N-CSR 1 d85091dncsr.htm BLACKROCK LTD DURATION INCOME TRUST

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 811-21349

Name of Fund: BlackRock Limited Duration Income Trust (BLW)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Limited Duration Income Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 08/31/2015

Date of reporting period: 08/31/2015

Item 1 – Report to Stockholders

AUGUST 31, 2015

ANNUAL REPORT |  |  |  |

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents |  |

|  | Page |
The Markets in Review |  |  | 3 |
Annual Report: |  |  |  |
Fund Summaries |  |  | 4 |
The Benefits and Risks of Leveraging |  |  | 10 |
Derivative Financial Instruments |  |  | 10 |
Financial Statements |  |  |  |
Schedules of Investments |  |  | 11 |
Statements of Assets and Liabilities |  |  | 58 |
Statements of Operations |  |  | 59 |
Statements of Changes in Net Assets |  |  | 60 |
Statements of Cash Flows |  |  | 63 |
Financial Highlights |  |  | 64 |
Notes to Financial Statements |  |  | 67 |
Report of Independent Registered Public Accounting Firm |  |  | 80 |
Important Tax Information |  |  | 80 |
Disclosure of Investment Advisory Agreements |  |  | 81 |
Automatic Dividend Reinvestment Plans |  |  | 85 |
Officers and Directors |  |  | 86 |
Additional Information |  |  | 89 |

2 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks between regions were the broader themes underlying market conditions during the 12-month period ended August 31, 2015. The period began with investors caught between the forces of low interest rates and an improving U.S. economy, high asset valuations, oil price instability and lingering geopolitical risks in Ukraine and the Middle East. U.S. growth picked up considerably in the fourth quarter of 2014, while the broader global economy showed signs of slowing. Investors favored the stability of U.S. assets despite expectations that the Federal Reserve (“Fed”) would eventually be inclined to raise short-term interest rates. International markets continued to struggle even as the European Central Bank and the Bank of Japan eased monetary policy. Oil prices plummeted in late 2014 due to a global supply-and-demand imbalance, sparking a sell-off in energy-related assets and emerging markets. Investors piled into U.S. Treasury bonds as their persistently low yields had become attractive as compared to the even lower yields on international sovereign debt.

Equity markets reversed in early 2015, with international markets outperforming the United States as global risks abated. Investors had held high expectations for the U.S. economy, but a harsh winter and west coast port strike brought disappointing first-quarter data and high valuations took their toll on U.S. stocks, while bond yields fell to extreme lows. (Bond prices rise as yields fall.) In contrast, economic reports in Europe and Asia easily beat investors’ very low expectations, and accommodative policies from central banks in those regions helped international equities rebound. Oil prices stabilized, providing some relief for emerging market stocks, although a stronger U.S. dollar continued to be a headwind for the asset class.

U.S. economic data regained momentum in the second quarter, helping U.S. stocks resume an upward path; however, the improving data underscored the likelihood that the Fed would raise short-term rates before the end of 2015 and bond yields moved swiftly higher. The month of June brought a sharp, but temporary, sell-off across most asset classes as Greece’s long-brewing debt troubles came to an impasse. Although these concerns abated in the later part of July when the Greek parliament passed a series of austerity and reform measures, the calm was short-lived. Chinese equity prices plunged and experienced extreme volatility despite policymakers’ attempts to stabilize the market. Financial markets broadly were highly volatile during the month of August as evidence of a further deceleration in China’s economy stoked worries about global growth. Equity and high yield assets declined, with emerging markets especially hard hit given falling commodity prices and lower growth estimates for many of those economies. High quality fixed income assets such as U.S. Treasury and municipal bonds benefited from investors seeking shelter from global volatility.

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

Sincerely,

Rob Kapito

President, BlackRock Advisors, LLC

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of August 31, 2015 |
|  | 6-month |  |  | 12-month |
U.S. large cap equities (S&P 500® Index) |  |  | (5.32 | )% |  |  | 0.48 | %
U.S. small cap equities (Russell 2000® Index) |  |  | (5.36 | ) |  |  | 0.03 |
International equities (MSCI Europe, Australasia, Far East Index) |  |  | (6.30 | ) |  |  | (7.47 | )
Emerging market equities (MSCI Emerging Markets Index) |  |  | (15.97 | ) |  |  | (22.95 | )
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) |  |  | 0.02 |  |  |  | 0.03 |
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index) |  |  | (0.86 | ) |  |  | 3.24 |
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index) |  |  | (0.68 | ) |  |  | 1.56 |
Tax-exempt municipal bonds (S&P Municipal Bond Index) |  |  | 0.21 |  |  |  | 2.38 |
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index) |  |  | (2.85 | ) |  |  | (2.93 | )
Past performance is no guarantee of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |

|  | THIS PAGE NOT PART OF YOUR FUND REPORT |  |  |  | 3

Fund Summary as of August 31, 2015 |  | BlackRock Defined Opportunity Credit Trust

Fund Overview

BlackRock Defined Opportunity Credit Trust’s (BHL) (the “Fund”) primary investment objective is to provide high current income, with a secondary objective of long-term capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets in loan and debt instruments and loan-related and debt-related instruments (collectively “credit securities”). The Fund invests, under normal market conditions, at least 80% of its assets in any combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured floating rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary

Returns for the 12 months ended August 31, 2015 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | NAV3 |
BHL 1 |  |  | 0.15 | % |  |  | 2.80 | %
Lipper Loan Participation Funds 2 |  |  | (3.67 | )% |  |  | 0.25 | %

| 1 |  | All returns reflect reinvestment of dividends and/or distributions.

| 2 |  | Average return.

| 3 |  | The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

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

What factors influenced performance?

• |  | Despite weakness in late 2014, the loan market provided a modest positive return for the full 12-month period. Given the positive returns experienced, the Fund’s use of leverage added modestly to performance for the period. The Fund’s exposure to names in the health care and technology sectors were amongst the top performers over the period.

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

Describe recent portfolio activity.

• |  | During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. From a sector perspective, the Fund added to names in the pharmaceuticals and health care sectors, where increased merger and acquisition activity has led to some attractive investment opportunities.

Describe portfolio positioning at period end.

• |  | At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with a small position in high yield corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, with a focus on names that have shown consistent credit improvement. In general, the Fund maintained a bias toward more liquid loans, which have held up better during recent market volatility.

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

4 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

|  | BlackRock Defined Opportunity Credit Trust

Fund Information |  |
Symbol on New York Stock Exchange (“NYSE”) |  | BHL
Initial Offering Date |  | January 31, 2008
Current Distribution Rate on Closing Market Price as of August 31, 2015 ($12.95)1 |  | 5.40%
Current Monthly Distribution per Common Share 2 |  | $0.0583
Current Annualized Distribution per Common Share 2 |  | $0.6996
Economic Leverage as of August 31, 2015 3 |  | 26%

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

| 2 |  | The monthly distribution per Common Share, declared on October 1, 2015, was decreased to $0.0510 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

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

Market Price and Net Asset Value Per Share Summary

|  | 8/31/15 |  |  | 8/31/14 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 12.95 |  |  | $ | 13.84 |  |  |  | (6.43 | )% |  | $ | 13.89 |  |  | $ | 12.60 |
Net Asset Value |  | $ | 13.84 |  |  | $ | 14.41 |  |  |  | (3.96 | )% |  | $ | 14.42 |  |  | $ | 13.72 |

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

Overview of the Fund’s Total Investments

Portfolio Composition |  | 8/31/15 |  |  | 8/31/144 |
Floating Rate Loan Interests |  |  | 94 | % |  |  | 94 | %
Corporate Bonds |  |  | 3 |  |  |  | 2 |
Asset-Backed Securities |  |  | 3 |  |  |  | 2 |
Short-Term Securities |  |  | — | 5 |  |  | 1 |
Common Stocks |  |  | — | 5 |  |  | 1 |
Other 6 |  |  | — |  |  |  | — |

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

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

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

Credit Quality Allocation7,8 |  | 8/31/15 |  |  | 8/31/144 |
A |  |  | 1 | % |  |  | — |
BBB/Baa |  |  | 8 |  |  |  | 6 | %
BB/Ba |  |  | 45 |  |  |  | 43 |
B |  |  | 40 |  |  |  | 44 |
CCC/Caa |  |  | 3 |  |  |  | 4 |
N/R |  |  | 3 |  |  |  | 3 |

| 7 |  | For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used.

|  |  | Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

| 8 |  | Excludes short-term securities.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 5

Fund Summary as of August 31, 2015 |  | BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Overview

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

Portfolio Management Commentary

Returns for the 12 months ended August 31, 2015 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | NAV3 |
FRA 1 |  |  | (3.71 | )% |  |  | 2.88 | %4
Lipper Loan Participation Funds 2 |  |  | (3.67 | )% |  |  | 0.25 | %

| 1 |  | All returns reflect reinvestment of dividends and/or distributions.

| 2 |  | Average return.

| 3 |  | The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

| 4 |  | For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return based on net asset value performance presented herein are different than the information previously published on August 31, 2015.

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

What factors influenced performance?

• |  | During the 12-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the market, declined also.

• |  | Leading positive contributors to the Fund’s absolute performance included holdings within health care and technology.

Describe recent portfolio activity.

• |  | During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. The Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, exposure there has been reduced to a modest amount in line with the benchmark. Additionally, the portfolio increased its exposure to higher quality A- rated and BBB-rated collateralized loan obligations (CLOs), and from a sector perspective added to names in the pharmaceuticals and technology sectors, while reducing risk in lodging.

Describe portfolio positioning at period end.

• |  | At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with a meaningful position as well in floating rate CLOs based on attractive relative valuations. The Fund also held a relatively small position in high yield bonds. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans. The Fund’s largest positions included Valeant Pharmaceuticals International, Inc., First Data Corp. (technology), and Level 3 Communications (telecommunications).

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

6 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

|  | BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE |  | FRA
Initial Offering Date |  | October 31, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2015 ($12.94)1 |  | 6.25%
Current Monthly Distribution per Common Share 2 |  | $0.0674
Current Annualized Distribution per Common Share 2 |  | $0.8088
Economic Leverage as of August 31, 2015 3 |  | 26%

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

| 2 |  | The monthly distribution per Common Share, declared on October 1, 2015, was decreased to $0.0610 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

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

Market Price and Net Asset Value Per Share Summary

|  | 8/31/15 |  |  | 8/31/14 |  |  | Change |  |  | High |  |  | Low |
Market Price |  |  | $12.94 |  |  |  | $14.26 |  |  |  | (9.26)% |  |  |  | $14.32 |  |  |  | $11.84 |
Net Asset Value |  |  | $14.91 |  |  |  | $15.38 |  |  |  | (3.06)% |  |  |  | $15.38 |  |  |  | $14.69 |

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

Overview of the Fund’s Total Investments

Portfolio Composition |  | 8/31/15 |  |  | 8/31/144 |
Floating Rate Loan Interests |  |  | 92 | % |  |  | 93 | %
Corporate Bonds |  |  | 3 |  |  |  | 3 |
Asset-Backed Securities |  |  | 4 |  |  |  | 2 |
Common Stocks |  |  | 1 |  |  |  | 1 |
Other |  |  | — | 5 |  |  | 1 |

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

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

Credit Quality Allocation6,7 |  | 8/31/15 |  |  | 8/31/144 |
A |  |  | 1 | % |  |  | — |
BBB/Baa |  |  | 8 |  |  |  | 6 | %
BB/Ba |  |  | 44 |  |  |  | 43 |
B |  |  | 40 |  |  |  | 43 |
CCC/Caa |  |  | 3 |  |  |  | 4 |
N/R |  |  | 4 |  |  |  | 4 |

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

| 7 |  | Excludes short-term securities.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 7

Fund Summary as of August 31, 2015 |  | BlackRock Limited Duration Income Trust

Fund Overview

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

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

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

• |  | U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade.

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

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

Portfolio Management Commentary

Returns for the 12 months ended August 31, 2015 were as follows:

|  | Returns Based On |
|  | Market Price |  |  | NAV3 |
BLW 1 |  |  | (5.74 | )% |  |  | 2.23 | %4
Lipper High Yield Funds (Leveraged)2 |  |  | (12.17 | )% |  |  | (5.11 | )%

| 1 |  | All returns reflect reinvestment of dividends and/or distributions.

| 2 |  | Average return.

| 3 |  | The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV.

| 4 |  | For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return based on net asset value performance presented herein are different than the information previously published on August 31, 2015.

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

What factors influenced performance?

• |  | The main contributors to the Fund’s absolute performance were its exposure to term loans, asset-backed securities (“ABS”) and its duration and yield curve positioning.

• |  | The main detractors from the Fund’s absolute performance during the period were its marginal positions in equity securities.

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

Describe recent portfolio activity.

• |  | The Fund reduced its exposure to high yield, while it increased its allocation to ABS and commercial mortgage-backed securities (“CMBS”). The Fund made these moves in anticipation of a negative impact on credit sentiment as the Federal Reserve’s quantitative easing program came to an end, and in the belief that ABS and CMBS offered attractive relative value.

Describe portfolio positioning at period end.

• |  | At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield and term loans as well as investment grade corporate credit, CMBS, ABS, and mortgage-backed securities (“MBS”).

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

8 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

|  | BlackRock Limited Duration Income Trust

Fund Information |  |  |  |  |  |  |  |  |  |

Symbol on NYSE |  | BLW
Initial Offering Date |  | July 30, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2015 ($14.60)1 |  | 8.18%
Current Monthly Distribution per Common Share 2 |  | $0.0995
Current Annualized Distribution per Common Share 2 |  | $1.1940
Economic Leverage as of August 31, 2015 3 |  | 30%

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

| 2 |  | The monthly distribution per Common Share, declared on October 1, 2015, was decreased to $0.0870 per share. The current distribution rate on closing market price, current monthly distribution per Common Share, and current annualized distribution per Common Share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.

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

Market Price and Net Asset Value Per Share Summary |  |  |  |  |  |  |  |  |  |

|  | 8/31/15 |  |  | 8/31/14 |  |  | Change |  |  | High |  |  | Low |
Market Price |  | $ | 14.60 |  |  | $ | 16.81 |  |  |  | (13.15 | )% |  | $ | 16.84 |  |  | $ | 13.76 |
Net Asset Value |  | $ | 17.04 |  |  | $ | 18.09 |  |  |  | (5.80 | )% |  | $ | 18.10 |  |  | $ | 16.93 |

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

Overview of the Fund’s Total Investments |  |  |  |  |  |  |  |  |  |

Portfolio Composition |  | 8/31/15 |  |  | 8/31/144 |
Corporate Bonds |  |  | 38 | % |  |  | 42 | %
Floating Rate Loan Interests |  |  | 26 |  |  |  | 32 |
Asset-Backed Securities |  |  | 16 |  |  |  | 5 |
Non-Agency Mortgage-Backed Securities |  |  | 10 |  |  |  | 7 |
Preferred Securities |  |  | 8 |  |  |  | 8 |
U.S. Government Sponsored Agency Securities |  |  | 1 |  |  |  | 4 |
Foreign Agency Obligations |  |  | 1 |  |  |  | — | 5
Common Stocks |  |  | — | 5 |  |  | 1 |
Short-Term Securities |  |  | — | 5 |  |  | 1 |
Other |  |  | — | 6 |  |  | — | 7

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

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

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

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

Credit Quality Allocation8,9 |  | 8/31/15 |  |  | 8/31/144 |
AAA/Aaa 10 |  |  | 2 | % |  |  | 6 | %
AA/Aa |  |  | 2 |  |  |  | 2 |
A |  |  | 8 |  |  |  | 3 |
BBB/Baa |  |  | 17 |  |  |  | 15 |
BB/Ba |  |  | 31 |  |  |  | 32 |
B |  |  | 25 |  |  |  | 31 |
CCC/Caa |  |  | 5 |  |  |  | 7 |
N/R |  |  | 10 |  |  |  | 4 |

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

| 9 |  | Excludes short-term securities.

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

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 9

The Benefits and Risks of Leveraging |  |

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

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

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

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

Leverage also generally causes greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of Funds’ shares than if the Funds were not leveraged. In addition, the Funds 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 Funds to incur losses. The use of leverage may limit the Funds’ ability to invest in certain types of securities or use certain types of hedging strategies. The Funds incur expenses in connection with the use of leverage, all of which are borne by Common Shareholders and may reduce income to the Common Shares. Moreover, to the extent the calculation of the Funds’ investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment advisor will be higher than if the Funds did not use leverage.

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

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

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

Derivative Financial Instruments |  |

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

10 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Schedule of Investments August 31, 2015 |  | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets)

Common Stocks |  |  |  |  | Shares |  |  | Value |
Diversified Consumer Services — 0.4% |
Cengage Thomson Learning |  |  |  |  |  |  | 8,922 |  |  | $ | 233,087 |
Houghton Mifflin Harcourt Co. (a) |  |  |  | 12,055 |  |  |  | 272,202 |
Total Common Stocks — 0.4% |  |  |  |  |  |  |  |  |  |  | 505,289 |
Asset-Backed Securities (b) |  |  |  |  | Par (000) |  |  |  |
ALM Loan Funding, Series 2013-7RA, Class C, 3.74%, 4/24/24 (c) |  |  | USD |  |  |  | 500 |  |  |  | 487,710 |
ALM XIV Ltd., Series 2014-14A, Class C, 3.74%, 7/28/26 (c) |  |  |  |  |  |  | 713 |  |  |  | 682,492 |
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class B, 3.16%, 7/15/27 (c) |  |  |  |  |  |  | 350 |  |  |  | 347,620 |
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.98%, 10/15/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 240,778 |
Atrium CDO Corp., Series 9A, Class D, 3.83%, 2/28/24 (c) |  |  |  |  |  |  | 250 |  |  |  | 241,959 |
Benefit Street Partners CLO VII Ltd., Series 2015-VIIA, Class B, 3.23%, 7/18/27 (c) |  |  |  |  |  |  | 295 |  |  |  | 290,280 |
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.79%, 1/20/25 (c) |  |  |  | 250 |  |  |  | 250,168 |
Cent CLO 22 Ltd., Series 2014-22A, Class C, 4.06%, 11/07/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 243,950 |
LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27 (d) |  |  |  |  |  |  | 500 |  |  |  | 430,000 |
North End CLO Ltd., Series 2013-1A, Class D, 3.79%, 7/17/25 (c) |  |  |  |  |  |  | 250 |  |  |  | 240,000 |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.48%, 10/25/25 (c) |  |  |  |  |  |  | 250 |  |  |  | 230,796 |
Sound Point CLO IV Ltd., Series 2013-3A, Class A, 1.66%, 1/21/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 248,177 |
Venture XXI CLO Ltd., Series 2015-21A, Class A, 1.77%, 7/15/27 (c) |  |  |  |  |  |  | 250 |  |  |  | 249,250 |
Voya CLO Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26 (d) |  |  |  |  |  |  | 1,000 |  |  |  | 785,915 |
Total Asset-Backed Securities — 4.0% |  |  |  |  |  |  |  |  |  |  | 4,969,095 |
Corporate Bonds |  |  |  |  |  |  |  |  |
Airlines — 0.7% |
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) |  |  |  |  |  |  | 247 |  |  |  | 252,894 |
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16 |  |  |  |  |  |  | 42 |  |  |  | 44,550 |
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |  |  |  |  |  |  | 590 |  |  |  | 594,425 |
|  |  |  |  |  |  |  |  |  |  | 891,869 |
Auto Components — 0.1% |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 |  |  |  |  |  |  | 164 |  |  |  | 163,180 |
Corporate Bonds |  |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies — 0.2% |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.07%, 12/01/17 (c) |  |  | USD |  |  |  | 68 |  |  | $ | 67,660 |
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |  |  |  |  |  |  | 187 |  |  |  | 187,806 |
|  |  |  |  |  |  |  |  |  |  | 255,466 |
Communications Equipment — 0.1% |
Avaya, Inc., 7.00%, 4/01/19 (b) |  |  |  |  |  |  | 101 |  |  |  | 90,648 |
Containers & Packaging — 0.2% |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 3.34%, 12/15/19 (b)(c) |  |  |  |  |  |  | 260 |  |  |  | 254,800 |
Diversified Telecommunication Services — 0.3% |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
3.91%, 1/15/18 (c) |  |  |  |  |  |  | 228 |  |  |  | 229,710 |
6.13%, 1/15/21 |  |  |  |  |  |  | 127 |  |  |  | 133,033 |
|  |  |  |  |  |  |  |  |  |  | 362,743 |
Health Care Equipment & Supplies — 0.1% |
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b) |  |  |  |  |  |  | 75 |  |  |  | 77,588 |
Health Care Providers & Services — 0.2% |
Tenet Healthcare Corp., 3.84%, 6/15/20 (b)(c) |  |  |  |  |  |  | 310 |  |  |  | 311,705 |
Media — 0.9% |
Altice Financing SA, 6.63%, 2/15/23 (b) |  |  |  |  |  |  | 200 |  |  |  | 199,000 |
Altice US Finance I Corp., 5.38%, 7/15/23 (b) |  |  |  |  |  |  | 275 |  |  |  | 272,250 |
CCO Safari II LLC, 4.91%, 7/23/25 (b) |  |  |  |  |  |  | 420 |  |  |  | 416,007 |
Numericable Group SA, 6.00%, 5/15/22 (b) |  |  |  |  |  |  | 200 |  |  |  | 200,000 |
|  |  |  |  |  |  |  |  |  |  | 1,087,257 |
Metals & Mining — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Novelis, Inc., 8.38%, 12/15/17 |  |  |  |  |  |  | 60 |  |  |  | 60,075 |
Oil, Gas & Consumable Fuels — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
California Resources Corp., 5.50%, 9/15/21 |  |  |  |  |  |  | 400 |  |  |  | 310,152 |
CONSOL Energy, Inc., 5.88%, 4/15/22 |  |  |  |  |  |  | 140 |  |  |  | 100,100 |
MEG Energy Corp., 7.00%, 3/31/24 (b) |  |  |  |  |  |  | 200 |  |  |  | 163,500 |
|  |  |  |  |  |  |  |  |  |  | 573,752 |
Pharmaceuticals — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
Valeant Pharmaceuticals International, Inc. (b): |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 3/15/20 |  |  |  |  |  |  | 315 |  |  |  | 320,512 |
5.88%, 5/15/23 |  |  |  |  |  |  | 190 |  |  |  | 193,800 |
6.13%, 4/15/25 |  |  |  |  |  |  | 105 |  |  |  | 108,150 |
|  |  |  |  |  |  |  |  |  |  | 622,462 |
Wireless Telecommunication Services — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Sprint Communications, Inc., 7.00%, 3/01/20 (b) |  |  |  |  |  |  | 275 |  |  |  | 292,105 |
Total Corporate Bonds — 4.0% |  |  |  |  |  |  |  |  |  |  | 5,043,650 |
Floating Rate Loan Interests (c) |  |  |  |  |  |  |  |  |
Aerospace & Defense — 1.4% |  |  |  |  |  |  |  |  |  |  |  |
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |  |  |  |  |  |  | 629 |  |  |  | 630,782 |

Portfolio Abbreviations |  |  |  |  |  |  |  |  |  |

ABS |  | Asset-Backed Security |  | DIP |  | Debtor-In-Possession |  | NZD |  | New Zealand Dollar
ADS |  | American Depositary Shares |  | EUR |  | Euro |  | OTC |  | Over-the-Counter
AUD |  | Australian Dollar |  | GBP |  | British Pound |  | PIK |  | Payment-In-Kind
CAD |  | Canadian Dollar |  | JPY |  | Japanese Yen |  | USD |  | U.S. Dollar
CLO |  | Collateralized Loan Obligation |  | MSCI |  | Morgan Stanley Capital International |  | VA |  | Department of Veterans Affairs
CR |  | Custodian Receipt |  | NYSE |  | New York Stock Exchange |  |  |  |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 11

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (concluded) |  |  |  |  |  |  |  |  |  |  |  |
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |  |  | USD |  |  |  | 429 |  |  | $ | 426,743 |
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |  |  |  |  |  |  | 275 |  |  |  | 282,562 |
Transdigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 Term Loan E, 3.50%, 5/14/22 |  |  |  |  |  |  | 219 |  |  |  | 216,717 |
Term Loan D, 3.75%, 6/04/21 |  |  |  |  |  |  | 198 |  |  |  | 195,773 |
|  |  |  |  |  |  |  |  |  |  | 1,752,577 |
Air Freight & Logistics — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 156 |  |  |  | 140,228 |
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 162 |  |  |  | 146,028 |
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 25 |  |  |  | 22,871 |
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 224 |  |  |  | 201,419 |
|  |  |  |  |  |  |  |  |  |  | 510,546 |
Airlines — 0.7% |  |  |  |  |  |  |  |  |  |  |  |
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 |  |  |  |  |  |  | 320 |  |  |  | 319,603 |
Northwest Airlines, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2.25%, 3/10/17 |  |  |  |  |  |  | 120 |  |  |  | 116,432 |
1.63%, 9/10/18 |  |  |  |  |  |  | 127 |  |  |  | 121,203 |
1.64%, 9/10/18 |  |  |  |  |  |  | 64 |  |  |  | 61,440 |
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |  |  |  |  |  |  | 255 |  |  |  | 253,207 |
|  |  |  |  |  |  |  |  |  |  | 871,885 |
Auto Components — 3.7% |  |  |  |  |  |  |  |  |  |  |  |
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |  |  |  |  |  |  | 282 |  |  |  | 281,449 |
Autoparts Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 7/29/17 |  |  |  |  |  |  | 593 |  |  |  | 521,964 |
2nd Lien Term Loan, 11.00%, 1/29/18 |  |  |  |  |  |  | 200 |  |  |  | 169,575 |
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |  |  |  |  |  |  | 355 |  |  |  | 354,157 |
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |  |  |  |  |  |  | 325 |  |  |  | 313,625 |
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |  |  |  |  |  |  | 1,970 |  |  |  | 1,883,741 |
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19 |  |  |  |  |  |  | 633 |  |  |  | 634,384 |
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |  |  |  |  |  |  | 407 |  |  |  | 407,855 |
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |  |  |  |  |  |  | 52 |  |  |  | 51,742 |
|  |  |  |  |  |  |  |  |  |  | 4,618,492 |
Automobiles — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
Chrysler Group LLC, Term Loan B: |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 12/31/18 |  |  |  |  |  |  | 188 |  |  |  | 186,805 |
3.50%, 5/24/17 |  |  |  |  |  |  | 317 |  |  |  | 316,149 |
|  |  |  |  |  |  |  |  |  |  | 502,954 |
Banks — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Redtop Acquisitions Ltd.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/03/20 |  |  |  |  |  |  | 256 |  |  |  | 256,100 |
2nd Lien Term Loan, 8.25%, 6/03/21 |  |  |  |  |  |  | 69 |  |  |  | 68,376 |
|  |  |  |  |  |  |  |  |  |  | 324,476 |
Biotechnology — 0.1% |
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21 |  |  |  |  |  |  | 195 |  |  |  | 194,513 |
Building Products — 3.7% |
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |  |  |  |  |  |  | 316 |  |  |  | 313,721 |
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |  |  |  |  |  |  | 1,185 |  |  |  | 1,173,421 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Building Products (concluded) |
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |  |  | USD |  |  |  | 316 |  |  | $ | 308,694 |
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22 |  |  |  |  |  |  | 144 |  |  |  | 143,298 |
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |  |  |  |  |  |  | 697 |  |  |  | 695,908 |
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |  |  |  |  |  |  | 222 |  |  |  | 219,633 |
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |  |  |  |  |  |  | 383 |  |  |  | 380,779 |
Universal Services of America LP: |  |  |  |  |  |  |  |  |  |  |  |
2015 2nd Lien Term Loan, 9.50%, 7/28/23 |  |  |  |  |  |  | 136 |  |  |  | 134,761 |
2015 Delayed Draw Term Loan, 6.00%, 7/28/22 |  |  |  |  |  |  | 1 |  |  |  | 1,302 |
2015 Term Loan, 4.75%, 7/28/22 |  |  |  |  |  |  | 515 |  |  |  | 507,718 |
Wilsonart LLC: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B2, 4.00%, 10/31/19 |  |  |  |  |  |  | 108 |  |  |  | 107,335 |
Term Loan B, 4.00%, 10/31/19 |  |  |  |  |  |  | 635 |  |  |  | 629,051 |
|  |  |  |  |  |  |  |  |  |  | 4,615,621 |
Capital Markets — 1.0% |
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18 |  |  |  |  |  |  | 298 |  |  |  | 280,455 |
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |  |  |  |  |  |  | 193 |  |  |  | 192,784 |
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20 |  |  |  |  |  |  | 784 |  |  |  | 783,220 |
|  |  |  |  |  |  |  |  |  |  | 1,256,459 |
Chemicals — 4.7% |
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 |  |  |  |  |  |  | 252 |  |  |  | 251,248 |
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 |  |  |  |  |  |  | 131 |  |  |  | 130,361 |
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 |  |  |  |  |  |  | 512 |  |  |  | 509,752 |
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 |  |  |  |  |  |  | 27 |  |  |  | 26,505 |
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22 |  |  |  |  |  |  | 260 |  |  |  | 260,325 |
The Chemours Co., Term Loan B, 3.75%, 5/12/22 |  |  |  |  |  |  | 191 |  |  |  | 184,213 |
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |  |  |  |  |  |  | 62 |  |  |  | 62,173 |
Chromaflo Technologies Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/02/19 |  |  |  |  |  |  | 51 |  |  |  | 49,591 |
2nd Lien Term Loan, 8.25%, 6/02/20 |  |  |  |  |  |  | 110 |  |  |  | 103,396 |
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |  |  |  |  |  |  | 334 |  |  |  | 310,904 |
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |  |  |  |  |  |  | 159 |  |  |  | 158,609 |
Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20 |  |  |  |  |  |  | 165 |  |  |  | 164,517 |
Kronos Worldwide, Inc., 2015 Term Loan, 4.00%, 2/18/20 |  |  |  |  |  |  | 114 |  |  |  | 109,304 |
MacDermid, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 6/07/20 |  |  |  |  |  |  | 651 |  |  |  | 648,248 |
Term Loan B2, 4.75%, 6/07/20 |  |  |  |  |  |  | 166 |  |  |  | 165,697 |
Minerals Technologies Inc., 2015 Term Loan B, 3.75%, 5/09/21 |  |  |  |  |  |  | 334 |  |  |  | 334,017 |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |  |  |  |  |  |  | 325 |  |  |  | 315,691 |
OXEA Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.25%, 7/15/20 |  |  |  |  |  |  | 315 |  |  |  | 293,999 |
Term Loan B2, 4.25%, 1/15/20 |  |  |  |  |  |  | 575 |  |  |  | 559,675 |
Royal Holdings, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 1st Lien Term Loan, 4.50%, 6/19/22 |  |  |  |  |  |  | 260 |  |  |  | 258,809 |
2015 2nd Lien Term Loan, 8.50%, 6/19/23 |  |  |  |  |  |  | 110 |  |  |  | 109,588 |

See Notes to Financial Statements.

12 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Chemicals (concluded) |
Solenis International LP: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 7/31/21 |  |  | USD |  |  |  | 352 |  |  | $ | 347,162 |
2nd Lien Term Loan, 7.75%, 7/31/22 |  |  |  |  |  |  | 390 |  |  |  | 373,425 |
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |  |  |  |  |  |  | 128 |  |  |  | 128,292 |
|  |  |  |  |  |  |  |  |  |  | 5,855,501 |
Commercial Services & Supplies — 6.8% |
ADMI Corp., 2015 Term Loan B, 5.50%, 4/30/22 |  |  |  |  |  |  | 190 |  |  |  | 190,950 |
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |  |  |  |  |  |  | 710 |  |  |  | 702,924 |
ARAMARK Corp.: |  |  |  |  |  |  |  |  |  |  |  |
Extended Synthetic Line of Credit 2, 0.04%, 7/26/16 |  |  |  |  |  |  | 14 |  |  |  | 13,735 |
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |  |  |  |  |  |  | 9 |  |  |  | 9,289 |
Term Loan E, 3.25%, 9/07/19 |  |  |  |  |  |  | 645 |  |  |  | 642,651 |
Term Loan F, 3.25%, 2/24/21 |  |  |  |  |  |  | 194 |  |  |  | 192,632 |
Asurion LLC, Term Loan B4, 5.00%, 8/04/22 |  |  |  |  |  |  | 280 |  |  |  | 276,850 |
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |  |  |  |  |  |  | 859 |  |  |  | 771,757 |
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |  |  |  |  |  |  | 756 |  |  |  | 755,338 |
Connolly Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 5/14/21 |  |  |  |  |  |  | 678 |  |  |  | 676,529 |
2nd Lien Term Loan, 8.00%, 5/14/22 |  |  |  |  |  |  | 325 |  |  |  | 325,000 |
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 |  |  |  |  |  |  | 239 |  |  |  | 240,293 |
Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21 |  |  |  |  |  |  | 181 |  |  |  | 182,019 |
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 |  |  |  |  |  |  | 306 |  |  |  | 305,136 |
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |  |  |  |  |  |  | 545 |  |  |  | 537,255 |
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |  |  |  |  |  |  | 304 |  |  |  | 296,205 |
PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21 |  |  |  |  |  |  | 373 |  |  |  | 372,192 |
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |  |  |  |  |  |  | 1,072 |  |  |  | 1,056,670 |
US Ecology, Inc., Term Loan, 3.75%, 6/17/21 |  |  |  |  |  |  | 196 |  |  |  | 196,951 |
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20 |  |  |  |  |  |  | 206 |  |  |  | 206,388 |
West Corp., Term Loan B10, 3.25%, 6/30/18 |  |  |  |  |  |  | 598 |  |  |  | 592,140 |
|  |  |  |  |  |  |  |  |  |  | 8,542,904 |
Communications Equipment — 1.8% |
Applied Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 1/25/21 |  |  |  |  |  |  | 326 |  |  |  | 324,776 |
2nd Lien Term Loan, 7.50%, 1/24/22 |  |  |  |  |  |  | 85 |  |  |  | 84,448 |
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20 |  |  |  |  |  |  | 548 |  |  |  | 469,802 |
CommScope, Inc., Term Loan B5, 3.75%, 12/29/22 |  |  |  |  |  |  | 210 |  |  |  | 209,038 |
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22 |  |  |  |  |  |  | 135 |  |  |  | 134,606 |
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21 |  |  |  |  |  |  | 1,028 |  |  |  | 1,021,521 |
|  |  |  |  |  |  |  |  |  |  | 2,244,191 |
Construction & Engineering — 0.1% |
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 |  |  |  |  |  |  | 178 |  |  |  | 178,484 |
Construction Materials — 0.4% |
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20 |  |  |  |  |  |  | 309 |  |  |  | 308,588 |
Headwaters, Inc., Term Loan B, 4.50%, 3/24/22 |  |  |  |  |  |  | 164 |  |  |  | 164,366 |
McJunkin Red Man Corp., Term Loan, 4.75%, 11/08/19 |  |  |  |  |  |  | 100 |  |  |  | 97,676 |
|  |  |  |  |  |  |  |  |  |  | 570,630 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Containers & Packaging — 0.8% |
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |  |  | USD |  |  |  | 182 |  |  | $ | 181,429 |
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |  |  |  |  |  |  | 286 |  |  |  | 283,630 |
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20 |  |  |  |  |  |  | 342 |  |  |  | 341,550 |
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 |  |  |  |  |  |  | 168 |  |  |  | 167,879 |
|  |  |  |  |  |  |  |  |  |  | 974,488 |
Distributors — 0.6% |  |  |  |  |  |  |  |  |  |  |  |
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |  |  |  |  |  |  | 462 |  |  |  | 459,712 |
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21 |  |  |  |  |  |  | 349 |  |  |  | 349,998 |
|  |  |  |  |  |  |  |  |  |  | 809,710 |
Diversified Consumer Services — 2.6% |
Allied Security Holdings LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 2/12/21 |  |  |  |  |  |  | 648 |  |  |  | 645,205 |
2nd Lien Term Loan, 8.00%, 8/13/21 |  |  |  |  |  |  | 321 |  |  |  | 318,085 |
Bright Horizons Family Solutions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 4.25%, 1/30/20 |  |  |  |  |  |  | 80 |  |  |  | 79,600 |
Term Loan B, 3.75%, 1/30/20 |  |  |  |  |  |  | 629 |  |  |  | 627,749 |
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21 |  |  |  |  |  |  | 174 |  |  |  | 174,107 |
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |  |  |  |  |  |  | 246 |  |  |  | 233,754 |
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21 |  |  |  |  |  |  | 1,208 |  |  |  | 1,200,985 |
|  |  |  |  |  |  |  |  |  |  | 3,279,485 |
Diversified Financial Services — 3.1% |  |  |  |  |  |  |  |  |  |  |  |
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22 |  |  |  |  |  |  | 215 |  |  |  | 214,785 |
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |  |  |  |  |  |  | 596 |  |  |  | 595,792 |
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 |  |  |  |  |  |  | 224 |  |  |  | 223,781 |
Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20 |  |  |  |  |  |  | 600 |  |  |  | 594,000 |
Onex Wizard US Acquisition, Inc., Term Loan, 4.25%, 3/13/22 |  |  |  |  |  |  | 464 |  |  |  | 463,160 |
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18 |  |  |  |  |  |  | 723 |  |  |  | 722,212 |
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |  |  |  |  |  |  | 420 |  |  |  | 420,225 |
TransFirst, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2014 2nd Lien Term Loan, 9.00%, 11/12/22 |  |  |  |  |  |  | 190 |  |  |  | 188,480 |
Incremental Term Loan B, 4.75%, 11/12/21 |  |  |  |  |  |  | 412 |  |  |  | 410,863 |
|  |  |  |  |  |  |  |  |  |  | 3,833,298 |
Diversified Telecommunication Services — 4.1% |  |  |  |  |  |  |  |  |  |  |  |
Altice Financing SA, Term Loan: |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw, 5.50%, 7/02/19 |  |  |  |  |  |  | 393 |  |  |  | 394,344 |
5.25%, 2/04/22 |  |  |  |  |  |  | 160 |  |  |  | 160,800 |
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |  |  |  |  |  |  | 258 |  |  |  | 256,925 |
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |  |  |  |  |  |  | 516 |  |  |  | 516,032 |
Integra Telecom, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 1st Lien Term Loan, 5.25%, 8/14/20 |  |  |  |  |  |  | 509 |  |  |  | 507,895 |
2nd Lien Term Loan, 9.75%, 2/21/20 |  |  |  |  |  |  | 168 |  |  |  | 166,896 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2013 Term Loan B, 4.00%, 1/15/20 |  |  |  |  |  |  | 2,330 |  |  |  | 2,327,810 |
2019 Term Loan, 4.00%, 8/01/19 |  |  |  |  |  |  | 350 |  |  |  | 349,012 |
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23 |  |  |  |  |  |  | 525 |  |  |  | 518,815 |
|  |  |  |  |  |  |  |  |  |  | 5,198,529 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 13

