387,070 |  |  |  | 39,000 |  |  |  | 101,485 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 65,135 |  |  | $ | 692,117 |  |  | $ | 10,799,670 |  |  |  |  |  |  | $ | 361,370 |  |  | $ | — |

| (a) | As of period end, the entity is no longer held. |

| (b) | Represents net amount purchased (sold). |

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

34 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 1,772,653 |  |  | EUR |  |  | 1,448,500 |  |  | BNP Paribas S.A. |  |  | 02/03/21 |  |  | $ | 1,855 |
USD |  |  | 1,761,012 |  |  | EUR |  |  | 1,438,000 |  |  | UBS AG |  |  | 02/03/21 |  |  |  | 3,050 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4,905 |
EUR |  |  | 1,448,500 |  |  | USD |  |  | 1,771,490 |  |  | BNP Paribas S.A. |  |  | 01/06/21 |  |  |  | (1,878 | )
EUR |  |  | 1,438,000 |  |  | USD |  |  | 1,759,824 |  |  | UBS AG |  |  | 01/06/21 |  |  |  | (3,040 | )
USD |  |  | 1,829,998 |  |  | EUR |  |  | 1,524,500 |  |  | Barclays Bank PLC |  |  | 01/06/21 |  |  |  | (32,462 | )
USD |  |  | 1,722,246 |  |  | EUR |  |  | 1,444,500 |  |  | Goldman Sachs International |  |  | 01/06/21 |  |  |  | (42,480 | )
USD |  |  | 1,817,628 |  |  | EUR |  |  | 1,524,500 |  |  | Goldman Sachs International |  |  | 01/06/21 |  |  |  | (44,832 | )
USD |  |  | 1,729,927 |  |  | EUR |  |  | 1,444,500 |  |  | UBS AG |  |  | 01/06/21 |  |  |  | (34,798 | )
USD |  |  | 69,495 |  |  | GBP |  |  | 52,000 |  |  | BNP Paribas S.A. |  |  | 01/06/21 |  |  |  | (1,616 | )
USD |  |  | 1,969,229 |  |  | GBP |  |  | 1,474,000 |  |  | Standard Chartered Bank |  |  | 01/06/21 |  |  |  | (46,491 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (207,597 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (202,692 | )

OTC Credit Default Swaps — Sell Protection

Reference Obligation/Index |  | Financing Rate Received by the Fund |  |  | Payment Frequency |  |  | Counterparty |  |  | Termination Date |  |  | Credit Rating(a) |  | Notional Amount (000)(b) |  |  | Value |  |  | Upfront Premium Paid (Received) |  |  | Unrealized Appreciation (Depreciation) |
CenturyLink, Inc. |  |  | 1.00 | % |  |  | Quarterly |  |  |  | Barclays Bank PLC |  |  |  | 12/20/23 |  |  | NR |  |  | USD |  |  |  | 170 |  |  | $ | (4,058 | ) |  | $ | (7,977 | ) |  | $ | 3,919 |
CenturyLink, Inc. |  |  | 1.00 |  |  |  | Quarterly |  |  |  | Barclays Bank PLC |  |  |  | 06/20/25 |  |  | NR |  |  | USD |  |  |  | 185 |  |  |  | (13,085 | ) |  |  | (22,685) |  |  |  | 9,600 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (17,143 | ) |  | $ | (30,662 | ) |  | $ | 13,519 |

| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |

| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |

Balances Reported in the Statements of Assets and Liabilities for OTC Swaps

Description |  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |
OTC Swaps |  | $ | — |  |  | $ | (30,662 | ) |  | $ | 13,519 |  |  | $ | — |

S C H E D U L E O F I N V E S T M E N T S |  | 35

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Derivative Financial Instruments Categorized by Risk Exposure

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

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,905 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,905 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | 13,519 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 13,519 |
|  | $ | — |  |  | $ | 13,519 |  |  | $ | — |  |  | $ | 4,905 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,424 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 207,597 |  |  | $ | — |  |  | $ | — |  |  | $ | 207,597 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  |  | 30,662 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 30,662 |
|  | $ | — |  |  | $ | 30,662 |  |  | $ | — |  |  | $ | 207,597 |  |  | $ | — |  |  | $ | — |  |  | $ | 238,259 |

For the year ended December 31, 2020, 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 |  | $ | — |  |  | $ | — |  |  | $ | (4,448 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (4,448 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (601,720 | ) |  |  | — |  |  |  | — |  |  |  | (601,720 | )
Options purchased(a) |  |  | — |  |  |  | — |  |  |  | (105,819 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (105,819 | )
Swaps |  |  | — |  |  |  | (596,967 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (596,967 | )
|  | $ | — |  |  | $ | (596,967) |  |  | $ | (110,267 | ) |  | $ | (601,720 | ) |  | $ | — |  |  | $ | — |  |  | $ | (1,308,954 | )
Net Change in Unrealized Appreciation (Depreciation) on |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | 228 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 228 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (3,005 | ) |  |  | — |  |  |  | — |  |  |  | (3,005 | )
Options purchased(b) |  |  | — |  |  |  | — |  |  |  | (75,874 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (75,874 | )
Swaps |  |  | — |  |  |  | 242,007 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 242,007 |
|  | $ | — |  |  | $ | 242,007 |  |  | $ | (75,646 | ) |  | $ | (3,005 | ) |  | $ | — |  |  | $ | — |  |  | $ | 163,356 |

| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |

| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts |  |  |  |
Average notional value of contracts — long |  | $ | — | (a)
Forward foreign currency exchange contracts |  |  |  |
Average amounts purchased — in USD |  | $ | 17,582,815 |
Average amounts sold — in USD |  | $ | 7,985,596 |
Options |  |  |  |
Average value of option contracts purchased |  | $ | — | (a)
Credit default swaps |  |  |  |
Average notional value — buy protection |  | $ | 25,124 |
Average notional value — sell protection |  | $ | 652,469 |

| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |

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

36 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Derivative Financial Instruments — Offsetting as of Period End

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

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | 4,905 |  |  | $ | 207,597 |
Swaps — OTC(a) |  |  | 13,519 |  |  |  | 30,662 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 18,424 |  |  |  | 238,259 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | — |
Total derivative assets and liabilities subject to an MNA |  | $ | 18,424 |  |  | $ | 238,259 |

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

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

Counterparty |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Net Amount of Derivative Assets |
Barclays Bank PLC |  | $ | 13,519 |  |  | $ | (13,519) |  |  | $ | — |  |  | $ | — |  |  | $ | — |
BNP Paribas S.A |  |  | 1,855 |  |  |  | (1,855) |  |  |  | — |  |  |  | — |  |  |  | — |
UBS AG |  |  | 3,050 |  |  |  | (3,050) |  |  |  | — |  |  |  | — |  |  |  | — |
|  | $ | 18,424 |  |  | $ | (18,424) |  |  | $ | — |  |  | $ | — |  |  | $ | — |
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 | (b)
Barclays Bank PLC |  | $ | 63,124 |  |  | $ | (13,519) |  |  | $ | — |  |  | $ | (30,000) |  |  | $ | 19,605 |
BNP Paribas S.A |  |  | 3,494 |  |  |  | (1,855) |  |  |  | — |  |  |  | — |  |  |  | 1,639 |
Goldman Sachs International |  |  | 87,312 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 87,312 |
Standard Chartered Bank |  |  | 46,491 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 46,491 |
UBS AG |  |  | 37,838 |  |  |  | (3,050) |  |  |  | — |  |  |  | — |  |  |  | 34,788 |
|  | $ | 238,259 |  |  | $ | (18,424) |  |  | $ | — |  |  | $ | (30,000 | ) |  | $ | 189,835 |

| (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 payable due to counterparty in the event of default. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  | $ | 114,601 |  |  | $ | — |  |  | $ | — |  |  | $ | 114,601 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 10,753 |  |  |  | 10,753 |
Energy Equipment & Services |  |  | — |  |  |  | — |  |  |  | 31,416 |  |  |  | 31,416 |
Health Care Management Services |  |  | — |  |  |  | 11 |  |  |  | — |  |  |  | 11 |
Metals & Mining |  |  | — |  |  |  | 29,120 |  |  |  | 21,864 |  |  |  | 50,984 |
Oil, Gas & Consumable Fuels |  |  | 55,106 |  |  |  | — |  |  |  | — |  |  |  | 55,106 |
Semiconductors & Semiconductor Equipment |  |  | 49,811 |  |  |  | — |  |  |  | — |  |  |  | 49,811 |

S C H E D U L E O F I N V E S T M E N T S |  | 37

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Common Stocks (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Software |  | $ | 766 |  |  | $ | — |  |  | $ | — |  |  | $ | 766 |
Specialty Retail |  |  | — |  |  |  | 95,414 |  |  |  | — |  |  |  | 95,414 |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense |  |  | — |  |  |  | 3,570,948 |  |  |  | — |  |  |  | 3,570,948 |
Airlines |  |  | — |  |  |  | 9,011,624 |  |  |  | — |  |  |  | 9,011,624 |
Auto Components |  |  | — |  |  |  | 2,060,260 |  |  |  | 1 |  |  |  | 2,060,261 |
Automobiles |  |  | — |  |  |  | 4,340,318 |  |  |  | — |  |  |  | 4,340,318 |
Banks |  |  | — |  |  |  | 212,038 |  |  |  | — |  |  |  | 212,038 |
Beverages |  |  | — |  |  |  | 1,705,921 |  |  |  | — |  |  |  | 1,705,921 |
Biotechnology |  |  | — |  |  |  | 25,888 |  |  |  | — |  |  |  | 25,888 |
Building Materials |  |  | — |  |  |  | 2,728,877 |  |  |  | — |  |  |  | 2,728,877 |
Building Products |  |  | — |  |  |  | 793,070 |  |  |  | — |  |  |  | 793,070 |
Capital Markets |  |  | — |  |  |  | 1,059,675 |  |  |  | — |  |  |  | 1,059,675 |
Chemicals |  |  | — |  |  |  | 2,987,317 |  |  |  | — |  |  |  | 2,987,317 |
Commercial Services & Supplies |  |  | — |  |  |  | 735,531 |  |  |  | — |  |  |  | 735,531 |
Communications Equipment |  |  | — |  |  |  | 702,580 |  |  |  | — |  |  |  | 702,580 |
Construction & Engineering |  |  | — |  |  |  | 87,627 |  |  |  | — |  |  |  | 87,627 |
Construction Materials |  |  | — |  |  |  | 1,935,674 |  |  |  | — |  |  |  | 1,935,674 |
Consumer Discretionary |  |  | — |  |  |  | 772,398 |  |  |  | — |  |  |  | 772,398 |
Consumer Finance |  |  | — |  |  |  | 3,402,275 |  |  |  | — |  |  |  | 3,402,275 |
Containers & Packaging |  |  | — |  |  |  | 413,599 |  |  |  | — |  |  |  | 413,599 |
Diversified Consumer Services |  |  | — |  |  |  | 1,699,202 |  |  |  | — |  |  |  | 1,699,202 |
Diversified Financial Services |  |  | — |  |  |  | 479,023 |  |  |  | — |  |  |  | 479,023 |
Diversified Telecommunication Services |  |  | — |  |  |  | 6,198,765 |  |  |  | — |  |  |  | 6,198,765 |
Electric Utilities |  |  | — |  |  |  | 777,217 |  |  |  | — |  |  |  | 777,217 |
Electrical Equipment |  |  | — |  |  |  | 350,045 |  |  |  | 1 |  |  |  | 350,046 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 466,084 |  |  |  | — |  |  |  | 466,084 |
Energy Equipment & Services |  |  | — |  |  |  | 866,771 |  |  |  | 387,811 |  |  |  | 1,254,582 |
Environmental, Maintenance, & Security Service |  |  | — |  |  |  | 566,268 |  |  |  | — |  |  |  | 566,268 |
Equity Real Estate Investment Trusts (REITs) |  |  | — |  |  |  | 2,792,396 |  |  |  | — |  |  |  | 2,792,396 |
Food & Staples Retailing |  |  | — |  |  |  | 2,257,341 |  |  |  | — |  |  |  | 2,257,341 |
Food Products |  |  | — |  |  |  | 861,303 |  |  |  | — |  |  |  | 861,303 |
Gas Utilities |  |  | — |  |  |  | 28,744 |  |  |  | — |  |  |  | 28,744 |
Health Care Equipment & Supplies |  |  | — |  |  |  | 795,200 |  |  |  | — |  |  |  | 795,200 |
Health Care Providers & Services |  |  | — |  |  |  | 4,393,303 |  |  |  | — |  |  |  | 4,393,303 |
Health Care Technology |  |  | — |  |  |  | 799,816 |  |  |  | — |  |  |  | 799,816 |
Healthcare |  |  | — |  |  |  | 17,850 |  |  |  | — |  |  |  | 17,850 |
Hotels, Restaurants & Leisure |  |  | — |  |  |  | 5,784,363 |  |  |  | — |  |  |  | 5,784,363 |
Household Durables |  |  | — |  |  |  | 999,551 |  |  |  | — |  |  |  | 999,551 |
Household Products |  |  | — |  |  |  | 25,037 |  |  |  | — |  |  |  | 25,037 |
Independent Power and Renewable Electricity Producers |  |  | — |  |  |  | 1,053,614 |  |  |  | — |  |  |  | 1,053,614 |
Insurance |  |  | — |  |  |  | 1,884,240 |  |  |  | — |  |  |  | 1,884,240 |
Interactive Media & Services |  |  | — |  |  |  | 515,007 |  |  |  | — |  |  |  | 515,007 |
Internet Software & Services |  |  | — |  |  |  | 1,935,480 |  |  |  | — |  |  |  | 1,935,480 |
IT Services |  |  | — |  |  |  | 3,515,033 |  |  |  | — |  |  |  | 3,515,033 |
Leisure Products |  |  | — |  |  |  | 216,616 |  |  |  | — |  |  |  | 216,616 |
Machinery |  |  | — |  |  |  | 1,453,149 |  |  |  | — |  |  |  | 1,453,149 |
Media |  |  | — |  |  |  | 12,149,869 |  |  |  | — |  |  |  | 12,149,869 |
Metals & Mining |  |  | — |  |  |  | 3,179,207 |  |  |  | — |  |  |  | 3,179,207 |
Multi-line Retail |  |  | — |  |  |  | 279,452 |  |  |  | — |  |  |  | 279,452 |
Oil, Gas & Consumable Fuels |  |  | — |  |  |  | 15,977,021 |  |  |  | — |  |  |  | 15,977,021 |
Personal Products |  |  | — |  |  |  | 44,063 |  |  |  | — |  |  |  | 44,063 |
Pharmaceuticals |  |  | — |  |  |  | 2,131,509 |  |  |  | — |  |  |  | 2,131,509 |
Real Estate Management & Development |  |  | — |  |  |  | 1,515,580 |  |  |  | — |  |  |  | 1,515,580 |
Semiconductors & Semiconductor Equipment |  |  | 122,014 |  |  |  | 1,794,628 |  |  |  | — |  |  |  | 1,916,642 |
Software |  |  | — |  |  |  | 3,991,537 |  |  |  | — |  |  |  | 3,991,537 |
Specialty Retail |  |  | — |  |  |  | 553,079 |  |  |  | — |  |  |  | 553,079 |
Technology Hardware, Storage & Peripherals |  |  | — |  |  |  | 31,987 |  |  |  | — |  |  |  | 31,987 |
Textiles, Apparel & Luxury Goods |  |  | — |  |  |  | 102,807 |  |  |  | — |  |  |  | 102,807 |
Thrifts & Mortgage Finance |  |  | — |  |  |  | 481,172 |  |  |  | — |  |  |  | 481,172 |
Utilities |  |  | — |  |  |  | 105,300 |  |  |  | — |  |  |  | 105,300 |
Wireless Telecommunication Services |  |  | — |  |  |  | 2,972,112 |  |  |  | — |  |  |  | 2,972,112 |
Floating Rate Loan Interests |  |  | — |  |  |  | 615,557,131 |  |  |  | 30,751,870 |  |  |  | 646,309,001 |

38 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Investment Companies |  | $ | 12,087,458 |  |  | $ | — |  |  | $ | — |  |  | $ | 12,087,458 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts |  |  | — |  |  |  | 6,122,305 |  |  |  | — |  |  |  | 6,122,305 |
Preferred Stocks |  |  | 370,322 |  |  |  | — |  |  |  | 81,671 |  |  |  | 451,993 |
Warrants |  |  | — |  |  |  | 74,329 |  |  |  | — |  |  |  | 74,329 |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | (400 | ) |  |  | — |  |  |  | (400 | )
|  | $ | 12,800,078 |  |  | $ | 744,464,271 |  |  | $ | 31,285,387 |  |  | $ | 788,549,736 |
Derivative Financial Instruments(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  | $ | — |  |  | $ | 13,519 |  |  | $ | — |  |  | $ | 13,519 |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | 4,905 |  |  |  | — |  |  |  | 4,905 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | (207,597 | ) |  |  | — |  |  |  | (207,597 | )
|  | $ | — |  |  | $ | (189,173 | ) |  | $ | — |  |  | $ | (189,173 | )

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

| (b) | Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $229,000,000 are categorized as Level 2 within the disclosure hierarchy.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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:

|  | Common Stocks |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Preferred Stocks |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2019 |  | $ | 763,992 |  |  | $ | 2 |  |  | $ | 30,343,623 |  |  | $ | — | (a) |  | $ | — |  |  | $ | 31,107,617 |
Transfers into Level 3(b) |  |  | — |  |  |  | — |  |  |  | 1,119,073 |  |  |  | — |  |  |  | — |  |  |  | 1,119,073 |
Transfers out of Level 3(c) |  |  | — |  |  |  | — |  |  |  | (11,168,515 | ) |  |  | — |  |  |  | — |  |  |  | (11,168,515 | )
Accrued discounts/premiums |  |  | — |  |  |  | 12,440 |  |  |  | 112,812 |  |  |  | — |  |  |  | — |  |  |  | 125,252 |
Net realized gain (loss) |  |  | 5,833 |  |  |  | 1,038 |  |  |  | (790,988 | ) |  |  | — |  |  |  | — |  |  |  | (784,117 | )
Net change in unrealized appreciation (depreciation)(d)(e) |  |  | (710,744 | ) |  |  | (15,286 | ) |  |  | 669,690 |  |  |  | — |  |  |  | (84 | ) |  |  | (56,424 | )
Purchases |  |  | 10,784 |  |  |  | 400,885 |  |  |  | 23,920,343 |  |  |  | — |  |  |  | 81,755 |  |  |  | 24,413,767 |
Sales |  |  | (5,832 | ) |  |  | (11,266 | ) |  |  | (13,454,168 | ) |  |  | — |  |  |  | — |  |  |  | (13,471,266 | )
Closing balance, as of December 31, 2020 |  | $ | 64,033 |  |  | $ | 387,813 |  |  | $ | 30,751,870 |  |  | $ | — | (a) |  | $ | 81,671 |  |  | $ | 31,285,387 |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(e) |  | $ | (710,740 | ) |  | $ | (15,286 | ) |  | $ | 645,294 |  |  | $ | — |  |  | $ | (84 | ) |  | $ | (80,816 | )

| (a) | Rounds to less than $1. |

| (b) | As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |

| (c) | As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |

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

| (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |

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

See notes to financial statements.

S C H E D U L E O F I N V E S T M E N T S |  | 39

Schedule of Investments December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  | Shares |  |  | Value |
Common Stocks |
Construction & Engineering — 0.0% |
McDermott International Ltd.(a) |  |  |  |  |  |  | 123,933 |  |  | $ | 100,386 |
Diversified Financial Services — 0.0% |
Kcad Holdings I Ltd.(a)(b) |  |  |  |  |  |  | 309,827,230 |  |  |  | 3,098 |
Energy Equipment & Services — 0.0% |
Pioneer Energy Services Corp.(a)(b) |  |  |  |  |  |  | 887 |  |  |  | 34,445 |
Health Care Management Services — 0.0% |
New Millennium HoldCo, Inc.(a) |  |  |  |  |  |  | 14,906 |  |  |  | 15 |
Media — 0.1% |
Clear Channel Outdoor Holdings, Inc.(a) |  |  |  |  |  |  | 114,650 |  |  |  | 189,172 |
Metals & Mining — 0.0% |
Preferred Proppants LLC(a)(b) |  |  |  |  |  |  | 12,198 |  |  |  | 18,297 |
Oil, Gas & Consumable Fuels — 0.0% |
California Resources Corp.(a) |  |  |  |  |  |  | 2,027 |  |  |  | 47,817 |
Semiconductors & Semiconductor Equipment(a) — 0.0% |
Maxeon Solar Technologies Ltd. |  |  |  |  |  |  | 232 |  |  |  | 6,582 |
SunPower Corp. |  |  |  |  |  |  | 1,860 |  |  |  | 47,690 |
|  |  |  |  |  |  |  |  |  |  | 54,272 |
Software — 0.0% |
Avaya Holdings Corp.(a) |  |  |  |  |  |  | 66 |  |  |  | 1,264 |
Specialty Retail — 0.1% |
NMG Parent LLC(a) |  |  |  |  |  |  | 3,613 |  |  |  | 233,400 |
Total Common Stocks — 0.2% |
(Cost: $8,108,650) |  |  |  |  |  |  |  |  |  |  | 682,166 |
|  |  |  |  | Par (000) |  |  |  |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense — 0.1% |
TransDigm, Inc., 8.00%, 12/15/25(c) |  |  | USD |  |  |  | 318 |  |  |  | 351,485 |
Airlines — 1.9% |
Allegiant Travel Co., 8.50%, 02/05/24(c) |  |  |  |  |  |  | 1,195 |  |  |  | 1,278,650 |
American Airlines, Inc., 11.75%, 07/15/25(c) |  |  |  |  |  |  | 2,362 |  |  |  | 2,723,976 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual |  |  |  |  |  |  |  |  |  |  |  |
Property Assets Ltd., 6.50%, 06/20/27(c) |  |  |  |  |  |  | 2,453 |  |  |  | 2,636,975 |
United Airlines Pass-Through Trust, Series 2016-1, Class A, 5.88%, 10/15/27 |  |  |  |  |  |  | 2,394 |  |  |  | 2,586,029 |
|  |  |  |  |  |  |  |  |  |  | 9,225,630 |
Auto Components — 0.1% |
Clarios Global LP, 6.75%, 05/15/25(c) |  |  |  |  |  |  | 496 |  |  |  | 534,440 |
Automobiles — 1.0% |
AutoNation, Inc., 4.75%, 06/01/30 |  |  |  |  |  |  | 141 |  |  |  | 169,670 |
Ford Motor Co., 8.50%, 04/21/23 |  |  |  |  |  |  | 2,029 |  |  |  | 2,283,660 |
Ford Motor Credit Co. LLC, 5.13%, 06/16/25 |  |  |  |  |  |  | 209 |  |  |  | 227,246 |
General Motors Co., 6.13%, 10/01/25 |  |  |  |  |  |  | 661 |  |  |  | 801,772 |

Security |  |  |  |  | Par (000) |  |  | Value |
Automobiles (continued) |
General Motors Financial Co., Inc., 2.75%, 06/20/25 |  |  | USD |  |  |  | 925 |  |  | $ | 989,106 |
Group 1 Automotive, Inc., 4.00%, 08/15/28(c) |  |  |  |  |  |  | 170 |  |  |  | 175,233 |
|  |  |  |  |  |  |  |  |  |  | 4,646,687 |
Building Materials(c) — 0.4% |
SRM Escrow Issuer LLC, 6.00%, 11/01/28 |  |  |  |  |  |  | 1,839 |  |  |  | 1,922,040 |
Summit Materials LLC/Summit Materials Finance |  |  |  |  |  |  |  |  |  |  |  |
Corp., 5.25%, 01/15/29 |  |  |  |  |  |  | 118 |  |  |  | 123,900 |
|  |  |  |  |  |  |  |  |  |  | 2,045,940 |
Chemicals — 0.0% |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 07/01/28(c) |  |  |  |  |  |  | 51 |  |  |  | 56,100 |
Construction Materials(c) — 0.3% |
Core & Main LP, 6.13%, 08/15/25 |  |  |  |  |  |  | 227 |  |  |  | 234,661 |
Wolverine Escrow LLC, 9.00%, 11/15/26 |  |  |  |  |  |  | 1,555 |  |  |  | 1,471,885 |
|  |  |  |  |  |  |  |  |  |  | 1,706,546 |
Consumer Finance — 0.1% |
PayPal Holdings, Inc., 1.65%, 06/01/25 |  |  |  |  |  |  | 424 |  |  |  | 442,987 |
Containers & Packaging — 0.0% |
Graham Packaging Co., Inc., 7.13%, 08/15/28(c) |  |  |  |  |  |  | 117 |  |  |  | 129,285 |
Diversified Telecommunication Services(c) — 0.5% |
Zayo Group Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  |  |  |  |  |  | 1,969 |  |  |  | 1,973,922 |
6.13%, 03/01/28 |  |  |  |  |  |  | 281 |  |  |  | 297,158 |
|  |  |  |  |  |  |  |  |  |  | 2,271,080 |
Electric Utilities — 0.0% |
Pike Corp., 5.50%, 09/01/28(c) |  |  |  |  |  |  | 144 |  |  |  | 152,100 |
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(a)(b)(d) 11.50%, 10/01/20(c) |  |  |  |  |  |  | 1,061 |  |  |  | — |
Term Loan, 1.00%, 11/10/21 |  |  |  |  |  |  | 1,710 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 152,100 |
Energy Equipment & Services(b)(c)(e) — 0.1% |
Pioneer Energy Services Corp. |  |  |  |  |  |  |  |  |  |  |  |
(11.00% Cash), 11.00%, 05/15/25 |  |  |  |  |  |  | 360 |  |  |  | 288,458 |
(5.00% PIK), 5.00%, 11/15/25(f) |  |  |  |  |  |  | 254 |  |  |  | 137,120 |
|  |  |  |  |  |  |  |  |  |  | 425,578 |
Equity Real Estate Investment Trusts (REITs) — 0.0% |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%, 06/15/25(c) |  |  |  |  |  |  | 138 |  |  |  | 147,798 |
Hotels, Restaurants & Leisure — 0.1% |
Marriott International, Inc., Series EE, 5.75%, 05/01/25 |  |  |  |  |  |  | 376 |  |  |  | 439,808 |
Internet Software & Services(c) — 0.3% |
Expedia Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.60%, 12/15/23 |  |  |  |  |  |  | 462 |  |  |  | 492,356 |
6.25%, 05/01/25 |  |  |  |  |  |  | 767 |  |  |  | 889,030 |
TripAdvisor, Inc., 7.00%, 07/15/25 |  |  |  |  |  |  | 87 |  |  |  | 93,960 |
Uber Technologies, Inc., 6.25%, 01/15/28 |  |  |  |  |  |  | 222 |  |  |  | 241,425 |
|  |  |  |  |  |  |  |  |  |  | 1,716,771 |

40 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
IT Services — 0.5% |
Castle U.S. Holding Corp., 9.50%, 02/15/28(c) |  |  | USD |  |  |  | 647 |  |  | $ | 647,000 |
Fiserv, Inc., 2.25%, 06/01/27 |  |  |  |  |  |  | 1,575 |  |  |  | 1,678,551 |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(c) |  |  |  |  |  |  | 76 |  |  |  | 80,750 |
|  |  |  |  |  |  |  |  |  |  | 2,406,301 |
Machinery(c) — 0.2% |
Clark Equipment Co., 5.88%, 06/01/25 |  |  |  |  |  |  | 119 |  |  |  | 125,545 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(e) |  |  |  |  |  |  | 905 |  |  |  | 984,188 |
|  |  |  |  |  |  |  |  |  |  | 1,109,733 |
Media(c) — 0.5% |
Liberty Broadband Corp., 2.75%, 09/30/50(f) |  |  |  |  |  |  | 513 |  |  |  | 548,788 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(e) |  |  |  |  |  |  | 179 |  |  |  | 173,630 |
Radiate Holdco LLC/Radiate Finance, Inc. 4.50%, 09/15/26 |  |  |  |  |  |  | 573 |  |  |  | 590,906 |
6.50%, 09/15/28 |  |  |  |  |  |  | 787 |  |  |  | 829,301 |
Univision Communications, Inc., 6.63%, 06/01/27 |  |  |  |  |  |  | 227 |  |  |  | 243,810 |
|  |  |  |  |  |  |  |  |  |  | 2,386,435 |
Oil, Gas & Consumable Fuels — 0.1% |
eG Global Finance PLC, 8.50%, 10/30/25(c) |  |  |  |  |  |  | 284 |  |  |  | 301,987 |
Real Estate Management & Development(c) — 0.2% |
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28 |  |  |  |  |  |  | 834 |  |  |  | 919,485 |
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25 |  |  |  |  |  |  | 123 |  |  |  | 133,544 |
|  |  |  |  |  |  |  |  |  |  | 1,053,029 |
Semiconductors & Semiconductor Equipment — 0.6% |
Broadcom, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.70%, 04/15/25 |  |  |  |  |  |  | 1,771 |  |  |  | 2,029,509 |
3.15%, 11/15/25 |  |  |  |  |  |  | 660 |  |  |  | 720,688 |
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(c) |  |  |  |  |  |  | 75 |  |  |  | 80,722 |
|  |  |  |  |  |  |  |  |  |  | 2,830,919 |
Software(c) — 0.2% |
BY Crown Parent LLC/BY Bond Finance, Inc., 4.25%, 01/31/26 |  |  |  |  |  |  | 293 |  |  |  | 300,325 |
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24 |  |  |  |  |  |  | 666 |  |  |  | 690,143 |
|  |  |  |  |  |  |  |  |  |  | 990,468 |
Wireless Telecommunication Services — 0.1% |
GLP Capital LP/GLP Financing II, Inc., 4.00%, 01/15/31 |  |  |  |  |  |  | 408 |  |  |  | 445,218 |
Total Corporate Bonds — 7.3% |
(Cost: $33,226,239) |  |  |  |  |  |  |  |  |  |  | 35,816,325 |
Floating Rate Loan Interests(g) |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense — 2.4% |
Bleriot US Bidco, Inc. |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |  |  |  |  |  |  | 97 |  |  |  | 97,124 |
Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |  |  |  |  |  |  | 624 |  |  |  | 621,596 |
Dynasty Acquisition Co., Inc. 2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |  |  |  |  |  |  | 2,044 |  |  |  | 1,941,657 |

Security |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |
Dynasty Acquisition Co., Inc. (continued) |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |  |  | USD |  |  |  | 3,802 |  |  | $ | 3,611,483 |
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/09/26 |  |  |  |  |  |  | 780 |  |  |  | 624,096 |
Spirit Aerosystems, Inc., 2020 Term Loan B, (1 mo. LIBOR + 5.25%, 0.75% Floor), 6.00%, 01/15/25 |  |  |  |  |  |  | 1,005 |  |  |  | 1,012,538 |
Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25 |  |  |  |  |  |  | 3,782 |  |  |  | 3,700,982 |
|  |  |  |  |  |  |  |  |  |  | 11,609,476 |
Air Freight & Logistics — 0.7% |
WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 |  |  |  |  |  |  | 3,472 |  |  |  | 3,321,830 |
Airlines — 1.3% |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27 |  |  |  |  |  |  | 392 |  |  |  | 335,514 |
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23 |  |  |  |  |  |  | 1,967 |  |  |  | 1,762,863 |
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23 |  |  |  |  |  |  | 1,370 |  |  |  | 1,230,558 |
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 |  |  |  |  |  |  | 759 |  |  |  | 778,583 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 |  |  |  |  |  |  | 2,394 |  |  |  | 2,488,276 |
|  |  |  |  |  |  |  |  |  |  | 6,595,794 |
Auto Components — 2.6% |
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26 |  |  |  |  |  |  | 6,367 |  |  |  | 6,333,712 |
USI, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24 |  |  |  |  |  |  | 3,809 |  |  |  | 3,751,023 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26 |  |  |  |  |  |  | 218 |  |  |  | 217,120 |
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26 |  |  |  |  |  |  | 2,625 |  |  |  | 2,584,807 |
|  |  |  |  |  |  |  |  |  |  | 12,886,662 |
Automobiles(h) — 0.6% |
Mavis Tire Express Services Corp. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25 |  |  |  |  |  |  | 1,481 |  |  |  | 1,452,326 |
2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25 |  |  |  |  |  |  | 1,347 |  |  |  | 1,350,367 |
|  |  |  |  |  |  |  |  |  |  | 2,802,693 |
Building Materials — 0.8% |
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 07/12/26 |  |  |  |  |  |  | 2,376 |  |  |  | 2,364,012 |
CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25 |  |  |  |  |  |  | 184 |  |  |  | 183,769 |
CP Atlas Buyer, Inc.(h) |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |  |  |  |  |  |  | 302 |  |  |  | 302,127 |
2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |  |  |  |  |  |  | 905 |  |  |  | 906,382 |
|  |  |  |  |  |  |  |  |  |  | 3,756,290 |

S C H E D U L E O F I N V E S T M E N T S |  | 41

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Building Products — 1.4% |  |  |  |
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24 |  |  | USD |  |  |  | 1,735 |  |  | $ | 1,732,200 |
LSF10 XL Bidco SCA, EUR Term Loan B3, (EURIBOR + 4.00%), 4.00%, 10/12/26 |  |  | EUR |  |  |  | 1,000 |  |  |  | 1,210,008 |
MI Windows and Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/18/27(h) |  |  | USD |  |  |  | 537 |  |  |  | 537,671 |
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23 |  |  |  |  |  |  | 3,227 |  |  |  | 3,229,161 |
|  |  |  |  |  |  |  |  |  |  | 6,709,040 |
Capital Markets — 2.3% |  |  |  |
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27 |  |  |  |  |  |  | 5,872 |  |  |  | 5,873,429 |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27 |  |  |  |  |  |  | 1,432 |  |  |  | 1,429,322 |
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 06/27/25 |  |  |  |  |  |  | 834 |  |  |  | 830,346 |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24 |  |  |  |  |  |  | 1,176 |  |  |  | 1,161,388 |
GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27 |  |  |  |  |  |  | 829 |  |  |  | 831,202 |
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26 |  |  |  |  |  |  | 1,153 |  |  |  | 1,143,162 |
|  |  |  |  |  |  |  |  |  |  | 11,268,849 |
Chemicals — 4.5% |  |  |  |
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 |  |  |  |  |  |  | 2,939 |  |  |  | 2,926,114 |
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 |  |  |  |  |  |  | 2,566 |  |  |  | 2,572,021 |
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24 |  |  |  |  |  |  | 1,860 |  |  |  | 1,843,248 |
Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25 |  |  |  |  |  |  | 649 |  |  |  | 635,476 |
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24 |  |  |  |  |  |  | 1,163 |  |  |  | 1,133,244 |
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24(b) |  |  |  |  |  |  | 1,245 |  |  |  | 1,235,739 |
Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27 |  |  |  |  |  |  | 2,493 |  |  |  | 2,491,946 |
Invictus US LLC |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25 |  |  |  |  |  |  | 773 |  |  |  | 758,529 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26 |  |  |  |  |  |  | 861 |  |  |  | 818,698 |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26 |  |  |  |  |  |  | 2,861 |  |  |  | 2,836,722 |
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/14/24(b) |  |  |  |  |  |  | 431 |  |  |  | 428,701 |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24 |  |  |  |  |  |  | 1,502 |  |  |  | 1,479,110 |

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24 |  |  | USD |  |  |  | 2,589 |  |  | $ | 2,554,000 |
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25 |  |  |  |  |  |  | 206 |  |  |  | 203,974 |
|  |  |  |  |  |  |  |  |  |  | 21,917,522 |
Commercial Services & Supplies — 4.3% |  |  |  |
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 03/11/25 |  |  |  |  |  |  | 155 |  |  |  | 152,446 |
Asurion LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25 |  |  |  |  |  |  | 1,503 |  |  |  | 1,512,424 |
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23 |  |  |  |  |  |  | 2,124 |  |  |  | 2,102,059 |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24 |  |  |  |  |  |  | 1,151 |  |  |  | 1,140,146 |
2020 Term Loan B8, (3 mo. LIBOR + 3.25%), 3.49%, 12/23/26(h) |  |  |  |  |  |  | 802 |  |  |  | 792,524 |
Creative Artists Agency LLC |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26 |  |  |  |  |  |  | 597 |  |  |  | 589,157 |
2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/26/26 |  |  |  |  |  |  | 1,990 |  |  |  | 1,963,753 |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25(b) |  |  |  |  |  |  | 2,334 |  |  |  | 2,313,013 |
Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24 |  |  |  |  |  |  | 1,936 |  |  |  | 1,905,617 |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 |  |  |  |  |  |  | 569 |  |  |  | 559,196 |
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 |  |  |  |  |  |  | 440 |  |  |  | 387,269 |
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%, 09/19/26 |  |  |  |  |  |  | 995 |  |  |  | 977,729 |
Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26 |  |  |  |  |  |  | 1,962 |  |  |  | 1,966,994 |
Verisure Holding AB, EUR Term Loan B1E, (3 mo. LIBOR + 2.75%), 2.75%, 10/20/22 |  |  | EUR |  |  |  | 627 |  |  |  | 763,260 |
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25 |  |  | USD |  |  |  | 2,684 |  |  |  | 2,678,497 |
West Corp., 2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24 |  |  |  |  |  |  | 1,155 |  |  |  | 1,116,442 |
|  |  |  |  |  |  |  |  |  |  | 20,920,526 |
Communications Equipment — 0.2% |  |  |  |
Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24 |  |  |  |  |  |  | 1,149 |  |  |  | 1,148,802 |
Construction & Engineering — 1.6% |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 |  |  |  |  |  |  | 3,597 |  |  |  | 3,902,553 |
Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26 |  |  |  |  |  |  | 525 |  |  |  | 523,203 |
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25 |  |  |  |  |  |  | 445 |  |  |  | 443,625 |
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25 |  |  |  |  |  |  | 2,935 |  |  |  | 2,884,601 |
|  |  |  |  |  |  |  |  |  |  | 7,753,982 |

42 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Construction Materials — 2.2% |
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24 |  |  | USD |  |  |  | 5,072 |  |  | $ | 5,042,242 |
Filtration Group Corp. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25 |  |  |  |  |  |  | 2,430 |  |  |  | 2,401,206 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 |  |  |  |  |  |  | 1,221 |  |  |  | 1,220,940 |
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 |  |  |  |  |  |  | 1,161 |  |  |  | 1,161,741 |
Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(b)(h) |  |  |  |  |  |  | 810 |  |  |  | 810,000 |
|  |  |  |  |  |  |  |  |  |  | 10,636,129 |
Consumer Discretionary(h) — 0.4% |
Zaxby’s Operating Company LLC |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/10/27 |  |  |  |  |  |  | 1,395 |  |  |  | 1,395,000 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 7.25%, 12/08/28 |  |  |  |  |  |  | 636 |  |  |  | 642,360 |
|  |  |  |  |  |  |  |  |  |  | 2,037,360 |
Containers & Packaging — 1.9% |
Berry Global, Inc. |  |  |  |  |  |  |  |  |  |  |  |
Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22 |  |  |  |  |  |  | 2,475 |  |  |  | 2,470,960 |
Term Loan Y, (1 mo. LIBOR + 2.00%), 2.15%, 07/01/26 |  |  |  |  |  |  | 493 |  |  |  | 489,892 |
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24 |  |  |  |  |  |  | 2,417 |  |  |  | 2,329,519 |
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23 |  |  |  |  |  |  | 2,056 |  |  |  | 2,042,217 |
Pregis TopCo Corp. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26 |  |  |  |  |  |  | 628 |  |  |  | 625,010 |
2020 Incremental Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 08/01/26(h) |  |  |  |  |  |  | 291 |  |  |  | 288,817 |
Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27 |  |  |  |  |  |  | 830 |  |  |  | 832,424 |
|  |  |  |  |  |  |  |  |  |  | 9,078,839 |
Distributors — 1.3% |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27 |  |  |  |  |  |  | 2,854 |  |  |  | 2,824,286 |
TMK Hawk Parent Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24 |  |  |  |  |  |  | 940 |  |  |  | 902,561 |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24 |  |  |  |  |  |  | 3,120 |  |  |  | 2,433,197 |
|  |  |  |  |  |  |  |  |  |  | 6,160,044 |
Diversified Consumer Services — 3.5% |
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27 |  |  |  |  |  |  | 551 |  |  |  | 549,163 |
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 |  |  |  |  |  |  | 1,564 |  |  |  | 1,554,520 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Consumer Services (continued) |  |  |  |  |  |  |  |  |
Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 |  |  | USD |  |  |  | 1,024 |  |  | $ | 1,026,143 |
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 |  |  |  |  |  |  | 3,297 |  |  |  | 3,304,838 |
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23 |  |  |  |  |  |  | 1,866 |  |  |  | 1,846,047 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25 |  |  |  |  |  |  | 2,596 |  |  |  | 2,510,846 |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25 |  |  |  |  |  |  | 1,228 |  |  |  | 1,242,897 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24 |  |  |  |  |  |  | 1,142 |  |  |  | 1,126,906 |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27 |  |  |  |  |  |  | 770 |  |  |  | 770,000 |
Serta Simmons Bedding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23 |  |  |  |  |  |  | 475 |  |  |  | 479,183 |
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 |  |  |  |  |  |  | 743 |  |  |  | 667,613 |
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23 |  |  |  |  |  |  | 2,128 |  |  |  | 2,122,184 |
|  |  |  |  |  |  |  |  |  |  | 17,200,340 |
Diversified Financial Services — 5.3% |  |  |  |  |  |  |  |  |
Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26 |  |  |  |  |  |  | 1,070 |  |  |  | 1,058,598 |
Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(b) |  |  |  |  |  |  | 861 |  |  |  | 862,995 |
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24 |  |  |  |  |  |  | 2,943 |  |  |  | 2,907,194 |
Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.40%, 11/18/24 |  |  |  |  |  |  | 614 |  |  |  | 615,091 |
Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27 |  |  |  |  |  |  | 1,254 |  |  |  | 1,252,432 |
Delta TopCo, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28 |  |  |  |  |  |  | 670 |  |  |  | 674,187 |
2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27 |  |  |  |  |  |  | 3,680 |  |  |  | 3,676,173 |
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |  |  |  |  |  |  | 923 |  |  |  | 910,847 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24 |  |  |  |  |  |  | 1,708 |  |  |  | 1,617,987 |
LBM Acquisition LLC(h) |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, 5.25%, 12/09/27 |  |  |  |  |  |  | 213 |  |  |  | 212,917 |
Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/17/27 |  |  |  |  |  |  | 959 |  |  |  | 958,126 |
LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |  |  |  |  |  |  | 769 |  |  |  | 770,669 |
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |  |  |  |  |  |  | 2,557 |  |  |  | 2,552,730 |
SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25 |  |  |  |  |  |  | 1,556 |  |  |  | 1,461,038 |

S C H E D U L E O F I N V E S T M E N T S |  | 43

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25 |  |  | USD |  |  |  | 513 |  |  | $ | 487,290 |
Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27 |  |  |  |  |  |  | 707 |  |  |  | 704,452 |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27 |  |  |  |  |  |  | 3,476 |  |  |  | 3,454,439 |
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28 |  |  |  |  |  |  | 1,617 |  |  |  | 1,605,374 |
|  |  |  |  |  |  |  |  |  |  | 25,782,539 |
Diversified Telecommunication Services — 3.5% |
Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27(h) |  |  |  |  |  |  | 578 |  |  |  | 576,376 |
Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27 |  |  |  |  |  |  | 1,128 |  |  |  | 1,131,760 |
Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21 |  |  |  |  |  |  | 1,542 |  |  |  | 1,546,826 |
GCI LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 10/15/25(b)(h) |  |  |  |  |  |  | 1,244 |  |  |  | 1,237,278 |
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24 |  |  |  |  |  |  | 2,648 |  |  |  | 2,646,774 |
Intelsat Jackson Holdings SA |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 |  |  |  |  |  |  | 395 |  |  |  | 399,938 |
2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22 |  |  |  |  |  |  | 137 |  |  |  | 139,307 |
Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26 |  |  |  |  |  |  | 1,756 |  |  |  | 1,763,475 |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 03/01/27 |  |  |  |  |  |  | 1,931 |  |  |  | 1,896,651 |
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 |  |  |  |  |  |  | 2,310 |  |  |  | 2,302,248 |
Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27 |  |  |  |  |  |  | 960 |  |  |  | 961,673 |
TDC A/S, EUR Term Loan, (6 mo. LIBOR + 3.00%), 3.00%, 06/04/25 |  |  | EUR |  |  |  | 820 |  |  |  | 994,255 |
Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.28%, 01/15/27 |  |  | GBP |  |  |  | 1,000 |  |  |  | 1,333,600 |
|  |  |  |  |  |  |  |  |  |  | 16,930,161 |
Electric Utilities — 0.3% |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27 |  |  | USD |  |  |  | 1,361 |  |  |  | 1,358,959 |
Electrical Equipment — 0.6% |
Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24 |  |  |  |  |  |  | 3,147 |  |  |  | 3,135,675 |
Electronic Equipment, Instruments & Components — 0.2% |
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25 |  |  |  |  |  |  | 856 |  |  |  | 853,763 |

Security |  |  |  |  | Par (000) |  |  | Value |
Energy Equipment & Services — 0.2% |
Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25 |  |  | USD |  |  |  | 861 |  |  | $ | 861,226 |
Entertainment — 0.4% |  |  |  |  |  |  |  |  |
MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%, 0.75% Floor), 7.00%, 11/12/25(b)(h) |  |  |  |  |  |  | 1,990 |  |  |  | 1,999,950 |
Environmental, Maintenance, & Security Service — 0.9% |
Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27 |  |  |  |  |  |  | 2,008 |  |  |  | 2,011,743 |
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27(b) |  |  |  |  |  |  | 2,470 |  |  |  | 2,479,697 |
|  |  |  |  |  |  |  |  |  |  | 4,491,440 |
Equity Real Estate Investment Trusts (REITs) — 0.7% |
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/11/24 |  |  |  |  |  |  | 732 |  |  |  | 713,410 |
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24 |  |  |  |  |  |  | 2,969 |  |  |  | 2,916,778 |
|  |  |  |  |  |  |  |  |  |  | 3,630,188 |
Food & Staples Retailing — 1.0% |
Hearthside Food Solutions LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25 |  |  |  |  |  |  | 949 |  |  |  | 934,345 |
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25 |  |  |  |  |  |  | 840 |  |  |  | 824,428 |
2020 Incremental Term Loan B3, (1 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 05/23/25 |  |  |  |  |  |  | 166 |  |  |  | 166,303 |
US Foods, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23 |  |  |  |  |  |  | 2,626 |  |  |  | 2,583,476 |
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26 |  |  |  |  |  |  | 647 |  |  |  | 635,417 |
|  |  |  |  |  |  |  |  |  |  | 5,143,969 |
Food Products — 3.0% |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25 |  |  |  |  |  |  | 1,094 |  |  |  | 1,090,010 |
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26 |  |  |  |  |  |  | 415 |  |  |  | 414,013 |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 |  |  |  |  |  |  | 3,125 |  |  |  | 3,114,229 |
Froneri International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28 |  |  |  |  |  |  | 403 |  |  |  | 404,565 |
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27 |  |  |  |  |  |  | 4,665 |  |  |  | 4,613,923 |
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26 |  |  |  |  |  |  | 516 |  |  |  | 511,644 |
Pathway Vet Alliance LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |  |  |  |  |  |  | 44 |  |  |  | 43,894 |
2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |  |  |  |  |  |  | 538 |  |  |  | 537,387 |

44 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Food Products (continued) |  |  |  |  |  |  |  |  |
Reynolds Group Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23 |  |  | USD |  |  |  | 2,247 |  |  | $ | 2,235,747 |
2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26 |  |  |  |  |  |  | 410 |  |  |  | 406,147 |
Shearer’s Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27 |  |  |  |  |  |  | 635 |  |  |  | 635,210 |
Sovos Brands Intermediate, Inc., 2018 Term Loan, (3 mo. LIBOR + 4.75%), 4.96%, 11/20/25(b) |  |  |  |  |  |  | 755 |  |  |  | 756,018 |
|  |  |  |  |  |  |  |  |  |  | 14,762,787 |
Health Care Equipment & Supplies — 1.4% |  |  |  |
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27(h) |  |  |  |  |  |  | 2,085 |  |  |  | 2,086,314 |
Ortho-Clinical Diagnostics SA |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25 |  |  |  |  |  |  | 3,522 |  |  |  | 3,467,658 |
EUR Term Loan B, (3 mo. LIBOR + 3.50%), 3.50%, 06/30/25 |  |  | EUR |  |  |  | 993 |  |  |  | 1,192,482 |
|  |  |  |  |  |  |  |  |  |  | 6,746,454 |
Health Care Providers & Services — 4.4% |  |  |  |
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 |  |  | USD |  |  |  | 800 |  |  |  | 802,312 |
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23 |  |  |  |  |  |  | 1,895 |  |  |  | 1,880,977 |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 |  |  |  |  |  |  | 963 |  |  |  | 964,768 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25 |  |  |  |  |  |  | 1,955 |  |  |  | 1,624,953 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.25%), 8.40%, 02/18/28 |  |  |  |  |  |  | 1,260 |  |  |  | 1,146,600 |
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |  |  |  |  |  |  | 324 |  |  |  | 315,076 |
2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |  |  |  |  |  |  | 1,379 |  |  |  | 1,340,197 |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26 |  |  |  |  |  |  | 985 |  |  |  | 917,135 |
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 |  |  |  |  |  |  | 2,143 |  |  |  | 2,128,746 |
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26 |  |  |  |  |  |  | 2,282 |  |  |  | 2,277,203 |
HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 1.90%, 03/18/26 |  |  |  |  |  |  | — | (i) |  |  | 442 |
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 |  |  |  |  |  |  | 1,182 |  |  |  | 1,175,399 |
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22 |  |  |  |  |  |  | — |  |  |  | 3,454 |
Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 11/18/27(b)(h) |  |  |  |  |  |  | 1,969 |  |  |  | 1,968,704 |
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 |  |  |  |  |  |  | 5,156 |  |  |  | 5,170,670 |
|  |  |  |  |  |  |  |  |  |  | 21,716,636 |

Security |  |  | Par (000) |  |  | Value |
Health Care Services — 1.1% |  |  |  |  |  |  |  |  |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26 |  |  | USD |  |  |  | 2,085 |  |  | $ | 2,056,352 |
Unified Physician Management LLC, 2020 Term Loan, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/16/27(h) |  |  |  |  |  |  | 1,439 |  |  |  | 1,428,207 |
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26 |  |  |  |  |  |  | 1,792 |  |  |  | 1,788,584 |
|  |  |  |  |  |  |  |  |  |  | 5,273,143 |
Health Care Technology — 1.5% |  |  |  |  |  |  |  |  |
Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 |  |  |  |  |  |  | 2,824 |  |  |  | 2,808,519 |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 10/10/25 |  |  |  |  |  |  | 2,894 |  |  |  | 2,870,538 |
Press Ganey Holdings, Inc., 2020 Incremental Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 07/25/26 |  |  |  |  |  |  | 978 |  |  |  | 975,555 |
Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 03/07/24 |  |  |  |  |  |  | 499 |  |  |  | 495,986 |
|  |  |  |  |  |  |  |  |  |  | 7,150,598 |
Hotels, Restaurants & Leisure — 8.5% |  |  |  |  |  |  |  |  |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26 |  |  |  |  |  |  | 2,480 |  |  |  | 2,442,259 |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26 |  |  |  |  |  |  | 431 |  |  |  | 405,822 |
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 |  |  |  |  |  |  | 1,005 |  |  |  | 1,006,839 |
Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.96%, 10/19/24 |  |  |  |  |  |  | 986 |  |  |  | 976,247 |
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23 |  |  |  |  |  |  | 1,142 |  |  |  | 1,130,704 |
Caesars Resort Collection LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24 |  |  |  |  |  |  | 2,782 |  |  |  | 2,725,711 |
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25 |  |  |  |  |  |  | 3,658 |  |  |  | 3,659,243 |
CCM Merger, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/04/25(h) |  |  |  |  |  |  | 730 |  |  |  | 727,868 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 |  |  |  |  |  |  | 3,897 |  |  |  | 3,479,111 |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23 |  |  |  |  |  |  | 1,348 |  |  |  | 1,337,589 |
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/01/23 |  |  |  |  |  |  | 149 |  |  |  | 142,528 |
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 |  |  |  |  |  |  | 2,129 |  |  |  | 2,051,072 |
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b) |  |  |  |  |  |  | 177 |  |  |  | 199,959 |
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25(b) |  |  |  |  |  |  | 601 |  |  |  | 604,500 |

S C H E D U L E O F I N V E S T M E N T S |  | 45

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |  |  |  |
IRB Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%), 4.25%, 11/12/27(h) |  |  | USD |  |  |  | 4,575 |  |  | $ | 4,576,418 |
2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 |  |  |  |  |  |  | 2,298 |  |  |  | 2,275,401 |
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25 |  |  |  |  |  |  | 1,394 |  |  |  | 1,381,888 |
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 |  |  |  |  |  |  | 600 |  |  |  | 548,989 |
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24 |  |  |  |  |  |  | 1,429 |  |  |  | 1,436,482 |
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24 |  |  |  |  |  |  | 1,054 |  |  |  | 1,027,848 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25 |  |  |  |  |  |  | 888 |  |  |  | 890,481 |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27 |  |  |  |  |  |  | 2,087 |  |  |  | 2,052,508 |
Tackle Sarl, 2017 EUR Term Loan, (3 mo. LIBOR + 3.50%), 3.50%, 08/08/22 |  |  | EUR |  |  |  | 975 |  |  |  | 1,181,340 |
Travelport Finance (Luxembourg) Sarl |  |  |  |  |  |  |  |  |  |  |  |
(3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25 |  |  | USD |  |  |  | 1,120 |  |  |  | 1,247,054 |
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26 |  |  |  |  |  |  | 2,230 |  |  |  | 1,505,018 |
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26 |  |  |  |  |  |  | 2,116 |  |  |  | 2,094,008 |
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 05/30/25 |  |  |  |  |  |  | 551 |  |  |  | 546,091 |
|  |  |  |  |  |  |  |  |  |  | 41,652,978 |
Household Durables — 0.6% |  |  |  |  |  |  |  |  |
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/04/27 |  |  |  |  |  |  | 1,597 |  |  |  | 1,585,305 |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 |  |  |  |  |  |  | 1,201 |  |  |  | 1,201,600 |
|  |  |  |  |  |  |  |  |  |  | 2,786,905 |
Independent Power and Renewable Electricity Producers — 0.9% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25 |  |  |  |  |  |  | 511 |  |  |  | 504,604 |
Calpine Corp. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26 |  |  |  |  |  |  | 717 |  |  |  | 706,650 |
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26 |  |  |  |  |  |  | 3,154 |  |  |  | 3,117,834 |
|  |  |  |  |  |  |  |  |  |  | 4,329,088 |
Industrial Conglomerates — 3.1% |  |  |  |  |  |  |  |  |
AVSC Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25 |  |  |  |  |  |  | 3,798 |  |  |  | 3,225,938 |
(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26(b)(h) |  |  |  |  |  |  | 1,097 |  |  |  | 1,255,813 |

Security |  |  | Par (000) |  |  | Value |
Industrial Conglomerates (continued) |  |  |  |  |  |  |  |  |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23 |  |  | USD |  |  |  | 1,315 |  |  | $ | 1,321,648 |
Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27 |  |  |  |  |  |  | 1,934 |  |  |  | 1,940,709 |
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27 |  |  |  |  |  |  | 7,365 |  |  |  | 7,313,706 |
|  |  |  |  |  |  |  |  |  |  | 15,057,814 |
Insurance — 3.9% |  |  |  |  |  |  |  |  |
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |  |  |  |  |  |  | 2,944 |  |  |  | 2,895,128 |
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |  |  |  |  |  |  | 1,034 |  |  |  | 1,015,860 |
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24 |  |  |  |  |  |  | 2,174 |  |  |  | 2,169,819 |
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 |  |  |  |  |  |  | 684 |  |  |  | 684,263 |
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27 |  |  |  |  |  |  | 1,433 |  |  |  | 1,410,127 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25 |  |  |  |  |  |  | 3,418 |  |  |  | 3,352,587 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25 |  |  |  |  |  |  | 878 |  |  |  | 879,294 |
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27 |  |  |  |  |  |  | 1,661 |  |  |  | 1,654,609 |
Sedgwick Claims Management Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25 |  |  |  |  |  |  | 1,974 |  |  |  | 1,939,725 |
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26 |  |  |  |  |  |  | 1,222 |  |  |  | 1,216,703 |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 |  |  |  |  |  |  | 1,698 |  |  |  | 1,709,046 |
|  |  |  |  |  |  |  |  |  |  | 18,927,161 |
Interactive Media & Services — 2.0% |  |  |  |  |  |  |  |  |
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 10/13/27(h) |  |  |  |  |  |  | 2,513 |  |  |  | 2,508,971 |
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 |  |  |  |  |  |  | 4,251 |  |  |  | 4,247,004 |
Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27 |  |  |  |  |  |  | 1,945 |  |  |  | 1,950,905 |
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24 |  |  |  |  |  |  | 981 |  |  |  | 975,417 |
|  |  |  |  |  |  |  |  |  |  | 9,682,297 |
Internet & Direct Marketing Retail — 0.6% |  |  |  |  |  |  |  |  |
CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27 |  |  |  |  |  |  | 2,722 |  |  |  | 2,717,318 |
IT Services — 7.7% |  |  |  |  |  |  |  |  |
Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27(h) |  |  |  |  |  |  | 2,412 |  |  |  | 2,413,206 |

46 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
IT Services (continued) |  |  |  |  |  |  |  |  |
Aruba Investments, Inc.(h) |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.75%, 0.75% Floor), 8.50%, 11/24/28 |  |  | USD |  |  |  | 1,440 |  |  | $ | 1,440,000 |
2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 |  |  |  |  |  |  | 779 |  |  |  | 778,026 |
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26 |  |  |  |  |  |  | 3,960 |  |  |  | 3,938,338 |
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27(h) |  |  |  |  |  |  | 4,803 |  |  |  | 4,807,293 |
GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b) |  |  |  |  |  |  | 1,567 |  |  |  | 1,535,782 |
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25 |  |  |  |  |  |  | 975 |  |  |  | 610,243 |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27 |  |  |  |  |  |  | 3,228 |  |  |  | 3,071,866 |
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 |  |  |  |  |  |  | 379 |  |  |  | 378,041 |
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28(b) |  |  |  |  |  |  | 4,215 |  |  |  | 4,172,850 |
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 11/16/26 |  |  |  |  |  |  | 3,109 |  |  |  | 3,094,687 |
Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25 |  |  |  |  |  |  | 7,207 |  |  |  | 7,179,697 |
Virtusa Corp., Term Loan B, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 12/01/27(h) |  |  |  |  |  |  | 1,062 |  |  |  | 1,054,035 |
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26 |  |  |  |  |  |  | 3,179 |  |  |  | 3,154,507 |
|  |  |  |  |  |  |  |  |  |  | 37,628,571 |
Leisure Products — 0.2% |  |  |  |  |  |  |  |  |
MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24 |  |  |  |  |  |  | 1,000 |  |  |  | 925,032 |
Life Sciences Tools & Services — 0.8% |  |  |  |  |  |  |  |  |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 |  |  |  |  |  |  | 2,693 |  |  |  | 2,662,552 |
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(b) |  |  |  |  |  |  | 1,249 |  |  |  | 1,260,299 |
|  |  |  |  |  |  |  |  |  |  | 3,922,851 |
Machinery — 2.0% |  |  |  |  |  |  |  |  |
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24 |  |  |  |  |  |  | 132 |  |  |  | 131,512 |
Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24 |  |  |  |  |  |  | 1,470 |  |  |  | 1,451,008 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27 |  |  |  |  |  |  | 2,270 |  |  |  | 2,237,502 |

Security |  |  | Par (000) |  |  | Value |
Machinery (continued) |  |  |  |  |  |  |  |  |
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24 |  |  | USD |  |  |  | 319 |  |  | $ | 316,119 |
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25 |  |  |  |  |  |  | 5,589 |  |  |  | 5,438,196 |
|  |  |  |  |  |  |  |  |  |  | 9,574,337 |
Media — 15.1% |  |  |  |  |  |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25 |  |  |  |  |  |  | 1,107 |  |  |  | 1,081,363 |
USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26 |  |  |  |  |  |  | 1,588 |  |  |  | 1,550,451 |
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26 |  |  |  |  |  |  | 3,537 |  |  |  | 3,516,293 |
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25 |  |  |  |  |  |  | 3,403 |  |  |  | 3,388,315 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26 |  |  |  |  |  |  | 6,560 |  |  |  | 6,302,203 |
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 |  |  |  |  |  |  | 9,108 |  |  |  | 9,151,904 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25 |  |  |  |  |  |  | 2,169 |  |  |  | 2,133,686 |
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27 |  |  |  |  |  |  | 2,134 |  |  |  | 2,111,260 |
E.W. Scripps Co., 2020 Term Loan B3, 3.75%, 12/15/27(h) |  |  |  |  |  |  | 1,037 |  |  |  | 1,037,000 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 |  |  |  |  |  |  | 4,306 |  |  |  | 3,873,702 |
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26 |  |  |  |  |  |  | 1,291 |  |  |  | 1,294,499 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25 |  |  |  |  |  |  | 1,354 |  |  |  | 1,332,361 |
Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26 |  |  |  |  |  |  | 2,807 |  |  |  | 2,723,208 |
MCC Iowa LLC, Term Loan N, (1 Week LIBOR + 1.75%), 1.86%, 02/15/24 |  |  |  |  |  |  | 360 |  |  |  | 358,693 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24 |  |  |  |  |  |  | 3,544 |  |  |  | 3,491,629 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24 |  |  |  |  |  |  | 1,958 |  |  |  | 1,950,211 |
Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26 |  |  |  |  |  |  | 731 |  |  |  | 727,532 |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26 |  |  |  |  |  |  | 1,344 |  |  |  | 1,333,579 |
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26 |  |  |  |  |  |  | 2,450 |  |  |  | 2,451,057 |
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.40%, 01/03/24 |  |  |  |  |  |  | 160 |  |  |  | 157,991 |
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26 |  |  |  |  |  |  | 3,143 |  |  |  | 3,141,935 |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b) |  |  |  |  |  |  | 4,102 |  |  |  | 4,070,971 |