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Electrical Equipment — 0.7% |  |  |  |  |  |  |  |  |  |  |  |
Southwire Co., Term Loan, 3.00%, 2/10/21 |  |  | USD |  |  |  | 262 |  |  | $ | 257,435 |
Texas Competitive Electric Holdings Co. LLC: |  |  |  |  |  |  |  |  |  |  |  |
DIP Term Loan, 3.75%, 5/05/16 |  |  |  |  |  |  | 448 |  |  |  | 448,169 |
Extended Term Loan, 4.67%, 10/10/17 (a)(e) |  |  |  |  |  |  | 380 |  |  |  | 171,433 |
|  |  |  |  |  |  |  |  |  |  | 877,037 |
Electronic Equipment, Instruments & Components — 0.5% |
CDW LLC, Term Loan, 3.25%, 4/29/20 |  |  |  |  |  |  | 372 |  |  |  | 368,991 |
CPI Acquisition, Inc., Term Loan B, 6.75%, 8/17/22 |  |  |  |  |  |  | 245 |  |  |  | 241,019 |
|  |  |  |  |  |  |  |  |  |  | 610,010 |
Energy Equipment & Services — 1.1% |  |  |  |  |  |  |  |  |  |  |  |
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |  |  |  |  |  |  | 255 |  |  |  | 254,056 |
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 |  |  |  |  |  |  | 263 |  |  |  | 251,982 |
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |  |  |  |  |  |  | 951 |  |  |  | 885,077 |
|  |  |  |  |  |  |  |  |  |  | 1,391,115 |
Food & Staples Retailing — 1.2% |
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 |  |  |  |  |  |  | 332 |  |  |  | 331,344 |
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |  |  |  |  |  |  | 235 |  |  |  | 237,204 |
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |  |  |  |  |  |  | 505 |  |  |  | 506,583 |
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 |  |  |  |  |  |  | 378 |  |  |  | 378,260 |
|  |  |  |  |  |  |  |  |  |  | 1,453,391 |
Food Products — 3.4% |
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |  |  |  |  |  |  | 255 |  |  |  | 250,980 |
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |  |  |  |  |  |  | 675 |  |  |  | 672,096 |
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |  |  |  |  |  |  | 618 |  |  |  | 617,686 |
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |  |  |  |  |  |  | 320 |  |  |  | 318,460 |
New HB Acquisition LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 8/03/22 |  |  |  |  |  |  | 375 |  |  |  | 374,884 |
2nd Lien Term Loan, 8.50%, 8/03/23 |  |  |  |  |  |  | 80 |  |  |  | 80,100 |
Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21 |  |  |  |  |  |  | 428 |  |  |  | 427,258 |
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |  |  |  |  |  |  | 370 |  |  |  | 369,919 |
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20 |  |  |  |  |  |  | 605 |  |  |  | 601,504 |
Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21 |  |  |  |  |  |  | — | (f) |  |  | 134 |
Reddy Ice Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.75%, 5/01/19 |  |  |  |  |  |  | 363 |  |  |  | 301,018 |
2nd Lien Term Loan, 10.75%, 11/01/19 |  |  |  |  |  |  | 270 |  |  |  | 189,000 |
|  |  |  |  |  |  |  |  |  |  | 4,203,039 |
Health Care Equipment & Supplies — 4.1% |
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22 |  |  |  |  |  |  | 285 |  |  |  | 284,803 |
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22 |  |  |  |  |  |  | 223 |  |  |  | 223,078 |
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |  |  |  |  |  |  | 435 |  |  |  | 434,076 |
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20 |  |  |  |  |  |  | 710 |  |  |  | 705,740 |
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |  |  |  |  |  |  | 611 |  |  |  | 611,457 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Health Care Equipment & Supplies (concluded) |
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |  |  | USD |  |  |  | 794 |  |  | $ | 791,125 |
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |  |  |  |  |  |  | 500 |  |  |  | 497,633 |
Millennium Health LLC, Term Loan B, 5.25%, 4/16/21 |  |  |  |  |  |  | 348 |  |  |  | 170,107 |
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |  |  |  |  |  |  | 701 |  |  |  | 683,010 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |  |  |  |  |  |  | 622 |  |  |  | 612,024 |
Sage Products Holdings III LLC, Refinancing Term Loan B2, 4.25%, 12/13/19 |  |  |  |  |  |  | 169 |  |  |  | 168,279 |
|  |  |  |  |  |  |  |  |  |  | 5,181,332 |
Health Care Providers & Services — 7.6% |
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |  |  |  |  |  |  | 111 |  |  |  | 112,089 |
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22 |  |  |  |  |  |  | 295 |  |  |  | 289,469 |
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |  |  |  |  |  |  | 297 |  |  |  | 296,667 |
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 |  |  |  |  |  |  | 564 |  |  |  | 561,651 |
Community Health Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan F, 3.58%, 12/31/18 |  |  |  |  |  |  | 338 |  |  |  | 337,607 |
Term Loan G, 3.75%, 12/31/19 |  |  |  |  |  |  | 555 |  |  |  | 553,699 |
Term Loan H, 4.00%, 1/27/21 |  |  |  |  |  |  | 1,021 |  |  |  | 1,022,559 |
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22 |  |  |  |  |  |  | 349 |  |  |  | 349,561 |
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |  |  |  |  |  |  | 2,193 |  |  |  | 2,186,907 |
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |  |  |  |  |  |  | 420 |  |  |  | 419,108 |
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |  |  |  |  |  |  | 265 |  |  |  | 268,887 |
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22 |  |  |  |  |  |  | 170 |  |  |  | 170,251 |
HCA, Inc., Term Loan B5, 2.95%, 3/31/17 |  |  |  |  |  |  | 313 |  |  |  | 312,662 |
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |  |  |  |  |  |  | 438 |  |  |  | 432,265 |
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |  |  |  |  |  |  | 316 |  |  |  | 314,073 |
Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22 |  |  |  |  |  |  | 720 |  |  |  | 714,154 |
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |  |  |  |  |  |  | 439 |  |  |  | 438,877 |
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22 |  |  |  |  |  |  | 509 |  |  |  | 507,438 |
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |  |  |  |  |  |  | 194 |  |  |  | 193,367 |
|  |  |  |  |  |  |  |  |  |  | 9,481,291 |
Health Care Technology — 0.9% |  |  |  |  |  |  |  |  |  |  |  |
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 |  |  |  |  |  |  | 751 |  |  |  | 744,715 |
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |  |  |  |  |  |  | 419 |  |  |  | 416,007 |
|  |  |  |  |  |  |  |  |  |  | 1,160,722 |
Hotels, Restaurants & Leisure — 10.4% |  |  |  |  |  |  |  |  |  |  |  |
Amaya Holdings BV: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 8/01/21 |  |  |  |  |  |  | 285 |  |  |  | 282,466 |
2nd Lien Term Loan, 8.00%, 8/01/22 |  |  |  |  |  |  | 322 |  |  |  | 321,698 |
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |  |  |  |  |  |  | 238 |  |  |  | 237,786 |
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |  |  |  |  |  |  | 654 |  |  |  | 627,907 |
Burger King Newco Unlimited Liability Co., 2015 Term Loan B, 3.75%, 12/12/21 |  |  |  |  |  |  | 1,084 |  |  |  | 1,082,157 |

See Notes to Financial Statements.

14 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |  |  | USD |  |  |  | 1,349 |  |  | $ | 1,285,088 |
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |  |  |  |  |  |  | 353 |  |  |  | 352,278 |
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |  |  |  |  |  |  | 421 |  |  |  | 420,541 |
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/13/22 |  |  |  |  |  |  | 205 |  |  |  | 205,000 |
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 |  |  |  |  |  |  | 210 |  |  |  | 211,445 |
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |  |  |  |  |  |  | 607 |  |  |  | 605,249 |
Intrawest ULC, Term Loan, 4.75%, 12/09/20 |  |  |  |  |  |  | 364 |  |  |  | 363,539 |
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |  |  |  |  |  |  | 1,827 |  |  |  | 1,821,437 |
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |  |  |  |  |  |  | 591 |  |  |  | 587,531 |
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |  |  |  |  |  |  | 778 |  |  |  | 770,600 |
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |  |  |  |  |  |  | 310 |  |  |  | 309,743 |
RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21 |  |  |  |  |  |  | 292 |  |  |  | 291,758 |
Sabre, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan, 4.00%, 2/19/19 |  |  |  |  |  |  | 113 |  |  |  | 112,611 |
Term Loan B, 4.00%, 2/19/19 |  |  |  |  |  |  | 521 |  |  |  | 519,720 |
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 |  |  |  |  |  |  | 746 |  |  |  | 737,248 |
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |  |  |  |  |  |  | 1,091 |  |  |  | 1,087,788 |
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21 |  |  |  |  |  |  | 759 |  |  |  | 758,883 |
|  |  |  |  |  |  |  |  |  |  | 12,992,473 |
Household Durables — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Jarden Corp., 2015 Term Loan B2, 2.95%, 7/27/22 |  |  |  |  |  |  | 355 |  |  |  | 353,846 |
Household Products — 1.0% |  |  |  |  |  |  |  |  |  |  |  |
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20 |  |  |  |  |  |  | 533 |  |  |  | 529,727 |
Spectrum Brands, Inc., Term Loan, 3.75%, 6/23/22 |  |  |  |  |  |  | 689 |  |  |  | 688,201 |
|  |  |  |  |  |  |  |  |  |  | 1,217,928 |
Independent Power and Renewable Electricity Producers — 1.9% |  |  |  |  |
Aria Energy Operating LLC, Term Loan, 5.00%, 5/27/22 |  |  |  |  |  |  | 330 |  |  |  | 326,700 |
Calpine Corp., Term Loan B5, 3.50%, 5/27/22 |  |  |  |  |  |  | 320 |  |  |  | 315,501 |
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16 |  |  |  |  |  |  | 648 |  |  |  | 648,118 |
Granite Acquisition, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/19/21 |  |  |  |  |  |  | 707 |  |  |  | 706,010 |
Term Loan C, 5.00%, 12/19/21 |  |  |  |  |  |  | 31 |  |  |  | 31,221 |
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21 |  |  |  |  |  |  | 358 |  |  |  | 351,858 |
|  |  |  |  |  |  |  |  |  |  | 2,379,408 |
Industrial Conglomerates — 0.2% |
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |  |  |  |  |  |  | 298 |  |  |  | 252,541 |
Insurance — 1.0% |
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 |  |  |  |  |  |  | 249 |  |  |  | 248,529 |
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20 |  |  |  |  |  |  | 367 |  |  |  | 333,710 |
Sedgwick Claims Management Services, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.75%, 3/01/21 |  |  |  |  |  |  | 454 |  |  |  | 444,257 |
2nd Lien Term Loan, 6.75%, 2/28/22 |  |  |  |  |  |  | 260 |  |  |  | 253,744 |
|  |  |  |  |  |  |  |  |  |  | 1,280,240 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Internet Software & Services — 1.6% |
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21 |  |  | USD |  |  |  | 420 |  |  | $ | 418,195 |
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21 |  |  |  |  |  |  | 569 |  |  |  | 568,755 |
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |  |  |  |  |  |  | 858 |  |  |  | 856,515 |
W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20 |  |  |  |  |  |  | 155 |  |  |  | 122,659 |
|  |  |  |  |  |  |  |  |  |  | 1,966,124 |
IT Services — 4.3% |
Blue Coat Holdings Inc., 2015 Term Loan, 4.50%, 5/20/22 |  |  |  |  |  |  | 475 |  |  |  | 471,438 |
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22 |  |  |  |  |  |  | 700 |  |  |  | 697,249 |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |
2018 Extended Term Loan, 3.70%, 3/24/18 |  |  |  |  |  |  | 2,845 |  |  |  | 2,820,816 |
2018 Term Loan, 3.70%, 9/24/18 |  |  |  |  |  |  | 295 |  |  |  | 292,566 |
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |  |  |  |  |  |  | 245 |  |  |  | 233,970 |
SunGard Data Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.94%, 2/28/17 |  |  |  |  |  |  | 350 |  |  |  | 349,388 |
Term Loan E, 4.00%, 3/08/20 |  |  |  |  |  |  | 126 |  |  |  | 126,118 |
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21 |  |  |  |  |  |  | 390 |  |  |  | 389,444 |
|  |  |  |  |  |  |  |  |  |  | 5,380,989 |
Leisure Products — 0.3% |
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |  |  |  |  |  |  | 364 |  |  |  | 361,987 |
Machinery — 2.1% |
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19 |  |  |  |  |  |  | 274 |  |  |  | 273,555 |
Faenza Acquisition GmbH: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.25%, 8/30/20 |  |  |  |  |  |  | 258 |  |  |  | 257,833 |
Term Loan B3, 4.25%, 8/30/20 |  |  |  |  |  |  | 78 |  |  |  | 78,036 |
Infiltrator Systems, Inc., 2015 Term Loan, 5.25%, 5/27/22 |  |  |  |  |  |  | 340 |  |  |  | 338,848 |
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |  |  |  |  |  |  | 179 |  |  |  | 179,100 |
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |  |  |  |  |  |  | 561 |  |  |  | 555,408 |
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |  |  |  |  |  |  | 764 |  |  |  | 711,415 |
Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22 |  |  |  |  |  |  | 247 |  |  |  | 246,728 |
|  |  |  |  |  |  |  |  |  |  | 2,640,923 |
Manufacture Goods — 0.1% |
KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20 |  |  |  |  |  |  | 70 |  |  |  | 70,307 |
Media — 11.2% |
Cengage Learning Acquisitions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 3/31/20 |  |  |  |  |  |  | 963 |  |  |  | 961,079 |
Term Loan, 0.00%, 7/03/16 (a)(e) |  |  |  |  |  |  | 591 |  |  |  | — |
Charter Communications Operating LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan H, 3.25%, 7/21/22 |  |  |  |  |  |  | 240 |  |  |  | 239,266 |
Term Loan I, 3.50%, 1/20/23 |  |  |  |  |  |  | 1,465 |  |  |  | 1,461,704 |
Clear Channel Communications, Inc., Term Loan D, 6.95%, 1/30/19 |  |  |  |  |  |  | 1,364 |  |  |  | 1,202,003 |
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |  |  |  |  |  |  | 381 |  |  |  | 374,880 |
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21 |  |  |  |  |  |  | 542 |  |  |  | 535,130 |
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |  |  |  |  |  |  | 458 |  |  |  | 449,187 |
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22 |  |  |  |  |  |  | 320 |  |  |  | 310,666 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 15

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Media (concluded) |
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20 |  |  | USD |  |  |  | 113 |  |  | $ | 112,310 |
MCC Iowa LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan I, 2.66%, 6/30/17 |  |  |  |  |  |  | 248 |  |  |  | 245,800 |
Term Loan J, 3.75%, 6/30/21 |  |  |  |  |  |  | 124 |  |  |  | 123,193 |
Media General, Inc., Term Loan B, 4.00%, 7/31/20 |  |  |  |  |  |  | 246 |  |  |  | 245,483 |
Mediacom Communications Corp., Term Loan F, 2.66%, 3/31/18 |  |  |  |  |  |  | 252 |  |  |  | 249,420 |
Mediacom Illinois LLC, Term Loan E, 3.16%, 10/23/17 |  |  |  |  |  |  | 475 |  |  |  | 472,625 |
Numericable U.S. LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.50%, 5/21/20 |  |  |  |  |  |  | 506 |  |  |  | 505,591 |
Term Loan B2, 4.50%, 5/21/20 |  |  |  |  |  |  | 438 |  |  |  | 437,405 |
SBA Senior Finance II LLC: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B, 3.25%, 6/10/22 |  |  |  |  |  |  | 330 |  |  |  | 325,403 |
Term Loan B1, 3.25%, 3/24/21 |  |  |  |  |  |  | 703 |  |  |  | 694,880 |
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |  |  |  |  |  |  | 39 |  |  |  | 38,723 |
Tribune Media Co., Term Loan, 3.75%, 12/27/20 |  |  |  |  |  |  | 824 |  |  |  | 819,969 |
TWCC Holding Corp., Extended Term Loan, 5.75%, 2/13/20 |  |  |  |  |  |  | 354 |  |  |  | 351,088 |
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |  |  |  |  |  |  | 1,012 |  |  |  | 1,003,790 |
Virgin Media Investment Holdings Ltd., Term Loan E, 4.25%, 6/30/23 |  |  | GBP |  |  |  | 650 |  |  |  | 991,101 |
WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19 |  |  | USD |  |  |  | 755 |  |  |  | 751,581 |
Ziggo Financing Partnership: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.50%, 1/15/22 |  |  |  |  |  |  | 425 |  |  |  | 418,934 |
Term Loan B2A, 3.50%, 1/15/22 |  |  |  |  |  |  | 276 |  |  |  | 271,758 |
Term Loan B3, 3.50%, 1/15/22 |  |  |  |  |  |  | 453 |  |  |  | 446,945 |
|  |  |  |  |  |  |  |  |  |  | 14,039,914 |
Metals & Mining — 1.1% |
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 |  |  |  |  |  |  | 100 |  |  |  | 67,500 |
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22 |  |  |  |  |  |  | 1,116 |  |  |  | 1,102,331 |
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |  |  |  |  |  |  | 216 |  |  |  | 215,546 |
|  |  |  |  |  |  |  |  |  |  | 1,385,377 |
Multiline Retail — 2.1% |
BJ’s Wholesale Club, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 9/26/19 |  |  |  |  |  |  | 826 |  |  |  | 822,365 |
2nd Lien Term Loan, 8.50%, 3/26/20 |  |  |  |  |  |  | 200 |  |  |  | 198,000 |
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22 |  |  |  |  |  |  | 545 |  |  |  | 544,717 |
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 8/10/22 |  |  |  |  |  |  | 445 |  |  |  | 445,000 |
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |  |  |  |  |  |  | 577 |  |  |  | 570,046 |
|  |  |  |  |  |  |  |  |  |  | 2,580,128 |
Oil, Gas & Consumable Fuels — 3.3% |
CITGO Holding Inc., 2015 Term Loan B, 9.50%, 5/12/18 |  |  |  |  |  |  | 370 |  |  |  | 371,080 |
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |  |  |  |  |  |  | 504 |  |  |  | 358,131 |
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |  |  |  |  |  |  | 440 |  |  |  | 416,535 |
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 |  |  |  |  |  |  | 205 |  |  |  | 205,000 |
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |  |  |  |  |  |  | 40 |  |  |  | 39,485 |
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |  |  |  |  |  |  | 27 |  |  |  | 11,674 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (concluded) |
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |  |  | USD |  |  |  | 325 |  |  | $ | 313,625 |
Power Buyer LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 5/06/20 |  |  |  |  |  |  | 115 |  |  |  | 113,945 |
2nd Lien Term Loan, 8.25%, 11/06/20 |  |  |  |  |  |  | 105 |  |  |  | 103,162 |
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |  |  |  |  |  |  | 403 |  |  |  | 392,901 |
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |  |  |  |  |  |  | 61 |  |  |  | 51,440 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |  |  |  |  |  |  | 467 |  |  |  | 446,271 |
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |  |  |  |  |  |  | 213 |  |  |  | 176,489 |
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22 |  |  |  |  |  |  | 311 |  |  |  | 307,706 |
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 |  |  |  |  |  |  | 356 |  |  |  | 356,198 |
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22 |  |  |  |  |  |  | 379 |  |  |  | 378,417 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |  |  |  |  |  |  | 133 |  |  |  | 131,978 |
|  |  |  |  |  |  |  |  |  |  | 4,174,037 |
Personal Products — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21 |  |  |  |  |  |  | 301 |  |  |  | 300,407 |
Pharmaceuticals — 8.5% |  |  |  |  |  |  |  |  |  |  |  |
Akorn, Inc., Term Loan B, 5.50%, 4/16/21 |  |  |  |  |  |  | 566 |  |  |  | 564,842 |
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19 |  |  |  |  |  |  | 399 |  |  |  | 398,393 |
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |  |  |  |  |  |  | 210 |  |  |  | 207,948 |
Concordia Healthcare Corp., Term Loan B, 4.75%, 4/21/22 |  |  |  |  |  |  | 285 |  |  |  | 285,180 |
Endo Luxembourg Finance Co. I Sarl: |  |  |  |  |  |  |  |  |  |  |  |
2014 Term Loan B, 3.25%, 3/01/21 |  |  |  |  |  |  | 356 |  |  |  | 355,411 |
2015 Term Loan B, 3.75%, 6/11/22 |  |  |  |  |  |  | 1,015 |  |  |  | 1,014,817 |
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.20%, 2/27/21 |  |  |  |  |  |  | 971 |  |  |  | 969,274 |
Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 4/22/21 |  |  |  |  |  |  | 502 |  |  |  | 500,876 |
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22 |  |  |  |  |  |  | 1,076 |  |  |  | 1,068,801 |
JLL/Delta Dutch Newco BV, 2014 Incremental Term Loan, 4.25%, 3/11/21 |  |  |  |  |  |  | 786 |  |  |  | 776,087 |
Mallinckrodt International Finance SA: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 3.50%, 3/19/21 |  |  |  |  |  |  | 328 |  |  |  | 325,819 |
Term Loan B, 3.25%, 3/19/21 |  |  |  |  |  |  | 523 |  |  |  | 519,125 |
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |  |  |  |  |  |  | 966 |  |  |  | 963,993 |
Valeant Pharmaceuticals International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Series C2 Term Loan B, 3.75%, 12/11/19 |  |  |  |  |  |  | 524 |  |  |  | 522,501 |
Series D2 Term Loan B, 3.50%, 2/13/19 |  |  |  |  |  |  | 568 |  |  |  | 565,442 |
Series E Term Loan B, 3.75%, 8/05/20 |  |  |  |  |  |  | 326 |  |  |  | 325,138 |
Term Loan B F1, 4.00%, 4/01/22 |  |  |  |  |  |  | 1,267 |  |  |  | 1,266,919 |
|  |  |  |  |  |  |  |  |  |  | 10,630,566 |
Professional Services — 3.9% |  |  |  |  |  |  |  |  |  |  |  |
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21 |  |  |  |  |  |  | 433 |  |  |  | 428,107 |
Advantage Sales & Marketing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 4.25%, 7/23/21 |  |  |  |  |  |  | 486 |  |  |  | 480,529 |
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |  |  |  |  |  |  | 160 |  |  |  | 155,120 |
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |  |  |  |  |  |  | 714 |  |  |  | 710,563 |
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |  |  |  |  |  |  | 275 |  |  |  | 274,486 |

See Notes to Financial Statements.

16 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Professional Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |
ON Assignment, Inc., 2015 Term Loan, 3.75%, 5/19/22 |  |  | USD |  |  |  | 303 |  |  | $ | 301,789 |
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |  |  |  |  |  |  | 408 |  |  |  | 406,084 |
Sterling Infosystems, Inc., 1st Lien Term Loan B, 4.50%, 6/20/22 |  |  |  |  |  |  | 495 |  |  |  | 493,352 |
TransUnion LLC, Term Loan B2, 3.75%, 4/09/21 |  |  |  |  |  |  | 1,241 |  |  |  | 1,230,484 |
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |  |  |  |  |  |  | 389 |  |  |  | 385,574 |
|  |  |  |  |  |  |  |  |  |  | 4,866,088 |
Real Estate Investment Trusts (REITs) — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22 |  |  |  |  |  |  | 220 |  |  |  | 210,032 |
Real Estate Management & Development — 2.2% |
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |  |  |  |  |  |  | 523 |  |  |  | 521,520 |
DTZ US Borrower LLC, 1st Lien Term Loan: |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 11/04/21 |  |  |  |  |  |  | 490 |  |  |  | 484,629 |
2015, 4.25%, 8/05/21 |  |  |  |  |  |  | 515 |  |  |  | 509,423 |
Realogy Corp.: |  |  |  |  |  |  |  |  |  |  |  |
Extended Letter of Credit, 0.03%, 10/10/16 |  |  |  |  |  |  | 40 |  |  |  | 39,745 |
Term Loan B, 3.75%, 3/05/20 |  |  |  |  |  |  | 1,176 |  |  |  | 1,171,783 |
|  |  |  |  |  |  |  |  |  |  | 2,727,100 |
Road & Rail — 1.0% |  |  |  |  |  |  |  |  |  |  |  |
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18 |  |  |  |  |  |  | 327 |  |  |  | 323,392 |
Quality Distribution, Inc., 1st Lien Term Loan, 5.25%, 7/20/22 |  |  |  |  |  |  | 290 |  |  |  | 286,920 |
Road Infrastructure Investment LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 3/31/21 |  |  |  |  |  |  | 459 |  |  |  | 450,004 |
2nd Lien Term Loan, 7.75%, 9/30/21 |  |  |  |  |  |  | 225 |  |  |  | 210,375 |
|  |  |  |  |  |  |  |  |  |  | 1,270,691 |
Semiconductors & Semiconductor Equipment — 1.6% |
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |  |  |  |  |  |  | 1,012 |  |  |  | 1,010,430 |
Freescale Semiconductor, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B4, 4.25%, 2/28/20 |  |  |  |  |  |  | 526 |  |  |  | 525,538 |
Term Loan B5, 5.00%, 1/15/21 |  |  |  |  |  |  | 162 |  |  |  | 162,215 |
NXP BV, Term Loan D, 3.25%, 1/11/20 |  |  |  |  |  |  | 324 |  |  |  | 322,335 |
|  |  |  |  |  |  |  |  |  |  | 2,020,518 |
Software — 4.6% |  |  |  |  |  |  |  |  |  |  |  |
Evertec Group LLC, Term Loan B, 3.25%, 4/17/20 |  |  |  |  |  |  | 240 |  |  |  | 230,796 |
GCA Services Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.25%, 10/22/20 |  |  |  |  |  |  | 176 |  |  |  | 175,120 |
Term Loan B, 4.25%, 11/01/19 |  |  |  |  |  |  | 384 |  |  |  | 381,431 |
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |  |  |  |  |  |  | 830 |  |  |  | 805,338 |
Informatica Corp., Term Loan, 4.50%, 8/05/22 |  |  |  |  |  |  | 874 |  |  |  | 868,188 |
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |  |  |  |  |  |  | 202 |  |  |  | 163,465 |
Kronos, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 4/30/20 |  |  |  |  |  |  | 409 |  |  |  | 415,706 |
Initial Incremental Term Loan, 4.50%, 10/30/19 |  |  |  |  |  |  | 243 |  |  |  | 242,999 |
Mitchell International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 10/12/20 |  |  |  |  |  |  | 496 |  |  |  | 493,507 |
2nd Lien Term Loan, 8.50%, 10/11/21 |  |  |  |  |  |  | 350 |  |  |  | 348,103 |
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |  |  |  |  |  |  | 635 |  |  |  | 633,546 |
SS&C Technologies, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 Term Loan B1, 4.00%, 7/08/22 |  |  |  |  |  |  | 803 |  |  |  | 803,260 |
2015 Term Loan B2, 4.00%, 7/08/22 |  |  |  |  |  |  | 130 |  |  |  | 130,137 |
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |  |  |  |  |  |  | 75 |  |  |  | 74,415 |
|  |  |  |  |  |  |  |  |  |  | 5,766,011 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Specialty Retail — 3.7% |  |  |  |  |  |  |  |  |  |  |  |
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 |  |  | USD |  |  |  | 297 |  |  | $ | 296,689 |
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 |  |  |  |  |  |  | 288 |  |  |  | 285,349 |
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |  |  |  |  |  |  | 546 |  |  |  | 539,503 |
Michaels Stores, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |  |  |  |  |  |  | 658 |  |  |  | 658,041 |
Term Loan B, 3.75%, 1/28/20 |  |  |  |  |  |  | 512 |  |  |  | 510,454 |
Party City Holdings Inc., 2015 Term Loan B, 4.25%, 7/28/22 |  |  |  |  |  |  | 635 |  |  |  | 633,812 |
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |  |  |  |  |  |  | 633 |  |  |  | 631,532 |
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22 |  |  |  |  |  |  | 823 |  |  |  | 821,226 |
Things Remembered, Inc., Term Loan B, 8.25%, 5/24/18 |  |  |  |  |  |  | 351 |  |  |  | 254,808 |
|  |  |  |  |  |  |  |  |  |  | 4,631,414 |
Technology Hardware, Storage & Peripherals — 0.7% |  |  |  |  |
Dell International LLC, Term Loan B2, 4.00%, 4/29/20 |  |  |  |  |  |  | 316 |  |  |  | 314,370 |
Dell, Inc., Term Loan C, 3.75%, 10/29/18 |  |  |  |  |  |  | 347 |  |  |  | 346,048 |
Linxens France SA, Term Loan, 5.00%, 7/27/22 |  |  |  |  |  |  | 180 |  |  |  | 179,100 |
|  |  |  |  |  |  |  |  |  |  | 839,518 |
Textiles, Apparel & Luxury Goods — 0.8% |  |  |  |  |  |  |  |  |  |  |  |
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 |  |  |  |  |  |  | 120 |  |  |  | 119,803 |
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |  |  |  |  |  |  | 525 |  |  |  | 464,378 |
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 |  |  |  |  |  |  | 377 |  |  |  | 376,700 |
|  |  |  |  |  |  |  |  |  |  | 960,881 |
Thrifts & Mortgage Finance — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |  |  |  |  |  |  | 439 |  |  |  | 438,386 |
Trading Companies & Distributors — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21 |  |  |  |  |  |  | 700 |  |  |  | 695,044 |
Transportation Infrastructure — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Penn Products Terminals LLC, Term Loan B, 4.75%, 4/13/22 |  |  |  |  |  |  | 255 |  |  |  | 252,770 |
Wireless Telecommunication Services — 1.8% |  |  |  |  |  |  |  |  |  |  |  |
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |  |  |  |  |  |  | 943 |  |  |  | 936,908 |
New Lightsquared LLC, PIK Exit Term Loan, 9.75%, 6/15/20 |  |  |  |  |  |  | 1,300 |  |  |  | 1,267,500 |
|  |  |  |  |  |  |  |  |  |  | 2,204,408 |
Total Floating Rate Loan Interests — 127.3% |  |  |  |  |  |  |  |  |  |  | 159,382,736 |
Non-Agency Mortgage-Backed Securities |  |  |  |  |  |  |  |  |
Collateralized Mortgage Obligations — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c) |  |  |  |  |  |  | 304 |  |  |  | 304,952 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 17

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

Investment Companies |  |  |  | Shares |  |  | Value |
Capital Markets — 0.0% |  |  |  |  |  |  |  |  |  |
Eaton Vance Floating-Rate Income Trust |  |  |  |  | 12 |  |  | $ | 163 |
Eaton Vance Senior Income Trust |  |  |  |  | 3,347 |  |  |  | 20,517 |
Total Investment Companies — 0.0% |  |  |  |  |  |  |  |  | 20,680 |
Warrants |  |  |  |  |  |  |  |
Software — 0.0% |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) |  |  |  |  | 691 |  |  |  | 5,940 |
Total Long-Term Investments (Cost — $172,368,741) — 136.0% |  |  |  |  |  |  |  |  | 170,232,342 |
Short-Term Securities |  |  |  | Shares |  |  | Value |
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (g)(h) |  |  |  |  | 254,052 |  |  | $ | 254,052 |
Total Short-Term Securities (Cost — $254,052) — 0.2% |  |  |  | 254,052 |
Total Investments (Cost — $172,622,793) — 136.2% |  |  |  |  |  |  |  |  | 170,486,394 |
Liabilities in Excess of Other Assets — (36.2)% |  |  |  |  |  |  | (45,303,603 | )
Net Assets — 100.0% |  |  |  |  |  |  |  | $ | 125,182,791 |

Notes to Schedule of Investments

(a) |  | Non-income producing security.

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

(c) |  | Variable rate security. Rate shown is as of report date.

(d) |  | Zero-coupon bond.

(e) |  | Issuer filed for bankruptcy and/or is in default of interest payments.

(f) |  | Amount is less than $500.

(g) |  | Represents the current yield as of report date.

(h) |  | During the year ended August 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate |  | Shares Held at August 31, 2014 |  |  | Net Activity |  |  | Shares Held at August 31, 2015 |  |  | Income |
BlackRock Liquidity Funds, TempFund, Institutional Class |  |  | 2,958,501 |  |  |  | (2,704,449 | ) |  |  | 254,052 |  |  | $ | 315 |

Derivative Financial Instruments Outstanding as of August 31, 2015 |  |

Financial Futures Contracts

Contracts Short |  | Issue |  | Exchange |  | Expiration |  | Notional Value |  |  | Unrealized Appreciation |
(4) |  | 10-Year U.S. Treasury Note |  | Chicago Board of Trade |  | December 2015 |  |  | USD 508,250 |  |  | $ | 503 |

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation |
USD |  |  | 812,141 |  |  | GBP |  |  | 522,000 |  |  | HSBC Bank PLC |  |  | 10/20/15 |  |  | $ | 11,340 |

Centrally Cleared Credit Default Swaps — Sold Protection

Index |  | Receive Fixed Rate |  |  | Clearinghouse |  | Expiration Date |  |  | Credit Rating |  |  | Notional Amount (000) |  |  | Unrealized Depreciation |
Dow Jones CDX North America High Yield Index, Series 24, Version 2 |  |  | 5.00 | % |  | Chicago Mercantile Exchange |  |  | 6/20/20 |  |  |  | B |  |  |  | USD 644 |  |  | $ | (7,012 | )

See Notes to Financial Statements.

18 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Derivative Financial Instruments Categorized by Risk Exposure |  |

The following is a summary of the Fund’s derivative financial instruments categorized by risk exposure. For information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

As of August 31, 2015, the fair values of derivative financial instruments were as follows:

|  | Statement of Assets and Liabilities Location |  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Derivative Financial Instruments — Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  | Net unrealized apppreciation1 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 503 |  |  | $ | 503 |
Forward foreign currency exchange contracts |  | Unrealized appreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 11,340 |  |  |  | — |  |  |  | 11,340 |
|  |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 11,340 |  |  | $ | 503 |  |  | $ | 11,843 |

Derivative Financial Instruments — Liabilities

Swaps — centrally cleared |  | Net unrealized depreciation1 |  |  | — |  |  | $ | 7,012 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 7,012 |
1 Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |

For the year ended August 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | (5,430 | ) |  | $ | (5,430 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 250,768 |  |  |  | — |  |  |  | 250,768 |
Swaps |  |  | — |  |  | $ | (751 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (751 | )
Total |  |  | — |  |  | $ | (751 | ) |  |  | — |  |  | $ | 250,768 |  |  | $ | (5,430 | ) |  | $ | 244,587 |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 503 |  |  | $ | 503 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | (67,873 | ) |  |  | — |  |  |  | (67,873 | )
Swaps |  |  | — |  |  | $ | (7,012 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (7,012 | )
Total |  |  | — |  |  | $ | (7,012 | ) |  |  | — |  |  | $ | (67,873 | ) |  | $ | 503 |  |  | $ | (74,382 | )

For the year ended August 31, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

Financial futures contracts: |  |  |  |
Average notional value of contracts — short |  | $ | 127,063 |
Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 1,337,830 |
Average amounts sold — in USD |  | $ | 140,064 |
Credit default swaps: |  |  |  |
Average notional value — sell protection |  | $ | 160,875 |

Derivative Financial Instruments — Offsetting as of August 31, 2015

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

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Financial futures contracts |  | $ | 563 |  |  |  | — |
Forward foreign currency exchange contracts |  |  | 11,340 |  |  |  | — |
Swaps — Centrally cleared |  |  | — |  |  | $ | 1,640 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities |  |  | 11,903 |  |  |  | 1,640 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (563 | ) |  |  | (1,640 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 11,340 |  |  |  | — |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 19

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

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

Counterparty |  |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset1 |  |  | Non-cash Collateral Received |  |  | Cash Collateral Received |  |  | Net Amount of Derivative Assets2 |
HSBC Bank PLC |  |  |  | $ | 11,340 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 11,340 |
Total |  |  |  | $ | 11,340 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 11,340 |
1 The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
2 Net amount represents the net amount receivable from the counterparty in the event of default. |

Fair Value Hierarchy as of August 31, 2015

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

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  |  | — |  |  | $ | 3,167,995 |  |  | $ | 1,801,100 |  |  | $ | 4,969,095 |
Common Stocks |  | $ | 272,202 |  |  |  | 233,087 |  |  |  | — |  |  |  | 505,289 |
Corporate Bonds |  |  | — |  |  |  | 5,043,650 |  |  |  | — |  |  |  | 5,043,650 |
Floating Rate Loan Interests |  |  | — |  |  |  | 151,789,717 |  |  |  | 7,593,019 |  |  |  | 159,382,736 |
Investment Companies |  |  | 20,680 |  |  |  | — |  |  |  | — |  |  |  | 20,680 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 304,952 |  |  |  | — |  |  |  | 304,952 |
Warrants |  |  | — |  |  |  | — |  |  |  | 5,940 |  |  |  | 5,940 |
Short-Term Securities |  |  | 254,052 |  |  |  | — |  |  |  | — |  |  |  | 254,052 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded floating rate loan interest |  |  | — |  |  |  | (116 | ) |  |  | — |  |  |  | (116 | )
Total |  | $ | 546,934 |  |  | $ | 160,539,285 |  |  | $ | 9,400,059 |  |  | $ | 170,486,278 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Derivative Financial Instruments3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 503 |  |  |  | — |  |  |  | — |  |  | $ | 503 |
Foreign currency exchange contracts |  |  | — |  |  | $ | 11,340 |  |  |  | — |  |  |  | 11,340 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit contracts |  |  | — |  |  |  | (7,012 | ) |  |  | — |  |  |  | (7,012 | )
Total |  | $ | 503 |  |  | $ | 4,328 |  |  |  | — |  |  | $ | 4,831 |
3 Derivative financial instruments are swaps, financial futures contract and forward foreign currency exchange contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  | $ | 4,641,589 |  |  |  | — |  |  |  | — |  |  | $ | 4,641,589 |
Foreign currency at value |  |  | 729 |  |  |  | — |  |  |  | — |  |  |  | 729 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank borrowings payable |  |  | — |  |  | $ | (45,000,000 | ) |  |  | — |  |  |  | (45,000,000 | )
Total |  | $ | 4,642,318 |  |  | $ | (45,000,000 | ) |  |  | — |  |  | $ | (40,357,682 | )

During the year ended August 31, 2015, there were no transfers between Level 1 and Level 2.

See Notes to Financial Statements.

20 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

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

|  | Asset-Backed Securities |  |  | Floating Rate Loan Interests |  |  | Warrants |  |  | Unfunded Floating Rate Loan Interest (Liabilities) |  |  | Grand Total |
Opening balance, as of August 31, 2014 |  | $ | 921,580 |  |  | $ | 13,599,109 |  |  |  | — |  |  | $ | (85 | ) |  | $ | 14,520,604 |
Transfers into Level 31 |  |  | 236,452 |  |  |  | 2,670,847 |  |  | $ | 3,214 |  |  |  | — |  |  |  | 2,910,513 |
Transfers out of Level 32 |  |  | (676,305 | ) |  |  | (5,898,550 | ) |  |  | — |  |  |  | — |  |  |  | (6,574,855 | )
Accrued discounts/premiums |  |  | 3,795 |  |  |  | 20,841 |  |  |  | — |  |  |  | — |  |  |  | 24,636 |
Net realized gain (loss) |  |  | 1,600 |  |  |  | (101,729 | ) |  |  | — |  |  |  | — |  |  |  | (100,129 | )
Net change in unrealized appreciation (depreciation)3,4 |  |  | 3,226 |  |  |  | (342,200 | ) |  |  | 2,726 |  |  |  | 85 |  |  |  | (336,163 | )
Purchases |  |  | 1,557,627 |  |  |  | 3,358,304 |  |  |  | — |  |  |  | — |  |  |  | 4,915,931 |
Sales |  |  | (246,875 | ) |  |  | (5,713,603 | ) |  |  | — |  |  |  | — |  |  |  | (5,960,478 | )
Closing Balance, as of August 31, 2015 |  | $ | 1,801,100 |  |  | $ | 7,593,019 |  |  | $ | 5,940 |  |  |  | — |  |  | $ | 9,400,059 |
Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20154 |  | $ | 3,226 |  |  | $ | (314,855 | ) |  | $ | 2,726 |  |  |  | — |  |  | $ | (308,903 | )
1 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $2,910,513 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,574,855 transferred from Level 3 to Level 2 in the disclosure hierarchy. |
3 Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. |
4 Any difference between net change in unrealized appreciation (depreciation) on investments still held at August 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end. |

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

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 21

Consolidated Schedule of Investments August 31, 2015 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Common Stocks (a) |  |  |  |  | Shares |  |  | Value |
Chemicals — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
GEO Specialty Chemicals, Inc. |  |  |  |  |  |  | 143,928 |  |  | $ | 89,235 |
GEO Specialty Chemicals, Inc. (b) |  |  |  |  |  |  | 23,849 |  |  |  | 14,787 |
|  |  |  |  |  |  |  |  |  |  | 104,022 |
Diversified Consumer Services — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
Cengage Thomson Learning |  |  |  |  |  |  | 37,579 |  |  |  | 981,751 |
Houghton Mifflin Harcourt Co. |  |  |  |  |  |  | 53,827 |  |  |  | 1,215,414 |
|  |  |  |  |  |  |  |  |  |  | 2,197,165 |
Diversified Financial Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Kcad Holdings I Ltd. |  |  |  |  |  |  | 309,827,230 |  |  |  | 241,665 |
Semiconductors & Semiconductor Equipment — 0.0% |
SunPower Corp. |  |  |  |  |  |  | 1,860 |  |  |  | 45,123 |
Total Common Stocks — 0.5% |  |  |  |  |  |  |  |  |  |  | 2,587,975 |
Asset-Backed Securities (b) |  |  |  |  | Par (000) |  |  |  |
ALM Loan Funding (c): |  |  |  |  |  |  |  |  |  |  |  |
Series 2012-5A, Class BR, 3.26%, 10/18/27 |  |  | USD |  |  |  | 740 |  |  |  | 737,558 |
Series 2013-7R2A, Class B, 2.89%, 4/24/24 |  |  |  |  |  |  | 555 |  |  |  | 548,971 |
Series 2013-7RA, Class C, 3.74%, 4/24/24 |  |  |  |  |  |  | 1,075 |  |  |  | 1,048,609 |
Series 2013-7RA, Class D, 5.29%, 4/24/24 |  |  |  |  |  |  | 900 |  |  |  | 875,581 |
Series 2013-8A, Class B, 3.04%, 1/20/26 |  |  |  |  |  |  | 1,150 |  |  |  | 1,130,502 |
ALM XIV Ltd., Series 2014-14A, Class C, 3.74%, 7/28/26 (c) |  |  |  |  |  |  | 713 |  |  |  | 682,492 |
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class B, 3.16%, 7/15/27 (c) |  |  |  |  |  |  | 1,420 |  |  |  | 1,410,344 |
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.48%, 12/09/26 (c) |  |  |  |  |  |  | 1,250 |  |  |  | 1,240,625 |
Ares CLO Ltd., Series 2014-32A, Class C, 4.47%, 11/15/25 (c) |  |  |  |  |  |  | 1,000 |  |  |  | 993,722 |
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.98%, 10/15/26 (c) |  |  |  |  |  |  | 860 |  |  |  | 828,278 |
Atrium CDO Corp., Series 9A, Class D, 3.83%, 2/28/24 (c) |  |  |  |  |  |  | 1,100 |  |  |  | 1,064,619 |
Atrium X, Series 10A, Class D, 3.79%, 7/16/25 (c) |  |  |  |  |  |  | 250 |  |  |  | 240,984 |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.79%, 7/15/24 (c) |  |  |  |  |  |  | 650 |  |  |  | 613,156 |
Benefit Street Partners CLO VII Ltd., Series 2015-VIIA, Class B, 3.23%, 7/18/27 (c) |  |  |  |  |  |  | 680 |  |  |  | 669,120 |
Carlyle Global Market Strategies CLO Ltd. (c): |  |  |  |  |  |  |  |  |  |  |  |
Series 2012-4A, Class D, 4.79%, 1/20/25 |  |  |  |  |  |  | 700 |  |  |  | 700,470 |
Series 2013-1A, Class C, 4.31%, 2/14/25 |  |  |  |  |  |  | 250 |  |  |  | 248,013 |
Cent CLO 22 Ltd., Series 2014-22A, Class C, 4.06%, 11/07/26 (c) |  |  |  |  |  |  | 625 |  |  |  | 609,875 |
CIFC Funding 2014-II Ltd., Series 2014-2A, Class A3L, 3.18%, 5/24/26 (c) |  |  |  |  |  |  | 280 |  |  |  | 275,443 |
CIFC Funding 2014-V Ltd., Series 2014-5A, Class D2, 4.79%, 1/17/27 (c) |  |  |  |  |  |  | 1,000 |  |  |  | 1,000,773 |
CIFC Funding Ltd., Series 2014-3A, Class C1, 3.10%, 7/22/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 243,135 |
LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27 (c)(d) |  |  |  |  |  |  | 2,500 |  |  |  | 2,150,000 |
Asset-Backed Securities (b) |  |  |  |  | Par (000) |  |  | Value |
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.79%, 10/23/25 (c) |  |  | USD |  |  |  | 370 |  |  | $ | 356,375 |
North End CLO Ltd., Series 2013-1A, Class D, 3.79%, 7/17/25 (c) |  |  |  |  |  |  | 750 |  |  |  | 720,000 |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.48%, 10/25/25 (c) |  |  |  |  |  |  | 1,000 |  |  |  | 923,182 |
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.93%, 11/14/26 (c) |  |  |  |  |  |  | 500 |  |  |  | 479,914 |
OZLM Funding Ltd. (c): |  |  |  |  |  |  |  |  |  |  |  |
Series 2012-1A, Class BR, 3.29%, 7/22/27 |  |  |  |  |  |  | 455 |  |  |  | 455,000 |
Series 2012-2A, Class C, 4.65%, 10/30/23 |  |  |  |  |  |  | 500 |  |  |  | 501,231 |
OZLM VII Ltd., Series 2014-7A, Class C, 3.89%, 7/17/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 235,418 |
OZLM VIII Ltd., Series 2014-8A, Class B, 3.29%, 10/17/26 (c) |  |  |  |  |  |  | 475 |  |  |  | 472,034 |
Regatta Funding LP, Series 2013-2A, Class C, 4.29%, 1/15/25 (c) |  |  |  |  |  |  | 500 |  |  |  | 489,255 |
Seneca Park CLO, Ltd., Series 2014-1A, Class C, 3.19%, 7/17/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 247,107 |
Sound Point CLO IV Ltd., Series 2013-3A, Class A, 1.66%, 1/21/26 (c) |  |  |  |  |  |  | 640 |  |  |  | 635,335 |
Sound Point CLO Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (c) |  |  |  |  |  |  | 1,250 |  |  |  | 1,194,381 |
Treman Park CLO LLC, Series 2015-1A, Class D, 4.12%, 4/20/27 (c) |  |  |  |  |  |  | 1,400 |  |  |  | 1,368,500 |
Venture XXI CLO Ltd., Series 2015-21A, Class A, 1.77%, 7/15/27 (c) |  |  |  |  |  |  | 663 |  |  |  | 661,011 |
Voya CLO Ltd. : |  |  |  |  |  |  |  |  |  |  |  |
Series 2014-3A, Class C, 3.90%, 7/25/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 237,114 |
Series 2014-4A, Class C, 4.29%, 10/14/26 (c) |  |  |  |  |  |  | 1,000 |  |  |  | 981,615 |
Series 2014-4A, Class SUB, 0.00%, 10/14/26 (d) |  |  |  |  |  |  | 1,000 |  |  |  | 785,915 |
Total Asset-Backed Securities — 5.1% |  |  |  |  |  |  |  |  |  |  | 28,055,657 |
Corporate Bonds |
Airlines — 0.7% |  |  |  |  |  |  |  |  |  |  |  |
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) |  |  |  |  |  |  | 1,125 |  |  |  | 1,153,196 |
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |  |  |  |  |  |  | 166 |  |  |  | 178,200 |
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |  |  |  |  |  |  | 2,605 |  |  |  | 2,624,538 |
|  |  |  |  |  |  |  |  |  |  | 3,955,934 |
Auto Components — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17 |  |  |  |  |  |  | 717 |  |  |  | 713,415 |
Banks — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
CIT Group, Inc., 5.00%, 8/01/23 |  |  |  |  |  |  | 135 |  |  |  | 136,688 |
Capital Markets — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Blackstone CQP Holdco LP, 9.30%, 3/19/19 |  |  |  |  |  |  | 971 |  |  |  | 944,697 |
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(d)(e) |  |  |  |  |  |  | 129 |  |  |  | 327,366 |
|  |  |  |  |  |  |  |  |  |  | 1,272,063 |
Chemicals — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
GEO Specialty Chemicals, Inc., 7.50%, 10/30/18 |  |  |  |  |  |  | 1,559 |  |  |  | 2,042,405 |
Commercial Services & Supplies — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.07%, 12/01/17 (c) |  |  |  |  |  |  | 295 |  |  |  | 293,525 |
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |  |  |  |  |  |  | 757 |  |  |  | 761,215 |
|  |  |  |  |  |  |  |  |  |  | 1,054,740 |
Communications Equipment — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Avaya, Inc., 7.00%, 4/01/19 (b) |  |  |  |  |  |  | 390 |  |  |  | 350,025 |

See Notes to Financial Statements.

22 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Corporate Bonds |  |  |  |  | Par (000) |  |  | Value |
Consumer Finance — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 9/15/20 |  |  | USD |  |  |  | 128 |  |  | $ | 148,480 |
8.00%, 11/01/31 |  |  |  |  |  |  | 621 |  |  |  | 740,585 |
|  |  |  |  |  |  |  |  |  |  | 889,065 |
Containers & Packaging — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 3.34%, 12/15/19 (b)(c) |  |  |  |  |  |  | 1,425 |  |  |  | 1,396,500 |
Health Care Equipment & Supplies — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b) |  |  |  |  |  |  | 315 |  |  |  | 325,867 |
Health Care Providers & Services — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Tenet Healthcare Corp., 3.84%, 6/15/20 (b)(c) |  |  |  |  |  |  | 1,375 |  |  |  | 1,382,562 |
Hotels, Restaurants & Leisure — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/14 (a)(f) |  |  |  |  |  |  | 120 |  |  |  | — |
Media — 0.8% |  |  |  |  |  |  |  |  |  |  |  |
Altice Financing SA, 6.63%, 2/15/23 (b) |  |  |  |  |  |  | 550 |  |  |  | 547,250 |
Altice US Finance I Corp., 5.38%, 7/15/23 (b) |  |  |  |  |  |  | 1,225 |  |  |  | 1,212,750 |
CCO Safari II LLC, 4.91%, 7/23/25 (b) |  |  |  |  |  |  | 1,870 |  |  |  | 1,852,224 |
Numericable Group SA, 6.00%, 5/15/22 (b) |  |  |  |  |  |  | 842 |  |  |  | 842,000 |
|  |  |  |  |  |  |  |  |  |  | 4,454,224 |
Metals & Mining — 0.0% |
Novelis, Inc., 8.38%, 12/15/17 |  |  |  |  |  |  | 255 |  |  |  | 255,319 |
Oil, Gas & Consumable Fuels — 0.5% |
California Resources Corp., 5.50%, 9/15/21 |  |  |  |  |  |  | 1,800 |  |  |  | 1,395,684 |
CONSOL Energy, Inc., 5.88%, 4/15/22 |  |  |  |  |  |  | 620 |  |  |  | 443,300 |
MEG Energy Corp., 7.00%, 3/31/24 (b) |  |  |  |  |  |  | 850 |  |  |  | 694,875 |
|  |  |  |  |  |  |  |  |  |  | 2,533,859 |
Pharmaceuticals — 0.5% |
Valeant Pharmaceuticals International, Inc. (b): |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 3/15/20 |  |  |  |  |  |  | 1,400 |  |  |  | 1,424,500 |
5.88%, 5/15/23 |  |  |  |  |  |  | 840 |  |  |  | 856,800 |
6.13%, 4/15/25 |  |  |  |  |  |  | 460 |  |  |  | 473,800 |
|  |  |  |  |  |  |  |  |  |  | 2,755,100 |
Wireless Telecommunication Services — 0.2% |
Sprint Communications, Inc., 7.00%, 3/01/20 (b) |  |  |  |  |  |  | 1,205 |  |  |  | 1,279,951 |
Total Corporate Bonds — 4.5% |  |  |  |  |  |  |  |  |  |  | 24,797,717 |
Floating Rate Loan Interests (c) |  |  |  |  |  |  |  |  |
Aerospace & Defense — 1.4% |
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |  |  |  |  |  |  | 2,763 |  |  |  | 2,772,547 |
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |  |  |  |  |  |  | 1,862 |  |  |  | 1,852,392 |
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |  |  |  |  |  |  | 1,175 |  |  |  | 1,207,312 |
Transdigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 Term Loan E, 3.50%, 5/14/22 |  |  |  |  |  |  | 878 |  |  |  | 866,870 |
Term Loan D, 3.75%, 6/04/21 |  |  |  |  |  |  | 817 |  |  |  | 807,562 |
|  |  |  |  |  |  |  |  |  |  | 7,506,683 |
Air Freight & Logistics — 0.4% |
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 693 |  |  |  | 623,031 |
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 722 |  |  |  | 648,802 |
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 113 |  |  |  | 101,570 |
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 995 |  |  |  | 894,900 |
|  |  |  |  |  |  |  |  |  |  | 2,268,303 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Airlines — 0.7% |
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 |  |  | USD |  |  |  | 1,414 |  |  | $ | 1,410,706 |
Northwest Airlines, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2.25%, 3/10/17 |  |  |  |  |  |  | 521 |  |  |  | 510,038 |
1.63%, 9/10/18 |  |  |  |  |  |  | 556 |  |  |  | 532,290 |
1.64%, 9/10/18 |  |  |  |  |  |  | 282 |  |  |  | 269,776 |
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |  |  |  |  |  |  | 1,127 |  |  |  | 1,119,956 |
|  |  |  |  |  |  |  |  |  |  | 3,842,766 |
Auto Components — 3.7% |
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |  |  |  |  |  |  | 1,236 |  |  |  | 1,235,248 |
Autoparts Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 7/29/17 |  |  |  |  |  |  | 2,646 |  |  |  | 2,328,763 |
2nd Lien Term Loan, 11.00%, 1/29/18 |  |  |  |  |  |  | 907 |  |  |  | 770,525 |
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |  |  |  |  |  |  | 1,571 |  |  |  | 1,569,111 |
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |  |  |  |  |  |  | 1,536 |  |  |  | 1,481,878 |
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |  |  |  |  |  |  | 8,639 |  |  |  | 8,260,900 |
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19 |  |  |  |  |  |  | 2,754 |  |  |  | 2,758,739 |
GPX International Tire Corp., Term Loan (a)(f): |  |  |  |  |  |  |  |  |  |  |  |
12.25%, 3/30/2012 |  |  |  |  |  |  | 1,097 |  |  |  | — |
PIK, 13.00%, 3/30/2012 (g) |  |  |  |  |  |  | 18 |  |  |  | — |
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |  |  |  |  |  |  | 1,783 |  |  |  | 1,786,582 |
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |  |  |  |  |  |  | 225 |  |  |  | 221,752 |
|  |  |  |  |  |  |  |  |  |  | 20,413,498 |
Automobiles — 0.4% |
Chrysler Group LLC, Term Loan B: |  |  |  |  |  |  |  |  |  |  |  |
2018, 3.25%, 12/31/18 |  |  |  |  |  |  | 815 |  |  |  | 811,128 |
3.50%, 5/24/17 |  |  |  |  |  |  | 1,401 |  |  |  | 1,398,041 |
|  |  |  |  |  |  |  |  |  |  | 2,209,169 |
Banks — 0.3% |
Redtop Acquisitions Ltd.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/03/20 |  |  |  |  |  |  | 1,148 |  |  |  | 1,147,525 |
2nd Lien Term Loan, 8.25%, 6/03/21 |  |  |  |  |  |  | 305 |  |  |  | 302,806 |
|  |  |  |  |  |  |  |  |  |  | 1,450,331 |
Biotechnology — 0.1% |
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21 |  |  |  |  |  |  | 845 |  |  |  | 842,887 |
Building Products — 3.7% |
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |  |  |  |  |  |  | 1,378 |  |  |  | 1,366,060 |
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |  |  |  |  |  |  | 5,342 |  |  |  | 5,292,326 |
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |  |  |  |  |  |  | 1,397 |  |  |  | 1,365,007 |
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22 |  |  |  |  |  |  | 638 |  |  |  | 632,901 |
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |  |  |  |  |  |  | 3,050 |  |  |  | 3,047,083 |
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |  |  |  |  |  |  | 1,007 |  |  |  | 995,667 |
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |  |  |  |  |  |  | 1,679 |  |  |  | 1,668,870 |
Universal Services of America LP: |  |  |  |  |  |  |  |  |  |  |  |
2015 2nd Lien Term Loan, 9.50%, 7/28/23 |  |  |  |  |  |  | 606 |  |  |  | 599,455 |
2015 Delayed Draw Term Loan, 1.98%, 7/28/22 |  |  |  |  |  |  | 6 |  |  |  | 5,799 |
2015 Term Loan, 4.75%, 7/28/22 |  |  |  |  |  |  | 2,292 |  |  |  | 2,261,688 |
Wilsonart LLC: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B2, 4.00%, 10/31/19 |  |  |  |  |  |  | 497 |  |  |  | 492,764 |
Term Loan B, 4.00%, 10/31/19 |  |  |  |  |  |  | 2,824 |  |  |  | 2,797,172 |
|  |  |  |  |  |  |  |  |  |  | 20,524,792 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 23

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Capital Markets — 1.0% |
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18 |  |  | USD |  |  |  | 1,352 |  |  | $ | 1,273,884 |
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |  |  |  |  |  |  | 861 |  |  |  | 859,100 |
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20 |  |  |  |  |  |  | 3,386 |  |  |  | 3,382,243 |
|  |  |  |  |  |  |  |  |  |  | 5,515,227 |
Chemicals — 4.5% |
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 |  |  |  |  |  |  | 1,093 |  |  |  | 1,091,964 |
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 |  |  |  |  |  |  | 567 |  |  |  | 566,567 |
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 |  |  |  |  |  |  | 2,255 |  |  |  | 2,244,838 |
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 |  |  |  |  |  |  | 116 |  |  |  | 115,313 |
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22 |  |  |  |  |  |  | 977 |  |  |  | 978,629 |
The Chemours Co., Term Loan B, 3.75%, 5/12/22 |  |  |  |  |  |  | 846 |  |  |  | 815,685 |
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |  |  |  |  |  |  | 243 |  |  |  | 242,523 |
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19 |  |  |  |  |  |  | 243 |  |  |  | 235,572 |
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |  |  |  |  |  |  | 1,489 |  |  |  | 1,388,396 |
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |  |  |  |  |  |  | 707 |  |  |  | 703,574 |
Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20 |  |  |  |  |  |  | 732 |  |  |  | 731,577 |
Kronos Worldwide, Inc., 2015 Term Loan, 4.00%, 2/18/20 |  |  |  |  |  |  | 504 |  |  |  | 484,739 |
MacDermid, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 6/07/20 |  |  |  |  |  |  | 2,844 |  |  |  | 2,833,589 |
Term Loan B2, 4.75%, 6/07/20 |  |  |  |  |  |  | 744 |  |  |  | 743,396 |
Minerals Technologies, Inc., 2015 Term Loan B, 3.75%, 5/09/21 |  |  |  |  |  |  | 1,504 |  |  |  | 1,503,078 |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |  |  |  |  |  |  | 1,436 |  |  |  | 1,393,101 |
OXEA Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.25%, 7/15/20 |  |  |  |  |  |  | 1,365 |  |  |  | 1,273,995 |
Term Loan B2, 4.25%, 1/15/20 |  |  |  |  |  |  | 2,505 |  |  |  | 2,439,609 |
Royal Holdings, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 1st Lien Term Loan, 4.50%, 6/19/22 |  |  |  |  |  |  | 1,135 |  |  |  | 1,129,802 |
2015 2nd Lien Term Loan, 8.50%, 6/19/23 |  |  |  |  |  |  | 465 |  |  |  | 463,256 |
Solenis International LP: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 7/31/21 |  |  |  |  |  |  | 1,533 |  |  |  | 1,510,887 |
2nd Lien Term Loan, 7.75%, 7/31/22 |  |  |  |  |  |  | 1,725 |  |  |  | 1,651,688 |
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |  |  |  |  |  |  | 561 |  |  |  | 560,682 |
|  |  |  |  |  |  |  |  |  |  | 25,102,460 |
Commercial Services & Supplies — 6.8% |
ADMI Corp., 2015 Term Loan B, 5.50%, 4/30/22 |  |  |  |  |  |  | 840 |  |  |  | 844,200 |
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |  |  |  |  |  |  | 3,119 |  |  |  | 3,088,267 |
ARAMARK Corp.: |  |  |  |  |  |  |  |  |  |  |  |
Extended Synthetic Line of Credit 2, 0.04%, 7/26/16 |  |  |  |  |  |  | 46 |  |  |  | 45,725 |
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |  |  |  |  |  |  | 32 |  |  |  | 31,918 |
Term Loan E, 3.25%, 9/07/19 |  |  |  |  |  |  | 2,848 |  |  |  | 2,836,264 |
Term Loan F, 3.25%, 2/24/21 |  |  |  |  |  |  | 858 |  |  |  | 854,497 |
Asurion LLC, Term Loan B4, 5.00%, 8/04/22 |  |  |  |  |  |  | 1,300 |  |  |  | 1,285,375 |
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |  |  |  |  |  |  | 3,771 |  |  |  | 3,387,350 |
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |  |  |  |  |  |  | 3,330 |  |  |  | 3,327,644 |
Connolly Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 5/14/21 |  |  |  |  |  |  | 3,000 |  |  |  | 2,992,425 |
2nd Lien Term Loan, 8.00%, 5/14/22 |  |  |  |  |  |  | 1,500 |  |  |  | 1,500,000 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (concluded) |
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 |  |  | USD |  |  |  | 955 |  |  | $ | 961,170 |
Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21 |  |  |  |  |  |  | 865 |  |  |  | 868,646 |
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 |  |  |  |  |  |  | 1,340 |  |  |  | 1,338,660 |
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |  |  |  |  |  |  | 2,376 |  |  |  | 2,344,387 |
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |  |  |  |  |  |  | 1,333 |  |  |  | 1,299,480 |
PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21 |  |  |  |  |  |  | 1,642 |  |  |  | 1,637,646 |
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |  |  |  |  |  |  | 4,773 |  |  |  | 4,702,512 |
US Ecology, Inc., Term Loan, 3.75%, 6/17/21 |  |  |  |  |  |  | 828 |  |  |  | 831,571 |
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20 |  |  |  |  |  |  | 920 |  |  |  | 920,807 |
West Corp., Term Loan B10, 3.25%, 6/30/18 |  |  |  |  |  |  | 2,606 |  |  |  | 2,578,811 |
|  |  |  |  |  |  |  |  |  |  | 37,677,355 |
Communications Equipment — 2.1% |  |  |  |  |  |  |  |  |  |  |  |
Applied Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 1/25/21 |  |  |  |  |  |  | 1,421 |  |  |  | 1,417,216 |
2nd Lien Term Loan, 7.50%, 1/24/22 |  |  |  |  |  |  | 380 |  |  |  | 377,530 |
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20 |  |  |  |  |  |  | 2,442 |  |  |  | 2,092,784 |
CommScope, Inc., Term Loan B5, 3.75%, 12/29/22 |  |  |  |  |  |  | 915 |  |  |  | 910,809 |
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22 |  |  |  |  |  |  | 603 |  |  |  | 603,234 |
Telesat Canada, Term Loan A, 4.09%, 3/24/17 |  |  | CAD |  |  |  | 2,000 |  |  |  | 1,506,917 |
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21 |  |  | USD |  |  |  | 4,527 |  |  |  | 4,497,621 |
|  |  |  |  |  |  |  |  |  |  | 11,406,111 |
Construction & Engineering — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 |  |  |  |  |  |  | 785 |  |  |  | 785,331 |
Construction Materials — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20 |  |  |  |  |  |  | 1,424 |  |  |  | 1,420,042 |
Headwaters, Inc., Term Loan B, 4.50%, 3/24/22 |  |  |  |  |  |  | 735 |  |  |  | 736,073 |
McJunkin Red Man Corp., Term Loan, 4.75%, 11/08/19 |  |  |  |  |  |  | 444 |  |  |  | 433,031 |
|  |  |  |  |  |  |  |  |  |  | 2,589,146 |
Containers & Packaging — 0.8% |  |  |  |  |  |  |  |  |  |  |  |
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |  |  |  |  |  |  | 811 |  |  |  | 806,993 |
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |  |  |  |  |  |  | 1,246 |  |  |  | 1,235,148 |
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20 |  |  |  |  |  |  | 1,495 |  |  |  | 1,494,900 |
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 |  |  |  |  |  |  | 767 |  |  |  | 765,332 |
|  |  |  |  |  |  |  |  |  |  | 4,302,373 |
Distributors — 0.6% |
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |  |  |  |  |  |  | 2,062 |  |  |  | 2,050,724 |
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21 |  |  |  |  |  |  | 1,546 |  |  |  | 1,549,990 |
|  |  |  |  |  |  |  |  |  |  | 3,600,714 |
Diversified Consumer Services — 2.6% |
Allied Security Holdings LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 2/12/21 |  |  |  |  |  |  | 2,855 |  |  |  | 2,841,801 |
2nd Lien Term Loan, 8.00%, 8/13/21 |  |  |  |  |  |  | 1,417 |  |  |  | 1,405,674 |
Bright Horizons Family Solutions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 4.25%, 1/30/20 |  |  |  |  |  |  | 239 |  |  |  | 238,800 |
Term Loan B, 3.75%, 1/30/20 |  |  |  |  |  |  | 2,754 |  |  |  | 2,749,445 |
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21 |  |  |  |  |  |  | 752 |  |  |  | 751,185 |
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |  |  |  |  |  |  | 1,061 |  |  |  | 1,009,817 |

See Notes to Financial Statements.

24 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Diversified Consumer Services (concluded) |
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21 |  |  | USD |  |  |  | 5,323 |  |  | $ | 5,292,672 |
|  |  |  |  |  |  |  |  |  |  | 14,289,394 |
Diversified Financial Services — 3.1% |
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22 |  |  |  |  |  |  | 945 |  |  |  | 944,055 |
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |  |  |  |  |  |  | 2,658 |  |  |  | 2,656,234 |
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 |  |  |  |  |  |  | 970 |  |  |  | 969,718 |
Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20 |  |  |  |  |  |  | 2,775 |  |  |  | 2,747,250 |
Onex Wizard US Acquisition, Inc., Term Loan, 4.25%, 3/13/22 |  |  |  |  |  |  | 2,085 |  |  |  | 2,081,731 |
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18 |  |  |  |  |  |  | 3,162 |  |  |  | 3,159,714 |
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |  |  |  |  |  |  | 1,844 |  |  |  | 1,843,575 |
TransFirst, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2014 2nd Lien Term Loan, 9.00%, 11/12/22 |  |  |  |  |  |  | 851 |  |  |  | 845,672 |
Incremental Term Loan B, 4.75%, 11/12/21 |  |  |  |  |  |  | 1,817 |  |  |  | 1,812,993 |
|  |  |  |  |  |  |  |  |  |  | 17,060,942 |
Diversified Telecommunication Services — 4.0% |
Altice Financing SA, Term Loan, 5.25%, 2/04/22 |  |  |  |  |  |  | 1,100 |  |  |  | 1,105,500 |
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |  |  |  |  |  |  | 1,130 |  |  |  | 1,125,067 |
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |  |  |  |  |  |  | 2,689 |  |  |  | 2,692,128 |
Integra Telecom, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 1st Lien Term Loan, 5.25%, 8/14/20 |  |  |  |  |  |  | 2,278 |  |  |  | 2,271,654 |
2nd Lien Term Loan, 9.75%, 2/21/20 |  |  |  |  |  |  | 750 |  |  |  | 746,641 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2013 Term Loan B, 4.00%, 1/15/20 |  |  |  |  |  |  | 10,260 |  |  |  | 10,250,356 |
2019 Term Loan, 4.00%, 8/01/19 |  |  |  |  |  |  | 1,647 |  |  |  | 1,644,147 |
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23 |  |  |  |  |  |  | 2,299 |  |  |  | 2,271,477 |
|  |  |  |  |  |  |  |  |  |  | 22,106,970 |
Electrical Equipment — 0.7% |
Southwire Co., Term Loan, 3.00%, 2/10/21 |  |  |  |  |  |  | 1,165 |  |  |  | 1,146,315 |
Texas Competitive Electric Holdings Co. LLC: |  |  |  |  |  |  |  |  |  |  |  |
DIP Term Loan, 3.75%, 5/05/16 |  |  |  |  |  |  | 1,971 |  |  |  | 1,971,075 |
Extended Term Loan, 4.67%, 10/10/17 (a)(f) |  |  |  |  |  |  | 1,710 |  |  |  | 771,449 |
|  |  |  |  |  |  |  |  |  |  | 3,888,839 |
Electronic Equipment, Instruments & Components — 0.5% |
CDW LLC, Term Loan, 3.25%, 4/29/20 |  |  |  |  |  |  | 1,728 |  |  |  | 1,713,032 |
CPI Acquisition, Inc., Term Loan B, 6.75%, 8/17/22 |  |  |  |  |  |  | 1,095 |  |  |  | 1,077,206 |
|  |  |  |  |  |  |  |  |  |  | 2,790,238 |
Energy Equipment & Services — 1.3% |
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |  |  |  |  |  |  | 1,803 |  |  |  | 1,797,935 |
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 |  |  |  |  |  |  | 1,161 |  |  |  | 1,112,525 |
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |  |  |  |  |  |  | 4,943 |  |  |  | 4,599,327 |
|  |  |  |  |  |  |  |  |  |  | 7,509,787 |
Food & Staples Retailing — 1.1% |
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 |  |  |  |  |  |  | 1,464 |  |  |  | 1,458,901 |
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |  |  |  |  |  |  | 1,040 |  |  |  | 1,049,755 |
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |  |  |  |  |  |  | 2,206 |  |  |  | 2,211,430 |
Floating Rate Loan Interests (c) |  |  |  |  | Par (000) |  |  | Value |
Food & Staples Retailing (concluded) |
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 |  |  | USD |  |  |  | 1,662 |  |  | $ | 1,662,354 |
|  |  |  |  |  |  |  |  |  |  | 6,382,440 |
Food Products — 3.3% |
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |  |  |  |  |  |  | 1,115 |  |  |  | 1,095,622 |
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |  |  |  |  |  |  | 2,971 |  |  |  | 2,958,223 |
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |  |  |  |  |  |  | 2,693 |  |  |  | 2,691,548 |
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |  |  |  |  |  |  | 1,479 |  |  |  | 1,469,827 |
New HB Acquisition LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 8/03/22 |  |  |  |  |  |  | 1,655 |  |  |  | 1,654,487 |
2nd Lien Term Loan, 8.50%, 8/03/23 |  |  |  |  |  |  | 340 |  |  |  | 340,425 |
Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21 |  |  |  |  |  |  | 1,890 |  |  |  | 1,888,699 |
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |  |  |  |  |  |  | 1,444 |  |  |  | 1,444,377 |
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20 |  |  |  |  |  |  | 2,638 |  |  |  | 2,620,840 |
Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21 |  |  |  |  |  |  | 1 |  |  |  | 595 |
Reddy Ice Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.75%, 5/01/19 |  |  |  |  |  |  | 1,616 |  |  |  | 1,341,253 |
2nd Lien Term Loan, 10.75%, 11/01/19 |  |  |  |  |  |  | 1,195 |  |  |  | 836,500 |
|  |  |  |  |  |  |  |  |  |  | 18,342,396 |
Health Care Equipment & Supplies — 4.1% |
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22 |  |  |  |  |  |  | 1,270 |  |  |  | 1,269,124 |
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22 |  |  |  |  |  |  | 1,057 |  |  |  | 1,056,466 |
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |  |  |  |  |  |  | 1,912 |  |  |  | 1,906,198 |
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20 |  |  |  |  |  |  | 3,150 |  |  |  | 3,131,100 |
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |  |  |  |  |  |  | 2,726 |  |  |  | 2,726,116 |
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |  |  |  |  |  |  | 3,500 |  |  |  | 3,485,746 |
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |  |  |  |  |  |  | 2,161 |  |  |  | 2,151,530 |
Millennium Health LLC, Term Loan B, 5.25%, 4/16/21 |  |  |  |  |  |  | 1,494 |  |  |  | 729,767 |
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |  |  |  |  |  |  | 3,164 |  |  |  | 3,083,675 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |  |  |  |  |  |  | 2,759 |  |  |  | 2,715,625 |
Sage Products Holdings III LLC, Refinancing Term Loan B2, 4.25%, 12/13/19 |  |  |  |  |  |  | 785 |  |  |  | 783,682 |
|  |  |  |  |  |  |  |  |  |  | 23,039,029 |
Health Care Providers & Services — 7.5% |
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |  |  |  |  |  |  | 467 |  |  |  | 469,371 |
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22 |  |  |  |  |  |  | 1,310 |  |  |  | 1,285,437 |
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |  |  |  |  |  |  | 1,292 |  |  |  | 1,290,503 |
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 |  |  |  |  |  |  | 2,521 |  |  |  | 2,508,065 |
Community Health Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan F, 3.58%, 12/31/18 |  |  |  |  |  |  | 1,598 |  |  |  | 1,595,958 |
Term Loan G, 3.75%, 12/31/19 |  |  |  |  |  |  | 2,439 |  |  |  | 2,434,436 |
Term Loan H, 4.00%, 1/27/21 |  |  |  |  |  |  | 4,488 |  |  |  | 4,495,858 |
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22 |  |  |  |  |  |  | 1,596 |  |  |  | 1,597,995 |
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |  |  |  |  |  |  | 9,618 |  |  |  | 9,591,786 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 25