S C H E D U L E O F I N V E S T M E N T S |  | 47

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
UFC Holdings LLC, 2019 Term Loan, (6 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/29/26 |  |  | USD |  |  |  | 1 |  |  | $ | 786 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.25%, 01/31/29(h) |  |  |  |  |  |  | 2,365 |  |  |  | 2,361,169 |
USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28 |  |  |  |  |  |  | 2,375 |  |  |  | 2,351,035 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25 |  |  |  |  |  |  | 2,990 |  |  |  | 2,745,553 |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27 |  |  |  |  |  |  | 9,200 |  |  |  | 9,131,396 |
|  |  |  |  |  |  |  |  |  |  | 73,769,782 |
Metals & Mining — 0.4% |  |  |  |  |  |  |  |  |
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25 |  |  |  |  |  |  | 1,772 |  |  |  | 1,736,120 |
Multi-line Retail — 0.2% |  |  |  |  |  |  |  |  |
Eyemart Express LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 08/04/24 |  |  |  |  |  |  | 956 |  |  |  | 948,284 |
Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25 |  |  |  |  |  |  | 280 |  |  |  | 297,230 |
|  |  |  |  |  |  |  |  |  |  | 1,245,514 |
Oil, Gas & Consumable Fuels — 0.5% |  |  |  |  |  |  |  |  |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25 |  |  |  |  |  |  | 1,483 |  |  |  | 1,450,343 |
EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |  |  |  |  |  |  | 783 |  |  |  | 772,591 |
McDermott Technology Americas, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 06/30/24(b)(h) |  |  |  |  |  |  | 40 |  |  |  | 1,057 |
2020 Take Back Term Loan, 3.00%, 06/30/25 |  |  |  |  |  |  | 282 |  |  |  | 182,877 |
|  |  |  |  |  |  |  |  |  |  | 2,406,868 |
Paper & Forest Products — 0.8% |  |  |  |  |  |  |  |  |
Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27(h) |  |  |  |  |  |  | 3,962 |  |  |  | 3,977,476 |
Personal Products — 1.4% |  |  |  |  |  |  |  |  |
Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26 |  |  |  |  |  |  | 6,695 |  |  |  | 6,707,880 |
Pharmaceuticals — 3.3% |  |  |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25 |  |  |  |  |  |  | 1,970 |  |  |  | 1,916,461 |
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26 |  |  |  |  |  |  | 2,050 |  |  |  | 2,047,425 |
Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27 |  |  |  |  |  |  | 1,064 |  |  |  | 1,053,568 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27 |  |  |  |  |  |  | 1,703 |  |  |  | 1,686,755 |

Security |  |  | Par (000) |  |  | Value |
Pharmaceuticals (continued) |  |  |  |  |  |  |  |  |
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22 |  |  | USD |  |  |  | 3,378 |  |  | $ | 3,375,387 |
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25 |  |  |  |  |  |  | 6,091 |  |  |  | 6,064,164 |
|  |  |  |  |  |  |  |  |  |  | 16,143,760 |
Professional Services — 1.9% |  |  |  |  |  |  |  |  |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Add-On Term Loan, 3.98%, 02/06/26(h) |  |  |  |  |  |  | 1,033 |  |  |  | 1,032,566 |
Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26 |  |  |  |  |  |  | 6,800 |  |  |  | 6,797,377 |
STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27 |  |  |  |  |  |  | 1,558 |  |  |  | 1,530,902 |
|  |  |  |  |  |  |  |  |  |  | 9,360,845 |
Real Estate Management & Development — 0.7% |  |  |  |
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 |  |  |  |  |  |  | 2,070 |  |  |  | 2,037,138 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25 |  |  |  |  |  |  | 1,479 |  |  |  | 1,449,949 |
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 |  |  |  |  |  |  | 202 |  |  |  | 198,556 |
|  |  |  |  |  |  |  |  |  |  | 3,685,643 |
Road & Rail — 0.3% |  |  |  |  |  |  |  |  |
Moda Ingleside Energy Center LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 09/25/25 |  |  |  |  |  |  | 247 |  |  |  | 245,623 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25 |  |  |  |  |  |  | 1,242 |  |  |  | 1,133,082 |
|  |  |  |  |  |  |  |  |  |  | 1,378,705 |
Semiconductors & Semiconductor Equipment — 0.1% |  |  |  |
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/19/26 |  |  |  |  |  |  | 484 |  |  |  | 484,545 |
Software — 20.4% |  |  |  |  |  |  |  |  |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24 |  |  |  |  |  |  | 3,376 |  |  |  | 3,371,818 |
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25 |  |  |  |  |  |  | 726 |  |  |  | 728,704 |
Barracuda Networks, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 |  |  |  |  |  |  | 3,599 |  |  |  | 3,587,961 |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 10/30/28(b)(h) |  |  |  |  |  |  | 870 |  |  |  | 876,525 |
BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25 |  |  |  |  |  |  | 2,337 |  |  |  | 2,324,697 |
By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26 |  |  |  |  |  |  | 2,417 |  |  |  | 2,405,018 |
Cloudera, Inc., Term Loan B, (3 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 12/17/27(h) |  |  |  |  |  |  | 602 |  |  |  | 600,495 |
Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27 |  |  |  |  |  |  | 724 |  |  |  | 726,527 |
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 |  |  |  |  |  |  | 1,886 |  |  |  | 1,878,810 |
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24 |  |  |  |  |  |  | 1,157 |  |  |  | 1,055,252 |

48 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23 |  |  | USD |  |  |  | 1,623 |  |  | $ | 1,445,973 |
Epicor Software Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 |  |  |  |  |  |  | 2,141 |  |  |  | 2,227,989 |
2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27 |  |  |  |  |  |  | 4,275 |  |  |  | 4,295,534 |
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25 |  |  |  |  |  |  | 9,442 |  |  |  | 9,422,234 |
Informatica LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25 |  |  |  |  |  |  | 1,770 |  |  |  | 1,797,877 |
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27 |  |  |  |  |  |  | 8,215 |  |  |  | 8,138,149 |
McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 09/30/24 |  |  |  |  |  |  | 3,143 |  |  |  | 3,140,704 |
MED ParentCo LP, 2020 Incremental Term Loan B, (1 mo. LIBOR + 6.25%, 1.00% Floor), 7.25%, 08/31/26(b) |  |  |  |  |  |  | 875 |  |  |  | 883,556 |
Mitchell International, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24 |  |  |  |  |  |  | 2,185 |  |  |  | 2,143,013 |
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25 |  |  |  |  |  |  | 1,083 |  |  |  | 1,044,928 |
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 |  |  |  |  |  |  | 2,077 |  |  |  | 2,075,757 |
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |  |  |  |  |  |  | 1,472 |  |  |  | 1,468,629 |
Omnitracs, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 8.00%), 8.15%, 10/01/28 |  |  |  |  |  |  | 1,078 |  |  |  | 1,061,830 |
Planview Parent, Inc.(h) 2nd Lien Term Loan, 0.24%, 12/11/28 |  |  |  |  |  |  | 930 |  |  |  | 920,700 |
Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 |  |  |  |  |  |  | 371 |  |  |  | 370,413 |
Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/17/27 |  |  |  |  |  |  | 1,589 |  |  |  | 1,585,366 |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 05/30/25 |  |  |  |  |  |  | 687 |  |  |  | 674,377 |
Sabre GLBL, Inc., 2020 Term Loan B, 6.25%, 12/17/27(h) |  |  |  |  |  |  | 1,117 |  |  |  | 1,118,396 |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25 |  |  |  |  |  |  | 3,688 |  |  |  | 3,636,899 |
Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23 |  |  |  |  |  |  | 2,920 |  |  |  | 2,894,243 |
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 |  |  |  |  |  |  | 5,170 |  |  |  | 5,173,671 |
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 870 |  |  |  | 857,857 |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 1,124 |  |  |  | 1,108,357 |
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 1,613 |  |  |  | 1,593,044 |
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 |  |  |  |  |  |  | 6,919 |  |  |  | 6,862,998 |

Security |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28 |  |  | USD |  |  |  | 3,410 |  |  | $ | 3,438,570 |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27 |  |  |  |  |  |  | 1,992 |  |  |  | 2,044,290 |
2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26 |  |  |  |  |  |  | 4,892 |  |  |  | 4,913,410 |
Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26 |  |  |  |  |  |  | 5,813 |  |  |  | 5,803,684 |
|  |  |  |  |  |  |  |  |  |  | 99,698,255 |
Specialty Retail — 2.9% |  |  |  |  |  |  |  |  |
Belron Finance US LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25(b) |  |  |  |  |  |  | 444 |  |  |  | 442,830 |
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26(b) |  |  |  |  |  |  | 884 |  |  |  | 881,860 |
USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24 |  |  |  |  |  |  | 2,899 |  |  |  | 2,891,456 |
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 4.31%, 06/23/25 |  |  | GBP |  |  |  | 1,000 |  |  |  | 1,344,787 |
IAA, Inc., |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26 |  |  | USD |  |  |  | 484 |  |  |  | 479,162 |
MED ParentCo LP |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26 |  |  |  |  |  |  | 348 |  |  |  | 342,227 |
1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26 |  |  |  |  |  |  | 1,388 |  |  |  | 1,364,713 |
PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22 |  |  |  |  |  |  | 3,252 |  |  |  | 3,242,769 |
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |  |  |  |  |  |  | 2,194 |  |  |  | 2,153,812 |
WOOF Holdings, Inc.(h) |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 12/16/27 |  |  |  |  |  |  | 555 |  |  |  | 553,846 |
2nd Lien Term Loan, (1 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/11/28 |  |  |  |  |  |  | 560 |  |  |  | 561,400 |
|  |  |  |  |  |  |  |  |  |  | 14,258,862 |
Technology Hardware, Storage & Peripherals — 0.4% |  |  |  |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26 |  |  |  |  |  |  | 1,390 |  |  |  | 1,182,194 |
Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23 |  |  |  |  |  |  | 732 |  |  |  | 730,297 |
|  |  |  |  |  |  |  |  |  |  | 1,912,491 |
Thrifts & Mortgage Finance — 0.6% |  |  |  |  |  |  |  |  |
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25 |  |  |  |  |  |  | 3,013 |  |  |  | 3,003,561 |

S C H E D U L E O F I N V E S T M E N T S |  | 49

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

|  |  |  |  | Par |  |  |  |
Security |  |  |  |  | (000) |  |  | Value |
Wireless Telecommunication Services — 1.4% |  |  |  |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25 |  |  | USD |  |  |  | 3,413 |  |  | $ | 3,370,920 |
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27 |  |  |  |  |  |  | 3,624 |  |  |  | 3,625,242 |
|  |  |  |  |  |  |  |  |  |  | 6,996,162 |
Total Floating Rate Loan Interests — 137.2% (Cost: $669,820,719) |  |  |  |  |  |  |  |  |  |  | 669,612,487 |

|  |  |  |  | Shares |  |  |  |
Investment Companies |  |  |  |  |
Fixed Income Funds — 2.6% |  |  |  |
Invesco Senior Loan ETF |  |  |  |  |  |  | 38,000 |  |  |  | 846,640 |
iShares iBoxx $ High Yield Corporate Bond ETF(j) |  |  |  |  |  |  | 96,000 |  |  |  | 8,380,800 |
iShares iBoxx $ Investment Grade Corporate Bond ETF(j) |  |  |  |  |  |  | 24,000 |  |  |  | 3,315,120 |
|  |  |  |  |  |  |  |  |  |  | 12,542,560 |
Total Investment Companies — 2.6% (Cost: $11,535,497) |  |  | 12,542,560 |
|  |  |  |  | Benefical Interest (000) |  |  |  |
Other Interests(k) |  |  |  |  |  |  |  |  |  |  |  |
IT Services(a)(b) — 0.0% |  |  |  |  |  |  |  |  |
Millennium Corp |  |  | USD |  |  |  | 1,607 |  |  |  | — |
Millennium Lender Claims |  |  |  |  |  |  | 1,508 |  |  |  | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  | — |

Security |  |  |  |  | Shares |  |  | Value |
Warrants |  |  |  |  |  |  |  |  |  |  |  |
Oil, Gas & Consumable Fuels — 0.0% |  |  |  |  |
California Resources Corp. (Expires 10/27/24)(a) |  |  |  |  |  |  | 999 |  |  | $ | 3,996 |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  |  |  |  |  |  |  |  | 3,996 |
Total Investments — 147.3% (Cost: $722,691,105) |  |  |  |  |  |  |  |  |  |  | 718,657,534 |
Liabilities in Excess of Other Assets — (47.3)% |  |  |  | (230,606,283 | )
Net Assets — 100.0% |  |  |  |  |  |  |  |  |  | $ | 488,051,251 |

(a) | Non-income producing security.

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

(c) | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) | Issuer filed for bankruptcy and/or is in default.

(e) | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(f) | Convertible security.

(g) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

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

(i) | Amount is less than 500.

(j) | Affiliate of the Fund.

(k) | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/19 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 12/31/20 |  |  | Shares Held at 12/31/20 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) |  | $ | — |  |  | $ | — |  |  | $ | — | (b) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | — |  |  | $ | 6,693 |  |  | $ | — |
iShares iBoxx $ High Yield Corporate Bond ETF |  |  | — |  |  |  | 19,813,373 |  |  |  | (12,130,758 | ) |  |  | (40,887 | ) |  |  | 739,072 |  |  |  | 8,380,800 |  |  |  | 96,000 |  |  |  | 387,217 |  |  |  | — |
iShares iBoxx $ Investment Grade Corporate Bond ETF |  |  | — |  |  |  | 6,339,007 |  |  |  | (3,451,924 | ) |  |  | 185,270 |  |  |  | 242,767 |  |  |  | 3,315,120 |  |  |  | 24,000 |  |  |  | 79,062 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 144,383 |  |  | $ | 981,839 |  |  | $ | 11,695,920 |  |  |  |  |  |  | $ | 472,972 |  |  | $ | — |

| (a) | As of period end, the entity is no longer held. |

| (b) | Represents net amount purchased (sold). |

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

50 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 2,617,638 |  |  | EUR |  |  | 2,137,500 |  |  | UBS AG |  |  | 02/03/21 |  |  | $ | 4,534 |
EUR |  |  | 2,137,500 |  |  | USD |  |  | 2,615,873 |  |  | UBS AG |  |  | 01/06/21 |  |  |  | (4,519 | )
USD |  |  | 2,559,821 |  |  | EUR |  |  | 2,147,000 |  |  | Goldman Sachs International |  |  | 01/06/21 |  |  |  | (63,139 | )
USD |  |  | 2,571,239 |  |  | EUR |  |  | 2,147,000 |  |  | UBS AG |  |  | 01/06/21 |  |  |  | (51,721 | )
USD |  |  | 2,575,050 |  |  | GBP |  |  | 1,927,000 |  |  | BNP Paribas S.A. |  |  | 01/06/21 |  |  |  | (60,154 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (179,533 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (174,999 | )

Derivative Financial Instruments Categorized by Risk Exposure

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

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 4,534 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,534 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 179,533 |  |  | $ | — |  |  | $ | — |  |  | $ | 179,533 |

For the year ended December 31, 2020, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (322,988 | ) |  | $ | — |  |  | $ | — |  |  | $ | (322,988 | )
Options purchased(a) |  |  | — |  |  |  | — |  |  |  | (105,539 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (105,539 | )
Swaps |  |  | — |  |  |  | 517,108 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 517,108 |
|  | $ | — |  |  | $ | 517,108 |  |  | $ | (105,539 | ) |  | $ | (322,988 | ) |  | $ | — |  |  | $ | — |  |  | $ | 88,581 |
Net Change in Unrealized Appreciation (Depreciation) on |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (28,212 | ) |  | $ | — |  |  | $ | — |  |  | $ | (28,212 | )
Options purchased(b) |  |  | — |  |  |  | — |  |  |  | (65,439 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (65,439 | )
|  | $ | — |  |  | $ | — |  |  | $ | (65,439 | ) |  | $ | (28,212 | ) |  | $ | — |  |  | $ | — |  |  | $ | (93,651 | )

| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |

| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts |  |  |  |
Average amounts purchased — in USD |  | $ | 11,911,250 |
Average amounts sold — in USD |  | $ | 5,413,765 |
Options |  |  |  |
Average value of option contracts purchased |  | $ | — | (a)
Credit default swaps |  |  |  |
Average notional value — sell protection |  | $ | 5,689,475 |

| (a) | Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |

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

S C H E D U L E O F I N V E S T M E N T S |  | 51

Schedule of Investments (continued) December 31, 2020 |  | 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 |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | 4,534 |  |  | $ | 179,533 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 4,534 |  |  |  | 179,533 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | — |
Total derivative assets and liabilities subject to an MNA |  | $ | 4,534 |  |  | $ | 179,533 |

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 |
UBS AG |  | $ | 4,534 |  |  | $ | (4,534) |  |  | $ | — |  |  | $ | — |  |  | $ | — |
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 | (b)
BNP Paribas S.A |  | $ | 60,154 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 60,154 |
Goldman Sachs International |  |  | 63,139 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 63,139 |
UBS AG |  |  | 56,240 |  |  |  | (4,534) |  |  |  | — |  |  |  | — |  |  |  | 51,706 |
|  | $ | 179,533 |  |  | $ | (4,534) |  |  | $ | — |  |  | $ | — |  |  | $ | 174,999 |

| (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 payable due to counterparty in the event of default. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  | $ | 100,386 |  |  | $ | — |  |  | $ | — |  |  | $ | 100,386 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 3,098 |  |  |  | 3,098 |
Energy Equipment & Services |  |  | — |  |  |  | — |  |  |  | 34,445 |  |  |  | 34,445 |
Health Care Management Services |  |  | —15 |  |  |  |  |  |  |  | — |  |  |  | 15 |
Media |  |  | 189,172 |  |  |  | — |  |  |  | — |  |  |  | 189,172 |
Metals & Mining |  |  | — |  |  |  | — |  |  |  | 18,297 |  |  |  | 18,297 |
Oil, Gas & Consumable Fuels |  |  | 47,817 |  |  |  | — |  |  |  | — |  |  |  | 47,817 |
Semiconductors & Semiconductor Equipment |  |  | 54,272 |  |  |  | — |  |  |  | — |  |  |  | 54,272 |
Software |  |  | 1,264 |  |  |  | — |  |  |  | — |  |  |  | 1,264 |
Specialty Retail |  |  | — |  |  |  | 233,400 |  |  |  | — |  |  |  | 233,400 |
Corporate Bonds |  |  | — |  |  |  | 35,390,747 |  |  |  | 425,578 |  |  |  | 35,816,325 |
Floating Rate Loan Interests |  |  | — |  |  |  | 637,692,842 |  |  |  | 31,919,645 |  |  |  | 669,612,487 |
Investment Companies |  |  | 12,542,560 |  |  |  | — |  |  |  | — |  |  |  | 12,542,560 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |

52 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Warrants |  | $ | — |  |  | $ | 3,996 |  |  | $ | — |  |  | $ | 3,996 |
Unfunded Floating Rate Loan Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | (453 | ) |  |  | — |  |  |  | (453 | )
|  | $ | 12,935,471 |  |  | $ | 673,320,547 |  |  | $ | 32,401,063 |  |  | $ | 718,657,081 |
Derivative Financial Instruments(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Exchange Contracts |  | $ | — |  |  | $ | 4,534 |  |  | $ | — |  |  | $ | 4,534 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | (179,533 | ) |  |  | — |  |  |  | (179,533 | )
|  | $ | — |  |  | $ | (174,999 | ) |  | $ | — |  |  | $ | (174,999 | )

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

| (b) | Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $208,000,000 are categorized as Level 2 within the disclosure hierarchy.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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:

|  | Common Stocks |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2019 |  | $ | 556,399 |  |  | $ | — |  |  | $ | 29,886,699 |  |  |  | $ — | (a) |  | $ | 30,443,098 |
Transfers into Level 3(b) |  |  | — |  |  |  | — |  |  |  | 1,335,680 |  |  |  | — |  |  |  | 1,335,680 |
Transfers out of Level 3(c) |  |  | — |  |  |  | — |  |  |  | (11,732,825 | ) |  |  | — |  |  |  | (11,732,825 | )
Accrued discounts/premiums |  |  | — |  |  |  | 13,652 |  |  |  | 103,859 |  |  |  | — |  |  |  | 117,511 |
Net realized gain (loss) |  |  | (17,042 | ) |  |  | 1,139 |  |  |  | (617,144 | ) |  |  | — |  |  |  | (633,047 | )
Net change in unrealized appreciation (depreciation)(d)(e) |  |  | (246,626 | ) |  |  | (16,774 | ) |  |  | 669,067 |  |  |  | — |  |  |  | 405,667 |
Purchases |  |  | 11,824 |  |  |  | 439,925 |  |  |  | 25,534,377 |  |  |  | — |  |  |  | 25,986,126 |
Sales |  |  | (248,715 | ) |  |  | (12,364 | ) |  |  | (13,260,068 | ) |  |  | — |  |  |  | (13,521,147 | )
Closing balance, as of December 31, 2020 |  | $ | 55,840 |  |  | $ | 425,578 |  |  | $ | 31,919,645 |  |  |  | $ — | (a) |  | $ | 32,401,063 |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(e) |  | $ | (194,112 | ) |  | $ | (16,774 | ) |  | $ | 663,724 |  |  |  | $ — |  |  | $ | 452,838 |

| (a) | Rounds to less than $1. |

| (b) | As of December 31, 2019, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |

| (c) | As of December 31, 2019, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2020, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |

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

| (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |

See notes to financial statements.

S C H E D U L E O F I N V E S T M E N T S |  | 53

Schedule of Investments December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities |
522 Funding CLO I Ltd., Series 2019-1A, Class E, (3 mo. LIBOR US + 7.34%), 7.58%, 01/15/33(a)(b) |  |  | USD |  |  |  | 250 |  |  | $ | 249,553 |
AIMCO CLO, Series 2017-AA, Class C, (3 mo. LIBOR US + 2.45%), 2.67%, 07/20/29(a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 994,577 |
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 3.21%, 10/21/28(a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 967,803 |
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class CR2, (3 mo. LIBOR US + 2.70%), 2.94%, 07/15/27(a)(b) |  |  |  |  |  |  | 270 |  |  |  | 267,835 |
Anchorage Capital CLO Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |  |  |
Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 5.72%, 01/28/31 |  |  |  |  |  |  | 850 |  |  |  | 796,997 |
Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.82%, 01/28/31 |  |  |  |  |  |  | 250 |  |  |  | 236,629 |
Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.72%, 01/28/31 |  |  |  |  |  |  | 1,000 |  |  |  | 989,614 |
Series 2016-8A, Class ER, (3 mo. LIBOR US + 5.75%), 5.97%, 07/28/28 |  |  |  |  |  |  | 1,000 |  |  |  | 955,226 |
Ares LV CLO Ltd., Series 2020-55A, Class D, (3 mo. LIBOR US + 4.83%), 5.07%, 04/15/31(a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 999,920 |
Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 0.45%, 06/25/36(a) |  |  |  |  |  |  | 5,162 |  |  |  | 3,766,856 |
Bain Capital Credit CLO Ltd., Series 2020-2A, Class D, (3 mo. LIBOR US + 4.81%), 5.03%, 07/21/31(a)(b)(c) |  |  |  |  |  |  | 300 |  |  |  | 301,590 |
Benefit Street Partners CLO VII Ltd., Series 2015- VIIA, Class CR, 2.62%, 07/18/27(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 244,760 |
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class C, (3 mo. LIBOR US + 2.60%), 2.84%, 07/15/31(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 248,533 |
BlueMountain CLO XXVI Ltd., Series 2019-26A, Class E, (3 mo. LIBOR US + 7.70%), 7.92%, 10/20/32(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 250,709 |
CarVal CLO II Ltd., Series 2019-1A, Class C, 3.47%, 04/20/32(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 250,249 |
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.66%, 07/20/32(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 489,486 |
CarVal CLO Ltd., Series 2018-1A, Class E, 6.00%, 07/16/31(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 430,017 |
Cedar Funding IV CLO Ltd., Series 2014-4A, Class DR, (3 mo. LIBOR US + 3.65%), 3.86%, 07/23/30(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 497,630 |
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36(d) |  |  |  |  |  |  | 440 |  |  |  | 367,114 |
Clear Creek CLO, Series 2015-1A, Class DR, 3.17%, 10/20/30(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 243,972 |
Countrywide Asset-Backed Certificates, Series 2006- 26, Class 1A, (1 mo. LIBOR US + 0.14%), 0.29%, 06/25/37(a) |  |  |  |  |  |  | 741 |  |  |  | 686,488 |
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30(b) |  |  |  |  |  |  | 333 |  |  |  | 334,007 |

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.87%, 04/18/31(a)(b) |  |  | USD |  |  |  | 250 |  |  | $ | 244,090 |
Elmwood CLO III Ltd., Series 2019-3A, Class E, (3 mo. LIBOR US + 7.00%), 7.24%, 10/15/32(a)(b) |  |  |  |  |  |  | 950 |  |  |  | 945,928 |
Elmwood CLO V Ltd., Series 2020-2A, Class C, (3 mo. LIBOR US + 2.75%), 3.03%, 07/24/31(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 502,440 |
Litigation Fee Residual Funding, 4.00%, 10/30/27(c) |  |  |  |  |  |  | 481 |  |  |  | 481,162 |
Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.62%, 01/20/29(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 486,553 |
Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.70%), 3.92%, 04/20/26(a)(b) |  |  |  |  |  |  | 300 |  |  |  | 298,046 |
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ER, (3 mo. LIBOR US + 5.00%), 5.24%, 01/15/28(a)(b) |  |  |  |  |  |  | 790 |  |  |  | 740,903 |
Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%), 5.42%, 10/20/27(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 413,998 |
Octagon Investment Partners 31 LLC, Series 2017- 1A, Class E, (3 mo. LIBOR US + 6.30%), 6.52%, 07/20/30(a)(b) |  |  |  |  |  |  | 500 |  |  |  | 481,947 |
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.37%, 10/17/29(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 243,450 |
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 5.76%, 01/20/31(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 231,816 |
Palmer Square CLO Ltd., Series 2020-1A, Class C, (3 mo. LIBOR US + 3.00%), 3.22%, 04/20/29(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 249,329 |
Palmer Square Loan Funding Ltd., Series 2018-5A, Class B, (3 mo. LIBOR US + 1.90%), 2.12%, 01/20/27(a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 990,216 |
Park Avenue Institutional Advisers CLO Ltd., Series 2017-1A, Class D, (3 mo. LIBOR US + 6.22%), 6.44%, 11/14/29(a)(b) |  |  |  |  |  |  | 1,750 |  |  |  | 1,691,447 |
Rockford Tower CLO Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |  |  |
Series 2017-1A, Class DR, (3 mo. LIBOR US + 2.65%), 2.89%, 04/15/29 |  |  |  |  |  |  | 250 |  |  |  | 239,331 |
Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.09%, 10/15/29 |  |  |  |  |  |  | 500 |  |  |  | 492,903 |
Sterling Coofs Trust(c) |  |  |  |  |  |  |  |  |  |  |  |
Series 2004-1, Class A, 2.36%, 04/15/29 |  |  |  |  |  |  | 1,303 |  |  |  | 13,035 |
Series 2004-2, Class Note, 2.08%, 03/30/30(b) |  |  |  |  |  |  | 1,851 |  |  |  | 18,509 |
Symphony CLO XVIII Ltd., Series 2016-18A, Class D, (3 mo. LIBOR US + 4.00%), 4.21%, 01/23/28(a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 991,347 |
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.29%, 04/15/33(a)(b) |  |  |  |  |  |  | 250 |  |  |  | 238,852 |
Voya CLO Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |  |  |
Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 2.86%, 07/25/26 |  |  |  |  |  |  | 250 |  |  |  | 245,918 |
Series 2019-3A, Class C, (3 mo. LIBOR US + 2.60%), 2.82%, 10/17/32 |  |  |  |  |  |  | 1,000 |  |  |  | 988,397 |

54 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |
Westcott Park CLO Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.25%), 3.47%, 07/20/28(a)(b) |  |  | USD |  |  |  | 500 |  |  | $ | 497,599 |
York CLO Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |  |  |
Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 3.82%, 10/20/29 |  |  |  |  |  |  | 250 |  |  |  | 250,118 |
Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 6.97%, 04/20/32 |  |  |  |  |  |  | 1,000 |  |  |  | 940,847 |
Total Asset-Backed Securities — 4.6% (Cost: $27,633,891) |  |  |  | 27,487,746 |

|  |  |  |  | Shares |  |  |  |
Common Stocks |
Construction & Engineering — 0.0% |
McDermott International Ltd.(e) |  |  |  |  |  |  | 47,837 |  |  |  | 38,748 |
Consumer Finance — 0.0% |
Arrow Global Group PLC(e) |  |  |  |  |  |  | 3,932 |  |  |  | 10,993 |
Diversified Financial Services — 0.0% |
Kcad Holdings I Ltd.(c) |  |  |  |  |  |  | 546,753,936 |  |  |  | 5,468 |
Energy Equipment & Services — 0.0% |
Pioneer Energy Services Corp.(c) |  |  |  |  |  |  | 273 |  |  |  | 10,601 |
Health Care Management Services — 0.0% |
New Millennium HoldCo, Inc. |  |  |  |  |  |  | 8,511 |  |  |  | 8 |
Household Durables — 0.0% |
Berkline Benchcraft Equity LLC(c) |  |  |  |  |  |  | 3,155 |  |  |  | — |
Media — 0.0% |
Clear Channel Outdoor Holdings, Inc.(e) |  |  |  |  |  |  | 38,911 |  |  |  | 64,203 |
Metals & Mining — 0.0% |
Ameriforge Group, Inc. |  |  |  |  |  |  | 801 |  |  |  | 14,018 |
Preferred Proppants LLC(c) |  |  |  |  |  |  | 5,738 |  |  |  | 8,607 |
|  |  |  |  |  |  |  |  |  |  | 22,625 |
Oil, Gas & Consumable Fuels — 0.0% |
California Resources Corp.(e) |  |  |  |  |  |  | 700 |  |  |  | 16,513 |
Software — 0.0% |
Avaya Holdings Corp.(e) |  |  |  |  |  |  | 19 |  |  |  | 364 |
Specialty Retail — 0.0% |
NMG Parent LLC |  |  |  |  |  |  | 1,330 |  |  |  | 85,918 |
Total Common Stocks — 0.0% (Cost: $7,786,659) |  |  |  | 255,441 |

|  |  |  |  | Par (000) |  |  |  |
Corporate Bonds |
Aerospace & Defense — 2.2% |
Amsted Industries, Inc., 5.63%, 07/01/27(b) |  |  | USD |  |  |  | 156 |  |  |  | 165,750 |
Bombardier, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 12/01/21(f) |  |  |  |  |  |  | 779 |  |  |  | 810,160 |
5.75%, 03/15/22 |  |  |  |  |  |  | 108 |  |  |  | 110,189 |
6.00%, 10/15/22 |  |  |  |  |  |  | 8 |  |  |  | 7,853 |
6.13%, 01/15/23(f) |  |  |  |  |  |  | 338 |  |  |  | 330,395 |
7.50%, 12/01/24 |  |  |  |  |  |  | 135 |  |  |  | 129,501 |
7.50%, 03/15/25 |  |  |  |  |  |  | 33 |  |  |  | 30,608 |

Security |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |
Bombardier, Inc.(b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 04/15/27(f) |  |  | USD |  |  |  | 636 |  |  | $ | 584,764 |
F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b) |  |  |  |  |  |  | 423 |  |  |  | 410,310 |
Howmet Aerospace, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.87%, 02/23/22(f) |  |  |  |  |  |  | 730 |  |  |  | 763,763 |
5.13%, 10/01/24 |  |  |  |  |  |  | 5 |  |  |  | 5,504 |
Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b)(f) |  |  |  |  |  |  | 378 |  |  |  | 396,428 |
Moog, Inc., 4.25%, 12/15/27(b) |  |  |  |  |  |  | 156 |  |  |  | 161,850 |
Rolls-Royce PLC, 5.75%, 10/15/27(b) |  |  |  |  |  |  | 218 |  |  |  | 241,435 |
Signature Aviation US Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/26 |  |  |  |  |  |  | 271 |  |  |  | 277,775 |
4.00%, 03/01/28 |  |  |  |  |  |  | 234 |  |  |  | 235,556 |
Spirit AeroSystems, Inc., 5.50%, 01/15/25(b) |  |  |  |  |  |  | 181 |  |  |  | 190,937 |
TransDigm, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 12/15/25(b)(f) |  |  |  |  |  |  | 815 |  |  |  | 900,819 |
6.25%, 03/15/26(b)(f) |  |  |  |  |  |  | 6,032 |  |  |  | 6,424,080 |
6.38%, 06/15/26 |  |  |  |  |  |  | 194 |  |  |  | 200,790 |
Triumph Group, Inc., 8.88%, 06/01/24(b)(f) |  |  |  |  |  |  | 851 |  |  |  | 933,972 |
|  |  |  |  |  |  |  |  |  |  | 13,312,439 |
Air Freight & Logistics — 0.0% |
XPO Logistics, Inc., 6.75%, 08/15/24(b) |  |  |  |  |  |  | 18 |  |  |  | 19,125 |
Airlines — 1.7% |
American Airlines Pass-Through Trust, |  |  |  |  |  |  |  |  |  |  |  |
Series 2013-2, Class A, 4.95%, 07/15/24(f) |  |  |  |  |  |  | 1,727 |  |  |  | 1,645,450 |
American Airlines, Inc., 11.75%, 07/15/25(b) |  |  |  |  |  |  | 945 |  |  |  | 1,089,821 |
Avianca Holdings SA, (3 mo. LIBOR US + 10.50% Cash or 12.00% PIK), 10.74%, 11/10/21(a)(b)(g) |  |  |  |  |  |  | 68 |  |  |  | 63,240 |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) |  |  |  |  |  |  | 136 |  |  |  | 148,446 |
Gol Finance SA, 7.00%, 01/31/25(b) |  |  |  |  |  |  | 200 |  |  |  | 179,312 |
Latam Finance Ltd., 6.88%, 04/11/24(b)(e)(h) |  |  |  |  |  |  | 203 |  |  |  | 102,008 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) |  |  |  |  |  |  | 2,135 |  |  |  | 2,295,125 |
United Airlines Pass-Through Trust(f) |  |  |  |  |  |  |  |  |  |  |  |
Series 2015-1, Class A, 3.70%, 06/01/24 |  |  |  |  |  |  | 2,430 |  |  |  | 2,408,196 |
Series 2016-1, Class A, 5.88%, 10/15/27 |  |  |  |  |  |  | 1,903 |  |  |  | 2,055,644 |
|  |  |  |  |  |  |  |  |  |  | 9,987,242 |
Auto Components — 0.9% |
Aptiv PLC, 4.40%, 10/01/46 |  |  |  |  |  |  | 240 |  |  |  | 258,082 |
Clarios Global LP, 6.75%, 05/15/25(b) |  |  |  |  |  |  | 540 |  |  |  | 581,850 |
Clarios Global LP/Clarios US Finance Co. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 05/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 126,551 |
6.25%, 05/15/26(b)(f) |  |  | USD |  |  |  | 1,526 |  |  |  | 1,636,635 |
8.50%, 05/15/27(b)(f) |  |  |  |  |  |  | 2,098 |  |  |  | 2,279,287 |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) . |  |  |  |  |  |  | 334 |  |  |  | 351,679 |
Faurecia SE, 3.75%, 06/15/28 |  |  | EUR |  |  |  | 100 |  |  |  | 128,120 |
ZF Finance GmbH |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 09/21/25 |  |  |  |  |  |  | 100 |  |  |  | 126,135 |
3.75%, 09/21/28 |  |  |  |  |  |  | 100 |  |  |  | 131,022 |
|  |  |  |  |  |  |  |  |  |  | 5,619,361 |
Automobiles — 1.8% |
Allison Transmission, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 06/01/29(f) |  |  | USD |  |  |  | 396 |  |  |  | 437,580 |
3.75%, 01/30/31 |  |  |  |  |  |  | 311 |  |  |  | 318,192 |
Asbury Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 03/01/28 |  |  |  |  |  |  | 129 |  |  |  | 134,483 |
4.75%, 03/01/30 |  |  |  |  |  |  | 124 |  |  |  | 132,990 |
FCE Bank PLC, 1.62%, 05/11/23 |  |  | EUR |  |  |  | 100 |  |  |  | 122,228 |

S C H E D U L E O F I N V E S T M E N T S |  | 55

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Automobiles (continued) |
Ford Motor Co. |  |  |  |  |  |  |  |  |  |  |  |
8.50%, 04/21/23 |  |  | USD |  |  |  | 982 |  |  | $ | 1,105,251 |
4.35%, 12/08/26 |  |  |  |  |  |  | 11 |  |  |  | 11,715 |
5.29%, 12/08/46 |  |  |  |  |  |  | 48 |  |  |  | 50,160 |
Ford Motor Credit Co. LLC(f) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 08/02/21 |  |  |  |  |  |  | 522 |  |  |  | 534,267 |
2.98%, 08/03/22 |  |  |  |  |  |  | 449 |  |  |  | 456,498 |
3.35%, 11/01/22 |  |  |  |  |  |  | 215 |  |  |  | 218,762 |
3.81%, 01/09/24 |  |  |  |  |  |  | 629 |  |  |  | 644,725 |
4.06%, 11/01/24 |  |  |  |  |  |  | 200 |  |  |  | 210,114 |
5.13%, 06/16/25 |  |  |  |  |  |  | 690 |  |  |  | 750,237 |
4.13%, 08/04/25 |  |  |  |  |  |  | 411 |  |  |  | 431,036 |
3.38%, 11/13/25 |  |  |  |  |  |  | 200 |  |  |  | 205,472 |
4.39%, 01/08/26 |  |  |  |  |  |  | 400 |  |  |  | 419,872 |
5.11%, 05/03/29 |  |  |  |  |  |  | 526 |  |  |  | 585,806 |
General Motors Co. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 10/01/25 |  |  |  |  |  |  | 254 |  |  |  | 308,094 |
6.80%, 10/01/27(f) |  |  |  |  |  |  | 534 |  |  |  | 686,249 |
5.00%, 10/01/28 |  |  |  |  |  |  | 61 |  |  |  | 72,582 |
General Motors Financial Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 09/25/21(f) |  |  |  |  |  |  | 530 |  |  |  | 544,311 |
2.75%, 06/20/25 |  |  |  |  |  |  | 352 |  |  |  | 376,395 |
5.65%, 01/17/29 |  |  |  |  |  |  | 67 |  |  |  | 83,019 |
Group 1 Automotive, Inc., 4.00%, 08/15/28(b) |  |  |  |  |  |  | 252 |  |  |  | 259,757 |
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) |  |  |  |  |  |  | 122 |  |  |  | 126,880 |
Navistar International Corp., 6.63%, 11/01/25(b) |  |  |  |  |  |  | 324 |  |  |  | 339,439 |
Nissan Motor Co. Ltd., 4.81%, 09/17/30(b) |  |  |  |  |  |  | 305 |  |  |  | 343,435 |
Penske Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 09/01/25 |  |  |  |  |  |  | 214 |  |  |  | 217,478 |
5.50%, 05/15/26 |  |  |  |  |  |  | 32 |  |  |  | 33,240 |
Renault SA, 2.38%, 05/25/26 |  |  | EUR |  |  |  | 100 |  |  |  | 123,539 |
Tesla, Inc., 5.30%, 08/15/25(b)(f) |  |  | USD |  |  |  | 422 |  |  |  | 439,935 |
Wabash National Corp., 5.50%, 10/01/25(b) |  |  |  |  |  |  | 241 |  |  |  | 245,820 |
|  |  |  |  |  |  |  |  |  |  | 10,969,561 |
Banks — 1.7% |
Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25 |  |  | EUR |  |  |  | 100 |  |  |  | 125,243 |
Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(a) |  |  |  |  |  |  | 100 |  |  |  | 118,465 |
Banco Espirito Santo SA(e)(h) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/21(a) |  |  |  |  |  |  | 100 |  |  |  | 15,882 |
4.00%, 01/21/21 |  |  |  |  |  |  | 100 |  |  |  | 15,881 |
Bancolombia SA, (5 year CMT + 2.94%), 4.63%, 12/18/29(a) |  |  | USD |  |  |  | 200 |  |  |  | 210,000 |
Bangkok Bank PCL, (5 year CMT + 4.73%), 5.00%(a)(i) |  |  |  |  |  |  | 201 |  |  |  | 209,354 |
Banistmo SA, 3.65%, 09/19/22 |  |  |  |  |  |  | 200 |  |  |  | 205,000 |
Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25 |  |  |  |  |  |  | 200 |  |  |  | 203,188 |
Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70%(a)(i) |  |  |  |  |  |  | 250 |  |  |  | 253,906 |
CIT Group, Inc., 5.00%, 08/01/23(f) |  |  |  |  |  |  | 382 |  |  |  | 417,335 |
Commerzbank AG, (5 year EUR Swap + 4.35%), 4.00%, 12/05/30(a) |  |  | EUR |  |  |  | 100 |  |  |  | 133,384 |
Emirates NBD Bank PJSC, (6 year USD Swap + 3.66%), 6.13%(a)(i) |  |  | USD |  |  |  | 250 |  |  |  | 266,250 |
Grupo Aval Ltd., 4.38%, 02/04/30(b) |  |  |  |  |  |  | 200 |  |  |  | 212,688 |
Intesa Sanpaolo SpA, 5.02%, 06/26/24(b)(f) |  |  |  |  |  |  | 2,442 |  |  |  | 2,671,738 |
Itau Unibanco Holding SA, 5.13%, 05/13/23(b) |  |  |  |  |  |  | 200 |  |  |  | 213,438 |

Security |  |  |  |  | Par (000) |  |  | Value |
Banks (continued) |
Santander Holdings USA, Inc., 4.50%, 07/17/25(f) |  |  | USD |  |  |  | 1,750 |  |  | $ | 1,985,480 |
Santander UK Group Holdings PLC, 2.88%, 08/05/21(f) |  |  |  |  |  |  | 950 |  |  |  | 963,305 |
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(a)(b)(f) |  |  |  |  |  |  | 1,500 |  |  |  | 1,595,542 |
Unione di Banche Italiane SpA, (5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a) |  |  | EUR |  |  |  | 100 |  |  |  | 136,468 |
|  |  |  |  |  |  |  |  |  |  | 9,952,547 |
Beverages — 1.3% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(f) |  |  | USD |  |  |  | 800 |  |  |  | 1,040,184 |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(f)(g) |  |  |  |  |  |  | 891 |  |  |  | 951,143 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 04/30/25(b) |  |  |  |  |  |  | 244 |  |  |  | 257,420 |
4.13%, 08/15/26(b)(f) |  |  |  |  |  |  | 276 |  |  |  | 288,420 |
4.75%, 07/15/27 |  |  | GBP |  |  |  | 100 |  |  |  | 141,708 |
4.75%, 07/15/27(b) |  |  |  |  |  |  | 100 |  |  |  | 141,708 |
5.25%, 08/15/27(b)(f) |  |  | USD |  |  |  | 652 |  |  |  | 684,476 |
Ball Corp., 4.88%, 03/15/26 |  |  |  |  |  |  | 86 |  |  |  | 97,137 |
Canpack SA/Eastern PA Land Investment Holding LLC, 3.13%, 11/01/25(b) |  |  |  |  |  |  | 211 |  |  |  | 210,473 |
Central American Bottling Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 01/31/27(b) |  |  |  |  |  |  | 176 |  |  |  | 186,450 |
5.75%, 01/31/27 |  |  |  |  |  |  | 105 |  |  |  | 111,234 |
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 |  |  |  |  |  |  | 34 |  |  |  | 41,395 |
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b)(f) |  |  |  |  |  |  | 794 |  |  |  | 809,666 |
OI European Group BV, 2.88%, 02/15/25 |  |  | EUR |  |  |  | 100 |  |  |  | 123,689 |
Silgan Holdings, Inc., 4.13%, 02/01/28 |  |  | USD |  |  |  | 58 |  |  |  | 60,248 |
Trivium Packaging Finance BV |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 08/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 125,463 |
5.50%, 08/15/26(b)(f) |  |  | USD |  |  |  | 1,004 |  |  |  | 1,061,730 |
8.50%, 08/15/27(b)(f) |  |  |  |  |  |  | 1,367 |  |  |  | 1,496,865 |
|  |  |  |  |  |  |  |  |  |  | 7,829,409 |
Biotechnology — 0.0% |
Emergent BioSolutions, Inc., 3.88%, 08/15/28(b) |  |  |  |  |  |  | 76 |  |  |  | 78,698 |
Building Materials — 0.9% |
Boise Cascade Co., 4.88%, 07/01/30(b) |  |  |  |  |  |  | 136 |  |  |  | 147,220 |
Cemex SAB de CV, 5.45%, 11/19/29 |  |  |  |  |  |  | 200 |  |  |  | 219,750 |
Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b) |  |  |  |  |  |  | 362 |  |  |  | 384,625 |
CP Atlas Buyer, Inc., 7.00%, 12/01/28(b) |  |  |  |  |  |  | 93 |  |  |  | 96,720 |
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b) |  |  |  |  |  |  | 410 |  |  |  | 440,750 |
Griffon Corp., 5.75%, 03/01/28 |  |  |  |  |  |  | 87 |  |  |  | 92,002 |
James Hardie International Finance DAC, 5.00%, 01/15/28(b) |  |  |  |  |  |  | 200 |  |  |  | 212,434 |
Jeld-Wen, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 05/15/25 |  |  |  |  |  |  | 146 |  |  |  | 157,680 |
4.63%, 12/15/25 |  |  |  |  |  |  | 55 |  |  |  | 56,128 |
4.88%, 12/15/27 |  |  |  |  |  |  | 17 |  |  |  | 17,978 |
Masonite International Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/15/26 |  |  |  |  |  |  | 86 |  |  |  | 89,870 |
5.38%, 02/01/28 |  |  |  |  |  |  | 101 |  |  |  | 108,449 |
Norbord, Inc., 6.25%, 04/15/23(b) |  |  |  |  |  |  | 152 |  |  |  | 164,920 |
SRM Escrow Issuer LLC, 6.00%, 11/01/28(b) |  |  |  |  |  |  | 1,188 |  |  |  | 1,241,644 |

56 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Building Materials (continued) |
Standard Industries, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2.25%, 11/21/26 |  |  | EUR |  |  |  | 100 |  |  | $ | 123,226 |
5.00%, 02/15/27(b) |  |  | USD |  |  |  | 174 |  |  |  | 181,830 |
4.75%, 01/15/28(b) |  |  |  |  |  |  | 46 |  |  |  | 48,415 |
4.38%, 07/15/30(b)(f) |  |  |  |  |  |  | 479 |  |  |  | 512,401 |
3.38%, 01/15/31(b)(f) |  |  |  |  |  |  | 628 |  |  |  | 631,140 |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) |  |  |  |  |  |  | 235 |  |  |  | 246,750 |
|  |  |  |  |  |  |  |  |  |  | 5,173,932 |
Building Products(b) — 0.3% |
Advanced Drainage Systems, Inc., 5.00%, 09/30/27 |  |  |  |  |  |  | 262 |  |  |  | 275,199 |
LBM Acquisition LLC, 6.25%, 01/15/29 |  |  |  |  |  |  | 198 |  |  |  | 204,435 |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |  |  |  |  |  |  | 388 |  |  |  | 411,179 |
SRS Distribution, Inc., 8.25%, 07/01/26(f) |  |  |  |  |  |  | 466 |  |  |  | 495,125 |
White Cap Buyer LLC, 6.88%, 10/15/28 |  |  |  |  |  |  | 495 |  |  |  | 527,794 |
|  |  |  |  |  |  |  |  |  |  | 1,913,732 |
Capital Markets — 0.5% |
Charles Schwab Corp., (10 year CMT + 3.08%), 4.00%(a)(i) |  |  |  |  |  |  | 835 |  |  |  | 878,838 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 02/01/22(f) |  |  |  |  |  |  | 299 |  |  |  | 299,748 |
4.75%, 09/15/24 |  |  |  |  |  |  | 93 |  |  |  | 96,604 |
6.38%, 12/15/25 |  |  |  |  |  |  | 120 |  |  |  | 124,140 |
6.25%, 05/15/26 |  |  |  |  |  |  | 366 |  |  |  | 387,557 |
5.25%, 05/15/27(f) |  |  |  |  |  |  | 489 |  |  |  | 524,208 |
Intercorp Peru Ltd., 3.88%, 08/15/29(b) |  |  |  |  |  |  | 225 |  |  |  | 233,156 |
LHC3 PLC, (4.13% Cash or 4.88% PIK), 4.13%, 08/15/24(g) |  |  | EUR |  |  |  | 100 |  |  |  | 124,303 |
NFP Corp., 6.88%, 08/15/28(b) |  |  | USD |  |  |  | 221 |  |  |  | 235,957 |
Owl Rock Capital Corp., 5.25%, 04/15/24(f) |  |  |  |  |  |  | 88 |  |  |  | 95,240 |
RP Escrow Issuer LLC, 5.25%, 12/15/25(b) |  |  |  |  |  |  | 156 |  |  |  | 163,029 |
|  |  |  |  |  |  |  |  |  |  | 3,162,780 |
Chemicals — 1.6% |
Atotech Alpha 2 BV, (8.75% Cash or 9.50% PIK), 8.75%, 06/01/23(b)(f)(g) |  |  |  |  |  |  | 656 |  |  |  | 660,920 |
Atotech Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 02/01/25(b)(f) |  |  |  |  |  |  | 1,830 |  |  |  | 1,862,025 |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) |  |  |  |  |  |  | 297 |  |  |  | 297,000 |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b). |  |  |  |  |  |  | 170 |  |  |  | 180,838 |
Blue Cube Spinco LLC |  |  |  |  |  |  |  |  |  |  |  |
9.75%, 10/15/23 |  |  |  |  |  |  | 52 |  |  |  | 53,430 |
10.00%, 10/15/25(f) |  |  |  |  |  |  | 380 |  |  |  | 402,325 |
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b) |  |  |  |  |  |  | 278 |  |  |  | 310,057 |
Element Solutions, Inc., 3.88%, 09/01/28(b)(f) |  |  |  |  |  |  | 1,191 |  |  |  | 1,225,241 |
Equate Petrochemical BV, 4.25%, 11/03/26(b) |  |  |  |  |  |  | 211 |  |  |  | 234,803 |
GCP Applied Technologies, Inc., 5.50%, 04/15/26(b) . |  |  |  |  |  |  | 165 |  |  |  | 169,950 |
HB Fuller Co., 4.25%, 10/15/28 |  |  |  |  |  |  | 98 |  |  |  | 100,450 |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) |  |  |  |  |  |  | 360 |  |  |  | 396,000 |
INEOS Finance PLC, 3.38%, 03/31/26 |  |  | EUR |  |  |  | 100 |  |  |  | 125,860 |
Ingevity Corp., 3.88%, 11/01/28(b) |  |  | USD |  |  |  | 84 |  |  |  | 84,630 |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) |  |  |  |  |  |  | 169 |  |  |  | 176,842 |
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 |  |  | EUR |  |  |  | 100 |  |  |  | 126,459 |
NOVA Chemicals Corp., 4.88%, 06/01/24(b) |  |  | USD |  |  |  | 67 |  |  |  | 69,764 |

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |
Orbia Advance Corp. SAB de CV, 5.50%, 01/15/48(b) |  |  | USD |  |  |  | 200 |  |  | $ | 240,562 |
PQ Corp., 5.75%, 12/15/25(b)(f) |  |  |  |  |  |  | 543 |  |  |  | 557,254 |
Valvoline, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 08/15/25 |  |  |  |  |  |  | 130 |  |  |  | 134,260 |
4.25%, 02/15/30(b) |  |  |  |  |  |  | 126 |  |  |  | 133,560 |
3.63%, 06/15/31(b)(j) |  |  |  |  |  |  | 1 |  |  |  | 1,026 |
WESCO Distribution, Inc.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/25 |  |  |  |  |  |  | 676 |  |  |  | 743,485 |
7.25%, 06/15/28 |  |  |  |  |  |  | 616 |  |  |  | 700,571 |
WR Grace & Co-Conn(b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/24 |  |  |  |  |  |  | 216 |  |  |  | 233,010 |
4.88%, 06/15/27 |  |  |  |  |  |  | 189 |  |  |  | 200,438 |
Yingde Gases Investment Ltd., 6.25%, 01/19/23 |  |  |  |  |  |  | 200 |  |  |  | 206,125 |
|  |  |  |  |  |  |  |  |  |  | 9,626,885 |
Commercial Services & Supplies — 0.6% |
ADT Security Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 06/15/23 |  |  |  |  |  |  | 9 |  |  |  | 9,595 |
4.88%, 07/15/32(b)(f) |  |  |  |  |  |  | 575 |  |  |  | 623,156 |
APX Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 12/01/22(f) |  |  |  |  |  |  | 252 |  |  |  | 252,630 |
8.50%, 11/01/24 |  |  |  |  |  |  | 60 |  |  |  | 63,000 |
ASGN, Inc., 4.63%, 05/15/28(b) |  |  |  |  |  |  | 91 |  |  |  | 94,640 |
Fortress Transportation & Infrastructure Investors LLC, 6.50%, 10/01/25(b) |  |  |  |  |  |  | 75 |  |  |  | 78,383 |
Herc Holdings, Inc., 5.50%, 07/15/27(b) |  |  |  |  |  |  | 383 |  |  |  | 405,980 |
Intertrust Group BV, 3.38%, 11/15/25 |  |  | EUR |  |  |  | 100 |  |  |  | 124,580 |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 04/15/24 |  |  | USD |  |  |  | 141 |  |  |  | 150,518 |
5.75%, 04/15/26(f) |  |  |  |  |  |  | 320 |  |  |  | 350,400 |
3.38%, 08/31/27 |  |  |  |  |  |  | 341 |  |  |  | 338,443 |
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b) |  |  |  |  |  |  | 187 |  |  |  | 192,470 |
United Rentals North America, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 09/15/26 |  |  |  |  |  |  | 17 |  |  |  | 17,998 |
5.50%, 05/15/27 |  |  |  |  |  |  | 339 |  |  |  | 362,730 |
3.88%, 11/15/27 |  |  |  |  |  |  | 178 |  |  |  | 186,455 |
5.25%, 01/15/30 |  |  |  |  |  |  | 161 |  |  |  | 178,710 |
4.00%, 07/15/30 |  |  |  |  |  |  | 70 |  |  |  | 73,675 |
|  |  |  |  |  |  |  |  |  |  | 3,503,363 |
Communications Equipment — 0.6% |
Avaya, Inc., 6.13%, 09/15/28(b)(f) |  |  |  |  |  |  | 606 |  |  |  | 647,366 |
CommScope Technologies LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 06/15/25 |  |  |  |  |  |  | 360 |  |  |  | 368,100 |
5.00%, 03/15/27 |  |  |  |  |  |  | 240 |  |  |  | 236,400 |
CommScope, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 03/01/24(f) |  |  |  |  |  |  | 749 |  |  |  | 772,219 |
6.00%, 03/01/26 |  |  |  |  |  |  | 358 |  |  |  | 377,189 |
8.25%, 03/01/27 |  |  |  |  |  |  | 39 |  |  |  | 41,632 |
7.13%, 07/01/28 |  |  |  |  |  |  | 35 |  |  |  | 37,275 |
Nokia OYJ |  |  |  |  |  |  |  |  |  |  |  |
3.38%, 06/12/22 |  |  |  |  |  |  | 106 |  |  |  | 109,545 |
4.38%, 06/12/27 |  |  |  |  |  |  | 149 |  |  |  | 162,503 |
ViaSat, Inc.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 04/15/27 |  |  |  |  |  |  | 545 |  |  |  | 572,250 |
6.50%, 07/15/28 |  |  |  |  |  |  | 477 |  |  |  | 516,214 |
|  |  |  |  |  |  |  |  |  |  | 3,840,693 |
Construction & Engineering — 0.1% |
frontdoor, Inc., 6.75%, 08/15/26(b)(f) |  |  |  |  |  |  | 473 |  |  |  | 504,336 |

S C H E D U L E O F I N V E S T M E N T S |  | 57

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Construction & Engineering (continued) |  |  |  |  |  |  |  |  |  |  |  |
KBR, Inc., 4.75%, 09/30/28(b) |  |  | USD |  |  |  | 186 |  |  | $ | 193,905 |
SPIE SA, 2.63%, 06/18/26 |  |  | EUR |  |  |  | 100 |  |  |  | 127,785 |
|  |  |  |  |  |  |  |  |  |  | 826,026 |
Construction Materials(b) — 0.9% |  |  |  |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 05/15/26 |  |  | USD |  |  |  | 412 |  |  |  | 426,935 |
4.00%, 01/15/28(f) |  |  |  |  |  |  | 375 |  |  |  | 388,125 |
Core & Main LP, 6.13%, 08/15/25(f) |  |  |  |  |  |  | 1,743 |  |  |  | 1,801,826 |
H&E Equipment Services, Inc., 3.88%, 12/15/28 |  |  |  |  |  |  | 128 |  |  |  | 129,370 |
IAA, Inc., 5.50%, 06/15/27 |  |  |  |  |  |  | 372 |  |  |  | 394,320 |
KAR Auction Services, Inc., 5.13%, 06/01/25(f) |  |  |  |  |  |  | 380 |  |  |  | 391,031 |
Picasso Finance Sub, Inc., 6.13%, 06/15/25(f) |  |  |  |  |  |  | 499 |  |  |  | 533,930 |
Williams Scotsman International, Inc., 4.63%, 08/15/28 |  |  |  |  |  |  | 243 |  |  |  | 251,505 |
Winnebago Industries, Inc., 6.25%, 07/15/28 |  |  |  |  |  |  | 137 |  |  |  | 147,275 |
Wolverine Escrow LLC |  |  |  |  |  |  |  |  |  |  |  |
8.50%, 11/15/24(f) |  |  |  |  |  |  | 256 |  |  |  | 244,232 |
9.00%, 11/15/26 |  |  |  |  |  |  | 913 |  |  |  | 864,200 |
|  |  |  |  |  |  |  |  |  |  | 5,572,749 |
Consumer Discretionary — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Carnival Corp. |  |  |  |  |  |  |  |  |  |  |  |
11.50%, 04/01/23(b) |  |  |  |  |  |  | 281 |  |  |  | 325,038 |
10.13%, 02/01/26 |  |  | EUR |  |  |  | 100 |  |  |  | 141,031 |
9.88%, 08/01/27(b) |  |  | USD |  |  |  | 172 |  |  |  | 197,800 |
Nielsen Finance LLC/Nielsen Finance Co.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/28 |  |  |  |  |  |  | 479 |  |  |  | 520,457 |
5.88%, 10/01/30 |  |  |  |  |  |  | 239 |  |  |  | 270,369 |
|  |  |  |  |  |  |  |  |  |  | 1,454,695 |
Consumer Finance — 1.6% |  |  |  |  |  |  |  |  |  |  |  |
Equifax, Inc., 2.60%, 12/15/25 |  |  |  |  |  |  | 59 |  |  |  | 63,684 |
MPH Acquisition Holdings LLC, 5.75%, 11/01/28(b)(f) |  |  |  |  |  |  | 723 |  |  |  | 710,564 |
Muthoot Finance Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 10/31/22(b) |  |  |  |  |  |  | 427 |  |  |  | 446,749 |
4.40%, 09/02/23 |  |  |  |  |  |  | 200 |  |  |  | 203,625 |
Navient Corp. |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 09/25/23 |  |  |  |  |  |  | 129 |  |  |  | 141,381 |
6.13%, 03/25/24 |  |  |  |  |  |  | 86 |  |  |  | 91,805 |
5.88%, 10/25/24 |  |  |  |  |  |  | 82 |  |  |  | 87,125 |
5.00%, 03/15/27 |  |  |  |  |  |  | 258 |  |  |  | 260,258 |
OneMain Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 05/15/22 |  |  |  |  |  |  | 70 |  |  |  | 74,200 |
6.88%, 03/15/25 |  |  |  |  |  |  | 226 |  |  |  | 262,442 |
7.13%, 03/15/26 |  |  |  |  |  |  | 374 |  |  |  | 442,255 |
6.63%, 01/15/28 |  |  |  |  |  |  | 221 |  |  |  | 262,437 |
5.38%, 11/15/29 |  |  |  |  |  |  | 78 |  |  |  | 87,750 |
4.00%, 09/15/30 |  |  |  |  |  |  | 100 |  |  |  | 103,761 |
PayPal Holdings, Inc., 1.65%, 06/01/25 |  |  |  |  |  |  | 162 |  |  |  | 169,255 |
Refinitiv US Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 05/15/26 |  |  | EUR |  |  |  | 400 |  |  |  | 513,704 |
6.25%, 05/15/26(f) |  |  | USD |  |  |  | 1,444 |  |  |  | 1,541,470 |
8.25%, 11/15/26(f) |  |  |  |  |  |  | 972 |  |  |  | 1,060,695 |
Sabre GLBL, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 11/15/23 |  |  |  |  |  |  | 43 |  |  |  | 43,538 |
9.25%, 04/15/25 |  |  |  |  |  |  | 227 |  |  |  | 270,130 |
7.38%, 09/01/25 |  |  |  |  |  |  | 252 |  |  |  | 273,420 |