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

Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Health Care Providers & Services (concluded) |
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |  |  | USD |  |  |  | 1,892 |  |  | $ | 1,889,183 |
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |  |  |  |  |  |  | 1,193 |  |  |  | 1,211,059 |
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22 |  |  |  |  |  |  | 741 |  |  |  | 742,414 |
HCA, Inc., Term Loan B5, 2.95%, 3/31/17 |  |  |  |  |  |  | 1,394 |  |  |  | 1,391,171 |
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |  |  |  |  |  |  | 1,932 |  |  |  | 1,906,352 |
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |  |  |  |  |  |  | 1,315 |  |  |  | 1,305,025 |
Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22 |  |  |  |  |  |  | 3,110 |  |  |  | 3,084,747 |
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |  |  |  |  |  |  | 1,863 |  |  |  | 1,860,186 |
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22 |  |  |  |  |  |  | 2,298 |  |  |  | 2,289,373 |
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |  |  |  |  |  |  | 879 |  |  |  | 876,175 |
|  |  |  |  |  |  |  |  |  |  | 41,825,094 |
Health Care Technology — 0.9% |
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 |  |  |  |  |  |  | 3,328 |  |  |  | 3,302,223 |
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |  |  |  |  |  |  | 1,833 |  |  |  | 1,821,539 |
|  |  |  |  |  |  |  |  |  |  | 5,123,762 |
Hotels, Restaurants & Leisure — 10.4% |
Amaya Holdings BV: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 8/01/21 |  |  |  |  |  |  | 1,294 |  |  |  | 1,280,226 |
2nd Lien Term Loan, 8.00%, 8/01/22 |  |  |  |  |  |  | 1,526 |  |  |  | 1,527,079 |
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |  |  |  |  |  |  | 2,190 |  |  |  | 2,183,728 |
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |  |  |  |  |  |  | 2,860 |  |  |  | 2,746,046 |
Burger King Newco Unlimited Liability Co., 2015 Term Loan B, 3.75%, 12/12/21 |  |  |  |  |  |  | 4,758 |  |  |  | 4,751,346 |
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |  |  |  |  |  |  | 5,979 |  |  |  | 5,696,883 |
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |  |  |  |  |  |  | 1,557 |  |  |  | 1,555,511 |
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |  |  |  |  |  |  | 1,792 |  |  |  | 1,788,405 |
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/13/22 |  |  |  |  |  |  | 900 |  |  |  | 900,000 |
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19 |  |  |  |  |  |  | 940 |  |  |  | 946,467 |
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |  |  |  |  |  |  | 2,651 |  |  |  | 2,644,994 |
Intrawest ULC, Term Loan, 4.75%, 12/09/20 |  |  |  |  |  |  | 1,596 |  |  |  | 1,591,711 |
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |  |  |  |  |  |  | 7,444 |  |  |  | 7,422,548 |
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |  |  |  |  |  |  | 2,463 |  |  |  | 2,448,045 |
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |  |  |  |  |  |  | 3,429 |  |  |  | 3,397,631 |
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |  |  |  |  |  |  | 1,358 |  |  |  | 1,355,126 |
RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21 |  |  |  |  |  |  | 1,272 |  |  |  | 1,270,878 |
Sabre, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan, 4.00%, 2/19/19 |  |  |  |  |  |  | 501 |  |  |  | 499,406 |
Term Loan B, 4.00%, 2/19/19 |  |  |  |  |  |  | 2,300 |  |  |  | 2,294,669 |
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 |  |  |  |  |  |  | 3,323 |  |  |  | 3,283,461 |
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |  |  |  |  |  |  | 4,798 |  |  |  | 4,786,268 |
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21 |  |  |  |  |  |  | 3,320 |  |  |  | 3,318,252 |
|  |  |  |  |  |  |  |  |  |  | 57,688,680 |
Household Durables — 0.3% |
Jarden Corp., 2015 Term Loan B2, 2.95%, 7/27/22 |  |  |  |  |  |  | 1,580 |  |  |  | 1,574,865 |
Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Household Products — 1.0% |
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20 |  |  | USD |  |  |  | 2,317 |  |  | $ | 2,303,322 |
Spectrum Brands, Inc., Term Loan, 3.75%, 6/23/22 |  |  |  |  |  |  | 3,068 |  |  |  | 3,064,353 |
|  |  |  |  |  |  |  |  |  |  | 5,367,675 |
Independent Power and Renewable Electricity Producers — 1.9% |
Aria Energy Operating LLC, Term Loan, 5.00%, 5/27/22 |  |  |  |  |  |  | 1,470 |  |  |  | 1,455,300 |
Calpine Corp., Term Loan B5, 3.50%, 5/27/22 |  |  |  |  |  |  | 1,425 |  |  |  | 1,404,965 |
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16 |  |  |  |  |  |  | 2,845 |  |  |  | 2,845,460 |
Granite Acquisition, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/19/21 |  |  |  |  |  |  | 3,100 |  |  |  | 3,097,202 |
Term Loan C, 5.00%, 12/19/21 |  |  |  |  |  |  | 137 |  |  |  | 136,961 |
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21 |  |  |  |  |  |  | 1,572 |  |  |  | 1,544,220 |
|  |  |  |  |  |  |  |  |  |  | 10,484,108 |
Industrial Conglomerates — 0.2% |
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |  |  |  |  |  |  | 1,279 |  |  |  | 1,083,459 |
Insurance — 1.0% |
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 |  |  |  |  |  |  | 1,090 |  |  |  | 1,089,706 |
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20 |  |  |  |  |  |  | 1,609 |  |  |  | 1,463,834 |
Sedgwick Claims Management Services, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.75%, 3/01/21 |  |  |  |  |  |  | 2,005 |  |  |  | 1,960,523 |
2nd Lien Term Loan, 6.75%, 2/28/22 |  |  |  |  |  |  | 1,155 |  |  |  | 1,127,211 |
|  |  |  |  |  |  |  |  |  |  | 5,641,274 |
Internet Software & Services — 1.5% |
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21 |  |  |  |  |  |  | 1,856 |  |  |  | 1,848,614 |
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21 |  |  |  |  |  |  | 2,525 |  |  |  | 2,522,303 |
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |  |  |  |  |  |  | 3,801 |  |  |  | 3,795,106 |
|  |  |  |  |  |  |  |  |  |  | 8,166,023 |
IT Services — 4.2% |
Blue Coat Holdings Inc., 2015 Term Loan, 4.50%, 5/20/22 |  |  |  |  |  |  | 2,120 |  |  |  | 2,104,100 |
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22 |  |  |  |  |  |  | 3,180 |  |  |  | 3,167,503 |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |
2018 Extended Term Loan, 3.70%, 3/24/18 |  |  |  |  |  |  | 12,519 |  |  |  | 12,415,197 |
2018 Term Loan, 3.70%, 9/24/18 |  |  |  |  |  |  | 1,150 |  |  |  | 1,140,512 |
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |  |  |  |  |  |  | 1,015 |  |  |  | 968,875 |
SunGard Data Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.94%, 2/28/17 |  |  |  |  |  |  | 1,515 |  |  |  | 1,512,349 |
Term Loan E, 4.00%, 3/08/20 |  |  |  |  |  |  | 567 |  |  |  | 565,358 |
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21 |  |  |  |  |  |  | 1,715 |  |  |  | 1,714,401 |
|  |  |  |  |  |  |  |  |  |  | 23,588,295 |
Leisure Products — 0.3% |
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |  |  |  |  |  |  | 1,616 |  |  |  | 1,608,833 |
Machinery — 2.1% |
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19 |  |  |  |  |  |  | 1,207 |  |  |  | 1,203,642 |
Faenza Acquisition GmbH: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.25%, 8/30/20 |  |  |  |  |  |  | 1,124 |  |  |  | 1,121,742 |
Term Loan B3, 4.25%, 8/30/20 |  |  |  |  |  |  | 340 |  |  |  | 339,507 |
Infiltrator Systems, Inc., 2015 Term Loan, 5.25%, 5/27/22 |  |  |  |  |  |  | 1,518 |  |  |  | 1,514,314 |

See Notes to Financial Statements.

26 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Machinery (concluded) |
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |  |  | USD |  |  |  | 796 |  |  | $ | 796,000 |
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |  |  |  |  |  |  | 2,391 |  |  |  | 2,365,921 |
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |  |  |  |  |  |  | 3,479 |  |  |  | 3,237,828 |
Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22 |  |  |  |  |  |  | 1,122 |  |  |  | 1,121,492 |
|  |  |  |  |  |  |  |  |  |  | 11,700,446 |
Manufacture Goods — 0.1% |
KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20 |  |  |  |  |  |  | 313 |  |  |  | 312,640 |
Media — 10.8% |
Cengage Learning Acquisitions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 3/31/20 |  |  |  |  |  |  | 4,235 |  |  |  | 4,224,873 |
Term Loan, 0.00%, 7/03/16 (a)(d)(f) |  |  |  |  |  |  | 2,489 |  |  |  | — |
Charter Communications Operating LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan H, 3.25%, 7/21/22 |  |  |  |  |  |  | 1,060 |  |  |  | 1,056,756 |
Term Loan I, 3.50%, 1/20/23 |  |  |  |  |  |  | 6,485 |  |  |  | 6,470,409 |
Clear Channel Communications, Inc., Term Loan D, 6.95%, 1/30/19 |  |  |  |  |  |  | 6,175 |  |  |  | 5,441,597 |
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |  |  |  |  |  |  | 1,656 |  |  |  | 1,629,399 |
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21 |  |  |  |  |  |  | 2,397 |  |  |  | 2,366,921 |
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |  |  |  |  |  |  | 1,988 |  |  |  | 1,950,406 |
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22 |  |  |  |  |  |  | 1,380 |  |  |  | 1,339,745 |
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20 |  |  |  |  |  |  | 491 |  |  |  | 488,302 |
MCC Iowa LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan I, 2.66%, 6/30/17 |  |  |  |  |  |  | 1,069 |  |  |  | 1,061,855 |
Term Loan J, 3.75%, 6/30/21 |  |  |  |  |  |  | 520 |  |  |  | 517,411 |
Media General, Inc., Term Loan B, 4.00%, 7/31/20 |  |  |  |  |  |  | 1,128 |  |  |  | 1,126,074 |
Mediacom Communications Corp., Term Loan F, 2.66%, 3/31/18 |  |  |  |  |  |  | 1,106 |  |  |  | 1,095,493 |
Numericable U.S. LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.50%, 5/21/20 |  |  |  |  |  |  | 2,225 |  |  |  | 2,222,203 |
Term Loan B2, 4.50%, 5/21/20 |  |  |  |  |  |  | 1,925 |  |  |  | 1,922,508 |
SBA Senior Finance II LLC: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B, 3.25%, 6/10/22 |  |  |  |  |  |  | 1,475 |  |  |  | 1,454,453 |
Term Loan B1, 3.25%, 3/24/21 |  |  |  |  |  |  | 3,019 |  |  |  | 2,985,047 |
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |  |  |  |  |  |  | 199 |  |  |  | 195,685 |
Tribune Media Co., Term Loan, 3.75%, 12/27/20 |  |  |  |  |  |  | 3,675 |  |  |  | 3,655,829 |
TWCC Holding Corp., Extended Term Loan, 5.75%, 2/13/20 |  |  |  |  |  |  | 1,571 |  |  |  | 1,557,646 |
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |  |  |  |  |  |  | 4,484 |  |  |  | 4,448,615 |
Virgin Media Investment Holdings Ltd., Term Loan E, 4.25%, 6/30/23 |  |  | GBP |  |  |  | 2,840 |  |  |  | 4,330,351 |
WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19 |  |  | USD |  |  |  | 3,194 |  |  |  | 3,181,662 |
Ziggo Financing Partnership: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.50%, 1/15/22 |  |  |  |  |  |  | 1,879 |  |  |  | 1,852,302 |
Term Loan B2A, 3.50%, 1/15/22 |  |  |  |  |  |  | 1,219 |  |  |  | 1,201,407 |
Term Loan B3, 3.50%, 1/15/22 |  |  |  |  |  |  | 2,004 |  |  |  | 1,975,886 |
|  |  |  |  |  |  |  |  |  |  | 59,752,835 |
Metals & Mining — 1.0% |  |  |  |  |  |  |  |  |  |  |  |
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22 |  |  |  |  |  |  | 4,929 |  |  |  | 4,869,750 |
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |  |  |  |  |  |  | 954 |  |  |  | 953,992 |
|  |  |  |  |  |  |  |  |  |  | 5,823,742 |
Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Multiline Retail — 2.0% |  |  |  |  |  |  |  |  |  |  |  |
BJ’s Wholesale Club, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 9/26/19 |  |  | USD |  |  |  | 3,628 |  |  | $ | 3,611,571 |
2nd Lien Term Loan, 8.50%, 3/26/20 |  |  |  |  |  |  | 870 |  |  |  | 861,300 |
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22 |  |  |  |  |  |  | 2,412 |  |  |  | 2,412,202 |
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 8/10/22 |  |  |  |  |  |  | 1,970 |  |  |  | 1,970,000 |
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |  |  |  |  |  |  | 2,567 |  |  |  | 2,536,836 |
|  |  |  |  |  |  |  |  |  |  | 11,391,909 |
Oil, Gas & Consumable Fuels — 3.3% |  |  |  |  |  |  |  |  |  |  |  |
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18 |  |  |  |  |  |  | 1,765 |  |  |  | 1,769,103 |
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |  |  |  |  |  |  | 2,211 |  |  |  | 1,569,509 |
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |  |  |  |  |  |  | 1,920 |  |  |  | 1,817,606 |
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 |  |  |  |  |  |  | 895 |  |  |  | 895,000 |
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |  |  |  |  |  |  | 177 |  |  |  | 175,858 |
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |  |  |  |  |  |  | 110 |  |  |  | 48,131 |
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |  |  |  |  |  |  | 1,435 |  |  |  | 1,384,775 |
Power Buyer LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 5/06/20 |  |  |  |  |  |  | 510 |  |  |  | 505,323 |
2nd Lien Term Loan, 8.25%, 11/06/20 |  |  |  |  |  |  | 470 |  |  |  | 461,775 |
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |  |  |  |  |  |  | 1,791 |  |  |  | 1,746,225 |
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |  |  |  |  |  |  | 265 |  |  |  | 225,164 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |  |  |  |  |  |  | 1,963 |  |  |  | 1,874,904 |
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |  |  |  |  |  |  | 941 |  |  |  | 779,834 |
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22 |  |  |  |  |  |  | 1,381 |  |  |  | 1,367,339 |
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 |  |  |  |  |  |  | 1,547 |  |  |  | 1,548,473 |
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22 |  |  |  |  |  |  | 1,681 |  |  |  | 1,677,981 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |  |  |  |  |  |  | 596 |  |  |  | 591,456 |
|  |  |  |  |  |  |  |  |  |  | 18,438,456 |
Personal Products — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21 |  |  |  |  |  |  | 1,327 |  |  |  | 1,324,363 |
Pharmaceuticals — 8.4% |  |  |  |  |  |  |  |  |  |  |  |
Akorn, Inc., Term Loan B, 5.50%, 4/16/21 |  |  |  |  |  |  | 2,471 |  |  |  | 2,467,470 |
Amneal Pharmaceuticals LLC, Term Loan, 4.50%, 11/01/19 |  |  |  |  |  |  | 1,783 |  |  |  | 1,780,762 |
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |  |  |  |  |  |  | 907 |  |  |  | 899,496 |
Concordia Healthcare Corp., Term Loan B, 4.75%, 4/21/22 |  |  |  |  |  |  | 1,280 |  |  |  | 1,280,806 |
Endo Luxembourg Finance Co. I Sarl: |  |  |  |  |  |  |  |  |  |  |  |
2014 Term Loan B, 3.25%, 3/01/21 |  |  |  |  |  |  | 1,560 |  |  |  | 1,559,860 |
2015 Term Loan B, 3.75%, 6/11/22 |  |  |  |  |  |  | 4,510 |  |  |  | 4,509,188 |
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.20%, 2/27/21 |  |  |  |  |  |  | 4,240 |  |  |  | 4,231,161 |
Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 4/22/21 |  |  |  |  |  |  | 2,226 |  |  |  | 2,223,570 |
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22 |  |  |  |  |  |  | 4,769 |  |  |  | 4,736,961 |
JLL/Delta Dutch Newco BV, 2014 Incremental Term Loan, 4.25%, 3/11/21 |  |  |  |  |  |  | 3,527 |  |  |  | 3,483,138 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 27

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

Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Pharmaceuticals (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Mallinckrodt International Finance SA: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 3.50%, 3/19/21 |  |  | USD |  |  |  | 1,429 |  |  | $ | 1,421,754 |
Term Loan B, 3.25%, 3/19/21 |  |  |  |  |  |  | 2,296 |  |  |  | 2,277,294 |
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |  |  |  |  |  |  | 4,258 |  |  |  | 4,250,851 |
Valeant Pharmaceuticals International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Series C2 Term Loan B, 3.75%, 12/11/19 |  |  |  |  |  |  | 2,303 |  |  |  | 2,293,908 |
Series D2 Term Loan B, 3.50%, 2/13/19 |  |  |  |  |  |  | 2,008 |  |  |  | 2,000,600 |
Series E Term Loan B, 3.75%, 8/05/20 |  |  |  |  |  |  | 1,436 |  |  |  | 1,431,472 |
Term Loan B F1, 4.00%, 4/01/22 |  |  |  |  |  |  | 5,689 |  |  |  | 5,687,369 |
|  |  |  |  |  |  |  |  |  |  | 46,535,660 |
Professional Services — 3.8% |  |  |  |  |  |  |  |  |  |  |  |
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21 |  |  |  |  |  |  | 1,922 |  |  |  | 1,899,371 |
Advantage Sales & Marketing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 4.25%, 7/23/21 |  |  |  |  |  |  | 2,129 |  |  |  | 2,103,652 |
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |  |  |  |  |  |  | 880 |  |  |  | 853,160 |
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |  |  |  |  |  |  | 3,211 |  |  |  | 3,197,532 |
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |  |  |  |  |  |  | 975 |  |  |  | 973,177 |
ON Assignment, Inc., 2015 Term Loan, 3.75%, 5/19/22 |  |  |  |  |  |  | 1,331 |  |  |  | 1,327,872 |
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |  |  |  |  |  |  | 1,765 |  |  |  | 1,756,549 |
Sterling Infosystems, Inc., 1st Lien Term Loan B, 4.50%, 6/20/22 |  |  |  |  |  |  | 2,230 |  |  |  | 2,222,574 |
TransUnion LLC, Term Loan B2, 3.75%, 4/09/21 |  |  |  |  |  |  | 5,468 |  |  |  | 5,422,104 |
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |  |  |  |  |  |  | 1,626 |  |  |  | 1,611,492 |
|  |  |  |  |  |  |  |  |  |  | 21,367,483 |
Real Estate Investment Trusts (REITs) — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22 |  |  |  |  |  |  | 970 |  |  |  | 926,049 |
Real Estate Management & Development — 2.1% |  |  |  |  |  |  |  |  |  |  |  |
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |  |  |  |  |  |  | 2,296 |  |  |  | 2,290,154 |
DTZ US Borrower LLC, 1st Lien Term Loan: |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 8/05/21 |  |  |  |  |  |  | 2,270 |  |  |  | 2,245,416 |
5.50%, 11/04/21 |  |  |  |  |  |  | 2,146 |  |  |  | 2,122,601 |
Realogy Corp.: |  |  |  |  |  |  |  |  |  |  |  |
Extended Letter of Credit, 0.13%, 10/10/16 |  |  |  |  |  |  | 114 |  |  |  | 113,166 |
Term Loan B, 3.75%, 3/05/20 |  |  |  |  |  |  | 5,159 |  |  |  | 5,139,825 |
|  |  |  |  |  |  |  |  |  |  | 11,911,162 |
Road & Rail — 1.0% |  |  |  |  |  |  |  |  |  |  |  |
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18 |  |  |  |  |  |  | 1,440 |  |  |  | 1,425,863 |
1st Lien Term Loan, 4.25%, 3/31/21 |  |  |  |  |  |  | 2,015 |  |  |  | 1,974,210 |
2nd Lien Term Loan, 7.75%, 9/30/21 |  |  |  |  |  |  | 975 |  |  |  | 911,625 |
Quality Distribution, Inc., 1st Lien Term Loan, 5.25%, 7/20/22 |  |  |  |  |  |  | 1,270 |  |  |  | 1,256,513 |
Road Infrastructure Investment LLC: |  |  |  |  |  |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  | 5,568,211 |
Semiconductors & Semiconductor Equipment — 1.8% |  |  |  |  |  |  |  |  |
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |  |  |  |  |  |  | 4,439 |  |  |  | 4,432,993 |
Freescale Semiconductor, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B4, 4.25%, 2/28/20 |  |  |  |  |  |  | 3,526 |  |  |  | 3,520,628 |
Term Loan B5, 5.00%, 1/15/21 |  |  |  |  |  |  | 702 |  |  |  | 702,930 |
NXP BV, Term Loan D, 3.25%, 1/11/20 |  |  |  |  |  |  | 1,405 |  |  |  | 1,396,784 |
|  |  |  |  |  |  |  |  |  |  | 10,053,335 |
Software — 4.6% |  |  |  |  |  |  |  |  |  |  |  |
Evertec Group LLC, Term Loan B, 3.25%, 4/17/20 |  |  |  |  |  |  | 1,049 |  |  |  | 1,007,967 |
Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Software (concluded) |  |  |  |  |  |  |  |  |  |  |  |
GCA Services Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.25%, 10/22/20 |  |  | USD |  |  |  | 780 |  |  | $ | 776,100 |
Term Loan B, 4.25%, 11/01/19 |  |  |  |  |  |  | 1,674 |  |  |  | 1,664,425 |
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |  |  |  |  |  |  | 3,372 |  |  |  | 3,272,062 |
Informatica Corp., Term Loan, 4.50%, 8/05/22 |  |  |  |  |  |  | 3,880 |  |  |  | 3,852,465 |
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |  |  |  |  |  |  | 884 |  |  |  | 716,131 |
Kronos, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 4/30/20 |  |  |  |  |  |  | 1,787 |  |  |  | 1,814,912 |
Initial Incremental Term Loan, 4.50%, 10/30/19 |  |  |  |  |  |  | 1,469 |  |  |  | 1,468,111 |
Mitchell International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 10/12/20 |  |  |  |  |  |  | 2,143 |  |  |  | 2,133,638 |
2nd Lien Term Loan, 8.50%, 10/11/21 |  |  |  |  |  |  | 1,600 |  |  |  | 1,591,328 |
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |  |  |  |  |  |  | 2,779 |  |  |  | 2,773,457 |
SS&C Technologies, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 Term Loan B1, 4.00%, 7/08/22 |  |  |  |  |  |  | 3,564 |  |  |  | 3,566,477 |
2015 Term Loan B2, 4.00%, 7/08/22 |  |  |  |  |  |  | 577 |  |  |  | 577,809 |
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |  |  |  |  |  |  | 323 |  |  |  | 322,466 |
|  |  |  |  |  |  |  |  |  |  | 25,537,348 |
Specialty Retail — 3.8% |  |  |  |  |  |  |  |  |  |  |  |
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 |  |  |  |  |  |  | 1,310 |  |  |  | 1,308,818 |
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 |  |  |  |  |  |  | 1,272 |  |  |  | 1,258,132 |
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |  |  |  |  |  |  | 2,353 |  |  |  | 2,326,790 |
Michaels Stores, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |  |  |  |  |  |  | 2,891 |  |  |  | 2,889,441 |
Term Loan B, 3.75%, 1/28/20 |  |  |  |  |  |  | 2,230 |  |  |  | 2,221,612 |
Party City Holdings Inc., 2015 Term Loan B, 4.25%, 7/28/22 |  |  |  |  |  |  | 2,795 |  |  |  | 2,789,773 |
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |  |  |  |  |  |  | 3,335 |  |  |  | 3,326,672 |
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22 |  |  |  |  |  |  | 3,651 |  |  |  | 3,643,256 |
Things Remembered, Inc., Term Loan B, 8.25%, 5/24/18 |  |  |  |  |  |  | 1,524 |  |  |  | 1,105,224 |
|  |  |  |  |  |  |  |  |  |  | 20,869,718 |
Technology Hardware, Storage & Peripherals — 0.7% |  |  |  |  |  |  |  |  |
Dell International LLC, Term Loan B2, 4.00%, 4/29/20 |  |  |  |  |  |  | 1,414 |  |  |  | 1,405,259 |
Dell, Inc., Term Loan C, 3.75%, 10/29/18 |  |  |  |  |  |  | 1,511 |  |  |  | 1,508,087 |
Linxens France SA, Term Loan, 5.00%, 7/27/22 |  |  |  |  |  |  | 795 |  |  |  | 791,025 |
|  |  |  |  |  |  |  |  |  |  | 3,704,371 |
Textiles, Apparel & Luxury Goods — 0.8% |  |  |  |  |  |  |  |  |  |  |  |
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 |  |  |  |  |  |  | 522 |  |  |  | 519,594 |
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |  |  |  |  |  |  | 2,275 |  |  |  | 2,013,294 |
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 |  |  |  |  |  |  | 1,659 |  |  |  | 1,659,204 |
|  |  |  |  |  |  |  |  |  |  | 4,192,092 |
Thrifts & Mortgage Finance — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |  |  |  |  |  |  | 1,911 |  |  |  | 1,909,414 |
Trading Companies & Distributors — 0.6% |  |  |  |  |  |  |  |  |  |  |  |
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21 |  |  |  |  |  |  | 3,100 |  |  |  | 3,078,052 |
Transportation Infrastructure — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Penn Products Terminals LLC, Term Loan B, 4.75%, 4/13/22 |  |  |  |  |  |  | 1,134 |  |  |  | 1,122,691 |

See Notes to Financial Statements.

28 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (c) |  | Par (000) |  |  | Value |
Wireless Telecommunication Services — 1.8% |  |  |  |  |  |  |  |  |  |  |  |
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |  |  | USD |  |  |  | 4,161 |  |  | $ | 4,135,192 |
New Lightsquared LLC, PIK Exit Term Loan, 9.75%, 6/15/20 (g) |  |  |  |  |  |  | 5,750 |  |  |  | 5,606,250 |
|  |  |  |  |  |  |  |  |  |  | 9,741,442 |
Total Floating Rate Loan Interests — 126.6% |  |  |  |  |  |  |  |  |  |  | 702,860,668 |
Investment Companies |  |  |  |  | Shares |  |  |  |
Capital Markets — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Eaton Vance Floating-Rate Income Trust |  |  |  |  |  |  | 54 |  |  |  | 732 |
Eaton Vance Senior Income Trust |  |  |  |  |  |  | 13,945 |  |  |  | 85,483 |
Total Investment Companies — 0.0% |  |  |  |  |  |  |  | 86,215 |
Non-Agency Mortgage-Backed Securities |  | Par (000) |  |  |  |
Collateralized Mortgage Obligations — 0.2% |  |  |  |  |
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c) |  |  | USD |  |  |  | 1,336 |  |  |  | 1,340,186 |
Other Interests (h) |  |  |  |  | Beneficial Interest (000) |  |  |  |
Auto Components — 0.0% |  |  |  |  |
Intermet Liquidating Trust, Class A |  |  |  |  |  |  | 256 |  |  |  | 3 |
Household Durables — 0.3% |  |  |  |  |
Stanley Martin, Class B Membership Units (i) |  |  |  |  |  |  | 1,250 |  |  |  | 1,715,000 |
Total Other Interests — 0.3% |  |  |  |  |  |  |  | 1,715,003 |

Preferred Securities |  |  |  | Shares |  |  | Value |
Preferred Stock — 0.0% |  |  |  |  |  |  |  |  |  |
Consumer Finance — 0.0% |
Ally Financial, Inc., Series A, 0.00% (c)(j) |  |  |  |  | 2,075 |  |  | $ | 53,950 |
Trust Preferreds — 0.3% |  |  |  |  |  |  |  |
Diversified Financial Services — 0.3% |  |  |  |  |  |  |  |  |  |
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) |  |  |  |  | 60,894 |  |  |  | 1,549,126 |
Total Preferred Securities — 0.3% |  |  |  | 1,603,076 |
Warrants |  |  |  |  |  |  |  |
Software — 0.0% |  |  |  |  |
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) |  |  |  |  | 2,406 |  |  |  | 20,682 |
Total Long-Term Investments (Cost — $774,867,940) — 137.5% |  |  |  | 763,067,179 |
Options Purchased (Cost — $43,022) — 0.0% |  |  |  |  |  |  | — |
Total Investments (Cost — $774,910,962) — 137.5% |  |  |  | 763,067,179 |
Liabilities in Excess of Other Assets — (37.5)% |  |  |  | (207,963,068 | )
Net Assets — 100.0% |  |  |  |  |  |  |  | $ | 555,104,111 |

Notes to Consolidated Schedule of Investments |  |

(a) |  | Non-income producing security.

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

(c) |  | Variable rate security. Rate shown is as of report date.

(d) |  | Zero-coupon bond.

(e) |  | Convertible security.

(f) |  | Issuer filed for bankruptcy and/or is in default of interest payments.

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

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

(i) |  | All or a portion of Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary

(j) |  | Security is perpetual in nature and has no stated maturity date.

* |  | During the year ended August 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate |  | Shares Held at August 31, 2014 |  |  | Net Activity |  |  | Shares Held at August 31, 2015 |  |  | Income |
BlackRock Liquidity Funds, TempFund, Institutional Class |  |  | 3,456,864 |  |  |  | (3,456,864 | ) |  |  | — |  |  | $ | 513 |

Derivative Financial Instruments Outstanding as of August 31, 2015

Financial Futures Contracts |
Contracts Short |  | Issue |  | Exchange |  | Expiration |  | Notional Value |  |  | Unrealized Appreciation |
(18) |  | 10-Year U.S. Treasury Note |  | Chicago Board of Trade |  | December 2015 |  |  | USD 2,287,125 |  |  | $ | 2,213 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 29

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

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation |  |  |
USD |  |  | 1,136,112 |  |  | CAD |  |  | 1,467,000 |  |  | Westpac Banking Corp. |  |  | 10/20/15 |  |  | $ | 21,170 |  |  |
USD |  |  | 3,147,434 |  |  | GBP |  |  | 2,023,000 |  |  | HSBC Bank PLC |  |  | 10/20/15 |  |  |  | 43,948 |  |  |
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 65,118 |  |  |

OTC Options Purchased

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

Centrally Cleared Credit Default Swaps — Sold Protection

Index |  | Receive Fixed Rate |  |  | Clearinghouse |  | Expiration Date |  |  | Credit Rating |  |  | Notional Amount (000) |  |  | Unrealized Depreciation |
Dow Jones CDX North America High Yield Index, Series 24, Version 2 |  |  | 5.00 | % |  | Chicago Mercantile Exchange |  |  | 6/20/20 |  |  |  | B |  |  |  | USD 2,896 |  |  | $ | (31,556 | )

Derivative Financial Instruments Categorized by Risk Exposure |  |

The following is a summary of the Fund’s derivative financial instruments categorized by risk exposure. For information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

As of August 31, 2015, the fair values of derivative financial instruments were as follows:

|  | Consolidated Statement of Assets and Liabilities Location |  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Derivative Financial Instruments — Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  | Net unrealized apppreciation1 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 2,213 |  |  | $ | 2,213 |
Forward foreign currency exchange contracts |  | Unrealized appreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 65,118 |  |  |  | — |  |  |  | 65,118 |
|  |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 65,118 |  |  | $ | 2,213 |  |  | $ | 67,331 |
Derivative Financial Instruments — Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps — centrally cleared |  | Net unrealized depreciation1 |  |  | — |  |  | $ | 31,556 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 31,556 |
1 Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Consolidated Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |

For the year ended August 31, 2015, the effect of derivative financial instruments in the Consolidated Statement of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | (24,385 | ) |  | $ | (24,385 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 1,385,850 |  |  |  | — |  |  |  | 1,385,850 |
Swaps |  |  | — |  |  | $ | (3,377 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (3,377 | )
|  |  | — |  |  | $ | (3,377 | ) |  |  | — |  |  | $ | 1,385,850 |  |  | $ | (24,385 | ) |  | $ | 1,358,088 |
|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 2,213 |  |  | $ | 2,213 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | (261,421 | ) |  |  | — |  |  |  | (261,421 | )
Swaps |  |  | — |  |  | $ | (31,556 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (31,556 | )
|  |  | — |  |  | $ | (31,556 | ) |  |  | — |  |  | $ | (261,421 | ) |  | $ | 2,213 |  |  | $ | (290,764 | )

See Notes to Financial Statements.

30 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

For the year ended August 31, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

Financial futures contracts: |  |  |
Average notional value of contracts — short |  | $ | 571,781 |
Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased – in USD |  | $ | 7,043,294 |
Average amounts sold — in USD |  | $ | 659,161 |
Credit default swaps: |  |  |  |
Average notional value-sell protection |  | $ | 723,938 |

Derivative Financial Instruments — Offsetting as of August 31, 2015

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

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Financial futures contracts |  | $ | 2,531 |  |  |  | — |
Forward foreign currency exchange contracts |  |  | 65,118 |  |  |  | — |
Swaps — Centrally cleared |  |  | — |  |  | $ | 7,382 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities |  |  | 67,649 |  |  |  | 7,382 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (2,531 | ) |  |  | (7,382 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 65,118 |  |  |  | — |

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

Counterparty |  | Derivative Assets Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset1 |  |  | Non-cash Collateral Received |  |  | Cash Collateral Received |  |  | Net Amount of Derivative Assets2 |
HSBC Bank PLC |  | $ | 43,948 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 43,948 |
Westpac Banking Corp. |  |  | 21,170 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 21,170 |
Total |  | $ | 65,118 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 65,118 |
1 The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
2 Net amount represents the net amount receivable from the counterparty in the event of default. |

Fair Value Hierarchy as of August 31, 2015 |  |

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

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  |  | — |  |  | $ | 18,033,624 |  |  | $ | 10,022,033 |  |  | $ | 28,055,657 |
Common Stocks |  | $ | 1,260,537 |  |  |  | 981,751 |  |  |  | 345,687 |  |  |  | 2,587,975 |
Corporate Bonds |  |  | — |  |  |  | 21,810,615 |  |  |  | 2,987,102 |  |  |  | 24,797,717 |
Floating Rate Loan Interests |  |  | — |  |  |  | 669,755,279 |  |  |  | 33,105,389 |  |  |  | 702,860,668 |
Investment Companies |  |  | 86,215 |  |  |  | — |  |  |  | — |  |  |  | 86,215 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 1,340,186 |  |  |  | — |  |  |  | 1,340,186 |
Other Interests |  |  | — |  |  |  | — |  |  |  | 1,715,003 |  |  |  | 1,715,003 |
Preferred securities |  |  | 1,603,076 |  |  |  | — |  |  |  | — |  |  |  | 1,603,076 |
Warrants |  |  | — |  |  |  | — |  |  |  | 20,682 |  |  |  | 20,682 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded floating rate loan interest |  |  | — |  |  |  | (519 | ) |  |  | — |  |  |  | (519 | )
Total |  | $ | 2,949,828 |  |  | $ | 711,920,936 |  |  | $ | 48,195,896 |  |  | $ | 763,066,660 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 31

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

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Derivative Financial Instruments 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  | $ | 2,213 |  |  |  | — |  |  |  | — |  |  | $ | 2,213 |
Foreign currency exchange contracts |  |  | — |  |  | $ | 65,118 |  |  |  | — |  |  |  | 65,118 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit contracts |  |  | — |  |  |  | (31,556 | ) |  |  | — |  |  |  | (31,556 | )
Total |  | $ | 2,213 |  |  | $ | 33,562 |  |  |  | — |  |  | $ | 35,775 |
1 Derivative financial instruments are swaps, financial futures contract and forward foreign currency exchange contracts which are valued at the unrealized appreciation (depreciation) on the instrument. |
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  | $ | 9,531,960 |  |  |  | — |  |  |  | — |  |  | $ | 9,531,960 |
Cash pledged for financial futures contracts |  |  | 45,000 |  |  |  | — |  |  |  | — |  |  |  | 45,000 |
Cash pledged for centrally cleared swaps |  |  | 170,000 |  |  |  | — |  |  |  | — |  |  |  | 170,000 |
Foreign currency at value |  |  | 6,465 |  |  |  | — |  |  |  | — |  |  |  | 6,465 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank borrowings payable |  |  | — |  |  | $ | (196,000,000 | ) |  |  | — |  |  |  | (196,000,000 | )
Total |  | $ | 9,753,425 |  |  | $ | (196,000,000 | ) |  |  | — |  |  | $ | (186,246,575 | )

During the year ended August 31, 2015, there were no transfers between Level 1 and Level 2.