Security |  |  |  |  | Par (000) |  |  | Value |
Consumer Finance (continued) |  |  |  |  |  |  |  |  |  |  |  |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) |  |  | USD |  |  |  | 284 |  |  | $ | 295,360 |
Verscend Escrow Corp., 9.75%, 08/15/26(b)(f) |  |  |  |  |  |  | 1,758 |  |  |  | 1,905,232 |
WEX, Inc., 4.75%, 02/01/23(b) |  |  |  |  |  |  | 203 |  |  |  | 203,254 |
|  |  |  |  |  |  |  |  |  |  | 9,514,094 |
Containers & Packaging — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
Celulosa Arauco y Constitucion SA, 4.20%, 01/29/30 |  |  |  |  |  |  | 200 |  |  |  | 225,625 |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |  |  |  |  |  |  | 196 |  |  |  | 216,021 |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 |  |  |  |  |  |  | 424 |  |  |  | 439,900 |
Graham Packaging Co., Inc., 7.13%, 08/15/28(b) |  |  |  |  |  |  | 60 |  |  |  | 66,300 |
Graphic Packaging International LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 07/15/27 |  |  |  |  |  |  | 89 |  |  |  | 98,568 |
3.50%, 03/15/28 |  |  |  |  |  |  | 68 |  |  |  | 70,465 |
3.50%, 03/01/29 |  |  |  |  |  |  | 109 |  |  |  | 111,452 |
Intelligent Packaging Ltd. Finco, Inc./Intelligent Packaging Ltd. Co-Issuer LLC, 6.00%, 09/15/28(b) |  |  |  |  |  |  | 162 |  |  |  | 166,455 |
Intertape Polymer Group, Inc., 7.00%, 10/15/26(b) |  |  |  |  |  |  | 201 |  |  |  | 213,163 |
LABL Escrow Issuer LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/15/26(f) |  |  |  |  |  |  | 380 |  |  |  | 411,529 |
10.50%, 07/15/27 |  |  |  |  |  |  | 176 |  |  |  | 198,220 |
Sealed Air Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/01/24 |  |  |  |  |  |  | 46 |  |  |  | 50,140 |
6.88%, 07/15/33 |  |  |  |  |  |  | 44 |  |  |  | 58,080 |
Suzano Austria GmbH, 3.75%, 01/15/31 |  |  |  |  |  |  | 105 |  |  |  | 111,300 |
|  |  |  |  |  |  |  |  |  |  | 2,437,218 |
Diversified Consumer Services — 0.9% |  |  |  |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/26 |  |  |  |  |  |  | 1,998 |  |  |  | 2,130,467 |
9.75%, 07/15/27 |  |  |  |  |  |  | 623 |  |  |  | 679,070 |
Ascend Learning LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 08/01/25(f) |  |  |  |  |  |  | 690 |  |  |  | 709,837 |
6.88%, 08/01/25 |  |  |  |  |  |  | 317 |  |  |  | 325,718 |
Garda World Security Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 02/15/27 |  |  |  |  |  |  | 284 |  |  |  | 286,840 |
9.50%, 11/01/27(f) |  |  |  |  |  |  | 191 |  |  |  | 211,533 |
Graham Holdings Co., 5.75%, 06/01/26(b) |  |  |  |  |  |  | 140 |  |  |  | 147,000 |
Laureate Education, Inc., 8.25%, 05/01/25(b) |  |  |  |  |  |  | 114 |  |  |  | 120,840 |
Service Corp. International |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 06/01/29 |  |  |  |  |  |  | 238 |  |  |  | 263,585 |
3.38%, 08/15/30(f) |  |  |  |  |  |  | 263 |  |  |  | 273,575 |
Sotheby’s, 7.38%, 10/15/27(b)(f) |  |  |  |  |  |  | 451 |  |  |  | 483,134 |
|  |  |  |  |  |  |  |  |  |  | 5,631,599 |
Diversified Financial Services — 2.0% |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc., 8.00%, 11/01/31(f) |  |  |  |  |  |  | 1,543 |  |  |  | 2,264,923 |
Arrow Global Finance PLC, 5.13%, 09/15/24 |  |  | GBP |  |  |  | 100 |  |  |  | 136,187 |
Barclays PLC(f) |  |  |  |  |  |  |  |  |  |  |  |
3.65%, 03/16/25 |  |  | USD |  |  |  | 3,600 |  |  |  | 3,960,490 |
5.20%, 05/12/26 |  |  |  |  |  |  | 200 |  |  |  | 232,544 |
Central Garden & Pet Co., 4.13%, 10/15/30 |  |  |  |  |  |  | 188 |  |  |  | 195,990 |
Citigroup, Inc., (5 year CMT + 3.60%), 4.00%(a)(i) |  |  |  |  |  |  | 155 |  |  |  | 159,069 |
Credit Suisse Group AG, (5 year CMT + 3.55%), 4.50%(a)(b)(i) |  |  |  |  |  |  | 200 |  |  |  | 200,980 |

58 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(g) |  |  | USD |  |  |  | 216 |  |  | $ | 192,369 |
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(a)(f)(i) |  |  |  |  |  |  | 730 |  |  |  | 772,282 |
HSBC Holdings PLC, 4.38%, 11/23/26(f) |  |  |  |  |  |  | 395 |  |  |  | 455,761 |
Intrum AB, 3.00%, 09/15/27 |  |  | EUR |  |  |  | 100 |  |  |  | 117,095 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 03/15/22 |  |  | USD |  |  |  | 23 |  |  |  | 23,115 |
4.25%, 02/01/27(f) |  |  |  |  |  |  | 315 |  |  |  | 309,488 |
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(f)(i) |  |  |  |  |  |  | 450 |  |  |  | 504,562 |
Manappuram Finance Ltd., 5.90%, 01/13/23 |  |  |  |  |  |  | 200 |  |  |  | 206,688 |
Morgan Stanley, 4.00%, 07/23/25(f) |  |  |  |  |  |  | 965 |  |  |  | 1,104,319 |
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b) |  |  |  |  |  |  | 300 |  |  |  | 311,812 |
Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22 |  |  |  |  |  |  | 420 |  |  |  | 430,106 |
Spectrum Brands, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/29 |  |  |  |  |  |  | 178 |  |  |  | 191,154 |
5.50%, 07/15/30 |  |  |  |  |  |  | 154 |  |  |  | 165,935 |
|  |  |  |  |  |  |  |  |  |  | 11,934,869 |
Diversified Telecommunication Services — 3.1% |
Axtel SAB de CV, 6.38%, 11/14/24(b) |  |  |  |  |  |  | 200 |  |  |  | 208,437 |
CenturyLink, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/15/26(b)(f) |  |  |  |  |  |  | 1,047 |  |  |  | 1,105,590 |
4.00%, 02/15/27(b)(f) |  |  |  |  |  |  | 349 |  |  |  | 360,342 |
4.50%, 01/15/29(b) |  |  |  |  |  |  | 630 |  |  |  | 641,025 |
Series P, 7.60%, 09/15/39(f) |  |  |  |  |  |  | 322 |  |  |  | 391,230 |
Series U, 7.65%, 03/15/42(f) |  |  |  |  |  |  | 447 |  |  |  | 540,870 |
Series W, 6.75%, 12/01/23(f) |  |  |  |  |  |  | 512 |  |  |  | 570,240 |
Series Y, 7.50%, 04/01/24(f) |  |  |  |  |  |  | 516 |  |  |  | 584,370 |
Cincinnati Bell, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 07/15/24 |  |  |  |  |  |  | 144 |  |  |  | 149,760 |
8.00%, 10/15/25 |  |  |  |  |  |  | 67 |  |  |  | 71,439 |
Consolidated Communications, Inc., 6.50%, 10/01/28(b)(f) |  |  |  |  |  |  | 471 |  |  |  | 503,970 |
Frontier Communications Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 10/15/27(f) |  |  |  |  |  |  | 462 |  |  |  | 499,537 |
5.00%, 05/01/28 |  |  |  |  |  |  | 674 |  |  |  | 702,645 |
6.75%, 05/01/29 |  |  |  |  |  |  | 418 |  |  |  | 447,260 |
Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b)(f) |  |  |  |  |  |  | 476 |  |  |  | 487,305 |
Level 3 Financing, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/25 |  |  |  |  |  |  | 90 |  |  |  | 92,561 |
4.63%, 09/15/27(b) |  |  |  |  |  |  | 111 |  |  |  | 115,932 |
4.25%, 07/01/28(b)(f) |  |  |  |  |  |  | 820 |  |  |  | 842,550 |
3.63%, 01/15/29(b) |  |  |  |  |  |  | 432 |  |  |  | 430,920 |
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(g) |  |  |  |  |  |  | 206 |  |  |  | 219,326 |
SoftBank Group Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 04/20/25 |  |  | EUR |  |  |  | 100 |  |  |  | 130,717 |
4.75%, 07/30/25 |  |  |  |  |  |  | 100 |  |  |  | 132,952 |
5.00%, 04/15/28 |  |  |  |  |  |  | 100 |  |  |  | 136,031 |
Sprint Capital Corp.(f) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 11/15/28 |  |  | USD |  |  |  | 1,245 |  |  |  | 1,641,508 |
8.75%, 03/15/32 |  |  |  |  |  |  | 659 |  |  |  | 1,043,444 |
Switch Ltd., 3.75%, 09/15/28(b) |  |  |  |  |  |  | 316 |  |  |  | 320,740 |
Telecom Italia Capital SA |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/33 |  |  |  |  |  |  | 222 |  |  |  | 273,060 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Telecom Italia Capital SA (continued) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 09/30/34 |  |  | USD |  |  |  | 432 |  |  | $ | 526,215 |
7.20%, 07/18/36 |  |  |  |  |  |  | 98 |  |  |  | 132,219 |
7.72%, 06/04/38 |  |  |  |  |  |  | 173 |  |  |  | 240,470 |
Telecom Italia SpA |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 04/11/24 |  |  | EUR |  |  |  | 150 |  |  |  | 197,970 |
5.30%, 05/30/24(b)(f) |  |  | USD |  |  |  | 400 |  |  |  | 435,000 |
Verizon Communications, Inc., 3.38%, 02/15/25(f) |  |  |  |  |  |  | 156 |  |  |  | 173,259 |
Zayo Group Holdings, Inc.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  |  |  |  |  |  | 2,639 |  |  |  | 2,645,597 |
6.13%, 03/01/28 |  |  |  |  |  |  | 1,349 |  |  |  | 1,426,567 |
|  |  |  |  |  |  |  |  |  |  | 18,421,058 |
Education — 0.0% |
Bright Scholar Education Holdings Ltd., 7.45%, 07/31/22 |  |  |  |  |  |  | 200 |  |  |  | 207,000 |
Electric Utilities — 0.7% |
Black Hills Corp., 3.15%, 01/15/27(f) |  |  |  |  |  |  | 305 |  |  |  | 331,784 |
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29(b) |  |  |  |  |  |  | 275 |  |  |  | 294,336 |
Enel Finance International NV, 3.63%, 05/25/27(b)(f) . |  |  |  |  |  |  | 900 |  |  |  | 1,021,247 |
Energuate Trust, 5.88%, 05/03/27(b) |  |  |  |  |  |  | 200 |  |  |  | 211,125 |
Exelon Corp., 3.40%, 04/15/26(f) |  |  |  |  |  |  | 140 |  |  |  | 157,689 |
FirstEnergy Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.65%, 03/01/30 |  |  |  |  |  |  | 26 |  |  |  | 26,083 |
Series B, 3.90%, 07/15/27 |  |  |  |  |  |  | 95 |  |  |  | 104,718 |
Series B, 2.25%, 09/01/30 |  |  |  |  |  |  | 21 |  |  |  | 20,313 |
Series C, 4.85%, 07/15/47 |  |  |  |  |  |  | 461 |  |  |  | 573,712 |
Series C, 3.40%, 03/01/50 |  |  |  |  |  |  | 189 |  |  |  | 181,030 |
FirstEnergy Transmission LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
5.45%, 07/15/44 |  |  |  |  |  |  | 298 |  |  |  | 378,121 |
4.55%, 04/01/49 |  |  |  |  |  |  | 144 |  |  |  | 168,168 |
NextEra Energy Operating Partners LP(b) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 07/15/24(f) |  |  |  |  |  |  | 361 |  |  |  | 386,270 |
4.25%, 09/15/24 |  |  |  |  |  |  | 9 |  |  |  | 9,630 |
PG&E Corp., 5.25%, 07/01/30 |  |  |  |  |  |  | 339 |  |  |  | 372,900 |
Pike Corp., 5.50%, 09/01/28(b) |  |  |  |  |  |  | 250 |  |  |  | 264,063 |
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.(c)(e)(h) |  |  |  |  |  |  |  |  |  |  |  |
11.50%, 10/01/20 |  |  |  |  |  |  | 300 |  |  |  | — |
Term Loan, 1.00%, 11/10/21(a) |  |  |  |  |  |  | 780 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 4,501,189 |
Electrical Equipment(b) — 0.1% |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 |  |  |  |  |  |  | 352 |  |  |  | 369,600 |
GrafTech Finance, Inc., 4.63%, 12/15/28 |  |  |  |  |  |  | 136 |  |  |  | 137,530 |
|  |  |  |  |  |  |  |  |  |  | 507,130 |
Electronic Equipment, Instruments & Components — 0.3% |
BWX Technologies, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 07/15/26 |  |  |  |  |  |  | 209 |  |  |  | 217,099 |
4.13%, 06/30/28 |  |  |  |  |  |  | 251 |  |  |  | 261,354 |
CDW LLC/CDW Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 05/01/25 |  |  |  |  |  |  | 188 |  |  |  | 196,682 |
3.25%, 02/15/29(f) |  |  |  |  |  |  | 397 |  |  |  | 404,821 |
Energizer Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 06/15/28 |  |  |  |  |  |  | 256 |  |  |  | 269,440 |
4.38%, 03/31/29 |  |  |  |  |  |  | 19 |  |  |  | 19,675 |

S C H E D U L E O F I N V E S T M E N T S |  | 59

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Electronic Equipment, Instruments & Components (continued) |
Itron, Inc., 5.00%, 01/15/26(b) |  |  | USD |  |  |  | 25 |  |  | $ | 25,531 |
Xerox Corp., 4.80%, 03/01/35 |  |  |  |  |  |  | 203 |  |  |  | 204,522 |
|  |  |  |  |  |  |  |  |  |  | 1,599,124 |
Energy Equipment & Services — 0.3% |
Archrock Partners LP/Archrock Partners Finance Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 |  |  |  |  |  |  | 213 |  |  |  | 229,241 |
6.25%, 04/01/28 |  |  |  |  |  |  | 206 |  |  |  | 214,438 |
ChampionX Corp., 6.38%, 05/01/26 |  |  |  |  |  |  | 239 |  |  |  | 241,390 |
Halliburton Co., 3.80%, 11/15/25(f) |  |  |  |  |  |  | 7 |  |  |  | 7,851 |
Pioneer Energy Services Corp.(b)(c)(g) |  |  |  |  |  |  |  |  |  |  |  |
(11.00% Cash), 11.00%, 05/15/25 |  |  |  |  |  |  | 111 |  |  |  | 88,754 |
(5.00% PIK), 5.00%, 11/15/25 |  |  |  |  |  |  | 78 |  |  |  | 42,021 |
USA Compression Partners LP/USA Compression Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/26 |  |  |  |  |  |  | 336 |  |  |  | 351,120 |
6.88%, 09/01/27(f) |  |  |  |  |  |  | 570 |  |  |  | 608,520 |
|  |  |  |  |  |  |  |  |  |  | 1,783,335 |
Environmental, Maintenance, & Security Service — 0.5% |
Clean Harbors, Inc.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 07/15/27 |  |  |  |  |  |  | 250 |  |  |  | 260,828 |
5.13%, 07/15/29 |  |  |  |  |  |  | 172 |  |  |  | 187,910 |
Covanta Holding Corp., 5.00%, 09/01/30 |  |  |  |  |  |  | 91 |  |  |  | 97,364 |
GFL Environmental, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 06/01/25 |  |  |  |  |  |  | 86 |  |  |  | 89,225 |
3.75%, 08/01/25 |  |  |  |  |  |  | 266 |  |  |  | 272,650 |
5.13%, 12/15/26(f) |  |  |  |  |  |  | 563 |  |  |  | 598,891 |
8.50%, 05/01/27 |  |  |  |  |  |  | 233 |  |  |  | 258,630 |
4.00%, 08/01/28 |  |  |  |  |  |  | 337 |  |  |  | 339,527 |
3.50%, 09/01/28 |  |  |  |  |  |  | 324 |  |  |  | 329,873 |
Stericycle Inc., 3.88%, 01/15/29(b) |  |  |  |  |  |  | 162 |  |  |  | 166,455 |
Tervita Corp., 11.00%, 12/01/25(b) |  |  |  |  |  |  | 113 |  |  |  | 121,593 |
Waste Pro USA, Inc., 5.50%, 02/15/26(b)(f) |  |  |  |  |  |  | 471 |  |  |  | 481,597 |
|  |  |  |  |  |  |  |  |  |  | 3,204,543 |
Equity Real Estate Investment Trusts (REITs) — 1.6% |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26(b) |  |  |  |  |  |  | 141 |  |  |  | 138,885 |
ERP Operating LP, 3.38%, 06/01/25(f) |  |  |  |  |  |  | 1,015 |  |  |  | 1,121,792 |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) |  |  |  |  |  |  | 273 |  |  |  | 281,459 |
Iron Mountain, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 09/15/29 |  |  |  |  |  |  | 32 |  |  |  | 33,760 |
5.25%, 07/15/30(f) |  |  |  |  |  |  | 654 |  |  |  | 706,320 |
5.63%, 07/15/32(f) |  |  |  |  |  |  | 469 |  |  |  | 517,073 |
LMIRT Capital Pte Ltd., 7.25%, 06/19/24 |  |  |  |  |  |  | 229 |  |  |  | 228,857 |
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 05/01/24(f) |  |  |  |  |  |  | 1,334 |  |  |  | 1,448,924 |
4.63%, 06/15/25(b) |  |  |  |  |  |  | 455 |  |  |  | 487,305 |
4.50%, 09/01/26(f) |  |  |  |  |  |  | 637 |  |  |  | 685,348 |
5.75%, 02/01/27 |  |  |  |  |  |  | 27 |  |  |  | 30,291 |
4.50%, 01/15/28 |  |  |  |  |  |  | 432 |  |  |  | 459,596 |
3.88%, 02/15/29(b) |  |  |  |  |  |  | 426 |  |  |  | 435,585 |
MPT Operating Partnership LP/MPT Finance Corp.(f) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/15/27 |  |  |  |  |  |  | 139 |  |  |  | 147,861 |
4.63%, 08/01/29 |  |  |  |  |  |  | 399 |  |  |  | 426,431 |

Security |  |  |  |  | Par (000) |  |  | Value |
Equity Real Estate Investment Trusts (REITs) (continued) |
MPT Operating Partnership LP/MPT Finance Corp.(f) (continued) |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 03/15/31 |  |  | USD |  |  |  | 463 |  |  | $ | 478,048 |
RHP Hotel Properties LP/RHP Finance Corp., 4.75%, 10/15/27(f) |  |  |  |  |  |  | 604 |  |  |  | 625,140 |
Starwood Property Trust, Inc., 5.00%, 12/15/21 |  |  |  |  |  |  | 234 |  |  |  | 237,924 |
Trust Fibra Uno, 6.95%, 01/30/44 |  |  |  |  |  |  | 200 |  |  |  | 244,438 |
Ventas Realty LP, 4.13%, 01/15/26(f) |  |  |  |  |  |  | 650 |  |  |  | 747,708 |
|  |  |  |  |  |  |  |  |  |  | 9,482,745 |
Food & Staples Retailing — 1.6% |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 03/15/25 |  |  |  |  |  |  | 11 |  |  |  | 11,330 |
3.25%, 03/15/26(b)(f) |  |  |  |  |  |  | 582 |  |  |  | 590,730 |
7.50%, 03/15/26(b)(f) |  |  |  |  |  |  | 107 |  |  |  | 119,738 |
4.63%, 01/15/27(b)(f) |  |  |  |  |  |  | 766 |  |  |  | 814,832 |
5.88%, 02/15/28(b) |  |  |  |  |  |  | 320 |  |  |  | 348,221 |
4.88%, 02/15/30(b) |  |  |  |  |  |  | 211 |  |  |  | 232,497 |
BRF GmbH, 4.35%, 09/29/26 |  |  |  |  |  |  | 200 |  |  |  | 210,750 |
Cydsa SAB de CV, 6.25%, 10/04/27(b) |  |  |  |  |  |  | 252 |  |  |  | 265,230 |
Grupo KUO SAB de CV, 5.75%, 07/07/27(b) |  |  |  |  |  |  | 200 |  |  |  | 210,438 |
Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24 |  |  |  |  |  |  | 200 |  |  |  | 208,313 |
Kraft Heinz Foods Co. |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 03/01/31(b)(f) |  |  |  |  |  |  | 709 |  |  |  | 790,576 |
5.00%, 07/15/35 |  |  |  |  |  |  | 127 |  |  |  | 153,955 |
6.88%, 01/26/39(f) |  |  |  |  |  |  | 233 |  |  |  | 322,858 |
4.63%, 10/01/39(b) |  |  |  |  |  |  | 77 |  |  |  | 85,975 |
6.50%, 02/09/40 |  |  |  |  |  |  | 155 |  |  |  | 209,515 |
5.00%, 06/04/42 |  |  |  |  |  |  | 129 |  |  |  | 151,352 |
5.20%, 07/15/45 |  |  |  |  |  |  | 351 |  |  |  | 417,358 |
4.38%, 06/01/46(f) |  |  |  |  |  |  | 377 |  |  |  | 407,893 |
4.88%, 10/01/49(b)(f) |  |  |  |  |  |  | 1,062 |  |  |  | 1,238,954 |
5.50%, 06/01/50(b)(f) |  |  |  |  |  |  | 1,247 |  |  |  | 1,570,911 |
Lamb Weston Holdings, Inc., 4.88%, 05/15/28(b)(f) |  |  |  |  |  |  | 313 |  |  |  | 349,386 |
Picard Groupe SAS, (3 mo. EURIBOR + 3.00%), 3.00%, 11/30/23(a) |  |  | EUR |  |  |  | 100 |  |  |  | 121,860 |
Post Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  | USD |  |  |  | 253 |  |  |  | 267,864 |
5.63%, 01/15/28 |  |  |  |  |  |  | 73 |  |  |  | 77,745 |
5.50%, 12/15/29(f) |  |  |  |  |  |  | 230 |  |  |  | 250,987 |
4.63%, 04/15/30(f) |  |  |  |  |  |  | 325 |  |  |  | 341,887 |
|  |  |  |  |  |  |  |  |  |  | 9,771,155 |
Food Products(b) — 0.9% |
Aramark Services, Inc.(f) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 04/01/25 |  |  |  |  |  |  | 623 |  |  |  | 641,690 |
6.38%, 05/01/25 |  |  |  |  |  |  | 243 |  |  |  | 259,706 |
5.00%, 02/01/28 |  |  |  |  |  |  | 658 |  |  |  | 693,367 |
Chobani LLC/Chobani Finance Corp., Inc.(f) |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  |  |  |  |  |  | 512 |  |  |  | 536,883 |
4.63%, 11/15/28 |  |  |  |  |  |  | 269 |  |  |  | 273,035 |
Grupo Bimbo SAB de CV, (5 year CMT + 3.28%), 5.95%(a)(i) |  |  |  |  |  |  | 200 |  |  |  | 214,625 |
JBS USA LUX SA/JBS USA Finance, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 06/15/25(f) |  |  |  |  |  |  | 1,006 |  |  |  | 1,037,940 |
6.75%, 02/15/28 |  |  |  |  |  |  | 361 |  |  |  | 403,982 |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 6.50%, 04/15/29(f) |  |  |  |  |  |  | 492 |  |  |  | 572,737 |
MHP Lux SA, 6.25%, 09/19/29 |  |  |  |  |  |  | 200 |  |  |  | 204,063 |

60 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Food Products (continued) |
Minerva Luxembourg SA, 6.50%, 09/20/26 |  |  | USD |  |  |  | 200 |  |  | $ | 209,688 |
Simmons Foods, Inc., 7.75%, 01/15/24 |  |  |  |  |  |  | 270 |  |  |  | 281,138 |
|  |  |  |  |  |  |  |  |  |  | 5,328,854 |
Health Care Equipment & Supplies(b) — 0.5% |
Avantor Funding, Inc., 4.63%, 07/15/28(f) |  |  |  |  |  |  | 959 |  |  |  | 1,014,142 |
Hologic, Inc. |
4.63%, 02/01/28 |  |  |  |  |  |  | 206 |  |  |  | 218,618 |
3.25%, 02/15/29 |  |  |  |  |  |  | 146 |  |  |  | 148,555 |
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA(f) |
7.38%, 06/01/25 |  |  |  |  |  |  | 589 |  |  |  | 627,285 |
7.25%, 02/01/28 |  |  |  |  |  |  | 1,224 |  |  |  | 1,291,320 |
|  |  |  |  |  |  |  |  |  |  | 3,299,920 |
Health Care Providers & Services — 3.7% |
Acadia Healthcare Co., Inc. |
5.63%, 02/15/23 |  |  |  |  |  |  | 33 |  |  |  | 33,083 |
5.50%, 07/01/28(b) |  |  |  |  |  |  | 204 |  |  |  | 219,106 |
5.00%, 04/15/29(b) |  |  |  |  |  |  | 171 |  |  |  | 182,543 |
AdaptHealth LLC, 6.13%, 08/01/28(b) |  |  |  |  |  |  | 147 |  |  |  | 157,841 |
AHP Health Partners, Inc., 9.75%, 07/15/26(b) |  |  |  |  |  |  | 353 |  |  |  | 389,624 |
Centene Corp. |
5.38%, 06/01/26(b)(f) |  |  |  |  |  |  | 336 |  |  |  | 354,383 |
5.38%, 08/15/26(b) |  |  |  |  |  |  | 278 |  |  |  | 293,637 |
4.25%, 12/15/27(f) |  |  |  |  |  |  | 517 |  |  |  | 548,020 |
4.63%, 12/15/29(f) |  |  |  |  |  |  | 1,535 |  |  |  | 1,704,172 |
3.00%, 10/15/30 |  |  |  |  |  |  | 258 |  |  |  | 273,454 |
CHS/Community Health Systems, Inc.(b) |
8.63%, 01/15/24(f) |  |  |  |  |  |  | 680 |  |  |  | 708,900 |
6.63%, 02/15/25(f) |  |  |  |  |  |  | 499 |  |  |  | 525,188 |
8.00%, 03/15/26(f) |  |  |  |  |  |  | 1,331 |  |  |  | 1,434,152 |
5.63%, 03/15/27 |  |  |  |  |  |  | 824 |  |  |  | 886,006 |
6.00%, 01/15/29 |  |  |  |  |  |  | 604 |  |  |  | 652,477 |
Encompass Health Corp., 4.63%, 04/01/31 |  |  |  |  |  |  | 102 |  |  |  | 109,140 |
HCA, Inc. |
5.38%, 02/01/25(f) |  |  |  |  |  |  | 490 |  |  |  | 551,020 |
5.88%, 02/15/26 |  |  |  |  |  |  | 46 |  |  |  | 52,900 |
5.38%, 09/01/26(f) |  |  |  |  |  |  | 430 |  |  |  | 494,242 |
5.63%, 09/01/28(f) |  |  |  |  |  |  | 692 |  |  |  | 816,560 |
5.88%, 02/01/29(f) |  |  |  |  |  |  | 516 |  |  |  | 620,996 |
3.50%, 09/01/30(f) |  |  |  |  |  |  | 895 |  |  |  | 951,006 |
5.50%, 06/15/47(f) |  |  |  |  |  |  | 650 |  |  |  | 868,212 |
Legacy LifePoint Health LLC(b) |
6.75%, 04/15/25 |  |  |  |  |  |  | 190 |  |  |  | 204,024 |
4.38%, 02/15/27 |  |  |  |  |  |  | 217 |  |  |  | 217,271 |
LifePoint Health, Inc., 5.38%, 01/15/29(b) |  |  |  |  |  |  | 151 |  |  |  | 150,675 |
Molina Healthcare, Inc.(b) |
4.38%, 06/15/28 |  |  |  |  |  |  | 258 |  |  |  | 271,545 |
3.88%, 11/15/30 |  |  |  |  |  |  | 231 |  |  |  | 247,747 |
Providence Service Corp., 5.88%, 11/15/25(b) |  |  |  |  |  |  | 71 |  |  |  | 75,083 |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b) |  |  |  |  |  |  | 53 |  |  |  | 58,300 |
Surgery Center Holdings, Inc.(b)(f) |
6.75%, 07/01/25 |  |  |  |  |  |  | 611 |  |  |  | 621,692 |
10.00%, 04/15/27 |  |  |  |  |  |  | 434 |  |  |  | 479,570 |
Teleflex, Inc. |
4.88%, 06/01/26 |  |  |  |  |  |  | 87 |  |  |  | 90,592 |
4.63%, 11/15/27 |  |  |  |  |  |  | 58 |  |  |  | 62,333 |
4.25%, 06/01/28(b)(f) |  |  |  |  |  |  | 368 |  |  |  | 390,080 |
Tenet Healthcare Corp. 4.63%, 07/15/24(f) |  |  |  |  |  |  | 514 |  |  |  | 526,860 |

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
Tenet Healthcare Corp. (continued) |
4.63%, 09/01/24(b)(f) |  |  | USD |  |  |  | 367 |  |  | $ | 378,927 |
7.50%, 04/01/25(b) |  |  |  |  |  |  | 163 |  |  |  | 178,078 |
4.88%, 01/01/26(b)(f) |  |  |  |  |  |  | 1,596 |  |  |  | 1,669,592 |
6.25%, 02/01/27(b)(f) |  |  |  |  |  |  | 169 |  |  |  | 179,140 |
5.13%, 11/01/27(b)(f) |  |  |  |  |  |  | 959 |  |  |  | 1,015,341 |
4.63%, 06/15/28(b) |  |  |  |  |  |  | 81 |  |  |  | 84,848 |
6.13%, 10/01/28(b)(f) |  |  |  |  |  |  | 430 |  |  |  | 448,051 |
UnitedHealth Group, Inc., 3.75%, 07/15/25(f) |  |  |  |  |  |  | 1,470 |  |  |  | 1,674,824 |
Vizient, Inc., 6.25%, 05/15/27(b) |  |  |  |  |  |  | 407 |  |  |  | 437,525 |
|  |  |  |  |  |  |  |  |  |  | 22,288,760 |
Health Care Technology — 0.7% |
Catalent Pharma Solutions, Inc. |
4.88%, 01/15/26(b) |  |  |  |  |  |  | 324 |  |  |  | 330,480 |
5.00%, 07/15/27(b)(f) |  |  |  |  |  |  | 365 |  |  |  | 385,491 |
2.38%, 03/01/28 |  |  | EUR |  |  |  | 100 |  |  |  | 122,426 |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(b)(f) |  |  | USD |  |  |  | 791 |  |  |  | 806,820 |
Charles River Laboratories International, Inc.(b) |
5.50%, 04/01/26(f) |  |  |  |  |  |  | 207 |  |  |  | 216,812 |
4.25%, 05/01/28 |  |  |  |  |  |  | 159 |  |  |  | 166,553 |
IQVIA, Inc. |
3.25%, 03/15/25 |  |  | EUR |  |  |  | 148 |  |  |  | 182,612 |
5.00%, 10/15/26(b)(f) |  |  | USD |  |  |  | 463 |  |  |  | 483,835 |
5.00%, 05/15/27(b)(f) |  |  |  |  |  |  | 637 |  |  |  | 677,147 |
Mednax, Inc.(b) |
5.25%, 12/01/23 |  |  |  |  |  |  | 168 |  |  |  | 170,066 |
6.25%, 01/15/27 |  |  |  |  |  |  | 245 |  |  |  | 262,753 |
Syneos Health, Inc., 3.63%, 01/15/29(b)(f) |  |  |  |  |  |  | 465 |  |  |  | 466,286 |
Synlab Bondco PLC, (3 mo. EURIBOR + 4.75%), 4.75%, 07/01/25(a) |  |  | EUR |  |  |  | 100 |  |  |  | 124,578 |
|  |  |  |  |  |  |  |  |  |  | 4,395,859 |
Hotels, Restaurants & Leisure — 4.7% |
1011778 BC ULC/New Red Finance, Inc.(b) |
5.75%, 04/15/25 |  |  | USD |  |  |  | 207 |  |  |  | 221,490 |
3.88%, 01/15/28 |  |  |  |  |  |  | 423 |  |  |  | 429,671 |
4.38%, 01/15/28 |  |  |  |  |  |  | 302 |  |  |  | 311,060 |
3.50%, 02/15/29 |  |  |  |  |  |  | 97 |  |  |  | 96,879 |
4.00%, 10/15/30 |  |  |  |  |  |  | 62 |  |  |  | 62,833 |
Accor SA, 0.70%, 12/07/27 |  |  | EUR |  |  |  | 47 |  |  |  | 29,881 |
Boyd Gaming Corp. |
8.63%, 06/01/25(b) |  |  | USD |  |  |  | 97 |  |  |  | 107,882 |
6.38%, 04/01/26 |  |  |  |  |  |  | 146 |  |  |  | 151,666 |
6.00%, 08/15/26 |  |  |  |  |  |  | 112 |  |  |  | 116,200 |
4.75%, 12/01/27 |  |  |  |  |  |  | 179 |  |  |  | 185,936 |
Boyne USA, Inc., 7.25%, 05/01/25(b)(f) |  |  |  |  |  |  | 254 |  |  |  | 266,382 |
Caesars Entertainment, Inc.(b)(f) |
6.25%, 07/01/25 |  |  |  |  |  |  | 1,466 |  |  |  | 1,561,290 |
8.13%, 07/01/27 |  |  |  |  |  |  | 1,045 |  |  |  | 1,156,839 |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)(f) |  |  |  |  |  |  | 478 |  |  |  | 506,478 |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b)(f) |  |  |  |  |  |  | 504 |  |  |  | 525,420 |
Churchill Downs, Inc.(b) |
5.50%, 04/01/27(f) |  |  |  |  |  |  | 899 |  |  |  | 951,816 |
4.75%, 01/15/28 |  |  |  |  |  |  | 358 |  |  |  | 376,795 |
Cirsa Finance International Sarl, 4.75%, 05/22/25 |  |  | EUR |  |  |  | 100 |  |  |  | 118,867 |
Fortune Star BVI Ltd. 5.95%, 01/29/23 |  |  | USD |  |  |  | 200 |  |  |  | 205,250 |

S C H E D U L E O F I N V E S T M E N T S |  | 61

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Fortune Star BVI Ltd. (continued) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/02/23 |  |  | USD |  |  |  | 250 |  |  | $ | 263,047 |
5.95%, 10/19/25 |  |  |  |  |  |  | 475 |  |  |  | 496,969 |
GLP Capital LP/GLP Financing II, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/25(f) |  |  |  |  |  |  | 333 |  |  |  | 374,652 |
5.38%, 04/15/26 |  |  |  |  |  |  | 174 |  |  |  | 199,695 |
Golden Nugget, Inc., 6.75%, 10/15/24(b)(f) |  |  |  |  |  |  | 1,462 |  |  |  | 1,451,503 |
Hilton Domestic Operating Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/25(b) |  |  |  |  |  |  | 145 |  |  |  | 154,062 |
5.13%, 05/01/26(f) |  |  |  |  |  |  | 650 |  |  |  | 671,125 |
5.75%, 05/01/28(b) |  |  |  |  |  |  | 99 |  |  |  | 107,662 |
4.88%, 01/15/30(f) |  |  |  |  |  |  | 1,042 |  |  |  | 1,138,385 |
4.00%, 05/01/31(b) |  |  |  |  |  |  | 411 |  |  |  | 433,650 |
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, 06/01/26(b)(f) |  |  |  |  |  |  | 368 |  |  |  | 381,800 |
Las Vegas Sands Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.90%, 06/25/25 |  |  |  |  |  |  | 52 |  |  |  | 54,415 |
3.50%, 08/18/26 |  |  |  |  |  |  | 47 |  |  |  | 50,294 |
3.90%, 08/08/29 |  |  |  |  |  |  | 43 |  |  |  | 46,244 |
Marriott International, Inc., Series EE, 5.75%, 05/01/25 |  |  |  |  |  |  | 178 |  |  |  | 208,207 |
Marriott Ownership Resorts, Inc./ILG LLC, 6.50%, 09/15/26 |  |  |  |  |  |  | 40 |  |  |  | 41,800 |
McDonald’s Corp., 3.70%, 01/30/26(f) |  |  |  |  |  |  | 405 |  |  |  | 461,331 |
Melco Resorts Finance Ltd., 5.25%, 04/26/26 |  |  |  |  |  |  | 250 |  |  |  | 261,250 |
MGM China Holdings Ltd., 5.88%, 05/15/26 |  |  |  |  |  |  | 250 |  |  |  | 263,410 |
MGM Resorts International |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 03/15/22(f) |  |  |  |  |  |  | 575 |  |  |  | 612,375 |
6.00%, 03/15/23(f) |  |  |  |  |  |  | 416 |  |  |  | 446,680 |
5.75%, 06/15/25 |  |  |  |  |  |  | 29 |  |  |  | 32,064 |
Powdr Corp., 6.00%, 08/01/25(b) |  |  |  |  |  |  | 212 |  |  |  | 223,130 |
Scientific Games International, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 07/01/25(b) |  |  |  |  |  |  | 203 |  |  |  | 222,285 |
5.00%, 10/15/25(b)(f) |  |  |  |  |  |  | 867 |  |  |  | 894,649 |
3.38%, 02/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 121,096 |
8.25%, 03/15/26(b)(f) |  |  | USD |  |  |  | 565 |  |  |  | 608,844 |
7.00%, 05/15/28(b) |  |  |  |  |  |  | 174 |  |  |  | 187,087 |
7.25%, 11/15/29(b) |  |  |  |  |  |  | 51 |  |  |  | 55,972 |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(f) |  |  |  |  |  |  | 753 |  |  |  | 813,240 |
Spirit Issuer PLC, Series A5, 5.47%, 12/28/34 |  |  | GBP |  |  |  | 4,500 |  |  |  | 6,377,184 |
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25 |  |  |  |  |  |  | 100 |  |  |  | 138,459 |
Studio City Finance Ltd., 7.25%, 02/11/24 |  |  | USD |  |  |  | 250 |  |  |  | 260,156 |
Vail Resorts, Inc., 6.25%, 05/15/25(b) |  |  |  |  |  |  | 154 |  |  |  | 164,395 |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) |  |  |  |  |  |  | 158 |  |  |  | 164,170 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b) |  |  |  |  |  |  | 192 |  |  |  | 197,904 |
Wynn Macau Ltd., 5.50%, 10/01/27 |  |  |  |  |  |  | 200 |  |  |  | 206,875 |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 04/15/25 |  |  |  |  |  |  | 239 |  |  |  | 259,016 |
5.13%, 10/01/29(f) |  |  |  |  |  |  | 584 |  |  |  | 611,740 |
Yum! Brands, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 04/01/25(b)(f) |  |  |  |  |  |  | 395 |  |  |  | 437,462 |
4.75%, 01/15/30(b)(f) |  |  |  |  |  |  | 358 |  |  |  | 392,547 |

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Yum! Brands, Inc. (continued) |  |  |  |  |  |  |  |  |  |  |  |
3.63%, 03/15/31 |  |  | USD |  |  |  | 130 |  |  | $ | 131,408 |
5.35%, 11/01/43 |  |  |  |  |  |  | 71 |  |  |  | 80,230 |
|  |  |  |  |  |  |  |  |  |  | 28,081,104 |
Household Durables — 0.7% |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp.(b) |  |  |  |  |
6.25%, 09/15/27 |  |  |  |  |  |  | 217 |  |  |  | 230,834 |
4.88%, 02/15/30 |  |  |  |  |  |  | 412 |  |  |  | 425,905 |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) |  |  |  |  |  |  | 232 |  |  |  | 247,950 |
Controladora Mabe SA de CV, 5.60%, 10/23/28(b) |  |  |  |  |  |  | 200 |  |  |  | 235,750 |
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) |  |  |  |  |  |  | 307 |  |  |  | 322,350 |
Lennar Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 05/30/25 |  |  |  |  |  |  | 4 |  |  |  | 4,570 |
5.25%, 06/01/26 |  |  |  |  |  |  | 28 |  |  |  | 33,180 |
4.75%, 11/29/27(f) |  |  |  |  |  |  | 137 |  |  |  | 161,907 |
Mattamy Group Corp., 4.63%, 03/01/30(b) |  |  |  | 233 |  |  |  | 246,980 |
MDC Holdings, Inc., 6.00%, 01/15/43 |  |  |  |  |  |  | 203 |  |  |  | 272,131 |
Meritage Homes Corp., 5.13%, 06/06/27 |  |  |  |  |  |  | 50 |  |  |  | 55,875 |
NCR Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/01/27 |  |  |  |  |  |  | 220 |  |  |  | 233,750 |
5.00%, 10/01/28 |  |  |  |  |  |  | 110 |  |  |  | 116,050 |
6.13%, 09/01/29 |  |  |  |  |  |  | 92 |  |  |  | 101,890 |
5.25%, 10/01/30 |  |  |  |  |  |  | 111 |  |  |  | 119,047 |
PulteGroup, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 01/15/27 |  |  |  |  |  |  | 24 |  |  |  | 28,320 |
7.88%, 06/15/32 |  |  |  |  |  |  | 21 |  |  |  | 31,421 |
6.38%, 05/15/33(f) |  |  |  |  |  |  | 469 |  |  |  | 642,577 |
Taylor Morrison Communities, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 06/15/27 |  |  |  |  |  |  | 245 |  |  |  | 277,663 |
5.13%, 08/01/30 |  |  |  |  |  |  | 149 |  |  |  | 166,880 |
Tempur Sealy International, Inc., 5.50%, 06/15/26 |  |  |  |  |  |  | 180 |  |  |  | 187,326 |
Toll Brothers Finance Corp., 4.35%, 02/15/28 |  |  |  |  |  |  | 12 |  |  |  | 13,320 |
TRI Pointe Group, Inc., 5.25%, 06/01/27 |  |  |  |  |  |  | 15 |  |  |  | 16,312 |
TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24 |  |  |  |  |  |  | 11 |  |  |  | 12,007 |
|  |  |  |  |  |  |  |  |  |  | 4,183,995 |
Household Products — 0.0% |
ACCO Brands Corp., 5.25%, 12/15/24(b) |  |  |  | 85 |  |  |  | 87,338 |
Berkline Benchcraft LLC, 4.50%, 06/01/21(a)(c)(e)(h) |  |  |  |  |  |  | 200 |  |  |  | — |
Kronos Acquisition Holdings, Inc./KIK Custom Products, Inc., 5.00%, 12/31/26(b) |  |  |  |  |  |  | 72 |  |  |  | 75,111 |
|  |  |  |  |  |  |  |  |  |  | 162,449 |
Independent Power and Renewable Electricity Producers — 1.4% |
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24 |  |  |  |  |  |  | 200 |  |  |  | 221,187 |
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 |  |  |  |  |  |  | 200 |  |  |  | 212,875 |
Calpine Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/26(f) |  |  |  |  |  |  | 481 |  |  |  | 497,594 |
4.50%, 02/15/28(f) |  |  |  |  |  |  | 581 |  |  |  | 604,240 |
5.13%, 03/15/28(f) |  |  |  |  |  |  | 1,275 |  |  |  | 1,341,262 |
4.63%, 02/01/29(f) |  |  |  |  |  |  | 359 |  |  |  | 369,153 |
5.00%, 02/01/31 |  |  |  |  |  |  | 373 |  |  |  | 389,785 |
3.75%, 03/01/31 |  |  |  |  |  |  | 241 |  |  |  | 238,670 |

62 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Independent Power and Renewable Electricity Producers (continued) |
Clearway Energy Operating LLC |
5.75%, 10/15/25 |  |  | USD |  |  |  | 214 |  |  | $ | 225,235 |
4.75%, 03/15/28(b)(f) |  |  |  |  |  |  | 287 |  |  |  | 307,807 |
ENN Clean Energy International Investment Ltd., 7.50%, 02/27/21 |  |  |  |  |  |  | 200 |  |  |  | 200,500 |
Greenko Dutch BV, 5.25%, 07/24/24 |  |  |  |  |  |  | 200 |  |  |  | 207,500 |
Greenko Mauritius Ltd., 6.25%, 02/21/23 |  |  |  |  |  |  | 200 |  |  |  | 207,500 |
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 |  |  |  |  |  |  | 200 |  |  |  | 215,187 |
India Green Energy Holdings 5.38%, 04/29/24(b) |  |  |  |  |  |  | 250 |  |  |  | 262,812 |
5.38%, 04/29/24 |  |  |  |  |  |  | 250 |  |  |  | 262,812 |
NRG Energy, Inc. 6.63%, 01/15/27(f) |  |  |  |  |  |  | 745 |  |  |  | 786,750 |
5.75%, 01/15/28 |  |  |  |  |  |  | 63 |  |  |  | 68,828 |
5.25%, 06/15/29(b)(f) |  |  |  |  |  |  | 253 |  |  |  | 278,300 |
3.63%, 02/15/31(b) |  |  |  |  |  |  | 396 |  |  |  | 407,405 |
ReNew Power Pvt Ltd., 5.88%, 03/05/27 |  |  |  |  |  |  | 200 |  |  |  | 212,063 |
ReNew Power Synthetic, 6.67%, 03/12/24 |  |  |  |  |  |  | 200 |  |  |  | 210,938 |
TerraForm Power Operating LLC(b) 4.25%, 01/31/23 |  |  |  |  |  |  | 106 |  |  |  | 109,578 |
5.00%, 01/31/28 |  |  |  |  |  |  | 96 |  |  |  | 107,870 |
4.75%, 01/15/30 |  |  |  |  |  |  | 186 |  |  |  | 199,020 |
|  |  |  |  |  |  |  |  |  |  | 8,144,871 |
Insurance — 1.8% |
Acrisure LLC/Acrisure Finance, Inc., 8.13%, 02/15/24(b) |  |  |  |  |  |  | 63 |  |  |  | 66,699 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(f) 4.25%, 10/15/27 |  |  |  |  |  |  | 1,112 |  |  |  | 1,137,020 |
6.75%, 10/15/27 |  |  |  | 1,882 |  |  |  | 2,013,740 |
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(f) 360 391,035 |
AmWINS Group, Inc., 7.75%, 07/01/26(b) |  |  |  |  |  |  | 297 |  |  |  | 318,948 |
Aon PLC, 3.88%, 12/15/25(f) |  |  |  |  |  |  | 1,115 |  |  |  | 1,271,166 |
Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(i) |  |  |  |  |  |  | 306 |  |  |  | 328,345 |
Assicurazioni Generali SpA, (3 mo. EURIBOR + 5.35%), 5.50%, 10/27/47(a) |  |  | EUR |  |  |  | 100 |  |  |  | 150,294 |
AssuredPartners, Inc., 5.63%, 01/15/29(b) |  |  | USD |  |  |  | 267 |  |  |  | 278,681 |
Global Atlantic Fin Co., 8.63%, 04/15/21(b)(f) |  |  |  |  |  |  | 750 |  |  |  | 762,618 |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b) |  |  |  |  |  |  | 355 |  |  |  | 385,512 |
HUB International Ltd., 7.00%, 05/01/26(b)(f) |  |  |  |  |  |  | 1,418 |  |  |  | 1,482,930 |
Lincoln National Corp., 3.35%, 03/09/25(f) |  |  |  |  |  |  | 845 |  |  |  | 927,336 |
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, (3 mo. EURIBOR + 3.50%), 6.00%, 05/26/41(a) |  |  | EUR |  |  |  | 400 |  |  |  | 499,787 |
Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(b)(f) |  |  | USD |  |  |  | 595 |  |  |  | 650,709 |
Unipol Gruppo SpA, 3.25%, 09/23/30 |  |  | EUR |  |  |  | 100 |  |  |  | 129,283 |
|  |  |  |  |  |  |  |  |  |  | 10,794,103 |
Interactive Media & Services — 0.7% |
21Vianet Group, Inc., 7.88%, 10/15/21 |  |  | USD |  |  |  | 200 |  |  |  | 204,000 |
Arches Buyer, Inc., 4.25%, 06/01/28(b) |  |  |  |  |  |  | 110 |  |  |  | 111,397 |
Cablevision Lightpath LLC(b) 3.88%, 09/15/27 |  |  |  |  |  |  | 200 |  |  |  | 201,250 |
5.63%, 09/15/28 |  |  |  |  |  |  | 400 |  |  |  | 418,500 |
Netflix, Inc. |
3.63%, 06/15/25(b) |  |  |  |  |  |  | 96 |  |  |  | 102,791 |
4.88%, 04/15/28 |  |  |  |  |  |  | 109 |  |  |  | 122,919 |

Security |  |  |  |  | Par (000) |  |  | Value |
Interactive Media & Services (continued) |
Netflix, Inc. (continued) |
5.88%, 11/15/28(f) |  |  | USD |  |  |  | 730 |  |  | $ | 875,088 |
5.38%, 11/15/29(b)(f) |  |  |  |  |  |  | 793 |  |  |  | 934,749 |
3.63%, 06/15/30 |  |  | EUR |  |  |  | 100 |  |  |  | 138,691 |
4.88%, 06/15/30(b)(f) |  |  | USD |  |  |  | 507 |  |  |  | 583,050 |
Twitter, Inc., 3.88%, 12/15/27(b) |  |  |  |  |  |  | 129 |  |  |  | 137,385 |
United Group BV, 4.00%, 11/15/27 |  |  | EUR |  |  |  | 100 |  |  |  | 121,891 |
|  |  |  |  |  |  |  |  |  |  | 3,951,711 |
Internet Software & Services(b) — 0.7% |
Expedia Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.60%, 12/15/23 |  |  | USD |  |  |  | 325 |  |  |  | 346,354 |
6.25%, 05/01/25(f) |  |  |  |  |  |  | 1,067 |  |  |  | 1,236,760 |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., |
5.25%, 12/01/27 |  |  |  |  |  |  | 303 |  |  |  | 318,907 |
Match Group Holdings II LLC |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/01/28 |  |  |  |  |  |  | 157 |  |  |  | 164,556 |
5.63%, 02/15/29 |  |  |  |  |  |  | 177 |  |  |  | 192,930 |
4.13%, 08/01/30 |  |  |  |  |  |  | 230 |  |  |  | 239,200 |
TripAdvisor, Inc., 7.00%, 07/15/25 |  |  |  |  |  |  | 44 |  |  |  | 47,520 |
Uber Technologies, Inc.(f) |
7.50%, 05/15/25 |  |  |  |  |  |  | 724 |  |  |  | 782,079 |
8.00%, 11/01/26 |  |  |  |  |  |  | 280 |  |  |  | 305,584 |
7.50%, 09/15/27 |  |  |  |  |  |  | 448 |  |  |  | 492,800 |
6.25%, 01/15/28 |  |  |  |  |  |  | 318 |  |  |  | 345,825 |
|  |  |  |  |  |  |  |  |  |  | 4,472,515 |
IT Services(b) — 1.3% |
Austin BidCo, Inc., 7.13%, 12/15/28 |  |  |  |  |  |  | 72 |  |  |  | 75,150 |
Banff Merger Sub, Inc., 9.75%, 09/01/26(f) |  |  |  |  |  |  | 1,667 |  |  |  | 1,800,610 |
Booz Allen Hamilton, Inc., 3.88%, 09/01/28(f) |  |  |  |  |  |  | 363 |  |  |  | 373,890 |
Camelot Finance SA, 4.50%, 11/01/26(f) |  |  |  |  |  |  | 623 |  |  |  | 650,256 |
Castle U.S. Holding Corp., 9.50%, 02/15/28 |  |  |  |  |  |  | 534 |  |  |  | 534,000 |
Dun & Bradstreet Corp.(f) |
6.88%, 08/15/26 |  |  |  |  |  |  | 597 |  |  |  | 641,775 |
10.25%, 02/15/27 |  |  |  |  |  |  | 297 |  |  |  | 334,867 |
Fair Isaac Corp., 4.00%, 06/15/28 |  |  |  |  |  |  | 169 |  |  |  | 177,873 |
Gartner, Inc. |
4.50%, 07/01/28 |  |  |  |  |  |  | 296 |  |  |  | 312,280 |
3.75%, 10/01/30(f) |  |  |  |  |  |  | 427 |  |  |  | 449,956 |
Presidio Holdings, Inc., 4.88%, 02/01/27 |  |  |  |  |  |  | 329 |  |  |  | 348,997 |
Rackspace Technology Global, Inc., 5.38%, |  |  |  |  |  |  |  |  |  |  |  |
12/01/28 |  |  |  |  |  |  | 426 |  |  |  | 446,320 |
Science Applications International Corp., 4.88%, |
04/01/28(f) |  |  |  |  |  |  | 254 |  |  |  | 269,240 |
Tempo Acquisition LLC/Tempo Acquisition Finance |
Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 06/01/25 |  |  |  |  |  |  | 243 |  |  |  | 258,187 |
6.75%, 06/01/25(f) |  |  |  |  |  |  | 934 |  |  |  | 965,336 |
|  |  |  |  |  |  |  |  |  |  | 7,638,737 |
Leisure Products — 0.2% |
Mattel, Inc. |
6.75%, 12/31/25(b)(f) |  |  |  |  |  |  | 654 |  |  |  | 690,277 |
5.88%, 12/15/27(b) |  |  |  |  |  |  | 293 |  |  |  | 325,596 |
6.20%, 10/01/40 |  |  |  |  |  |  | 67 |  |  |  | 78,223 |
5.45%, 11/01/41 |  |  |  |  |  |  | 167 |  |  |  | 183,759 |
|  |  |  |  |  |  |  |  |  |  | 1,277,855 |
Machinery — 0.7% |
ATS Automation Tooling Systems, Inc., 4.13%, |
12/15/28(b) |  |  |  |  |  |  | 108 |  |  |  | 109,890 |

S C H E D U L E O F I N V E S T M E N T S |  | 63

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Machinery (continued) |
Colfax Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 02/15/24(f) |  |  | USD |  |  |  | 432 |  |  | $ | 447,669 |
6.38%, 02/15/26 |  |  |  |  |  |  | 170 |  |  |  | 181,475 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(g) |  |  |  | 558 |  |  |  | 606,825 |
Mueller Water Products, Inc., 5.50%, 06/15/26(b) |  |  |  |  |  |  | 336 |  |  |  | 348,180 |
RBS Global, Inc./Rexnord LLC, 4.88%, 12/15/25(b) |  |  |  |  |  |  | 353 |  |  |  | 359,619 |
Stevens Holding Co., Inc., 6.13%, 10/01/26(b) |  |  |  |  |  |  | 167 |  |  |  | 180,360 |
Terex Corp., 5.63%, 02/01/25(b)(f) |  |  |  |  |  |  | 324 |  |  |  | 333,760 |
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b)(f) |  |  |  |  |  |  | 727 |  |  |  | 756,080 |
Vertical Holdco GmbH, 7.63%, 07/15/28(b) |  |  |  |  |  |  | 400 |  |  |  | 436,000 |
Vertical Midco GmbH, 4.38%, 07/15/27 |  |  | EUR |  |  |  | 100 |  |  |  | 128,548 |
Vertical US Newco, Inc., 5.25%, 07/15/27(b)(f) |  |  | USD |  |  |  | 394 |  |  |  | 417,640 |
|  |  |  |  |  |  |  |  |  |  | 4,306,046 |
Media — 8.4% |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/26(b)(f) |  |  |  |  |  |  | 1,143 |  |  |  | 1,206,208 |
3.00%, 01/15/28 |  |  | EUR |  |  |  | 100 |  |  |  | 117,453 |
5.00%, 01/15/28(b)(f) |  |  | USD |  |  |  | 378 |  |  |  | 387,312 |
Altice France Holding SA(b) |  |  |  |  |  |  |  |  |  |  |  |
10.50%, 05/15/27(f) |  |  |  |  |  |  | 1,473 |  |  |  | 1,653,442 |
6.00%, 02/15/28 |  |  |  |  |  |  | 382 |  |  |  | 386,775 |
AMC Networks, Inc., 4.75%, 08/01/25 |  |  |  |  |  |  | 222 |  |  |  | 229,259 |
Block Communications, Inc., 4.88%, 03/01/28(b) |  |  |  |  |  |  | 128 |  |  |  | 131,840 |
Cable Onda SA, 4.50%, 01/30/30 |  |  |  |  |  |  | 215 |  |  |  | 237,172 |
Cable One, Inc., 4.00%, 11/15/30(b) |  |  |  |  |  |  | 245 |  |  |  | 254,494 |
CCO Holdings LLC/CCO Holdings Capital Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 05/01/27(f) |  |  |  |  |  |  | 680 |  |  |  | 721,609 |
5.88%, 05/01/27(f) |  |  |  |  |  |  | 349 |  |  |  | 362,524 |
5.00%, 02/01/28 |  |  |  |  |  |  | 34 |  |  |  | 35,955 |
5.38%, 06/01/29(f) |  |  |  |  |  |  | 1,202 |  |  |  | 1,317,692 |
4.75%, 03/01/30 |  |  |  |  |  |  | 132 |  |  |  | 142,428 |
4.50%, 08/15/30(f) |  |  |  |  |  |  | 1,300 |  |  |  | 1,379,625 |
4.25%, 02/01/31(f) |  |  |  |  |  |  | 860 |  |  |  | 906,320 |
4.50%, 05/01/32(f) |  |  |  |  |  |  | 1,188 |  |  |  | 1,268,451 |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, 07/23/25(f) |  |  |  |  |  |  | 2,425 |  |  |  | 2,816,511 |
Clear Channel International BV, 6.63%, 08/01/25(b) |  |  |  |  |  |  | 384 |  |  |  | 405,120 |
Clear Channel Worldwide Holdings, Inc.(f) 9.25%, 02/15/24 |  |  |  |  |  |  | 811 |  |  |  | 821,137 |
5.13%, 08/15/27(b) |  |  |  |  |  |  | 1,880 |  |  |  | 1,898,800 |
Comcast Corp., 3.95%, 10/15/25(f) |  |  |  |  |  |  | 3,000 |  |  |  | 3,446,640 |
Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b)(f) |  |  |  |  |  |  | 2,066 |  |  |  | 2,225,495 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 11/15/21 |  |  |  |  |  |  | 187 |  |  |  | 195,415 |
5.25%, 06/01/24 |  |  |  |  |  |  | 123 |  |  |  | 133,135 |
6.50%, 02/01/29(b)(f) |  |  |  |  |  |  | 865 |  |  |  | 976,628 |
5.75%, 01/15/30(b)(f) |  |  |  |  |  |  | 660 |  |  |  | 723,525 |
4.13%, 12/01/30(b)(f) |  |  |  |  |  |  | 397 |  |  |  | 415,103 |
4.63%, 12/01/30(b) |  |  |  |  |  |  | 1,648 |  |  |  | 1,720,100 |
3.38%, 02/15/31(b)(f) |  |  |  |  |  |  | 665 |  |  |  | 652,531 |
Diamond Sports Group LLC/Diamond Sports Finance Co., 5.38%, 08/15/26(b)(f) |  |  |  | 590 |  |  |  | 479,375 |
Discovery Communications LLC(f) 3.25%, 04/01/23 |  |  |  |  |  |  | 1,490 |  |  |  | 1,568,731 |
3.45%, 03/15/25 |  |  |  |  |  |  | 170 |  |  |  | 186,594 |

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |
DISH DBS Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 06/01/21(f) |  |  | USD |  |  |  | 627 |  |  | $ | 639,672 |
5.88%, 07/15/22(f) |  |  |  |  |  |  | 1,396 |  |  |  | 1,458,820 |
5.00%, 03/15/23 |  |  |  |  |  |  | 358 |  |  |  | 369,635 |
7.75%, 07/01/26(f) |  |  |  |  |  |  | 528 |  |  |  | 591,365 |
DISH Network Corp.(k) |  |  |  |  |  |  |  |  |  |  |  |
2.38%, 03/15/24 |  |  |  |  |  |  | 312 |  |  |  | 290,762 |
3.38%, 08/15/26 |  |  |  |  |  |  | 385 |  |  |  | 366,994 |
Entercom Media Corp., 6.50%, 05/01/27(b) |  |  |  |  |  |  | 286 |  |  |  | 290,647 |
GCI LLC, 4.75%, 10/15/28(b) |  |  |  |  |  |  | 89 |  |  |  | 94,923 |
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |  |  |  |  |  |  | 177 |  |  |  | 195,364 |
iHeartCommunications, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 05/01/26 |  |  |  |  |  |  | 264 |  |  |  | 282,663 |
5.25%, 08/15/27(b) |  |  |  |  |  |  | 122 |  |  |  | 128,100 |
4.75%, 01/15/28(b) |  |  |  |  |  |  | 78 |  |  |  | 80,048 |
Lamar Media Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 02/01/26 |  |  |  |  |  |  | 124 |  |  |  | 127,875 |
4.00%, 02/15/30 |  |  |  |  |  |  | 126 |  |  |  | 130,725 |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b)(f) |  |  |  |  |  |  | 600 |  |  |  | 645,750 |
Liberty Broadband Corp.(b)(k) |  |  |  |  |  |  |  |  |  |  |  |
1.25%, 09/30/50 |  |  |  |  |  |  | 256 |  |  |  | 258,435 |
2.75%, 09/30/50 |  |  |  |  |  |  | 825 |  |  |  | 882,554 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(g) |  |  |  |  |  |  | 435 |  |  |  | 421,950 |
Lions Gate Capital Holdings LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 02/01/24 |  |  |  |  |  |  | 25 |  |  |  | 25,625 |
5.88%, 11/01/24 |  |  |  |  |  |  | 171 |  |  |  | 173,565 |
Live Nation Entertainment, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 11/01/24 |  |  |  |  |  |  | 31 |  |  |  | 31,388 |
2.00%, 02/15/25(k) |  |  |  |  |  |  | 146 |  |  |  | 154,503 |
6.50%, 05/15/27(f) |  |  |  |  |  |  | 966 |  |  |  | 1,080,490 |
4.75%, 10/15/27 |  |  |  |  |  |  | 91 |  |  |  | 93,268 |
3.75%, 01/15/28(j) |  |  |  |  |  |  | 189 |  |  |  | 190,966 |
Meredith Corp., 6.88%, 02/01/26 |  |  |  |  |  |  | 56 |  |  |  | 54,600 |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) |  |  |  |  |  |  | 177 |  |  |  | 184,965 |
Network i2i Ltd., (5 year CMT + 4.27%), 5.65%(a)(i) |  |  |  | 250 |  |  |  | 266,641 |
Outfront Media Capital LLC/ Outfront Media Capital Corp., 5.00%, 08/15/27(b)(f) |  |  |  | 413 |  |  |  | 420,227 |
Qualitytech LP/QTS Finance Corp., 3.88%, 10/01/28(b) |  |  |  |  |  |  | 295 |  |  |  | 300,900 |
Radiate Holdco LLC/Radiate Finance, Inc.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 09/15/26 |  |  |  |  |  |  | 919 |  |  |  | 947,719 |
6.50%, 09/15/28 |  |  |  |  |  |  | 1,644 |  |  |  | 1,732,365 |
Sable International Finance Ltd. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/07/27 |  |  |  |  |  |  | 270 |  |  |  | 287,550 |
5.75%, 09/07/27(b) |  |  |  |  |  |  | 200 |  |  |  | 212,750 |
Scripps Escrow II, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 01/15/29 |  |  |  |  |  |  | 94 |  |  |  | 97,691 |
5.38%, 01/15/31 |  |  |  |  |  |  | 169 |  |  |  | 176,182 |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) |  |  |  |  |  |  | 442 |  |  |  | 452,268 |
Sirius XM Radio, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 08/01/27 |  |  |  |  |  |  | 170 |  |  |  | 180,627 |
5.50%, 07/01/29(f) |  |  |  |  |  |  | 887 |  |  |  | 975,977 |
4.13%, 07/01/30(f) |  |  |  |  |  |  | 325 |  |  |  | 345,922 |
Summer BC Holdco B Sarl, 5.75%, 10/31/26 |  |  | EUR |  |  |  | 100 |  |  |  | 128,670 |
TEGNA, Inc., 5.50%, 09/15/24(b) |  |  | USD |  |  |  | 28 |  |  |  | 28,455 |
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b) |  |  |  |  |  |  | 200 |  |  |  | 213,300 |
Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b) |  |  |  |  |  |  | 332 |  |  |  | 343,620 |