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

|  | Common Stocks |  |  | Asset-Backed Securities |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Warrants |  |  | Unfunded Floating Rate Loan Interest (Liabilities) |  |  | Grand Total |
Opening balance, as of August 31, 2014 |  | $ | 1,510,942 |  |  | $ | 1,159,180 |  |  | $ | 4,766,957 |  |  | $ | 58,688,498 |  |  | $ | 1,858,753 |  |  | $ | 138,171 |  |  | $ | (374 | ) |  | $ | 68,122,127 |
Transfers into Level 32 |  |  | — |  |  |  | 709,356 |  |  |  | — |  |  |  | 11,738,674 |  |  |  | — |  |  |  | 11,191 |  |  |  | — |  |  |  | 12,459,221 |
Transfers out of Level 33 |  |  | — |  |  |  | (913,905 | ) |  |  | — |  |  |  | (27,135,051 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (28,048,956 | )
Accrued discounts/premiums |  |  | — |  |  |  | 17,556 |  |  |  | 50,007 |  |  |  | 80,579 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 148,142 |
Net realized gain (loss) |  |  | (5,161,104 | ) |  |  | 1,600 |  |  |  | — |  |  |  | (292,729 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (5,452,233 | )
Net change in unrealized appreciation (depreciation)4,5 |  |  | 3,877,394 |  |  |  | 34,345 |  |  |  | (1,980,312 | ) |  |  | (1,539,831 | ) |  |  | (80,900 | ) |  |  | (128,680 | ) |  |  | 374 |  |  |  | 182,390 |
Purchases |  |  | 118,455 |  |  |  | 9,260,776 |  |  |  | 150,450 |  |  |  | 14,984,805 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 24,514,486 |
Sales |  |  | — |  |  |  | (246,875 | ) |  |  | — |  |  |  | (23,419,556 | ) |  |  | (62,850 | ) |  |  | — |  |  |  | — |  |  |  | (23,729,281 | )
Closing Balance, as of August 31, 2015 |  | $ | 345,687 |  |  | $ | 10,022,033 |  |  | $ | 2,987,102 |  |  | $ | 33,105,389 |  |  | $ | 1,715,003 |  |  | $ | 20,682 |  |  |  | — |  |  | $ | 48,195,896 |
Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20155 |  | $ | (1,283,707 | ) |  | $ | 34,345 |  |  | $ | (1,980,311 | ) |  | $ | (1,349,570 | ) |  | $ | (80,900 | ) |  | $ | 9,491 |  |  |  | — |  |  | $ | (4,650,652 | )

2 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $12,459,221 transferred from Level 2 to Level 3 in the disclosure hierarchy.
3 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $28,048,956 transferred from Level 3 to Level 2 in the disclosure hierarchy.
4 Included in the related net change in unrealized appreciation (depreciation) in the Consolidated Statement of Operations.
5 Any difference between net change in unrealized appreciation (depreciation) on investments still held at August 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

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

See Notes to Financial Statements.

32 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Schedule of Investments August 31, 2015 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Common Stocks |  | Shares |  |  | Value |
Chemicals — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
LyondellBasell Industries NV, Class A |  |  |  |  |  |  | 37 |  |  | $ | 3,159 |
Construction & Engineering — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
USI United Subcontractors |  |  |  |  |  |  | 6,454 |  |  |  | 193,619 |
Diversified Consumer Services — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Cengage Thomson Learning |  |  |  |  |  |  | 22,058 |  |  |  | 576,265 |
Houghton Mifflin Harcourt Co. (a) |  |  |  |  |  |  | 61,641 |  |  |  | 1,391,854 |
|  |  |  |  |  |  |  |  |  |  | 1,968,119 |
Diversified Financial Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Kcad Holdings I Ltd. (a) |  |  |  |  |  |  | 546,753,936 |  |  |  | 426,468 |
Household Durables — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Berkline Benchcraft Equity LLC (a)(b) |  |  |  |  |  |  | 3,155 |  |  |  | — |
Total Common Stocks — 0.4% |  |  |  |  |  |  |  |  |  |  | 2,591,365 |
Asset-Backed Securities |  | Par (000) |  |  |  |
Asset-Backed Securities — 22.6% |  |  |  |  |  |  |  |  |  |  |  |
ACAS CLO Ltd., Series 2014-1A, Class C, 3.19%, 7/18/26 (c)(d) |  |  | USD |  |  |  | 1,500 |  |  |  | 1,464,587 |
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.94%, 4/15/24 (c)(d) |  |  |  |  |  |  | 1,750 |  |  |  | 1,701,863 |
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.45%, 5/10/32 (c)(d) |  |  |  |  |  |  | 283 |  |  |  | 280,760 |
ALM Loan Funding, Series 2013-7RA (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Class C, 3.74%, 4/24/24 |  |  |  |  |  |  | 1,210 |  |  |  | 1,180,294 |
Class D, 5.29%, 4/24/24 |  |  |  |  |  |  | 1,040 |  |  |  | 1,011,782 |
ALM VI, Ltd., Series 2012-6A, Class B2R, 3.09%, 7/15/26 (c)(d) |  |  |  |  |  |  | 1,000 |  |  |  | 1,000,000 |
ALM XIV Ltd., Series 2014-14A, Class C, 3.74%, 7/28/26 (c)(d) |  |  |  |  |  |  | 3,140 |  |  |  | 3,007,754 |
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20 |  |  |  |  |  |  | 4,850 |  |  |  | 4,890,881 |
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.48%, 12/09/26 (c)(d) |  |  |  |  |  |  | 2,000 |  |  |  | 1,985,000 |
Apidos CLO XVII, Series 2014-17A, Class B, 3.14%, 4/17/26 (c)(d) |  |  |  |  |  |  | 3,000 |  |  |  | 2,947,362 |
Ares CLO Ltd. (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Series 2014 32A B 144A, 3.52%, 11/15/25 |  |  |  |  |  |  | 1,250 |  |  |  | 1,247,739 |
Series 2012-2A, Class CR, 2.99%, 10/12/23 |  |  |  |  |  |  | 1,000 |  |  |  | 997,500 |
Atrium CDO Corp., Series 9A, Class D, 3.79%, 2/28/24 (c)(d) |  |  |  |  |  |  | 1,850 |  |  |  | 1,790,496 |
Babson CLO Ltd., Series 2014-3A, Class C1, 3.29%, 1/15/26 (c)(d) |  |  |  |  |  |  | 2,000 |  |  |  | 1,997,000 |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.79%, 7/15/24 (c)(d) |  |  |  |  |  |  | 750 |  |  |  | 707,488 |
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.09%, 7/20/26 (c)(d) |  |  |  |  |  |  | 1,250 |  |  |  | 1,231,250 |
Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.39%, 10/20/26 (c)(d) |  |  |  |  |  |  | 2,500 |  |  |  | 2,465,625 |
Carlyle Global Market Strategies CLO Ltd., Class C (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Series 2013-1A, 4.31%, 2/14/25 |  |  |  |  |  |  | 250 |  |  |  | 248,013 |
Series 2014-5A, 4.44%, 10/16/25 |  |  |  |  |  |  | 2,000 |  |  |  | 1,999,839 |
Series 2015-1A, 3.44%, 4/20/27 |  |  |  |  |  |  | 1,000 |  |  |  | 998,332 |
CIFC Funding 2014-IV Ltd., Series 2014-4A, Class C1, 3.19%, 10/17/26 (c)(d) |  |  |  |  |  |  | 2,850 |  |  |  | 2,798,700 |
Asset-Backed Securities |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |  |  |  |  |  |  |  |  |  |  |  |
CIFC Funding 2014-V Ltd., Series 2014-5A (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Class C, 3.64%, 1/17/27 |  |  | USD |  |  |  | 445 |  |  | $ | 444,388 |
Class D2, 4.79%, 1/17/27 |  |  |  |  |  |  | 445 |  |  |  | 445,344 |
CIFC Funding Ltd., Class D (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Series 2014-3A, 3.70%, 7/22/26 |  |  |  |  |  |  | 420 |  |  |  | 391,040 |
Series 2015-1A, 4.27%, 1/22/27 |  |  |  |  |  |  | 600 |  |  |  | 588,146 |
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.36%, 10/25/47 (d) |  |  |  |  |  |  | 22 |  |  |  | 22,209 |
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c) |  |  |  |  |  |  | 2,035 |  |  |  | 1,974,597 |
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (c) |  |  |  |  |  |  | 3,214 |  |  |  | 3,234,439 |
Flagship CLO, Series 2014-8A, Class C, 3.42%, 1/16/26 (c)(d) |  |  |  |  |  |  | 2,000 |  |  |  | 1,995,270 |
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.34%, 7/17/23 (c)(d) |  |  |  |  |  |  | 5,000 |  |  |  | 4,999,901 |
GSAA Trust, Series 2007-3, Class 1A2, 0.37%, 3/25/47 (d) |  |  |  |  |  |  | 2,606 |  |  |  | 1,317,209 |
LIitigation Fee Residual FDG, 3.50%, 10/30/27 |  |  |  |  |  |  | 2,060 |  |  |  | 2,060,000 |
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.54%, 1/20/25 (c)(d) |  |  |  |  |  |  | 700 |  |  |  | 700,030 |
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.79%, 10/23/25 (c)(d) |  |  |  |  |  |  | 420 |  |  |  | 404,534 |
Madison Park Funding XV, Ltd., Series 2014-15A, Class B1, 3.55%, 1/27/26 (c)(d) |  |  |  |  |  |  | 1,500 |  |  |  | 1,503,000 |
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class B, 3.43%, 11/14/25 (c)(d) |  |  |  |  |  |  | 2,250 |  |  |  | 2,248,605 |
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.64%, 7/17/25 (c)(d) |  |  |  |  |  |  | 2,000 |  |  |  | 1,866,558 |
OneMain Financial Issuance Trust (c): |  |  |  |  |  |  |  |  |  |  |  |
Series 2015-1A, Class D, 6.63%, 3/18/26 |  |  |  |  |  |  | 4,350 |  |  |  | 4,480,369 |
Series 2015-2A, Class C, 4.32%, 7/18/25 |  |  |  |  |  |  | 4,000 |  |  |  | 3,999,880 |
Series 2015-2A, Class D, 5.64%, 7/18/25 |  |  |  |  |  |  | 2,000 |  |  |  | 1,999,580 |
OZLM Funding Ltd., Series 2012-2A, Class C, 4.65%, 10/30/23 (c)(d) |  |  |  |  |  |  | 500 |  |  |  | 501,231 |
OZLM IX, Ltd., Series 2014-9A, Class C, 3.89%, 1/20/27 (c)(d) |  |  |  |  |  |  | 1,500 |  |  |  | 1,433,716 |
OZLM VII Ltd., Series 2014-7A, Class C, 3.89%, 7/17/26 (c)(d) |  |  |  |  |  |  | 780 |  |  |  | 734,504 |
OZLM VIII Ltd., Series 2014-8A, (c)(d); |  |  |  |  |  |  |  |  |  |  |  |
Class B, 3.29%, 10/17/26 |  |  |  |  |  |  | 2,500 |  |  |  | 2,484,389 |
Class C, 3.79%, 10/17/26 |  |  |  |  |  |  | 500 |  |  |  | 475,329 |
OZLM XII, Ltd., Series 2015-12A, Class C, 3.98%, 4/30/27 (c)(d) |  |  |  |  |  |  | 1,000 |  |  |  | 957,303 |
Regatta Funding LP, Series 2013-2A, Class C, 4.29%, 1/15/25 (c)(d) |  |  |  |  |  |  | 500 |  |  |  | 489,255 |
Regatta V Funding Ltd., Series 2014-1A, Class B, 3.30%, 10/25/26 (c)(d) |  |  |  |  |  |  | 2,000 |  |  |  | 1,939,292 |
Santander Drive Auto Receivables Trust, Series 2014-4, Class C, 2.60%, 11/16/20 |  |  |  |  |  |  | 4,500 |  |  |  | 4,533,511 |
Santander Drive Auto Receivables Trust 2014-3, Series 2014-3, Class D, 2.65%, 8/17/20 |  |  |  |  |  |  | 4,015 |  |  |  | 4,013,695 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 33

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

Asset-Backed Securities |  | Par (000) |  |  | Value |
Asset-Backed Securities (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Santander Drive Auto Receivables Trust 2014-4, Series 2014-4, Class D, 3.10%, 11/16/20 |  |  | USD |  |  |  | 4,500 |  |  | $ | 4,515,174 |
Santander Drive Auto Receivables Trust, Series 2014-S1, 0.00%, 8/16/18 |  |  |  |  |  |  | 3 |  |  |  | 8,284,950 |
Santander Drive Auto Receivables Trust, Series 2014-S2, 0.00%, 11/16/18 |  |  |  |  |  |  | 3 |  |  |  | 6,412,500 |
Santander Drive Auto Receivables Trust, Series 2014-S3, 0.00%, 2/19/19 |  |  |  |  |  |  | 3 |  |  |  | 9,502,270 |
Santander Drive Auto Receivables Trust, Series 2014-S4, 0.00%, 4/16/19 |  |  |  |  |  |  | 3 |  |  |  | 12,587,553 |
Sound Point CLO Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (c)(d) |  |  |  |  |  |  | 2,000 |  |  |  | 1,911,009 |
Symphony CLO XV Ltd., Series 2014-15A, Class C, 3.49%, 10/17/26 (c)(d) |  |  |  |  |  |  | 4,000 |  |  |  | 3,995,270 |
Venture XIX CLO Ltd., Series 2014-19A, Class C, 3.59%, 1/15/27 (c)(d) |  |  |  |  |  |  | 445 |  |  |  | 445,000 |
Venture XXI CLO Ltd., Series 2015-21A, Class D, 3.78%, 7/15/27 (c)(d) |  |  |  |  |  |  | 400 |  |  |  | 382,640 |
Voya CLO Ltd., Series 2014-4A (c): |  |  |  |  |  |  |  |  |  |  |  |
Class C, 4.29%, 10/14/26 (d) |  |  |  |  |  |  | 2,500 |  |  |  | 2,454,038 |
Class SUB, 0.00%, 10/14/26 (e) |  |  |  |  |  |  | 1,000 |  |  |  | 785,915 |
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 |  |  |  |  |  |  | 3,000 |  |  |  | 3,117,642 |
|  |  |  |  |  |  |  |  |  |  | 142,583,550 |
Interest Only Asset-Backed Securities — 0.2% |  |  |  |  |
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c) |  |  |  |  |  |  | 5,783 |  |  |  | 397,573 |
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 |  |  |  |  |  |  | 7,708 |  |  |  | 517,911 |
|  |  |  |  |  |  |  |  |  |  | 915,484 |
Total Asset-Backed Securities — 22.8% |  |  |  |  |  |  |  |  |  |  | 143,499,034 |
Corporate Bonds |  |  |  |  |  |  |  |  |
Aerospace & Defense — 0.7% |  |  |  |  |  |  |  |  |  |  |  |
Bombardier, Inc., 7.50%, 3/15/25 (c) |  |  |  |  |  |  | 167 |  |  |  | 126,503 |
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f) |  |  |  |  |  |  | 928 |  |  |  | 890,880 |
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c)(f) |  |  |  |  |  |  | 250 |  |  |  | 258,125 |
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)(f) |  |  |  |  |  |  | 339 |  |  |  | 364,472 |
TransDigm, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 7/15/22 |  |  |  |  |  |  | 1,795 |  |  |  | 1,768,344 |
6.50%, 7/15/24 |  |  |  |  |  |  | 835 |  |  |  | 816,213 |
|  |  |  |  |  |  |  |  |  |  | 4,224,537 |
Air Freight & Logistics — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
WFS Global Holding SAS, 9.50%, 7/15/22 |  |  | EUR |  |  |  | 100 |  |  |  | 116,434 |
XPO Logistics, Inc., 6.50%, 6/15/22 (c)(f) |  |  | USD |  |  |  | 1,050 |  |  |  | 1,034,250 |
|  |  |  |  |  |  |  |  |  |  | 1,150,684 |
Airlines — 2.8% |  |  |  |  |  |  |  |  |  |  |  |
Air Canada Pass-Through Trust (c)(f): |  |  |  |  |  |  |  |  |  |  |  |
Series 2013-1, Class C, 6.63%, 5/15/18 |  |  |  |  |  |  | 651 |  |  |  | 675,347 |
Series 2015-1, Class B, 3.88%, 9/15/24 |  |  |  |  |  |  | 1,500 |  |  |  | 1,451,250 |
American Airlines Group, Inc., 4.63%, 3/01/20 (c)(f) |  |  |  |  |  |  | 315 |  |  |  | 309,488 |
American Airlines Pass-Through Trust, Series 2013-2 (f): |  |  |  |  |  |  |  |  |  |  |  |
Class A, 4.95%, 7/15/24 |  |  |  |  |  |  | 3,352 |  |  |  | 3,570,334 |
Class B, 5.60%, 1/15/22 (c) |  |  |  |  |  |  | 659 |  |  |  | 677,406 |
Class C, 6.00%, 1/15/17 (c) |  |  |  |  |  |  | 2,566 |  |  |  | 2,630,097 |
Corporate Bonds |  | Par (000) |  |  | Value |
Airlines (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f) |  |  | USD |  |  |  | 2,090 |  |  | $ | 2,168,375 |
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |  |  |  |  |  |  | 197 |  |  |  | 211,167 |
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24 (f) |  |  |  |  |  |  | 2,300 |  |  |  | 2,300,000 |
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 (f) |  |  |  |  |  |  | 1,062 |  |  |  | 1,066,442 |
Virgin Australia Trust, Series 2013-1 (c): |  |  |  |  |  |  |  |  |  |  |  |
Class A, 5.00%, 4/23/25 |  |  |  |  |  |  | 629 |  |  |  | 648,936 |
Class B, 6.00%, 4/23/22 (f) |  |  |  |  |  |  | 1,243 |  |  |  | 1,267,563 |
Class C, 7.13%, 10/23/18 (f) |  |  |  |  |  |  | 867 |  |  |  | 879,719 |
|  |  |  |  |  |  |  |  |  |  | 17,856,124 |
Auto Components — 1.1% |  |  |  |  |  |  |  |  |  |  |  |
Affinia Group, Inc., 7.75%, 5/01/21 (f) |  |  |  |  |  |  | 1,095 |  |  |  | 1,160,700 |
The Goodyear Tire & Rubber Co., 6.50%, 3/01/21 |  |  |  |  |  |  | 531 |  |  |  | 562,064 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f) |  |  |  |  |  |  | 2,058 |  |  |  | 2,084,754 |
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c) |  |  |  |  |  |  | 186 |  |  |  | 193,440 |
Schaeffler Holding Finance BV (g): |  |  |  |  |  |  |  |  |  |  |  |
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21 |  |  | EUR |  |  |  | 115 |  |  |  | 138,625 |
(6.25% Cash or 0.00% PIK), 6.25%, 11/15/19 (c)(f) |  |  | USD |  |  |  | 804 |  |  |  | 846,210 |
(6.75% Cash or 0.00% PIK), 6.75%, 11/15/22 (c)(f) |  |  |  |  |  |  | 943 |  |  |  | 1,006,653 |
(6.88% Cash), 6.88%, 8/15/18 |  |  | EUR |  |  |  | 375 |  |  |  | 435,934 |
ZF North America Capital, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 4/29/22 (c) |  |  |  |  |  |  | 168 |  |  |  | 162,750 |
2.75%, 4/27/23 |  |  |  |  |  |  | 200 |  |  |  | 211,525 |
4.75%, 4/29/25 (c)(f) |  |  | USD |  |  |  | 326 |  |  |  | 308,885 |
|  |  |  |  |  |  |  |  |  |  | 7,111,540 |
Automobiles — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
General Motors Co., 3.50%, 10/02/18 (f) |  |  |  |  |  |  | 2,478 |  |  |  | 2,512,841 |
Banks — 2.0% |  |  |  |  |  |  |  |  |  |  |  |
Banca Monte dei Paschi di Siena SpA, 3.63%, 4/01/19 |  |  | EUR |  |  |  | 100 |  |  |  | 113,965 |
Banco Bilbao Vizcaya Argentaria SA, 6.75% (d)(h) |  |  |  |  |  |  | 200 |  |  |  | 224,206 |
Banco Espirito Santo SA: |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 1/15/18 |  |  |  |  |  |  | 100 |  |  |  | 113,690 |
4.00%, 1/21/19 |  |  |  |  |  |  | 100 |  |  |  | 110,354 |
Banco Santander SA, 6.25% (d)(h) |  |  |  |  |  |  | 200 |  |  |  | 222,859 |
Bankia SA, 4.00%, 5/22/24 (d) |  |  |  |  |  |  | 100 |  |  |  | 110,579 |
Barclays PLC, 3.65%, 3/16/25 (f) |  |  | USD |  |  |  | 3,600 |  |  |  | 3,419,640 |
CIT Group, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 5/15/17 |  |  |  |  |  |  | 890 |  |  |  | 915,588 |
5.50%, 2/15/19 (c) |  |  |  |  |  |  | 1,370 |  |  |  | 1,440,212 |
5.00%, 8/01/23 |  |  |  |  |  |  | 235 |  |  |  | 237,938 |
Citigroup, Inc., 5.95% (d)(f)(h) |  |  |  |  |  |  | 1,370 |  |  |  | 1,343,285 |
HSBC Holdings PLC, 6.25%, 3/19/18 |  |  | EUR |  |  |  | 1,000 |  |  |  | 1,264,565 |
Ibercaja Banco SA, 5.00%, 7/28/25 (d) |  |  |  |  |  |  | 100 |  |  |  | 109,902 |
Nordea Bank AB, 4.50%, 3/26/20 |  |  |  |  |  |  | 1,020 |  |  |  | 1,300,296 |
Santander Holdings USA, Inc., 4.50%, 7/17/25 |  |  | USD |  |  |  | 1,750 |  |  |  | 1,754,690 |
|  |  |  |  |  |  |  |  |  |  | 12,681,769 |

See Notes to Financial Statements.

34 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Corporate Bonds |  | Par (000) |  |  | Value |
Beverages — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Constellation Brands, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 5/15/17 |  |  | USD |  |  |  | 82 |  |  | $ | 88,355 |
3.88%, 11/15/19 (f) |  |  |  |  |  |  | 294 |  |  |  | 301,718 |
|  |  |  |  |  |  |  |  |  |  | 390,073 |
Building Products — 0.7% |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c) |  |  |  |  |  |  | 190 |  |  |  | 189,525 |
Cemex SAB de CV, 4.38%, 3/05/23 |  |  | EUR |  |  |  | 100 |  |  |  | 106,524 |
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f) |  |  | USD |  |  |  | 1,030 |  |  |  | 1,048,025 |
LSF9 Balta Issuer SA, 7.75%, 9/15/22 |  |  | EUR |  |  |  | 100 |  |  |  | 112,916 |
Masonite International Corp., 5.63%, 3/15/23 (c)(f) |  |  | USD |  |  |  | 329 |  |  |  | 330,645 |
Ply Gem Industries, Inc., 6.50%, 2/01/22 (f) |  |  |  |  |  |  | 745 |  |  |  | 734,756 |
USG Corp., 9.75%, 1/15/18 (f) |  |  |  |  |  |  | 1,390 |  |  |  | 1,563,750 |
|  |  |  |  |  |  |  |  |  |  | 4,086,141 |
Capital Markets — 0.6% |
American Capital Ltd., 6.50%, 9/15/18 (c)(f) |  |  |  |  |  |  | 975 |  |  |  | 1,001,813 |
Blackstone CQP Holdco LP, 9.30%, 3/19/19 |  |  |  |  |  |  | 1,126 |  |  |  | 1,095,312 |
E*Trade Financial Corp.: |  |  |  |  |  |  |  |  |  |  |  |
0.00%, 8/31/19 (c)(e)(i) |  |  |  |  |  |  | 249 |  |  |  | 631,892 |
5.38%, 11/15/22 (f) |  |  |  |  |  |  | 627 |  |  |  | 655,215 |
UBS Group AG, 7.00% (d)(h) |  |  |  |  |  |  | 200 |  |  |  | 206,750 |
|  |  |  |  |  |  |  |  |  |  | 3,590,982 |
Chemicals — 0.5% |
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (c) |  |  |  |  |  |  | 398 |  |  |  | 425,820 |
The Chemours Co. (c): |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 5/15/23 |  |  |  |  |  |  | 3 |  |  |  | 2,610 |
7.00%, 5/15/25 (f) |  |  |  |  |  |  | 301 |  |  |  | 257,355 |
Chemtura Corp., 5.75%, 7/15/21 |  |  |  |  |  |  | 200 |  |  |  | 200,500 |
Huntsman International LLC: |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 3/15/21 (f) |  |  |  |  |  |  | 264 |  |  |  | 275,856 |
5.13%, 4/15/21 |  |  | EUR |  |  |  | 331 |  |  |  | 377,932 |
INEOS Group Holdings SA: |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 8/15/18 (c)(f) |  |  | USD |  |  |  | 314 |  |  |  | 314,393 |
6.50%, 8/15/18 |  |  | EUR |  |  |  | 122 |  |  |  | 138,956 |
Platform Specialty Products Corp., 6.50%, 2/01/22 (c) |  |  | USD |  |  |  | 1,300 |  |  |  | 1,258,829 |
|  |  |  |  |  |  |  |  |  |  | 3,252,251 |
Commercial Services & Supplies — 0.9% |
AA Bond Co., Ltd., 5.50%, 7/31/43 |  |  | GBP |  |  |  | 125 |  |  |  | 188,935 |
Abengoa Greenfield SA, 6.50%, 10/01/19 (c)(f) |  |  | USD |  |  |  | 556 |  |  |  | 325,260 |
ADS Waste Holdings, Inc., 8.25%, 10/01/20 |  |  |  |  |  |  | 292 |  |  |  | 302,220 |
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f) |  |  |  |  |  |  | 1,000 |  |  |  | 1,027,500 |
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c) |  |  |  |  |  |  | 203 |  |  |  | 181,685 |
Mobile Mini, Inc., 7.88%, 12/01/20 (f) |  |  |  |  |  |  | 915 |  |  |  | 953,887 |
Modular Space Corp., 10.25%, 1/31/19 (c)(f) |  |  |  |  |  |  | 1,253 |  |  |  | 914,690 |
Silk Bidco, 7.50%, 2/01/22 |  |  | EUR |  |  |  | 120 |  |  |  | 139,371 |
United Rentals North America, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
7.63%, 4/15/22 |  |  | USD |  |  |  | 658 |  |  |  | 708,995 |
5.75%, 11/15/24 |  |  |  |  |  |  | 1,039 |  |  |  | 1,023,415 |
Verisure Holding AB, 8.75%, 12/01/18 |  |  | EUR |  |  |  | 100 |  |  |  | 118,724 |
|  |  |  |  |  |  |  |  |  |  | 5,884,682 |
Corporate Bonds |  | Par (000) |  |  | Value |
Communications Equipment — 1.3% |
Alcatel-Lucent USA, Inc., 6.75%, 11/15/20 (c)(f) |  |  | USD |  |  |  | 2,150 |  |  | $ | 2,295,125 |
Avaya, Inc., 7.00%, 4/01/19 (c) |  |  |  |  |  |  | 317 |  |  |  | 284,507 |
CommScope Technologies Finance LLC, 6.00%, 6/15/25 (c)(f) |  |  |  |  |  |  | 494 |  |  |  | 480,415 |
CommScope, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 6/15/20 (f) |  |  |  |  |  |  | 465 |  |  |  | 469,069 |
5.50%, 6/15/24 |  |  |  |  |  |  | 99 |  |  |  | 96,154 |
Motorola Solutions, Inc., 3.75%, 5/15/22 (f) |  |  |  |  |  |  | 1,500 |  |  |  | 1,389,960 |
Plantronics, Inc., 5.50%, 5/31/23 (c) |  |  |  |  |  |  | 229 |  |  |  | 230,145 |
Zayo Group LLC/Zayo Capital, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
10.13%, 7/01/20 |  |  |  |  |  |  | 1,946 |  |  |  | 2,140,600 |
6.00%, 4/01/23 (c) |  |  |  |  |  |  | 952 |  |  |  | 950,762 |
|  |  |  |  |  |  |  |  |  |  | 8,336,737 |
Construction & Engineering — 0.4% |
Abengoa Finance SAU, 7.00%, 4/15/20 |  |  | EUR |  |  |  | 100 |  |  |  | 70,195 |
AECOM Technology Corp. (c): |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 10/15/22 |  |  | USD |  |  |  | 150 |  |  |  | 150,000 |
5.88%, 10/15/24 (f) |  |  |  |  |  |  | 701 |  |  |  | 706,258 |
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c)(f) |  |  |  |  |  |  | 255 |  |  |  | 240,975 |
Novafives SAS, 4.50%, 6/30/21 |  |  | EUR |  |  |  | 100 |  |  |  | 104,416 |
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f) |  |  | USD |  |  |  | 963 |  |  |  | 982,154 |
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 |  |  |  |  |  |  | 320 |  |  |  | 297,600 |
|  |  |  |  |  |  |  |  |  |  | 2,551,598 |
Construction Materials — 0.9% |
HD Supply, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
11.00%, 4/15/20 |  |  |  |  |  |  | 770 |  |  |  | 855,662 |
7.50%, 7/15/20 |  |  |  |  |  |  | 2,696 |  |  |  | 2,877,980 |
5.25%, 12/15/21 (c) |  |  |  |  |  |  | 1,828 |  |  |  | 1,878,270 |
Officine MaccaFerri SpA, 5.75%, 6/01/21 |  |  | EUR |  |  |  | 150 |  |  |  | 164,545 |
|  |  |  |  |  |  |  |  |  |  | 5,776,457 |
Consumer Finance — 1.4% |
Ally Financial, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 3/30/25 |  |  | USD |  |  |  | 1,891 |  |  |  | 1,824,815 |
8.00%, 11/01/31 |  |  |  |  |  |  | 2,840 |  |  |  | 3,362,475 |
General Motors Financial Co., Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
2.63%, 7/10/17 |  |  |  |  |  |  | 2,760 |  |  |  | 2,783,672 |
4.38%, 9/25/21 |  |  |  |  |  |  | 530 |  |  |  | 535,080 |
McGraw Hill Financial, Inc., 2.50%, 8/15/18 (c) |  |  |  |  |  |  | 445 |  |  |  | 447,364 |
|  |  |  |  |  |  |  |  |  |  | 8,953,406 |
Containers & Packaging — 0.7% |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
3.29%, 12/15/19 (c)(d)(f) |  |  |  |  |  |  | 995 |  |  |  | 975,100 |
6.00%, 6/30/21 (c) |  |  |  |  |  |  | 380 |  |  |  | 377,074 |
4.25%, 1/15/22 |  |  | EUR |  |  |  | 320 |  |  |  | 359,354 |
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f) |  |  | USD |  |  |  | 1,560 |  |  |  | 1,552,200 |
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f) |  |  |  |  |  |  | 144 |  |  |  | 149,940 |
Crown European Holdings SA, 4.00%, 7/15/22 |  |  | EUR |  |  |  | 149 |  |  |  | 172,091 |
JH-Holding Finance SA, (8.25% Cash), 8.25%, 12/01/22 (g) |  |  |  |  |  |  | 100 |  |  |  | 116,258 |
Sealed Air Corp.: |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 9/15/23 |  |  |  |  |  |  | 100 |  |  |  | 115,525 |
5.50%, 9/15/25 (c)(f) |  |  | USD |  |  |  | 274 |  |  |  | 282,905 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 35

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

Corporate Bonds |  | Par (000) |  |  | Value |
Containers & Packaging (concluded) |
SGD Group SAS, 5.63%, 5/15/19 |  |  | EUR |  |  |  | 100 |  |  | $ | 114,067 |
|  |  |  |  |  |  |  |  |  |  | 4,214,514 |
Distributors — 0.1% |
VWR Funding, Inc., 7.25%, 9/15/17 (f) |  |  | USD |  |  |  | 874 |  |  |  | 899,783 |
Diversified Consumer Services — 0.1% |
Laureate Education, Inc., 10.00%, 9/01/19 (c) |  |  |  |  |  |  | 588 |  |  |  | 493,185 |
Diversified Financial Services — 1.3% |
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.00%, 10/01/21 (f) |  |  |  |  |  |  | 500 |  |  |  | 516,875 |
Aircastle Ltd., 6.25%, 12/01/19 (f) |  |  |  |  |  |  | 367 |  |  |  | 398,195 |
Bank of America Corp., Series L, 3.95%, 4/21/25 (f) |  |  |  |  |  |  | 1,855 |  |  |  | 1,795,705 |
BNP Paribas SA, 7.38% (c)(d)(h) |  |  |  |  |  |  | 200 |  |  |  | 204,800 |
The Goldman Sachs Group, Inc., Series M, 5.38% (d)(f)(h) |  |  |  |  |  |  | 1,730 |  |  |  | 1,694,319 |
HSH Nordbank AG, 0.82%, 2/14/17 (d) |  |  | EUR |  |  |  | 153 |  |  |  | 116,749 |
International Lease Finance Corp.: |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 4/01/19 |  |  | USD |  |  |  | 160 |  |  |  | 170,200 |
8.25%, 12/15/20 |  |  |  |  |  |  | 150 |  |  |  | 177,750 |
4.63%, 4/15/21 |  |  |  |  |  |  | 147 |  |  |  | 149,572 |
5.88%, 8/15/22 (f) |  |  |  |  |  |  | 560 |  |  |  | 604,100 |
Morgan Stanley, 4.00%, 7/23/25 |  |  |  |  |  |  | 965 |  |  |  | 984,904 |
MSCI, Inc., 5.75%, 8/15/25 (c) |  |  |  |  |  |  | 416 |  |  |  | 424,320 |
Reynolds Group Issuer, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 10/15/20 (f) |  |  |  |  |  |  | 625 |  |  |  | 644,531 |
6.88%, 2/15/21 |  |  |  |  |  |  | 210 |  |  |  | 219,975 |
UniCredit SpA, 6.95%, 10/31/22 |  |  | EUR |  |  |  | 100 |  |  |  | 131,089 |
|  |  |  |  |  |  |  |  |  |  | 8,233,084 |
Diversified Telecommunication Services — 2.1% |
CenturyLink, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
6.45%, 6/15/21 |  |  | USD |  |  |  | 155 |  |  |  | 154,783 |
Series V, 5.63%, 4/01/20 (f) |  |  |  |  |  |  | 751 |  |  |  | 749,130 |
Frontier Communications Corp.: |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 9/15/21 |  |  |  |  |  |  | 45 |  |  |  | 41,081 |
7.13%, 1/15/23 |  |  |  |  |  |  | 120 |  |  |  | 108,360 |
7.63%, 4/15/24 |  |  |  |  |  |  | 56 |  |  |  | 49,980 |
6.88%, 1/15/25 |  |  |  |  |  |  | 90 |  |  |  | 76,162 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
3.91%, 1/15/18 (d) |  |  |  |  |  |  | 411 |  |  |  | 414,082 |
6.13%, 1/15/21 (f) |  |  |  |  |  |  | 1,682 |  |  |  | 1,761,895 |
5.38%, 8/15/22 (f) |  |  |  |  |  |  | 1,055 |  |  |  | 1,058,735 |
5.13%, 5/01/23 (c) |  |  |  |  |  |  | 905 |  |  |  | 882,375 |
5.38%, 5/01/25 (c)(f) |  |  |  |  |  |  | 1,881 |  |  |  | 1,817,516 |
Telecom Italia Finance SA, 7.75%, 1/24/33 |  |  | EUR |  |  |  | 37 |  |  |  | 54,908 |
Telecom Italia SpA: |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 6/24/19 |  |  | GBP |  |  |  | 200 |  |  |  | 334,727 |
5.88%, 5/19/23 |  |  |  |  |  |  | 450 |  |  |  | 736,049 |
Telenet Finance V Luxembourg SCA: |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 8/15/22 |  |  | EUR |  |  |  | 271 |  |  |  | 329,039 |
6.75%, 8/15/24 |  |  |  |  |  |  | 397 |  |  |  | 487,329 |
Verizon Communications, Inc., 3.65%, 9/14/18 (f) |  |  | USD |  |  |  | 4,000 |  |  |  | 4,192,336 |
|  |  |  |  |  |  |  |  |  |  | 13,248,487 |
Electric Utilities — 0.4% |
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)(f) |  |  |  |  |  |  | 728 |  |  |  | 748,930 |
Gas Natural Fenosa Finance BV, 3.38% (d)(h) |  |  | EUR |  |  |  | 100 |  |  |  | 101,470 |
Homer City Generation LP (g): |  |  |  |  |  |  |  |  |  |  |  |
(8.14% Cash), 8.14%, 10/01/19 |  |  | USD |  |  |  | 303 |  |  |  | 303,359 |
(8.73% Cash), 8.73%, 10/01/26 (f) |  |  |  |  |  |  | 575 |  |  |  | 569,408 |
Corporate Bonds |  | Par (000) |  |  | Value |
Electric Utilities (concluded) |
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 |  |  | USD |  |  |  | 303 |  |  | $ | 314,896 |
Talen Energy Supply LLC, 6.50%, 6/01/25 (c)(f) |  |  |  |  |  |  | 235 |  |  |  | 217,963 |
|  |  |  |  |  |  |  |  |  |  | 2,256,026 |
Electrical Equipment — 0.1% |
Belden, Inc., 5.50%, 4/15/23 |  |  | EUR |  |  |  | 349 |  |  |  | 389,672 |
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20 |  |  |  |  |  |  | 106 |  |  |  | 128,345 |
|  |  |  |  |  |  |  |  |  |  | 518,017 |
Energy Equipment & Services — 0.4% |
Calfrac Holdings LP, 7.50%, 12/01/20 (c)(f) |  |  | USD |  |  |  | 503 |  |  |  | 337,010 |
Genesis Energy LP/Genesis Energy Finance Corp., 6.75%, 8/01/22 |  |  |  |  |  |  | 197 |  |  |  | 191,090 |
MEG Energy Corp., 6.50%, 3/15/21 (c)(f) |  |  |  |  |  |  | 384 |  |  |  | 320,832 |
Precision Drilling Corp., 5.25%, 11/15/24 (f) |  |  |  |  |  |  | 522 |  |  |  | 409,770 |
Transocean, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 10/15/17 (f) |  |  |  |  |  |  | 594 |  |  |  | 546,480 |
6.00%, 3/15/18 (f) |  |  |  |  |  |  | 575 |  |  |  | 549,125 |
6.50%, 11/15/20 (f) |  |  |  |  |  |  | 179 |  |  |  | 147,451 |
4.30%, 10/15/22 |  |  |  |  |  |  | 61 |  |  |  | 42,243 |
|  |  |  |  |  |  |  |  |  |  | 2,544,001 |
Food & Staples Retailing — 0.9% |
Brakes Capital, 7.13%, 12/15/18 |  |  | GBP |  |  |  | 255 |  |  |  | 403,827 |
Family Tree Escrow LLC (c): |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 3/01/20 |  |  | USD |  |  |  | 178 |  |  |  | 186,455 |
5.75%, 3/01/23 (f) |  |  |  |  |  |  | 2,276 |  |  |  | 2,384,110 |
R&R Ice Cream PLC, 4.75%, 5/15/20 |  |  | EUR |  |  |  | 150 |  |  |  | 170,847 |
Rite Aid Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |
9.25%, 3/15/20 |  |  | USD |  |  |  | 1,095 |  |  |  | 1,179,178 |
6.13%, 4/01/23 (c) |  |  |  |  |  |  | 1,570 |  |  |  | 1,611,213 |
|  |  |  |  |  |  |  |  |  |  | 5,935,630 |
Food Products — 0.4% |
Anna Merger Sub, Inc., 7.75%, 10/01/22 (c) |  |  |  |  |  |  | 635 |  |  |  | 629,044 |
Boparan Finance PLC, 5.50%, 7/15/21 |  |  | GBP |  |  |  | 115 |  |  |  | 160,753 |
Post Holdings, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 3/15/24 |  |  | USD |  |  |  | 844 |  |  |  | 871,430 |
8.00%, 7/15/25 |  |  |  |  |  |  | 416 |  |  |  | 429,520 |
Smithfield Foods, Inc., 5.88%, 8/01/21 (c) |  |  |  |  |  |  | 193 |  |  |  | 200,237 |
|  |  |  |  |  |  |  |  |  |  | 2,290,984 |
Health Care Equipment & Supplies — 0.6% |
Crimson Merger Sub, Inc., 6.63%, 5/15/22 (c) |  |  |  |  |  |  | 485 |  |  |  | 433,469 |
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (c)(f) |  |  |  |  |  |  | 1,259 |  |  |  | 1,302,436 |
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)(f) |  |  |  |  |  |  | 640 |  |  |  | 653,760 |
Mallinckrodt International Finance SA/Mallinckrodt CB LLC, 4.88%, 4/15/20 (c)(f) |  |  |  |  |  |  | 284 |  |  |  | 286,840 |
Smithfield Foods, Inc., 6.63%, 8/15/22 (f) |  |  |  |  |  |  | 783 |  |  |  | 832,916 |
|  |  |  |  |  |  |  |  |  |  | 3,509,421 |
Health Care Providers & Services — 2.4% |
Acadia Healthcare Co., Inc., 5.13%, 7/01/22 (f) |  |  |  |  |  |  | 240 |  |  |  | 241,200 |
Alere, Inc., 6.38%, 7/01/23 (c) |  |  |  |  |  |  | 330 |  |  |  | 338,250 |
Amsurg Corp., 5.63%, 7/15/22 (f) |  |  |  |  |  |  | 1,016 |  |  |  | 1,036,960 |

See Notes to Financial Statements.