64 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |
Terrier Media Buyer, Inc., 8.88%, 12/15/27(b)(f) |  |  | USD |  |  |  | 654 |  |  | $ | 721,035 |
Univision Communications, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 02/15/25 |  |  |  |  |  |  | 133 |  |  |  | 133,998 |
6.63%, 06/01/27 |  |  |  |  |  |  | 132 |  |  |  | 141,775 |
Videotron Ltd., 5.13%, 04/15/27(b) |  |  |  |  |  |  | 439 |  |  |  | 465,889 |
Virgin Media Secured Finance PLC(b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 08/15/26 |  |  |  |  |  |  | 200 |  |  |  | 207,750 |
5.50%, 05/15/29(f) |  |  |  |  |  |  | 400 |  |  |  | 433,500 |
4.50%, 08/15/30(f) |  |  |  |  |  |  | 346 |  |  |  | 361,570 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b)(f) |  |  |  |  |  |  | 754 |  |  |  | 784,160 |
WMG Acquisition Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 04/15/26 |  |  |  |  |  |  | 166 |  |  |  | 172,017 |
3.88%, 07/15/30 |  |  |  |  |  |  | 171 |  |  |  | 181,734 |
3.00%, 02/15/31 |  |  |  |  |  |  | 66 |  |  |  | 64,680 |
Ziggo Bond Co. BV(b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  |  |  |  |  |  | 199 |  |  |  | 210,297 |
5.13%, 02/28/30 |  |  |  |  |  |  | 225 |  |  |  | 237,442 |
Ziggo BV |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/27 |  |  | EUR |  |  |  | 80 |  |  |  | 102,071 |
5.50%, 01/15/27(b)(f) |  |  | USD |  |  |  | 599 |  |  |  | 625,206 |
4.88%, 01/15/30(b)(f) |  |  |  |  |  |  | 200 |  |  |  | 210,250 |
|  |  |  |  |  |  |  |  |  |  | 50,813,289 |
Metals & Mining — 2.0% |  |  |  |  |  |  |  |  |
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24 |  |  |  |  |  |  | 250 |  |  |  | 268,125 |
Allegheny Technologies, Inc., 7.88%, 08/15/23 |  |  |  |  |  |  | 68 |  |  |  | 74,415 |
Arconic Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 05/15/25 |  |  |  |  |  |  | 332 |  |  |  | 354,410 |
6.13%, 02/15/28 |  |  |  |  |  |  | 222 |  |  |  | 239,344 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(f) |  |  |  |  |  |  | 937 |  |  |  | 1,011,960 |
Constellium SE(b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 05/15/24(f) |  |  |  |  |  |  | 506 |  |  |  | 516,333 |
6.63%, 03/01/25(f) |  |  |  |  |  |  | 1,269 |  |  |  | 1,295,966 |
5.88%, 02/15/26(f) |  |  |  |  |  |  | 588 |  |  |  | 605,640 |
5.63%, 06/15/28 |  |  |  |  |  |  | 250 |  |  |  | 269,375 |
Freeport-McMoRan, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 08/01/28 |  |  |  |  |  |  | 433 |  |  |  | 460,062 |
4.63%, 08/01/30 |  |  |  |  |  |  | 507 |  |  |  | 556,432 |
5.40%, 11/14/34 |  |  |  |  |  |  | 161 |  |  |  | 201,451 |
5.45%, 03/15/43 |  |  |  |  |  |  | 1,336 |  |  |  | 1,663,320 |
Gold Fields Orogen Holdings BVI Ltd., 5.13%, 05/15/24(b) |  |  |  |  |  |  | 200 |  |  |  | 219,687 |
Grinding Media, Inc./Moly-Cop AltaSteel Ltd., 7.38%, 12/15/23(b)(f) |  |  |  |  |  |  | 371 |  |  |  | 376,565 |
HTA Group Ltd., 7.00%, 12/18/25(b) |  |  |  |  |  |  | 200 |  |  |  | 215,125 |
JSW Steel Ltd., 5.95%, 04/18/24 |  |  |  |  |  |  | 200 |  |  |  | 211,938 |
Kaiser Aluminum Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 05/01/25 |  |  |  |  |  |  | 103 |  |  |  | 110,210 |
4.63%, 03/01/28 |  |  |  |  |  |  | 66 |  |  |  | 68,475 |
New Gold, Inc., 7.50%, 07/15/27(b)(f) |  |  |  |  |  |  | 507 |  |  |  | 560,235 |
Nexa Resources SA, 5.38%, 05/04/27(b) |  |  |  |  |  |  | 237 |  |  |  | 263,811 |
Novelis Corp.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 09/30/26 |  |  |  |  |  |  | 502 |  |  |  | 524,590 |
4.75%, 01/30/30 |  |  |  |  |  |  | 881 |  |  |  | 949,159 |
Periama Holdings LLC, 5.95%, 04/19/26 |  |  |  |  |  |  | 200 |  |  |  | 212,500 |
thyssenkrupp AG |  |  |  |  |  |  |  |  |  |  |  |
1.88%, 03/06/23 |  |  | EUR |  |  |  | 43 |  |  |  | 52,430 |
2.88%, 02/22/24 |  |  |  |  |  |  | 84 |  |  |  | 103,157 |

Security |  |  |  |  | Par (000) |  |  | Value |
Metals & Mining (continued) |
Usiminas International Sarl, 5.88%, 07/18/26(b) |  |  | USD |  |  |  | 200 |  |  | $ | 216,938 |
Vale Overseas Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 08/10/26 |  |  |  |  |  |  | 63 |  |  |  | 78,081 |
3.75%, 07/08/30 |  |  |  |  |  |  | 155 |  |  |  | 172,195 |
Vedanta Resources Finance II PLC |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 04/23/23 |  |  |  |  |  |  | 313 |  |  |  | 261,746 |
13.88%, 01/21/24 |  |  |  |  |  |  | 200 |  |  |  | 210,125 |
|  |  |  |  |  |  |  |  |  |  | 12,323,800 |
Multi-line Retail — 0.1% |
Dufry One BV, 2.00%, 02/15/27 |  |  | EUR |  |  |  | 100 |  |  |  | 114,194 |
Future Retail Ltd., 5.60%, 01/22/25 |  |  | USD |  |  |  | 200 |  |  |  | 169,312 |
Nordstrom, Inc., 8.75%, 05/15/25(b) |  |  |  |  |  |  | 136 |  |  |  | 152,327 |
|  |  |  |  |  |  |  |  |  |  | 435,833 |
Offshore Drilling & Other Services — 0.1% |
Applied Materials, Inc., 3.90%, 10/01/25(f) |  |  |  |  |  |  | 285 |  |  |  | 325,656 |
Entegris, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 02/10/26 |  |  |  |  |  |  | 190 |  |  |  | 197,125 |
4.38%, 04/15/28 |  |  |  |  |  |  | 231 |  |  |  | 246,304 |
|  |  |  |  |  |  |  |  |  |  | 769,085 |
Oil, Gas & Consumable Fuels — 8.1% |
Apache Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 11/15/27 |  |  |  |  |  |  | 211 |  |  |  | 223,660 |
5.10%, 09/01/40 |  |  |  |  |  |  | 237 |  |  |  | 252,701 |
5.25%, 02/01/42 |  |  |  |  |  |  | 30 |  |  |  | 32,335 |
4.75%, 04/15/43 |  |  |  |  |  |  | 321 |  |  |  | 332,834 |
4.25%, 01/15/44 |  |  |  |  |  |  | 184 |  |  |  | 181,540 |
5.35%, 07/01/49 |  |  |  |  |  |  | 72 |  |  |  | 73,874 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 11/01/27 |  |  |  |  |  |  | 225 |  |  |  | 249,750 |
8.25%, 12/31/28 |  |  |  |  |  |  | 115 |  |  |  | 114,713 |
Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(l) |  |  |  |  |  |  | 148 |  |  |  | 112,092 |
Blue Racer Midstream LLC/Blue Racer Finance Corp., 7.63%, 12/15/25(b) |  |  |  |  |  |  | 168 |  |  |  | 178,920 |
Brand Industrial Services, Inc., 8.50%, 07/15/25(b)(f) . |  |  |  |  |  |  | 498 |  |  |  | 508,582 |
Buckeye Partners LP |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 03/01/25(b)(f) |  |  |  |  |  |  | 262 |  |  |  | 265,275 |
4.50%, 03/01/28(b)(f) |  |  |  |  |  |  | 362 |  |  |  | 372,860 |
5.85%, 11/15/43 |  |  |  |  |  |  | 145 |  |  |  | 142,671 |
5.60%, 10/15/44 |  |  |  |  |  |  | 166 |  |  |  | 159,568 |
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 |  |  | EUR |  |  |  | 100 |  |  |  | 117,490 |
Cenovus Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 08/15/22 |  |  | USD |  |  |  | 84 |  |  |  | 85,833 |
3.80%, 09/15/23 |  |  |  |  |  |  | 48 |  |  |  | 49,859 |
5.38%, 07/15/25(f) |  |  |  |  |  |  | 327 |  |  |  | 368,676 |
5.40%, 06/15/47 |  |  |  |  |  |  | 113 |  |  |  | 132,651 |
Centennial Resource Production LLC, 6.88%, 04/01/27(b)(f) |  |  |  |  |  |  | 255 |  |  |  | 182,962 |
Cheniere Energy Partners LP |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/26 |  |  |  |  |  |  | 173 |  |  |  | 179,920 |
4.50%, 10/01/29(f) |  |  |  |  |  |  | 529 |  |  |  | 559,566 |
5.25%, 10/01/25 |  |  |  |  |  |  | 48 |  |  |  | 49,260 |
Cheniere Energy, Inc., 4.63%, 10/15/28(b) |  |  |  |  |  |  | 1,311 |  |  |  | 1,376,550 |
Citgo Holding, Inc., 9.25%, 08/01/24(b) |  |  |  |  |  |  | 228 |  |  |  | 209,760 |
CNX Resources Corp.(b) 7.25%, 03/14/27 |  |  |  |  |  |  | 216 |  |  |  | 231,120 |

S C H E D U L E O F I N V E S T M E N T S |  | 65

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
CNX Resources Corp.(b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/29 |  |  | USD |  |  |  | 261 |  |  | $ | 267,391 |
Comstock Resources, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25(b)(f) |  |  |  |  |  |  | 466 |  |  |  | 477,459 |
9.75%, 08/15/26 |  |  |  |  |  |  | 543 |  |  |  | 584,737 |
Continental Resources, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 09/15/22 |  |  |  |  |  |  | 157 |  |  |  | 157,236 |
4.50%, 04/15/23 |  |  |  |  |  |  | 29 |  |  |  | 29,902 |
5.75%, 01/15/31(b) |  |  |  |  |  |  | 247 |  |  |  | 274,165 |
4.90%, 06/01/44 |  |  |  |  |  |  | 233 |  |  |  | 230,439 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 04/01/23 |  |  |  |  |  |  | 21 |  |  |  | 21,053 |
5.63%, 05/01/27(b) |  |  |  |  |  |  | 249 |  |  |  | 246,510 |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b) |  |  |  |  |  |  | 1,188 |  |  |  | 1,213,221 |
CVR Energy, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 02/15/25 |  |  |  |  |  |  | 148 |  |  |  | 142,820 |
5.75%, 02/15/28 |  |  |  |  |  |  | 77 |  |  |  | 72,958 |
DCP Midstream Operating LP |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 07/15/25(f) |  |  |  |  |  |  | 188 |  |  |  | 206,578 |
5.63%, 07/15/27 |  |  |  |  |  |  | 201 |  |  |  | 223,110 |
5.13%, 05/15/29 |  |  |  |  |  |  | 99 |  |  |  | 109,803 |
6.45%, 11/03/36(b) |  |  |  |  |  |  | 226 |  |  |  | 244,080 |
6.75%, 09/15/37(b)(f) |  |  |  |  |  |  | 392 |  |  |  | 423,360 |
Diamondback Energy, Inc., 3.50%, 12/01/29(f) |  |  |  |  |  |  | 440 |  |  |  | 470,059 |
Double Eagle III Midco 1 LLC/Double Eagle Finance Corp., 7.75%, 12/15/25(b) |  |  |  |  |  |  | 241 |  |  |  | 255,552 |
eG Global Finance PLC |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 02/07/25(b) |  |  |  |  |  |  | 396 |  |  |  | 407,880 |
6.25%, 10/30/25 |  |  | EUR |  |  |  | 142 |  |  |  | 178,140 |
8.50%, 10/30/25(b) |  |  | USD |  |  |  | 339 |  |  |  | 361,214 |
Enbridge, Inc., (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78(a)(f) |  |  |  |  |  |  | 1,565 |  |  |  | 1,711,598 |
Endeavor Energy Resources LP/EER Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/25 |  |  |  |  |  |  | 192 |  |  |  | 205,440 |
5.50%, 01/30/26(f) |  |  |  |  |  |  | 815 |  |  |  | 836,312 |
5.75%, 01/30/28 |  |  |  |  |  |  | 386 |  |  |  | 416,378 |
Energy Transfer Operating LP |  |  |  |  |  |  |  |  |  |  |  |
5.15%, 03/15/45 |  |  |  |  |  |  | 63 |  |  |  | 68,273 |
6.13%, 12/15/45 |  |  |  |  |  |  | 293 |  |  |  | 346,120 |
6.00%, 06/15/48 |  |  |  |  |  |  | 136 |  |  |  | 160,253 |
5.00%, 05/15/50 |  |  |  |  |  |  | 230 |  |  |  | 249,065 |
EnLink Midstream LLC |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 01/15/28(b) |  |  |  |  |  |  | 174 |  |  |  | 177,515 |
5.38%, 06/01/29 |  |  |  |  |  |  | 82 |  |  |  | 79,745 |
EnLink Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |
4.40%, 04/01/24 |  |  |  |  |  |  | 240 |  |  |  | 236,825 |
4.15%, 06/01/25 |  |  |  |  |  |  | 17 |  |  |  | 16,575 |
4.85%, 07/15/26 |  |  |  |  |  |  | 99 |  |  |  | 96,658 |
5.60%, 04/01/44 |  |  |  |  |  |  | 205 |  |  |  | 164,513 |
5.05%, 04/01/45 |  |  |  |  |  |  | 56 |  |  |  | 44,626 |
EQM Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 07/01/25(b)(f) |  |  |  |  |  |  | 255 |  |  |  | 279,225 |
4.13%, 12/01/26 |  |  |  |  |  |  | 100 |  |  |  | 100,750 |
6.50%, 07/01/27(b)(f) |  |  |  |  |  |  | 364 |  |  |  | 409,877 |
EQT Corp. |  |  |  |  |  |  |  |  |  |  |  |
3.90%, 10/01/27 |  |  |  |  |  |  | 325 |  |  |  | 322,871 |
5.00%, 01/15/29 |  |  |  |  |  |  | 139 |  |  |  | 146,550 |
8.75%, 02/01/30 |  |  |  |  |  |  | 176 |  |  |  | 215,600 |

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Extraction Oil & Gas, Inc.(b)(e)(h) |
7.38%, 05/15/24 |  |  | USD |  |  |  | 302 |  |  | $ | 54,360 |
5.63%, 02/01/26 |  |  |  |  |  |  | 572 |  |  |  | 102,960 |
Genesis Energy LP/Genesis Energy Finance Corp. |
5.63%, 06/15/24 |  |  |  |  |  |  | 169 |  |  |  | 164,775 |
6.50%, 10/01/25 |  |  |  |  |  |  | 46 |  |  |  | 44,735 |
7.75%, 02/01/28 |  |  |  |  |  |  | 118 |  |  |  | 112,985 |
Geopark Ltd., 6.50%, 09/21/24(b) |  |  |  |  |  |  | 200 |  |  |  | 207,187 |
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 |  |  |  |  |  |  | 200 |  |  |  | 191,125 |
Great Western Petroleum LLC/Great Western |
Finance Corp., 9.00%, 09/30/21(b) |  |  |  |  |  |  | 484 |  |  |  | 280,720 |
Harvest Midstream I LP, 7.50%, 09/01/28(b) |  |  |  |  |  |  | 295 |  |  |  | 313,806 |
Hess Corp., 4.30%, 04/01/27 |  |  |  |  |  |  | 50 |  |  |  | 55,124 |
Hess Midstream Operations LP, 5.63%, 02/15/26(b) . |  |  |  |  |  |  | 210 |  |  |  | 218,400 |
Hilong Holding Ltd., 8.25%, 09/26/22(e)(h) |  |  |  |  |  |  | 200 |  |  |  | 155,000 |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 |  |  |  |  |  |  | 200 |  |  |  | 207,812 |
Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(c) |  |  |  |  |  |  | 1,435 |  |  |  | 1,511,727 |
Indigo Natural Resources LLC, 6.88%, 02/15/26(b)(f). |  |  |  |  |  |  | 569 |  |  |  | 581,802 |
Leviathan Bond Ltd., 5.75%, 06/30/23(b) |  |  |  |  |  |  | 283 |  |  |  | 301,248 |
Matador Resources Co., 5.88%, 09/15/26(f) |  |  |  |  |  |  | 563 |  |  |  | 551,740 |
Medco Bell Pte Ltd., 6.38%, 01/30/27 |  |  |  |  |  |  | 250 |  |  |  | 254,844 |
MEG Energy Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 03/31/24 |  |  |  |  |  |  | 293 |  |  |  | 295,930 |
6.50%, 01/15/25(f) |  |  |  |  |  |  | 635 |  |  |  | 654,082 |
7.13%, 02/01/27 |  |  |  |  |  |  | 6 |  |  |  | 6,195 |
MPLX LP, 4.25%, 12/01/27 |  |  |  |  |  |  | 185 |  |  |  | 217,222 |
Murphy Oil Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 08/15/25 |  |  |  |  |  |  | 119 |  |  |  | 117,810 |
6.38%, 12/01/42 |  |  |  |  |  |  | 29 |  |  |  | 25,556 |
Murphy Oil USA, Inc., 4.75%, 09/15/29 |  |  |  |  |  |  | 146 |  |  |  | 155,308 |
Neptune Energy Bondco PLC, 6.63%, 05/15/25(b) |  |  |  |  |  |  | 200 |  |  |  | 197,854 |
New Enterprise Stone & Lime Co., Inc., 6.25%, 03/15/26(b) |  |  |  |  |  |  | 74 |  |  |  | 75,850 |
New Fortress Energy, Inc., 6.75%, 09/15/25(b)(f) |  |  |  |  |  |  | 1,108 |  |  |  | 1,176,895 |
NGPL PipeCo LLC, 7.77%, 12/15/37(b) |  |  |  |  |  |  | 227 |  |  |  | 306,899 |
NuStar Logistics LP |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 06/01/26 |  |  |  |  |  |  | 163 |  |  |  | 176,286 |
6.38%, 10/01/30 |  |  |  |  |  |  | 25 |  |  |  | 28,320 |
Occidental Petroleum Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.70%, 08/15/22(f) |  |  |  |  |  |  | 443 |  |  |  | 443,554 |
2.70%, 02/15/23 |  |  |  |  |  |  | 239 |  |  |  | 238,773 |
6.95%, 07/01/24 |  |  |  |  |  |  | 63 |  |  |  | 68,040 |
2.90%, 08/15/24(f) |  |  |  |  |  |  | 354 |  |  |  | 340,725 |
5.50%, 12/01/25 |  |  |  |  |  |  | 136 |  |  |  | 141,795 |
3.40%, 04/15/26 |  |  |  |  |  |  | 68 |  |  |  | 64,832 |
3.20%, 08/15/26 |  |  |  |  |  |  | 16 |  |  |  | 14,960 |
3.00%, 02/15/27 |  |  |  |  |  |  | 4 |  |  |  | 3,560 |
8.88%, 07/15/30 |  |  |  |  |  |  | 34 |  |  |  | 39,908 |
6.13%, 01/01/31 |  |  |  |  |  |  | 477 |  |  |  | 510,485 |
4.30%, 08/15/39(f) |  |  |  |  |  |  | 482 |  |  |  | 407,541 |
6.20%, 03/15/40(f) |  |  |  |  |  |  | 748 |  |  |  | 740,520 |
4.50%, 07/15/44 |  |  |  |  |  |  | 196 |  |  |  | 166,110 |
4.63%, 06/15/45(f) |  |  |  |  |  |  | 498 |  |  |  | 434,072 |
6.60%, 03/15/46 |  |  |  |  |  |  | 26 |  |  |  | 26,382 |
4.40%, 04/15/46(f) |  |  |  |  |  |  | 432 |  |  |  | 376,473 |
4.10%, 02/15/47 |  |  |  |  |  |  | 48 |  |  |  | 39,238 |
4.20%, 03/15/48(f) |  |  |  |  |  |  | 296 |  |  |  | 241,240 |
4.40%, 08/15/49 |  |  |  |  |  |  | 104 |  |  |  | 87,651 |
Odebrecht Offshore Drilling Finance Ltd., (7.72% PIK), 7.72%, 12/01/26(b)(g) |  |  |  |  |  |  | — | (m) |  |  | 17 |

66 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
Ovintiv Exploration, Inc., 5.75%, 01/30/22 |  |  | USD |  |  |  | 89 |  |  | $ | 92,440 |
Parsley Energy LLC/Parsley Finance Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 01/15/25 |  |  |  |  |  |  | 251 |  |  |  | 258,128 |
5.25%, 08/15/25 |  |  |  |  |  |  | 59 |  |  |  | 61,449 |
5.63%, 10/15/27 |  |  |  |  |  |  | 271 |  |  |  | 296,609 |
4.13%, 02/15/28 |  |  |  |  |  |  | 281 |  |  |  | 295,050 |
PBF Holding Co. LLC/PBF Finance Corp., 9.25%, 05/15/25(b) |  |  |  |  |  |  | 611 |  |  |  | 602,385 |
PDC Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1.13%, 09/15/21(k) |  |  |  |  |  |  | 922 |  |  |  | 895,797 |
6.13%, 09/15/24 |  |  |  |  |  |  | 151 |  |  |  | 155,169 |
6.25%, 12/01/25 |  |  |  |  |  |  | 122 |  |  |  | 120,475 |
5.75%, 05/15/26 |  |  |  |  |  |  | 235 |  |  |  | 242,637 |
Pertamina Persero PT, 3.65%, 07/30/29 |  |  |  |  |  |  | 202 |  |  |  | 225,230 |
Petrobras Global Finance BV |  |  |  |  |  |  |  |  |  |  |  |
5.30%, 01/27/25(f) |  |  |  |  |  |  | 500 |  |  |  | 564,687 |
5.60%, 01/03/31 |  |  |  |  |  |  | 321 |  |  |  | 367,545 |
Petroleos Mexicanos |  |  |  |  |  |  |  |  |  |  |  |
6.35%, 02/12/48 |  |  |  |  |  |  | 41 |  |  |  | 36,836 |
6.95%, 01/28/60 |  |  |  |  |  |  | 125 |  |  |  | 117,331 |
Puma International Financing SA, 5.13%, |  |  |  |  |  |  |  |  |  |  |  |
10/06/24(b) |  |  |  |  |  |  | 200 |  |  |  | 198,500 |
QEP Resources, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 10/01/22 |  |  |  |  |  |  | 182 |  |  |  | 189,507 |
5.25%, 05/01/23 |  |  |  |  |  |  | 161 |  |  |  | 169,452 |
5.63%, 03/01/26 |  |  |  |  |  |  | 123 |  |  |  | 134,876 |
Range Resources Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 07/01/22 |  |  |  |  |  |  | 44 |  |  |  | 44,000 |
5.00%, 08/15/22 |  |  |  |  |  |  | 252 |  |  |  | 249,480 |
5.00%, 03/15/23(f) |  |  |  |  |  |  | 189 |  |  |  | 184,275 |
4.88%, 05/15/25 |  |  |  |  |  |  | 14 |  |  |  | 13,224 |
Rattler Midstream LP, 5.63%, 07/15/25(b) |  |  |  |  |  |  | 239 |  |  |  | 252,444 |
Sabine Pass Liquefaction LLC, 4.50%, 05/15/30(b)(f). |  |  |  |  |  |  | 275 |  |  |  | 325,951 |
Saudi Arabian Oil Co., 2.25%, 11/24/30(b) |  |  |  |  |  |  | 442 |  |  |  | 448,077 |
SM Energy Co. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 11/15/22 |  |  |  |  |  |  | 19 |  |  |  | 18,335 |
10.00%, 01/15/25(b)(f) |  |  |  |  |  |  | 683 |  |  |  | 734,225 |
Southwestern Energy Co. |  |  |  |  |  |  |  |  |  |  |  |
4.10%, 03/15/22 |  |  |  |  |  |  | 252 |  |  |  | 253,260 |
6.45%, 01/23/25 |  |  |  |  |  |  | 125 |  |  |  | 130,000 |
7.50%, 04/01/26 |  |  |  |  |  |  | 74 |  |  |  | 77,626 |
8.38%, 09/15/28 |  |  |  |  |  |  | 137 |  |  |  | 148,645 |
Sunoco Logistics Partners Operations LP |  |  |  |  |  |  |  |  |  |  |  |
3.90%, 07/15/26(f) |  |  |  |  |  |  | 235 |  |  |  | 257,505 |
5.30%, 04/01/44 |  |  |  |  |  |  | 315 |  |  |  | 340,397 |
5.35%, 05/15/45 |  |  |  |  |  |  | 100 |  |  |  | 110,161 |
5.40%, 10/01/47 |  |  |  |  |  |  | 136 |  |  |  | 151,958 |
Sunoco LP/Sunoco Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 01/15/23 |  |  |  |  |  |  | 213 |  |  |  | 215,684 |
5.50%, 02/15/26 |  |  |  |  |  |  | 33 |  |  |  | 33,825 |
6.00%, 04/15/27 |  |  |  |  |  |  | 63 |  |  |  | 66,970 |
5.88%, 03/15/28 |  |  |  |  |  |  | 124 |  |  |  | 133,920 |
4.50%, 05/15/29(b) |  |  |  |  |  |  | 176 |  |  |  | 183,040 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 09/15/24(b)(f) |  |  |  |  |  |  | 462 |  |  |  | 470,085 |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 02/01/25 |  |  |  |  |  |  | 118 |  |  |  | 120,950 |
5.88%, 04/15/26 |  |  |  |  |  |  | 304 |  |  |  | 322,307 |

Security |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 02/01/27 |  |  | USD |  |  |  | 2 |  |  | $ | 2,101 |
6.50%, 07/15/27 |  |  |  |  |  |  | 195 |  |  |  | 211,575 |
5.00%, 01/15/28 |  |  |  |  |  |  | 359 |  |  |  | 378,946 |
6.88%, 01/15/29(f) |  |  |  |  |  |  | 595 |  |  |  | 670,119 |
5.50%, 03/01/30 |  |  |  |  |  |  | 364 |  |  |  | 395,195 |
4.88%, 02/01/31(b) |  |  |  |  |  |  | 303 |  |  |  | 330,146 |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(f) |  |  |  |  |  |  | 280 |  |  |  | 323,103 |
Transocean, Inc., 11.50%, 01/30/27(b) |  |  |  |  |  |  | 171 |  |  |  | 122,265 |
Viper Energy Partners LP, 5.38%, 11/01/27(b) |  |  |  |  |  |  | 215 |  |  |  | 224,675 |
Western Midstream Operating LP |  |  |  |  |  |  |  |  |  |  |  |
3.95%, 06/01/25 |  |  |  |  |  |  | 181 |  |  |  | 184,620 |
4.75%, 08/15/28 |  |  |  |  |  |  | 37 |  |  |  | 38,480 |
5.45%, 04/01/44 |  |  |  |  |  |  | 329 |  |  |  | 332,708 |
5.30%, 03/01/48 |  |  |  |  |  |  | 372 |  |  |  | 368,637 |
5.50%, 08/15/48 |  |  |  |  |  |  | 63 |  |  |  | 61,840 |
6.25%, 02/01/50 |  |  |  |  |  |  | 620 |  |  |  | 682,000 |
WPX Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.25%, 08/01/23 |  |  |  |  |  |  | 100 |  |  |  | 113,812 |
5.25%, 09/15/24 |  |  |  |  |  |  | 102 |  |  |  | 111,106 |
5.75%, 06/01/26 |  |  |  |  |  |  | 61 |  |  |  | 64,126 |
5.25%, 10/15/27 |  |  |  |  |  |  | 104 |  |  |  | 110,200 |
5.88%, 06/15/28 |  |  |  |  |  |  | 204 |  |  |  | 222,366 |
4.50%, 01/15/30(f) |  |  |  |  |  |  | 394 |  |  |  | 417,640 |
YPF SA |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 04/04/24(b) |  |  |  |  |  |  | 400 |  |  |  | 352,500 |
8.50%, 07/28/25 |  |  |  |  |  |  | 250 |  |  |  | 192,422 |
|  |  |  |  |  |  |  |  |  |  | 48,978,920 |
Personal Products — 0.0% |  |  |  |  |  |  |  |  |
Coty, Inc., 4.00%, 04/15/23 |  |  | EUR |  |  |  | 100 |  |  |  | 117,279 |
Edgewell Personal Care Co., 5.50%, 06/01/28(b) |  |  | USD |  |  |  | 147 |  |  |  | 157,981 |
|  |  |  |  |  |  |  |  |  |  | 275,260 |
Pharmaceuticals — 1.5% |  |  |  |  |  |  |  |  |
Bausch Health Americas, Inc., 8.50%, 01/31/27(b)(f) . |  |  |  |  |  |  | 973 |  |  |  | 1,082,141 |
Bausch Health Cos., Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 04/15/25(f) |  |  |  |  |  |  | 89 |  |  |  | 91,729 |
9.00%, 12/15/25(f) |  |  |  |  |  |  | 300 |  |  |  | 331,185 |
5.75%, 08/15/27 |  |  |  |  |  |  | 145 |  |  |  | 155,512 |
7.00%, 01/15/28 |  |  |  |  |  |  | 366 |  |  |  | 402,307 |
5.00%, 01/30/28 |  |  |  |  |  |  | 214 |  |  |  | 220,536 |
5.00%, 02/15/29 |  |  |  |  |  |  | 523 |  |  |  | 537,749 |
6.25%, 02/15/29(f) |  |  |  |  |  |  | 529 |  |  |  | 574,626 |
7.25%, 05/30/29(f) |  |  |  |  |  |  | 498 |  |  |  | 559,807 |
5.25%, 01/30/30 |  |  |  |  |  |  | 937 |  |  |  | 983,850 |
5.25%, 02/15/31 |  |  |  |  |  |  | 292 |  |  |  | 305,058 |
CVS Health Corp., 4.75%, 12/01/22(f) |  |  |  |  |  |  | 165 |  |  |  | 176,648 |
Elanco Animal Health, Inc., 5.90%, 08/28/28 |  |  |  |  |  |  | 156 |  |  |  | 184,080 |
Endo Dac/Endo Finance LLC/Endo Finco, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
9.50%, 07/31/27 |  |  |  |  |  |  | 267 |  |  |  | 298,039 |
6.00%, 06/30/28 |  |  |  |  |  |  | 182 |  |  |  | 154,700 |
Jaguar Holding Co. II/PPD Development LP(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/15/25 |  |  |  |  |  |  | 425 |  |  |  | 448,209 |
5.00%, 06/15/28 |  |  |  |  |  |  | 555 |  |  |  | 592,462 |
Nidda BondCo GmbH, 7.25%, 09/30/25 |  |  | EUR |  |  |  | 100 |  |  |  | 126,441 |

S C H E D U L E O F I N V E S T M E N T S |  | 67

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Pharmaceuticals (continued) |  |  |  |  |  |  |  |  |
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 |  |  | EUR |  |  |  | 100 |  |  | $ | 121,970 |
Par Pharmaceutical, Inc., 7.50%, 04/01/27(b)(f) |  |  | USD |  |  |  | 1,297 |  |  |  | 1,407,245 |
|  |  |  |  |  |  |  |  |  |  | 8,754,294 |
Producer Durables: Miscellaneous — 0.0% |
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 02/01/23(b) |  |  |  |  |  |  | 200 |  |  |  | 200,480 |
Real Estate — 0.1% |  |  |  |  |  |  |  |  |
Prologis LP, 3.75%, 11/01/25(f) |  |  |  |  |  |  | 255 |  |  |  | 289,501 |
Real Estate Management & Development — 4.2% |
ADLER Real Estate AG, 3.00%, 04/27/26 |  |  | EUR |  |  |  | 100 |  |  |  | 128,444 |
Agile Group Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.05%, 10/13/25 |  |  | USD |  |  |  | 200 |  |  |  | 205,125 |
(5 year CMT + 11.08%), 7.75%(a)(i) |  |  |  |  |  |  | 400 |  |  |  | 413,000 |
(5 year CMT + 11.29%), 7.88%(a)(i) |  |  |  |  |  |  | 200 |  |  |  | 209,312 |
Central China Real Estate Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 08/08/22 |  |  |  |  |  |  | 200 |  |  |  | 204,500 |
7.25%, 04/24/23 |  |  |  |  |  |  | 200 |  |  |  | 204,500 |
7.65%, 08/27/23 |  |  |  |  |  |  | 245 |  |  |  | 252,656 |
7.25%, 07/16/24 |  |  |  |  |  |  | 200 |  |  |  | 201,000 |
CFLD Cayman Investment Ltd. |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 02/28/21 |  |  |  |  |  |  | 200 |  |  |  | 196,375 |
8.75%, 09/28/22 |  |  |  |  |  |  | 200 |  |  |  | 182,500 |
6.90%, 01/13/23 |  |  |  |  |  |  | 200 |  |  |  | 173,813 |
8.60%, 04/08/24 |  |  |  |  |  |  | 200 |  |  |  | 172,500 |
China Aoyuan Group Ltd. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/10/21 |  |  |  |  |  |  | 200 |  |  |  | 201,992 |
7.95%, 02/19/23 |  |  |  |  |  |  | 450 |  |  |  | 476,437 |
6.35%, 02/08/24 |  |  |  |  |  |  | 400 |  |  |  | 417,500 |
China Evergrande Group |  |  |  |  |  |  |  |  |  |  |  |
8.25%, 03/23/22 |  |  |  |  |  |  | 200 |  |  |  | 188,000 |
9.50%, 04/11/22 |  |  |  |  |  |  | 200 |  |  |  | 190,125 |
11.50%, 01/22/23 |  |  |  |  |  |  | 450 |  |  |  | 427,641 |
12.00%, 01/22/24 |  |  |  |  |  |  | 250 |  |  |  | 237,266 |
China SCE Group Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 04/19/23 |  |  |  |  |  |  | 200 |  |  |  | 209,625 |
7.38%, 04/09/24 |  |  |  |  |  |  | 400 |  |  |  | 424,625 |
7.00%, 05/02/25 |  |  |  |  |  |  | 255 |  |  |  | 268,069 |
CIFI Holdings Group Co. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.55%, 03/28/24 |  |  |  |  |  |  | 200 |  |  |  | 214,062 |
6.45%, 11/07/24 |  |  |  |  |  |  | 200 |  |  |  | 215,437 |
6.00%, 07/16/25 |  |  |  |  |  |  | 200 |  |  |  | 213,312 |
5.25%, 05/13/26 |  |  |  |  |  |  | 335 |  |  |  | 349,237 |
Consus Real Estate AG, 9.63%, 05/15/24 |  |  | EUR |  |  |  | 100 |  |  |  | 130,990 |
Country Garden Holdings Co. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 04/08/24 |  |  | USD |  |  |  | 200 |  |  |  | 215,500 |
6.15%, 09/17/25 |  |  |  |  |  |  | 200 |  |  |  | 221,750 |
5.13%, 01/14/27 |  |  |  |  |  |  | 200 |  |  |  | 215,000 |
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28(b) |  |  |  |  |  |  | 322 |  |  |  | 355,005 |
Easy Tactic Ltd. |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 01/10/21 |  |  |  |  |  |  | 200 |  |  |  | 199,720 |
9.13%, 07/28/22 |  |  |  |  |  |  | 400 |  |  |  | 384,000 |
8.13%, 02/27/23 |  |  |  |  |  |  | 200 |  |  |  | 182,000 |
8.63%, 02/27/24 |  |  |  |  |  |  | 200 |  |  |  | 176,438 |
Fantasia Holdings Group Co. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
8.38%, 03/08/21 |  |  |  |  |  |  | 200 |  |  |  | 200,813 |
11.75%, 04/17/22 |  |  |  |  |  |  | 200 |  |  |  | 210,750 |
11.88%, 06/01/23 |  |  |  |  |  |  | 200 |  |  |  | 214,125 |
9.25%, 07/28/23 |  |  |  |  |  |  | 200 |  |  |  | 201,438 |

Security |  |  | Par (000) |  |  | Value |
Real Estate Management & Development (continued) |
Fantasia Holdings Group Co. Ltd. (continued) 9.88%, 10/19/23 |  |  | USD |  |  |  | 200 |  |  | $ | 203,250 |
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b) |  |  |  |  |  |  | 389 |  |  |  | 411,776 |
Global Prime Capital Pte Ltd., 5.50%, 10/18/23 |  |  |  |  |  |  | 200 |  |  |  | 201,500 |
Greenland Global Investment Ltd. |  |  |  |  |  |  |  |  |  |  |  |
5.60%, 11/13/22 |  |  |  |  |  |  | 200 |  |  |  | 188,938 |
6.25%, 12/16/22 |  |  |  |  |  |  | 200 |  |  |  | 196,500 |
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b) |  |  |  |  |  |  | 100 |  |  |  | 101,900 |
Heimstaden Bostad AB, (5 year EUR Swap + 3.67%), 3.25%(a)(i) |  |  | EUR |  |  |  | 100 |  |  |  | 125,525 |
Hopson Development Holdings Ltd., 7.50%, 06/27/22 |  |  | USD |  |  |  | 200 |  |  |  | 203,938 |
Howard Hughes Corp.(b) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 03/15/25 |  |  |  |  |  |  | 281 |  |  |  | 289,781 |
5.38%, 08/01/28 |  |  |  |  |  |  | 342 |  |  |  | 367,821 |
Kaisa Group Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
11.25%, 04/09/22 |  |  |  |  |  |  | 200 |  |  |  | 208,438 |
11.95%, 10/22/22 |  |  |  |  |  |  | 200 |  |  |  | 211,562 |
11.50%, 01/30/23 |  |  |  |  |  |  | 200 |  |  |  | 209,250 |
10.88%, 07/23/23 |  |  |  |  |  |  | 400 |  |  |  | 417,125 |
9.38%, 06/30/24 |  |  |  |  |  |  | 400 |  |  |  | 387,375 |
KWG Group Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 08/09/21 |  |  |  |  |  |  | 200 |  |  |  | 204,750 |
7.88%, 09/01/23 |  |  |  |  |  |  | 200 |  |  |  | 209,500 |
7.40%, 03/05/24 |  |  |  |  |  |  | 200 |  |  |  | 213,562 |
Logan Group Co. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 07/16/23 |  |  |  |  |  |  | 200 |  |  |  | 207,750 |
6.90%, 06/09/24 |  |  |  |  |  |  | 200 |  |  |  | 213,750 |
5.75%, 01/14/25 |  |  |  |  |  |  | 200 |  |  |  | 211,125 |
MAF Sukuk Ltd., 4.64%, 05/14/29 |  |  |  |  |  |  | 275 |  |  |  | 309,031 |
New Metro Global Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 04/23/21 |  |  |  |  |  |  | 200 |  |  |  | 201,312 |
6.80%, 08/05/23 |  |  |  |  |  |  | 200 |  |  |  | 211,375 |
4.80%, 12/15/24 |  |  |  |  |  |  | 280 |  |  |  | 283,150 |
Powerlong Real Estate Holdings Ltd., 7.13%, 11/08/22 |  |  |  |  |  |  | 200 |  |  |  | 208,750 |
Realogy Group LLC/Realogy Co-Issuer Corp., 7.63%, 06/15/25(b) |  |  |  |  |  |  | 69 |  |  |  | 74,915 |
Redsun Properties Group Ltd., 9.95%, 04/11/22 |  |  |  |  |  |  | 200 |  |  |  | 209,500 |
RKPF Overseas Ltd. |  |  |  |  |  |  |  |  |  |  |  |
Series 2019-A, 6.70%, 09/30/24 |  |  |  |  |  |  | 513 |  |  |  | 542,337 |
Series 2019-A, 6.00%, 09/04/25 |  |  |  |  |  |  | 200 |  |  |  | 206,188 |
Ronshine China Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
11.25%, 08/22/21 |  |  |  |  |  |  | 200 |  |  |  | 207,750 |
10.50%, 03/01/22 |  |  |  |  |  |  | 200 |  |  |  | 210,687 |
8.95%, 01/22/23 |  |  |  |  |  |  | 200 |  |  |  | 208,688 |
7.35%, 12/15/23 |  |  |  |  |  |  | 200 |  |  |  | 203,188 |
Scenery Journey Ltd. |  |  |  |  |  |  |  |  |  |  |  |
11.50%, 10/24/22 |  |  |  |  |  |  | 219 |  |  |  | 202,917 |
13.00%, 11/06/22 |  |  |  |  |  |  | 200 |  |  |  | 193,438 |
Seazen Group Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.45%, 06/11/22 |  |  |  |  |  |  | 200 |  |  |  | 205,750 |
6.00%, 08/12/24 |  |  |  |  |  |  | 202 |  |  |  | 210,080 |
Shimao Group Holdings Ltd., 5.60%, 07/15/26 |  |  |  |  |  |  | 200 |  |  |  | 218,500 |
Shui On Development Holding Ltd. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 11/12/23 |  |  |  |  |  |  | 200 |  |  |  | 203,250 |
5.50%, 03/03/25 |  |  |  |  |  |  | 209 |  |  |  | 208,478 |
Sunac China Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 06/14/22 |  |  |  |  |  |  | 200 |  |  |  | 206,188 |

68 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Real Estate Management & Development (continued) |
Sunac China Holdings Ltd. (continued) |  |  |  |  |  |  |  |  |  |  |  |
7.95%, 10/11/23 |  |  | USD |  |  |  | 200 |  |  | $ | 212,375 |
7.50%, 02/01/24 |  |  |  |  |  |  | 400 |  |  |  | 422,750 |
7.00%, 07/09/25 |  |  |  |  |  |  | 400 |  |  |  | 416,000 |
Theta Capital Pte Ltd., 8.13%, 01/22/25 |  |  |  |  |  |  | 200 |  |  |  | 201,813 |
Times China Holdings Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/16/23 |  |  |  |  |  |  | 313 |  |  |  | 327,378 |
6.75%, 07/08/25 |  |  |  |  |  |  | 390 |  |  |  | 413,887 |
Unique Pub Finance Co. PLC |  |  |  |  |  |  |  |  |  |  |  |
Series A4, 5.66%, 06/30/27 |  |  | GBP |  |  |  | 46 |  |  |  | 64,700 |
Series N, 6.46%, 03/30/32 |  |  |  |  |  |  | 100 |  |  |  | 133,073 |
Wanda Group Overseas Ltd., 7.50%, 07/24/22 |  |  | USD |  |  |  | 400 |  |  |  | 389,000 |
Yango Justice International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
10.00%, 02/12/23 |  |  |  |  |  |  | 200 |  |  |  | 215,937 |
7.50%, 02/17/25 |  |  |  |  |  |  | 200 |  |  |  | 205,000 |
Yanlord Land HK Co. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 04/23/23 |  |  |  |  |  |  | 200 |  |  |  | 208,000 |
6.80%, 02/27/24 |  |  |  |  |  |  | 200 |  |  |  | 210,687 |
Yuzhou Group Holdings Co. Ltd. |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 01/23/22 |  |  |  |  |  |  | 200 |  |  |  | 208,500 |
8.50%, 02/04/23 |  |  |  |  |  |  | 200 |  |  |  | 215,500 |
8.50%, 02/26/24 |  |  |  |  |  |  | 400 |  |  |  | 432,500 |
8.38%, 10/30/24 |  |  |  |  |  |  | 200 |  |  |  | 217,062 |
7.70%, 02/20/25 |  |  |  |  |  |  | 200 |  |  |  | 214,312 |
8.30%, 05/27/25 |  |  |  |  |  |  | 200 |  |  |  | 215,625 |
Zhenro Properties Group Ltd. |  |  |  |  |  |  |  |  |  |  |  |
9.15%, 03/08/22 |  |  |  |  |  |  | 200 |  |  |  | 206,750 |
8.70%, 08/03/22 |  |  |  |  |  |  | 200 |  |  |  | 208,750 |
8.65%, 01/21/23 |  |  |  |  |  |  | 200 |  |  |  | 209,063 |
7.88%, 04/14/24 |  |  |  |  |  |  | 300 |  |  |  | 312,375 |
|  |  |  |  |  |  |  |  |  |  | 25,056,207 |
Road & Rail — 0.4% |  |  |  |  |  |  |  |  |
Autostrade per l’Italia SpA, 5.88%, 06/09/24 |  |  | EUR |  |  |  | 200 |  |  |  | 278,536 |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b) . |  |  | USD |  |  |  | 1,578 |  |  |  | 1,909,457 |
|  |  |  |  |  |  |  |  |  |  | 2,187,993 |
Semiconductors & Semiconductor Equipment — 1.5% |  |  |  |
ams AG, 2.13%, 11/03/27 |  |  | EUR |  |  |  | 100 |  |  |  | 122,014 |
Analog Devices, Inc., 3.90%, 12/15/25(f) |  |  | USD |  |  |  | 375 |  |  |  | 427,680 |
Broadcom, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.70%, 04/15/25 |  |  |  |  |  |  | 941 |  |  |  | 1,078,356 |
3.15%, 11/15/25 |  |  |  |  |  |  | 271 |  |  |  | 295,919 |
3.46%, 09/15/26(f) |  |  |  |  |  |  | 578 |  |  |  | 641,324 |
4.11%, 09/15/28(f) |  |  |  |  |  |  | 1,594 |  |  |  | 1,824,310 |
Microchip Technology, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1.63%, 02/15/25(k) |  |  |  |  |  |  | 86 |  |  |  | 260,592 |
4.25%, 09/01/25(b)(f) |  |  |  |  |  |  | 941 |  |  |  | 995,525 |
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(b) |  |  |  |  |  |  | 33 |  |  |  | 35,518 |
ON Semiconductor Corp., 3.88%, 09/01/28(b) |  |  |  |  |  |  | 330 |  |  |  | 341,550 |
Qorvo, Inc., 3.38%, 04/01/31(b)(f) |  |  |  |  |  |  | 353 |  |  |  | 364,472 |
QUALCOMM, Inc., 1.65%, 05/20/32(b)(f) |  |  |  |  |  |  | 1,779 |  |  |  | 1,781,060 |
Sensata Technologies BV(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 11/01/24 |  |  |  |  |  |  | 229 |  |  |  | 255,917 |
5.00%, 10/01/25 |  |  |  |  |  |  | 324 |  |  |  | 360,450 |
Sensata Technologies, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 02/15/30 |  |  |  |  |  |  | 190 |  |  |  | 204,487 |
3.75%, 02/15/31 |  |  |  |  |  |  | 221 |  |  |  | 229,084 |
|  |  |  |  |  |  |  |  |  |  | 9,218,258 |

Security |  |  | Par (000) |  |  | Value |
Software — 2.0% |  |  |  |  |  |  |  |  |
ACI Worldwide, Inc., 5.75%, 08/15/26(b)(f) |  |  | USD |  |  |  | 696 |  |  | $ | 736,020 |
ANGI Group LLC, 3.88%, 08/15/28(b) |  |  |  |  |  |  | 262 |  |  |  | 266,585 |
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) |  |  |  |  |  |  | 386 |  |  |  | 395,168 |
Boxer Parent Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/02/25 |  |  | EUR |  |  |  | 100 |  |  |  | 128,977 |
7.13%, 10/02/25(b) |  |  | USD |  |  |  | 388 |  |  |  | 421,154 |
9.13%, 03/01/26(b)(f) |  |  |  |  |  |  | 678 |  |  |  | 728,850 |
BY Crown Parent LLC, 7.38%, 10/15/24(b)(f) |  |  |  |  |  |  | 758 |  |  |  | 771,265 |
BY Crown Parent LLC/BY Bond Finance, Inc., |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 01/31/26(b)(f) |  |  |  |  |  |  | 731 |  |  |  | 749,275 |
CDK Global, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 06/01/27(f) |  |  |  |  |  |  | 388 |  |  |  | 409,340 |
5.25%, 05/15/29(b) |  |  |  |  |  |  | 119 |  |  |  | 131,843 |
MSCI, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 11/15/29 |  |  |  |  |  |  | 83 |  |  |  | 88,395 |
3.63%, 09/01/30 |  |  |  |  |  |  | 84 |  |  |  | 87,780 |
3.88%, 02/15/31(f) |  |  |  |  |  |  | 526 |  |  |  | 556,245 |
Nuance Communications, Inc., 5.63%, 12/15/26(f) |  |  |  |  |  |  | 237 |  |  |  | 250,774 |
Open Text Corp., 3.88%, 02/15/28(b)(f) |  |  |  |  |  |  | 345 |  |  |  | 358,800 |
Open Text Holdings, Inc., 4.13%, 02/15/30(b)(f) |  |  |  |  |  |  | 311 |  |  |  | 330,842 |
PTC, Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
3.63%, 02/15/25 |  |  |  |  |  |  | 76 |  |  |  | 78,130 |
4.00%, 02/15/28 |  |  |  |  |  |  | 187 |  |  |  | 195,999 |
Solera LLC/Solera Finance, Inc., 10.50%, 03/01/24(b)(f) |  |  |  |  |  |  | 2,213 |  |  |  | 2,293,221 |
SS&C Technologies, Inc., 5.50%, 09/30/27(b)(f) |  |  |  |  |  |  | 1,679 |  |  |  | 1,793,206 |
Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)(f) |  |  |  |  |  |  | 1,421 |  |  |  | 1,458,301 |
|  |  |  |  |  |  |  |  |  |  | 12,230,170 |
Specialty Retail — 0.5% |  |  |  |  |  |  |  |  |
Gap, Inc., 8.88%, 05/15/27(b) |  |  |  |  |  |  | 160 |  |  |  | 185,600 |
L Brands, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 07/01/25(b) |  |  |  |  |  |  | 277 |  |  |  | 300,761 |
6.88%, 11/01/35(f) |  |  |  |  |  |  | 401 |  |  |  | 450,123 |
6.75%, 07/01/36 |  |  |  |  |  |  | 71 |  |  |  | 79,103 |
PetSmart, Inc.(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 03/15/23 |  |  |  |  |  |  | 243 |  |  |  | 243,000 |
5.88%, 06/01/25 |  |  |  |  |  |  | 903 |  |  |  | 927,833 |
Staples, Inc., 7.50%, 04/15/26(b)(f) |  |  |  |  |  |  | 598 |  |  |  | 624,473 |
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24(a) |  |  | EUR |  |  |  | 100 |  |  |  | 112,697 |
|  |  |  |  |  |  |  |  |  |  | 2,923,590 |
Technology Hardware, Storage & Peripherals(f) — 0.2% |  |  |  |
Dell International LLC/EMC Corp., 7.13%, 06/15/24(b) |  |  | USD |  |  |  | 638 |  |  |  | 661,686 |
Hewlett Packard Enterprise Co., 4.90%, 10/15/25 |  |  |  |  |  |  | 375 |  |  |  | 438,736 |
|  |  |  |  |  |  |  |  |  |  | 1,100,422 |
Textiles, Apparel & Luxury Goods — 0.1% |  |  |  |  |  |  |
Hanesbrands, Inc., 5.38%, 05/15/25(b) |  |  |  |  |  |  | 64 |  |  |  | 67,713 |
Levi Strauss & Co., 5.00%, 05/01/25(f) |  |  |  |  |  |  | 233 |  |  |  | 238,825 |
William Carter Co., 5.63%, 03/15/27(b) |  |  |  |  |  |  | 160 |  |  |  | 168,400 |
|  |  |  |  |  |  |  |  |  |  | 474,938 |
Thrifts & Mortgage Finance — 0.1% |  |  |  |  |  |  |  |  |
MGIC Investment Corp., 5.25%, 08/15/28 |  |  |  |  |  |  | 167 |  |  |  | 178,690 |
Nationstar Mortgage Holdings, Inc.(b) 6.00%, 01/15/27 |  |  |  |  |  |  | 214 |  |  |  | 227,107 |

S C H E D U L E O F I N V E S T M E N T S |  | 69

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  | Par (000) |  |  | Value |
Thrifts & Mortgage Finance (continued) |  |  |  |  |  |  |
Nationstar Mortgage Holdings, Inc.(b) (continued) |  |  |  |  |  |  |  |  |
5.50%, 08/15/28(f) |  |  | USD |  |  |  | 254 |  |  | $ | 266,700 |
5.13%, 12/15/30 |  |  |  |  |  |  | 139 |  |  |  | 145,286 |
|  |  |  |  |  |  |  |  |  |  | 817,783 |
Transportation — 0.0% |  |  |  |  |  |  |  |  |
Autostrade per l’Italia SpA, 2.00%, 12/04/28 |  |  | EUR |  |  |  | 100 |  |  |  | 122,470 |
Transportation Infrastructure — 0.2% |  |  |  |  |  |  |  |  |
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) |  |  | USD |  |  |  | 200 |  |  |  | 207,938 |
Heathrow Finance PLC, 4.65%, 09/01/29 |  |  | GBP |  |  |  | 100 |  |  |  | 135,895 |
Rumo Luxembourg Sarl, 5.88%, 01/18/25(b) |  |  | USD |  |  |  | 241 |  |  |  | 254,933 |
Simpar Europe SA, 7.75%, 07/26/24 |  |  |  |  |  |  | 280 |  |  |  | 295,225 |
Transurban Finance Co. Pty Ltd., 4.13%, 02/02/26(b)(f) |  |  |  |  |  |  | 435 |  |  |  | 494,976 |
|  |  |  |  |  |  |  |  |  |  | 1,388,967 |
Utilities — 0.5% |  |  |  |  |  |  |  |  |
AES Panama Generation Holdings SRL, 4.38%, 05/31/30(b) |  |  |  |  |  |  | 200 |  |  |  | 215,937 |
Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30(b) |  |  |  |  |  |  | 240 |  |  |  | 256,500 |
ContourGlobal Power Holdings SA, 4.13%, 08/01/25 |  |  | EUR |  |  |  | 100 |  |  |  | 124,928 |
Genneia SA, 8.75%, 01/20/22(b) |  |  | USD |  |  |  | 200 |  |  |  | 181,094 |
Inkia Energy Ltd., 5.88%, 11/09/27(b)(f) |  |  |  |  |  |  | 377 |  |  |  | 405,511 |
Mong Doung Finacial Holdings BV, 5.13%, 05/07/29 |  |  |  |  |  |  | 250 |  |  |  | 261,797 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(f) |  |  |  |  |  |  | 519 |  |  |  | 547,545 |
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b) |  |  |  |  |  |  | 280 |  |  |  | 312,376 |
Star Energy Geothermal Wayang Windu Ltd., |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 04/24/33 |  |  |  |  |  |  | 181 |  |  |  | 204,869 |
Vistra Operations Co. LLC(b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 09/01/26 |  |  |  |  |  |  | 8 |  |  |  | 8,338 |
5.63%, 02/15/27(f) |  |  |  |  |  |  | 422 |  |  |  | 448,856 |
|  |  |  |  |  |  |  |  |  |  | 2,967,751 |
Wireless Telecommunication Services — 2.6% |  |  |  |  |  |  |
Altice France SA |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 05/01/26(b)(f) |  |  |  |  |  |  | 2,104 |  |  |  | 2,214,460 |
5.88%, 02/01/27 |  |  | EUR |  |  |  | 100 |  |  |  | 129,965 |
8.13%, 02/01/27(b)(f) |  |  | USD |  |  |  | 707 |  |  |  | 779,475 |
5.50%, 01/15/28(b)(f) |  |  |  |  |  |  | 581 |  |  |  | 607,441 |
4.13%, 01/15/29 |  |  | EUR |  |  |  | 100 |  |  |  | 124,486 |
5.13%, 01/15/29(b) |  |  | USD |  |  |  | 200 |  |  |  | 207,000 |
GLP Capital LP/GLP Financing II, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.30%, 01/15/29 |  |  |  |  |  |  | 45 |  |  |  | 52,063 |
4.00%, 01/15/31 |  |  |  |  |  |  | 155 |  |  |  | 169,139 |
Gogo Intermediate Holdings LLC/Gogo Finance Co., Inc., 9.88%, 05/01/24(b) |  |  |  |  |  |  | 187 |  |  |  | 200,228 |
Kenbourne Invest SA, 6.88%, 11/26/24(b) |  |  |  |  |  |  | 275 |  |  |  | 298,117 |
Millicom International Cellular SA |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 01/15/28 |  |  |  |  |  |  | 275 |  |  |  | 291,844 |
4.50%, 04/27/31(b) |  |  |  |  |  |  | 205 |  |  |  | 220,952 |
PPF Telecom Group BV, 3.25%, 09/29/27 |  |  | EUR |  |  |  | 100 |  |  |  | 131,022 |
Rogers Communications, Inc., 5.00%, 03/15/44(f) |  |  | USD |  |  |  | 545 |  |  |  | 747,178 |
SBA Communications Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 09/01/24(f) |  |  |  |  |  |  | 806 |  |  |  | 826,738 |
3.88%, 02/15/27 |  |  |  |  |  |  | 1,248 |  |  |  | 1,310,400 |
Sprint Corp.(f) |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 09/15/23 |  |  |  |  |  |  | 177 |  |  |  | 204,931 |

Security |  |  | Par (000) |  |  | Value |
Wireless Telecommunication Services (continued) |  |  |  |
Sprint Corp.(f) (continued) |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/24 |  |  | USD |  |  |  | 374 |  |  | $ | 437,580 |
7.63%, 03/01/26 |  |  |  |  |  |  | 552 |  |  |  | 685,140 |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 09/20/21(b)(f) |  |  |  |  |  |  | 98 |  |  |  | 98,416 |
T-Mobile USA, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 01/15/26 |  |  |  |  |  |  | 227 |  |  |  | 234,945 |
4.50%, 02/01/26(f) |  |  |  |  |  |  | 498 |  |  |  | 509,123 |
4.75%, 02/01/28(f) |  |  |  |  |  |  | 479 |  |  |  | 514,872 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 8.25%, 10/15/23(f) |  |  |  |  |  |  | 486 |  |  |  | 489,645 |
VICI Properties LP/VICI Note Co., Inc.(b) |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 02/15/25 |  |  |  |  |  |  | 387 |  |  |  | 395,814 |
4.25%, 12/01/26(f) |  |  |  |  |  |  | 1,188 |  |  |  | 1,232,134 |
3.75%, 02/15/27 |  |  |  |  |  |  | 411 |  |  |  | 420,247 |
4.63%, 12/01/29(f) |  |  |  |  |  |  | 498 |  |  |  | 532,860 |
4.13%, 08/15/30(f) |  |  |  |  |  |  | 1,028 |  |  |  | 1,085,188 |
Vmed O2 UK Financing I PLC, 3.25%, 01/31/31 |  |  | EUR |  |  |  | 100 |  |  |  | 125,341 |
VTR Comunicaciones SpA, 5.13%, 01/15/28(b) |  |  | USD |  |  |  | 205 |  |  |  | 218,197 |
|  |  |  |  |  |  |  |  |  |  | 15,494,941 |
Total Corporate Bonds — 79.0% (Cost: $448,322,741) |  |  |  |  |  |  |  | 476,989,027 |
Floating Rate Loan Interests(a) |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense — 0.7% |  |  |  |  |  |  |  |  |
Bleriot US Bidco, Inc. |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |  |  |  |  |  |  | 39 |  |  |  | 38,923 |
Term Loan B, (3 mo. LIBOR + 4.75%), 5.00%, 10/31/26 |  |  |  |  |  |  | 250 |  |  |  | 249,103 |
Dynasty Acquisition Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |  |  |  |  |  |  | 797 |  |  |  | 756,447 |
2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.75%, 04/06/26 |  |  |  |  |  |  | 1,481 |  |  |  | 1,406,994 |
Trandigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.40%, 12/09/25 |  |  |  |  |  |  | 2,102 |  |  |  | 2,057,134 |
|  |  |  |  |  |  |  |  |  |  | 4,508,601 |
Air Freight & Logistics — 0.2% |  |  |  |  |  |  |  |  |
WestJet Airlines Ltd., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26 |  |  |  |  |  |  | 1,387 |  |  |  | 1,327,198 |
Airlines — 0.4% |  |  |  |  |  |  |  |  |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 01/29/27 |  |  |  |  |  |  | 65 |  |  |  | 55,404 |
2017 Incremental Term Loan, (1 mo. LIBOR + 2.00%), 2.16%, 12/14/23 |  |  |  |  |  |  | 963 |  |  |  | 863,269 |
Repriced TL B due 2023, (1 mo. LIBOR + 2.00%), 2.15%, 04/28/23 |  |  |  |  |  |  | 415 |  |  |  | 372,857 |
JetBlue Airways Corp., Term Loan, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/17/24 |  |  |  |  |  |  | 287 |  |  |  | 294,220 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/20/27 |  |  |  |  |  |  | 1,003 |  |  |  | 1,042,498 |
|  |  |  |  |  |  |  |  |  |  | 2,628,248 |
Auto Components — 0.8% |  |  |  |  |  |  |  |  |
Panther BF Aggregator 2 LP, USD Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 04/30/26 |  |  |  |  |  |  | 2,295 |  |  |  | 2,283,443 |