36 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Corporate Bonds |  | Par (000) |  |  | Value |
Health Care Providers & Services (concluded) |
CHS/Community Health Systems, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 8/15/18 |  |  | USD |  |  |  | 490 |  |  | $ | 501,637 |
6.88%, 2/01/22 |  |  |  |  |  |  | 1,404 |  |  |  | 1,492,185 |
DaVita HealthCare Partners, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 7/15/24 |  |  |  |  |  |  | 1,093 |  |  |  | 1,088,218 |
5.00%, 5/01/25 |  |  |  |  |  |  | 997 |  |  |  | 977,060 |
ExamWorks Group, Inc., 5.63%, 4/15/23 |  |  |  |  |  |  | 381 |  |  |  | 390,049 |
HCA Holdings, Inc., 6.25%, 2/15/21 |  |  |  |  |  |  | 35 |  |  |  | 37,975 |
HCA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 3/15/19 (f) |  |  |  |  |  |  | 786 |  |  |  | 789,930 |
6.50%, 2/15/20 |  |  |  |  |  |  | 125 |  |  |  | 138,125 |
7.50%, 2/15/22 |  |  |  |  |  |  | 572 |  |  |  | 656,193 |
5.88%, 3/15/22 (f) |  |  |  |  |  |  | 82 |  |  |  | 89,175 |
4.75%, 5/01/23 (f) |  |  |  |  |  |  | 108 |  |  |  | 109,484 |
5.00%, 3/15/24 (f) |  |  |  |  |  |  | 335 |  |  |  | 342,956 |
HealthSouth Corp., 5.75%, 11/01/24 |  |  |  |  |  |  | 203 |  |  |  | 205,822 |
Hologic, Inc., 5.25%, 7/15/22 (c) |  |  |  |  |  |  | 420 |  |  |  | 427,875 |
Kindred Healthcare, Inc., 6.38%, 4/15/22 |  |  |  |  |  |  | 186 |  |  |  | 190,650 |
Omnicare, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/22 |  |  |  |  |  |  | 165 |  |  |  | 175,313 |
5.00%, 12/01/24 |  |  |  |  |  |  | 104 |  |  |  | 111,800 |
Sterigenics-Nordion Holdings LLC, 6.50%, 5/15/23 (c) |  |  |  |  |  |  | 104 |  |  |  | 106,078 |
Tenet Healthcare Corp.: |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 11/01/18 (f) |  |  |  |  |  |  | 264 |  |  |  | 286,110 |
4.75%, 6/01/20 (f) |  |  |  |  |  |  | 520 |  |  |  | 530,075 |
3.79%, 6/15/20 (c)(d)(f) |  |  |  |  |  |  | 805 |  |  |  | 809,427 |
6.00%, 10/01/20 (f) |  |  |  |  |  |  | 811 |  |  |  | 867,770 |
8.13%, 4/01/22 |  |  |  |  |  |  | 198 |  |  |  | 219,285 |
6.75%, 6/15/23 |  |  |  |  |  |  | 975 |  |  |  | 1,004,250 |
UnitedHealth Group, Inc., 3.75%, 7/15/25 (f) |  |  |  |  |  |  | 1,470 |  |  |  | 1,506,527 |
Voyage Care Bondco PLC, 6.50%, 8/01/18 |  |  | GBP |  |  |  | 355 |  |  |  | 560,681 |
|  |  |  |  |  |  |  |  |  |  | 15,231,060 |
Hotels, Restaurants & Leisure — 4.1% |
Boyd Gaming Corp., 6.88%, 5/15/23 (f) |  |  | USD |  |  |  | 925 |  |  |  | 950,438 |
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (c)(g) |  |  |  |  |  |  | 204 |  |  |  | 206,550 |
CDW LLC/CDW Finance Corp.: |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 8/15/22 |  |  |  |  |  |  | 535 |  |  |  | 561,081 |
5.00%, 9/01/23 |  |  |  |  |  |  | 122 |  |  |  | 120,475 |
5.50%, 12/01/24 (f) |  |  |  |  |  |  | 1,302 |  |  |  | 1,288,980 |
Cirsa Funding Luxembourg SA, 5.88%, 5/15/23 |  |  | EUR |  |  |  | 200 |  |  |  | 199,765 |
CPUK Finance Ltd., 7.00%, 2/28/42 |  |  | GBP |  |  |  | 100 |  |  |  | 153,992 |
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (i) |  |  | GBP |  |  |  | 100 |  |  |  | 140,982 |
ESH Hospitality, Inc., 5.25%, 5/01/25 (c)(f) |  |  | USD |  |  |  | 371 |  |  |  | 359,870 |
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (f) |  |  |  |  |  |  | 357 |  |  |  | 367,710 |
International Game Technology PLC: |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 2/15/22 (c) |  |  |  |  |  |  | 200 |  |  |  | 192,376 |
4.75%, 2/15/23 |  |  | EUR |  |  |  | 125 |  |  |  | 132,467 |
MGM Resorts International: |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 10/01/20 (f) |  |  | USD |  |  |  | 270 |  |  |  | 287,550 |
6.00%, 3/15/23 |  |  |  |  |  |  | 234 |  |  |  | 237,510 |
New Red Finance, Inc., 6.00%, 4/01/22 (c)(f) |  |  |  |  |  |  | 860 |  |  |  | 885,800 |
Pinnacle Entertainment, Inc., 6.38%, 8/01/21 (f) |  |  |  |  |  |  | 485 |  |  |  | 516,525 |
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20 |  |  | EUR |  |  |  | 100 |  |  |  | 115,542 |
RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/23 (c)(f) |  |  | USD |  |  |  | 335 |  |  |  | 331,650 |
Sabre GLBL, Inc., 5.38%, 4/15/23 (c)(f) |  |  |  |  |  |  | 317 |  |  |  | 310,660 |
Corporate Bonds |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (concluded) |
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f) |  |  | USD |  |  |  | 576 |  |  | $ | 584,640 |
Snai SpA, 7.63%, 6/15/18 |  |  | EUR |  |  |  | 205 |  |  |  | 233,491 |
Spirit Issuer PLC (d): |  |  |  |  |  |  |  |  |  |  |  |
Series A1, 1.13%, 12/28/28 |  |  | GBP |  |  |  | 445 |  |  |  | 594,658 |
Series A2, 3.28%, 12/28/31 |  |  |  |  |  |  | 1,800 |  |  |  | 2,665,427 |
Series A5, 5.47%, 12/28/34 |  |  |  |  |  |  | 4,500 |  |  |  | 6,905,251 |
Series A6, 2.38%, 12/28/36 |  |  |  |  |  |  | 2,670 |  |  |  | 3,933,157 |
Station Casinos LLC, 7.50%, 3/01/21 (f) |  |  | USD |  |  |  | 2,245 |  |  |  | 2,374,986 |
Tropicana Entertainment LLC/Tropicana Finance Corp., 1.00%, 12/15/14 (a)(b) |  |  |  |  |  |  | 375 |  |  |  | — |
The Unique Pub Finance Co. PLC: |  |  |  |  |  |  |  |  |  |  |  |
Series A4, 5.66%, 6/30/27 |  |  | GBP |  |  |  | 752 |  |  |  | 1,167,686 |
Series N, 6.46%, 3/30/32 |  |  |  |  |  |  | 100 |  |  |  | 135,036 |
|  |  |  |  |  |  |  |  |  |  | 25,954,255 |
Household Durables — 0.9% |
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c) |  |  | USD |  |  |  | 510 |  |  |  | 476,850 |
Beazer Homes USA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 4/15/18 (f) |  |  |  |  |  |  | 760 |  |  |  | 782,800 |
5.75%, 6/15/19 |  |  |  |  |  |  | 523 |  |  |  | 503,388 |
Berkline/Benchcraft LLC, 4.50%, 11/03/15 (a)(b) |  |  |  |  |  |  | 200 |  |  |  | — |
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c)(f) |  |  |  |  |  |  | 259 |  |  |  | 251,230 |
Shea Homes LP/Shea Homes Funding Corp. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 4/01/23 |  |  |  |  |  |  | 503 |  |  |  | 514,318 |
6.13%, 4/01/25 |  |  |  |  |  |  | 509 |  |  |  | 520,452 |
Standard Pacific Corp., 8.38%, 1/15/21 (f) |  |  |  |  |  |  | 1,000 |  |  |  | 1,175,000 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c)(f) |  |  |  |  |  |  | 297 |  |  |  | 298,485 |
TRI Pointe Holdings, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 6/15/19 |  |  |  |  |  |  | 500 |  |  |  | 495,625 |
5.88%, 6/15/24 |  |  |  |  |  |  | 340 |  |  |  | 334,900 |
|  |  |  |  |  |  |  |  |  |  | 5,353,048 |
Household Products — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Spectrum Brands, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/20 (f) |  |  |  |  |  |  | 250 |  |  |  | 264,688 |
6.63%, 11/15/22 (f) |  |  |  |  |  |  | 1,125 |  |  |  | 1,207,946 |
5.75%, 7/15/25 (c) |  |  |  |  |  |  | 546 |  |  |  | 562,380 |
|  |  |  |  |  |  |  |  |  |  | 2,035,014 |
Independent Power and Renewable Electricity Producers — 0.6% |
Calpine Corp.: |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 1/15/22 (c) |  |  |  |  |  |  | 143 |  |  |  | 152,116 |
5.38%, 1/15/23 (f) |  |  |  |  |  |  | 624 |  |  |  | 601,973 |
5.88%, 1/15/24 (c)(f) |  |  |  |  |  |  | 438 |  |  |  | 459,900 |
5.50%, 2/01/24 (f) |  |  |  |  |  |  | 639 |  |  |  | 616,635 |
Dynegy, Inc., 6.75%, 11/01/19 (f) |  |  |  |  |  |  | 610 |  |  |  | 632,494 |
NRG Energy, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 5/15/21 |  |  |  |  |  |  | 177 |  |  |  | 182,752 |
6.25%, 5/01/24 |  |  |  |  |  |  | 137 |  |  |  | 130,150 |
NRG REMA LLC: |  |  |  |  |  |  |  |  |  |  |  |
Series B, 9.24%, 7/02/17 |  |  |  |  |  |  | 44 |  |  |  | 45,644 |
Series C, 9.68%, 7/02/26 (f) |  |  |  |  |  |  | 589 |  |  |  | 600,780 |
|  |  |  |  |  |  |  |  |  |  | 3,422,444 |
Insurance — 1.2% |  |  |  |  |  |  |  |  |  |  |  |
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f) |  |  |  |  |  |  | 1,500 |  |  |  | 1,579,969 |
American International Group, Inc., 3.75%, 7/10/25 (f) |  |  |  |  |  |  | 2,705 |  |  |  | 2,716,926 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 37

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

Corporate Bonds |  | Par (000) |  |  | Value |
Insurance (concluded) |  |  |  |  |  |  |  |  |  |  |  |
CNO Financial Group, Inc., 4.50%, 5/30/20 |  |  | USD |  |  |  | 30 |  |  | $ | 30,900 |
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f) |  |  |  |  |  |  | 750 |  |  |  | 865,700 |
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c) |  |  |  |  |  |  | 391 |  |  |  | 390,023 |
Lincoln National Corp., 3.35%, 3/09/25 (f) |  |  |  |  |  |  | 845 |  |  |  | 817,470 |
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) |  |  |  |  |  |  | 595 |  |  |  | 621,775 |
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (d) |  |  | EUR |  |  |  | 400 |  |  |  | 530,895 |
Pension Insurance Corp. PLC, 6.50%, 7/03/24 |  |  | GBP |  |  |  | 125 |  |  |  | 193,730 |
|  |  |  |  |  |  |  |  |  |  | 7,747,388 |
Internet Software & Services — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
IAC/InterActiveCorp, 4.88%, 11/30/18 (f) |  |  | USD |  |  |  | 695 |  |  |  | 714,113 |
Interactive Data Corp., 5.88%, 4/15/19 (c)(f) |  |  |  |  |  |  | 741 |  |  |  | 750,262 |
|  |  |  |  |  |  |  |  |  |  | 1,464,375 |
IT Services — 0.9% |  |  |  |  |  |  |  |  |  |  |  |
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)(f) |  |  |  |  |  |  | 664 |  |  |  | 655,700 |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 11/01/20 (c)(f) |  |  |  |  |  |  | 1,488 |  |  |  | 1,566,120 |
11.75%, 8/15/21 |  |  |  |  |  |  | 392 |  |  |  | 441,588 |
5.38%, 8/15/23 (c) |  |  |  |  |  |  | 1,015 |  |  |  | 1,027,687 |
Open Text Corp., 5.63%, 1/15/23 (c)(f) |  |  |  |  |  |  | 614 |  |  |  | 614,000 |
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f) |  |  |  |  |  |  | 800 |  |  |  | 830,000 |
WEX, Inc., 4.75%, 2/01/23 (c)(f) |  |  |  |  |  |  | 550 |  |  |  | 533,500 |
|  |  |  |  |  |  |  |  |  |  | 5,668,595 |
Machinery — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Selecta Group BV, 6.50%, 6/15/20 |  |  | EUR |  |  |  | 100 |  |  |  | 105,074 |
Media — 5.4% |  |  |  |  |  |  |  |  |  |  |  |
Altice Financing SA: |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 1/15/22 (c)(f) |  |  | USD |  |  |  | 645 |  |  |  | 646,613 |
5.25%, 2/15/23 |  |  | EUR |  |  |  | 100 |  |  |  | 113,292 |
6.63%, 2/15/23 (c)(f) |  |  | USD |  |  |  | 786 |  |  |  | 782,070 |
Altice Finco SA, 7.63%, 2/15/25 (c) |  |  |  |  |  |  | 200 |  |  |  | 196,000 |
Altice SA: |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 5/15/22 |  |  | EUR |  |  |  | 400 |  |  |  | 451,105 |
7.75%, 5/15/22 (c)(f) |  |  | USD |  |  |  | 850 |  |  |  | 828,750 |
6.25%, 2/15/25 |  |  | EUR |  |  |  | 175 |  |  |  | 184,348 |
7.63%, 2/15/25 (c)(f) |  |  | USD |  |  |  | 740 |  |  |  | 703,000 |
Altice US Finance I Corp., 5.38%, 7/15/23 (c)(f) |  |  |  |  |  |  | 1,751 |  |  |  | 1,733,490 |
Altice US Finance II Corp., 7.75%, 7/15/25 (c) |  |  |  |  |  |  | 606 |  |  |  | 590,850 |
Altice US Finance SA, 7.75%, 7/15/25 (c) |  |  |  |  |  |  | 670 |  |  |  | 641,525 |
AMC Networks, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 7/15/21 (f) |  |  |  |  |  |  | 865 |  |  |  | 923,387 |
4.75%, 12/15/22 |  |  |  |  |  |  | 70 |  |  |  | 68,992 |
CCO Holdings LLC/CCO Holdings Capital Corp.: |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 4/30/21 |  |  |  |  |  |  | 245 |  |  |  | 256,074 |
5.13%, 2/15/23 (f) |  |  |  |  |  |  | 270 |  |  |  | 269,325 |
5.13%, 5/01/23 (c) |  |  |  |  |  |  | 160 |  |  |  | 160,000 |
5.88%, 5/01/27 (c) |  |  |  |  |  |  | 125 |  |  |  | 122,500 |
CCO Safari II LLC, 4.91%, 7/23/25 (c) |  |  |  |  |  |  | 2,425 |  |  |  | 2,401,948 |
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(b) |  |  |  |  |  |  | 509 |  |  |  | — |
Clear Channel Worldwide Holdings, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
7.63%, 3/15/20 (f) |  |  |  |  |  |  | 677 |  |  |  | 700,695 |
6.50%, 11/15/22 (f) |  |  |  |  |  |  | 965 |  |  |  | 975,132 |
6.50%, 11/15/22 |  |  |  |  |  |  | 213 |  |  |  | 220,029 |
Corporate Bonds |  | Par (000) |  |  | Value |
Media (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Columbus International, Inc., 7.38%, 3/30/21 (c)(f) |  |  | USD |  |  |  | 686 |  |  | $ | 722,015 |
DISH DBS Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 4/01/18 |  |  |  |  |  |  | 1,330 |  |  |  | 1,325,997 |
5.88%, 11/15/24 |  |  |  |  |  |  | 1,336 |  |  |  | 1,217,430 |
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c) |  |  |  |  |  |  | 185 |  |  |  | 173,900 |
Gannett Co., Inc., 5.13%, 10/15/19 |  |  |  |  |  |  | 197 |  |  |  | 203,403 |
Gray Television, Inc., 7.50%, 10/01/20 (f) |  |  |  |  |  |  | 323 |  |  |  | 333,998 |
iHeartCommunications, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 12/15/19 |  |  |  |  |  |  | 345 |  |  |  | 324,731 |
9.00%, 3/01/21 (f) |  |  |  |  |  |  | 966 |  |  |  | 856,118 |
9.00%, 9/15/22 |  |  |  |  |  |  | 755 |  |  |  | 656,850 |
Intelsat Jackson Holdings SA (f): |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 10/15/20 |  |  |  |  |  |  | 1,660 |  |  |  | 1,595,675 |
5.50%, 8/01/23 |  |  |  |  |  |  | 1,295 |  |  |  | 1,139,600 |
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c) |  |  |  |  |  |  | 185 |  |  |  | 196,100 |
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c)(f) |  |  |  |  |  |  | 245 |  |  |  | 246,838 |
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)(f) |  |  |  |  |  |  | 345 |  |  |  | 351,900 |
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c)(f) |  |  |  |  |  |  | 330 |  |  |  | 325,463 |
Numericable Group SA: |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 5/15/19 (c)(f) |  |  |  |  |  |  | 1,770 |  |  |  | 1,781,062 |
5.38%, 5/15/22 |  |  | EUR |  |  |  | 110 |  |  |  | 127,105 |
6.00%, 5/15/22 (c)(f) |  |  | USD |  |  |  | 1,770 |  |  |  | 1,770,000 |
5.63%, 5/15/24 |  |  | EUR |  |  |  | 260 |  |  |  | 297,577 |
6.25%, 5/15/24 (c) |  |  | USD |  |  |  | 270 |  |  |  | 269,916 |
Outfront Media Capital LLC/Outfront Media Capital Corp.: |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 2/15/22 |  |  |  |  |  |  | 105 |  |  |  | 105,722 |
5.63%, 2/15/24 |  |  |  |  |  |  | 95 |  |  |  | 97,256 |
5.63%, 2/15/24 (c) |  |  |  |  |  |  | 104 |  |  |  | 107,120 |
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c)(f) |  |  |  |  |  |  | 450 |  |  |  | 475,875 |
Sirius XM Radio, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 8/01/21 (f) |  |  |  |  |  |  | 424 |  |  |  | 438,840 |
4.63%, 5/15/23 |  |  |  |  |  |  | 40 |  |  |  | 38,100 |
5.38%, 4/15/25 (f) |  |  |  |  |  |  | 1,315 |  |  |  | 1,298,562 |
Sterling Entertainment Corp., 9.75%, 12/15/19 |  |  |  |  |  |  | 1,175 |  |  |  | 1,198,500 |
Tribune Media Co., 5.88%, 7/15/22 (c)(f) |  |  |  |  |  |  | 768 |  |  |  | 773,760 |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 |  |  | EUR |  |  |  | 236 |  |  |  | 264,618 |
Univision Communications, Inc., 5.13%, 2/15/25 (c) |  |  | USD |  |  |  | 535 |  |  |  | 518,950 |
Virgin Media Secured Finance PLC, 6.00%, 4/15/21 |  |  | GBP |  |  |  | 1,143 |  |  |  | 1,810,936 |
Ziggo Bond Finance BV, 4.63%, 1/15/25 |  |  | EUR |  |  |  | 137 |  |  |  | 146,048 |
|  |  |  |  |  |  |  |  |  |  | 34,159,090 |
Metals & Mining — 1.6% |  |  |  |  |  |  |  |  |  |  |  |
Alcoa, Inc., 5.13%, 10/01/24 (f) |  |  | USD |  |  |  | 1,843 |  |  |  | 1,806,140 |
Constellium NV, 5.75%, 5/15/24 (c)(f) |  |  |  |  |  |  | 358 |  |  |  | 275,660 |
First Quantum Minerals Ltd. (c): |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 2/15/21 |  |  |  |  |  |  | 119 |  |  |  | 83,895 |
7.25%, 5/15/22 |  |  |  |  |  |  | 356 |  |  |  | 248,310 |
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f) |  |  |  |  |  |  | 695 |  |  |  | 747,994 |
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f) |  |  |  |  |  |  | 510 |  |  |  | 543,150 |

See Notes to Financial Statements.

38 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Corporate Bonds |  | Par (000) |  |  | Value |
Metals & Mining (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Novelis, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
8.38%, 12/15/17 |  |  | USD |  |  |  | 175 |  |  | $ | 175,219 |
8.75%, 12/15/20 (f) |  |  |  |  |  |  | 2,868 |  |  |  | 2,860,830 |
Peabody Energy Corp., 6.50%, 9/15/20 (f) |  |  |  |  |  |  | 311 |  |  |  | 82,415 |
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17 |  |  |  |  |  |  | 100 |  |  |  | 91,250 |
Steel Dynamics, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 10/01/21 (f) |  |  |  |  |  |  | 645 |  |  |  | 632,422 |
6.38%, 8/15/22 (f) |  |  |  |  |  |  | 555 |  |  |  | 573,038 |
5.25%, 4/15/23 |  |  |  |  |  |  | 105 |  |  |  | 101,981 |
5.50%, 10/01/24 |  |  |  |  |  |  | 16 |  |  |  | 15,540 |
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f) |  |  |  |  |  |  | 2,156 |  |  |  | 2,042,810 |
|  |  |  |  |  |  |  |  |  |  | 10,280,654 |
Multi-Utilities — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
CE Energy AS, 7.00%, 2/01/21 |  |  | EUR |  |  |  | 150 |  |  |  | 171,689 |
Multiline Retail — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Hema Bondco I BV, 6.25%, 6/15/19 |  |  |  |  |  |  | 205 |  |  |  | 142,625 |
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f) |  |  | USD |  |  |  | 516 |  |  |  | 544,380 |
|  |  |  |  |  |  |  |  |  |  | 687,005 |
Oil, Gas & Consumable Fuels — 3.4% |  |  |  |  |  |  |  |  |  |  |  |
Antero Resources Finance Corp., 5.38%, 11/01/21 |  |  |  |  |  |  | 450 |  |  |  | 414,000 |
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 |  |  |  |  |  |  | 126 |  |  |  | 93,240 |
California Resources Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 9/15/21 |  |  |  |  |  |  | 689 |  |  |  | 534,237 |
6.00%, 11/15/24 |  |  |  |  |  |  | 2,606 |  |  |  | 1,932,349 |
Concho Resources, Inc., 5.50%, 4/01/23 (f) |  |  |  |  |  |  | 933 |  |  |  | 921,720 |
CONSOL Energy, Inc., 5.88%, 4/15/22 (f) |  |  |  |  |  |  | 1,653 |  |  |  | 1,181,895 |
Denbury Resources, Inc., 5.50%, 5/01/22 |  |  |  |  |  |  | 105 |  |  |  | 74,813 |
Energy Transfer Equity LP (f): |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 10/15/20 |  |  |  |  |  |  | 674 |  |  |  | 722,036 |
5.88%, 1/15/24 |  |  |  |  |  |  | 875 |  |  |  | 844,375 |
EP Energy LLC/EP Energy Finance, Inc., 9.38%, 5/01/20 |  |  |  |  |  |  | 325 |  |  |  | 314,762 |
EP Energy LLC/Everest Acquisition Finance, Inc., 6.38%, 6/15/23 |  |  |  |  |  |  | 404 |  |  |  | 343,400 |
Halcon Resources Corp., 8.63%, 2/01/20 (c)(f) |  |  |  |  |  |  | 340 |  |  |  | 298,350 |
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f) |  |  |  |  |  |  | 377 |  |  |  | 326,143 |
Kinder Morgan Energy Partners LP, 4.25%, 9/01/24 (f) |  |  |  |  |  |  | 1,035 |  |  |  | 946,089 |
Laredo Petroleum, Inc., 7.38%, 5/01/22 |  |  |  |  |  |  | 132 |  |  |  | 128,700 |
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.88%, 6/01/25 (f) |  |  |  |  |  |  | 534 |  |  |  | 493,950 |
MEG Energy Corp., 7.00%, 3/31/24 (c)(f) |  |  |  |  |  |  | 2,059 |  |  |  | 1,683,232 |
Memorial Resource Development Corp., 5.88%, 7/01/22 |  |  |  |  |  |  | 61 |  |  |  | 55,510 |
NGPL PipeCo LLC, 9.63%, 6/01/19 (c) |  |  |  |  |  |  | 353 |  |  |  | 328,290 |
Oasis Petroleum, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 2/01/19 |  |  |  |  |  |  | 380 |  |  |  | 340,100 |
6.50%, 11/01/21 |  |  |  |  |  |  | 410 |  |  |  | 330,050 |
6.88%, 1/15/23 |  |  |  |  |  |  | 90 |  |  |  | 71,100 |
Paramount Resources Ltd., 6.88%, 6/30/23 (c) |  |  |  |  |  |  | 326 |  |  |  | 291,770 |
Petrobras Global Finance BV, 4.75%, 1/14/25 |  |  | EUR |  |  |  | 110 |  |  |  | 103,472 |
Range Resources Corp., 5.75%, 6/01/21 |  |  | USD |  |  |  | 161 |  |  |  | 154,560 |
Rockies Express Pipeline LLC, 6.85%, 7/15/18 (c) |  |  |  |  |  |  | 273 |  |  |  | 278,460 |
Corporate Bonds |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22 |  |  | USD |  |  |  | 376 |  |  | $ | 342,160 |
RSP Permian, Inc., 6.63%, 10/01/22 (c) |  |  |  |  |  |  | 359 |  |  |  | 351,820 |
Sabine Pass Liquefaction LLC: |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 2/01/21 |  |  |  |  |  |  | 315 |  |  |  | 310,275 |
5.63%, 4/15/23 (f) |  |  |  |  |  |  | 536 |  |  |  | 520,590 |
5.75%, 5/15/24 (f) |  |  |  |  |  |  | 566 |  |  |  | 553,265 |
5.63%, 3/01/25 (c)(f) |  |  |  |  |  |  | 323 |  |  |  | 312,301 |
Sabine Pass LNG LP, 7.50%, 11/30/16 (f) |  |  |  |  |  |  | 3,000 |  |  |  | 3,090,000 |
Sanchez Energy Corp., 6.13%, 1/15/23 (f) |  |  |  |  |  |  | 781 |  |  |  | 585,750 |
SandRidge Energy, Inc., 8.75%, 1/15/20 |  |  |  |  |  |  | 79 |  |  |  | 23,700 |
Seven Generations Energy Ltd., 6.75%, 5/01/23 (c) |  |  |  |  |  |  | 216 |  |  |  | 198,720 |
Seventy Seven Energy, Inc., 6.50%, 7/15/22 |  |  |  |  |  |  | 258 |  |  |  | 119,970 |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 (f) |  |  |  |  |  |  | 636 |  |  |  | 636,000 |
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (f) |  |  |  |  |  |  | 138 |  |  |  | 138,345 |
Whiting Petroleum Corp., 5.00%, 3/15/19 |  |  |  |  |  |  | 671 |  |  |  | 600,545 |
WPX Energy, Inc., 5.25%, 9/15/24 |  |  |  |  |  |  | 95 |  |  |  | 78,005 |
|  |  |  |  |  |  |  |  |  |  | 21,068,049 |
Pharmaceuticals — 2.8% |  |  |  |  |  |  |  |  |  |  |  |
AbbVie, Inc., 3.60%, 5/14/25 (f) |  |  |  |  |  |  | 695 |  |  |  | 684,208 |
Actavis Funding SCS, 3.45%, 3/15/22 (f) |  |  |  |  |  |  | 2,460 |  |  |  | 2,403,550 |
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (c)(g) |  |  |  |  |  |  | 156 |  |  |  | 157,170 |
Endo Finance LLC/Endo Finco, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 12/15/20 |  |  |  |  |  |  | 135 |  |  |  | 140,738 |
7.75%, 1/15/22 |  |  |  |  |  |  | 121 |  |  |  | 129,168 |
6.00%, 7/15/23 |  |  |  |  |  |  | 829 |  |  |  | 862,160 |
6.00%, 2/01/25 (f) |  |  |  |  |  |  | 798 |  |  |  | 819,945 |
Ephios Bondco PLC, 6.25%, 7/01/22 |  |  | EUR |  |  |  | 225 |  |  |  | 255,865 |
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (f) |  |  | USD |  |  |  | 759 |  |  |  | 771,334 |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (c) |  |  |  |  |  |  | 1,086 |  |  |  | 1,076,226 |
Valeant Pharmaceuticals International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 8/15/18 (c)(f) |  |  |  |  |  |  | 2,214 |  |  |  | 2,316,397 |
5.38%, 3/15/20 (c)(f) |  |  |  |  |  |  | 747 |  |  |  | 760,072 |
6.38%, 10/15/20 (c)(f) |  |  |  |  |  |  | 597 |  |  |  | 622,372 |
7.50%, 7/15/21 (c) |  |  |  |  |  |  | 335 |  |  |  | 359,706 |
5.63%, 12/01/21 (c) |  |  |  |  |  |  | 520 |  |  |  | 529,100 |
5.50%, 3/01/23 (c) |  |  |  |  |  |  | 519 |  |  |  | 526,136 |
4.50%, 5/15/23 |  |  | EUR |  |  |  | 300 |  |  |  | 323,947 |
5.88%, 5/15/23 (c)(f) |  |  | USD |  |  |  | 2,775 |  |  |  | 2,830,500 |
6.13%, 4/15/25 (c)(f) |  |  |  |  |  |  | 2,118 |  |  |  | 2,181,540 |
|  |  |  |  |  |  |  |  |  |  | 17,750,134 |
Professional Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f) |  |  |  |  |  |  | 540 |  |  |  | 564,975 |
Real Estate — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
AvalonBay Communities, Inc., 3.45%, 6/01/25 (f) |  |  |  |  |  |  | 1,245 |  |  |  | 1,217,925 |
Real Estate Investment Trusts (REITs) — 0.6% |  |  |  |  |
Aroundtown Property Holdings PLC, 3.00%, 12/09/21 |  |  | EUR |  |  |  | 200 |  |  |  | 208,895 |
ERP Operating LP, 3.38%, 6/01/25 (f) |  |  | USD |  |  |  | 1,015 |  |  |  | 988,564 |
iStar Financial, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 11/01/17 |  |  |  |  |  |  | 435 |  |  |  | 425,125 |
5.00%, 7/01/19 (f) |  |  |  |  |  |  | 305 |  |  |  | 295,850 |
Ventas Realty LP, 4.13%, 1/15/26 |  |  |  |  |  |  | 650 |  |  |  | 644,246 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 39