70 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Auto Components (continued) |  |  |  |  |  |  |  |  |
USI, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.25%, 05/16/24 |  |  | USD |  |  |  | 1,498 |  |  | $ | 1,475,050 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 12/02/26 |  |  |  |  |  |  | 84 |  |  |  | 83,888 |
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 02/05/26 |  |  |  |  |  |  | 1,062 |  |  |  | 1,045,290 |
|  |  |  |  |  |  |  |  |  |  | 4,887,671 |
Automobiles — 0.2% |  |  |  |  |  |  |  |  |
Mavis Tire Express Services Corp. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.50%, 03/20/25 |  |  |  |  |  |  | 579 |  |  |  | 567,239 |
2020 Add-On Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 03/20/25 |  |  |  |  |  |  | 562 |  |  |  | 563,405 |
|  |  |  |  |  |  |  |  |  |  | 1,130,644 |
Building Materials — 0.2% |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC, 2019 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 07/12/26 |  |  |  |  |  |  | 815 |  |  |  | 810,745 |
CHI Overhead Doors, Inc., Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25 |  |  |  |  |  |  | 80 |  |  |  | 79,900 |
CP Atlas Buyer, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan B2, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |  |  |  |  |  |  | 126 |  |  |  | 125,657 |
2020 Term Loan B1, (3 mo. LIBOR + 4.50%, 0.75% Floor), 5.25%, 11/23/27 |  |  |  |  |  |  | 376 |  |  |  | 376,971 |
|  |  |  |  |  |  |  |  |  |  | 1,393,273 |
Building Products — 0.4% |  |  |  |  |  |  |  |  |
CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/05/24 |  |  |  |  |  |  | 673 |  |  |  | 671,968 |
MI Windows and Doors LLC, 2020 Term Loan, 12/18/27(n) |  |  |  |  |  |  | 222 |  |  |  | 222,277 |
Wilsonart LLC, 2017 Term Loan B, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/19/23 |  |  |  |  |  |  | 1,616 |  |  |  | 1,617,449 |
|  |  |  |  |  |  |  |  |  |  | 2,511,694 |
Capital Markets — 0.7% |  |  |  |  |  |  |  |  |
Deerfield Dakota Holding LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27 |  |  |  |  |  |  | 2,409 |  |  |  | 2,409,550 |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27 |  |  |  |  |  |  | 574 |  |  |  | 572,927 |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 04/12/24 |  |  |  |  |  |  | 267 |  |  |  | 263,342 |
GT Polaris, Inc., Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/24/27 |  |  |  |  |  |  | 318 |  |  |  | 319,077 |
Jefferies Finance LLC, 2019 Term Loan, (1 mo. LIBOR + 3.00%), 3.19%, 06/03/26 |  |  |  |  |  |  | 462 |  |  |  | 458,251 |
|  |  |  |  |  |  |  |  |  |  | 4,023,147 |
Chemicals — 1.4% |  |  |  |  |  |  |  |  |
Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/24 |  |  |  |  |  |  | 1,267 |  |  |  | 1,260,991 |
Ascend Performance Materials Operations LLC, 2019 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 08/27/26 |  |  |  |  |  |  | 1,051 |  |  |  | 1,053,901 |

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |  |
Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 2.00%, 06/01/24 |  |  | USD |  |  |  | 725 |  |  | $ | 718,965 |
Chemours Co., 2018 USD Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/03/25 |  |  |  |  |  |  | 341 |  |  |  | 333,451 |
Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24 |  |  |  |  |  |  | 348 |  |  |  | 339,174 |
Encapsys LLC, 2020 Term Loan B2, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 11/07/24 |  |  |  |  |  |  | 560 |  |  |  | 555,967 |
Illuminate Buyer LLC, Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 06/30/27 |  |  |  |  |  |  | 1,104 |  |  |  | 1,103,461 |
Invictus US LLC |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/28/25 |  |  |  |  |  |  | 342 |  |  |  | 335,578 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 6.90%, 03/30/26 |  |  |  |  |  |  | 123 |  |  |  | 117,057 |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.75%, 03/02/26 |  |  |  |  |  |  | 796 |  |  |  | 789,403 |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/15/24 |  |  |  |  |  |  | 567 |  |  |  | 558,564 |
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.75%, 10/14/24 |  |  |  |  |  |  | 993 |  |  |  | 979,132 |
Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/01/25 |  |  |  |  |  |  | 117 |  |  |  | 115,716 |
|  |  |  |  |  |  |  |  |  |  | 8,261,360 |
Commercial Services & Supplies — 1.3% |  |  |  |
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 03/11/25 |  |  |  |  |  |  | 375 |  |  |  | 369,000 |
Asurion LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 6.65%, 08/04/25 |  |  |  |  |  |  | 535 |  |  |  | 538,801 |
2018 Term Loan B6, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/23 |  |  |  |  |  |  | 154 |  |  |  | 152,124 |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.15%, 11/03/24 |  |  |  |  |  |  | 382 |  |  |  | 378,760 |
2020 Term Loan B8, (3 mo. LIBOR + 3.25%), 3.49%, 12/23/26 |  |  |  |  |  |  | 899 |  |  |  | 888,753 |
Creative Artists Agency LLC, 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 11/26/26 |  |  |  |  |  |  | 426 |  |  |  | 420,530 |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/12/25 |  |  |  |  |  |  | 845 |  |  |  | 836,726 |
Diamond (BC) BV, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.21%, 09/06/24 |  |  |  |  |  |  | 715 |  |  |  | 703,353 |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25 |  |  |  |  |  |  | 188 |  |  |  | 184,803 |
GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%, 0.50% Floor), 3.50%, 05/30/25 |  |  |  |  |  |  | 177 |  |  |  | 177,440 |
Harland Clarke Holdings Corp., Term Loan B7, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 11/03/23 |  |  |  |  |  |  | 160 |  |  |  | 141,330 |
KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.44%, 09/19/26(c) |  |  |  |  |  |  | 446 |  |  |  | 438,130 |
Prime Security Services Borrower LLC, 2019 Term Loan B1, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 09/23/26 |  |  |  |  |  |  | 707 |  |  |  | 708,431 |

S C H E D U L E O F I N V E S T M E N T S |  | 71

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (continued) |
US Ecology, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 11/01/26 |  |  | USD |  |  |  | 156 |  |  | $ | 156,159 |
Verscend Holding Corp., 2018 Term Loan B, (1 mo. LIBOR + 4.50%), 4.65%, 08/27/25 |  |  |  |  |  |  | 1,080 |  |  |  | 1,077,965 |
West Corp. |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/10/24 |  |  |  |  |  |  | 456 |  |  |  | 440,996 |
2018 Term Loan B1, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/10/24 |  |  |  |  |  |  | 98 |  |  |  | 93,783 |
|  |  |  |  |  |  |  |  |  |  | 7,707,084 |
Communications Equipment — 0.1% |
Avantor, Inc., USD Term Loan B3, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 11/21/24 |  |  |  |  |  |  | 559 |  |  |  | 558,674 |
Construction & Engineering — 0.5% |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24 |  |  |  |  |  |  | 1,478 |  |  |  | 1,438,677 |
Pike Corp., 2020 Term Loan B, (1 mo. LIBOR + 3.97%), 4.12%, 07/24/26 |  |  |  |  |  |  | 190 |  |  |  | 188,726 |
Ply Gem Midco, Inc., 2018 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 04/12/25 |  |  |  |  |  |  | 127 |  |  |  | 126,750 |
SRS Distribution, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 05/23/25 |  |  |  |  |  |  | 1,137 |  |  |  | 1,117,283 |
|  |  |  |  |  |  |  |  |  |  | 2,871,436 |
Construction Materials — 0.7% |  |  |  |  |  |  |  |  |
Core & Main LP, 2017 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 08/01/24 |  |  |  |  |  |  | 1,996 |  |  |  | 1,984,825 |
Filtration Group Corp. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/29/25 |  |  |  |  |  |  | 1,134 |  |  |  | 1,120,954 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 03/29/25 |  |  |  |  |  |  | 509 |  |  |  | 508,725 |
Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23 |  |  |  |  |  |  | 477 |  |  |  | 476,917 |
Potters Industries LLC, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/09/27(c) |  |  |  |  |  |  | 296 |  |  |  | 296,000 |
|  |  |  |  |  |  |  |  |  |  | 4,387,421 |
Consumer Discretionary(n) — 0.1% |  |  |  |  |  |  |  |  |
Zaxby’s Operating Company LLC |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 12/10/27 |  |  |  |  |  |  | 568 |  |  |  | 568,000 |
2nd Lien Term Loan, 12/08/28(c) |  |  |  |  |  |  | 101 |  |  |  | 102,010 |
|  |  |  |  |  |  |  |  |  |  | 670,010 |
Containers & Packaging — 0.5% |  |  |  |  |  |  |  |  |
Berry Global, Inc., Term Loan W, (1 mo. LIBOR + 2.00%), 2.15%, 10/01/22 |  |  |  |  |  |  | 580 |  |  |  | 578,655 |
BWAY Holding Co., 2017 Term Loan B, (3 mo. LIBOR + 3.25%), 3.48%, 04/03/24 |  |  |  |  |  |  | 1,065 |  |  |  | 1,026,469 |
Flex Acquisition Co., Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/29/23 |  |  |  |  |  |  | 1,000 |  |  |  | 993,630 |
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 08/01/26 |  |  |  |  |  |  | 138 |  |  |  | 137,510 |
Tosca Services LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 08/18/27 |  |  |  |  |  |  | 331 |  |  |  | 331,967 |
|  |  |  |  |  |  |  |  |  |  | 3,068,231 |

Security |  |  |  |  | Par (000) |  |  | Value |
Distributors — 0.4% |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/27 |  |  | USD |  |  |  | 891 |  |  | $ | 882,424 |
TMK Hawk Parent Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24 |  |  |  |  |  |  | 402 |  |  |  | 385,894 |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24(c) |  |  |  |  |  |  | 1,334 |  |  |  | 1,040,322 |
|  |  |  |  |  |  |  |  |  |  | 2,308,640 |
Diversified Consumer Services — 1.1% |
Amentum Government Services Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/01/27 |  |  |  |  |  |  | 203 |  |  |  | 202,219 |
APX Group, Inc., 2020 Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 12/31/25 |  |  |  |  |  |  | 62 |  |  |  | 61,607 |
Ascend Learning LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 07/12/24 |  |  |  |  |  |  | 769 |  |  |  | 764,498 |
Ascend Learning, LLC, 2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 07/12/24 |  |  |  |  |  |  | 319 |  |  |  | 319,733 |
BidFair MergerRight, Inc., Term Loan B, (1 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 01/15/27 |  |  |  |  |  |  | 1,155 |  |  |  | 1,157,749 |
Bright Horizons Family Solutions, Inc., 2017 Term Loan B, (1 mo. LIBOR + 1.75%, 0.75% Floor), 2.50%, 11/07/23 |  |  |  |  |  |  | 782 |  |  |  | 773,682 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 07/11/25 |  |  |  |  |  |  | 963 |  |  |  | 931,198 |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25 |  |  |  |  |  |  | 711 |  |  |  | 719,937 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (1 mo. LIBOR + 2.25%), 2.41%, 05/15/24 |  |  |  |  |  |  | 410 |  |  |  | 404,761 |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 10/28/27 |  |  |  |  |  |  | 299 |  |  |  | 299,000 |
Serta Simmons Bedding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 8.50%, 08/10/23 |  |  |  |  |  |  | 190 |  |  |  | 191,471 |
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23 |  |  |  |  |  |  | 255 |  |  |  | 228,602 |
Uber Technologies, Inc., 2018 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 07/13/23 |  |  |  |  |  |  | 848 |  |  |  | 845,724 |
|  |  |  |  |  |  |  |  |  |  | 6,900,181 |
Diversified Financial Services — 1.8% |
Advisor Group, Inc., 2019 Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 08/01/26 |  |  |  |  |  |  | 420 |  |  |  | 415,872 |
Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 08/16/27(c) |  |  |  |  |  |  | 347 |  |  |  | 347,998 |
AlixPartners LLP, 2017 Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 04/04/24 |  |  |  |  |  |  | 1,719 |  |  |  | 1,697,397 |
Allsup’s Convenience Stores, Inc., Term Loan, (1 mo. LIBOR + 6.25%), 6.40%, 11/18/24 |  |  |  |  |  |  | 262 |  |  |  | 262,781 |
Applecaramel Buyer LLC, Term Loan B, (6 mo. LIBOR + 4.00%), 4.50%, 10/19/27 |  |  |  |  |  |  | 546 |  |  |  | 545,318 |
Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 3.96%, 02/21/23(c) |  |  |  |  |  |  | 35 |  |  |  | 33,215 |

72 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
Delta TopCo, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.25%, 0.75% Floor), 8.00%, 12/01/28 |  |  | USD |  |  |  | 261 |  |  | $ | 262,631 |
2020 Term Loan B, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 09/30/27 |  |  |  |  |  |  | 1,513 |  |  |  | 1,511,426 |
EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |  |  |  |  |  |  | 520 |  |  |  | 513,365 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24 |  |  |  |  |  |  | 689 |  |  |  | 653,169 |
LBM Acquisition LLC(n) |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, 12/09/27 |  |  |  |  |  |  | 87 |  |  |  | 86,583 |
Term Loan B, 12/17/27 |  |  |  |  |  |  | 390 |  |  |  | 389,622 |
LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |  |  |  |  |  |  | 336 |  |  |  | 336,705 |
Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |  |  |  |  |  |  | 978 |  |  |  | 976,367 |
SMG US Midco 2, Inc., 2020 Term Loan, (3 mo. LIBOR + 2.50%), 2.71%, 01/23/25 |  |  |  |  |  |  | 537 |  |  |  | 504,297 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.50%, 07/30/25 |  |  |  |  |  |  | 147 |  |  |  | 139,250 |
Therma Intermediate LLC, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/10/27 |  |  |  |  |  |  | 285 |  |  |  | 283,859 |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/28/27 |  |  |  |  |  |  | 1,390 |  |  |  | 1,381,707 |
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 2.66%, 04/30/28 |  |  |  |  |  |  | 600 |  |  |  | 595,686 |
|  |  |  |  |  |  |  |  |  |  | 10,937,248 |
Diversified Telecommunication Services — 1.1% |
Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 09/29/27 |  |  |  |  |  |  | 230 |  |  |  | 229,354 |
Consolidated Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/02/27 |  |  |  |  |  |  | 488 |  |  |  | 489,329 |
Frontier Communications Corp., 2020 DIP Exit Term Loan, (1 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 10/08/21 |  |  |  |  |  |  | 621 |  |  |  | 622,944 |
GCI LLC, 2020 Term Loan B, 10/15/25(n) |  |  |  |  |  |  | 479 |  |  |  | 476,258 |
Hargray Communications Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 05/16/24 |  |  |  |  |  |  | 1,262 |  |  |  | 1,261,103 |
Intelsat Jackson Holdings SA |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23 |  |  |  |  |  |  | 145 |  |  |  | 146,812 |
2020 DIP Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 07/13/22 |  |  |  |  |  |  | 50 |  |  |  | 51,138 |
Iridium Satellite LLC, Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 11/04/26 |  |  |  |  |  |  | 724 |  |  |  | 726,415 |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 03/01/27 |  |  |  |  |  |  | 566 |  |  |  | 556,190 |
MTN Infrastructure TopCo, Inc., 1st Lien Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/15/24 |  |  |  |  |  |  | 1,001 |  |  |  | 997,373 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Northwest Fiber LLC, Term Loan B, (1 mo. LIBOR + 5.50%), 5.65%, 04/30/27 |  |  | USD |  |  |  | 367 |  |  | $ | 367,728 |
TDC A/S, EUR Term Loan, (6 mo. LIBOR + 3.00%), 3.00%, 06/04/25 |  |  | EUR |  |  |  | 819 |  |  |  | 994,255 |
|  |  |  |  |  |  |  |  |  |  | 6,918,899 |
Electric Utilities — 0.1% |  |  |  |  |  |  |  |  |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 12/15/27 |  |  | USD |  |  |  | 571 |  |  |  | 570,143 |
Electrical Equipment — 0.2% |  |  |  |  |  |  |  |  |
Gates Global LLC, 2017 USD Repriced Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/01/24 |  |  |  |  |  |  | 1,206 |  |  |  | 1,201,594 |
Electronic Equipment, Instruments & Components — 0.1% |
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 02/12/25 |  |  |  |  |  |  | 292 |  |  |  | 291,464 |
Energy Equipment & Services — 0.1% |
Dell International LLC, 2019 Term Loan B, (1 mo. LIBOR + 2.00%, 0.75% Floor), 2.75%, 09/19/25 |  |  |  |  |  |  | 436 |  |  |  | 435,597 |
Environmental, Maintenance, & Security Service — 0.3% |
Asplundh Tree Expert LLC, Term Loan B, (1 mo. LIBOR + 2.50%), 2.65%, 09/07/27 |  |  |  |  |  |  | 797 |  |  |  | 798,501 |
TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/02/27 |  |  |  |  |  |  | 1,045 |  |  |  | 1,048,548 |
|  |  |  |  |  |  |  |  |  |  | 1,847,049 |
Equity Real Estate Investment Trusts (REITs) — 0.1% |
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/11/24 |  |  |  |  |  |  | 246 |  |  |  | 240,300 |
VICI Properties LLC, Replacement Term Loan B, (1 mo. LIBOR + 1.75%), 1.89%, 12/20/24 |  |  |  |  |  |  | 580 |  |  |  | 569,433 |
|  |  |  |  |  |  |  |  |  |  | 809,733 |
Food & Staples Retailing — 0.4% |  |  |  |  |  |  |  |  |
Hearthside Food Solutions LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 05/23/25 |  |  |  |  |  |  | 504 |  |  |  | 495,466 |
2018 Term Loan B, (1 mo. LIBOR + 3.68%), 3.83%, 05/23/25 |  |  |  |  |  |  | 267 |  |  |  | 262,434 |
US Foods, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2016 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 06/27/23 |  |  |  |  |  |  | 1,433 |  |  |  | 1,409,847 |
2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 09/13/26 |  |  |  |  |  |  | 402 |  |  |  | 395,198 |
|  |  |  |  |  |  |  |  |  |  | 2,562,945 |
Food Products — 1.1% |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 10/01/25 |  |  |  |  |  |  | 460 |  |  |  | 458,719 |
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.65%, 10/10/26 |  |  |  |  |  |  | 163 |  |  |  | 162,454 |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/23/27 |  |  |  |  |  |  | 1,404 |  |  |  | 1,398,570 |

S C H E D U L E O F I N V E S T M E N T S |  | 73

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Food Products (continued) |
Froneri International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2020 USD 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 5.90%, 01/29/28(c) |  |  | USD |  |  |  | 123 |  |  | $ | 123,743 |
2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.40%, 01/29/27 |  |  |  |  |  |  | 2,129 |  |  |  | 2,105,691 |
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%), 3.00%, 08/03/25 |  |  |  |  |  |  | 425 |  |  |  | 422,057 |
JBS USA LUX SA, 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 05/01/26 |  |  |  |  |  |  | 114 |  |  |  | 113,132 |
Pathway Vet Alliance LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |  |  |  |  |  |  | 18 |  |  |  | 17,513 |
2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.15%, 03/31/27 |  |  |  |  |  |  | 215 |  |  |  | 214,409 |
Reynolds Group Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/23 |  |  |  |  |  |  | 803 |  |  |  | 799,327 |
2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 02/05/26 |  |  |  |  |  |  | 258 |  |  |  | 255,704 |
Shearer’s Foods, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 09/23/27 |  |  |  |  |  |  | 251 |  |  |  | 251,292 |
|  |  |  |  |  |  |  |  |  |  | 6,322,611 |
Health Care Equipment & Supplies — 0.4% |
Avantor Funding, Inc., 2020 Incremental Term Loan B4, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 11/06/27 |  |  |  |  |  |  | 869 |  |  |  | 869,547 |
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 06/30/25 |  |  |  |  |  |  | 1,443 |  |  |  | 1,420,583 |
|  |  |  |  |  |  |  |  |  |  | 2,290,130 |
Health Care Providers & Services — 1.5% |
AHP Health Partners, Inc., 2018 Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 06/30/25 |  |  |  |  |  |  | 334 |  |  |  | 334,358 |
CHG Healthcare Services, Inc., 2017 1st Lien Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 06/07/23 |  |  |  |  |  |  | 956 |  |  |  | 948,658 |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27 |  |  |  |  |  |  | 544 |  |  |  | 545,163 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 10/10/25 |  |  |  |  |  |  | 755 |  |  |  | 627,223 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Delayed Draw Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |  |  |  |  |  |  | 122 |  |  |  | 118,247 |
2020 Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/18/27 |  |  |  |  |  |  | 517 |  |  |  | 502,973 |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.75%, 03/05/26 |  |  |  |  |  |  | 390 |  |  |  | 363,462 |
Gentiva Health Services, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.44%, 07/02/25 |  |  |  |  |  |  | 751 |  |  |  | 745,564 |
HC Group Holdings II, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 08/06/26 |  |  |  |  |  |  | 857 |  |  |  | 855,557 |
HCA, Inc., Term Loan B13, (1 mo. LIBOR + 1.75%), 1.90%, 03/18/26 |  |  |  |  |  |  | 273 |  |  |  | 272,685 |
MPH Acquisition Holdings LLC, 2016 Term Loan B, (3 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 06/07/23 |  |  |  |  |  |  | 429 |  |  |  | 427,074 |

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
nThrive, Inc., 2016 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 10/20/22 |  |  | USD |  |  |  | 1 |  |  | $ | 1,347 |
Precision Medicine Group LLC, Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 11/18/27(c) |  |  |  |  |  |  | 803 |  |  |  | 803,194 |
Sotera Health Holdings LLC, 2019 Term Loan, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/11/26 |  |  |  |  |  |  | 2,231 |  |  |  | 2,237,314 |
|  |  |  |  |  |  |  |  |  |  | 8,782,819 |
Health Care Services — 0.4% |  |  |  |  |  |  |  |  |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.71%, 07/25/26 |  |  |  |  |  |  | 1,141 |  |  |  | 1,125,246 |
Unified Physician Management LLC, 2020 Term Loan, 12/16/27(c)(n) |  |  |  |  |  |  | 586 |  |  |  | 581,605 |
WP CityMD Bidco LLC, 2019 Term Loan B, (3 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 08/13/26 |  |  |  |  |  |  | 705 |  |  |  | 703,198 |
|  |  |  |  |  |  |  |  |  |  | 2,410,049 |
Health Care Technology — 0.4% |  |  |  |  |  |  |  |  |
Change Healthcare Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24 |  |  |  |  |  |  | 1,486 |  |  |  | 1,477,533 |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 10/10/25 |  |  |  |  |  |  | 1,122 |  |  |  | 1,113,286 |
|  |  |  |  |  |  |  |  |  |  | 2,590,819 |
Hotels, Restaurants & Leisure — 2.6% |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 11/19/26 |  |  |  |  |  |  | 1,003 |  |  |  | 987,428 |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 02/02/26 |  |  |  |  |  |  | 280 |  |  |  | 263,992 |
Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24 |  |  |  |  |  |  | 432 |  |  |  | 432,642 |
Boyd Gaming Corp., Term Loan B3, (1 Week LIBOR + 2.25%), 2.35%, 09/15/23 |  |  |  |  |  |  | 395 |  |  |  | 390,980 |
Caesars Resort Collection LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 12/23/24 |  |  |  |  |  |  | 1,356 |  |  |  | 1,328,693 |
2020 Term Loan B1, (1 mo. LIBOR + 4.50%), 4.65%, 07/20/25 |  |  |  |  |  |  | 1,484 |  |  |  | 1,484,679 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24 |  |  |  |  |  |  | 1,552 |  |  |  | 1,385,717 |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.15%, 11/30/23 |  |  |  |  |  |  | 551 |  |  |  | 546,144 |
Gateway Casinos & Entertainment Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/01/23 |  |  |  |  |  |  | 50 |  |  |  | 47,509 |
Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 10/04/23 |  |  |  |  |  |  | 904 |  |  |  | 870,531 |
Golden Nugget, Inc., 2020 Initial Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(c) |  |  |  |  |  |  | 80 |  |  |  | 90,059 |
Herschend Entertainment Co. LLC, Term Loan B, (3 mo. LIBOR + 5.75%, 1.00% Floor), 6.75%, 08/25/25 |  |  |  |  |  |  | 229 |  |  |  | 230,572 |

74 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
IRB Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Fourth Amendment Incremental Term Loan, 11/12/27(n) |  |  | USD |  |  |  | 1,864 |  |  | $ | 1,864,578 |
2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25 |  |  |  |  |  |  | 876 |  |  |  | 867,348 |
KFC Holding Co., 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.91%, 04/03/25 |  |  |  |  |  |  | 498 |  |  |  | 493,871 |
Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24 |  |  |  |  |  |  | 162 |  |  |  | 148,664 |
Playtika Holding Corp., Term Loan B, (3 mo. LIBOR + 6.00%, 1.00% Floor), 7.00%, 12/10/24 |  |  |  |  |  |  | 476 |  |  |  | 478,214 |
Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.90%, 08/14/24 |  |  |  |  |  |  | 362 |  |  |  | 353,010 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 3.50%), 3.75%, 07/10/25 |  |  |  |  |  |  | 521 |  |  |  | 522,938 |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 2.50%, 02/08/27 |  |  |  |  |  |  | 845 |  |  |  | 831,261 |
Travelport Finance (Luxembourg) Sarl (3 mo. LIBOR + 7.00%, 1.00% Floor), 9.00%, 02/28/25 |  |  |  | 426 |  |  |  | 419,221 |
2019 Term Loan, (3 mo. LIBOR + 5.00%), 5.25%, 05/29/26 |  |  |  |  |  |  | 831 |  |  |  | 560,412 |
Whatabrands LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.97%, 08/02/26 |  |  |  |  |  |  | 977 |  |  |  | 967,401 |
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 05/30/25 |  |  |  |  |  |  | 202 |  |  |  | 200,869 |
|  |  |  |  |  |  |  |  |  |  | 15,766,733 |
Household Durables — 0.1% |  |  |  |  |  |  |  |  |
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/04/27 |  |  |  |  |  |  | 147 |  |  |  | 146,401 |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 10/30/27 |  |  |  |  |  |  | 500 |  |  |  | 500,250 |
|  |  |  |  |  |  |  |  |  |  | 646,651 |
Independent Power and Renewable Electricity Producers — 0.3% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.15%, 01/15/25 |  |  |  |  |  |  | 892 |  |  |  | 879,928 |
Calpine Corp. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.15%, 08/12/26 |  |  |  |  |  |  | 603 |  |  |  | 594,337 |
Term Loan B9, (1 mo. LIBOR + 2.25%), 2.40%, 04/06/26 |  |  |  |  |  |  | 272 |  |  |  | 268,764 |
|  |  |  |  |  |  |  |  |  |  | 1,743,029 |
Industrial Conglomerates — 1.0% |  |  |  |  |  |  |  |  |
AVSC Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
(3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/03/25 |  |  |  |  |  |  | 1,310 |  |  |  | 1,112,574 |
(6 mo. LIBOR + 15.00%), 15.26%, 10/15/26 |  |  |  |  |  |  | 375 |  |  |  | 429,886 |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23(c) |  |  |  |  |  |  | 453 |  |  |  | 454,997 |

Security |  |  |  |  | Par (000) |  |  | Value |
Industrial Conglomerates (continued) |
Vertical US Newco, Inc., USD Term Loan B, (6 mo. LIBOR + 4.25%), 4.57%, 07/30/27 |  |  | USD |  |  |  | 742 |  |  | $ | 744,656 |
Vertiv Group Corp., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 03/02/27 |  |  |  |  |  |  | 3,083 |  |  |  | 3,061,592 |
|  |  |  |  |  |  |  |  |  |  | 5,803,705 |
Insurance — 1.3% |  |  |  |  |  |  |  |  |
Alliant Holdings I, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |  |  |  |  |  |  | 1,145 |  |  |  | 1,125,985 |
Alliant Holdings Intermediate LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 05/09/25 |  |  |  |  |  |  | 286 |  |  |  | 280,485 |
AmWINS Group, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 01/25/24 |  |  |  |  |  |  | 701 |  |  |  | 699,115 |
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/13/27 |  |  |  |  |  |  | 168 |  |  |  | 167,838 |
AssuredPartners, Inc., 2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.65%, 02/13/27 |  |  |  |  |  |  | 545 |  |  |  | 535,993 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.75%), 3.00%, 04/25/25 |  |  |  |  |  |  | 1,425 |  |  |  | 1,397,996 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 04/25/25 |  |  |  |  |  |  | 702 |  |  |  | 703,005 |
Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.00%, 09/01/27 |  |  |  |  |  |  | 658 |  |  |  | 655,881 |
Sedgwick Claims Management Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 12/31/25 |  |  |  |  |  |  | 1,134 |  |  |  | 1,115,164 |
2019 Term Loan B, (1 mo. LIBOR + 4.00%), 4.15%, 09/03/26 |  |  |  |  |  |  | 623 |  |  |  | 620,483 |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26 |  |  |  |  |  |  | 380 |  |  |  | 382,466 |
|  |  |  |  |  |  |  |  |  |  | 7,684,411 |
Interactive Media & Services — 0.7% |
Adevinta ASA, USD Term Loan B, 10/13/27(n) |  |  |  |  |  |  | 1,071 |  |  |  | 1,069,458 |
Camelot U.S. Acquisition 1 Co., 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/31/26 |  |  |  |  |  |  | 1,638 |  |  |  | 1,636,461 |
Go Daddy Operating Co. LLC, 2020 Term Loan B3, (1 mo. LIBOR + 2.50%), 2.65%, 08/10/27 |  |  |  |  |  |  | 840 |  |  |  | 842,232 |
TierPoint LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/06/24 |  |  |  |  |  |  | 438 |  |  |  | 435,478 |
|  |  |  |  |  |  |  |  |  |  | 3,983,629 |
Internet & Direct Marketing Retail — 0.2% |
CNT Holdings I Corp., 2020 Term Loan, (6 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 11/08/27 |  |  |  |  |  |  | 1,093 |  |  |  | 1,091,120 |
IT Services — 2.0% |  |  |  |  |  |  |  |  |
Ancestry.com, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.50% Floor), 4.50%, 12/06/27 |  |  |  |  |  |  | 945 |  |  |  | 945,472 |
Aruba Investments, Inc., 2020 USD Term Loan, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 11/24/27 |  |  |  |  |  |  | 341 |  |  |  | 340,574 |
Camelot U.S. Acquisition 1 Co., Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 10/31/26 |  |  |  |  |  |  | 1,869 |  |  |  | 1,859,317 |
Greeneden US Holdings II LLC, 2020 USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 12/01/27 |  |  |  |  |  |  | 2,071 |  |  |  | 2,072,853 |
Peak 10 Holding Corp., 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 7.48%, 08/01/25 |  |  |  |  |  |  | 273 |  |  |  | 170,868 |

S C H E D U L E O F I N V E S T M E N T S |  | 75

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
IT Services (continued) |  |  |  |  |  |  |  |  |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 02/12/27 |  |  | USD |  |  |  | 1,235 |  |  | $ | 1,175,297 |
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 11/03/23 |  |  |  |  |  |  | 135 |  |  |  | 135,073 |
Trans Union LLC, 2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 11/16/26 |  |  |  |  |  |  | 799 |  |  |  | 794,878 |
Veritas US, Inc., 2020 USD Term Loan B, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 09/01/25 |  |  |  |  |  |  | 2,808 |  |  |  | 2,797,087 |
Virtusa Corp., Term Loan B, 12/01/27(n) |  |  |  |  |  |  | 449 |  |  |  | 445,633 |
WEX, Inc., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.40%, 05/15/26 |  |  |  |  |  |  | 1,591 |  |  |  | 1,578,624 |
|  |  |  |  |  |  |  |  |  |  | 12,315,676 |
Life Sciences Tools & Services — 0.3% |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27 |  |  |  |  |  |  | 1,137 |  |  |  | 1,124,688 |
Maravai Intermediate Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 10/19/27(c) |  |  |  |  |  |  | 488 |  |  |  | 491,798 |
|  |  |  |  |  |  |  |  |  |  | 1,616,486 |
Machinery — 0.6% |
Columbus McKinnon Corp., 2018 Term Loan B, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 01/31/24 |  |  |  |  |  |  | 59 |  |  |  | 58,344 |
Hayward Industries, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 08/05/24 |  |  |  |  |  |  | 715 |  |  |  | 705,762 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.90%, 02/28/27 |  |  |  |  |  |  | 576 |  |  |  | 567,963 |
Terex Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.75%, 0.75% Floor), 3.50%, 01/31/24(c) |  |  |  |  |  |  | 115 |  |  |  | 113,803 |
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 3.27%, 03/28/25 |  |  |  |  |  |  | 2,340 |  |  |  | 2,277,324 |
|  |  |  |  |  |  |  |  |  |  | 3,723,196 |
Media — 4.9% |  |  |  |  |  |  |  |  |
Altice Financing SA |
2017 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.91%, 07/15/25 |  |  |  |  |  |  | 445 |  |  |  | 434,888 |
USD 2017 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 01/31/26 |  |  |  |  |  |  | 536 |  |  |  | 523,298 |
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 4.24%, 08/14/26 |  |  |  |  |  |  | 1,345 |  |  |  | 1,337,451 |
Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.90%, 04/30/25 |  |  |  |  |  |  | 1,370 |  |  |  | 1,363,608 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.71%, 08/21/26 |  |  |  |  |  |  | 2,574 |  |  |  | 2,472,826 |
Connect Finco Sarl, Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 12/12/26 |  |  |  |  |  |  | 3,157 |  |  |  | 3,164,458 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 2.41%, 07/17/25 |  |  |  |  |  |  | 657 |  |  |  | 646,411 |
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 2.66%, 04/15/27 |  |  |  |  |  |  | 1,013 |  |  |  | 1,002,320 |
E.W. Scripps Co., 2020 Term Loan B3, 12/15/27(n) |  |  |  |  |  |  | 432 |  |  |  | 432,000 |

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
Gray Television, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 2.40%, 02/07/24 |  |  | USD |  |  |  | 684 |  |  | $ | 677,698 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23 |  |  |  |  |  |  | 1,785 |  |  |  | 1,606,064 |
Liberty Latin America Ltd., Term Loan B, (1 mo. LIBOR + 5.00%), 5.15%, 10/15/26 |  |  |  |  |  |  | 409 |  |  |  | 410,108 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.40%, 03/24/25 |  |  |  |  |  |  | 525 |  |  |  | 516,847 |
Live Nation Entertainment, Inc., Term Loan B4, (1 Week LIBOR + 1.75%), 1.88%, 10/19/26 |  |  |  |  |  |  | 1,190 |  |  |  | 1,154,404 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.65%, 09/13/24 |  |  |  |  |  |  | 1,628 |  |  |  | 1,604,623 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/15/24 |  |  |  |  |  |  | 715 |  |  |  | 711,624 |
Midcontinent Communications, 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 08/15/26 |  |  |  |  |  |  | 260 |  |  |  | 259,021 |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.75%), 2.90%, 09/19/26 |  |  |  |  |  |  | 459 |  |  |  | 455,369 |
Radiate Holdco LLC, 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 09/25/26 |  |  |  |  |  |  | 1,152 |  |  |  | 1,152,937 |
Sinclair Television Group, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%), 2.40%, 01/03/24 |  |  |  |  |  |  | 192 |  |  |  | 189,580 |
Terrier Media Buyer, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 12/17/26 |  |  |  |  |  |  | 1,020 |  |  |  | 1,019,116 |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(c) |  |  |  |  |  |  | 1,480 |  |  |  | 1,468,430 |
UFC Holdings LLC, 2019 Term Loan, (6 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 04/29/26 |  |  |  |  |  |  | 276 |  |  |  | 274,675 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, 01/31/29(n) |  |  |  |  |  |  | 917 |  |  |  | 915,514 |
USD Term Loan N, (1 mo. LIBOR + 2.50%), 2.66%, 01/31/28 |  |  |  |  |  |  | 953 |  |  |  | 943,384 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.90%, 05/18/25 |  |  |  |  |  |  | 1,204 |  |  |  | 1,105,457 |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 03/09/27 |  |  |  |  |  |  | 3,859 |  |  |  | 3,830,289 |
|  |  |  |  |  |  |  |  |  |  | 29,672,400 |
Metals & Mining — 0.1% |  |  |  |  |  |  |  |  |
Ball Metalpack LLC, 2018 1st Lien Term Loan B, (2 mo. LIBOR + 4.50%), 4.73%, 07/31/25 |  |  |  |  |  |  | 669 |  |  |  | 655,497 |
Multi-line Retail — 0.0% |  |  |  |  |  |  |  |  |
Neiman Marcus Group Ltd. LLC, 2020 Exit Term Loan, (3 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 09/25/25 |  |  |  |  |  |  | 103 |  |  |  | 109,326 |
Oil, Gas & Consumable Fuels — 0.2% |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00% |  |  |  |  |  |  | 330 |  |  |  | 357,637 |
CITGO Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23 |  |  |  |  |  |  | 2 |  |  |  | 1,817 |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 12/13/25 |  |  |  |  |  |  | 437 |  |  |  | 427,497 |

76 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
EG Group Ltd., 2018 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.25%, 02/07/25 |  |  | USD |  |  |  | 248 |  |  | $ | 244,734 |
McDermott Technology Americas, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.15%, 06/30/24(c) |  |  |  |  |  |  | 16 |  |  |  | 12,621 |
2020 Take Back Term Loan, 3.00%, 06/30/25 |  |  |  |  |  |  | 109 |  |  |  | 70,589 |
|  |  |  |  |  |  |  |  |  |  | 1,114,895 |
Paper & Forest Products — 0.3% |
Charter NEX US, Inc., 2020 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.00%, 12/01/27 |  |  |  |  |  |  | 1,840 |  |  |  | 1,847,525 |
Personal Products — 0.5% |
Sunshine Luxembourg VII Sarl, USD Term Loan B1, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 09/25/26 |  |  |  |  |  |  | 2,782 |  |  |  | 2,786,739 |
Pharmaceuticals — 1.2% |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.69%, 05/04/25 |  |  |  |  |  |  | 855 |  |  |  | 832,279 |
Catalent Pharma Solutions, Inc., Term Loan B2, (1 mo. LIBOR + 2.25%, 1.00% Floor), 3.25%, 05/18/26 |  |  |  |  |  |  | 985 |  |  |  | 983,448 |
Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.90%, 08/01/27 |  |  |  |  |  |  | 860 |  |  |  | 851,324 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 Week LIBOR + 2.00%), 2.10%, 11/15/27 |  |  |  |  |  |  | 702 |  |  |  | 695,269 |
Jaguar Holding Co. II, 2018 Term Loan, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 08/18/22 |  |  |  |  |  |  | 1,669 |  |  |  | 1,667,775 |
Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.15%, 06/02/25 |  |  |  |  |  |  | 2,162 |  |  |  | 2,152,720 |
|  |  |  |  |  |  |  |  |  |  | 7,182,815 |
Professional Services — 0.6% |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 Add-On Term Loan, 02/06/26(n) |  |  |  |  |  |  | 599 |  |  |  | 598,748 |
Term Loan, (1 mo. LIBOR + 3.75%), 3.90%, 02/06/26 |  |  |  |  |  |  | 2,793 |  |  |  | 2,791,494 |
STG-Fairway Holdings LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 01/31/27 |  |  |  |  |  |  | 470 |  |  |  | 462,399 |
|  |  |  |  |  |  |  |  |  |  | 3,852,641 |
Real Estate Management & Development — 0.2% |
CityCenter Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 04/18/24 |  |  |  |  |  |  | 717 |  |  |  | 706,024 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 08/21/25 |  |  |  |  |  |  | 566 |  |  |  | 554,741 |
Realogy Corp., 2018 Term Loan B, (1 mo. LIBOR + 2.25%, 0.75% Floor), 3.00%, 02/08/25 |  |  |  |  |  |  | 83 |  |  |  | 81,628 |
|  |  |  |  |  |  |  |  |  |  | 1,342,393 |
Road & Rail — 0.1% |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.71%, 08/04/25(c) |  |  |  |  |  |  | 391 |  |  |  | 357,152 |
Semiconductors & Semiconductor Equipment — 0.1% |
Cabot Microelectronics Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.19%, 11/17/25 |  |  |  |  |  |  | 465 |  |  |  | 461,183 |

Security |  |  |  |  | Par (000) |  |  | Value |
Software — 6.8% |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/19/24 |  |  | USD |  |  |  | 1,599 |  |  | $ | 1,596,675 |
2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 09/19/25 |  |  |  |  |  |  | 250 |  |  |  | 250,620 |
Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/12/25 |  |  |  |  |  |  | 1,538 |  |  |  | 1,533,421 |
BMC Software Finance, Inc., 2018 USD Term Loan B, (1 mo. LIBOR + 4.25%), 4.40%, 10/02/25 |  |  |  |  |  |  | 861 |  |  |  | 856,787 |
By Crown Parent LLC, Term Loan B1, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 01/31/26 |  |  |  |  |  |  | 1,236 |  |  |  | 1,233,418 |
Cloudera, Inc., Term Loan B, 12/17/27(n) |  |  |  |  |  |  | 263 |  |  |  | 262,343 |
Cornerstone OnDemand, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 4.39%, 04/22/27 |  |  |  |  |  |  | 469 |  |  |  | 470,719 |
Cypress Intermediate Holdings III, Inc., 2017 1st Lien Term Loan, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 04/29/24 |  |  |  |  |  |  | 1,861 |  |  |  | 1,854,506 |
Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.51%, 05/27/24 |  |  |  |  |  |  | 494 |  |  |  | 450,307 |
DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/29/23 |  |  |  |  |  |  | 489 |  |  |  | 436,229 |
Epicor Software Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28 |  |  |  |  |  |  | 850 |  |  |  | 884,535 |
2020 Term Loan, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 07/31/27 |  |  |  |  |  |  | 1,520 |  |  |  | 1,527,178 |
Financial & Risk US Holdings, Inc., 2018 USD Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 10/01/25 |  |  |  |  |  |  | 4,086 |  |  |  | 4,077,056 |
Informatica LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD 2nd Lien Term Loan, (Fixed), 7.13%, 02/25/25(b)(o) |  |  |  |  |  |  | 679 |  |  |  | 689,694 |
2020 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 02/25/27 |  |  |  |  |  |  | 3,240 |  |  |  | 3,209,322 |
McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 09/30/24 |  |  |  |  |  |  | 1,441 |  |  |  | 1,439,624 |
Mitchell International, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 11/29/24 |  |  |  |  |  |  | 734 |  |  |  | 719,971 |
2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 12/01/25 |  |  |  |  |  |  | 347 |  |  |  | 335,192 |
2020 Add-On Term Loan, (1 mo. LIBOR + 4.25%, 0.50% Floor), 4.75%, 12/01/24 |  |  |  |  |  |  | 836 |  |  |  | 835,487 |
Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 10/01/27 |  |  |  |  |  |  | 569 |  |  |  | 567,697 |
Planview Parent, Inc.(c)(n) Delayed Draw Term Loan, 12/17/27 |  |  |  |  |  |  | 144 |  |  |  | 143,287 |
Term Loan, 12/17/27 |  |  |  |  |  |  | 615 |  |  |  | 613,269 |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.40%, 05/30/25 |  |  |  |  |  |  | 31 |  |  |  | 30,949 |
Sabre GLBL, Inc., 2020 Term Loan B, 12/17/27(n) |  |  |  |  |  |  | 442 |  |  |  | 442,553 |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.40%, 08/01/25 |  |  |  |  |  |  | 1,406 |  |  |  | 1,387,157 |
SolarWinds Holdings, Inc., 2018 Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 02/05/24 |  |  |  |  |  |  | 700 |  |  |  | 667,121 |
Solera LLC, USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.90%, 03/03/23 |  |  |  |  |  |  | 1,331 |  |  |  | 1,319,703 |
Sophia LP, 2020 1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 10/07/27 |  |  |  |  |  |  | 2,102 |  |  |  | 2,103,492 |

S C H E D U L E O F I N V E S T M E N T S |  | 77

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |
SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  | USD |  |  |  | 552 |  |  | $ | 544,267 |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 714 |  |  |  | 703,798 |
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.90%, 04/16/25 |  |  |  |  |  |  | 265 |  |  |  | 261,326 |
Tempo Acquisition LLC, 2020 Extended Term Loan, (1 mo. LIBOR + 3.25%, 0.50% Floor), 3.75%, 11/02/26 |  |  |  |  |  |  | 2,749 |  |  |  | 2,726,275 |
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.40%, 03/04/28 |  |  |  |  |  |  | 1,429 |  |  |  | 1,440,997 |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Incremental Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.50%, 05/03/27 |  |  |  |  |  |  | 794 |  |  |  | 814,843 |
2020 Incremental Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 05/03/26 |  |  |  |  |  |  | 2,221 |  |  |  | 2,231,273 |
Term Loan B, (1 mo. LIBOR + 3.75%), 3.90%, 05/03/26 |  |  |  |  |  |  | 2,352 |  |  |  | 2,348,248 |
|  |  |  |  |  |  |  |  |  |  | 41,009,339 |
Specialty Retail — 1.1% |
Belron Finance US LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/13/25 |  |  |  |  |  |  | 182 |  |  |  | 181,824 |
2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 10/30/26 |  |  |  |  |  |  | 416 |  |  |  | 414,760 |
USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.46%, 11/07/24 |  |  |  |  |  |  | 739 |  |  |  | 737,292 |
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.25%), 4.31%, 06/23/25 |  |  | GBP |  |  |  | 1,000 |  |  |  | 1,344,787 |
IAA, Inc., Term Loan B, (1 mo. LIBOR + 2.25%), 2.44%, 06/28/26 |  |  | USD |  |  |  | 287 |  |  |  | 283,912 |
MED ParentCo LP |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Delayed Draw Term Loan, (1 mo. LIBOR + 4.25%), 4.39%, 08/31/26 |  |  |  |  |  |  | 168 |  |  |  | 164,952 |
1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.40%, 08/31/26 |  |  |  |  |  |  | 669 |  |  |  | 657,784 |
PetSmart, Inc., Consenting Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 03/11/22 |  |  |  |  |  |  | 1,877 |  |  |  | 1,871,696 |
Research Now Group, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |  |  |  |  |  |  | 999 |  |  |  | 980,596 |
WOOF Holdings, Inc., 1st Lien Term Loan, 12/16/27(n) |  |  |  |  |  |  | 230 |  |  |  | 229,522 |
|  |  |  |  |  |  |  |  |  |  | 6,867,125 |
Technology Hardware, Storage & Peripherals — 0.1% |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.15%, 07/23/26 |  |  |  |  |  |  | 529 |  |  |  | 449,506 |
Western Digital Corp., 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.90%, 04/29/23 |  |  |  |  |  |  | 252 |  |  |  | 251,862 |
|  |  |  |  |  |  |  |  |  |  | 701,368 |

Security |  |  |  |  | Par (000) |  |  | Value |
Thrifts & Mortgage Finance — 0.2% |
IG Investment Holdings LLC, 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 05/23/25 |  |  | USD |  |  |  | 901 |  |  | $ | 898,543 |
Wireless Telecommunication Services — 0.4% |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.90%, 04/11/25 |  |  |  |  |  |  | 1,075 |  |  |  | 1,061,375 |
Xplornet Communications, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.75%), 4.90%, 06/10/27 |  |  |  |  |  |  | 1,620 |  |  |  | 1,620,460 |
|  |  |  |  |  |  |  |  |  |  | 2,681,835 |
Total Floating Rate Loan Interests — 43.6% |
(Cost: $262,134,889) |  |  |  |  |  |  |  |  |  |  | 263,030,025 |
Foreign Agency Obligations |
Bahrain — 0.1% |
Bahrain Government International Bond, 6.75%, 09/20/29 |  |  |  |  |  |  | 200 |  |  |  | 229,375 |
CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25 |  |  |  |  |  |  | 400 |  |  |  | 463,750 |
|  |  |  |  |  |  |  |  |  |  | 693,125 |
Colombia — 0.3% |
Colombia Government International Bond |  |  |  |  |
4.50%, 01/28/26(f) |  |  |  |  |  |  | 1,354 |  |  |  | 1,535,521 |
3.88%, 04/25/27 |  |  |  |  |  |  | 200 |  |  |  | 222,300 |
|  |  |  |  |  |  |  |  |  |  | 1,757,821 |
Dominican Republic — 0.2% |
Dominican Republic International Bond |  |  |  |  |  |  |  |  |  |  |  |
5.95%, 01/25/27 |  |  |  |  |  |  | 491 |  |  |  | 572,782 |
4.88%, 09/23/32(b) |  |  |  |  |  |  | 185 |  |  |  | 203,905 |
6.40%, 06/05/49 |  |  |  |  |  |  | 150 |  |  |  | 176,109 |
|  |  |  |  |  |  |  |  |  |  | 952,796 |
Egypt — 0.3% |
Egypt Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 05/29/24(b) |  |  |  |  |  |  | 215 |  |  |  | 230,319 |
5.88%, 06/11/25 |  |  |  |  |  |  | 335 |  |  |  | 362,847 |
7.60%, 03/01/29 |  |  |  |  |  |  | 816 |  |  |  | 937,125 |
8.50%, 01/31/47(b) |  |  |  |  |  |  | 321 |  |  |  | 363,933 |
|  |  |  |  |  |  |  |  |  |  | 1,894,224 |
Iceland — 0.5% |
Iceland Government International Bond, 5.88%, 05/11/22(f) |  |  |  |  |  |  | 3,030 |  |  |  | 3,212,904 |
Indonesia — 0.2% |
Indonesia Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
4.10%, 04/24/28 |  |  |  |  |  |  | 650 |  |  |  | 754,813 |
5.35%, 02/11/49 |  |  |  |  |  |  | 200 |  |  |  | 274,125 |
|  |  |  |  |  |  |  |  |  |  | 1,028,938 |
Mexico — 0.2% |
Mexico Government International Bond, 4.15%, 03/28/27(f) |  |  |  |  |  |  | 1,052 |  |  |  | 1,217,690 |
Mongolia — 0.0% |
Mongolia Government International Bond, 8.75%, 03/09/24 |  |  |  |  |  |  | 250 |  |  |  | 290,234 |

78 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Morocco — 0.1% |
Morocco Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 12/15/32 |  |  | USD |  |  |  | 300 |  |  | $ | 303,750 |
4.00%, 12/15/50 |  |  |  |  |  |  | 200 |  |  |  | 205,750 |
|  |  |  |  |  |  |  |  |  |  | 509,500 |
Panama — 0.1% |
Panama Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
3.16%, 01/23/30(f) |  |  |  |  |  |  | 445 |  |  |  | 492,698 |
4.50%, 04/16/50 |  |  |  |  |  |  | 211 |  |  |  | 271,135 |
|  |  |  |  |  |  |  |  |  |  | 763,833 |
Paraguay — 0.1% |
Paraguay Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
4.95%, 04/28/31 |  |  |  |  |  |  | 300 |  |  |  | 362,250 |
5.40%, 03/30/50 |  |  |  |  |  |  | 200 |  |  |  | 252,438 |
|  |  |  |  |  |  |  |  |  |  | 614,688 |
Peru — 0.1% |
Peruvian Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
2.78%, 01/23/31 |  |  |  |  |  |  | 354 |  |  |  | 388,161 |
5.63%, 11/18/50 |  |  |  |  |  |  | 165 |  |  |  | 258,555 |
|  |  |  |  |  |  |  |  |  |  | 646,716 |
Portugal — 0.6% |
Portugal Government International Bond, 5.13%, |  |  |  |  |  |  |  |  |  |  |  |
10/15/24(b)(f) |  |  |  |  |  |  | 3,190 |  |  |  | 3,705,504 |
Qatar — 0.1% |
Qatar Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 03/14/29(b)(f) |  |  |  |  |  |  | 473 |  |  |  | 561,096 |
4.40%, 04/16/50 |  |  |  |  |  |  | 208 |  |  |  | 270,400 |
|  |  |  |  |  |  |  |  |  |  | 831,496 |
Romania — 0.1% |
Romanian Government International Bond, 3.00%, 02/14/31(b) |  |  |  |  |  |  | 280 |  |  |  | 299,688 |
Russia — 0.1% |
Russian Foreign Bond - Eurobond |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 05/27/26 |  |  |  |  |  |  | 400 |  |  |  | 462,200 |
4.25%, 06/23/27 |  |  |  |  |  |  | 200 |  |  |  | 228,500 |
|  |  |  |  |  |  |  |  |  |  | 690,700 |
Saudi Arabia — 0.2% |
Saudi Government International Bond, 4.50%, 04/17/30(f) |  |  |  |  |  |  | 795 |  |  |  | 958,223 |
South Africa — 0.0% |
Republic of South Africa Government International Bond, 5.88%, 05/30/22 |  |  |  |  |  |  | 200 |  |  |  | 213,500 |
Sri Lanka — 0.1% |
Sri Lanka Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
6.85%, 03/14/24 |  |  |  |  |  |  | 200 |  |  |  | 121,062 |
6.35%, 06/28/24 |  |  |  |  |  |  | 200 |  |  |  | 120,688 |
7.85%, 03/14/29 |  |  |  |  |  |  | 400 |  |  |  | 227,625 |
7.55%, 03/28/30 |  |  |  |  |  |  | 200 |  |  |  | 113,500 |
|  |  |  |  |  |  |  |  |  |  | 582,875 |
Ukraine — 0.2% |
Ukraine Government International Bond 7.75%, 09/01/22 |  |  |  |  |  |  | 118 |  |  |  | 126,378 |

Security |  |  |  |  | Par (000) |  |  | Value |
Ukraine (continued) |
Ukraine Government International Bond (continued) |  |  |  |  |  |  |  |  |  |  |  |
8.99%, 02/01/24 |  |  | USD |  |  |  | 200 |  |  | $ | 226,000 |
9.75%, 11/01/28 |  |  |  |  |  |  | 236 |  |  |  | 290,280 |
7.25%, 03/15/33(b) |  |  |  |  |  |  | 400 |  |  |  | 436,000 |
|  |  |  |  |  |  |  |  |  |  | 1,078,658 |
Total Foreign Agency Obligations — 3.6% |
(Cost: $20,557,423) |  |  |  |  |  |  |  |  |  |  | 21,943,113 |
|  |  |  |  | Shares |  |  |  |
Investment Companies |  |  |  |  |  |  |  |  |  |  |  |
Fixed Income Funds — 0.6% |
Invesco Senior Loan ETF |  |  |  |  |  |  | 107,601 |  |  |  | 2,397,350 |
iShares iBoxx $ Investment Grade Corporate Bond ETF(p) |  |  |  |  |  |  | 10,000 |  |  |  | 1,381,300 |
|  |  |  |  |  |  |  |  |  |  | 3,778,650 |
Total Investment Companies — 0.6% |
(Cost: $3,664,037) |  |  |  |  |  |  |  |  |  |  | 3,778,650 |
|  |  |  |  | Par (000) |  |  |  |
Non-Agency Mortgage-Backed Securities |
Collateralized Mortgage Obligations — 0.7% |
Countrywide Alternative Loan Trust |  |  |  |  |  |  |  |  |  |  |  |
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |  |  | USD |  |  |  | 1,425 |  |  |  | 1,128,095 |
Series 2006-J8, Class A5, 6.00%, 02/25/37 |  |  |  |  |  |  | 2,151 |  |  |  | 1,367,930 |
Series 2007-19, Class 1A1, 6.00%, 08/25/37 |  |  |  |  |  |  | 660 |  |  |  | 483,087 |
Countrywide Home Loan Mortgage Pass-Through Trust |  |  |  |  |  |  |  |  |  |  |  |
Series 2005-17, Class 1A6, 5.50%, 09/25/35 |  |  |  |  |  |  | 191 |  |  |  | 189,526 |
Series 2006-17, Class A2, 6.00%, 12/25/36 |  |  |  |  |  |  | 821 |  |  |  | 545,792 |
Series 2007-HY5, Class 3A1, 3.13%, 09/25/37(a) |  |  |  | 507 |  |  |  | 494,166 |
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 3.00%, 10/25/35(a) |  |  |  |  |  |  | 418 |  |  |  | 308,389 |
|  |  |  |  |  |  |  |  |  |  | 4,516,985 |
Commercial Mortgage-Backed Securities — 0.9% |
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.60%, 04/14/33(a)(b) |  |  |  | 4,830 |  |  |  | 5,181,228 |
Total Non-Agency Mortgage-Backed Securities — 1.6% |
(Cost: $9,604,972) |  |  |  |  |  |  |  |  |  |  | 9,698,213 |

S C H E D U L E O F I N V E S T M E N T S |  | 79

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Benefical Interest (000) |  |  | Value |
Other Interests(q) |  |  |  |  |  |  |  |  |  |  |  |
IT Services(c)(e) — 0.0% |  |  |  |  |  |  |  |  |
Millennium Corp. |  |  | USD |  |  |  | 918 |  |  | $ | — |
Millennium Lender Claims |  |  |  |  |  |  | 861 |  |  |  | — |
Total Other Interests — 0.0% |  |  |  |
(Cost: $ — ) |  |  |  |  |  |  |  |  |  |  | — |
|  |  |  |  | Par (000) |  |  |  |
Preferred Securities |
Capital Trusts — 5.5% |  |  |  |  |  |  |  |  |
Automobiles — 0.1% |  |  |  |  |  |  |  |  |
General Motors Financial Co., Inc., Series C, 5.70%(a)(i) |  |  | USD |  |  |  | 365 |  |  |  | 402,412 |
Banks(a) — 0.8% |  |  |  |  |  |  |  |  |
Al Ahli Bank of Kuwait KSCP, 7.25%(i) |  |  |  |  |  |  | 200 |  |  |  | 213,000 |
Banco Mercantil del Norte SA, 6.75%(b)(i) |  |  |  |  |  |  | 396 |  |  |  | 427,680 |
Bank of East Asia Ltd., 5.88%(i) |  |  |  |  |  |  | 250 |  |  |  | 264,531 |
Bankia SA, 6.38%(i) |  |  | EUR |  |  |  | 200 |  |  |  | 261,739 |
BBVA Bancomer SA/Texas, 5.13%, 01/18/33 |  |  | USD |  |  |  | 220 |  |  |  | 237,600 |
Burgan Bank SAK, 5.75%(i) |  |  |  |  |  |  | 250 |  |  |  | 257,344 |
CIT Group, Inc., Series A, 5.80%(i) |  |  |  |  |  |  | 235 |  |  |  | 239,700 |
Nanyang Commercial Bank Ltd., 5.00%(i) |  |  |  |  |  |  | 200 |  |  |  | 202,687 |
Rizal Commercial Banking Corp., 6.50%(i) |  |  |  |  |  |  | 200 |  |  |  | 202,062 |
TMB Bank PCL, 4.90%(i) |  |  |  |  |  |  | 250 |  |  |  | 243,594 |
Wells Fargo & Co.(f)(i) |  |  |  |  |  |  |  |  |  |  |  |
Series S, 5.90% |  |  |  |  |  |  | 1,500 |  |  |  | 1,591,875 |
Series U, 5.88% |  |  |  |  |  |  | 384 |  |  |  | 435,360 |
|  |  |  |  |  |  |  |  |  |  | 4,577,172 |
Consumer Finance — 0.5% |
Capital One Financial Corp., Series E, 4.03%(a)(f)(i) |  |  |  | 3,000 |  |  |  | 2,973,900 |
Diversified Financial Services(a)(i) — 2.9% |
Bank of America Corp.(f) |  |  |  |  |  |  |  |  |  |  |  |
Series AA, 6.10% |  |  |  |  |  |  | 1,038 |  |  |  | 1,176,106 |
Series DD, 6.30% |  |  |  |  |  |  | 215 |  |  |  | 251,013 |
Series X, 6.25% |  |  |  |  |  |  | 1,929 |  |  |  | 2,140,346 |
Series Z, 6.50% |  |  |  |  |  |  | 143 |  |  |  | 163,378 |
BNP Paribas SA, 4.50%(b) |  |  |  | 205 |  |  |  | 207,159 |
Citigroup, Inc., Series Q, 4.32% |  |  |  | 244 |  |  |  | 242,780 |
Credit Suisse Group AG |  |  |  |  |  |  |  |  |  |  |  |
5.10%(b) |  |  |  |  |  |  | 200 |  |  |  | 208,000 |
6.38%(b)(f) |  |  |  |  |  |  | 495 |  |  |  | 551,306 |
6.25% |  |  |  |  |  |  | 200 |  |  |  | 218,475 |
Goldman Sachs Group, Inc., Series M, 4.13%(f) |  |  |  |  |  |  | 1,730 |  |  |  | 1,726,505 |
HSBC Holdings PLC(f) |  |  |  |  |  |  |  |  |  |  |  |
6.25% |  |  |  |  |  |  | 695 |  |  |  | 728,013 |
6.00% |  |  |  |  |  |  | 415 |  |  |  | 451,831 |
JPMorgan Chase & Co. |  |  |  |  |  |  |  |  |  |  |  |
Series FF, 5.00%(f) |  |  |  |  |  |  | 865 |  |  |  | 910,006 |
Series HH, 4.60% |  |  |  |  |  |  | 253 |  |  |  | 261,223 |
Series I, 3.68%(f) |  |  |  |  |  |  | 322 |  |  |  | 321,341 |
Series R, 6.00%(f) |  |  |  |  |  |  | 120 |  |  |  | 127,200 |
Series V, 3.56%(f) |  |  |  |  |  |  | 1,125 |  |  |  | 1,105,245 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
Morgan Stanley, Series H, 3.85%(f) |  |  | USD |  |  |  | 2,754 |  |  | $ | 2,734,171 |
Natwest Group PLC(f) |  |  |  |  |  |  |  |  |  |  |  |
6.00% |  |  |  |  |  |  | 1,185 |  |  |  | 1,298,013 |
8.63% |  |  |  |  |  |  | 200 |  |  |  | 207,582 |
Societe Generale SA, 5.38%(b) |  |  |  |  |  |  | 2,250 |  |  |  | 2,385,833 |
Woori Bank, 4.25% |  |  |  |  |  |  | 250 |  |  |  | 259,531 |
|  |  |  |  |  |  |  |  |  |  | 17,675,057 |
Diversified Telecommunication Services(a)(i) — 0.1% |
Telefonica Europe BV |  |  |  |  |  |  |  |  |  |  |  |
5.88% |  |  | EUR |  |  |  | 100 |  |  |  | 137,283 |
4.38% |  |  |  |  |  |  | 100 |  |  |  | 132,548 |
|  |  |  |  |  |  |  |  |  |  | 269,831 |
Electric Utilities(a) — 0.4% |  |  |  |  |  |  |  |  |
Naturgy Finance BV, 3.38%(i) |  |  |  |  |  |  | 100 |  |  |  | 129,495 |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(f) |  |  | USD |  |  |  | 1,750 |  |  |  | 2,062,281 |
|  |  |  |  |  |  |  |  |  |  | 2,191,776 |
Electronic Equipment, Instruments & Components — 0.0% |
Belden, Inc., 4.13%, 10/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 125,825 |
Insurance(a) — 0.7% |  |  |  |  |  |  |  |  |
Achmea BV, 4.63%(i) |  |  |  |  |  |  | 200 |  |  |  | 261,739 |
Heungkuk Life Insurance Co. Ltd., 4.48%(i) |  |  | USD |  |  |  | 200 |  |  |  | 201,500 |
Voya Financial, Inc., 5.65%, 05/15/53(f) |  |  |  | 3,500 |  |  |  | 3,710,000 |
|  |  |  |  |  |  |  |  |  |  | 4,173,239 |
Oil, Gas & Consumable Fuels — 0.0% |
Abertis Infraestructuras Finance BV, 3.25%(a)(i) |  |  | EUR |  |  |  | 100 |  |  |  | 126,593 |
Utilities — 0.0% |  |  |  |  |  |  |  |  |
Electricite de France SA, 3.00%(a)(i) |  |  |  |  |  |  | 200 |  |  |  | 259,881 |
Wireless Telecommunication Services — 0.0% |
Vodafone Group PLC, 3.10%, 01/03/79(a) |  |  |  |  |  |  | 100 |  |  |  | 126,621 |
Total Capital Trusts — 5.5% |  |  |  |  |  |  |  | 32,902,307 |
|  |  |  |  | Shares |  |  |  |
Preferred Stocks — 1.7% |  |  |  |  |  |  |  |  |
Banks — 0.0% |  |  |  |  |  |  |  |  |
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $132,662)(r) |  |  |  |  |  |  | 135,568 |  |  |  | 1,830 |
Capital Markets(a)(i) — 1.7% |  |  |  |  |  |  |  |  |
Goldman Sachs Group, Inc., Series J, 5.50% |  |  |  |  |  |  | 202,526 |  |  |  | 5,535,036 |
Morgan Stanley |  |  |  |  |  |  |  |  |  |  |  |
Series F, 6.88% |  |  |  |  |  |  | 120,000 |  |  |  | 3,420,000 |
Series K, 5.85% |  |  |  |  |  |  | 53,253 |  |  |  | 1,536,349 |
|  |  |  |  |  |  |  |  |  |  | 10,491,385 |
Total Preferred Stocks — 1.7% |  |  |  |  |  |  |  | 10,493,215 |

80 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Shares |  |  | Value |
Trust Preferred — 0.5% |  |  |  |  |  |  |  |  |
Diversified Financial Services — 0.5% |
GMAC Capital Trust I, Series 2, 6.01%, 02/15/40(a) . |  |  |  |  |  |  | 105,753 |  |  |  | $2,860,619 |
Total Preferred Securities — 7.7% |
(Cost: $43,488,245) |  |  |  |  |  |  |  |  |  |  | 46,256,141 |
|  |  |  |  | Par (000) |  |  |  |
U.S. Government Sponsored Agency Securities |
Collateralized Mortgage Obligations — 0.2% |
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.15%, 10/25/29(a) |  |  | USD |  |  |  | 1,456 |  |  |  | 1,471,607 |
Mortgage-Backed Securities — 0.2% |
Uniform Mortgage-Backed Securities 5.00%, 08/01/23 |  |  |  |  |  |  | 16 |  |  |  | 16,992 |
Series K042, Class X1, 1.04%, 12/25/24(a) |  |  |  |  |  |  | 33,301 |  |  |  | 1,189,756 |
|  |  |  |  |  |  |  |  |  |  | 1,206,748 |
Total U.S. Government Sponsored Agency Securities — 0.4% |
(Cost: $2,739,114) |  |  |  |  |  |  |  |  |  |  | 2,678,355 |
U.S. Treasury Obligations |
U.S. Treasury Bonds, 2.88%, 05/15/49(f) |  |  |  |  |  |  | 1,350 |  |  |  | 1,742,977 |
U.S. Treasury Notes, 2.75%, 04/30/23 - 08/31/25(f) |  |  |  | 14,150 |  |  |  | 15,321,781 |
Total U.S. Treasury Obligations — 2.8% |
(Cost: $15,451,984) |  |  |  |  |  |  |  |  |  |  | 17,064,758 |
|  |  |  |  | Shares |  |  |  |
Warrants |  |  |  |  |  |  |  |  |  |  |  |
Metals & Mining — 0.0% |  |  |  |  |  |  |  |  |
AFGlobal Corp. (Expires 06/08/22)(c)(e) |  |  |  |  |  |  | 2,542 |  |  |  | — |
Oil, Gas & Consumable Fuels(e) — 0.0% |
California Resources Corp. (Expires 10/27/24)(a) |  |  |  |  |  |  | 345 |  |  |  | 1,380 |
SM Energy Co. (Expires 06/30/23) |  |  |  |  |  |  | 12,030 |  |  |  | 73,503 |
|  |  |  |  |  |  |  |  |  |  | 74,883 |
Total Warrants — 0.0% |  |  |  |  |  |  |  |  |
(Cost: $51,609) |  |  |  |  |  |  |  |  |  |  | 74,883 |
Total Long-Term Investments — 143.9% |
(Cost: $841,435,564) |  |  |  |  |  |  |  |  |  |  | 869,256,352 |

Security |  | Shares |  |  | Value |
Short-Term Securities |  |  |  |  |  |  |  |
Money Market Funds — 1.6% |  |  |  |  |  |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(p)(s) |  |  | 9,760,422 |  |  | $ | 9,760,422 |
Total Short-Term Securities — 1.6% |  |  |  |  |  |
(Cost: $9,760,422) |  |  |  |  |  |  | 9,760,422 |
Options Purchased — 0.3% |  |  |  |  |  |
(Cost: $1,794,531) |  |  |  |  |  |  | 1,776,793 |
Total Investments Before Options Written — 145.8% |
(Cost: $852,990,517) |  |  |  |  |  |  | 880,793,567 |
Options Written — (0.6)% |  |  |  |  |  |
(Premiums Received: $(4,241,790)) |  |  |  |  |  |  | (3,887,571 | )
Total Investments, Net of Options Written — 145.2% |
(Cost: $848,748,727) |  |  |  |  |  |  | 876,905,996 |
Liabilities in Excess of Other Assets — (45.2)% |  |  | (272,973,389) |
Net Assets — 100.0% |  |  |  |  | $603,932,607 |

(a) |  | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(b) |  | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

(d) |  | 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.