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

Corporate Bonds |  | Par (000) |  |  | Value |
Real Estate Investment Trusts (REITs) (concluded) |  |  |  |  |
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f) |  |  | USD |  |  |  | 1,300 |  |  | $ | 1,394,523 |
|  |  |  |  |  |  |  |  |  |  | 3,957,203 |
Real Estate Management & Development — 0.5% |
Realogy Corp. (c): |  |  |  |  |  |  |  |  |  |  |  |
7.63%, 1/15/20 (f) |  |  |  |  |  |  | 1,837 |  |  |  | 1,931,146 |
9.00%, 1/15/20 |  |  |  |  |  |  | 301 |  |  |  | 319,060 |
Realogy Group LLC/Realogy Co-Issuer Corp. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 4/15/19 |  |  |  |  |  |  | 531 |  |  |  | 534,319 |
5.25%, 12/01/21 |  |  |  |  |  |  | 228 |  |  |  | 232,275 |
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c) |  |  |  |  |  |  | 220 |  |  |  | 226,600 |
|  |  |  |  |  |  |  |  |  |  | 3,243,400 |
Road & Rail — 1.0% |  |  |  |  |  |  |  |  |  |  |  |
EC Finance PLC, 5.13%, 7/15/21 |  |  | EUR |  |  |  | 180 |  |  |  | 207,037 |
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f) |  |  | USD |  |  |  | 701 |  |  |  | 706,257 |
The Hertz Corp.: |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 10/15/18 |  |  |  |  |  |  | 540 |  |  |  | 551,475 |
6.75%, 4/15/19 |  |  |  |  |  |  | 405 |  |  |  | 414,113 |
5.88%, 10/15/20 |  |  |  |  |  |  | 435 |  |  |  | 439,507 |
7.38%, 1/15/21 (f) |  |  |  |  |  |  | 675 |  |  |  | 703,687 |
Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (c)(f) |  |  |  |  |  |  | 3,000 |  |  |  | 3,006,000 |
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c) |  |  |  |  |  |  | 319 |  |  |  | 324,710 |
|  |  |  |  |  |  |  |  |  |  | 6,352,786 |
Semiconductors & Semiconductor Equipment — 0.7% |
Micron Technology, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 1/15/24 (c) |  |  |  |  |  |  | 400 |  |  |  | 371,000 |
5.50%, 2/01/25 |  |  |  |  |  |  | 185 |  |  |  | 172,050 |
NXP BV/NXP Funding LLC (c)(f): |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 6/15/20 |  |  |  |  |  |  | 597 |  |  |  | 597,746 |
5.75%, 2/15/21 |  |  |  |  |  |  | 560 |  |  |  | 584,500 |
Seagate HDD Cayman, 4.88%, 6/01/27 (c)(f) |  |  |  |  |  |  | 2,000 |  |  |  | 1,844,534 |
Sensata Technologies BV (c): |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 11/01/24 |  |  |  |  |  |  | 179 |  |  |  | 183,475 |
5.00%, 10/01/25 (f) |  |  |  |  |  |  | 812 |  |  |  | 787,640 |
|  |  |  |  |  |  |  |  |  |  | 4,540,945 |
Software — 0.7% |
Autodesk, Inc., 3.13%, 6/15/20 (f) |  |  |  |  |  |  | 820 |  |  |  | 821,385 |
Infor Software Parent LLC/Infor Software Parent, Inc., (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(g) |  |  |  |  |  |  | 744 |  |  |  | 674,250 |
Infor US, Inc., 6.50%, 5/15/22 (c)(f) |  |  |  |  |  |  | 1,279 |  |  |  | 1,199,063 |
Italics Merger Sub, Inc., 7.13%, 7/15/23 (c) |  |  |  |  |  |  | 285 |  |  |  | 275,678 |
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f) |  |  |  |  |  |  | 1,115 |  |  |  | 1,117,096 |
SS&C Technologies Holdings, Inc., 5.88%, 7/15/23 (c) |  |  |  |  |  |  | 327 |  |  |  | 337,202 |
|  |  |  |  |  |  |  |  |  |  | 4,424,674 |
Specialty Retail — 0.2% |
New Look Secured Issuer PLC, 6.50%, 7/01/22 |  |  | GBP |  |  |  | 200 |  |  |  | 296,158 |
Party City Holdings, Inc., 8.88%, 8/01/20 |  |  | USD |  |  |  | 187 |  |  |  | 199,389 |
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f) |  |  |  |  |  |  | 508 |  |  |  | 525,780 |
THOM Europe SAS, 7.38%, 7/15/19 |  |  | EUR |  |  |  | 230 |  |  |  | 270,354 |
|  |  |  |  |  |  |  |  |  |  | 1,291,681 |
Corporate Bonds |  | Par (000) |  |  | Value |
Textiles, Apparel & Luxury Goods — 0.2% |
Levi Strauss & Co.: |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 5/01/22 (f) |  |  | USD |  |  |  | 380 |  |  | $ | 409,450 |
5.00%, 5/01/25 |  |  |  |  |  |  | 320 |  |  |  | 313,200 |
The William Carter Co., 5.25%, 8/15/21 (f) |  |  |  |  |  |  | 346 |  |  |  | 357,245 |
|  |  |  |  |  |  |  |  |  |  | 1,079,895 |
Tobacco — 0.1% |
Reynolds American, Inc., 3.25%, 6/12/20 (f) |  |  |  |  |  |  | 735 |  |  |  | 744,603 |
Trading Companies & Distributors — 0.2% |
Ashtead Capital, Inc. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 7/15/22 |  |  |  |  |  |  | 534 |  |  |  | 555,360 |
5.63%, 10/01/24 |  |  |  |  |  |  | 420 |  |  |  | 417,115 |
|  |  |  |  |  |  |  |  |  |  | 972,475 |
Transportation Infrastructure — 1.2% |
Aguila 3 SA, 7.88%, 1/31/18 (c)(f) |  |  |  |  |  |  | 378 |  |  |  | 383,670 |
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (c)(g) |  |  |  |  |  |  | 867 |  |  |  | 633,193 |
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (c)(f) |  |  |  |  |  |  | 6,155 |  |  |  | 6,339,816 |
|  |  |  |  |  |  |  |  |  |  | 7,356,679 |
Wireless Telecommunication Services — 2.0% |
Communications Sales & Leasing, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 4/15/23 (f) |  |  |  |  |  |  | 330 |  |  |  | 310,200 |
8.25%, 10/15/23 |  |  |  |  |  |  | 674 |  |  |  | 613,340 |
Crown Castle International Corp., 4.88%, 4/15/22 |  |  |  |  |  |  | 73 |  |  |  | 74,916 |
Digicel Ltd., 6.00%, 4/15/21 (c)(f) |  |  |  |  |  |  | 2,073 |  |  |  | 1,898,474 |
The Geo Group, Inc., 5.88%, 1/15/22 (f) |  |  |  |  |  |  | 340 |  |  |  | 353,600 |
Matterhorn Telecom SA, 3.88%, 5/01/22 |  |  | EUR |  |  |  | 100 |  |  |  | 102,806 |
SBA Communications Corp., 4.88%, 7/15/22 (f) |  |  | USD |  |  |  | 815 |  |  |  | 807,869 |
Sprint Communications, Inc. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 11/15/18 |  |  |  |  |  |  | 2,020 |  |  |  | 2,249,775 |
7.00%, 3/01/20 |  |  |  |  |  |  | 1,141 |  |  |  | 1,211,970 |
Sprint Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 9/15/23 |  |  |  |  |  |  | 1,735 |  |  |  | 1,667,769 |
7.13%, 6/15/24 |  |  |  |  |  |  | 590 |  |  |  | 545,567 |
T-Mobile USA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 4/28/21 (f) |  |  |  |  |  |  | 263 |  |  |  | 274,835 |
6.13%, 1/15/22 |  |  |  |  |  |  | 75 |  |  |  | 77,344 |
6.73%, 4/28/22 |  |  |  |  |  |  | 173 |  |  |  | 181,650 |
6.00%, 3/01/23 (f) |  |  |  |  |  |  | 478 |  |  |  | 487,316 |
6.50%, 1/15/24 (f) |  |  |  |  |  |  | 535 |  |  |  | 549,712 |
6.38%, 3/01/25 (f) |  |  |  |  |  |  | 270 |  |  |  | 275,940 |
Wind Acquisition Finance SA, 4.00%, 7/15/20 |  |  | EUR |  |  |  | 695 |  |  |  | 786,914 |
|  |  |  |  |  |  |  |  |  |  | 12,469,997 |
Total Corporate Bonds — 52.7% |  |  |  |  |  |  |  | 331,818,066 |
Foreign Agency Obligations |  |  |  |  |  |  |  |  |
Cyprus Government International Bond, 4.63%, 2/03/20 (c) |  |  |  |  |  |  | 2,600 |  |  |  | 3,059,766 |
Iceland Government International Bond: |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 6/16/16 |  |  | USD |  |  |  | 187 |  |  |  | 191,528 |
5.88%, 5/11/22 |  |  |  |  |  |  | 3,030 |  |  |  | 3,436,262 |
Portugal Government International Bond, 5.13%, 10/15/24 (c) |  |  |  |  |  |  | 4,680 |  |  |  | 4,923,454 |
Total Foreign Agency Obligations — 1.8% |  |  |  |  |  |  |  | 11,611,010 |

See Notes to Financial Statements.

40 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Aerospace & Defense — 0.6% |
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |  |  | USD |  |  |  | 854 |  |  | $ | 856,733 |
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |  |  |  |  |  |  | 639 |  |  |  | 635,856 |
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |  |  |  |  |  |  | 1,375 |  |  |  | 1,412,812 |
Transdigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 Term Loan E, 3.50%, 5/14/22 |  |  |  |  |  |  | 644 |  |  |  | 635,705 |
Term Loan D, 3.75%, 6/02/21 |  |  |  |  |  |  | 297 |  |  |  | 293,659 |
|  |  |  |  |  |  |  |  |  |  | 3,834,765 |
Air Freight & Logistics — 0.4% |
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 678 |  |  |  | 609,760 |
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 706 |  |  |  | 634,982 |
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 122 |  |  |  | 109,480 |
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 974 |  |  |  | 875,837 |
|  |  |  |  |  |  |  |  |  |  | 2,230,059 |
Airlines — 0.1% |
Northwest Airlines, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2.25%, 3/10/17 |  |  |  |  |  |  | 301 |  |  |  | 294,119 |
1.63%, 9/10/18 |  |  |  |  |  |  | 321 |  |  |  | 307,198 |
1.64%, 9/10/18 |  |  |  |  |  |  | 162 |  |  |  | 155,275 |
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |  |  |  |  |  |  | 7 |  |  |  | 6,689 |
|  |  |  |  |  |  |  |  |  |  | 763,281 |
Auto Components — 1.2% |
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |  |  |  |  |  |  | 712 |  |  |  | 711,440 |
Autoparts Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 7/29/17 |  |  |  |  |  |  | 913 |  |  |  | 803,022 |
2nd Lien Term Loan, 11.00%, 1/29/18 |  |  |  |  |  |  | 1,050 |  |  |  | 892,500 |
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |  |  |  |  |  |  | 847 |  |  |  | 846,041 |
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |  |  |  |  |  |  | 1,791 |  |  |  | 1,712,841 |
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19 |  |  |  |  |  |  | 1,643 |  |  |  | 1,645,227 |
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |  |  |  |  |  |  | 690 |  |  |  | 691,580 |
|  |  |  |  |  |  |  |  |  |  | 7,302,651 |
Banks — 0.1% |
Redtop Acquisitions Ltd.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/03/20 |  |  |  |  |  |  | 414 |  |  |  | 413,700 |
2nd Lien Term Loan, 8.25%, 6/03/21 |  |  |  |  |  |  | 350 |  |  |  | 346,762 |
|  |  |  |  |  |  |  |  |  |  | 760,462 |
Building Products — 1.3% |
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |  |  |  |  |  |  | 732 |  |  |  | 725,568 |
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |  |  |  |  |  |  | 1,622 |  |  |  | 1,607,256 |
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |  |  |  |  |  |  | 933 |  |  |  | 911,612 |
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22 |  |  |  |  |  |  | 385 |  |  |  | 382,129 |
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |  |  |  |  |  |  | 1,020 |  |  |  | 1,019,008 |
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |  |  |  |  |  |  | 636 |  |  |  | 628,315 |
Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Building Products (concluded) |
Universal Services of America LP: |  |  |  |  |  |  |  |  |  |  |  |
2015 2nd Lien Term Loan, 9.50%, 7/28/22 |  |  | USD |  |  |  | 460 |  |  | $ | 455,400 |
2015 Delayed Draw Term Loan, 1.98%, 7/28/22 |  |  |  |  |  |  | 2 |  |  |  | 2,330 |
2015 Term Loan, 4.75%, 7/28/22 |  |  |  |  |  |  | 921 |  |  |  | 908,758 |
Wilsonart LLC: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B2, 4.00%, 10/31/19 |  |  |  |  |  |  | 758 |  |  |  | 751,343 |
Term Loan B, 4.00%, 10/31/19 |  |  |  |  |  |  | 800 |  |  |  | 792,010 |
|  |  |  |  |  |  |  |  |  |  | 8,183,729 |
Capital Markets — 0.3% |
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18 |  |  |  |  |  |  | 519 |  |  |  | 488,535 |
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |  |  |  |  |  |  | 570 |  |  |  | 568,349 |
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20 |  |  |  |  |  |  | 1,137 |  |  |  | 1,135,960 |
|  |  |  |  |  |  |  |  |  |  | 2,192,844 |
Chemicals — 1.1% |
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |  |  |  |  |  |  | 237 |  |  |  | 221,366 |
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |  |  |  |  |  |  | 544 |  |  |  | 540,898 |
Kronos Worldwide, Inc., 2015 Term Loan, 4.00%, 2/18/20 |  |  |  |  |  |  | 232 |  |  |  | 223,360 |
MacDermid, Inc., 1st Lien Term Loan, 4.50%, 6/07/20 |  |  |  |  |  |  | 657 |  |  |  | 654,243 |
Minerals Technologies Inc., 2015 Term Loan B, 3.75%, 5/09/21 |  |  |  |  |  |  | 499 |  |  |  | 498,454 |
OXEA Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.25%, 7/15/20 |  |  |  |  |  |  | 705 |  |  |  | 657,998 |
Term Loan B2, 4.25%, 1/15/20 |  |  |  |  |  |  | 668 |  |  |  | 650,562 |
Royal Holdings, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 1st Lien Term Loan, 4.50%, 6/19/22 |  |  |  |  |  |  | 665 |  |  |  | 661,954 |
2015 2nd Lien Term Loan, 8.50%, 6/19/23 |  |  |  |  |  |  | 535 |  |  |  | 532,994 |
Solenis International LP: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 7/31/21 |  |  |  |  |  |  | 516 |  |  |  | 508,519 |
2nd Lien Term Loan, 7.75%, 7/31/22 |  |  |  |  |  |  | 1,050 |  |  |  | 1,005,375 |
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |  |  |  |  |  |  | 633 |  |  |  | 631,955 |
|  |  |  |  |  |  |  |  |  |  | 6,787,678 |
Commercial Services & Supplies — 1.4% |
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |  |  |  |  |  |  | 976 |  |  |  | 966,512 |
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |  |  |  |  |  |  | 801 |  |  |  | 719,605 |
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |  |  |  |  |  |  | 989 |  |  |  | 988,484 |
Connolly Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 5/14/21 |  |  |  |  |  |  | 794 |  |  |  | 792,197 |
2nd Lien Term Loan, 8.00%, 5/14/22 |  |  |  |  |  |  | 1,000 |  |  |  | 1,000,000 |
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |  |  |  |  |  |  | 1,856 |  |  |  | 1,831,553 |
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |  |  |  |  |  |  | 335 |  |  |  | 326,318 |
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |  |  |  |  |  |  | 1,760 |  |  |  | 1,734,292 |
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20 |  |  |  |  |  |  | 379 |  |  |  | 378,755 |
|  |  |  |  |  |  |  |  |  |  | 8,737,716 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 41

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

Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Communications Equipment — 0.9% |
Applied Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 1/25/21 |  |  | USD |  |  |  | 325 |  |  | $ | 324,061 |
2nd Lien Term Loan, 7.50%, 1/24/22 |  |  |  |  |  |  | 265 |  |  |  | 263,278 |
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20 |  |  |  |  |  |  | 1,968 |  |  |  | 1,687,026 |
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22 |  |  |  |  |  |  | 289 |  |  |  | 289,153 |
Telesat Canada, Term Loan A, 4.09%, 3/28/17 |  |  | CAD |  |  |  | 1,468 |  |  |  | 1,106,077 |
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21 |  |  | USD |  |  |  | 1,975 |  |  |  | 1,961,930 |
|  |  |  |  |  |  |  |  |  |  | 5,631,525 |
Containers & Packaging — 0.1% |
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |  |  |  |  |  |  | 454 |  |  |  | 450,436 |
Distributors — 0.2% |
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |  |  |  |  |  |  | 748 |  |  |  | 744,048 |
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21 |  |  |  |  |  |  | 224 |  |  |  | 224,998 |
|  |  |  |  |  |  |  |  |  |  | 969,046 |
Diversified Consumer Services — 0.7% |
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/14/21 |  |  |  |  |  |  | 511 |  |  |  | 508,698 |
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75%, 1/30/20 |  |  |  |  |  |  | 650 |  |  |  | 648,837 |
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |  |  |  |  |  |  | 619 |  |  |  | 589,060 |
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21 |  |  |  |  |  |  | 2,469 |  |  |  | 2,455,206 |
|  |  |  |  |  |  |  |  |  |  | 4,201,801 |
Diversified Financial Services — 0.4% |
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22 |  |  |  |  |  |  | 290 |  |  |  | 289,710 |
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 4/02/21 |  |  |  |  |  |  | 856 |  |  |  | 855,161 |
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18 |  |  |  |  |  |  | 1,464 |  |  |  | 1,462,578 |
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |  |  |  |  |  |  | 177 |  |  |  | 177,250 |
|  |  |  |  |  |  |  |  |  |  | 2,784,699 |
Diversified Telecommunication Services — 1.3% |
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |  |  |  |  |  |  | 707 |  |  |  | 707,747 |
Integra Telecom, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 1st Lien Term Loan, 5.25%, 8/14/20 |  |  |  |  |  |  | 1,149 |  |  |  | 1,145,175 |
2nd Lien Term Loan, 9.75%, 2/21/20 |  |  |  |  |  |  | 860 |  |  |  | 856,441 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2013 Term Loan B, 4.00%, 1/15/20 |  |  |  |  |  |  | 4,240 |  |  |  | 4,236,015 |
2019 Term Loan, 4.00%, 8/01/19 |  |  |  |  |  |  | 659 |  |  |  | 657,565 |
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23 |  |  |  |  |  |  | 276 |  |  |  | 272,710 |
|  |  |  |  |  |  |  |  |  |  | 7,875,653 |
Electrical Equipment — 0.2% |
Texas Competitive Electric Holdings Co. LLC: |  |  |  |  |  |  |  |  |  |  |  |
DIP Term Loan, 3.75%, 5/05/16 |  |  |  |  |  |  | 668 |  |  |  | 667,903 |
Extended Term Loan, 4.67%, 10/10/17 (a)(b) |  |  |  |  |  |  | 1,780 |  |  |  | 803,029 |
|  |  |  |  |  |  |  |  |  |  | 1,470,932 |
Electronic Equipment, Instruments & Components — 0.1% |
CDW LLC, Term Loan, 3.25%, 4/29/20 |  |  |  |  |  |  | 831 |  |  |  | 823,743 |
Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Energy Equipment & Services — 0.1% |
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |  |  | USD |  |  |  | 868 |  |  | $ | 865,266 |
Food & Staples Retailing — 0.4% |
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 |  |  |  |  |  |  | 625 |  |  |  | 623,124 |
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |  |  |  |  |  |  | 240 |  |  |  | 242,251 |
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |  |  |  |  |  |  | 894 |  |  |  | 896,262 |
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 (j) |  |  |  |  |  |  | 500 |  |  |  | 500,250 |
|  |  |  |  |  |  |  |  |  |  | 2,261,887 |
Food Products — 1.3% |
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |  |  |  |  |  |  | 1,487 |  |  |  | 1,480,850 |
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |  |  |  |  |  |  | 1,050 |  |  |  | 1,049,896 |
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |  |  |  |  |  |  | 238 |  |  |  | 236,337 |
New HB Acquisition LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 8/03/22 |  |  |  |  |  |  | 580 |  |  |  | 579,820 |
2nd Lien Term Loan, 8.50%, 8/03/23 |  |  |  |  |  |  | 155 |  |  |  | 155,194 |
Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21 |  |  |  |  |  |  | 1,092 |  |  |  | 1,091,092 |
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |  |  |  |  |  |  | 1,029 |  |  |  | 1,029,000 |
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20 |  |  |  |  |  |  | 738 |  |  |  | 733,061 |
Reddy Ice Corp.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.75%, 5/01/19 |  |  |  |  |  |  | 1,143 |  |  |  | 948,431 |
2nd Lien Term Loan, 10.75%, 11/01/19 |  |  |  |  |  |  | 1,380 |  |  |  | 966,000 |
|  |  |  |  |  |  |  |  |  |  | 8,269,681 |
Health Care Equipment & Supplies — 0.7% |
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22 |  |  |  |  |  |  | 355 |  |  |  | 354,755 |
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |  |  |  |  |  |  | 507 |  |  |  | 505,153 |
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20 |  |  |  |  |  |  | 1,160 |  |  |  | 1,153,040 |
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |  |  |  |  |  |  | 627 |  |  |  | 624,152 |
Millennium Health LLC, Term Loan B, 5.25%, 4/15/21 |  |  |  |  |  |  | 853 |  |  |  | 416,687 |
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |  |  |  |  |  |  | 739 |  |  |  | 720,252 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |  |  |  |  |  |  | 723 |  |  |  | 711,205 |
|  |  |  |  |  |  |  |  |  |  | 4,485,244 |
Health Care Providers & Services — 2.1% |
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |  |  |  |  |  |  | 237 |  |  |  | 238,188 |
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22 |  |  |  |  |  |  | 680 |  |  |  | 667,250 |
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |  |  |  |  |  |  | 455 |  |  |  | 454,890 |
CHG Healthcare Services, Inc., Term Loan, 4.25%, 11/19/19 (j) |  |  |  |  |  |  | 320 |  |  |  | 318,400 |
Community Health Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan F, 3.57%, 12/31/18 |  |  |  |  |  |  | 922 |  |  |  | 920,745 |
Term Loan G, 3.75%, 12/31/19 |  |  |  |  |  |  | 1,129 |  |  |  | 1,126,399 |
Term Loan H, 4.00%, 1/27/21 |  |  |  |  |  |  | 2,076 |  |  |  | 2,080,207 |

See Notes to Financial Statements.

42 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Health Care Providers & Services (concluded) |
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22 |  |  | USD |  |  |  | 798 |  |  | $ | 798,998 |
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |  |  |  |  |  |  | 2,817 |  |  |  | 2,808,917 |
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |  |  |  |  |  |  | 1,000 |  |  |  | 1,014,875 |
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |  |  |  |  |  |  | 651 |  |  |  | 642,265 |
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/27/21 |  |  |  |  |  |  | 573 |  |  |  | 568,454 |
Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22 |  |  |  |  |  |  | 375 |  |  |  | 371,955 |
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |  |  |  |  |  |  | 403 |  |  |  | 402,870 |
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22 |  |  |  |  |  |  | 269 |  |  |  | 268,315 |
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |  |  |  |  |  |  | 740 |  |  |  | 737,410 |
|  |  |  |  |  |  |  |  |  |  | 13,420,138 |
Hotels, Restaurants & Leisure — 2.8% |
Amaya Holdings BV: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 8/01/21 |  |  |  |  |  |  | 1,375 |  |  |  | 1,360,164 |
2nd Lien Term Loan, 8.00%, 8/01/22 |  |  |  |  |  |  | 646 |  |  |  | 646,021 |
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |  |  |  |  |  |  | 1,160 |  |  |  | 1,113,488 |
Burger King Newco Unlimited Liability Co., 2015 Term Loan B, 3.75%, 12/12/21 |  |  |  |  |  |  | 1,588 |  |  |  | 1,585,191 |
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |  |  |  |  |  |  | 4,468 |  |  |  | 4,257,761 |
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |  |  |  |  |  |  | 724 |  |  |  | 722,855 |
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |  |  |  |  |  |  | 492 |  |  |  | 490,687 |
Intrawest ULC, Term Loan, 4.75%, 12/09/20 |  |  |  |  |  |  | 606 |  |  |  | 604,261 |
La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21 |  |  |  |  |  |  | 1,551 |  |  |  | 1,546,934 |
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |  |  |  |  |  |  | 640 |  |  |  | 636,492 |
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |  |  |  |  |  |  | 1,059 |  |  |  | 1,049,082 |
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |  |  |  |  |  |  | 552 |  |  |  | 550,985 |
Sabre, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan, 4.00%, 2/19/19 |  |  |  |  |  |  | 393 |  |  |  | 391,691 |
Term Loan B, 4.00%, 2/19/19 |  |  |  |  |  |  | 556 |  |  |  | 554,461 |
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |  |  |  |  |  |  | 895 |  |  |  | 892,655 |
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21 |  |  |  |  |  |  | 1,191 |  |  |  | 1,190,405 |
|  |  |  |  |  |  |  |  |  |  | 17,593,133 |
Household Products — 0.3% |
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20 |  |  |  |  |  |  | 638 |  |  |  | 634,286 |
Spectrum Brands, Inc., Term Loan, 3.75%, 6/23/22 |  |  |  |  |  |  | 1,234 |  |  |  | 1,232,252 |
|  |  |  |  |  |  |  |  |  |  | 1,866,538 |
Independent Power and Renewable Electricity Producers — 0.4% |
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16 |  |  |  |  |  |  | 1,313 |  |  |  | 1,313,384 |
Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Independent Power and Renewable Electricity Producers (concluded) |
Granite Acquisition, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/19/21 |  |  | USD |  |  |  | 1,110 |  |  | $ | 1,109,446 |
Term Loan C, 5.00%, 12/19/21 |  |  |  |  |  |  | 49 |  |  |  | 49,061 |
|  |  |  |  |  |  |  |  |  |  | 2,471,891 |
Industrial Conglomerates — 0.1% |
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |  |  |  |  |  |  | 735 |  |  |  | 622,806 |
Insurance — 0.4% |
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20 |  |  |  |  |  |  | 924 |  |  |  | 840,924 |
Sedgwick Claims Management Services, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.75%, 3/01/21 |  |  |  |  |  |  | 1,091 |  |  |  | 1,067,182 |
2nd Lien Term Loan, 6.75%, 2/28/22 |  |  |  |  |  |  | 665 |  |  |  | 649,000 |
|  |  |  |  |  |  |  |  |  |  | 2,557,106 |
Internet Software & Services — 0.4% |
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/24/21 |  |  |  |  |  |  | 1,169 |  |  |  | 1,164,294 |
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21 |  |  |  |  |  |  | 797 |  |  |  | 796,257 |
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |  |  |  |  |  |  | 557 |  |  |  | 556,243 |
|  |  |  |  |  |  |  |  |  |  | 2,516,794 |
IT Services — 1.8% |
Blue Coat Holdings Inc., 2015 Term Loan, 4.50%, 5/20/22 |  |  |  |  |  |  | 470 |  |  |  | 466,475 |
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22 |  |  |  |  |  |  | 990 |  |  |  | 986,109 |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |
2018 Extended Term Loan, 3.70%, 3/24/18 |  |  |  |  |  |  | 5,587 |  |  |  | 5,540,159 |
2018 Term Loan, 3.70%, 9/24/18 |  |  |  |  |  |  | 1,640 |  |  |  | 1,626,470 |
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |  |  |  |  |  |  | 754 |  |  |  | 719,907 |
SunGard Data Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.94%, 2/28/17 |  |  |  |  |  |  | 705 |  |  |  | 703,766 |
Term Loan E, 4.00%, 3/08/20 |  |  |  |  |  |  | 379 |  |  |  | 378,355 |
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21 |  |  |  |  |  |  | 805 |  |  |  | 804,287 |
|  |  |  |  |  |  |  |  |  |  | 11,225,528 |
Machinery — 0.3% |  |  |  |  |  |  |  |  |  |  |  |
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |  |  |  |  |  |  | 303 |  |  |  | 303,475 |
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |  |  |  |  |  |  | 645 |  |  |  | 637,863 |
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |  |  |  |  |  |  | 795 |  |  |  | 739,851 |
|  |  |  |  |  |  |  |  |  |  | 1,681,189 |
Media — 3.0% |  |  |  |  |  |  |  |  |  |  |  |
Cengage Learning Acquisitions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 3/31/20 |  |  |  |  |  |  | 1,944 |  |  |  | 1,939,807 |
Term Loan, 0.00%, 7/03/16 (a)(b)(e) |  |  |  |  |  |  | 2,005 |  |  |  | — |
Charter Communications Operating LLC, Term Loan I, 3.50%, 1/20/23 (j) |  |  |  |  |  |  | 2,085 |  |  |  | 2,080,309 |
Clear Channel Communications, Inc., Term Loan D, 6.95%, 1/30/19 |  |  |  |  |  |  | 2,563 |  |  |  | 2,258,340 |
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21 |  |  |  |  |  |  | 1,501 |  |  |  | 1,482,438 |
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |  |  |  |  |  |  | 649 |  |  |  | 636,778 |
Media General, Inc., Term Loan B, 4.00%, 7/31/20 |  |  |  |  |  |  | 577 |  |  |  | 576,456 |
Numericable U.S. LLC: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.50%, 5/21/20 |  |  |  |  |  |  | 1,100 |  |  |  | 1,099,111 |
Term Loan B2, 4.50%, 5/21/20 |  |  |  |  |  |  | 952 |  |  |  | 950,881 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 43

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

Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Media (concluded) |  |  |  |  |  |  |  |  |  |  |  |
Tribune Media Co., Term Loan, 3.75%, 12/27/20 |  |  | USD |  |  |  | 1,083 |  |  | $ | 1,077,730 |
TWCC Holding Corp., Extended Term Loan, 5.75%, 2/13/20 |  |  |  |  |  |  | 863 |  |  |  | 855,469 |
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |  |  |  |  |  |  | 2,398 |  |  |  | 2,379,663 |
Virgin Media Investment Holdings Ltd., Term Loan E, 4.25%, 6/30/23 |  |  | GBP |  |  |  | 790 |  |  |  | 1,204,569 |
WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19 |  |  | USD |  |  |  | 1,172 |  |  |  | 1,167,730 |
Ziggo Financing Partnership: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.50%, 1/15/22 |  |  |  |  |  |  | 489 |  |  |  | 481,634 |
Term Loan B2A, 3.50%, 1/15/22 |  |  |  |  |  |  | 333 |  |  |  | 328,520 |
Term Loan B3, 3.50%, 1/15/22 |  |  |  |  |  |  | 548 |  |  |  | 540,297 |
|  |  |  |  |  |  |  |  |  |  | 19,059,732 |
Metals & Mining — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/18/20 |  |  |  |  |  |  | 255 |  |  |  | 172,125 |
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22 |  |  |  |  |  |  | 1,986 |  |  |  | 1,961,707 |
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |  |  |  |  |  |  | 1,031 |  |  |  | 1,030,706 |
|  |  |  |  |  |  |  |  |  |  | 3,164,538 |
Multiline Retail — 0.9% |  |  |  |  |  |  |  |  |  |  |  |
BJ’s Wholesale Club, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 9/26/19 |  |  |  |  |  |  | 581 |  |  |  | 578,095 |
2nd Lien Term Loan, 8.50%, 3/26/20 |  |  |  |  |  |  | 575 |  |  |  | 569,250 |
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22 |  |  |  |  |  |  | 2,332 |  |  |  | 2,331,634 |
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 8/10/22 (j) |  |  |  |  |  |  | 815 |  |  |  | 815,000 |
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |  |  |  |  |  |  | 1,626 |  |  |  | 1,607,074 |
|  |  |  |  |  |  |  |  |  |  | 5,901,053 |
Oil, Gas & Consumable Fuels — 1.3% |  |  |  |  |  |  |  |  |  |  |  |
CITGO Holding Inc., 2015 Term Loan B, 9.50%, 5/12/18 |  |  |  |  |  |  | 1,150 |  |  |  | 1,152,075 |
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |  |  |  |  |  |  | 1,915 |  |  |  | 1,359,893 |
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |  |  |  |  |  |  | 1,127 |  |  |  | 1,066,581 |
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |  |  |  |  |  |  | 179 |  |  |  | 178,564 |
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |  |  |  |  |  |  | 111 |  |  |  | 48,679 |
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |  |  |  |  |  |  | 1,645 |  |  |  | 1,587,425 |
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |  |  |  |  |  |  | 275 |  |  |  | 270,187 |
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |  |  |  |  |  |  | 1,000 |  |  |  | 974,976 |
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |  |  |  |  |  |  | 104 |  |  |  | 88,381 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |  |  |  |  |  |  | 455 |  |  |  | 434,907 |
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |  |  |  |  |  |  | 366 |  |  |  | 303,725 |
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22 |  |  |  |  |  |  | 730 |  |  |  | 728,943 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |  |  |  |  |  |  | 296 |  |  |  | 293,284 |
|  |  |  |  |  |  |  |  |  |  | 8,487,620 |
Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Pharmaceuticals — 2.8% |  |  |  |  |  |  |  |  |  |  |  |
Akorn, Inc., Term Loan B, 5.50%, 4/16/21 |  |  | USD |  |  |  | 1,285 |  |  | $ | 1,283,282 |
Concordia Healthcare Corp., Term Loan B, 4.75%, 4/21/22 |  |  |  |  |  |  | 340 |  |  |  | 340,214 |
Endo Luxembourg Finance Co. I Sarl: |  |  |  |  |  |  |  |  |  |  |  |
2014 Term Loan B, 3.25%, 3/01/21 |  |  |  |  |  |  | 844 |  |  |  | 844,101 |
2015 Term Loan B, 6.00%, 6/11/22 (j) |  |  |  |  |  |  | 1,655 |  |  |  | 1,654,702 |
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.20%, 2/27/21 |  |  |  |  |  |  | 1,329 |  |  |  | 1,325,818 |
Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 4/22/21 |  |  |  |  |  |  | 255 |  |  |  | 254,681 |
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22 |  |  |  |  |  |  | 2,016 |  |  |  | 2,002,552 |
JLL/Delta Dutch Newco BV, 2014 Incremental Term Loan, 4.25%, 3/11/21 |  |  |  |  |  |  | 870 |  |  |  | 859,264 |
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21 |  |  |  |  |  |  | 785 |  |  |  | 778,688 |
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |  |  |  |  |  |  | 1,634 |  |  |  | 1,630,749 |
Valeant Pharmaceuticals International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Series C2 Term Loan B, 3.75%, 12/11/19 |  |  |  |  |  |  | 478 |  |  |  | 475,774 |
Series E Term Loan B, 3.75%, 8/05/20 |  |  |  |  |  |  | 721 |  |  |  | 718,079 |
Series F1 Term Loan B, 4.00%, 4/01/22 |  |  |  |  |  |  | 5,746 |  |  |  | 5,743,891 |
|  |  |  |  |  |  |  |  |  |  | 17,911,795 |
Professional Services — 1.2% |  |  |  |  |  |  |  |  |  |  |  |
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21 |  |  |  |  |  |  | 500 |  |  |  | 494,065 |
Advantage Sales & Marketing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 4.25%, 7/25/21 |  |  |  |  |  |  | 601 |  |  |  | 593,776 |
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |  |  |  |  |  |  | 605 |  |  |  | 586,548 |
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |  |  |  |  |  |  | 605 |  |  |  | 602,110 |
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |  |  |  |  |  |  | 850 |  |  |  | 848,410 |
ON Assignment, Inc., 2015 Term Loan, 3.75%, 5/19/22 |  |  |  |  |  |  | 419 |  |  |  | 417,862 |
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |  |  |  |  |  |  | 1,016 |  |  |  | 1,010,488 |
TransUnion LLC, Term Loan B2, 3.75%, 4/09/21 |  |  |  |  |  |  | 1,560 |  |  |  | 1,547,081 |
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |  |  |  |  |  |  | 1,155 |  |  |  | 1,144,399 |
|  |  |  |  |  |  |  |  |  |  | 7,244,739 |
Real Estate Investment Trusts (REITs) — 0.0% |  |  |  |  |  |  |  |  |
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22 |  |  |  |  |  |  | 255 |  |  |  | 243,446 |
Real Estate Management & Development — 0.8% |  |  |  |  |  |  |  |  |
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |  |  |  |  |  |  | 941 |  |  |  | 938,736 |
DTZ US Borrower LLC, 1st Lien Term Loan: |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 11/04/21 |  |  |  |  |  |  | 1,139 |  |  |  | 1,127,045 |
2015, 4.25%, 8/05/21 (j) |  |  |  |  |  |  | 1,015 |  |  |  | 1,004,008 |
Realogy Corp.: |  |  |  |  |  |  |  |  |  |  |  |
Extended Letter of Credit, 2.13%, 10/10/16 |  |  |  |  |  |  | 47 |  |  |  | 46,501 |
Term Loan B, 3.75%, 3/05/20 |  |  |  |  |  |  | 2,080 |  |  |  | 2,072,047 |
|  |  |  |  |  |  |  |  |  |  | 5,188,337 |

See Notes to Financial Statements.