(e) |  | Non-income producing security.

(f) |  | All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(g) |  | Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(h) |  | Issuer filed for bankruptcy and/or is in default.

(i) |  | Perpetual security with no stated maturity date.

(j) |  | When-issued security.

(k) |  | Convertible security.

(l) |  | Zero-coupon bond.

(m) |  | Amount is less than 500.

(n) |  | 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.

(o) |  | Fixed rate.

(p) |  | Affiliate of the Fund.

(q) |  | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(r) |  | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,830, representing less than 0.05% of its net assets as of period end, and an original cost of $132,662.

(s) |  | Annualized 7-day yield as of period end.

S C H E D U L E O F I N V E S T M E N T S |  | 81

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2020 for purposes of Section 2(a)(3) of the 1940 Act, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/19 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 12/31/20 |  |  | Shares Held at 12/31/20 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  | $ | 1,358,645 |  |  | $ | 8,401,777 | (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 9,760,422 |  |  |  | 9,760,422 |  |  | $ | 19,963 |  |  | $ | — |
iShares iBoxx $ Investment Grade Corporate Bond ETF |  |  | — |  |  |  | 2,539,388 |  |  |  | (1,380,769 | ) |  |  | 111,075 |  |  |  | 111,606 |  |  |  | 1,381,300 |  |  |  | 10,000 |  |  |  | 29,881 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 111,075 |  |  | $ | 111,606 |  |  | $ | 11,141,722 |  |  |  |  |  |  | $ | 49,844 |  |  | $ | — |

| (a) | Represents net amount purchased (sold). |

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

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. |  |  | 1.25 | %(b) |  |  | 01/21/20 |  |  |  | Open |  |  | $ | 581,819 |  |  | $ | 589,904 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 01/21/20 |  |  |  | Open |  |  |  | 1,549,082 |  |  |  | 1,570,608 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 01/21/20 |  |  |  | Open |  |  |  | 396,664 |  |  |  | 402,176 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 01/31/20 |  |  |  | Open |  |  |  | 446,985 |  |  |  | 449,760 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Suisse Securities (USA) LLC |  |  | 0.30 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 222,430 |  |  |  | 224,347 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Credit Suisse Securities (USA) LLC |  |  | 0.30 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 225,000 |  |  |  | 226,018 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.25 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 288,576 |  |  |  | 289,508 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.25 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 253,869 |  |  |  | 254,689 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.50 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 221,038 |  |  |  | 222,217 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.55 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 531,421 |  |  |  | 534,479 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.60 | (b) |  |  | 03/02/20 |  |  |  | Open |  |  |  | 391,957 |  |  |  | 394,377 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.45 | (b) |  |  | 03/23/20 |  |  |  | Open |  |  |  | 85,000 |  |  |  | 85,352 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.45 | (b) |  |  | 03/26/20 |  |  |  | Open |  |  |  | 118,000 |  |  |  | 118,480 |  |  | Capital Trusts |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.45 | (b) |  |  | 03/26/20 |  |  |  | Open |  |  |  | 110,000 |  |  |  | 110,448 |  |  | Capital Trusts |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.45 | (b) |  |  | 03/26/20 |  |  |  | Open |  |  |  | 201,000 |  |  |  | 201,818 |  |  | Capital Trusts |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.45 | (b) |  |  | 03/26/20 |  |  |  | Open |  |  |  | 194,000 |  |  |  | 194,790 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.45 | (b) |  |  | 03/26/20 |  |  |  | Open |  |  |  | 139,000 |  |  |  | 139,566 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 04/06/20 |  |  |  | Open |  |  |  | 120,201 |  |  |  | 121,324 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 04/15/20 |  |  |  | Open |  |  |  | 2,897,437 |  |  |  | 2,918,363 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 04/15/20 |  |  |  | Open |  |  |  | 2,191,031 |  |  |  | 2,206,855 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 04/15/20 |  |  |  | Open |  |  |  | 678,750 |  |  |  | 683,652 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.10 | (b) |  |  | 04/15/20 |  |  |  | Open |  |  |  | 182,440 |  |  |  | 183,890 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 04/20/20 |  |  |  | Open |  |  |  | 3,110,250 |  |  |  | 3,137,897 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.45 | (b) |  |  | 04/30/20 |  |  |  | Open |  |  |  | 506,606 |  |  |  | 508,158 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 04/30/20 |  |  |  | Open |  |  |  | 644,831 |  |  |  | 650,317 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 04/30/20 |  |  |  | Open |  |  |  | 966,219 |  |  |  | 974,438 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.65 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 578,587 |  |  |  | 581,032 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 822,429 |  |  |  | 829,913 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 1,207,860 |  |  |  | 1,218,852 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 1,366,845 |  |  |  | 1,379,283 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 1,015,985 |  |  |  | 1,025,230 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 814,196 |  |  |  | 821,605 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/12/20 |  |  |  | Open |  |  |  | 625,625 |  |  |  | 631,318 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.65 | (b) |  |  | 05/21/20 |  |  |  | Open |  |  |  | 677,119 |  |  |  | 679,870 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 05/21/20 |  |  |  | Open |  |  |  | 461,212 |  |  |  | 465,248 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.65 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 301,394 |  |  |  | 302,558 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 317,000 |  |  |  | 319,638 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 412,070 |  |  |  | 415,499 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 381,769 |  |  |  | 384,946 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 426,883 |  |  |  | 430,435 |  |  | Corporate Bonds |  |  | Open/Demand |

82 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
Barclays Capital, Inc. |  |  | 1.40 | %(b) |  |  | 06/01/20 |  |  |  | Open |  |  | $ | 328,188 |  |  | $ | 330,919 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 492,240 |  |  |  | 496,337 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 415,063 |  |  |  | 418,517 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/01/20 |  |  |  | Open |  |  |  | 370,178 |  |  |  | 373,258 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 06/04/20 |  |  |  | Open |  |  |  | 821,022 |  |  |  | 827,759 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.55 | (b) |  |  | 06/16/20 |  |  |  | Open |  |  |  | 571,380 |  |  |  | 573,117 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.20 | (b) |  |  | 06/16/20 |  |  |  | Open |  |  |  | 582,167 |  |  |  | 586,029 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.20 | (b) |  |  | 06/16/20 |  |  |  | Open |  |  |  | 462,222 |  |  |  | 465,289 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.20 | (b) |  |  | 06/16/20 |  |  |  | Open |  |  |  | 617,210 |  |  |  | 621,304 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.20 | (b) |  |  | 06/16/20 |  |  |  | Open |  |  |  | 472,937 |  |  |  | 476,075 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 06/19/20 |  |  |  | Open |  |  |  | 792,743 |  |  |  | 794,868 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.60 | (b) |  |  | 06/19/20 |  |  |  | Open |  |  |  | 1,078,870 |  |  |  | 1,082,340 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/19/20 |  |  |  | Open |  |  |  | 472,536 |  |  |  | 475,070 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/19/20 |  |  |  | Open |  |  |  | 514,972 |  |  |  | 517,733 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.55 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 637,812 |  |  |  | 639,615 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.90 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 956,887 |  |  |  | 961,313 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 525,140 |  |  |  | 527,839 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 390,930 |  |  |  | 392,939 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 402,855 |  |  |  | 404,925 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 509,375 |  |  |  | 511,993 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 397,843 |  |  |  | 399,887 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 668,300 |  |  |  | 671,734 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 06/29/20 |  |  |  | Open |  |  |  | 411,446 |  |  |  | 413,561 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.20 | (b) |  |  | 07/06/20 |  |  |  | Open |  |  |  | 276,581 |  |  |  | 278,204 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.60 | (b) |  |  | 07/07/20 |  |  |  | Open |  |  |  | 866,392 |  |  |  | 873,208 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 815,065 |  |  |  | 818,163 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 474,674 |  |  |  | 476,266 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 487,040 |  |  |  | 488,674 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 447,266 |  |  |  | 448,766 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 466,112 |  |  |  | 467,676 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 501,562 |  |  |  | 503,245 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 441,323 |  |  |  | 442,803 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 459,405 |  |  |  | 460,946 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.80 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 415,069 |  |  |  | 416,554 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.80 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 369,888 |  |  |  | 371,211 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.80 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 419,445 |  |  |  | 420,946 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.80 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 485,985 |  |  |  | 487,724 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.80 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 439,020 |  |  |  | 440,591 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.80 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 448,628 |  |  |  | 450,233 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.90 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 416,500 |  |  |  | 418,176 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.95 | (b) |  |  | 07/23/20 |  |  |  | Open |  |  |  | 732,555 |  |  |  | 735,667 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 07/28/20 |  |  |  | Open |  |  |  | 286,991 |  |  |  | 287,613 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 07/29/20 |  |  |  | Open |  |  |  | 138,353 |  |  |  | 138,859 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 07/29/20 |  |  |  | Open |  |  |  | 437,840 |  |  |  | 439,442 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 07/29/20 |  |  |  | Open |  |  |  | 151,130 |  |  |  | 151,683 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 07/29/20 |  |  |  | Open |  |  |  | 309,690 |  |  |  | 310,823 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 07/29/20 |  |  |  | Open |  |  |  | 175,275 |  |  |  | 175,916 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 08/06/20 |  |  |  | Open |  |  |  | 1,324,897 |  |  |  | 1,328,955 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 08/07/20 |  |  |  | Open |  |  |  | 436,656 |  |  |  | 437,530 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 08/11/20 |  |  |  | Open |  |  |  | 406,858 |  |  |  | 408,222 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.90 | (b) |  |  | 08/12/20 |  |  |  | Open |  |  |  | 912,350 |  |  |  | 915,566 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.15 | (b) |  |  | 08/12/20 |  |  |  | Open |  |  |  | 828,550 |  |  |  | 832,282 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 08/13/20 |  |  |  | Open |  |  |  | 601,842 |  |  |  | 602,903 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 08/13/20 |  |  |  | Open |  |  |  | 1,729,490 |  |  |  | 1,732,538 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 08/14/20 |  |  |  | Open |  |  |  | 1,672,260 |  |  |  | 1,675,186 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/20/20 |  |  |  | Open |  |  |  | 282,695 |  |  |  | 283,531 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.65 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 494,375 |  |  |  | 495,535 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 278,958 |  |  |  | 279,763 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 352,733 |  |  |  | 353,751 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 295,800 |  |  |  | 296,655 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 333,660 |  |  |  | 334,624 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 366,769 |  |  |  | 367,828 |  |  | Corporate Bonds |  |  | Open/Demand |

S C H E D U L E O F I N V E S T M E N T S |  | 83

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
Barclays Capital, Inc. |  |  | 0.80 | %(b) |  |  | 08/24/20 |  |  |  | Open |  |  | $ | 717,025 |  |  | $ | 719,096 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 451,750 |  |  |  | 453,055 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 362,813 |  |  |  | 363,861 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 805,014 |  |  |  | 806,903 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 621,300 |  |  |  | 622,758 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 913,447 |  |  |  | 915,592 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 646,085 |  |  |  | 647,601 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 703,105 |  |  |  | 704,755 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 559,550 |  |  |  | 561,065 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 608,440 |  |  |  | 610,088 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 08/24/20 |  |  |  | Open |  |  |  | 829,744 |  |  |  | 831,991 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/01/20 |  |  |  | Open |  |  |  | 359,470 |  |  |  | 360,262 |  |  | Corporate Bonds |  |  | Open/Demand |
BoFA Securities, Inc. |  |  | (1.25 | )(b) |  |  | 09/02/20 |  |  |  | Open |  |  |  | 110,633 |  |  |  | 110,168 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 677,844 |  |  |  | 678,801 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,509,375 |  |  |  | 1,511,507 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,019,200 |  |  |  | 1,021,375 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 2,549,281 |  |  |  | 2,554,723 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,585,762 |  |  |  | 1,588,002 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 423,144 |  |  |  | 423,741 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 435,881 |  |  |  | 436,497 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 178,500 |  |  |  | 178,752 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,518,750 |  |  |  | 1,520,895 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 163,995 |  |  |  | 164,227 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 412,500 |  |  |  | 413,083 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 951,750 |  |  |  | 953,094 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 155,418 |  |  |  | 155,638 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 452,944 |  |  |  | 453,584 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,837,500 |  |  |  | 1,840,095 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 686,562 |  |  |  | 687,532 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 149,625 |  |  |  | 149,836 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,065,750 |  |  |  | 1,067,255 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,208,381 |  |  |  | 1,210,088 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 1,504,900 |  |  |  | 1,507,026 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 367,650 |  |  |  | 368,169 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 310,719 |  |  |  | 311,158 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 407,813 |  |  |  | 408,389 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 277,313 |  |  |  | 277,704 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 09/09/20 |  |  |  | Open |  |  |  | 312,075 |  |  |  | 312,516 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.25 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 746,415 |  |  |  | 749,318 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 524,700 |  |  |  | 525,435 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 879,856 |  |  |  | 881,088 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 1,051,850 |  |  |  | 1,053,323 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 3,333,750 |  |  |  | 3,338,417 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 925,062 |  |  |  | 926,358 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 303,100 |  |  |  | 303,524 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 3,780,000 |  |  |  | 3,785,292 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 171,600 |  |  |  | 171,840 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 2,377,897 |  |  |  | 2,382,928 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 924,262 |  |  |  | 926,218 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 1,980,390 |  |  |  | 1,984,580 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 1,102,995 |  |  |  | 1,105,328 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 887,075 |  |  |  | 889,145 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.85 | (b) |  |  | 09/10/20 |  |  |  | Open |  |  |  | 3,614,290 |  |  |  | 3,623,848 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 09/11/20 |  |  |  | Open |  |  |  | 1,093,625 |  |  |  | 1,096,440 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.55 | (b) |  |  | 09/14/20 |  |  |  | Open |  |  |  | 832,762 |  |  |  | 834,137 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 09/15/20 |  |  |  | Open |  |  |  | 662,915 |  |  |  | 664,590 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 09/15/20 |  |  |  | Open |  |  |  | 602,650 |  |  |  | 604,173 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.60 | (b) |  |  | 09/16/20 |  |  |  | Open |  |  |  | 1,126,710 |  |  |  | 1,128,701 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/18/20 |  |  |  | Open |  |  |  | 396,000 |  |  |  | 396,763 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 1,564,901 |  |  |  | 1,567,096 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 1,544,375 |  |  |  | 1,546,541 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 552,606 |  |  |  | 553,381 |  |  | Corporate Bonds |  |  | Open/Demand |

84 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
Barclays Capital, Inc. |  |  | 0.80 | %(b) |  |  | 09/21/20 |  |  |  | Open |  |  | $ | 1,208,962 |  |  | $ | 1,211,676 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 2,025,000 |  |  |  | 2,029,545 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 1,280,200 |  |  |  | 1,283,073 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 365,859 |  |  |  | 366,680 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 449,068 |  |  |  | 450,075 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.48 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 299,406 |  |  |  | 299,809 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.10 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 251,501 |  |  |  | 251,572 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 514,924 |  |  |  | 516,152 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 1,480,080 |  |  |  | 1,483,610 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 254,678 |  |  |  | 255,285 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/21/20 |  |  |  | Open |  |  |  | 410,670 |  |  |  | 411,649 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 760,550 |  |  |  | 761,596 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 791,475 |  |  |  | 792,563 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 421,520 |  |  |  | 422,447 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 429,709 |  |  |  | 430,654 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 814,800 |  |  |  | 816,593 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 1,182,455 |  |  |  | 1,185,056 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 250,543 |  |  |  | 251,094 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 586,380 |  |  |  | 587,670 |  |  | Corporate Bonds |  |  | Open/Demand |
J.P. Morgan Securities LLC |  |  | 0.75 | (b) |  |  | 09/23/20 |  |  |  | Open |  |  |  | 202,068 |  |  |  | 202,484 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.40 | (b) |  |  | 09/24/20 |  |  |  | Open |  |  |  | 405,845 |  |  |  | 407,392 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 539,907 |  |  |  | 541,047 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 543,375 |  |  |  | 544,307 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 306,400 |  |  |  | 306,926 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 1,511,617 |  |  |  | 1,514,210 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 1,538,945 |  |  |  | 1,541,585 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 274,525 |  |  |  | 274,996 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 5,608,055 |  |  |  | 5,617,674 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 778,750 |  |  |  | 780,086 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 560,065 |  |  |  | 561,026 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 156,040 |  |  |  | 156,308 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 697,190 |  |  |  | 698,386 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 157,000 |  |  |  | 157,269 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 837,606 |  |  |  | 839,043 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 854,846 |  |  |  | 856,313 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 596,850 |  |  |  | 597,874 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 867,162 |  |  |  | 868,650 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 425,163 |  |  |  | 425,892 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 860,792 |  |  |  | 862,337 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 844,305 |  |  |  | 845,820 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 168,768 |  |  |  | 169,070 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 699,255 |  |  |  | 700,547 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 858,219 |  |  |  | 859,804 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 790,519 |  |  |  | 792,083 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 1,587,525 |  |  |  | 1,590,667 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.05 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 1,500,463 |  |  |  | 1,504,621 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 155,570 |  |  |  | 155,919 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 304,780 |  |  |  | 305,464 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 286,440 |  |  |  | 287,082 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 150,715 |  |  |  | 151,053 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/25/20 |  |  |  | Open |  |  |  | 1,706,944 |  |  |  | 1,710,772 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.50 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 738,494 |  |  |  | 739,458 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 164,428 |  |  |  | 164,771 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 529,091 |  |  |  | 530,278 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.45 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 946,000 |  |  |  | 947,112 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 663,810 |  |  |  | 664,937 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 936,230 |  |  |  | 937,819 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 232,785 |  |  |  | 233,180 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 728,495 |  |  |  | 729,731 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 693,500 |  |  |  | 694,677 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 662,435 |  |  |  | 663,559 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 105,261 |  |  |  | 105,440 |  |  | Corporate Bonds |  |  | Open/Demand |

S C H E D U L E O F I N V E S T M E N T S |  | 85

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
BNP Paribas S.A. |  |  | 0.65 | %(b) |  |  | 09/28/20 |  |  |  | Open |  |  | $ | 637,184 |  |  | $ | 638,265 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 475,874 |  |  |  | 476,681 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 661,045 |  |  |  | 662,219 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 570,706 |  |  |  | 571,720 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 246,488 |  |  |  | 246,925 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 1,385,692 |  |  |  | 1,388,225 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/28/20 |  |  |  | Open |  |  |  | 580,550 |  |  |  | 581,611 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/29/20 |  |  |  | Open |  |  |  | 188,000 |  |  |  | 188,319 |  |  | Capital Trusts |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/29/20 |  |  |  | Open |  |  |  | 1,146,600 |  |  |  | 1,149,118 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/29/20 |  |  |  | Open |  |  |  | 619,460 |  |  |  | 620,820 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 09/29/20 |  |  |  | Open |  |  |  | 211,563 |  |  |  | 212,027 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 171,680 |  |  |  | 172,009 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 305,345 |  |  |  | 305,930 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 292,264 |  |  |  | 292,824 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 312,188 |  |  |  | 312,786 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 306,705 |  |  |  | 307,293 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 264,600 |  |  |  | 265,107 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 367,220 |  |  |  | 367,924 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 225,194 |  |  |  | 225,625 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 373,405 |  |  |  | 374,121 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 388,850 |  |  |  | 389,496 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 653,331 |  |  |  | 654,416 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 443,520 |  |  |  | 444,257 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 358,598 |  |  |  | 359,193 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 1,464,960 |  |  |  | 1,467,393 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 400,171 |  |  |  | 400,836 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 483,502 |  |  |  | 484,306 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 601,027 |  |  |  | 602,026 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 497,070 |  |  |  | 497,896 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 522,174 |  |  |  | 523,041 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 593,206 |  |  |  | 594,192 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 565,314 |  |  |  | 566,253 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 337,658 |  |  |  | 338,218 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 375,725 |  |  |  | 376,349 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 406,080 |  |  |  | 406,755 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 350,520 |  |  |  | 351,102 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 297,745 |  |  |  | 298,240 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 357,796 |  |  |  | 358,391 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 503,040 |  |  |  | 503,876 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 212,220 |  |  |  | 212,573 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 274,706 |  |  |  | 275,163 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 648,115 |  |  |  | 649,241 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 383,493 |  |  |  | 384,159 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 538,500 |  |  |  | 539,436 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 319,290 |  |  |  | 319,845 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 179,725 |  |  |  | 180,037 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 463,536 |  |  |  | 464,342 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 825,772 |  |  |  | 827,207 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 554,937 |  |  |  | 555,902 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 675,316 |  |  |  | 676,490 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 506,196 |  |  |  | 507,076 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 530,329 |  |  |  | 531,250 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 439,931 |  |  |  | 440,718 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 603,750 |  |  |  | 604,830 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 394,100 |  |  |  | 394,805 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 108,960 |  |  |  | 109,155 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 352,063 |  |  |  | 352,692 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 693,701 |  |  |  | 694,942 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 819,510 |  |  |  | 820,976 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 416,233 |  |  |  | 416,977 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 751,822 |  |  |  | 753,167 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 633,594 |  |  |  | 634,727 |  |  | Corporate Bonds |  |  | Open/Demand |

86 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
BNP Paribas S.A. |  |  | 0.75 | %(b) |  |  | 09/30/20 |  |  |  | Open |  |  | $ | 386,750 |  |  | $ | 387,491 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 09/30/20 |  |  |  | Open |  |  |  | 470,600 |  |  |  | 471,502 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 10/07/20 |  |  |  | Open |  |  |  | 374,445 |  |  |  | 375,152 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 10/07/20 |  |  |  | Open |  |  |  | 330,006 |  |  |  | 330,785 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. |  |  | 0.55 | (b) |  |  | 10/07/20 |  |  |  | Open |  |  |  | 192,353 |  |  |  | 192,602 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.40 | (b) |  |  | 10/14/20 |  |  |  | Open |  |  |  | 848,012 |  |  |  | 850,585 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 10/22/20 |  |  |  | Open |  |  |  | 650,925 |  |  |  | 651,748 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.75 | (b) |  |  | 10/28/20 |  |  |  | Open |  |  |  | 238,453 |  |  |  | 239,194 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.85 | (b) |  |  | 10/29/20 |  |  |  | Open |  |  |  | 172,834 |  |  |  | 173,091 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.45 | (b) |  |  | 10/29/20 |  |  |  | Open |  |  |  | 7,263 |  |  |  | 7,268 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 10/29/20 |  |  |  | Open |  |  |  | 1,288,127 |  |  |  | 1,290,044 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 10/29/20 |  |  |  | Open |  |  |  | 266,895 |  |  |  | 267,292 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 10/29/20 |  |  |  | Open |  |  |  | 543,097 |  |  |  | 543,905 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.04 | (b) |  |  | 10/29/20 |  |  |  | Open |  |  |  | 222,956 |  |  |  | 223,362 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.45 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 819,067 |  |  |  | 819,712 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 526,680 |  |  |  | 527,371 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 515,280 |  |  |  | 515,956 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 517,252 |  |  |  | 517,796 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 1,052,837 |  |  |  | 1,053,943 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 999,410 |  |  |  | 1,000,459 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 402,050 |  |  |  | 402,472 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 786,544 |  |  |  | 787,411 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 703,352 |  |  |  | 704,128 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 395,931 |  |  |  | 396,368 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 10/30/20 |  |  |  | Open |  |  |  | 502,967 |  |  |  | 503,522 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/02/20 |  |  |  | Open |  |  |  | 718,925 |  |  |  | 719,691 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 11/17/20 |  |  |  | Open |  |  |  | 78,209 |  |  |  | 78,274 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/18/20 |  |  |  | Open |  |  |  | 935,195 |  |  |  | 935,921 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.00 | (b) |  |  | 11/19/20 |  |  |  | Open |  |  |  | 1,538,384 |  |  |  | 1,540,179 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 11/20/20 |  |  |  | Open |  |  |  | 181,646 |  |  |  | 181,780 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 11/20/20 |  |  |  | Open |  |  |  | 286,125 |  |  |  | 286,342 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 11/23/20 |  |  |  | Open |  |  |  | 321,080 |  |  |  | 321,334 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 11/24/20 |  |  |  | Open |  |  |  | 331,626 |  |  |  | 331,831 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.68 | (b) |  |  | 11/24/20 |  |  |  | Open |  |  |  | 1,188,937 |  |  |  | 1,189,768 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 332,710 |  |  |  | 332,953 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 372,930 |  |  |  | 373,217 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 349,196 |  |  |  | 349,465 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 785,439 |  |  |  | 786,044 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.15 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 1,758,375 |  |  |  | 1,758,597 |  |  | U.S. Treasury Obligations |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 356,265 |  |  |  | 356,503 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 371,018 |  |  |  | 371,265 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 395,720 |  |  |  | 395,984 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 621,981 |  |  |  | 622,397 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 364,800 |  |  |  | 365,044 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 554,925 |  |  |  | 555,276 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 197,168 |  |  |  | 197,292 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 231,371 |  |  |  | 231,517 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 381,500 |  |  |  | 381,755 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 348,705 |  |  |  | 348,938 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 464,400 |  |  |  | 464,710 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 431,833 |  |  |  | 432,121 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 359,100 |  |  |  | 359,340 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.70 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 352,925 |  |  |  | 353,179 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 147,960 |  |  |  | 148,068 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.13 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 8,513,000 |  |  |  | 8,513,993 |  |  | U.S. Treasury Obligations |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 0.13 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 6,881,000 |  |  |  | 6,881,803 |  |  | U.S. Treasury Obligations |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 11/25/20 |  |  |  | Open |  |  |  | 668,980 |  |  |  | 669,533 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 11/30/20 |  |  |  | Open |  |  |  | 995,959 |  |  |  | 996,516 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.55 | (b) |  |  | 11/30/20 |  |  |  | Open |  |  |  | 1,288,560 |  |  |  | 1,289,170 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 2,773,750 |  |  |  | 2,775,458 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 1,103,051 |  |  |  | 1,103,718 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 356,570 |  |  |  | 356,778 |  |  | Corporate Bonds |  |  | Open/Demand |

S C H E D U L E O F I N V E S T M E N T S |  | 87

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
Barclays Capital, Inc. |  |  | 0.75 | %(b) |  |  | 12/03/20 |  |  |  | Open |  |  | $ | 440,368 |  |  | $ | 440,624 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 410,673 |  |  |  | 410,912 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 1,056,825 |  |  |  | 1,057,441 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 384,548 |  |  |  | 384,772 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 349,440 |  |  |  | 349,644 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 353,906 |  |  |  | 354,071 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 371,700 |  |  |  | 371,882 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 332,045 |  |  |  | 332,208 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 609,127 |  |  |  | 609,426 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 291,563 |  |  |  | 291,710 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.69 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 1,738,497 |  |  |  | 1,739,464 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.69 | (b) |  |  | 12/03/20 |  |  |  | Open |  |  |  | 317,411 |  |  |  | 317,582 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 332,120 |  |  |  | 332,293 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 450,881 |  |  |  | 451,116 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 454,990 |  |  |  | 455,227 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 322,163 |  |  |  | 322,330 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 274,680 |  |  |  | 274,823 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 535,350 |  |  |  | 535,629 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 377,685 |  |  |  | 377,882 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 466,785 |  |  |  | 466,996 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 578,611 |  |  |  | 578,872 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 1,113,750 |  |  |  | 1,114,253 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 590,537 |  |  |  | 590,804 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 538,687 |  |  |  | 538,931 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 606,937 |  |  |  | 607,211 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 342,700 |  |  |  | 342,855 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 400,431 |  |  |  | 400,612 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 408,531 |  |  |  | 408,744 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 352,681 |  |  |  | 352,865 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 346,133 |  |  |  | 346,337 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 884,214 |  |  |  | 884,736 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 12/04/20 |  |  |  | Open |  |  |  | 1,051,750 |  |  |  | 1,052,371 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/07/20 |  |  |  | Open |  |  |  | 264,399 |  |  |  | 264,531 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/07/20 |  |  |  | Open |  |  |  | 307,125 |  |  |  | 307,258 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.05 | (b) |  |  | 12/07/20 |  |  |  | Open |  |  |  | 355,315 |  |  |  | 355,564 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 0.85 | (b) |  |  | 12/07/20 |  |  |  | Open |  |  |  | 118,671 |  |  |  | 118,738 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/08/20 |  |  |  | Open |  |  |  | 398,738 |  |  |  | 398,929 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/08/20 |  |  |  | Open |  |  |  | 437,441 |  |  |  | 437,651 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.25 | (b) |  |  | 12/08/20 |  |  |  | Open |  |  |  | 281,531 |  |  |  | 281,756 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 281,348 |  |  |  | 281,476 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 211,739 |  |  |  | 211,836 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 193,000 |  |  |  | 193,088 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 231,458 |  |  |  | 231,564 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 187,000 |  |  |  | 187,086 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 434,280 |  |  |  | 434,479 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 324,375 |  |  |  | 324,524 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 524,380 |  |  |  | 524,620 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 227,855 |  |  |  | 227,959 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 415,543 |  |  |  | 415,695 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 184,250 |  |  |  | 184,318 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 196,994 |  |  |  | 197,066 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.60 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 188,750 |  |  |  | 188,819 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 245,119 |  |  |  | 245,213 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 242,436 |  |  |  | 242,530 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 239,078 |  |  |  | 239,170 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 235,268 |  |  |  | 235,358 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 235,903 |  |  |  | 235,993 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.63 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 489,255 |  |  |  | 489,443 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 233,163 |  |  |  | 233,255 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 319,988 |  |  |  | 320,115 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.73 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 142,800 |  |  |  | 142,864 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.75 | (b) |  |  | 12/09/20 |  |  |  | Open |  |  |  | 165,440 |  |  |  | 165,516 |  |  | Corporate Bonds |  |  | Open/Demand |

88 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
Barclays Capital, Inc. |  |  | 0.70 | %(b) |  |  | 12/10/20 |  |  |  | Open |  |  | $ | 1,289,086 |  |  | $ | 1,290,351 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 0.80 | (b) |  |  | 12/11/20 |  |  |  | Open |  |  |  | 366,988 |  |  |  | 367,134 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 0.65 | (b) |  |  | 12/17/20 |  |  |  | Open |  |  |  | 452,741 |  |  |  | 452,864 |  |  | Corporate Bonds |  |  | Open/Demand |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 274,447,814 |  |  | $ | 275,105,145 |  |  |  |  |  |  |

| (a) | Certain agreements have no stated maturity and can be terminated by either party at any time. |

| (b) | Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Notional Amount (000) |  |  | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Ultra Note |  |  | 261 |  |  |  | 03/22/21 |  |  | $ | 40,810 |  |  | $ | (103,797 | )
2-Year U.S. Treasury Notes |  |  | 512 |  |  |  | 03/31/21 |  |  |  | 113,140 |  |  |  | 108,873 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 5,076 |
Short Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Treasury Note |  |  | 350 |  |  |  | 03/22/21 |  |  |  | 48,327 |  |  |  | (70,643 | )
Long U.S. Treasury Bond |  |  | 34 |  |  |  | 03/22/21 |  |  |  | 5,888 |  |  |  | 58,705 |
U.S. Treasury Ultra Bond |  |  | 64 |  |  |  | 03/22/21 |  |  |  | 13,668 |  |  |  | 3,292 |
5-Year U.S. Treasury Note |  |  | 334 |  |  |  | 03/31/21 |  |  |  | 42,139 |  |  |  | (102,532 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | (111,178 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (106,102 | )

Forward Foreign Currency Exchange Contracts

Currency Purchased |  | Currency Sold |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |
USD |  | 508,220 |  | EUR |  | 415,000 |  | UBS AG |  |  | 02/03/21 |  |  | $ | 880 |
USD |  | 4,868,501 |  | EUR |  | 3,975,500 |  | UBS AG |  |  | 02/03/21 |  |  |  | 8,432 |
EUR |  | 3,740,000 |  | USD |  | 4,541,026 |  | Natwest Markets PLC |  |  | 03/17/21 |  |  |  | 35,374 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 44,686 |
EUR |  | 415,000 |  | USD |  | 507,877 |  | UBS AG |  |  | 01/06/21 |  |  |  | (877 | )
EUR |  | 3,975,500 |  | USD |  | 4,865,217 |  | UBS AG |  |  | 01/06/21 |  |  |  | (8,405 | )
USD |  | 4,897,146 |  | EUR |  | 4,107,500 |  | BNP Paribas S.A. |  |  | 01/06/21 |  |  |  | (120,928 | )
USD |  | 110,870 |  | EUR |  | 93,000 |  | Deutsche Bank AG |  |  | 01/06/21 |  |  |  | (2,747 | )
USD |  | 27,870 |  | EUR |  | 23,000 |  | Morgan Stanley & Co. International PLC |  |  | 01/06/21 |  |  |  | (228 | )
USD |  | 115,984 |  | EUR |  | 96,000 |  | Morgan Stanley & Co. International PLC |  |  | 01/06/21 |  |  |  | (1,298 | )
USD |  | 120,840 |  | EUR |  | 100,000 |  | Morgan Stanley & Co. International PLC |  |  | 01/06/21 |  |  |  | (1,329 | )
USD |  | 494,795 |  | EUR |  | 415,000 |  | Standard Chartered Bank |  |  | 01/06/21 |  |  |  | (12,204 | )
USD |  | 497,002 |  | EUR |  | 415,000 |  | UBS AG |  |  | 01/06/21 |  |  |  | (9,997 | )
USD |  | 4,919,126 |  | EUR |  | 4,107,500 |  | UBS AG |  |  | 01/06/21 |  |  |  | (98,949 | )
USD |  | 869,938 |  | GBP |  | 651,000 |  | BNP Paribas S.A. |  |  | 01/06/21 |  |  |  | (20,316 | )
USD |  | 6,274,941 |  | GBP |  | 4,697,000 |  | Citibank N.A. |  |  | 01/06/21 |  |  |  | (148,284 | )
USD |  | 1,300,187 |  | GBP |  | 973,000 |  | Standard Chartered Bank |  |  | 01/06/21 |  |  |  | (30,407 | )
EUR |  | 3,710,000 |  | USD |  | 4,556,027 |  | JPMorgan Chase Bank N.A. |  |  | 03/17/21 |  |  |  | (16,337 | )
USD |  | 4,557,867 |  | EUR |  | 3,740,000 |  | Bank of America N.A. |  |  | 03/17/21 |  |  |  | (18,532 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | (490,838 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (446,152 | )

S C H E D U L E O F I N V E S T M E N T S |  | 89

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Exchange-Traded Options Purchased

Description |  | Number of Contracts |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
90-Day Euro Future |  | 392 |  |  | 12/13/21 |  |  |  | USD |  |  |  | 99.75 |  |  |  | USD |  |  |  | 39,118 |  |  | $ | 68,600 |
Put |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Treasury Note |  | 90 |  |  | 01/22/21 |  |  |  | USD |  |  |  | 137.50 |  |  |  | USD |  |  |  | 12,427 |  |  |  | 25,312 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 93,912 |

OTC Interest Rate Swaptions Purchased

|  | Paid by the Fund |  | Received by the Fund |  |  |  | Expiration |  |  | Exercise |  |  | Notional |  |  |  |
Description |  | Rate |  |  | Frequency |  | Rate |  |  | Frequency |  | Counterparty |  | Date |  |  | Rate |  |  | Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
1-Year Interest Rate Swap, 11/27/25 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.82% |  |  | Semi-Annual |  | JPMorgan Chase Bank N.A. |  |  | 11/25/24 |  |  |  | 0.82 | % |  |  | USD |  |  |  | 11,710 |  |  | $ | 45,150 |
1-Year Interest Rate Swap, 12/04/25 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.87% |  |  | Semi-Annual |  | Bank of America N.A. |  |  | 12/02/24 |  |  |  | 0.87 |  |  |  | USD |  |  |  | 11,750 |  |  |  | 48,168 |
10-Year Interest Rate Swap, 08/09/35 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.91% |  |  | Semi-Annual |  | Morgan Stanley & Co. International PLC |  |  | 08/07/25 |  |  |  | 0.91 |  |  |  | USD |  |  |  | 2,050 |  |  |  | 50,772 |
10-Year Interest Rate Swap, 08/09/35 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.91% |  |  | Semi-Annual |  | Morgan Stanley & Co. International PLC |  |  | 08/07/25 |  |  |  | 0.91 |  |  |  | USD |  |  |  | 1,370 |  |  |  | 33,931 |
10-Year Interest Rate Swap, 08/09/40 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.05% |  |  | Semi-Annual |  | Morgan Stanley & Co. International PLC |  |  | 08/07/30 |  |  |  | 1.05 |  |  |  | USD |  |  |  | 1,510 |  |  |  | 56,251 |
10-Year Interest Rate Swap, 08/09/50 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.91% |  |  | Semi-Annual |  | Morgan Stanley & Co. International PLC |  |  | 08/07/40 |  |  |  | 0.91 |  |  |  | USD |  |  |  | 1,160 |  |  |  | 53,762 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 288,034 |
Put |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year Interest Rate Swap, 08/29/31 |  |  | 1.20% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Deutsche Bank AG |  |  | 08/27/21 |  |  |  | 1.20 |  |  |  | USD |  |  |  | 60,410 |  |  |  | 750,374 |
1-Year Interest Rate Swap, 11/27/25 |  |  | 0.82% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  |  | 11/25/24 |  |  |  | 0.82 |  |  |  | USD |  |  |  | 11,710 |  |  |  | 45,017 |
1-Year Interest Rate Swap, 12/04/25 |  |  | 0.87% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Bank of America N.A. |  |  | 12/02/24 |  |  |  | 0.87 |  |  |  | USD |  |  |  | 11,750 |  |  |  | 42,925 |
10-Year Interest Rate Swap, 08/09/35 |  |  | 0.91% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Morgan Stanley & Co. International PLC |  |  | 08/07/25 |  |  |  | 0.91 |  |  |  | USD |  |  |  | 1,370 |  |  |  | 116,786 |
10-Year Interest Rate Swap, 08/09/35 |  |  | 0.91% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Morgan Stanley & Co. International PLC |  |  | 08/07/25 |  |  |  | 0.91 |  |  |  | USD |  |  |  | 2,050 |  |  |  | 174,753 |
10-Year Interest Rate Swap, 08/09/40 |  |  | 1.05% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Morgan Stanley & Co. International PLC |  |  | 08/07/30 |  |  |  | 1.05 |  |  |  | USD |  |  |  | 1,510 |  |  |  | 148,963 |
10-Year Interest Rate Swap, 08/09/50 |  |  | 0.91% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Morgan Stanley & Co. International PLC |  |  | 08/07/40 |  |  |  | 0.91 |  |  |  | USD |  |  |  | 1,160 |  |  |  | 116,029 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,394,847 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 1,682,881 |

Exchange-Traded Options Written

Description |  | Number of Contracts |  | Expiration Date |  |  | Exercise Price |  |  | Notional Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
90-Day Euro Future |  | 224 |  |  | 12/13/21 |  |  |  | USD |  |  |  | 99.38 |  |  |  | USD |  |  |  | 22,353 |  |  | $ | (236,600 | )
90-Day Euro Future |  | 112 |  |  | 12/13/21 |  |  |  | USD |  |  |  | 100.00 |  |  |  | USD |  |  |  | 11,176 |  |  |  | (3,500 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (240,100 | )
Put |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Treasury Note |  | 90 |  |  | 01/22/21 |  |  |  | USD |  |  |  | 136.50 |  |  |  | USD |  |  |  | 12,427 |  |  |  | (7,031 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (247,131 | )

90 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

OTC Interest Rate Swaptions Written

|  | Paid by the Fund |  | Received by the Fund |  |  |  | Expiration |  |  | Exercise |  |  |  |  |  | Notional |  |  |  |
Description |  | Rate |  |  | Frequency |  | Rate |  |  | Frequency |  | Counterparty |  | Date |  |  | Rate |  |  | Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5-Year Interest Rate Swap, 01/21/26 |  |  | 0.48% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Deutsche Bank AG |  |  | 01/19/21 |  |  |  | 0.48 | % |  |  | USD |  |  |  | 5,220 |  |  | $ | (15,128 | )
10-Year Interest Rate Swap, 08/11/31 |  |  | 0.63% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Deutsche Bank AG |  |  | 08/09/21 |  |  |  | 0.63 |  |  |  | USD |  |  |  | 26,780 |  |  |  | (151,550 | )
10-Year Interest Rate Swap, 08/29/31 |  |  | 0.60% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Deutsche Bank AG |  |  | 08/27/21 |  |  |  | 0.60 |  |  |  | USD |  |  |  | 60,410 |  |  |  | (326,442 | )
10-Year Interest Rate Swap, 10/02/31 |  |  | 0.45% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Bank of America N.A. |  |  | 09/30/21 |  |  |  | 0.45 |  |  |  | USD |  |  |  | 2,170 |  |  |  | (8,396 | )
10-Year Interest Rate Swap, 08/10/32 |  |  | 0.72% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Deutsche Bank AG |  |  | 08/08/22 |  |  |  | 0.72 |  |  |  | USD |  |  |  | 1,060 |  |  |  | (13,453 | )
5-Year Interest Rate Swap, 08/10/27 |  |  | (0.02% | ) |  | Annual |  |  | 6-Month EURIBOR, (0.53%) |  |  | Semi-Annual |  | Barclays Bank PLC |  |  | 08/08/22 |  |  |  | (0.02 | ) |  |  | EUR |  |  |  | 14,580 |  |  |  | (369,075 | )
10-Year Interest Rate Swap, 10/13/32 |  |  | 1.06% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Deutsche Bank AG |  |  | 10/11/22 |  |  |  | 1.06 |  |  |  | USD |  |  |  | 1,875 |  |  |  | (46,712 | )
10-Year Interest Rate Swap, 12/17/32 |  |  | 1.23% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Barclays Bank PLC |  |  | 12/15/22 |  |  |  | 1.23 |  |  |  | USD |  |  |  | 3,485 |  |  |  | (113,069 | )
10-Year Interest Rate Swap, 12/18/32 |  |  | 1.23% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Goldman Sachs Bank USA |  |  | 12/16/22 |  |  |  | 1.23 |  |  |  | USD |  |  |  | 1,742 |  |  |  | (57,180 | )
10-Year Interest Rate Swap, 12/18/32 |  |  | 1.25% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Goldman Sachs Bank USA |  |  | 12/16/22 |  |  |  | 1.25 |  |  |  | USD |  |  |  | 1,743 |  |  |  | (58,272 | )
10-Year Interest Rate Swap, 01/01/33 |  |  | 1.25% |  |  | Semi-Annual |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  | Citibank N.A. |  |  | 12/30/22 |  |  |  | 1.25 |  |  |  | USD |  |  |  | 1,930 |  |  |  | (65,373 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (1,224,650 | )
Put |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5-Year Interest Rate Swap, 01/21/26 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.48% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 01/19/21 |  |  |  | 0.48 |  |  |  | USD |  |  |  | 5,220 |  |  |  | (3,869 | )
10-Year Interest Rate Swap, 08/11/31 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.63% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 08/09/21 |  |  |  | 0.63 |  |  |  | USD |  |  |  | 26,780 |  |  |  | (1,150,746 | )
10-Year Interest Rate Swap, 08/11/31 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.00% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 08/09/21 |  |  |  | 1.00 |  |  |  | USD |  |  |  | 14,360 |  |  |  | (276,708 | )
2-Year Interest Rate Swap, 08/11/23 |  |  | 6-Month EURIBOR, (0.53%) |  |  | Semi-Annual |  |  | (0.25% | ) |  | Annual |  | Barclays Bank PLC |  |  | 08/09/21 |  |  |  | (0.25 | ) |  |  | EUR |  |  |  | 68,730 |  |  |  | (11,081 | )
5-Year Interest Rate Swap, 09/05/26 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.60% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 09/03/21 |  |  |  | 0.60 |  |  |  | USD |  |  |  | 6,900 |  |  |  | (38,851 | )
10-Year Interest Rate Swap, 10/02/31 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.45% |  |  | Semi-Annual |  | Bank of America N.A. |  |  | 09/30/21 |  |  |  | 1.45 |  |  |  | USD |  |  |  | 4,340 |  |  |  | (33,563 | )
10-Year Interest Rate Swap, 11/06/31 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.15% |  |  | Semi-Annual |  | Goldman Sachs Bank USA |  |  | 11/04/21 |  |  |  | 1.15 |  |  |  | USD |  |  |  | 4,885 |  |  |  | (86,369 | )
10-Year Interest Rate Swap, 02/09/32 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.68% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 02/07/22 |  |  |  | 0.68 |  |  |  | USD |  |  |  | 7,000 |  |  |  | (347,729 | )
10-Year Interest Rate Swap, 08/10/32 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 0.72% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 08/08/22 |  |  |  | 0.72 |  |  |  | USD |  |  |  | 1,060 |  |  |  | (60,240 | )
5-Year Interest Rate Swap, 08/10/27 |  |  | 6-Month EURIBOR, (0.53%) |  |  | Semi-Annual |  |  | (0.02% | ) |  | Annual |  | Barclays Bank PLC |  |  | 08/08/22 |  |  |  | (0.02 | ) |  |  | EUR |  |  |  | 14,580 |  |  |  | (45,054 | )
10-Year Interest Rate Swap, 10/13/32 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.06% |  |  | Semi-Annual |  | Deutsche Bank AG |  |  | 10/11/22 |  |  |  | 1.06 |  |  |  | USD |  |  |  | 1,875 |  |  |  | (71,543 | )
10-Year Interest Rate Swap, 12/17/32 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.23% |  |  | Semi-Annual |  | Barclays Bank PLC |  |  | 12/15/22 |  |  |  | 1.23 |  |  |  | USD |  |  |  | 3,485 |  |  |  | (114,942 | )
10-Year Interest Rate Swap, 12/18/32 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.23% |  |  | Semi-Annual |  | Goldman Sachs Bank USA |  |  | 12/16/22 |  |  |  | 1.23 |  |  |  | USD |  |  |  | 1,742 |  |  |  | (56,912 | )
10-Year Interest Rate Swap, 12/18/32 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.25% |  |  | Semi-Annual |  | Goldman Sachs Bank USA |  |  | 12/16/22 |  |  |  | 1.25 |  |  |  | USD |  |  |  | 1,743 |  |  |  | (55,912 | )
10-Year Interest Rate Swap, 01/01/33 |  |  | 3-Month LIBOR, 0.24% |  |  | Quarterly |  |  | 1.25% |  |  | Semi-Annual |  | Citibank N.A. |  |  | 12/30/22 |  |  |  | 1.25 |  |  |  | USD |  |  |  | 1,930 |  |  |  | (62,271 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (2,415,790 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,640,440 | )

S C H E D U L E O F I N V E S T M E N T S |  | 91

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Obligation/Index |  | Financing Rate Paid by the Fund |  |  | Payment Frequency |  |  | Termination Date |  |  | Notional Amount (000) |  |  | Value |  |  | Upfront Premium Paid (Received) |  |  | Unrealized Appreciation (Depreciation) |
CDX.NA.IG.34.V1 |  |  | 1.00 | % |  |  | Quarterly |  |  |  | 06/20/25 |  |  | USD | 4,942 |  |  | $ | (82,397 | ) |  | $ | (71,808 | ) |  | $ | (10,589 | )
CDX.NA.HY.IG.35.V1 |  |  | 5.00 |  |  |  | Quarterly |  |  |  | 12/20/25 |  |  | USD | 6,125 |  |  |  | (582,300 | ) |  |  | (361,039 | ) |  |  | (221,261 | )
CDX.NA.IG.35.V1 |  |  | 1.00 |  |  |  | Quarterly |  |  |  | 12/20/25 |  |  | USD | 29,144 |  |  |  | (724,429 | ) |  |  | (606,793 | ) |  |  | (117,636 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (1,389,126 | ) |  | $ | (1,039,640 | ) |  | $ | (349,486 | )

Centrally Cleared Interest Rate Swaps

Paid by the Fund |  | Received by the Fund |  | Effective |  |  | Termination |  |  | Notional |  |  |  |  |  | Upfront Premium Paid |  |  | Unrealized Appreciation |
Rate |  | Frequency |  | Rate |  | Frequency |  | Date |  |  | Date |  |  | Amount (000) |  |  | Value |  |  | (Received) |  |  | (Depreciation) |
0.24% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 04/06/21 | (a) |  |  | 12/15/22 |  |  | USD |  |  | 11,850 |  |  | $ | (13,238 | ) |  | $ | 53 |  |  | $ | (13,291 | )
0.26% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 04/06/21 | (a) |  |  | 12/15/22 |  |  | USD |  |  | 23,870 |  |  |  | (33,001 | ) |  |  | (158 | ) |  |  | (32,843 | )
(0.41%) |  | Annual |  | 6-Month EURIBOR, (0.53%) |  | Semi-Annual |  |  | 02/16/21 | (a) |  |  | 02/16/23 |  |  | EUR |  |  | 4,930 |  |  |  | (14,247 | ) |  |  | 27 |  |  |  | (14,274 | )
(0.40%) |  | Annual |  | 6-Month EURIBOR, (0.53%) |  | Semi-Annual |  |  | 02/16/21 | (a) |  |  | 02/16/23 |  |  | EUR |  |  | 4,920 |  |  |  | (14,521 | ) |  |  | 28 |  |  |  | (14,549 | )
(0.42%) |  | Annual |  | 6-Month EURIBOR, (0.53%) |  | Semi-Annual |  |  | 08/12/21 | (a) |  |  | 08/14/23 |  |  | EUR |  |  | 3,790 |  |  |  | (9,136 | ) |  |  | 21 |  |  |  | (9,157 | )
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.47%) |  | Annual |  |  | 09/13/21 | (a) |  |  | 09/13/23 |  |  | EUR |  |  | 1,690 |  |  |  | 1,775 |  |  |  | 9 |  |  |  | 1,766 |
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.43%) |  | Annual |  |  | N/A |  |  |  | 09/22/25 |  |  | EUR |  |  | 930 |  |  |  | 2,332 |  |  |  | (340 | ) |  |  | 2,672 |
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.44%) |  | Annual |  |  | N/A |  |  |  | 09/23/25 |  |  | EUR |  |  | 950 |  |  |  | 1,679 |  |  |  | 10 |  |  |  | 1,669 |
0.35% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/01/25 |  |  | USD |  |  | 1,220 |  |  |  | 2,946 |  |  |  | 10 |  |  |  | 2,936 |
3-Month LIBOR, 0.24% |  | Quarterly |  | 0.45% |  | Semi-Annual |  |  | N/A |  |  |  | 11/12/25 |  |  | USD |  |  | 7,030 |  |  |  | 13,902 |  |  |  | 66 |  |  |  | 13,836 |
(0.26%) |  | Annual |  | 6-Month EURIBOR, (0.53%) |  | Semi-Annual |  |  | 08/16/22 | (a) |  |  | 08/16/27 |  |  | EUR |  |  | 970 |  |  |  | (6,972 | ) |  |  | 13 |  |  |  | (6,985 | )
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.25%) |  | Annual |  |  | 08/16/22 | (a) |  |  | 08/16/27 |  |  | EUR |  |  | 1,940 |  |  |  | 14,918 |  |  |  | 26 |  |  |  | 14,892 |
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.24%) |  | Annual |  |  | 08/16/22 | (a) |  |  | 08/16/27 |  |  | EUR |  |  | 1,940 |  |  |  | 15,709 |  |  |  | 26 |  |  |  | 15,683 |
0.50% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 08/19/27 |  |  | USD |  |  | 80 |  |  |  | 506 |  |  |  | 1 |  |  |  | 505 |
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.28%) |  | Annual |  |  | 09/19/22 | (a) |  |  | 09/20/27 |  |  | EUR |  |  | 890 |  |  |  | 4,665 |  |  |  | (259 | ) |  |  | 4,924 |
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.40%) |  | Annual |  |  | 10/18/22 | (a) |  |  | 10/18/27 |  |  | EUR |  |  | 410 |  |  |  | (902 | ) |  |  | 6 |  |  |  | (908 | )
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.36%) |  | Annual |  |  | 10/18/22 | (a) |  |  | 10/18/27 |  |  | EUR |  |  | 1,200 |  |  |  | 336 |  |  |  | 16 |  |  |  | 320 |
6-Month EURIBOR, (0.53%) |  | Semi-Annual |  | (0.36%) |  | Annual |  |  | 12/12/22 | (a) |  |  | 12/13/27 |  |  | EUR |  |  | 970 |  |  |  | (488 | ) |  |  | 13 |  |  |  | (501 | )
3-Month LIBOR, 0.24% |  | Quarterly |  | 0.71% |  | Semi-Annual |  |  | 08/14/23 | (a) |  |  | 08/14/28 |  |  | USD |  |  | 7,130 |  |  |  | (102,539 | ) |  |  | 65 |  |  |  | (102,604 | )
3-Month LIBOR, 0.24% |  | Quarterly |  | 1.57% |  | Semi-Annual |  |  | N/A |  |  |  | 02/11/30 |  |  | USD |  |  | 5 |  |  |  | 347 |  |  |  | 192 |  |  |  | 155 |
0.96% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 03/31/21 | (a) |  |  | 08/15/30 |  |  | USD |  |  | 1,960 |  |  |  | (7,274 | ) |  |  | 32 |  |  |  | (7,306 | )
0.80% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/08/30 |  |  | USD |  |  | 1,520 |  |  |  | 15,219 |  |  |  | 24 |  |  |  | 15,195 |
0.53% |  | Quarterly |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/21/30 |  |  | USD |  |  | 25 |  |  |  | 358 |  |  |  | — |  |  |  | 358 |
3-Month LIBOR, 0.24% |  | Quarterly |  | 0.56% |  | Quarterly |  |  | N/A |  |  |  | 10/21/30 |  |  | USD |  |  | 25 |  |  |  | (387 | ) |  |  | — |  |  |  | (387 | )
0.90% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/28/30 |  |  | USD |  |  | 890 |  |  |  | 606 |  |  |  | 14 |  |  |  | 592 |
0.90% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/28/30 |  |  | USD |  |  | 890 |  |  |  | 781 |  |  |  | 14 |  |  |  | 767 |
0.88% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 11/04/30 |  |  | USD |  |  | 680 |  |  |  | 1,601 |  |  |  | 11 |  |  |  | 1,590 |
0.90% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 11/05/30 |  |  | USD |  |  | 1,720 |  |  |  | 1,690 |  |  |  | 28 |  |  |  | 1,662 |
0.95% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 11/12/30 |  |  | USD |  |  | 1,350 |  |  |  | (5,162 | ) |  |  | 22 |  |  |  | (5,184 | )
0.96% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 11/12/30 |  |  | USD |  |  | 2,260 |  |  |  | (10,080 | ) |  |  | 37 |  |  |  | (10,117 | )
0.93% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 11/18/30 |  |  | USD |  |  | 480 |  |  |  | (1,006 | ) |  |  | 8 |  |  |  | (1,014 | )
0.95% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 12/04/30 |  |  | USD |  |  | 890 |  |  |  | (2,659 | ) |  |  | 14 |  |  |  | (2,673 | )
0.98% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 12/09/30 |  |  | USD |  |  | 480 |  |  |  | (2,883 | ) |  |  | 8 |  |  |  | (2,891 | )
0.96% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 12/11/30 |  |  | USD |  |  | 1,100 |  |  |  | (4,257 | ) |  |  | 18 |  |  |  | (4,275 | )
0.95% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 12/30/30 |  |  | USD |  |  | 240 |  |  |  | (540 | ) |  |  | 4 |  |  |  | (544 | )
0.97% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 12/30/30 |  |  | USD |  |  | 830 |  |  |  | (3,262 | ) |  |  | 13 |  |  |  | (3,275 | )
0.86% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 10/04/21 | (a) |  |  | 10/06/31 |  |  | USD |  |  | 190 |  |  |  | 3,557 |  |  |  | 3 |  |  |  | 3,554 |
1.03% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 11/26/21 | (a) |  |  | 11/26/31 |  |  | USD |  |  | 620 |  |  |  | 2,702 |  |  |  | 10 |  |  |  | 2,692 |
0.80% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 02/08/22 | (a) |  |  | 02/09/32 |  |  | USD |  |  | 2,910 |  |  |  | 85,880 |  |  |  | 47 |  |  |  | 85,833 |
0.83% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 08/15/22 | (a) |  |  | 08/16/32 |  |  | USD |  |  | 16,030 |  |  |  | 551,234 |  |  |  | 49,365 |  |  |  | 501,869 |
0.84% |  | Quarterly |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/22/40 |  |  | USD |  |  | 11 |  |  |  | 424 |  |  |  | — |  |  |  | 424 |
3-Month LIBOR, 0.24% |  | Quarterly |  | 0.91% |  | Quarterly |  |  | N/A |  |  |  | 10/22/40 |  |  | USD |  |  | 11 |  |  |  | (415 | ) |  |  | — |  |  |  | (415 | )
3-Month LIBOR, 0.24% |  | Quarterly |  | 0.99% |  | Semi-Annual |  |  | N/A |  |  |  | 08/22/50 |  |  | USD |  |  | 155 |  |  |  | (16,047 | ) |  |  | 5 |  |  |  | (16,052 | )
3-Month LIBOR, 0.24% |  | Quarterly |  | 1.00% |  | Semi-Annual |  |  | N/A |  |  |  | 08/22/50 |  |  | USD |  |  | 155 |  |  |  | (15,625 | ) |  |  | 5 |  |  |  | (15,630 | )
0.91% |  | Quarterly |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | N/A |  |  |  | 10/21/50 |  |  | USD |  |  | 12 |  |  |  | 760 |  |  |  | — |  |  |  | 760 |

92 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Centrally Cleared Interest Rate Swaps (continued)

Paid by the Fund |  | Received by the Fund |  | Effective |  |  | Termination |  |  | Notional |  |  |  |  |  | Upfront Premium Paid |  |  | Unrealized Appreciation |
Rate |  | Frequency |  | Rate |  | Frequency |  | Date |  |  | Date |  |  | Amount (000) |  |  | Value |  |  | (Received) |  |  | (Depreciation) |
3-Month LIBOR, 0.24% |  | Quarterly |  | 0.99% |  | Quarterly |  |  | N/A |  |  |  | 10/21/50 |  |  | USD |  |  | 12 |  |  | $ | (729 | ) |  | $ | — |  |  | $ | (729 | )
1.02% |  | Semi-Annual |  | 3-Month LIBOR, 0.24% |  | Quarterly |  |  | 08/14/23 | (a) |  |  | 08/14/53 |  |  | USD |  |  | 1,320 |  |  |  | 171,195 |  |  |  | 41 |  |  |  | 171,154 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 629,752 |  |  | $ | 49,548 |  |  | $ | 580,204 |

| (a) | Forward Swap. |

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) |
CMBX.NA.9 |  |  | 1.00 | % |  |  | Quarterly |  |  | Citibank N.A. |  |  | 06/20/24 |  |  |  | BBB- |  |  |  | USD |  |  |  | 1,185 |  |  | $ | 18,283 |  |  | $ | (63,545 | ) |  | $ | 81,828 |
Rolls-Royce PLC |  |  | 1.00 |  |  |  | Quarterly |  |  | Citibank N.A. |  |  | 06/20/25 |  |  |  | BB- |  |  |  | EUR |  |  |  | 6 |  |  |  | (610 | ) |  |  | (1,007 | ) |  |  | 397 |
Rolls-Royce PLC |  |  | 1.00 |  |  |  | Quarterly |  |  | Citibank N.A. |  |  | 06/20/25 |  |  |  | BB- |  |  |  | EUR |  |  |  | 14 |  |  |  | (1,336 | ) |  |  | (2,215 | ) |  |  | 879 |
GKN Holdings PLC |  |  | 1.00 |  |  |  | Quarterly |  |  | Citibank N.A. |  |  | 12/20/25 |  |  |  | BB+ |  |  |  | EUR |  |  |  | 10 |  |  |  | (510 | ) |  |  | (517 | ) |  |  | 7 |
CMBX.NA.8 |  |  | 3.00 |  |  |  | Monthly |  |  | Barclays Bank PLC |  |  | 10/17/57 |  |  |  | NR |  |  |  | USD |  |  |  | 5,000 |  |  |  | (788,668 | ) |  |  | (495,518 | ) |  |  | (293,150 | )
CMBX.NA.8 |  |  | 3.00 |  |  |  | Monthly |  |  | Credit Suisse International |  |  | 10/17/57 |  |  |  | NR |  |  |  | USD |  |  |  | 2,500 |  |  |  | (394,335 | ) |  |  | (245,105 | ) |  |  | (149,230 | )
CMBX.NA.8 |  |  | 3.00 |  |  |  | Monthly |  |  | Morgan Stanley & Co. International PLC |  |  | 10/17/57 |  |  |  | NR |  |  |  | USD |  |  |  | 4,450 |  |  |  | (701,915 | ) |  |  | (578,703 | ) |  |  | (123,212 | )
CMBX.NA.9 |  |  | 3.00 |  |  |  | Monthly |  |  | Credit Suisse International |  |  | 09/17/58 |  |  |  | NR |  |  |  | USD |  |  |  | 5,000 |  |  |  | (590,509 | ) |  |  | (531,063 | ) |  |  | (59,446 | )
CMBX.NA.9 |  |  | 3.00 |  |  |  | Monthly |  |  | Credit Suisse International |  |  | 09/17/58 |  |  |  | NR |  |  |  | USD |  |  |  | 5,000 |  |  |  | (590,509 | ) |  |  | (531,063 | ) |  |  | (59,446 | )
CMBX.NA.9 |  |  | 3.00 |  |  |  | Monthly |  |  | Credit Suisse International |  |  | 09/17/58 |  |  |  | NR |  |  |  | USD |  |  |  | 5,000 |  |  |  | (590,509 | ) |  |  | (525,262 | ) |  |  | (65,247 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,640,618 | ) |  | $ | (2,973,998 | ) |  | $ | (666,620 | )

| (a) | Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |

| (b) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

Description |  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |  |  | Value |
Centrally Cleared Swaps(a) |  | $ | 50,305 |  |  | $ | (1,040,397 | ) |  | $ | 845,808 |  |  | $ | (615,090 | ) |  | $ | — |
OTC Swaps |  |  | — |  |  |  | (2,973,998 | ) |  |  | 83,111 |  |  |  | (749,731 | ) |  |  | — |
Options Written |  |  | — |  |  |  | — |  |  |  | 1,082,797 |  |  |  | (728,578 | ) |  |  | (3,887,571 | )

| (a) | Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |

Derivative Financial Instruments Categorized by Risk Exposure

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

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on futures contracts(a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 170,870 |  |  | $ | — |  |  | $ | 170,870 |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 44,686 |  |  |  | — |  |  |  | — |  |  |  | 44,686 |
Options purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments at value — unaffiliated(b) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,776,793 |  |  |  | — |  |  |  | 1,776,793 |

S C H E D U L E O F I N V E S T M E N T S |  | 93

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Derivative Financial Instruments Categorized by Risk Exposure (continued)

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on centrally cleared swaps(a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 845,808 |  |  | $ | — |  |  | $ | 845,808 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | 83,111 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 83,111 |
|  | $ | — |  |  | $ | 83,111 |  |  | $ | — |  |  | $ | 44,686 |  |  | $ | 2,793,471 |  |  | $ | — |  |  | $ | 2,921,268 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on futures contracts(a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 276,972 |  |  | $ | — |  |  | $ | 276,972 |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 490,838 |  |  |  | — |  |  |  | — |  |  |  | 490,838 |
Options written |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Options written at value |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,887,571 |  |  |  | — |  |  |  | 3,887,571 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps(a) |  |  | — |  |  |  | 349,486 |  |  |  | — |  |  |  | — |  |  |  | 265,604 |  |  |  | — |  |  |  | 615,090 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  |  | 3,723,729 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,723,729 |
|  | $ | — |  |  | $ | 4,073,215 |  |  | $ | — |  |  | $ | 490,838 |  |  | $ | 4,430,147 |  |  | $ | — |  |  | $ | 8,994,200 |

| (a) | Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |

| (b) | Includes options purchased at value as reported in the Schedule of Investments. |

For the year ended December 31, 2020, 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 |  | $ | — |  |  | $ | — |  |  | $ | (718 | ) |  | $ | — |  |  | $ | 1,700,332 |  |  | $ | — |  |  | $ | 1,699,614 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (811,544 | ) |  |  | — |  |  |  | — |  |  |  | (811,544 | )
Options purchased(a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 18,559 |  |  |  | — |  |  |  | 18,559 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 901 |  |  |  | — |  |  |  | 901 |
Swaps |  |  | — |  |  |  | 1,348,821 |  |  |  | — |  |  |  | — |  |  |  | (708,609 | ) |  |  | — |  |  |  | 640,212 |
|  | $ | — |  |  | $ | 1,348,821 |  |  | $ | (718 | ) |  | $ | (811,544 | ) |  | $ | 1,011,183 |  |  | $ | — |  |  | $ | 1,547,742 |
Net Change in Unrealized Appreciation (Depreciation) on |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | 35 |  |  | $ | — |  |  | $ | (265,971 | ) |  | $ | — |  |  | $ | (265,936 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,323 |  |  |  | — |  |  |  | — |  |  |  | 3,323 |
Options purchased(b) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 117,924 |  |  |  | — |  |  |  | 117,924 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 296,896 |  |  |  | — |  |  |  | 296,896 |
Swaps |  |  | — |  |  |  | (3,871,659 | ) |  |  | — |  |  |  | — |  |  |  | 580,204 |  |  |  | — |  |  |  | (3,291,455 | )
|  | $ | — |  |  | $ | (3,871,659 | ) |  | $ | 35 |  |  | $ | 3,323 |  |  | $ | 729,053 |  |  | $ | — |  |  | $ | (3,139,248 | )

| (a) | Options purchased are included in net realized gain (loss) from investments — unaffiliated. |

| (b) | Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated. |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts |  |  |  |
Average notional value of contracts — long |  | $ | 171,975,004 |
Average notional value of contracts — short |  | $ | 137,984,209 |
Forward foreign currency exchange contracts |  |  |  |
Average amounts purchased — in USD |  | $ | 51,846,554 |
Average amounts sold — in USD |  | $ | 33,396,775 |
Options |  |  |  |
Average value of option contracts purchased |  | $ | 90,580 |
Average value of option contracts written |  | $ | 160,877 |

94 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Average Quarterly Balances of Outstanding Derivative Financial Instruments (continued)

Average notional value of swaption contracts purchased |  | $ | 48,025,000 |
Average notional value of swaption contracts written |  | $ | 149,552,109 |
Credit default swaps |  |  |  |
Average notional value — buy protection |  | $ | 21,338,747 |
Average notional value — sell protection |  | $ | 36,800,913 |
Interest rate swaps |  |  |  |
Average notional value — pays fixed rate |  | $ | 44,419,002 |
Average notional value — receives fixed rate |  | $ | 19,250,465 |

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

Derivative Financial Instruments — Offsetting as of Period End

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

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Futures contracts |  | $ | 69,093 |  |  | $ | 113,660 |
Forward foreign currency exchange contracts |  |  | 44,686 |  |  |  | 490,838 |
Options |  |  | 1,776,793 | (a) |  |  | 3,887,571 |
Swaps — centrally cleared |  |  | — |  |  |  | 48,935 |
Swaps — OTC(b) |  |  | 83,111 |  |  |  | 3,723,729 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 1,973,683 |  |  |  | 8,264,733 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (163,005 | ) |  |  | (409,726 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 1,810,678 |  |  | $ | 7,855,007 |

| (a) | Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |

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

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

Counterparty |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Net Amount of Derivative Assets | (b)
Bank of America N.A. |  | $ | 91,093 |  |  | $ | (60,491 | ) |  | $ | — |  |  | $ | — |  |  | $ | 30,602 |
Citibank N.A. |  |  | 83,111 |  |  |  | (83,111 | ) |  |  | — |  |  |  | — |  |  |  | — |
Deutsche Bank AG |  |  | 750,374 |  |  |  | (750,374 | ) |  |  | — |  |  |  | — |  |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 90,167 |  |  |  | (16,337 | ) |  |  | — |  |  |  | — |  |  |  | 73,830 |
Morgan Stanley & Co. International PLC |  |  | 751,247 |  |  |  | (704,770 | ) |  |  | — |  |  |  | — |  |  |  | 46,477 |
Natwest Markets PLC |  |  | 35,374 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 35,374 |
UBS AG |  |  | 9,312 |  |  |  | (9,312 | ) |  |  | — |  |  |  | — |  |  |  | — |
|  | $ | 1,810,678 |  |  | $ | (1,624,395 | ) |  | $ | — |  |  | $ | — |  |  | $ | 186,283 |

Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged | (c) |  |  | Net Amount of Derivative Liabilities | (d)
Bank of America N.A. |  | $ | 60,491 |  |  | $ | (60,491 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
Barclays Bank PLC |  |  | 1,441,889 |  |  |  | — |  |  |  | — |  |  |  | (1,441,889 | ) |  |  | — |
BNP Paribas S.A. |  |  | 141,244 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 141,244 |
Citibank N.A. |  |  | 343,212 |  |  |  | (83,111 | ) |  |  | — |  |  |  | — |  |  |  | 260,101 |
Credit Suisse International |  |  | 2,165,862 |  |  |  | — |  |  |  | — |  |  |  | (2,040,000 | ) |  |  | 125,862 |
Deutsche Bank AG |  |  | 2,505,718 |  |  |  | (750,374 | ) |  |  | — |  |  |  | (1,755,344 | ) |  |  | — |
Goldman Sachs Bank USA |  |  | 314,645 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 314,645 |
JPMorgan Chase Bank N.A. |  |  | 16,337 |  |  |  | (16,337 | ) |  |  | — |  |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 704,770 |  |  |  | (704,770 | ) |  |  | — |  |  |  | — |  |  |  | — |

S C H E D U L E O F I N V E S T M E N T S |  | 95

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged | (c) |  |  | Net Amount of Derivative Liabilities | (d)
Standard Chartered Bank |  | $ | 42,611 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 42,611 |
UBS AG |  |  | 118,228 |  |  |  | (9,312 | ) |  |  | — |  |  |  | — |  |  |  | 108,916 |
|  | $ | 7,855,007 |  |  | $ | (1,624,395 | ) |  | $ | — |  |  | $ | (5,237,233 | ) |  | $ | 993,379 |

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

| (b) | Net amount represents the net amount receivable from the counterparty in the event of default. |

| (c) | Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (d) | 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. |

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  | $ | — |  |  | $ | 26,673,450 |  |  | $ | 814,296 |  |  | $ | 27,487,746 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  |  | 38,748 |  |  |  | — |  |  |  | — |  |  |  | 38,748 |
Consumer Finance |  |  | — |  |  |  | 10,993 |  |  |  | — |  |  |  | 10,993 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 5,468 |  |  |  | 5,468 |
Energy Equipment & Services |  |  | — |  |  |  | — |  |  |  | 10,601 |  |  |  | 10,601 |
Health Care Management Services |  |  | — |  |  |  | 8 |  |  |  | — |  |  |  | 8 |
Household Durables |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Media |  |  | 64,203 |  |  |  | — |  |  |  | — |  |  |  | 64,203 |
Metals & Mining |  |  | — |  |  |  | 14,018 |  |  |  | 8,607 |  |  |  | 22,625 |
Oil, Gas & Consumable Fuels |  |  | 16,513 |  |  |  | — |  |  |  | — |  |  |  | 16,513 |
Software |  |  | 364 |  |  |  | — |  |  |  | — |  |  |  | 364 |
Specialty Retail |  |  | — |  |  |  | 85,918 |  |  |  | — |  |  |  | 85,918 |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense |  |  | — |  |  |  | 13,312,439 |  |  |  | — |  |  |  | 13,312,439 |
Air Freight & Logistics |  |  | — |  |  |  | 19,125 |  |  |  | — |  |  |  | 19,125 |
Airlines |  |  | — |  |  |  | 9,987,242 |  |  |  | — |  |  |  | 9,987,242 |
Auto Components |  |  | — |  |  |  | 5,619,361 |  |  |  | — |  |  |  | 5,619,361 |
Automobiles |  |  | — |  |  |  | 10,969,561 |  |  |  | — |  |  |  | 10,969,561 |
Banks |  |  | — |  |  |  | 9,952,547 |  |  |  | — |  |  |  | 9,952,547 |
Beverages |  |  | — |  |  |  | 7,829,409 |  |  |  | — |  |  |  | 7,829,409 |
Biotechnology |  |  | — |  |  |  | 78,698 |  |  |  | — |  |  |  | 78,698 |
Building Materials |  |  | — |  |  |  | 5,173,932 |  |  |  | — |  |  |  | 5,173,932 |
Building Products |  |  | — |  |  |  | 1,913,732 |  |  |  | — |  |  |  | 1,913,732 |
Capital Markets |  |  | — |  |  |  | 3,162,780 |  |  |  | — |  |  |  | 3,162,780 |
Chemicals |  |  | — |  |  |  | 9,626,885 |  |  |  | — |  |  |  | 9,626,885 |
Commercial Services & Supplies |  |  | — |  |  |  | 3,503,363 |  |  |  | — |  |  |  | 3,503,363 |
Communications Equipment |  |  | — |  |  |  | 3,840,693 |  |  |  | — |  |  |  | 3,840,693 |
Construction & Engineering |  |  | — |  |  |  | 826,026 |  |  |  | — |  |  |  | 826,026 |
Construction Materials |  |  | — |  |  |  | 5,572,749 |  |  |  | — |  |  |  | 5,572,749 |
Consumer Discretionary |  |  | — |  |  |  | 1,454,695 |  |  |  | — |  |  |  | 1,454,695 |
Consumer Finance |  |  | — |  |  |  | 9,514,094 |  |  |  | — |  |  |  | 9,514,094 |
Containers & Packaging |  |  | — |  |  |  | 2,437,218 |  |  |  | — |  |  |  | 2,437,218 |
Diversified Consumer Services |  |  | — |  |  |  | 5,631,599 |  |  |  | — |  |  |  | 5,631,599 |
Diversified Financial Services |  |  | — |  |  |  | 11,934,869 |  |  |  | — |  |  |  | 11,934,869 |
Diversified Telecommunication Services |  |  | — |  |  |  | 18,421,058 |  |  |  | — |  |  |  | 18,421,058 |
Education |  |  | — |  |  |  | 207,000 |  |  |  | — |  |  |  | 207,000 |
Electric Utilities |  |  | — |  |  |  | 4,501,189 |  |  |  | — |  |  |  | 4,501,189 |

96 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Corporate Bonds (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Electrical Equipment |  | $ | — |  |  | $ | 507,130 |  |  | $ | — |  |  | $ | 507,130 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 1,599,124 |  |  |  | — |  |  |  | 1,599,124 |
Energy Equipment & Services |  |  | — |  |  |  | 1,652,560 |  |  |  | 130,775 |  |  |  | 1,783,335 |
Environmental, Maintenance, & Security Service |  |  | — |  |  |  | 3,204,543 |  |  |  | — |  |  |  | 3,204,543 |
Equity Real Estate Investment Trusts (REITs) |  |  | — |  |  |  | 9,482,745 |  |  |  | — |  |  |  | 9,482,745 |
Food & Staples Retailing |  |  | — |  |  |  | 9,771,155 |  |  |  | — |  |  |  | 9,771,155 |
Food Products |  |  | — |  |  |  | 5,328,854 |  |  |  | — |  |  |  | 5,328,854 |
Health Care Equipment & Supplies |  |  | — |  |  |  | 3,299,920 |  |  |  | — |  |  |  | 3,299,920 |
Health Care Providers & Services |  |  | — |  |  |  | 22,288,760 |  |  |  | — |  |  |  | 22,288,760 |
Health Care Technology |  |  | — |  |  |  | 4,395,859 |  |  |  | — |  |  |  | 4,395,859 |
Hotels, Restaurants & Leisure |  |  | 29,881 |  |  |  | 28,051,223 |  |  |  | — |  |  |  | 28,081,104 |
Household Durables |  |  | — |  |  |  | 4,183,995 |  |  |  | — |  |  |  | 4,183,995 |
Household Products |  |  | — |  |  |  | 162,449 |  |  |  | — |  |  |  | 162,449 |
Independent Power and Renewable Electricity Producers |  |  | — |  |  |  | 8,144,871 |  |  |  | — |  |  |  | 8,144,871 |
Insurance |  |  | — |  |  |  | 10,794,103 |  |  |  | — |  |  |  | 10,794,103 |
Interactive Media & Services |  |  | — |  |  |  | 3,951,711 |  |  |  | — |  |  |  | 3,951,711 |
Internet Software & Services |  |  | — |  |  |  | 4,472,515 |  |  |  | — |  |  |  | 4,472,515 |
IT Services |  |  | — |  |  |  | 7,638,737 |  |  |  | — |  |  |  | 7,638,737 |
Leisure Products |  |  | — |  |  |  | 1,277,855 |  |  |  | — |  |  |  | 1,277,855 |
Machinery |  |  | — |  |  |  | 4,306,046 |  |  |  | — |  |  |  | 4,306,046 |
Media |  |  | — |  |  |  | 50,813,289 |  |  |  | — |  |  |  | 50,813,289 |
Metals & Mining |  |  | — |  |  |  | 12,323,800 |  |  |  | — |  |  |  | 12,323,800 |
Multi-line Retail |  |  | — |  |  |  | 435,833 |  |  |  | — |  |  |  | 435,833 |
Offshore Drilling & Other Services |  |  | — |  |  |  | 769,085 |  |  |  | — |  |  |  | 769,085 |
Oil, Gas & Consumable Fuels |  |  | 117,490 |  |  |  | 47,349,703 |  |  |  | 1,511,727 |  |  |  | 48,978,920 |
Personal Products |  |  | — |  |  |  | 275,260 |  |  |  | — |  |  |  | 275,260 |
Pharmaceuticals |  |  | — |  |  |  | 8,754,294 |  |  |  | — |  |  |  | 8,754,294 |
Producer Durables: Miscellaneous |  |  | — |  |  |  | 200,480 |  |  |  | — |  |  |  | 200,480 |
Real Estate |  |  | — |  |  |  | 289,501 |  |  |  | — |  |  |  | 289,501 |
Real Estate Management & Development |  |  | — |  |  |  | 25,056,207 |  |  |  | — |  |  |  | 25,056,207 |
Road & Rail |  |  | — |  |  |  | 2,187,993 |  |  |  | — |  |  |  | 2,187,993 |
Semiconductors & Semiconductor Equipment |  |  | 122,014 |  |  |  | 9,096,244 |  |  |  | — |  |  |  | 9,218,258 |
Software |  |  | — |  |  |  | 12,230,170 |  |  |  | — |  |  |  | 12,230,170 |
Specialty Retail |  |  | — |  |  |  | 2,923,590 |  |  |  | — |  |  |  | 2,923,590 |
Technology Hardware, Storage & Peripherals |  |  | — |  |  |  | 1,100,422 |  |  |  | — |  |  |  | 1,100,422 |
Textiles, Apparel & Luxury Goods |  |  | — |  |  |  | 474,938 |  |  |  | — |  |  |  | 474,938 |
Thrifts & Mortgage Finance |  |  | — |  |  |  | 817,783 |  |  |  | — |  |  |  | 817,783 |
Transportation |  |  | — |  |  |  | 122,470 |  |  |  | — |  |  |  | 122,470 |
Transportation Infrastructure |  |  | — |  |  |  | 1,388,967 |  |  |  | — |  |  |  | 1,388,967 |
Utilities |  |  | — |  |  |  | 2,967,751 |  |  |  | — |  |  |  | 2,967,751 |
Wireless Telecommunication Services |  |  | — |  |  |  | 15,494,941 |  |  |  | — |  |  |  | 15,494,941 |
Floating Rate Loan Interests |  |  | — |  |  |  | 255,518,392 |  |  |  | 7,511,633 |  |  |  | 263,030,025 |
Foreign Agency Obligations |  |  | — |  |  |  | 21,943,113 |  |  |  | — |  |  |  | 21,943,113 |
Investment Companies |  |  | 3,778,650 |  |  |  | — |  |  |  | — |  |  |  | 3,778,650 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 9,698,213 |  |  |  | — |  |  |  | 9,698,213 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts |  |  | — |  |  |  | 32,902,307 |  |  |  | — |  |  |  | 32,902,307 |
Preferred Stocks |  |  | 10,491,385 |  |  |  | — |  |  |  | — |  |  |  | 10,491,385 |
Trust Preferred |  |  | 2,860,619 |  |  |  | — |  |  |  | — |  |  |  | 2,860,619 |
U.S. Government Sponsored Agency Securities |  |  | — |  |  |  | 2,678,355 |  |  |  | — |  |  |  | 2,678,355 |
U.S. Treasury Obligations |  |  | — |  |  |  | 17,064,758 |  |  |  | — |  |  |  | 17,064,758 |
Warrants |  |  | — |  |  |  | 74,883 |  |  |  | — |  |  |  | 74,883 |
Short-Term Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Money Market Funds |  |  | 9,760,422 |  |  |  | — |  |  |  | — |  |  |  | 9,760,422 |

S C H E D U L E O F I N V E S T M E N T S |  | 97

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Options Purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  | $ | 93,912 |  |  | $ | 1,682,881 |  |  | $ | — |  |  | $ | 1,776,793 |
Unfunded Floating Rate Loan Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests |  |  | — |  |  |  | (182 | ) |  |  | — |  |  |  | (182 | )
|  | $ | 27,374,201 |  |  | $ | 843,424,247 |  |  | $ | 9,993,107 |  |  |  | 880,791,555 |
Investments Valued at NAV(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,830 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 880,793,385 |
Derivative Financial Instruments(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  | $ | — |  |  | $ | 83,111 |  |  | $ | — |  |  | $ | 83,111 |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | 44,686 |  |  |  | — |  |  |  | 44,686 |
Interest Rate Contracts |  |  | 170,870 |  |  |  | 845,808 |  |  |  | — |  |  |  | 1,016,678 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  |  | — |  |  |  | (1,099,217 | ) |  |  | — |  |  |  | (1,099,217 | )
Foreign Currency Exchange Contracts |  |  | — |  |  |  | (490,838 | ) |  |  | — |  |  |  | (490,838 | )
Interest Rate Contracts |  |  | (524,103 | ) |  |  | (3,906,044 | ) |  |  | — |  |  |  | (4,430,147 | )
|  | $ | (353,233 | ) |  | $ | (4,522,494 | ) |  | $ | — |  |  | $ | (4,875,727 | )

| (a) | Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy. |

| (b) | Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |

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 $275,105,145 are categorized as Level 2 within the disclosure hierarchy.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2019 |  | $ | 1,015,603 |  |  | $ | 522,907 |  |  | $ | 1,561,152 |  |  | $ | 8,974,479 |  |  | $ | 10 |  |  | $ | 12,074,151 |
Transfers into Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 380,793 |  |  |  | — |  |  |  | 380,793 |
Transfers out of Level 3 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (3,712,401 | ) |  |  | — |  |  |  | (3,712,401 | )
Accrued discounts/premiums |  |  | (95,400 | ) |  |  | — |  |  |  | 4,191 |  |  |  | 40,882 |  |  |  | — |  |  |  | (50,327 | )
Net realized gain (loss) |  |  | — |  |  |  | (7,400 | ) |  |  | 601 |  |  |  | (236,809 | ) |  |  | 2,164 |  |  |  | (241,444 | )
Net change in unrealized appreciation (depreciation)(a)(b) |  |  | (22,927 | ) |  |  | (386,469 | ) |  |  | (21,208 | ) |  |  | 305,400 |  |  |  | (10 | ) |  |  | (125,214 | )
Purchases |  |  | 294,000 |  |  |  | 3,639 |  |  |  | 135,187 |  |  |  | 5,178,636 |  |  |  | — |  |  |  | 5,611,462 |
Sales |  |  | (376,980 | ) |  |  | (108,001 | ) |  |  | (37,421 | ) |  |  | (3,419,347 | ) |  |  | (2,164 | ) |  |  | (3,943,913 | )
Closing balance, as of December 31, 2020 |  | $ | 814,296 |  |  | $ | 24,676 |  |  | $ | 1,642,502 |  |  | $ | 7,511,633 |  |  | $ | — | (c) |  | $ | 9,993,107 |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020(a) |  | $ | (22,927 | ) |  | $ | (363,666 | ) |  | $ | (21,208 | ) |  | $ | 283,013 |  |  | $ | — |  |  | $ | (124,788 | )

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

| (b) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 is generally due to investments no longer held or categorized as Level 3 at period end. |

| (c) | Rounds to less than $1. |

|  | Credit Contracts Assets |  |  | Total |
Opening Balance as of December 31, 2019 |  | $ | 84,334 |  |  | $ | 84,334 |
Transfers in Level 3 |  |  | — |  |  |  | — |
Transfers out of Level 3 |  |  | (84,334 | ) |  |  | (84,334 | )
Accrued discounts/premiums |  |  | — |  |  |  | — |
Net realized gain (loss) |  |  | — |  |  |  | — |
Net change in unrealized appreciation (depreciation) |  |  | — |  |  |  | — |
Purchases |  |  | — |  |  |  | — |

98 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Schedule of Investments (continued) December 31, 2020 |  | BlackRock Limited Duration Income Trust (BLW)

|  | Credit Contracts Assets |  |  | Total |
Issues |  | $ | — |  |  | $ | — |
Sales |  |  | — |  |  |  | — |
Closing Balance, as of December 31, 2020 |  | $ | — |  |  | $ | — |
Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2020 |  | $ | — |  |  | $ | — |

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

See notes to financial statements.

S C H E D U L E O F I N V E S T M E N T S |  | 99

Statements of Assets and Liabilities December 31, 2020 |  |

|  | DSU |  |  | FRA |  |  | BLW |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Investments at value — unaffiliated(a) |  | $ | 777,750,466 |  |  | $ | 706,961,614 |  |  | $ | 869,651,845 |
Investments at value — affiliated(b) |  |  | 10,799,670 |  |  |  | 11,695,920 |  |  |  | 11,141,722 |
Cash |  |  | 906,205 |  |  |  | 3,567,244 |  |  |  | 2,777,799 |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |
Collateral — OTC derivatives |  |  | 30,000 |  |  |  | — |  |  |  | 5,610,000 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | 1,071,470 |
Centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | 2,866,000 |
Foreign currency at value(c) |  |  | 197,575 |  |  |  | 4,623 |  |  |  | 1,463,080 |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |
Investments sold |  |  | 2,564,095 |  |  |  | 2,610,072 |  |  |  | 2,825,822 |
Options written |  |  | — |  |  |  | — |  |  |  | 129,312 |
Dividends — unaffiliated |  |  | — |  |  |  | — |  |  |  | 71,034 |
Dividends — affiliated |  |  | 73 |  |  |  | 27 |  |  |  | 243 |
Interest — unaffiliated |  |  | 3,596,668 |  |  |  | 2,367,589 |  |  |  | 8,844,793 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 69,093 |
Unrealized appreciation on: |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  | 4,905 |  |  |  | 4,534 |  |  |  | 44,686 |
OTC swaps |  |  | 13,519 |  |  |  | — |  |  |  | 83,111 |
Prepaid expenses |  |  | 4,995 |  |  |  | 4,545 |  |  |  | 5,543 |
Other assets |  |  | 3,111 |  |  |  | — |  |  |  | — |
Total assets |  |  | 795,871,282 |  |  |  | 727,216,168 |  |  |  | 906,655,553 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Cash received as collateral for reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 3,860,681 |
Options written at value(d) |  |  | — |  |  |  | — |  |  |  | 3,887,571 |
Reverse repurchase agreements at value |  |  | — |  |  |  | — |  |  |  | 275,105,145 |
Payables: |  |  |  |  |  |  |  |  |  |  |  |
Investments purchased |  |  | 24,638,250 |  |  |  | 27,706,046 |  |  |  | 10,747,991 |
Bank borrowings |  |  | 229,000,000 |  |  |  | 208,000,000 |  |  |  | — |
Income dividend distributions |  |  | 2,818,804 |  |  |  | 2,356,854 |  |  |  | 3,498,452 |
Interest expense |  |  | 229,525 |  |  |  | 193,060 |  |  |  | — |
Investment advisory fees |  |  | 358,194 |  |  |  | 443,124 |  |  |  | 408,248 |
Directors’ and Officer’s fees |  |  | 377,818 |  |  |  | 1,471 |  |  |  | 468,409 |
Options written |  |  | — |  |  |  | — |  |  |  | 6,909 |
Other accrued expenses |  |  | 251,429 |  |  |  | 284,376 |  |  |  | 362,196 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 113,660 |
Variation margin on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | 48,935 |
Swap premiums received |  |  | 30,662 |  |  |  | — |  |  |  | 2,973,998 |
Unrealized depreciation on: |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  | 207,597 |  |  |  | 179,533 |  |  |  | 490,838 |
OTC swaps |  |  | — |  |  |  | — |  |  |  | 749,731 |
Unfunded floating rate loan interests |  |  | 400 |  |  |  | 453 |  |  |  | 182 |
Total liabilities |  |  | 257,912,679 |  |  |  | 239,164,917 |  |  |  | 302,722,946 |
NET ASSETS |  | $ | 537,958,603 |  |  | $ | 488,051,251 |  |  | $ | 603,932,607 |

100 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Statements of Assets and Liabilities (continued) December 31, 2020 |  |

|  |  |  | DSU |  |  | FRA |  |  | BLW |
NET ASSETS CONSIST OF |  |  |  |  |  |  |
Paid-in capital(e)(f)(g) |  | $ | 658,028,410 |  |  | $ | 544,777,667 |  |  | $ | 628,685,591 |
Accumulated loss |  |  | (120,069,807 | ) |  |  | (56,726,416 | ) |  |  | (24,752,984 | )
NET ASSETS |  | $ | 537,958,603 |  |  | $ | 488,051,251 |  |  | $ | 603,932,607 |
Net asset value(e)(f)(g) |  | $ | 11.55 |  |  | $ | 13.81 |  |  | $ | 16.93 |
(a) |  | Investments at cost — unaffiliated |  | $ | 795,836,854 |  |  | $ | 711,977,024 |  |  | $ | 841,960,401 |
(b) |  | Investments at cost — affiliated |  | $ | 10,107,553 |  |  | $ | 10,714,081 |  |  | $ | 11,030,116 |
(c) |  | Foreign currency at cost |  | $ | 197,533 |  |  | $ | 4,524 |  |  | $ | 1,440,566 |
(d) |  | Premiums received |  | $ | — |  |  | $ | — |  |  | $ | 4,241,790 |
(e) |  | Shares outstanding |  |  | 46,591,807 |  |  |  | 35,335,136 |  |  |  | 35,662,105 |
(f) |  | Shares authorized |  |  | 400 million |  |  |  | 200 million |  |  |  | Unlimited |
(g) |  | Par value |  | $ | 0.10 |  |  | $ | 0.10 |  |  | $ | 0.001 |

See notes to financial statements.

F I N A N C I A L S T A T E M E N T S |  | 101

Statements of Operations Year Ended December 31, 2020 |  |

|  | DSU |  |  | FRA |  |  | BLW |
INVESTMENT INCOME |  |  |  |  |  |  |  |  |  |  |  |
Dividends — unaffiliated |  | $ | 252,726 |  |  | $ | 757,606 |  |  | $ | 964,975 |
Dividends — affiliated |  |  | 361,370 |  |  |  | 472,972 |  |  |  | 49,844 |
Interest — unaffiliated |  |  | 36,656,331 |  |  |  | 30,665,039 |  |  |  | 41,528,956 |
Other income |  |  | 568,659 |  |  |  | 609,616 |  |  |  | 285,018 |
Foreign taxes withheld |  |  | (259 | ) |  |  | — |  |  |  | (3,799 | )
Total investment income |  |  | 37,838,827 |  |  |  | 32,505,233 |  |  |  | 42,824,994 |
EXPENSES |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory |  |  | 4,133,648 |  |  |  | 5,064,539 |  |  |  | 4,562,948 |
Professional |  |  | 232,783 |  |  |  | 125,595 |  |  |  | 143,353 |
Transfer agent |  |  | 203,332 |  |  |  | 54,543 |  |  |  | 76,127 |
Accounting services |  |  | 106,482 |  |  |  | 99,462 |  |  |  | 114,483 |
Directors and Officer |  |  | 57,525 |  |  |  | 29,888 |  |  |  | 61,842 |
Custodian |  |  | 32,810 |  |  |  | 32,051 |  |  |  | 97,660 |
Printing and postage |  |  | 19,870 |  |  |  | 12,023 |  |  |  | 31,580 |
Registration |  |  | 17,273 |  |  |  | 12,550 |  |  |  | 12,524 |
Miscellaneous |  |  | 61,966 |  |  |  | 38,815 |  |  |  | 99,161 |
Total expenses excluding interest expense |  |  | 4,865,689 |  |  |  | 5,469,466 |  |  |  | 5,199,678 |
Interest expense |  |  | 2,991,162 |  |  |  | 2,573,688 |  |  |  | 2,785,586 |
Total expenses |  |  | 7,856,851 |  |  |  | 8,043,154 |  |  |  | 7,985,264 |
Less: |  |  |  |  |  |  |  |  |  |  |  |
Fees waived and/or reimbursed by the Manager |  |  | (48,757 | ) |  |  | (79,422 | ) |  |  | (10,616 | )
Total expenses after fees waived and/or reimbursed |  |  | 7,808,094 |  |  |  | 7,963,732 |  |  |  | 7,974,648 |
Net investment income |  |  | 30,030,733 |  |  |  | 24,541,501 |  |  |  | 34,850,346 |
REALIZED AND UNREALIZED GAIN (LOSS) |  |  |  |  |  |  |  |  |  |  |  |
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |
Investments — unaffiliated |  |  | (26,196,236 | ) |  |  | (20,511,695 | ) |  |  | (9,881,333 | )
Investments — affiliated |  |  | 65,135 |  |  |  | 144,383 |  |  |  | 111,075 |
Foreign currency transactions |  |  | 54,038 |  |  |  | 13,479 |  |  |  | 81,843 |
Forward foreign currency exchange contracts |  |  | (601,720 | ) |  |  | (322,988 | ) |  |  | (811,544 | )
Futures contracts |  |  | (4,448 | ) |  |  | — |  |  |  | 1,699,614 |
Options written |  |  | — |  |  |  | — |  |  |  | 901 |
Swaps |  |  | (596,967 | ) |  |  | 517,108 |  |  |  | 640,212 |
|  |  | (27,280,198 | ) |  |  | (20,159,713 | ) |  |  | (8,159,232 | )
Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |
Investments — unaffiliated |  |  | (2,804,933 | ) |  |  | (317,976 | ) |  |  | 13,809,101 |
Investments — affiliated |  |  | 692,117 |  |  |  | 981,839 |  |  |  | 111,606 |
Foreign currency translations |  |  | 872 |  |  |  | (12,390 | ) |  |  | (5,800 | )
Forward foreign currency exchange contracts |  |  | (3,005 | ) |  |  | (28,212 | ) |  |  | 3,323 |
Futures contracts |  |  | 228 |  |  |  | — |  |  |  | (265,936 | )
Options written |  |  | — |  |  |  | — |  |  |  | 296,896 |
Swaps |  |  | 242,007 |  |  |  | — |  |  |  | (3,291,455 | )
Unfunded floating rate loan interests |  |  | (167,690 | ) |  |  | (149,781 | ) |  |  | (55,467 | )
|  |  | (2,040,404 | ) |  |  | 473,480 |  |  |  | 10,602,268 |
Net realized and unrealized gain (loss) |  |  | (29,320,602 | ) |  |  | (19,686,233 | ) |  |  | 2,443,036 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |  | $ | 710,131 |  |  | $ | 4,855,268 |  |  | $ | 37,293,382 |

See notes to financial statements.

102 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Statements of Changes in Net Assets |  |

|  | DSU |  |  | FRA |
|  |  |  |  | Period from |  |  |  |  |  |  |  |  | Period from |  |  |  |
|  | Year Ended |  |  | 03/01/19 |  |  | Year Ended |  |  | Year Ended |  |  | 09/01/19 |  |  | Year Ended |
|  | 12/31/20 |  |  | to 12/31/19 |  |  | 02/28/19 |  |  | 12/31/20 |  |  | to 12/31/19 |  |  | 08/31/19 |
INCREASE (DECREASE) IN NET ASSETS |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  | $ | 30,030,733 |  |  | $ | 32,028,542 |  |  | $ | 42,457,853 |  |  | $ | 24,541,501 |  |  | $ | 9,182,798 |  |  | $ | 30,775,188 |
Net realized loss |  |  | (27,280,198 | ) |  |  | (10,374,472 | ) |  |  | (7,363,476 | ) |  |  | (20,159,713 | ) |  |  | (1,960,481 | ) |  |  | (9,782,691 | )
Net change in unrealized appreciation (depreciation) |  |  | (2,040,404 | ) |  |  | 19,737,256 |  |  |  | (16,979,647 | ) |  |  | 473,480 |  |  |  | 8,098,171 |  |  |  | (6,388,475 | )
Net increase in net assets resulting from operations |  |  | 710,131 |  |  |  | 41,391,326 |  |  |  | 18,114,730 |  |  |  | 4,855,268 |  |  |  | 15,320,488 |  |  |  | 14,604,022 |
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (29,156,637 | ) |  |  | (37,103,506 | ) |  |  | (44,243,908 | ) |  |  | (24,834,098 | ) |  |  | (13,875,793 | ) |  |  | (32,025,983 | )
Return of capital |  |  | (10,264,492 | ) |  |  | (1,264,429 | ) |  |  | — |  |  |  | (8,006,999 | ) |  |  | — |  |  |  | — |
Decrease in net assets resulting from distributions to shareholders |  |  | (39,421,129 | ) |  |  | (38,367,935 | ) |  |  | (44,243,908 | ) |  |  | (32,841,097 | ) |  |  | (13,875,793 | ) |  |  | (32,025,983 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Redemption of shares resulting from share repurchases (including transaction costs) |  |  | (28,570,553 | ) |  |  | (39,003,259 | ) |  |  | (74,855,117 | ) |  |  | (6,507,629 | ) |  |  | (5,346,886 | ) |  |  | (11,500,788 | )
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total decrease in net assets |  |  | (67,281,551 | ) |  |  | (35,979,868 | ) |  |  | (100,984,295 | ) |  |  | (34,493,458 | ) |  |  | (3,902,191 | ) |  |  | (28,922,749 | )
Beginning of period |  |  | 605,240,154 |  |  |  | 641,220,022 |  |  |  | 742,204,317 |  |  |  | 522,544,709 |  |  |  | 526,446,900 |  |  |  | 555,369,649 |
End of period |  | $ | 537,958,603 |  |  | $ | 605,240,154 |  |  | $ | 641,220,022 |  |  | $ | 488,051,251 |  |  | $ | 522,544,709 |  |  | $ | 526,446,900 |

(a) |  | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

F I N A N C I A L S T A T E M E N T S |  | 103

Statements of Changes in Net Assets (continued) |  |

|  | BLW |
|  | Year Ended 12/31/20 |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended 08/31/19 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  | $ | 34,850,346 |  |  | $ | 10,824,978 |  |  | $ | 34,113,194 |
Net realized loss |  |  | (8,159,232 | ) |  |  | (1,710,596 | ) |  |  | (4,073,290 | )
Net change in unrealized appreciation |  |  | 10,602,268 |  |  |  | 8,611,334 |  |  |  | 14,386,640 |
Net increase in net assets resulting from operations |  |  | 37,293,382 |  |  |  | 17,725,716 |  |  |  | 44,426,544 |
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (36,735,203 | ) |  |  | (16,909,431 | ) |  |  | (34,575,364 | )
Return of capital |  |  | (5,328,251 | ) |  |  | — |  |  |  | — |
Decrease in net assets resulting from distributions to shareholders |  |  | (42,063,454 | ) |  |  | (16,909,431 | ) |  |  | (34,575,364 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |
Redemption of shares resulting from share repurchase program (including transaction costs) |  |  | (2,364,913 | ) |  |  | — |  |  |  | (11,648,172 | )
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | (7,134,985 | ) |  |  | 816,285 |  |  |  | (1,796,992 | )
Beginning of period |  |  | 611,067,592 |  |  |  | 610,251,307 |  |  |  | 612,048,299 |
End of period |  | $ | 603,932,607 |  |  | $ | 611,067,592 |  |  | $ | 610,251,307 |

(a) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

104 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Statements of Cash Flows Year Ended December 31, 2020 |  |

|  | DSU |  |  | FRA |  |  | BLW |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |
Net increase in net assets resulting from operations |  | $ | 710,131 |  |  | $ | 4,855,268 |  |  | $ | 37,293,382 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used for) operating activities |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from sales of long-term investments and principal paydowns/payups |  |  | 584,855,008 |  |  |  | 467,458,162 |  |  |  | 536,553,434 |
Purchases of long-term investments |  |  | (511,472,552 | ) |  |  | (443,298,512 | ) |  |  | (582,806,393 | )
Net proceeds from sales (purchases) of short-term securities |  |  | 674,733 |  |  |  | 432,271 |  |  |  | (8,054,328 | )
Amortization of premium and accretion of discount on investments and other fees |  |  | (1,180,154 | ) |  |  | (1,053,355 | ) |  |  | 38,150 |
Paid-in-kind income |  |  | (665,016 | ) |  |  | (648,515 | ) |  |  | (239,924 | )
Premiums paid on closing options written |  |  | — |  |  |  | — |  |  |  | (509,067 | )
Premiums received from options written |  |  | — |  |  |  | — |  |  |  | 4,606,767 |
Net realized loss on investments and options written |  |  | 26,141,566 |  |  |  | 20,395,373 |  |  |  | 9,779,573 |
Net unrealized (appreciation) depreciation on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests |  |  | 2,041,504 |  |  |  | (485,870 | ) |  |  | (9,957,590 | )
(Increase) Decrease in Assets |  |  |  |  |  |  |  |  |  |  |  |
Receivables |  |  |  |  |  |  |  |  |  |  |  |
Dividends — affiliated |  |  | 1,965 |  |  |  | 1,427 |  |  |  | 5,011 |
Dividends — unaffiliated |  |  | — |  |  |  | — |  |  |  | 4 |
Interest — unaffiliated |  |  | 32,765 |  |  |  | (711,260 | ) |  |  | (1,243,956 | )
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 94,453 |
Variation margin on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | 7,859 |
Swap premiums paid |  |  | 6,417 |  |  |  | — |  |  |  | 5,483 |
Prepaid expenses |  |  | (234 | ) |  |  | (595 | ) |  |  | (918 | )
Other assets |  |  | 5,516 |  |  |  | — |  |  |  | — |
Increase (Decrease) in Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Cash received |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 3,801,393 |
Payables |  |  |  |  |  |  |  |  |  |  |  |
Interest expense |  |  | (310,040 | ) |  |  | (250,468 | ) |  |  | (1,069,785 | )
Investment advisory fees |  |  | (420,101 | ) |  |  | (460,787 | ) |  |  | (338,191 | )
Directors’ and Officer’s fees |  |  | 15,120 |  |  |  | 904 |  |  |  | 14,005 |
Other accrued expenses |  |  | (126,033 | ) |  |  | (80,856 | ) |  |  | (55,294 | )
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 73,125 |
Variation margin on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | 48,935 |
Swap premiums received |  |  | (22,935 | ) |  |  | — |  |  |  | (1,009,285 | )
Other liabilities |  |  | (575,071 | ) |  |  | (568,672 | ) |  |  | (205,327 | )
Net cash provided by (used for) operating activities |  |  | 99,712,589 |  |  |  | 45,584,515 |  |  |  | (13,168,484 | )
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |
Cash dividends paid to shareholders |  |  | (40,115,790 | ) |  |  | (33,313,561 | ) |  |  | (42,080,186 | )
Payments for bank borrowings |  |  | (354,000,000 | ) |  |  | (314,000,000 | ) |  |  | — |
Net payments on redemption of capital shares |  |  | (28,570,553 | ) |  |  | (6,507,629 | ) |  |  | (2,364,913 | )
Proceeds from bank borrowings |  |  | 321,000,000 |  |  |  | 308,000,000 |  |  |  | — |
Net borrowing of reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 62,775,484 |
Net cash provided by (used for) for financing activities |  |  | (101,686,343 | ) |  |  | (45,821,190 | ) |  |  | 18,330,385 |
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |  |  |  |  |  |  |  |  |  |  |  |
Cash impact from foreign exchange fluctuations |  |  | (1,749 | ) |  |  | (12,384 | ) |  |  | (9,654 | )
CASH AND FOREIGN CURRENCY |  |  |  |  |  |  |  |  |  |  |  |
Net increase (decrease) in restricted and unrestricted cash and foreign currency |  |  | (1,975,503 | ) |  |  | (249,059 | ) |  |  | 5,152,247 |
Restricted and unrestricted cash and foreign currency at beginning of year |  |  | 3,109,283 |  |  |  | 3,820,926 |  |  |  | 8,636,102 |
Restricted and unrestricted cash and foreign currency at end of year |  | $ | 1,133,780 |  |  | $ | 3,571,867 |  |  | $ | 13,788,349 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |  |  |  |  |  |  |  |  |  |  |  |
Cash paid during the year for interest expense |  | $ | 3,301,202 |  |  | $ | 2,824,156 |  |  | $ | 3,855,371 |

F I N A N C I A L S T A T E M E N T S |  | 105

Statements of Cash Flows (continued) Year Ended December 31, 2020 |  |

|  | DSU |  |  | FRA |  |  | BLW |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Cash |  | $ | 906,205 |  |  | $ | 3,567,244 |  |  | $ | 2,777,799 |
Cash pledged |  |  |  |  |  |  |  |  |  |  |  |
Collateral — OTC derivatives |  |  | 30,000 |  |  |  | — |  |  |  | 5,610,000 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | 1,071,470 |
Centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | 2,866,000 |
Foreign currency at value |  |  | 197,575 |  |  |  | 4,623 |  |  |  | 1,463,080 |
|  | $ | 1,133,780 |  |  | $ | 3,571,867 |  |  | $ | 13,788,349 |

See notes to financial statements.

106 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Financial Highlights

(For a share outstanding throughout each period)

|  | DSU |
|  |  | Year Ended 12/31/20 |  |  |  |  |  |  |  | Period from 03/01/19 to 12/31/19 |  |  |  |  |  |  |  | Year Ended February 28, |  |  |  | Year Ended February 29, 2016 | (a)(b)
|  |  |  |  |  |  |  |  |  |  | 2019 |  |  |  | 2018 | (a) |  |  | 2017 | (a) |  |  |  |
Net asset value, beginning of period |  | $ | 12.25 |  |  |  |  |  |  | $ | 12.16 |  |  |  |  |  |  | $ | 12.62 |  |  | $ | 12.70 |  |  | $ | 11.38 |  |  |  |  |  |  | $ | 12.87 |
Net investment income(c) |  |  | 0.63 |  |  |  |  |  |  |  | 0.64 |  |  |  |  |  |  |  | 0.79 |  |  |  | 0.78 |  |  |  | 0.73 |  |  |  |  |  |  |  | 0.77 |
Net realized and unrealized gain (loss) |  |  | (0.50 | ) |  |  |  |  |  |  | 0.21 |  |  |  |  |  |  |  | (0.43 | ) |  |  | (0.04 | ) |  |  | 1.34 |  |  |  |  |  |  |  | (1.46 | )
Net increase (decrease) from investment operations |  |  | 0.13 |  |  |  |  |  |  |  | 0.85 |  |  |  |  |  |  |  | 0.36 |  |  |  | 0.74 |  |  |  | 2.07 |  |  |  |  |  |  |  | (0.69 | )
Distributions(d) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.61 | ) |  |  |  |  |  |  | (0.73 | ) |  |  |  |  |  |  | (0.82 | ) |  |  | (0.82 | ) |  |  | (0.75 | ) |  |  |  |  |  |  | (0.80 | )
Return of capital |  |  | (0.22 | ) |  |  |  |  |  |  | (0.03 | ) |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  | — |
Total distributions |  |  | (0.83 | ) |  |  |  |  |  |  | (0.76 | ) |  |  |  |  |  |  | (0.82 | ) |  |  | (0.82 | ) |  |  | (0.75 | ) |  |  |  |  |  |  | (0.80 | )
Net asset value, end of period |  | $ | 11.55 |  |  |  |  |  |  | $ | 12.25 |  |  |  |  |  |  | $ | 12.16 |  |  | $ | 12.62 |  |  | $ | 12.70 |  |  |  |  |  |  | $ | 11.38 |
Market price, end of period |  | $ | 10.45 |  |  |  |  |  |  | $ | 11.20 |  |  |  |  |  |  | $ | 10.78 |  |  | $ | 11.47 |  |  | $ | 11.68 |  |  |  |  |  |  | $ | 9.96 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 2.57 | % |  |  |  |  |  |  | 8.03 | %(f) |  |  |  |  |  |  | 3.86 | % |  |  | 6.60 | %(g) |  |  | 19.57 | % |  |  |  |  |  |  | (4.73 | )%
Based on market price |  |  | 1.50 | % |  |  |  |  |  |  | 11.42 | %(f) |  |  |  |  |  |  | 1.30 | % |  |  | 5.35 | % |  |  | 25.53 | % |  |  |  |  |  |  | (6.03 | )%
Ratios to Average Net Assets(h) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.48 | % |  |  |  |  |  |  | 2.21 | %(i)(j) |  |  |  |  |  |  | 2.23 | % |  |  | 1.86 | % |  |  | 1.36 | % |  |  |  |  |  |  | 1.18 | %
Total expenses after fees waived and/or reimbursed |  |  | 1.47 | % |  |  |  |  |  |  | 2.21 | %(i)(j) |  |  |  |  |  |  | 2.23 | % |  |  | 1.85 | % |  |  | 1.35 | % |  |  |  |  |  |  | 1.18 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  | 0.91 | % |  |  |  |  |  |  | 0.92 | %(i) |  |  |  |  |  |  | 0.96 | % |  |  | 0.94 | % |  |  | 0.87 | % |  |  |  |  |  |  | 0.84 | %
Net investment income |  |  | 5.65 | % |  |  |  |  |  |  | 6.25 | %(i) |  |  |  |  |  |  | 6.40 | % |  |  | 6.12 | % |  |  | 6.04 | % |  |  |  |  |  |  | 6.29 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 537,959 |  |  |  |  |  |  | $ | 605,240 |  |  |  |  |  |  | $ | 641,220 |  |  | $ | 742,204 |  |  | $ | 780,810 |  |  |  |  |  |  | $ | 709,236 |
Borrowings outstanding, end of period (000) |  | $ | 229,000 |  |  |  |  |  |  | $ | 262,000 |  |  |  |  |  |  | $ | 278,000 |  |  | $ | 338,000 |  |  | $ | 318,000 |  |  |  |  |  |  | $ | 190,000 |
Asset coverage, end of period per $1,000 of bank borrowings |  | $ | 3,349 |  |  |  |  |  |  | $ | 3,310 |  |  |  |  |  |  | $ | 3,308 |  |  | $ | 3,196 |  |  | $ | 3,455 |  |  |  |  |  |  | $ | 4,733 |
Portfolio turnover rate |  |  | 67 | % |  |  |  |  |  |  | 53 | % |  |  |  |  |  |  | 62 | % |  |  | 59 | % |  |  | 55 | % |  |  |  |  |  |  | 41 | %

(a) | Consolidated Financial Highlights through November 30, 2017.

(b) | Per share operating performance amounts have been adjusted to reflect a one-for-three reverse stock split effective after the close of trading on November 15, 2016 for the shareholders of record on November 15, 2016.

(c) | Based on average shares outstanding.

(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

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

(f) | Aggregate total return.

(g) | Includes payment from an affiliate, which had no impact on the Fund’s total return.

(h) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

|  | Year Ended 12/31/20 |  |  |  |  |  | Period from 03/01/19 to 12/31/19 |  |  |  |  |  | Year Ended February 28, |  |  |  |
|  |  | 2019 |  |  |  | 2018 | (a) |  |  | 2017 | (a) |  |  |  |  |  |  | Year Ended February 29, 2016 | (a)(b)
Investments in underlying funds |  |  | 0.02 | % |  |  |  |  |  |  | 0.03 | % |  |  |  |  |  |  | — | % |  |  | — | % |  |  | 0.02 | % |  |  |  |  |  |  | 0.01 | %

(i) | Annualized.

(j) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

F I N A N C I A L H I G H L I G H T S |  | 107

Financial Highlights (continued) (For a share outstanding throughout each period) |  |

|  | FRA |
|  | Year Ended 12/31/20 |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended August 31, |
|  |  | 2019 |  |  |  | 2018 | (a) |  |  | 2017 | (a) |  |  | 2016 | (a)
Net asset value, beginning of period |  | $ | 14.55 |  |  | $ | 14.49 |  |  | $ | 14.92 |  |  | $ | 14.93 |  |  | $ | 14.78 |  |  | $ | 14.91 |
Net investment income(b) |  |  | 0.69 |  |  |  | 0.25 |  |  |  | 0.84 |  |  |  | 0.79 |  |  |  | 0.76 |  |  |  | 0.76 |
Net realized and unrealized gain (loss) |  |  | (0.51 | ) |  |  | 0.19 |  |  |  | (0.40 | ) |  |  | (0.06 | ) |  |  | 0.20 |  |  |  | (0.14 | )
Net increase from investment operations |  |  | 0.18 |  |  |  | 0.44 |  |  |  | 0.44 |  |  |  | 0.73 |  |  |  | 0.96 |  |  |  | 0.62 |
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (0.70 | ) |  |  | (0.38 | ) |  |  | (0.87 | ) |  |  | (0.74 | ) |  |  | (0.81 | ) |  |  | (0.75 | )
Return of capital |  |  | (0.22 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  | (0.92 | ) |  |  | (0.38 | ) |  |  | (0.87 | ) |  |  | (0.74 | ) |  |  | (0.81 | ) |  |  | (0.75 | )
Net asset value, end of period |  | $ | 13.81 |  |  | $ | 14.55 |  |  | $ | 14.49 |  |  | $ | 14.92 |  |  | $ | 14.93 |  |  | $ | 14.78 |
Market price, end of period |  | $ | 12.11 |  |  | $ | 13.44 |  |  | $ | 12.46 |  |  | $ | 13.80 |  |  | $ | 14.10 |  |  | $ | 13.70 |
Total Return(d) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 2.76 | % |  |  | 3.41 | %(e) |  |  | 3.94 | % |  |  | 5.28 | % |  |  | 6.93 | % |  |  | 5.00 | %
Based on market price |  |  | (2.45 | )% |  |  | 11.08 | %(e) |  |  | (3.37 | )% |  |  | 3.11 | % |  |  | 8.95 | % |  |  | 12.14 | %
Ratios to Average Net Assets(f) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.69 | % |  |  | 2.20 | %(g)(h) |  |  | 2.45 | % |  |  | 2.23 | % |  |  | 1.88 | % |  |  | 1.54 | %
Total expenses after fees waived and/or reimbursed |  |  | 1.67 | % |  |  | 2.20 | %(g)(h) |  |  | 2.45 | % |  |  | 2.22 | % |  |  | 1.88 | % |  |  | 1.54 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  | 1.13 | % |  |  | 1.19 | %(g) |  |  | 1.16 | % |  |  | 1.20 | % |  |  | 1.21 | % |  |  | 1.14 | %
Net investment income |  |  | 5.15 | % |  |  | 5.26 | %(g) |  |  | 5.74 | % |  |  | 5.27 | % |  |  | 5.08 | % |  |  | 5.27 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 488,051 |  |  | $ | 522,545 |  |  | $ | 526,447 |  |  | $ | 555,370 |  |  | $ | 555,972 |  |  | $ | 550,271 |
Borrowings outstanding, end of period (000) |  | $ | 208,000 |  |  | $ | 214,000 |  |  | $ | 204,000 |  |  | $ | 233,000 |  |  | $ | 237,000 |  |  | $ | 225,000 |
Asset coverage, end of period per $1,000 of bank borrowings |  | $ | 3,346 |  |  | $ | 3,442 |  |  | $ | 3,582 |  |  | $ | 3,385 |  |  | $ | 3,346 |  |  | $ | 3,446 |
Portfolio turnover rate |  |  | 65 | % |  |  | 16 | % |  |  | 53 | % |  |  | 57 | % |  |  | 64 | % |  |  | 48 | %

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

(e) | Aggregate total return.

(f) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

|  | Year Ended 12/31/20 |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended August 31, |
|  |  | 2019 |  |  |  | 2018 | (a) |  |  | 2017 | (a) |  |  | 2016 | (a)
Investments in underlying funds |  |  | 0.03 | % |  |  | 0.04 | % |  |  | 0.03 | % |  |  | 0.01 | % |  |  | — | % |  |  | — | %

(g) | Annualized.

(h) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

108 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Financial Highlights (continued)

(For a share outstanding throughout each period)

|  | BLW |
|  | Year Ended 12/31/20 |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended August 31, |
|  | 2019 |  |  | 2018 |  |  | 2017 |  |  | 2016 |
Net asset value, beginning of period |  | $ | 17.05 |  |  | $ | 17.03 |  |  | $ | 16.71 |  |  | $ | 17.02 |  |  | $ | 16.84 |  |  | $ | 17.04 |
Net investment income(a) |  |  | 0.98 |  |  |  | 0.31 |  |  |  | 0.94 |  |  |  | 0.95 |  |  |  | 1.01 |  |  |  | 1.32 |
Net realized and unrealized gain (loss) |  |  | 0.08 |  |  |  | 0.18 |  |  |  | 0.33 |  |  |  | (0.31 | ) |  |  | 0.44 |  |  |  | (0.22 | )
Net increase from investment operations |  |  | 1.06 |  |  |  | 0.49 |  |  |  | 1.27 |  |  |  | 0.64 |  |  |  | 1.45 |  |  |  | 1.10 |
Distributions(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  | (1.03 | ) |  |  | (0.47 | ) |  |  | (0.95 | ) |  |  | (0.95 | ) |  |  | (1.27 | ) |  |  | (1.30 | )
Return of capital |  |  | (0.15 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  | (1.18 | ) |  |  | (0.47 | ) |  |  | (0.95 | ) |  |  | (0.95 | ) |  |  | (1.27 | ) |  |  | (1.30 | )
Net asset value, end of period |  | $ | 16.93 |  |  | $ | 17.05 |  |  | $ | 17.03 |  |  | $ | 16.71 |  |  | $ | 17.02 |  |  | $ | 16.84 |
Market price, end of period |  | $ | 15.92 |  |  | $ | 16.39 |  |  | $ | 15.44 |  |  | $ | 15.06 |  |  | $ | 15.99 |  |  | $ | 15.74 |
Total Return(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 7.58 | % |  |  | 3.11 | %(d) |  |  | 8.77 | % |  |  | 4.42 | % |  |  | 9.62 | % |  |  | 7.78 | %
Based on market price |  |  | 5.24 | % |  |  | 9.32 | %(d) |  |  | 9.41 | % |  |  | 0.18 | % |  |  | 10.18 | % |  |  | 17.59 | %
Ratios to Average Net Assets(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.39 | % |  |  | 1.64 | %(f)(g) |  |  | 1.81 | % |  |  | 1.73 | % |  |  | 1.45 | % |  |  | 1.21 | %
Total expenses after fees waived and/or reimbursed |  |  | 1.39 | % |  |  | 1.64 | %(f)(g) |  |  | 1.81 | % |  |  | 1.73 | % |  |  | 1.45 | % |  |  | 1.21 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  | 0.90 | % |  |  | 0.89 | %(f) |  |  | 0.84 | % |  |  | 0.89 | % |  |  | 0.89 | % |  |  | 0.89 | %
Net investment income |  |  | 6.07 | % |  |  | 5.32 | %(f) |  |  | 5.69 | % |  |  | 5.60 | % |  |  | 6.00 | % |  |  | 8.04 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  | $ | 603,933 |  |  | $ | 611,068 |  |  | $ | 610,251 |  |  | $ | 612,048 |  |  | $ | 629,728 |  |  | $ | 623,219 |
Borrowings outstanding, end of period (000) |  | $ | 275,105 |  |  | $ | 213,399 |  |  | $ | 202,539 |  |  | $ | 234,622 |  |  | $ | 252,280 |  |  | $ | 263,445 |
Portfolio turnover rate(h) |  |  | 65 | % |  |  | 14 | % |  |  | 50 | % |  |  | 50 | % |  |  | 55 | % |  |  | 54 | %

(a) | Based on average shares outstanding.

(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c) | 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.

(d) | Aggregate total return.

(e) | Excludes expenses incurred indirectly as a result of investments in underlying funds as follows:

|  |  | Year Ended 12/31/20 |  |  |  | Period from 09/01/19 to 12/31/19 |  |  |  | Year Ended August 31, |
|  |  | 2019 |  |  |  | 2018 |  |  |  | 2017 |  |  |  | 2016 |
Investments in underlying funds |  |  | 0.01 | % |  |  | 0.02 | % |  |  | 0.02 | % |  |  | — | % |  |  | — | % |  |  | — | %

(f) | Annualized.

(g) | Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%.

(h) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

|  |  | Year Ended 12/31/20 |  |  |  | Period from 09/01/19 to 12/31/19 |  |  |  | Year Ended August 31, |
|  |  | 2019 |  |  |  | 2018 |  |  |  | 2017 |  |  |  | 2016 |
Portfolio turnover rate (excluding MDRs) |  |  | 58 | % |  |  | 14 | % |  |  | 50 | % |  |  | 50 | % |  |  | 55 | % |  |  | 54 | %

See notes to financial statements.

F I N A N C I A L H I G H L I G H T S |  | 109

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 Debt Strategies Fund, Inc. |  |  | DSU |  |  |  | Maryland |  |  |  | Diversified |
BlackRock Floating Rate Income Strategies Fund, Inc. |  |  | FRA |  |  |  | Maryland |  |  |  | Diversified |
BlackRock Limited Duration Income Trust |  |  | BLW |  |  |  | Delaware |  |  |  | Diversified |

The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of non-index fixed-income mutual funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

2. | SIGNIFICANT ACCOUNTING POLICIES

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

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. 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 daily on an accrual basis.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Foreign Taxes: Certain Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of December 31, 2020, if any, are disclosed in the Statements of Assets and Liabilities.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Funds are recorded on the ex-dividend date. Subject to the Funds’ managed distribution plan, the Funds intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.

110 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Notes to Financial Statements (continued) |  |

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. See Income Tax Information note for the tax character of each Fund’s distributions paid during the period.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

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

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

| • |  | Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of trading on the NYSE that may not be reflected in the computation of the Funds’ net assets. Each business day, the Funds use a pricing service to assist with the valuation of certain foreign exchange-traded equity securities and foreign exchange-traded and over-the-counter (“OTC”) options (the “Systematic Fair Value Price”). Using current market factors, the Systematic Fair Value Price is designed to value such foreign securities and foreign options at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

| • |  | Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

| • |  | Exchange-traded funds (“ETFs”) and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. ETFs and closed-end funds traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

| • |  | Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

| • |  | Futures contracts are valued based on that day’s last reported settlement price on the exchange where the contract is traded.

| • |  | Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.

N O T E S T O F I N A N C I A L S T A T E M E N T S |  | 111

Notes to Financial Statements (continued) |  |

| • |  | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. OTC options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

| • |  | Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., a market closure, market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third party pricing services utilize one or a combination of, but not limited to, the following inputs.

|  | Standard Inputs Generally Considered By Third Party Pricing Services
Market approach |  | (i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii)   recapitalizations and other transactions across the capital structure; and (iii)  market multiples of comparable issuers.
Income approach |  | (i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks; (ii)   quoted prices for similar investments or assets in active markets; and (iii)  other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.
Cost approach |  | (i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company; (ii)   changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii)  relevant news and other public sources; and (iv)  known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. 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 applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

| • |  | Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;

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

| • |  | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).

112 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Notes to Financial Statements (continued) |  |

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of December 31, 2020, certain investments of BLW were fair valued using NAV as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4. | SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

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

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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

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

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

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities,

N O T E S T O F I N A N C I A L S T A T E M E N T S |  | 113

Notes to Financial Statements (continued) |  |

generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

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

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, 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 Name |  | Borrower |  | Par |  |  | Commitment Amount |  |  | Value |  |  | Unrealized Appreciation (Depreciation) |
DSU |  | Precision Medicine Group LLC |  | $ | 227,084 |  |  | $ | 227,084 |  |  | $ | 227,084 |  |  | $ | — |
|  | Therma Intermediate LLC |  |  | 120,176 |  |  |  | 120,176 |  |  |  | 119,776 |  |  |  | (400 | )
FRA |  | Precision Medicine Group LLC |  |  | 256,788 |  |  |  | 256,788 |  |  |  | 256,788 |  |  |  | — |
|  | Therma Intermediate LLC |  |  | 135,924 |  |  |  | 135,924 |  |  |  | 135,471 |  |  |  | (453 | )
BLW |  | Precision Medicine Group LLC |  |  | 104,764 |  |  |  | 104,764 |  |  |  | 104,764 |  |  |  | — |
|  | Therma Intermediate LLC |  |  | 54,771 |  |  |  | 54,771 |  |  |  | 54,589 |  |  |  | (182 | )

Forward Commitments, When-Issued and 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 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

114 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Notes to Financial Statements (continued) |  |

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.

Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

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 December 31, 2020, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW was $255,572,627 and 1.09%, respectively.

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

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

Counterparty |  |  | Reverse Repurchase Agreements |  |  |  | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest | (a) |  |  | Cash Collateral Pledged/Received | (a) |  |  | Net Amount | (b)
Barclays Capital, Inc. |  | $ | (90,366,881 | ) |  | $ | 90,366,881 |  |  | $ | — |  |  | $ | — |
BNP Paribas S.A. |  |  | (132,071,237 | ) |  |  | 132,071,237 |  |  |  | — |  |  |  | — |
BoFA Securities, Inc. |  |  | (110,168 | ) |  |  | 110,168 |  |  |  | — |  |  |  | — |
Credit Suisse Securities (USA) LLC |  |  | (450,365 | ) |  |  | 450,365 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. |  |  | (3,016,573 | ) |  |  | 3,016,573 |  |  |  | — |  |  |  | — |
HSBC Securities (USA), Inc. |  |  | (16,246,250 | ) |  |  | 15,924,293 |  |  |  | — |  |  |  | (321,957 | )
J.P. Morgan Securities LLC |  |  | (202,484 | ) |  |  | 202,484 |  |  |  | — |  |  |  | — |
RBC Capital Markets LLC |  |  | (32,641,187 | ) |  |  | 32,641,187 |  |  |  | — |  |  |  | — |
|  | $ | (275,105,145 | ) |  | $ | 274,783,188 |  |  | $ | — |  |  | $ | (321,957 | )

| (a) | Net collateral, including accrued interest, with a value of $320,148,184 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (b) | Net amount represents the net amount payable due to the counterparty in the event of default. |

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.

N O T E S T O F I N A N C I A L S T A T E M E N T S |  | 115

Notes to Financial Statements (continued) |  |

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s)reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

Options: 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, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

| • |  | Swaptions — 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.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

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.

116 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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 CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

| • |  | Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

| • |  | Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

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

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

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

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

N O T E S T O F I N A N C I A L S T A T E M E N T S |  | 117

Notes to Financial Statements (continued) |  |

6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:

|  | DSU |  |  | FRA |
Investment advisory fees |  |  | 0.55 | % |  |  | 0.75 | %

For purposes of calculating these fees, “net assets” mean the total assets of each Fund minus the sum of its accrued liabilities.

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” are determined as total assets of the Fund (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to each Fund, effective March 2, 2020 for FRA, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. With respect to BLW, the Manager also entered into a separate sub-advisory agreement with BlackRock (Singapore) Limited (“BRS”), an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BRS for services they provide for that portion of each Fund for which BIL, and, with respect to BLW, BRS acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

Distribution Fees: FRA had entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of December 31, 2020, FRA is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus and the Distribution Agreement with FRA has been terminated. Pursuant to the Distribution Agreement, 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. The commissions retained by BRIL during the period ended December 31, 2020 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.

Expense Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2022. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2020, the amounts waived were as follows:

Fund Name |  | Amounts Waived |
DSU |  | $ | 1,559 |
FRA |  |  | 915 |
BLW |  |  | 4,173 |

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2022. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2020, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

Fund Name |  | Amounts Waived |
DSU |  | $ | 47,198 |
FRA |  |  | 78,507 |
BLW |  |  | 6,443 |

Directors and Officers: Certain directors and/or officers of the Fund are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Fund’s 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 December 31, 2020, 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:

Fund Name |  | Purchases |  |  | Sales |  |  | Net Realized Gain (Loss) |
DSU |  | $ | 114,109 |  |  | $ | 7,365,717 |  |  | $ | (175,340 | )
FRA |  |  | — |  |  |  | 623,665 |  |  |  | (93,730 | )
BLW |  |  | 1,769,374 |  |  |  | 1,856,170 |  |  |  | 74,614 |

118 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Notes to Financial Statements (continued)

7. | PURCHASES AND SALES

For the year ended December 31, 2020, purchases and sales of investments, including paydowns/payups and excluding short-term investments, were as follows:

|  | U.S. Government Securities |  |  | Other Securities |
Fund Name |  | Purchases |  |  | Sales |  |  | Purchases |  |  | Sales |
DSU |  | $ | — |  |  | $ | — |  |  | $ | 516,395,797 |  |  | $ | 580,226,575 |
FRA |  |  | — |  |  |  | — |  |  |  | 456,569,766 |  |  |  | 462,027,347 |
BLW |  |  | — |  |  |  | 1,600,000 |  |  |  | 585,926,923 |  |  |  | 537,004,068 |

For the year ended December 31, 2020, purchases and sales related to mortgage dollar rolls were as follows:

Fund Name |  | Purchases |  |  | Sales |
BLW |  | $ | 53,749,990 |  |  | $ | 53,858,441 |

8. | INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2020, 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.

The tax character of distributions paid was as follows:

|  | Period |  |  | DSU |  |  | FRA |  |  | BLW |
Ordinary income |  |  | 12/31/2020 |  |  | $ | 29,156,637 |  |  | $ | 24,834,098 |  |  | $ | 36,735,203 |
|  |  | 12/31/2019 |  |  |  | 37,103,506 |  |  |  | 13,875,793 |  |  |  | 16,909,431 |
|  |  | 8/31/2019 |  |  |  | — |  |  |  | 32,025,983 |  |  |  | 34,575,364 |
|  |  | 2/28/2019 |  |  |  | 44,243,908 |  |  |  | — |  |  |  | — |
Return of Capital |  |  | 12/31/2020 |  |  |  | 10,264,492 |  |  |  | 8,006,999 |  |  |  | 5,328,251 |
|  |  | 12/31/2019 |  |  |  | 1,264,429 |  |  |  | — |  |  |  | — |
|  |  | 8/31/2019 |  |  |  | — |  |  |  | — |  |  |  | — |
|  |  | 2/28/2019 |  |  |  | — |  |  |  | — |  |  |  | — |
Total |  |  | 12/31/2020 |  |  | $ | 39,421,129 |  |  | $ | 32,841,097 |  |  | $ | 42,063,454 |
|  |  | 12/31/2019 |  |  | $ | 38,367,935 |  |  | $ | 13,875,793 |  |  | $ | 16,909,431 |
|  |  | 8/31/2019 |  |  | $ | — |  |  | $ | 32,025,983 |  |  | $ | 34,575,364 |
|  |  | 2/28/2019 |  |  | $ | 44,243,908 |  |  | $ | — |  |  | $ | — |

As of period end, the tax components of accumulated earnings (loss) were as follows:

|  | DSU |  |  | FRA |  |  | BLW |
Non-expiring capital loss carryforwards(a) |  | $ | (97,616,259 | ) |  | $ | (49,137,928 | ) |  | $ | (45,910,589 | )
Net unrealized gains (losses)(b) |  |  | (22,348,387 | ) |  |  | (7,342,958 | ) |  |  | 21,869,125 |
Qualified late-year losses(c) |  |  | (105,161 | ) |  |  | (245,530 | ) |  |  | (711,520 | )
|  | $ | (120,069,807 | ) |  | $ | (56,726,416 | ) |  | $ | (24,752,984 | )

| (a) | Amounts available to offset future realized capital gains. |

| (b) | 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, the accrual of income on securities in default, the classification of investments, dividends recognized for tax purposes, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the timing of distributions, amortization methods for premiums on fixed income securities, the accounting for swap agreements and the deferral of compensation to directors. |

| (c) | The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |

As of December 31, 2020, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

|  | DSU |  |  | FRA |  |  | BLW |
Tax cost |  | $ | 807,339,066 |  |  | $ | 723,513,533 |  |  | $ | 854,123,932 |

N O T E S T O F I N A N C I A L S T A T E M E N T S |  | 119

Notes to Financial Statements (continued) |  |

|  | DSU |  |  | FRA |  |  | BLW |
Gross unrealized appreciation |  | $ | 14,839,333 |  |  | $ | 9,762,825 |  |  | $ | 43,956,327 |
Gross unrealized depreciation |  |  | (33,588,620 | ) |  |  | (14,618,824 | ) |  |  | (17,329,515 | )
Net unrealized appreciation (depreciation) |  | $ | (18,749,287 | ) |  | $ | (4,855,999 | ) |  | $ | 26,626,812 |

9. | BANK BORROWINGS

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

The SSB Agreement allows for the following maximum commitment amounts:

Fund Name |  | Commitment Amounts |
DSU |  | $ | 340,000,000 |
FRA |  |  | 274,000,000 |

Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

DSU and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

For the year ended December 31, 2020, the average amount of bank borrowings and the daily weighted average interest rates for DSU and FRA for loans under the revolving credit agreements were as follows:

Fund Name |  | Average Amount Outstanding |  |  | Daily Weighted Average Interest Rate |
DSU |  | $ | 220,721,311 |  |  |  | 1.36 | %
FRA |  |  | 198,650,273 |  |  |  | 1.30 |

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. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.

Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s net asset value and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

120 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Notes to Financial Statements (continued)

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third party service providers.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

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

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within certain Fund’s portfolio are disclosed in its Schedule of Investments.

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

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”) by the end of 2021, and it is expected that LIBOR will cease to be published after that time. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

11. | CAPITAL SHARE TRANSACTIONS

DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s and BLW’s shares is $0.10, $0.10 and $0.001, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2019 through November 30, 2020, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

N O T E S T O F I N A N C I A L S T A T E M E N T S |  | 121

Notes to Financial Statements (continued) |  |

On September 28, 2020, each Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2020, each Fund may repurchase through November 30, 2021, up to 5% of its common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

|  | DSU |  |  | FRA |  |  | BLW |
|  | Shares |  |  | Amount |  |  | Shares |  |  | Amount |  |  | Shares |  |  | Amount |
Year Ended December 31, 2020 |  |  | 353,230 |  |  | $ | 3,364,037 |  |  |  | 569,915 |  |  | $ | 6,507,629 |  |  |  | 170,552 |  |  | $ | 2,364,913 |
Period Ended December 31, 2019 |  |  | 686,397 |  |  |  | 7,398,251 |  |  |  | 420,202 |  |  |  | 5,346,886 |  |  |  | — |  |  |  | — |
Year Ended August 31, 2019 |  |  | — |  |  |  | — |  |  |  | 907,235 |  |  |  | 11,500,788 |  |  |  | 803,959 |  |  |  | 11,648,172 |
Year Ended February 28, 2019 |  |  | 173,552 |  |  |  | 1,913,158 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |

Discount Management Program: DSU’s three-year discount management program (the “Program”) ended in 2020. Under the Program, the Fund offered to repurchase its common shares based on three 3-month measurement periods when the Fund’s common shares traded at an average daily discount to net asset value (“NAV”) of more than 7.5% during a measurement period (the “discount trigger”). There was no guarantee that shareholders would be able to sell all of the shares that they desired to sell in any particular repurchase that was executed.

The discount trigger was met for all three measurement periods. For the first measurement period, the Fund conducted a tender offer for 10% of its outstanding shares of common stock. For the second and third measurement periods, the Fund conducted a tender offer for 5% of its outstanding shares of common stock.

The results of each tender offer were as follows:

Commencement Date(a) |  | Valuation Date |  | Number of Shares Tendered |  |  | Tendered Shares as a Percentage of Outstanding Shares |  |  | Number of Tendered Shares Purchased |  |  | Tendered Shares Purchased as a Percentage of Outstanding Shares |  |  | Purchase Price |  |  | Total Amount of Purchases |
March 16, 2018 |  | April 17, 2018 |  |  | 26,225,806 |  |  |  | 45.0 | % |  |  | 5,879,192 |  |  |  | 10.0 | % |  | $ | 12.4068 |  |  | $ | 72,941,959 |
March 15, 2019 |  | April 15, 2019 |  |  | 21,792,955 |  |  |  | 41.0 |  |  |  | 2,636,959 |  |  |  | 5.0 |  |  |  | 11.9854 |  |  |  | 31,605,008 |
March 17, 2020 |  | April 16, 2020 |  |  | 17,034,684 |  |  |  | 34.0 |  |  |  | 2,470,791 |  |  |  | 5.0 |  |  |  | 10.2018 |  |  |  | 25,206,516 |

| (a) | Date the tender offer period began. |

Tendered share amounts are shown as redemption of shares resulting from share repurchases (including transaction costs) in the Statements of Changes in Net Assets.

12. | SUBSEQUENT EVENTS

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

The Funds declared and paid distributions to Common Shareholders as follows:

|  | Dividend Per Common Share |
Fund Name |  |  | Paid | (a) |  |  | Declared | (b)
DSU |  | $ | 0.060500 |  |  | $ | 0.060500 |
FRA |  |  | 0.066700 |  |  |  | 0.066700 |
BLW |  |  | 0.098100 |  |  |  | 0.098100 |

| (a) | Net investment income dividend paid on January 11, 2021 to Common Shareholders of record on December 31, 2020. |

| (b) | Net investment income dividend declared on February 1, 2021, payable to Common Shareholders of record on February 16, 2021. |

122 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Report of Independent Registered Public Accounting Firm |  |

To the Shareholders and Board of Trustees/Directors of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc. and 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 Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc. and BlackRock Limited Duration Income Trust (the “Funds”), including the schedules of investments, as of December 31, 2020, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets and the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2020, and the results of their operations and their cash flows for the year then ended, the changes in their net assets and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

Fund |  | Statements of Changes in Net Assets |  | Financial Highlights
BlackRock Debt Strategies Fund, Inc. |  | For the year ended December 31, 2020, for the period from March 1, 2019 through December 31, 2019, and for the year ended February 28, 2019 |  | For the year ended December 31, 2020, for the period from March 1, 2019 through December 31, 2019, and for each of the four years in the period ended February 28, 2019. The presented financial highlights were consolidated through November 30, 2017.
BlackRock Floating Rate Income Strategies Fund, Inc. |  | For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019 |  | For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for each of the four years in the period ended August 31, 2019. The presented financial highlights were consolidated through November 30, 2017.
BlackRock Limited Duration Income Trust |  | For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for the year ended August 31, 2019 |  | For the year ended December 31, 2020, for the period from September 1, 2019 through December 31, 2019, and for each of the four years in the period ended August 31, 2019.

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 December 31, 2020, 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

February 23, 2021

We have served as the auditor of one or more BlackRock investment companies since 1992.

R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M |  | 123

Important Tax Information (unaudited) |  |

For corporate shareholders, the percentage of ordinary income distributions paid during the fiscal year ended December 31, 2020 that qualified for the dividends-received deduction were as follows:

Fund Name |  | Dividends-Received Deduction |
DSU |  |  | 0.83 | %
BLW |  |  | 6.39 |

The following maximum amounts are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2020:

Fund Name |  | Qualified Dividend Income |
DSU |  | $ | 366,987 |
BLW |  |  | 2,783,847 |

For the fiscal year ended December 31, 2020, the Funds hereby designate the following maximum amounts allowable as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations:

Fund Name |  | Interest-Related Dividends |
DSU |  | $ | 21,442,980 |
FRA |  |  | 18,357,609 |
BLW |  |  | 23,141,303 |

The Funds hereby designate the following amount of distributions from direct federal obligation interest for the fiscal year ended December 31, 2020:

Fund Name |  | Federal Obligation Interest |
BLW |  | $ | 407,029 |

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

124 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Investment Objectives, Policies and Risks |  |

Recent Changes

The following information is a summary of certain changes since December 31, 2019. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

During each Fund’s most recent fiscal year, there were no material changes in the Fund’s investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Fund.

Investment Objectives and Policies

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

The Fund’s investment objective is to provide stockholders 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 (“floating rate debt securities”). The Fund’s investment objective is a fundamental policy and may not be changed without stockholder approval.

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). “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes). 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 BlackRock Advisors, LLC (the “Manager”) to be of comparable quality. Secured loans may be either wholly or partially secured at the time of investment. In addition to senior loans, floating rate debt securities may include, without limitation, instruments such as catastrophe and other event linked bonds, bank capital securities, corporate bonds, notes, money market instruments and certain types of mortgage related and other asset backed securities. Due to their floating or variable rate features, these instruments will generally pay higher levels of income in a rising interest rate environment and lower levels of income as interest rates decline. For the same reason, the market value of a floating rate debt security is generally expected to have less sensitivity to fluctuations in market interest rates than a fixed rate debt instrument, although the value of a floating rate debt security may nonetheless decline as interest rates rise and due to other factors, such as real or perceived changes in credit quality or financial condition of the issuer or borrower, volatility in the capital markets or other adverse market conditions.

The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

The Fund’s policy to invest, under normal market conditions, at least 80% of its Managed Assets in floating rate debt securities, as described above, is a non-fundamental policy and may be changed by the Board of Directors of the Fund provided that stockholders are provided with at least 60 days’ prior notice of any change, unless such change was previously approved by shareholders, as required by the rules under the 1940 Act.

The Fund may invest up to 20% of its total assets in securities other than floating rate debt securities, including, but not limited to, fixed rate debt securities such as convertible securities, bonds, notes, fixed rate loans and mortgage related and other asset backed securities issued on a public or private basis, collateralized debt obligations, preferred securities, commercial paper, U.S. government securities, structured notes, credit linked notes, credit linked trust certificates and other hybrid instruments.

To a limited extent, incidental to and in connection with its investment activities or pursuant to a convertible feature in a security, the Fund may acquire warrants and other debt and equity securities. The Fund may also acquire other debt and equity securities of a borrower or issuer in connection with an amendment, waiver, conversion or exchange of a senior loan or other debt security or in connection with a bankruptcy or workout of the borrower or issuer.

The Fund may invest without limit, and generally intends to invest a substantial portion of its assets, in high yield securities, including senior loans and other floating or fixed rate debt securities, that are rated below investment grade by the established rating services (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or, if unrated, are considered by the Manager to be of comparable quality. High yield bonds commonly are referred to as “junk” bonds. The high yield securities in which the Fund invests may include credit linked notes, structured notes, credit linked trust certificates or other instruments evidencing interests in special purpose vehicles or trusts that hold interests in high yield securities. Other than with respect to Distressed Securities (which are discussed below), the high yield securities in which the Fund may invest do not include securities which, at the time of investment, are in default or the issuers of which are in bankruptcy. The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Manager.

The Fund may not invest more than 10% of its total assets (at the time of investment) in securities that are rated Caa1 or lower (if rated by Moody’s) or CCC+ or lower (if rated by S&P) by each agency rating such security or, if unrated, are considered by the Manager to be of comparable quality or are otherwise considered to be distressed securities (“Distressed Securities”).

The Fund may invest without limitation in debt securities of issuers domiciled outside the United States. The Fund, however, will not invest more than 10% of its total assets in debt securities of issuers located in emerging market countries. Emerging market countries generally include every nation in the world (including countries that may be considered “frontier” markets) except the United States, Canada, Japan, Australia, New Zealand and most countries located in Western Europe. The Fund will invest primarily in U.S. dollar denominated debt securities. The Fund will not invest more than 10% of its total assets in debt securities denominated in currencies other than the U.S. dollar or that do not provide for payment to the Fund in U.S. dollars, including obligations of non-U.S. governments and their respective subdivisions, agencies and government sponsored enterprises.

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S |  | 125

Investment Objectives, Policies and Risks (continued) |  |

Investment Objectives and Policies (continued)

The Fund may invest in bonds of varying maturities issued by U.S. and non-U.S. corporations and other business or governmental entities. Bonds can be variable or fixed rate debt obligations, including bills, notes, debentures, money market instruments and similar instruments and securities. The Fund may also invest in catastrophe or other “event linked” bonds. The Fund may invest in securities of any maturity.

The Fund may invest in preferred securities, including preferred securities that may be converted into common stock or other securities of the same or a different issuer. The types of preferred securities in which the Fund may invest include trust preferred securities.

The Fund may invest in convertible securities. A convertible security is a bond, debenture, note, preferred security or other security that may be converted into or exchanged for a prescribed amount of common stock or other equity security of the same or a different issuer within a particular period of time at a specified price or formula.

The Fund may invest without limit in illiquid securities, which are floating rate debt securities, senior loans, high yield securities and other securities that lack a secondary trading market or are otherwise considered illiquid

Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. At times, the Fund could utilize leverage through borrowings, the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also leverage through the use of reverse repurchase agreements. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.

BlackRock Limited Duration Income Trust (BLW)

The Fund’s investment objective is to provide current income and capital appreciation. The Fund pursues its objective by investing primarily in three distinct asset classes:

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

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

| • |  | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade.

The Fund may invest directly in such securities or synthetically through the use of derivatives. BlackRock Advisors, LLC (the “Manager”) has broad discretion to allocate the Fund’s assets among these three principal asset classes.

The Fund’s investment objective may be changed by the Board of Trustees of the Fund without prior shareholder approval.

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. In comparison to maturity (which is the date on which the issuer of a debt instrument is obligated to repay the principal amount), duration is a measure of the price volatility of a debt instrument as a result in changes in market rates of interest, based on the weighted average timing of the instrument’s expected principal and interest payments. Specifically, duration measures the anticipated percentage change in net asset value that is expected for every percentage point change in interest rates. The two have an inverse relationship. Duration differs from maturity in that it takes into account a security’s yield, coupon payments and its principal payments in addition to the amount of time until the security finally matures. As the value of a security changes over time, so will its duration. Prices of securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. In general, a portfolio of securities with a longer duration can be expected to be more sensitive to interest rate changes than a portfolio with a shorter duration.

The Fund is intended to have a relatively low level of interest rate risk compared to investment portfolios of similar credit quality but with longer durations. Certain of the Fund’s other strategies, however, may result in an above average amount of risk and volatility or loss of principal.

The Fund may invest in corporate bonds.

The Fund anticipates that, under normal market conditions, a significant portion of its Managed Assets will be invested in securities rated below investment grade, such as those rated (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or securities comparably rated by other rating agencies or in unrated securities determined by the Manager to be of comparable quality. High yield securities commonly are referred to as “junk” bonds. The Fund may invest in individual securities of any credit quality. “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes).

The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Manager. When the Manager believes it to be in the best interests of the Fund’s shareholders, the Fund will reduce its investment in lower grade securities and, in certain market conditions, the Fund may invest none of its assets in lower grade securities.

The Fund may invest without limitation in U.S. dollar denominated securities of non-U.S. issuers and, to a limited extent, non-U.S. dollar-denominated securities of non-U.S. issuers (“Non-U.S. Securities”), including up to 20% of its Managed Assets in issuers located in emerging market countries. The Fund can hold no more than 10% of its Managed Assets in non-U.S. dollar-denominated Non-U.S. Securities.

Non-U.S. Securities may include debt securities issued by foreign governments and other sovereign entities and debt securities issued by foreign corporations or supranational entities and securities denominated in U.S. dollars or, to a limited extent (as described above), in foreign currencies or multinational currency units. The Fund may invest in Brady Bonds and other sovereign debt of countries that have restructured their debt pursuant to the Brady Plan, which are viewed as speculative investments. The Fund may

126 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Investment Objectives, Policies and Risks (continued) |  |

Investment Objectives and Policies (continued)

also purchase debt securities of supranational organizations such as the European Coal and Steel Community, the European Economic Community and the World Bank, which are chartered to promote economic development.

The Fund may invest in debt securities issued or guaranteed by the U.S. government, its agencies or instrumentalities including but not limited to: (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance, such as U.S. Treasury bills (maturity of one year or less), U.S. Treasury notes (maturity of one to ten years), and U.S. Treasury bonds (generally maturities of greater than ten years), including the principal components or the interest components issued by the U.S. government under the separate trading of registered interest and principal securities program (i.e., “STRIPS”), all of which are backed by the full faith and credit of the United States; and (2) obligations issued or guaranteed by U.S. government agencies or instrumentalities, including government guaranteed mortgage-related securities, some of which are backed by the full faith and credit of the U.S. Treasury, some of which are supported by the right of the issuer to borrow from the U.S. government and some of which are backed only by the credit of the issuer itself.

The Fund may invest in mortgage-related securities, which include collateralized mortgage obligations, stripped mortgage-backed securities, mortgage pass-through securities, interests in real estate mortgage investment conduits, real estate investment trusts (“REITs”), including debt and preferred stock issued by REITs, as well as other real estate-related securities. The mortgage-related securities in which the Fund may invest include those with fixed, floating or variable interest rates, those with interest rates that change based on multiples of changes in a specified index of interest rates and those with interest rates that change inversely to changes in interest rates, as well as those that do not bear interest. The Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, including subordinated mortgage-related securities. Although the Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, the Fund expects that most of such investments will be limited to commercial mortgage-related securities, in which the Fund will not invest more than 15% of its Managed Assets.

Asset-backed securities are a form of structured debt obligations. The securitization techniques used for asset-backed securities are similar to those used for mortgage-related securities. The collateral for these securities may include home equity loans, automobile and credit card receivables, boat loans, computer leases, airplane leases, mobile home loans, recreational vehicle loans and hospital account receivables. The Fund may invest in these and other types of asset-backed securities that may be developed in the future.

In addition to senior, secured floating rate loans made to corporate and other business entities, the Fund may also purchase unsecured loans, other floating rate debt securities, and credit-linked notes.

A senior loan is typically originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Fund may purchase “Assignments” from the Agent or other Loan Investors. The Fund also may invest in “Participations.” Participations by the Fund in a Loan Investor’s portion of a senior loan typically will result in the Fund having a contractual relationship only with such Loan Investor, not with the borrower, whereas the Fund, as a purchaser of an Assignment, would typically succeed to all the rights and obligations under the loan agreement of the assigning Loan Investor and become a Loan Investor under the loan agreement with the same rights and obligations as the assigning Loan Investor. The Fund will only acquire Participations if the Loan Investor selling the Participation, and any other persons interpositioned between the Fund and the Loan Investor, are believed by the Manager to be creditworthy at the time they enter into such transactions.

The Fund may also acquire equity securities or debt securities (including non-dollar denominated debt securities) issued in exchange for a senior loan or issued in connection with the debt restructuring or reorganization of a borrower, or if such acquisition, in the judgment of the Manager, may enhance the value of a senior loan or would otherwise be consistent with the Fund’s investment policies.

The Fund may invest in collateralized bond obligations (“CBOs”), which are structured securities backed by a diversified pool of high yield, public or private fixed income securities. Under normal market conditions, the Fund expects to invest in the lower tranches of CBOs.

The Fund may purchase and sell futures contracts, enter into various interest rate transactions such as swaps, caps, floors or collars, currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures and swap contracts (including, but not limited to, credit default swaps) and may purchase and sell exchange-listed and over-the-counter put and call options on securities and swap contracts, financial indices and futures contracts and use other derivative instruments or management techniques. The Fund also may purchase derivative instruments that combine features of these instruments.

The Fund may invest up to 10% of its Managed Assets in securities of other open- or closed-end investment companies that invest primarily in bonds of the types in which the Fund may invest directly. The Fund generally expects to invest in other investment companies either during periods when it has large amounts of uninvested cash, such as the period shortly after the Fund receives the proceeds of the offering of its common shares, or during periods when there is a shortage of attractive opportunities in the fixed income market.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of reverse repurchase agreements. The Fund may borrow from banks and other financial institutions and may also borrow additional funds using such investment techniques as the Manager may from time to time determine. Of these investment techniques, the Fund expects primarily to use reverse repurchase agreements and dollar rolls.

The Fund also has the ability to utilize leverage through the issuance of preferred shares. The Fund does not currently anticipate issuing any preferred shares.

The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to shareholders than that obtainable over time with an unleveraged capital structure. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent

BlackRock Debt Strategies Fund, Inc. (DSU)

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S |  | 127

Investment Objectives, Policies and Risks (continued) |  |

Investment Objectives and Policies (continued)

The Fund’s primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including Corporate Loans (as defined below), which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s Investor’s Service (“Moody’s”) or BBB or lower by S&P Global Ratings (“S&P”)) or unrated debt instruments which are in the judgment of BlackRock Advisors, LLC (the “Manager”) of equivalent quality. Such investments generally involve greater volatility of price and risks to principal and income than securities in the higher rating categories. As a secondary objective, the Fund will seek to provide capital appreciation. The Fund’s investment objectives are fundamental policies and may not be changed without the approval of a majority of the outstanding voting securities of the Fund (as defined in the 1940 Act).

Under normal market conditions, at least 80% of the Fund’s total assets will be invested in debt instruments. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund has no restrictions on portfolio maturity or duration of the debt securities in which it may invest.

The Fund’s investment policies permit investment in the following asset classes which are described in greater detail below: (i) senior and subordinated corporate loans, both secured and unsecured (“Corporate Loans”), issued either directly by the borrower or in the form of participation interests in Corporate Loans made by banks and other financial institutions; (ii) publicly offered and privately placed high-yield debt securities, senior and subordinated, both secured and unsecured; and (iii) convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and nonconvertible preferred stock. The debt securities and Corporate Loans in which the Fund invests may pay interest at fixed rates or at rates that float at a margin above a generally recognized base lending rate such as the prime rate of a designated U.S. bank, or that adjust periodically at a margin above the CD rate or LIBOR.

In connection with its investments in corporate debt securities, or restructuring of investments owned by the Fund, the Fund may receive warrants or other non-income producing debt or equity securities. The Fund may retain such securities until the Manager determines it is appropriate in light of current market conditions to effect a disposition of such securities.

The Fund will not invest in Corporate Loans that would require the Fund to make any additional investments in connection with its obligation to make future advances to a borrower in connection with revolving credit facilities if such commitments would exceed 20% of the Fund’s total assets or would cause the Fund to fail to meet the diversification requirements described herein.

The Fund may invest in high-yield corporate debt securities, including Corporate Loans, which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s and BBB or lower by S&P Global Ratings), or in unrated securities considered by the Manager to be of comparable quality. Securities rated below Baa or lower by Moody’s or BBB or lower by S&P and unrated securities of comparable quality, are commonly known as “junk bonds.” Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.

Up to 20% of the Fund’s total assets may be invested in Distressed Securities (defined below), which includes publicly offered or privately placed debt securities and Corporate Loans which, at the time of investment, are the subject of bankruptcy proceedings or otherwise in default as to the repayment of principal and/or payment of interest or are rated in the lowest rating categories (Ca or lower by Moody’s and CC or lower by S&P) or which, if unrated, are in the judgment of the Manager of equivalent quality (“Distressed Securities”). Although the Fund will invest primarily in lower-rated securities, other than with respect to Distressed Securities (which are discussed below) it will not invest in securities in the lowest rating categories (Ca or below by Moody’s and CC or below by S&P) unless the Manager believes that the financial condition of the issuer or the protection afforded to the particular securities is stronger than would otherwise be indicated by such low ratings. Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.

Up to 20% of the Fund’s total assets may be invested in financial instruments of issuers domiciled outside the United States or that are denominated in various foreign currencies and multinational foreign currency units, provided that the foreign issuers of any non-U.S. dollar denominated instruments purchased by the Fund are domiciled in a country that is a member of the Organisation for Economic Co-operation and Development (OECD).

Up to 20% of the Fund’s total assets can be invested in convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and non-convertible preferred stock. The types of preferred securities in which the Fund may invest include trust preferred securities.

As a result of conversions of convertible securities or upon an exchange offer or bankruptcy plan of reorganization, a significant portion of the Fund’s total assets may be invested in common stock at certain points in time.

The Fund may engage in various portfolio strategies to seek to increase its return and to hedge its portfolio against movements in interest rates or foreign currencies through the use of interest rate or foreign currency swap transactions, the purchase of call and put options on securities, the sale of covered call and put options on its portfolio securities and transactions in financial futures and related options on such futures. There can be no assurance that the Fund will employ these strategies or that, if employed, they will be effective.

The Fund may make short sales of securities, provided that the market value of all securities sold short does not exceed 10% of its total assets. The Fund may make short sales both as a form of hedging to offset potential declines in long positions in similar securities and in order to seek to enhance return. The Fund’s obligation to replace the borrowed security will be secured by collateral deposited with the broker dealer, usually cash, U.S. government securities or other liquid securities similar to those borrowed. The Fund also will be required to segregate similar collateral with its custodian or designate such collateral on its books and records to the extent, if any, necessary so that the value of both collateral amounts in the aggregate is at all times equal to at least 100% of the current market value of the security sold short. The Fund also may make short sales “against the box.” Short sales “against the box” are not subject to the foregoing 10% limitation.

Subject to other investment restrictions applicable to the Fund, up to 10% of the Fund’s assets may be invested in debt instruments, including Corporate Loans, of investment companies (which may or may not be registered under the 1940 Act) whose portfolio securities consist entirely of (i) corporate debt or equity securities acceptable to the Manager or (ii) money market instruments.

128 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Investment Objectives, Policies and Risks (continued) |  |

Investment Objectives and Policies (continued)

The Fund has no limitation on the amount of its investments that are not readily marketable or are subject to restrictions on resale.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to common stockholders than that obtainable if the common stock were unleveraged for any significant amount of time. At times, the Fund could utilize leverage through borrowings, including the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also utilize leverage through the use of reverse repurchase agreements.

The Fund may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which may otherwise require untimely dispositions of Fund securities. The Fund at times may borrow from affiliates of the Manager, provided that the terms of such borrowings are no less favorable than those available from comparable sources of funds in the marketplace.

There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.

Risk Factors

This section contains a discussion of the general risks of investing in each Fund. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Fund will meet its investment objective or that the Fund’s performance will be positive for any period of time. Each risk noted below is applicable to each Fund unless the specific Fund or Funds are noted in a parenthetical.

Investment and Market Discount Risk: An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified.

Debt Securities Risk: Debt securities, such as bonds, involve interest rate risk, credit risk, extension risk, and prepayment risk, among other things.

| • |  | Interest rate risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise

The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.

To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.

These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.

A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.

| • |  | Credit risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.

| • |  | Extension risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.

| • |  | Prepayment risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S |  | 129

Investment Objectives, Policies and Risks (continued) |  |

Risk Factors (continued)

U.S. Government Obligations Risk: Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States.

U.S. Government Mortgage-Related Securities Risk (FRA and BLW): 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. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee. Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Mortgage- and Asset-Backed Securities Risks (FRA and BLW): Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.

Senior Loans Risk: There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher non-payment rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.

Risks of Loan Assignments and Participations (BLW) — As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

Corporate Loans Risk (DSU): Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade.

Variable and Floating Rate Instrument Risk: Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time

Junk Bonds Risk: Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.

Distressed Securities Risk (FRA and DSU): Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.

Collateralized Bond Obligations Risk (BLW): The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates

Collateralized Debt Obligations Risk (FRA) — In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized

130 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Investment Objectives, Policies and Risks (continued) |  |

Risk Factors (continued)

statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly.

Sovereign Debt Risk (FRA and BLW): Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.

Brady Bonds Risk (BLW): Brady Bonds involve various risk factors described above associated with investing in non-U.S. securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds.

Supranational Entities Risk (BLW): The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments.

Foreign Securities Risk: Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:

| • |  | The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.

| • |  | Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.

| • |  | The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.

| • |  | The governments of certain countries may prohibit or impose substantial restrictions on foreign investments in their capital markets or in certain industries.

| • |  | Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.

| • |  | Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.

| • |  | The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.

Emerging Markets Risk (FRA and BLW): Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

Equity Securities Risk —Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.

Preferred Securities Risk: Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.

Convertible Securities Risk (FRA and DSU): The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest or dividends when due, and their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock.

Warrants Risk (FRA and DSU): If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially 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.

Real Estate-Related Securities Risk (BLW): The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, tenant bankruptcies, the ability to re-lease space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S |  | 131

Investment Objectives, Policies and Risks (continued) |  |

Risk Factors (continued)

costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities.

REIT Investment Risk (BLW): Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders.

Derivatives Risk: The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:

| • |  | Volatility Risk: Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.

| • |  | Counterparty Risk: Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation.

| • |  | Market and Illiquidity Risk: The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.

| • |  | Valuation Risk: Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.

| • |  | Hedging Risk: Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.

| • |  | Tax Risk: Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.

| • |  | Regulatory Risk: Derivative contracts, including, without limitation, swaps, currency forwards and non-deliverable forwards, are subject to regulation under the Dodd- Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) in the United States and under comparable regimes in Europe, Asia and other non- U.S. jurisdictions. Under the Dodd-Frank Act, certain derivatives are subject to margin requirements and swap dealers are required to collect margin from the Fund with respect to such derivatives. Specifically, regulations are now in effect that require swap dealers to post and collect variation margin (comprised of specified liquid instruments and subject to a required haircut) in connection with trading of OTC swaps with the Fund. Shares of investment companies (other than certain money market funds) may not be posted as collateral under these regulations. Requirements for posting of initial margin in connection with OTC swaps will be phased-in through at least 2021. In addition, regulations adopted by global prudential regulators that are now in effect require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many derivatives contracts, terms that delay or restrict the rights of counterparties, such as the Fund, to terminate such contracts, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. The implementation of these requirements with respect to derivatives, as well as regulations under the Dodd-Frank Act regarding clearing, mandatory trading and margining of other derivatives, may increase the costs and risks to the Fund of trading in these instruments and, as a result, may affect returns to investors in the Fund.

| • |  | On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the Investment Company Act of 1940, as amended (the “Investment Company Act”), treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Structured Notes Risk (FRA): Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.

Leverage Risk: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility or reverse repurchase agreements, as applicable. The Fund also utilizes leverage for investment purposes by entering into derivatives with leverage embedded in them and, if applicable, dollar rolls. The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage.

The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful. Leverage involves risks and special considerations for common shareholders, including:

132 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Investment Objectives, Policies and Risks (continued) |  |

Risk Factors (continued)

| • |  | the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage;

| • |  | the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders;

| • |  | the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares;

| • |  | leverage may increase operating costs, which may reduce total return.

Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.

Reverse Repurchase Agreements Risk: Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.

Dollar Rolls Risk (BLW): Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.

Short Sales Risk (DSU): Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short.

Illiquid Investments Risk: The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Investment Companies and ETFs Risk (BLW and DSU): Subject to the limitations set forth in the Investment Company Act, or as otherwise limited by the SEC, the Fund may acquire shares in other investment companies and in exchange-traded funds (“ETFs”), some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).

The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished.

As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.

Market Risk and Selection Risk: Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.

A recent outbreak of an infectious coronavirus has developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.

I N V E S T M E N T O B J E C T I V E S, P O L I C I E S A N D R I S K S |  | 133

Automatic Dividend Reinvestment Plan |  |

Pursuant to DSU, FRA and BLW’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 DSU, FRA and BLW 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 in that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. Participants in that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at 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.

134 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

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 |  | Public Company and Other Investment Company Directorships Held During Past Five Years
Richard E. Cavanagh 1946 |  | Co-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) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (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 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. |  | 84 RICs consisting of 108 Portfolios |  | None
Karen P. Robards 1950 |  | Co-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; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987. |  | 84 RICs consisting of 108 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 from 2017 to September 2020; 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) from 2015 to July 2020. |  | 84 RICs consisting of 108 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. |  | 84 RICs consisting of 108 Portfolios |  | Unum (insurance); The Hanover Insurance Group (Board Chair) (insurance); Huntsman Corporation (chemical products); Envestnet (investment platform) from 2013 until 2016
Frank J. Fabozzi(d) 1948 |  | Director (Since 2007) |  | Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year. |  | 85 RICs consisting of 109 Portfolios |  | None

D I R E C T O R A N D O F F I C E R I N F O R M A T I O N |  | 135

Director and Officer Information (continued)

Independent Directors(a) (continued)
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 |  | Public Company and Other Investment Company Directorships Held During Past Five Years
R. Glenn Hubbard 1958 |  | Director (Since 2007) |  | Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988. |  | 84 RICs consisting of 108 Portfolios |  | ADP (data and information services); Metropolitan Life Insurance Company (insurance); KKR Financial Corporation (finance) from 2004 until 2014
W. Carl Kester(d) 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. |  | 85 RICs consisting of 109 Portfolios |  | None
Catherine A. Lynch(d) 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. |  | 85 RICs consisting of 109 Portfolios |  | None
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 |  | Public Company and Other Investment Company Directorships Held During Past Five Years
Robert Fairbairn 1965 |  | Director (Since 2018) |  | Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016. |  | 117 RICs consisting of 267 Portfolios |  | None
John M. Perlowski(d) 1964 |  | Director (Since 2015); President and Chief Executive Officer (Since 2010) |  | 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. |  | 118 RICs consisting of 268 Portfolios |  | None

(a) | The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) | Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

136 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Director and Officer Information (continued)

(c) | Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Directors first became members 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) | Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund.

(e) | Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

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) |  | Chief Financial Officer of the iShares® exchange traded funds from 2019 to 2020; 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 certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income 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, New York 10055.

(b) | Officers of the Fund serve at the pleasure of the Board.

Neal J. Andrews retired as the Chief Financial Officer effective December 31, 2020, and Trent Walker was elected as the Chief Financial Officer effective January 1, 2021.

Effective October 15, 2020, BLW’s portfolio managers are Scott MacLellan, James Keenan, Mitch Garfin, David Delbos and Akiva Dickstein. Mr. Dickstein has been a Managing Director of BlackRock since 2009.

D I R E C T O R A N D O F F I C E R I N F O R M A T I O N |  | 137

Additional Information

Proxy Results

The Annual Meeting of Shareholders was held on July 27, 2020 for shareholders of record on May 29, 2020, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Shareholders elected the Class I Directors as follows:

|  | Michael J. Castellano |  |  | R. Glenn Hubbard |  |  | John M. Perlowski |  |  | W. Carl Kester |
Fund Name |  | Votes For |  |  | Votes Withheld |  |  | Votes For |  |  | Votes Withheld |  |  | Votes For |  |  | Votes Withheld |  |  | Votes For |  |  | Votes Withheld |
BLW |  |  | 29,864,079 |  |  |  | 1,553,640 |  |  |  | 29,230,877 |  |  |  | 2,186,842 |  |  |  | 29,882,614 |  |  |  | 1,535,105 |  |  |  | 29,872,580 |  |  |  | 1,545,139 |

For the Fund listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Catherine A. Lynch, Karen P. Robards and Frank J. Fabozzi.

Shareholders elected the Class I Directors as follows:

|  | Cynthia L. Egan |  |  | Michael J. Castellano |  |  | Catherine A. Lynch |
Fund Name |  | Votes For |  |  | Votes Withheld |  |  | Votes For |  |  | Votes Withheld |  |  | Votes For |  |  | Votes Withheld |
DSU |  |  | 37,336,033 |  |  |  | 3,148,025 |  |  |  | 32,815,644 |  |  |  | 7,668,414 |  |  |  | 32,525,012 |  |  |  | 7,959,046 |
FRA |  |  | 23,419,704 |  |  |  | 6,385,871 |  |  |  | 22,780,552 |  |  |  | 7,025,023 |  |  |  | 23,207,980 |  |  |  | 6,597,595 |

For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Richard E. Cavanagh, Robert Fairbairn, R. Glenn Hubbard, John M. Perlowski, Karen P. Robards, Frank J. Fabozzi and W. Carl Kester.

Fund Certification

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

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by the third quarter of 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities so that a failure to comply with the limits would result in a statutory violation and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Environmental, Social and Governance (“ESG”) Integration

Although a Fund does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Fund management will consider ESG characteristics as part of the investment process for actively managed Funds. These considerations will vary depending on a Fund’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Fund management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Fund. The ESG characteristics utilized in a Fund’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Fund. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Fund may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Fund’s exposure to certain companies or industries and a Fund may forego certain investment opportunities. While Fund management views ESG considerations as having the potential to contribute to a Fund’s long-term performance, there is no guarantee that such results will be achieved.

Dividend Policy

Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.

The distributions paid by a Fund for any particular month may be more or less than the amount of net investment income earned by a Fund during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the

138 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Additional Information (continued)

Dividend Policy (continued)

distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Fund’s total assets and net asset value per share (“NAV”) and, therefore, could have the effect of increasing the Fund’s expense ratio and reducing the amount of assets the Fund has available for long term investment.

General Information

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

The following information is a summary of certain changes since December 31, 2019. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

Effective October 19, 2020, each of DSU and FRA has elected to be subject to the Maryland Control Share Acquisition Act (the “MCSAA”). In general, the MCSAA limits the ability of holders of “control shares” to vote those shares above various threshold levels that start at 10% unless the other stockholders of DSU and FRA, as applicable, reinstate those voting rights at a meeting of stockholders as provided in the MCSAA. “Control shares” are generally defined in the MCSAA as shares of stock that, if aggregated with all other shares of stock that are either (i) owned by a person or (ii) as to which that person is entitled to exercise or direct the exercise of voting power, except solely by virtue of a revocable proxy, would entitle that person to exercise voting power in electing directors above various thresholds of voting power starting at 10%. DSU’s and FRA’s Bylaws also provide that the provisions of the MCSAA shall not apply to the voting rights of the holders of any shares of preferred stock of DSU and FRA, but the MCSAA would apply to any common stock held by the same holder.

Except if noted otherwise herein, there were no changes to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders. Except if noted otherwise herein, 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, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

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

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies 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 blackrock.com; and (3) on the SEC’s website at sec.gov.

A D D I T I O N A L I N F O R M A T I O N |  | 139

Additional Information (continued)

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 blackrock.com; or by calling (800) 882-0052 and (2) on the SEC’s website at sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

140 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Additional Information (continued)

(continued) |  |
Fund and Service Providers |  |
Investment Adviser |  | Transfer Agent
BlackRock Advisors, LLC |  | Computershare Trust Company, N.A.
Wilmington, DE 19809 |  | Canton, MA 02021
Sub-Adviser |  | Independent Registered Public Accounting Firm
BlackRock International Limited |  | Deloitte & Touche LLP
Edinburgh, EH3 8BL |  | Boston, MA 02116
United Kingdom |  |
|  | Legal Counsel
BlackRock (Singapore) Limited(a) |  | Willkie Farr & Gallagher LLP
079912 Singapore |  | New York, NY 10019
Accounting Agent and Custodian |  | Address of the Funds
State Street Bank and Trust Company |  | 100 Bellevue Parkway
Boston, MA 02111 |  | Wilmington, DE 19809
(a) For BLW. |  |

A D D I T I O N A L I N F O R M A T I O N |  | 141

Glossary of Terms Used in this Report

Currency Abbreviation
EUR |  | Euro
GBP |  | British Pound
USD |  | United States Dollar
Portfolio Abbreviation
ABS |  | Asset-Backed Security
CLO |  | Collateralized Loan Obligation
CMT |  | Constant Maturity Treasury
CR |  | Custodian Receipt
DAC |  | Designated Activity Company
DIP |  | Debtor-In-Possession
ETF |  | Exchange-Traded Fund
EURIBOR |  | Euro Interbank Offered Rate
LIBOR |  | London Interbank Offered Rate
MSCI |  | Morgan Stanley Capital International
MTN |  | Medium-Term Note
PCL |  | Public Company Limited
PIK |  | Payment-in-Kind
PJSC |  | Public Joint Stock Company
REIT |  | Real Estate Investment Trust
S&P |  | Standard & Poor’s
SAB |  | Special Assessment Bonds
SCA |  | Svenska Celluosa Aktiebolaget
SPDR |  | Standard & Poor’s Depository Receipt

142 |  | 2 0 2 0 B L A C K R O C K A N N U A L R E P O R T T O S H A R E H O L D E R S

Want to know more?

blackrock.com | 800-882-0052

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

CEFT-BK3-12/20-AR

(b) Not Applicable

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

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

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 of a person 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

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:

2

|  | (a) Audit Fees |  | (b) Audit-Related Fees1 |  | (c) Tax Fees2, 4 |  | (d) All Other Fees
Entity Name |  | Current Fiscal Year End |  | Previous Fiscal Year End3 |  | Current Fiscal Year End |  | Previous Fiscal Year End3 |  | Current Fiscal Year End |  | Previous Fiscal Year End3 |  | Current Fiscal Year End |  | Previous Fiscal Year End3
BlackRock Debt Strategies Fund, Inc. |  | $83,752 |  | $83,752 |  | $0 |  | $0 |  | $14,900 |  | $7,700 |  | $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 (the “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 End3
(b) Audit-Related Fees1 |  | $0 |  | $0
(c) Tax Fees2, 5 |  | $0 |  | $0
(d) All Other Fees4 |  | $1,984,000 |  | $2,050,500

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 The registrant changed its fiscal year end from February 28 to December 31 effective December 31, 2019 whereby this fiscal year consists of the ten months ended December 31, 2019.

4 Non-audit fees of $1,984,000 and $2,050,500 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.

5 Includes fees for the Fund and the Fund’s subsidiary.

(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.

3

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 12/31/20 |  |  |  | Previous Fiscal Year End 12/31/191
BlackRock Debt Strategies Fund, Inc. |  |  |  | $14,900 |  |  |  | $7,700

1 The registrant changed its fiscal year end from February 28 to December 31 effective December 31, 2019 whereby this fiscal year consists of the ten months ended December 31, 2019.

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 12/31/20 |  | Previous Fiscal Year End 12/31/191
$1,984,000 |  | $2,050,500

1 The registrant changed its fiscal year end from February 28 to December 31 effective December 31, 2019 whereby this fiscal year consists of the ten months ended December 31, 2019.

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.

4

Item 5 – | Audit Committee of Listed Registrant

(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

Frank J. Fabozzi

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, a copy of the Fund’s Global Corporate Governance & Engagement Principles are attached as Exhibit 99.GLOBAL.CORP.GOV and a copy of the Fund’s Corporate Governance and Proxy Voting Guidelines for U.S. Securities are attached as Exhibit 99.US.CORP.GOV. 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:

5

The Fund is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock and David Delbos, Managing Director at BlackRock. Messrs. Keenan, Garfin, and Delbos are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the Fund’s portfolio and the selection of its investments. Messrs. Keenan, Garfin and Delbos have been a members of the Fund’s portfolio management team since 2009, 2016 and 2018, respectively.

Portfolio Manager |  | Biography
James E. Keenan |  | Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007.
Mitchell Garfin |  | Managing Director of BlackRock since 2009; Director of BlackRock from 2005 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.

(a)(2) As of December 31, 2020:

|  | (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
James E. Keenan |  | 21 |  | 30 |  | 20 |  | 0 |  | 0 |  | 6
|  | $42.23 Billion |  | $16.85 Billion |  | $10.19 Billion |  | $0 |  | $0 |  | $1.38 Billion
Mitchell Garfin |  | 24 |  | 23 |  | 55 |  | 0 |  | 0 |  | 5
|  | $44.75 Billion |  | $14.70 Billion |  | $16.26 Billion |  | $0 |  | $0 |  | $1.25 Billion
David Delbos |  | 24 |  | 21 |  | 54 |  | 0 |  | 0 |  | 5
|  | $41.34 Billion |  | $14.75 Billion |  | $16.49 Billion |  | $0 |  | $0 |  | $1.25 Billion

(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 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

6

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. Keenan, Garfin, and Delbos 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. Keenan, Garfin, and Delbos 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 December 31, 2020:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2020.

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.

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

7

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 Fund 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 Fund 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: 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.

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.

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

8

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 ($285,000 for 2020). 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 December 31, 2020.

Portfolio Manager |  | Dollar Range of Equity Securities of the Fund Beneficially Owned
James Keenan |  | $100,001 - $500,000
Mitchell Garfin |  | $100,001 - $500,000
David Delbos |  | $500,001 - $1,000,000

(b) Not Applicable

Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Period |  | (a) Total Number of Shares Purchased1 |  | (b) Average Price Paid per Share |  | (c) Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs1 |  | (d) Maximum Number of Shares that May Yet Be Purchased Under the Plans or Programs1
July 1-31, 2020 |  | 177,050 |  | $9.6345 |  | 177,050 |  | 2,308998
August 1-31, 2020 |  | 0 |  | 0 |  | 0 |  | 2,308,998
September 1-30, 2020 |  | 14,387 |  | $10.1893 |  | 14,387 |  | 2,294,611
October 1-31, 2020 |  | 0 |  | 0 |  | 0 |  | 2,294,611
November 1-30, 2020 |  | 0 |  | 0 |  | 0 |  | 2,294,611
December 1-31, 2020 |  | 0 |  | 0 |  | 0 |  | 2,329,590
Total: |  | 191,437 |  | $9.6762 |  | 191,437 |  | 2,329,590

1 On September 5, 2019, the Fund announced a continuation of its open market share repurchase program. Commencing on December 1, 2019, the Fund may repurchase through November 30, 2020, up to 5% of its common shares outstanding as of the close of business on November 30, 2019, subject to certain conditions. On September 28, 2020, the Fund announced a further continuation of its open market share repurchase program. Commencing on December 1, 2020, the Fund may repurchase through November 30, 2021, up to 5% of its common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions.

Item 10 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

9

Item 11 – | Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

Item 13 – | Exhibits attached hereto

(a)(1) Code of Ethics – See Item 2

(a)(2) Section 302 Certifications are attached

(a)(3) Not Applicable

(a)(4) Not Applicable

(b) Section 906 Certifications are attached

(c) Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned,in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

10

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 Debt Strategies Fund, Inc.

|  | By: |  | /s/ John M. Perlowski
|  |  |  | John M. Perlowski
|  |  |  | Chief Executive Officer (principal executive officer) of
|  |  |  | BlackRock Debt Strategies Fund, Inc.

Date: March 5, 2021

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

|  | By: |  | /s/ John M. Perlowski
|  |  |  | John M. Perlowski
|  |  |  | Chief Executive Officer (principal executive officer) of
|  |  |  | BlackRock Debt Strategies Fund, Inc.

Date: March 5, 2021

|  | By: |  | /s/ Trent Walker
|  |  |  | Trent Walker
|  |  |  | Chief Financial Officer (principal financial officer) of
|  |  |  | BlackRock Debt Strategies Fund, Inc.

Date: March 5, 2021

11