44 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Floating Rate Loan Interests (d) |  | Par (000) |  |  | Value |
Road & Rail — 0.2% |  |  |  |  |  |  |  |  |  |  |  |
Road Infrastructure Investment LLC: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 3/31/21 |  |  | USD |  |  |  | 494 |  |  | $ | 483,728 |
2nd Lien Term Loan, 7.75%, 9/30/21 |  |  |  |  |  |  | 675 |  |  |  | 631,125 |
|  |  |  |  |  |  |  |  |  |  | 1,114,853 |
Semiconductors & Semiconductor Equipment — 0.4% |  |  |  |  |
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |  |  |  |  |  |  | 1,500 |  |  |  | 1,497,995 |
Freescale Semiconductor, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B4, 4.25%, 3/01/20 |  |  |  |  |  |  | 712 |  |  |  | 711,229 |
Term Loan B5, 5.00%, 1/15/21 |  |  |  |  |  |  | 373 |  |  |  | 373,585 |
|  |  |  |  |  |  |  |  |  |  | 2,582,809 |
Software — 1.6% |
GCA Services Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.25%, 11/01/20 |  |  |  |  |  |  | 560 |  |  |  | 557,200 |
Term Loan B, 4.25%, 11/01/19 |  |  |  |  |  |  | 520 |  |  |  | 517,266 |
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |  |  |  |  |  |  | 1,099 |  |  |  | 1,066,834 |
Informatica Corp., Term Loan, 4.50%, 8/05/22 |  |  |  |  |  |  | 900 |  |  |  | 893,628 |
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |  |  |  |  |  |  | 605 |  |  |  | 490,394 |
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 |  |  |  |  |  |  | 1,837 |  |  |  | 1,865,608 |
Mitchell International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 10/12/20 |  |  |  |  |  |  | 617 |  |  |  | 614,139 |
2nd Lien Term Loan, 8.50%, 10/11/21 |  |  |  |  |  |  | 1,200 |  |  |  | 1,193,496 |
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |  |  |  |  |  |  | 811 |  |  |  | 809,102 |
SS&C Technologies, Inc.: |  |  |  |  |  |  |  |  |  |  |  |
2015 Term Loan B1, 4.00%, 7/08/22 |  |  |  |  |  |  | 1,629 |  |  |  | 1,630,619 |
2015 Term Loan B2, 4.00%, 7/08/22 |  |  |  |  |  |  | 264 |  |  |  | 264,178 |
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |  |  |  |  |  |  | 149 |  |  |  | 148,831 |
|  |  |  |  |  |  |  |  |  |  | 10,051,295 |
Specialty Retail — 0.7% |
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |  |  |  |  |  |  | 689 |  |  |  | 688,936 |
Party City Holdings Inc., 2015 Term Loan B, 4.25%, 7/28/22 |  |  |  |  |  |  | 1,220 |  |  |  | 1,217,719 |
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |  |  |  |  |  |  | 884 |  |  |  | 881,454 |
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22 |  |  |  |  |  |  | 1,880 |  |  |  | 1,876,376 |
|  |  |  |  |  |  |  |  |  |  | 4,664,485 |
Textiles, Apparel & Luxury Goods — 0.2% |
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |  |  |  |  |  |  | 1,234 |  |  |  | 1,091,703 |
Thrifts & Mortgage Finance — 0.1% |
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |  |  |  |  |  |  | 848 |  |  |  | 847,546 |
Trading Companies & Distributors — 0.3% |
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21 |  |  |  |  |  |  | 1,600 |  |  |  | 1,588,672 |
Wireless Telecommunication Services — 0.4% |
Lightsquared LP, Term Loan B, 0.00%, 1/01/16 |  |  |  |  |  |  | 382 |  |  |  | 602,996 |
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/11/20 |  |  |  |  |  |  | 1,519 |  |  |  | 1,509,506 |
|  |  |  |  |  |  |  |  |  |  | 2,112,502 |
Total Floating Rate Loan Interests — 35.9% |  |  |  |  |  |  |  | 226,093,346 |
Non-Agency Mortgage-Backed Securities |  | Par (000) |  |  | Value |
Collateralized Mortgage Obligations — 2.2% |
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |  |  | USD |  |  |  | 4,431 |  |  | $ | 4,193,794 |
Countrywide Home Loan Mortgage Pass-Through Trust: |  |  |  |  |  |  |  |  |  |  |  |
Series 2005-17, Class 1A6, 5.50%, 9/25/35 |  |  |  |  |  |  | 967 |  |  |  | 949,415 |
Series 2006-17, Class A2, 6.00%, 12/25/36 |  |  |  |  |  |  | 2,197 |  |  |  | 2,027,297 |
Series 2007-HY5, Class 3A1, 4.73%, 9/25/37 (d) |  |  |  |  |  |  | 1,641 |  |  |  | 1,502,961 |
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.74%, 10/25/35 (d) |  |  |  |  |  |  | 1,566 |  |  |  | 1,397,032 |
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (c)(d) |  |  |  |  |  |  | 4,162 |  |  |  | 4,175,040 |
|  |  |  |  |  |  |  |  |  |  | 14,245,539 |
Commercial Mortgage-Backed Securities — 11.1% |
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.93%, 2/10/51 (d) |  |  |  |  |  |  | 1,498 |  |  |  | 1,595,831 |
Bank of America Merrill Lynch Commercial Mortgage Securities Trust, 3.72%, 4/14/33 (c)(d) |  |  |  |  |  |  | 5,310 |  |  |  | 5,197,131 |
Citigroup Commercial Mortgage Trust 2015-SSHP, Series 2015-SSHP, Class D, 3.25%, 9/15/17 (c)(d) |  |  |  |  |  |  | 2,825 |  |  |  | 2,826,302 |
COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (c) |  |  |  |  |  |  | 5,930 |  |  |  | 5,829,148 |
COMM 2015-CCRE22 Mortgage Trust, Series 2015-CR22, Class B, 3.93%, 3/10/48 |  |  |  |  |  |  | 5,000 |  |  |  | 4,909,565 |
Commercial Mortgage Loan Trust, Series 2015-LC21, Class XA, 1.04%, 7/10/48 (d) |  |  |  |  |  |  | 16,263 |  |  |  | 888,660 |
Commercial Mortgage Pass-Through Certificates (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Series 2013-LC13, Class D, 5.21%, 8/10/46 |  |  |  |  |  |  | 3,530 |  |  |  | 3,506,165 |
Series 2014-KYO, Class F, 3.69%, 6/11/27 |  |  |  |  |  |  | 1,855 |  |  |  | 1,842,994 |
Series 2014-PAT, Class E, 3.34%, 8/13/27 |  |  |  |  |  |  | 1,000 |  |  |  | 989,426 |
Series 2014-PAT, Class F, 2.63%, 8/13/27 |  |  |  |  |  |  | 2,000 |  |  |  | 1,908,764 |
Commercial Mortgage Trust, Series 2013-LC6: |  |  |  |  |  |  |  |  |  |  |  |
Class B, 3.74%, 1/10/46 |  |  |  |  |  |  | 1,110 |  |  |  | 1,124,406 |
Class D, 4.43%, 1/10/46 (c)(d) |  |  |  |  |  |  | 1,330 |  |  |  | 1,252,468 |
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39 |  |  |  |  |  |  | 1,850 |  |  |  | 1,925,484 |
Core Industrial Trust 2015-TEXW, Series 2015-TEXW, Class D, 3.98%, 2/10/34 (c)(d) |  |  |  |  |  |  | 3,615 |  |  |  | 3,581,764 |
Credit Suisse Mortgage Capital Certificates (d): |  |  |  |  |  |  |  |  |  |  |  |
Series 2007-C2, Class A2, 5.45%, 1/15/49 |  |  |  |  |  |  | 5 |  |  |  | 5,006 |
Series 2007-C5, Class AAB, 5.62%, 9/15/40 |  |  |  |  |  |  | 657 |  |  |  | 673,145 |
CSAIL 2015-C1 Commercial Mortgage Trust, Series 2015-C1, Class B, 4.04%, 4/15/50 |  |  |  |  |  |  | 890 |  |  |  | 892,601 |
GAHR Commericial Mortgage Trust 2015-NRF, Series 2015-NRF, (c)(d): |  |  |  |  |  |  |  |  |  |  |  |
Class D, 3.98%, 2/10/34 |  |  |  |  |  |  | 2,500 |  |  |  | 2,252,485 |
Class DFX, 3.49%, 12/15/19 |  |  |  |  |  |  | 4,830 |  |  |  | 4,703,290 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 45

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

Non-Agency Mortgage-Backed Securities |  | Par (000) |  |  | Value |
Commercial Mortgage-Backed Securities (concluded) |
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 6.01%, 7/10/38 (d) |  |  | USD |  |  |  | 1,610 |  |  | $ | 1,652,377 |
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c) |  |  |  |  |  |  | 1,995 |  |  |  | 1,993,195 |
GS Mortgage Securities Trust, Series 2014-GSFL, Class D, 4.10%, 7/15/31 (c)(d) |  |  |  |  |  |  | 1,140 |  |  |  | 1,131,165 |
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.25%, 11/15/45 (c)(d) |  |  |  |  |  |  | 1,400 |  |  |  | 1,355,465 |
JPMorgan Chase Commercial Mortgage Securities Corp.: |  |  |  |  |  |  |  |  |  |  |  |
Series 2004-LN2, Class A2, 5.12%, 7/15/41 |  |  |  |  |  |  | 94 |  |  |  | 93,681 |
Series 2007-CB19, Class A4, 5.88%, 2/12/49 (d) |  |  |  |  |  |  | 2,127 |  |  |  | 2,240,721 |
Series 2012-LC9, Class XA, 2.02%, 12/15/47 (d) |  |  |  |  |  |  | 14,400 |  |  |  | 1,203,392 |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18, Class A4, 5.44%, 6/12/47 |  |  |  |  |  |  | 1,986 |  |  |  | 2,067,094 |
LB-UBS Commercial Mortgage Trust (d): |  |  |  |  |  |  |  |  |  |  |  |
Series 2007-C2, Class AM, 5.49%, 2/15/40 (f) |  |  |  |  |  |  | 2,500 |  |  |  | 2,613,525 |
Series 2007-C6, Class A4, 5.86%, 7/15/40 |  |  |  |  |  |  | 3,735 |  |  |  | 3,893,733 |
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 6.03%, 6/12/50 (d) |  |  |  |  |  |  | 1,389 |  |  |  | 1,443,851 |
Talisman Finance PLC, Series 6, Class A, 0.16%, 10/22/16 (d) |  |  | EUR |  |  |  | 51 |  |  |  | 56,952 |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 6.15%, 2/15/51 (d) |  |  | USD |  |  |  | 1,948 |  |  |  | 2,036,223 |
WF-RBS Commercial Mortgage Trust: |  |  |  |  |  |  |  |  |  |  |  |
Series 2012-C8, Class B, 4.31%, 8/15/45 |  |  |  |  |  |  | 1,085 |  |  |  | 1,131,965 |
Series 2012-C8, Class C, 5.04%, 8/15/45 (d) |  |  |  |  |  |  | 1,395 |  |  |  | 1,466,452 |
|  |  |  |  |  |  |  |  |  |  | 70,284,426 |
Interest Only Commercial Mortgage-Backed Securities — 0.2% |
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA, 1.38%, 5/15/47 (d) |  |  |  |  |  |  | 14,761 |  |  |  | 1,011,996 |
Total Non-Agency Mortgage-Backed Securities — 13.5% |  |  |  | 85,541,961 |
U.S. Government Sponsored Agency Securities |
Interest Only Collateralized Mortgage Obligations — 1.1% |
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.20%, 12/25/17 (d) |  |  |  |  |  |  | 17,619 |  |  |  | 1,204,391 |
Freddie Mac Mortgage-Backed Securities, Class X1 (d): |  |  |  |  |  |  |  |  |  |  |  |
Series K042, 1.19%, 12/25/24 |  |  |  |  |  |  | 35,020 |  |  |  | 2,782,055 |
Series K707, 1.68%, 12/25/18 |  |  |  |  |  |  | 41,921 |  |  |  | 1,848,045 |
Series K710, 1.90%, 5/25/19 |  |  |  |  |  |  | 13,046 |  |  |  | 724,134 |
|  |  |  |  |  |  |  |  |  |  | 6,558,625 |
U.S. Government Sponsored Agency Securities |  | Par (000) |  |  | Value |
Mortgage-Backed Securities — 0.6% |
Fannie Mae Mortgage-Backed Securities, 5.00%, 7/1/20 - 8/1/23 |  |  | USD |  |  |  | 3,719 |  |  | $ | 3,888,918 |
Total U.S. Government Sponsored Agency Securities — 1.7% |  |  |  | 10,447,543 |
Other Interests (k) |  |  |  |  | Beneficial Interest (000) |  |  |  |
Auto Components — 0.0% |
Lear Corp. Escrow |  |  |  |  |  |  | 1,000 |  |  |  | 8,750 |
Construction Materials — 0.0% |
USI Senior Holdings |  |  |  |  |  |  | 6 |  |  |  | 135,533 |
Total Other Interests — 0.0% |  |  |  |  |  |  |  | 144,283 |
Preferred Securities |  |  |  |  |  |  |  |  |
Capital Trusts |  | Par (000) |  |  |  |
Banks — 2.3% |  |  |  |  |  |  |  |  |  |  |  |
Bank of America Corp., Series X, 6.25% (d)(f)(h) |  |  |  |  |  |  | 1,929 |  |  |  | 1,909,710 |
Capital One Financial Corp., Series E, 5.55% (d)(f)(h) |  |  |  |  |  |  | 3,000 |  |  |  | 2,980,320 |
JPMorgan Chase & Co., Series U, 6.13% (d)(f)(h) |  |  |  |  |  |  | 6,690 |  |  |  | 6,690,000 |
Wells Fargo & Co., Series S, 5.90% (d)(f)(h) |  |  |  |  |  |  | 3,000 |  |  |  | 3,011,250 |
|  |  |  |  |  |  |  |  |  |  | 14,591,280 |
Capital Markets — 0.7% |
Credit Suisse Group AG, 6.25% (c)(d)(f)(h) |  |  |  |  |  |  | 1,445 |  |  |  | 1,387,200 |
Morgan Stanley, Series H, 5.45% (d)(f)(h) |  |  |  |  |  |  | 1,426 |  |  |  | 1,415,305 |
State Street Corp., Series F, 5.25% (d)(f)(h) |  |  |  |  |  |  | 1,625 |  |  |  | 1,627,031 |
UBS Group AG, 5.75% (d)(h) |  |  |  |  |  |  | 200 |  |  |  | 232,090 |
|  |  |  |  |  |  |  |  |  |  | 4,661,626 |
Diversified Financial Services — 2.7% |
Bank of America Corp., Series AA, 6.10% (d)(f)(h) |  |  |  |  |  |  | 1,241 |  |  |  | 1,211,526 |
Bank of America Corp., Series U, 5.20% (d)(f)(h) |  |  |  |  |  |  | 1,250 |  |  |  | 1,180,313 |
Citigroup, Inc., 5.90% (d)(f)(h) |  |  |  |  |  |  | 5,000 |  |  |  | 4,912,500 |
JPMorgan Chase & Co., Series V, 5.00% (d)(f)(h) |  |  |  |  |  |  | 3,000 |  |  |  | 2,925,000 |
Macquarie Bank Ltd., 10.25%, 6/20/57 (d) |  |  |  |  |  |  | 1,450 |  |  |  | 1,577,633 |
Orange SA, 4.00% (d)(h) |  |  |  |  |  |  | 200 |  |  |  | 231,305 |
Societe Generale SA, 6.00% (c)(d)(f)(h) |  |  |  |  |  |  | 4,825 |  |  |  | 4,553,825 |
Telefonica Europe BV, 4.20% (d)(h) |  |  |  |  |  |  | 200 |  |  |  | 227,965 |
|  |  |  |  |  |  |  |  |  |  | 16,820,067 |
Insurance — 2.9% |
AXA SA, 6.46% (c)(d)(f)(h) |  |  |  |  |  |  | 1,031 |  |  |  | 1,058,064 |
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (d)(f) |  |  |  |  |  |  | 2,500 |  |  |  | 2,793,750 |
Liberty Mutual Group, Inc., 7.00%, 3/07/67 (c)(d)(f) |  |  |  |  |  |  | 1,575 |  |  |  | 1,515,937 |
7.80%, 3/07/87 (c)(f) |  |  |  |  |  |  | 1,500 |  |  |  | 1,747,500 |
Metlife, Inc., 5.25% (d)(f)(h) |  |  |  |  |  |  | 1,600 |  |  |  | 1,592,000 |
Prudential Financial, Inc., 5.63%, 6/15/43 (d)(f) |  |  |  |  |  |  | 3,250 |  |  |  | 3,336,125 |

See Notes to Financial Statements.

46 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Capital Trust |  | Par (000) |  |  | Value |
Insurance (concluded) |
Swiss Re Capital I LP, 6.85% (c)(d)(f)(h) |  |  | USD |  |  |  | 2,410 |  |  | $ | 2,458,200 |
Voya Financial, Inc., 5.65%, 5/15/53 (d)(f) |  |  |  |  |  |  | 3,500 |  |  |  | 3,535,000 |
|  |  |  |  |  |  |  |  |  |  | 18,036,576 |
Total Capital Trusts — 8.6% |  |  |  |  |  |  |  |  |  |  | 54,109,549 |
Preferred Stocks |  | Shares |  |  |  |
Capital Markets — 1.4% |  |  |  |  |  |  |  |  |  |  |  |
CF-B L2 (D) LLC, 0.00% (Acquired 4/08/15, cost $111,497) (l) |  |  |  |  |  |  | 111,497 |  |  |  | 112,143 |
The Goldman Sachs Group, Inc., Series J, 5.50% (d)(h) |  |  |  |  |  |  | 202,526 |  |  |  | 4,986,190 |
Morgan Stanley, 6.88% (d)(h) |  |  |  |  |  |  | 120,000 |  |  |  | 3,250,800 |
SCE Trust III, 5.75% (d)(h) |  |  |  |  |  |  | 21,200 |  |  |  | 574,944 |
|  |  |  |  |  |  |  |  |  |  | 8,924,077 |
Consumer Finance — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc., Series A, 8.50% (d)(h) |  |  |  |  |  |  | 3,610 |  |  |  | 93,860 |
Total Preferred Stocks — 1.4% |  |  |  |  |  |  |  |  |  |  | 9,017,937 |
Trust Preferred |  |  |  |  |  |
Diversified Financial Services — 0.4% |  |  |  |  |  |  |  |  |  |  |  |
GMAC Capital Trust I, Series 2, 2/15/40, 8.13% (d) |  |  |  |  |  |  | 105,753 |  |  |  | 2,690,327 |
Total Preferred Securities — 10.4% |  |  |  |  |  |  |  |  |  |  | 65,817,813 |
Warrants |  | Shares |  |  | Value |
Software — 0.0% |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) |  |  |  |  | 3,100 |  |  | $ | 26,648 |
Total Long-Term Investments (Cost — $892,660,047) — 139.2% |  |  |  |  |  |  |  |  | 877,591,069 |
Short-Term Securities |  |  |  |  |  |
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (m)(n) |  |  |  |  | 5,757,976 |  |  |  | 5,757,976 |
Total Short-Term Securities (Cost — $5,757,976) — 0.9% |  |  |  | 5,757,976 |
Options Purchased (Cost — $44,978) — 0.0% |  |  |  | — |
Total Investments (Cost — $898,463,001) — 140.1% |  |  |  | 883,349,045 |
Liabilities in Excess of Other Assets — (40.1)% |  |  |  | (252,961,010 | )
Net Assets — 100.0% |  |  | $ | 630,388,035 |

Notes to Schedule of Investments

(a) |  | Non-income producing security.

(b) |  | Issuer filed for bankruptcy and/or is in default of interest payments.

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

(d) |  | Variable rate security. Rate shown is as of report date.

(e) |  | Zero-coupon bond.

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

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

(h) |  | Security is perpetual in nature and has no stated maturity date.

(i) |  | Convertible security.

(j) |  | When-issued security.

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

(l) |  | Restricted security as to resale, excluding 144A securities. As of report date, the Trust held restricted securities with a current value of $112,143 and an original cost of $111,497 which was 0.02% of its net assets.

(m) |  | During the year ended August 31, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate |  | Shares Held at August 31, 2014 |  |  | Net Activity |  |  | Shares Held at August 31, 2015 |  |  | Income |
BlackRock Liquidity Funds, TempFund, Institutional Class |  |  | 7,390,390 |  |  |  | (1,632,414 | ) |  |  | 5,757,976 |  |  | $ | 2,697 |

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

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 47

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

As of August 31, 2015, reverse repurchase agreements outstanding were as follows:

Counterparty |  | Interest Rate |  |  | Trade Date |  |  | Maturity Date1 |  |  | Face Value |  |  | Face Value Including Accrued Interest |
Barclays Capital, Inc. |  |  | 0.35 | % |  |  | 2/28/14 |  |  |  | Open |  |  | $ | 3,109,000 |  |  | $ | 3,125,625 |
Barclays Capital, Inc. |  |  | 0.35 | % |  |  | 2/28/14 |  |  |  | Open |  |  |  | 3,202,000 |  |  |  | 3,219,269 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 4/17/14 |  |  |  | Open |  |  |  | 502,000 |  |  |  | 506,167 |
UBS Securities LLC |  |  | (0.50 | %) |  |  | 5/13/14 |  |  |  | Open |  |  |  | 980,000 |  |  |  | 973,535 |
UBS Securities LLC |  |  | 0.45 | % |  |  | 5/13/14 |  |  |  | Open |  |  |  | 811,000 |  |  |  | 815,815 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 5/13/14 |  |  |  | Open |  |  |  | 2,326,000 |  |  |  | 2,342,884 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 5/13/14 |  |  |  | Open |  |  |  | 788,000 |  |  |  | 793,718 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 7/02/14 |  |  |  | Open |  |  |  | 1,288,000 |  |  |  | 1,296,850 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 7/15/14 |  |  |  | Open |  |  |  | 1,208,000 |  |  |  | 1,216,315 |
Barclays Capital, Inc. |  |  | 0.44 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 1,061,000 |  |  |  | 1,065,513 |
Barclays Capital, Inc. |  |  | 0.55 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 1,278,000 |  |  |  | 1,284,795 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 489,000 |  |  |  | 491,836 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 1,242,000 |  |  |  | 1,249,204 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 941,000 |  |  |  | 946,458 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 658,000 |  |  |  | 661,816 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 9/17/14 |  |  |  | Open |  |  |  | 716,000 |  |  |  | 720,153 |
UBS Securities LLC |  |  | 0.48 | % |  |  | 9/22/14 |  |  |  | Open |  |  |  | 2,610,000 |  |  |  | 2,621,936 |
UBS Securities LLC |  |  | 0.50 | % |  |  | 9/22/14 |  |  |  | Open |  |  |  | 4,400,000 |  |  |  | 4,420,961 |
UBS Securities LLC |  |  | 0.50 | % |  |  | 9/22/14 |  |  |  | Open |  |  |  | 4,071,094 |  |  |  | 4,090,488 |
UBS Securities LLC |  |  | 0.50 | % |  |  | 12/09/14 |  |  |  | Open |  |  |  | 1,878,000 |  |  |  | 1,885,603 |
UBS Securities LLC |  |  | 0.50 | % |  |  | 12/09/14 |  |  |  | Open |  |  |  | 2,160,000 |  |  |  | 2,168,745 |
UBS Securities LLC |  |  | 0.50 | % |  |  | 12/09/14 |  |  |  | Open |  |  |  | 2,035,000 |  |  |  | 2,043,239 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 12/09/14 |  |  |  | Open |  |  |  | 1,580,000 |  |  |  | 1,586,397 |
UBS Securities LLC |  |  | 0.65 | % |  |  | 12/09/14 |  |  |  | Open |  |  |  | 294,334 |  |  |  | 294,514 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 344,000 |  |  |  | 345,473 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 456,000 |  |  |  | 457,953 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 138,000 |  |  |  | 138,591 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 1,344,000 |  |  |  | 1,349,757 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 384,000 |  |  |  | 385,645 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 397,000 |  |  |  | 398,700 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 521,000 |  |  |  | 523,232 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 79,000 |  |  |  | 79,338 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 473,000 |  |  |  | 475,026 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 122,000 |  |  |  | 122,523 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 488,000 |  |  |  | 490,090 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/17/14 |  |  |  | Open |  |  |  | 541,000 |  |  |  | 543,317 |
UBS Securities LLC |  |  | 0.40 | % |  |  | 12/18/14 |  |  |  | Open |  |  |  | 2,857,500 |  |  |  | 2,865,660 |
UBS Securities LLC |  |  | 0.50 | % |  |  | 12/18/14 |  |  |  | Open |  |  |  | 1,234,955 |  |  |  | 1,239,363 |
Credit Suisse Securities (USA) LLC |  |  | 0.40 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 1,309,000 |  |  |  | 1,313,600 |
Credit Suisse Securities (USA) LLC |  |  | 0.40 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 5,929,000 |  |  |  | 5,949,834 |
Credit Suisse Securities (USA) LLC |  |  | 0.50 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 1,426,000 |  |  |  | 1,431,011 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 576,105 |  |  |  | 577,833 |
UBS Securities LLC |  |  | 0.60 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 1,050,975 |  |  |  | 1,055,459 |
UBS Securities LLC |  |  | 0.60 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 845,813 |  |  |  | 849,421 |
UBS Securities LLC |  |  | 0.65 | % |  |  | 12/19/14 |  |  |  | Open |  |  |  | 1,031,835 |  |  |  | 1,036,604 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 1/06/15 |  |  |  | Open |  |  |  | 427,000 |  |  |  | 428,694 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 1/13/15 |  |  |  | Open |  |  |  | 1,523,000 |  |  |  | 1,528,864 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 2/04/15 |  |  |  | Open |  |  |  | 495,000 |  |  |  | 496,724 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 2/06/15 |  |  |  | Open |  |  |  | 959,669 |  |  |  | 962,704 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 2/11/15 |  |  |  | Open |  |  |  | 642,000 |  |  |  | 644,161 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 2/25/15 |  |  |  | Open |  |  |  | 655,785 |  |  |  | 657,669 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 2/25/15 |  |  |  | Open |  |  |  | 712,215 |  |  |  | 714,261 |
RBC Capital Markets LLC |  |  | (1.00 | %) |  |  | 3/03/15 |  |  |  | Open |  |  |  | 240,248 |  |  |  | 239,033 |
HSBC Securities (USA), Inc. |  |  | 0.40 | % |  |  | 3/19/15 |  |  |  | Open |  |  |  | 1,467,857 |  |  |  | 1,470,565 |
HSBC Securities (USA), Inc. |  |  | 0.40 | % |  |  | 3/19/15 |  |  |  | Open |  |  |  | 3,445,714 |  |  |  | 3,452,070 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/23/15 |  |  |  | Open |  |  |  | 520,000 |  |  |  | 521,404 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,579,000 |  |  |  | 1,583,184 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 742,000 |  |  |  | 743,966 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,246,000 |  |  |  | 1,249,302 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 941,000 |  |  |  | 943,494 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 824,000 |  |  |  | 826,184 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,019,000 |  |  |  | 1,021,700 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,005,000 |  |  |  | 1,007,663 |

See Notes to Financial Statements.

48 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

As of August 31, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty |  | Interest Rate |  |  | Trade Date |  |  | Maturity Date1 |  |  | Face Value |  |  | Face Value Including Accrued Interest |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  | $ | 821,000 |  |  | $ | 823,176 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,495,000 |  |  |  | 1,498,962 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 783,000 |  |  |  | 785,075 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,444,000 |  |  |  | 1,447,827 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,085,000 |  |  |  | 1,087,875 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,541,000 |  |  |  | 1,545,084 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,585,000 |  |  |  | 1,589,200 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 710,000 |  |  |  | 711,882 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,139,000 |  |  |  | 1,142,018 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 795,000 |  |  |  | 797,107 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 768,000 |  |  |  | 770,035 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 967,000 |  |  |  | 969,563 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 645,000 |  |  |  | 646,709 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 2,113,000 |  |  |  | 2,118,599 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,979,000 |  |  |  | 1,984,244 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 962,000 |  |  |  | 964,549 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,377,000 |  |  |  | 1,380,649 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 901,000 |  |  |  | 903,388 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 1,082,000 |  |  |  | 1,084,867 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 708,000 |  |  |  | 709,876 |
HSBC Securities (USA), Inc. |  |  | 0.40 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 818,594 |  |  |  | 820,049 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 3/25/15 |  |  |  | Open |  |  |  | 2,361,600 |  |  |  | 2,365,693 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 3/26/15 |  |  |  | Open |  |  |  | 599,400 |  |  |  | 601,373 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 3/26/15 |  |  |  | Open |  |  |  | 987,188 |  |  |  | 990,437 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 3/26/15 |  |  |  | Open |  |  |  | 836,913 |  |  |  | 839,667 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 3/26/15 |  |  |  | Open |  |  |  | 695,460 |  |  |  | 697,749 |
UBS Securities LLC |  |  | 0.65 | % |  |  | 3/27/15 |  |  |  | Open |  |  |  | 1,956,503 |  |  |  | 1,962,084 |
UBS Securities LLC |  |  | 0.65 | % |  |  | 3/27/15 |  |  |  | Open |  |  |  | 2,542,594 |  |  |  | 2,549,847 |
UBS Securities LLC |  |  | 0.65 | % |  |  | 3/27/15 |  |  |  | Open |  |  |  | 675,101 |  |  |  | 677,027 |
UBS Securities LLC |  |  | 0.65 | % |  |  | 3/27/15 |  |  |  | Open |  |  |  | 739,935 |  |  |  | 742,046 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 692,000 |  |  |  | 693,628 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 2,457,000 |  |  |  | 2,462,781 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 1,660,000 |  |  |  | 1,663,906 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 2,224,000 |  |  |  | 2,229,233 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 975,000 |  |  |  | 977,294 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 702,000 |  |  |  | 703,652 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 525,000 |  |  |  | 526,235 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 579,000 |  |  |  | 580,362 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 357,000 |  |  |  | 357,840 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 517,000 |  |  |  | 518,216 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 816,000 |  |  |  | 817,920 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 2,478,000 |  |  |  | 2,483,830 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 3,487,000 |  |  |  | 3,495,204 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 330,000 |  |  |  | 330,776 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 161,000 |  |  |  | 161,379 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 816,000 |  |  |  | 817,920 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 833,000 |  |  |  | 835,138 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 853,000 |  |  |  | 855,189 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 923,000 |  |  |  | 925,369 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 966,000 |  |  |  | 968,479 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 2,703,000 |  |  |  | 2,709,938 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 1,288,000 |  |  |  | 1,291,306 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 355,000 |  |  |  | 355,911 |
HSBC Securities (USA), Inc. |  |  | 0.65 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 702,000 |  |  |  | 703,952 |
HSBC Securities (USA), Inc. |  |  | 0.65 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 632,000 |  |  |  | 633,757 |
HSBC Securities (USA), Inc. |  |  | 0.65 | % |  |  | 3/30/15 |  |  |  | Open |  |  |  | 960,000 |  |  |  | 962,669 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 3/31/15 |  |  |  | Open |  |  |  | 2,857,000 |  |  |  | 2,863,722 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 4/01/15 |  |  |  | Open |  |  |  | 591,874 |  |  |  | 593,257 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 4/02/15 |  |  |  | Open |  |  |  | 595,920 |  |  |  | 597,430 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 4/06/15 |  |  |  | Open |  |  |  | 1,244,000 |  |  |  | 1,253,558 |
Barclays Capital, Inc. |  |  | 0.60 | % |  |  | 4/06/15 |  |  |  | Open |  |  |  | 567,720 |  |  |  | 569,120 |
RBC Capital Markets LLC |  |  | 0.50 | % |  |  | 4/08/15 |  |  |  | Open |  |  |  | 427,455 |  |  |  | 428,322 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/08/15 |  |  |  | Open |  |  |  | 376,125 |  |  |  | 377,269 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 49

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

As of August 31, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty |  | Interest Rate |  |  | Trade Date |  |  | Maturity Date1 |  |  | Face Value |  |  | Face Value Including Accrued Interest |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/08/15 |  |  |  | Open |  |  | $ | 486,850 |  |  | $ | 488,331 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 4/08/15 |  |  |  | Open |  |  |  | 471,263 |  |  |  | 472,314 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 4/09/15 |  |  |  | Open |  |  |  | 674,725 |  |  |  | 676,220 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 4/09/15 |  |  |  | Open |  |  |  | 469,676 |  |  |  | 470,717 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 4/09/15 |  |  |  | Open |  |  |  | 612,893 |  |  |  | 614,250 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 4/09/15 |  |  |  | Open |  |  |  | 628,215 |  |  |  | 629,607 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 4/10/15 |  |  |  | Open |  |  |  | 1,845,304 |  |  |  | 1,849,363 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 4/17/15 |  |  |  | Open |  |  |  | 1,750,000 |  |  |  | 1,754,662 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 4/17/15 |  |  |  | Open |  |  |  | 646,000 |  |  |  | 647,721 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 4/17/15 |  |  |  | Open |  |  |  | 473,000 |  |  |  | 474,260 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 4/22/15 |  |  |  | Open |  |  |  | 1,095,000 |  |  |  | 1,097,811 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 4/22/15 |  |  |  | Open |  |  |  | 1,743,700 |  |  |  | 1,746,193 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 4/22/15 |  |  |  | Open |  |  |  | 422,470 |  |  |  | 423,477 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 4/22/15 |  |  |  | Open |  |  |  | 521,875 |  |  |  | 523,119 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 4/22/15 |  |  |  | Open |  |  |  | 417,490 |  |  |  | 418,485 |
Deutsche Bank Securities, Inc. |  |  | 0.65 | % |  |  | 4/23/15 |  |  |  | Open |  |  |  | 2,148,000 |  |  |  | 2,153,081 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 4/23/15 |  |  |  | Open |  |  |  | 1,489,000 |  |  |  | 1,492,793 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/23/15 |  |  |  | Open |  |  |  | 807,570 |  |  |  | 809,774 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/23/15 |  |  |  | Open |  |  |  | 786,050 |  |  |  | 788,195 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/23/15 |  |  |  | Open |  |  |  | 544,800 |  |  |  | 546,287 |
Barclays Capital, Inc. |  |  | (3.00 | %) |  |  | 4/24/15 |  |  |  | Open |  |  |  | 593,206 |  |  |  | 586,780 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/27/15 |  |  |  | Open |  |  |  | 785,400 |  |  |  | 787,478 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 4/27/15 |  |  |  | Open |  |  |  | 1,310,950 |  |  |  | 1,314,419 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 4/28/15 |  |  |  | Open |  |  |  | 618,000 |  |  |  | 619,298 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 4/28/15 |  |  |  | Open |  |  |  | 1,315,000 |  |  |  | 1,317,762 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 5/01/15 |  |  |  | Open |  |  |  | 623,351 |  |  |  | 624,522 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 5/01/15 |  |  |  | Open |  |  |  | 558,090 |  |  |  | 559,329 |
RBC Capital Markets LLC |  |  | 0.70 | % |  |  | 5/01/15 |  |  |  | Open |  |  |  | 1,061,570 |  |  |  | 1,064,109 |
RBC Capital Markets LLC |  |  | 0.70 | % |  |  | 5/01/15 |  |  |  | Open |  |  |  | 1,216,800 |  |  |  | 1,219,710 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 5/06/15 |  |  |  | Open |  |  |  | 678,283 |  |  |  | 679,616 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 5/06/15 |  |  |  | Open |  |  |  | 1,392,000 |  |  |  | 1,394,738 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 5/07/15 |  |  |  | Open |  |  |  | 1,029,233 |  |  |  | 1,031,741 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 5/07/15 |  |  |  | Open |  |  |  | 688,875 |  |  |  | 690,554 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 5/13/15 |  |  |  | Open |  |  |  | 550,586 |  |  |  | 551,690 |
Credit Suisse Securities (USA) LLC |  |  | (0.25 | %) |  |  | 5/14/15 |  |  |  | Open |  |  |  | 185,513 |  |  |  | 185,443 |
Credit Suisse Securities (USA) LLC |  |  | 0.50 | % |  |  | 5/14/15 |  |  |  | Open |  |  |  | 907,156 |  |  |  | 908,542 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 5/14/15 |  |  |  | Open |  |  |  | 1,170,300 |  |  |  | 1,171,695 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 5/14/15 |  |  |  | Open |  |  |  | 1,870,000 |  |  |  | 1,872,228 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 5/15/15 |  |  |  | Open |  |  |  | 653,300 |  |  |  | 654,071 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 2,696,000 |  |  |  | 2,701,399 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 1,443,000 |  |  |  | 1,445,890 |
HSBC Securities (USA), Inc. |  |  | 0.40 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 2,815,625 |  |  |  | 2,818,847 |
HSBC Securities (USA), Inc. |  |  | 0.60 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 6,447,488 |  |  |  | 6,458,545 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 392,625 |  |  |  | 393,468 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 1,130,900 |  |  |  | 1,133,327 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 5/21/15 |  |  |  | Open |  |  |  | 616,070 |  |  |  | 617,392 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 5/26/15 |  |  |  | Open |  |  |  | 777,750 |  |  |  | 779,020 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 5/26/15 |  |  |  | Open |  |  |  | 266,288 |  |  |  | 266,686 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 5/28/15 |  |  |  | Open |  |  |  | 671,709 |  |  |  | 672,694 |
RBC Capital Markets LLC |  |  | 0.70 | % |  |  | 5/29/15 |  |  |  | Open |  |  |  | 506,150 |  |  |  | 507,085 |
Deutsche Bank Securities, Inc. |  |  | 0.75 | % |  |  | 6/01/15 |  |  |  | Open |  |  |  | 1,446,000 |  |  |  | 1,448,772 |
RBC Capital Markets LLC |  |  | 0.70 | % |  |  | 6/01/15 |  |  |  | Open |  |  |  | 1,083,600 |  |  |  | 1,085,538 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 6/02/15 |  |  |  | Open |  |  |  | 1,610,000 |  |  |  | 1,612,415 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 6/02/15 |  |  |  | Open |  |  |  | 542,000 |  |  |  | 542,813 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 6/02/15 |  |  |  | Open |  |  |  | 925,000 |  |  |  | 926,388 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 6/02/15 |  |  |  | Open |  |  |  | 1,354,000 |  |  |  | 1,356,031 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 6/04/15 |  |  |  | Open |  |  |  | 506,550 |  |  |  | 507,479 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 6/10/15 |  |  |  | Open |  |  |  | 747,000 |  |  |  | 748,090 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 6/10/15 |  |  |  | Open |  |  |  | 565,000 |  |  |  | 565,825 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 6/10/15 |  |  |  | Open |  |  |  | 836,000 |  |  |  | 837,126 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 6/10/15 |  |  |  | Open |  |  |  | 768,750 |  |  |  | 769,441 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 6/10/15 |  |  |  | Open |  |  |  | 968,000 |  |  |  | 968,860 |
RBC Capital Markets LLC |  |  | 0.50 | % |  |  | 6/10/15 |  |  |  | Open |  |  |  | 331,000 |  |  |  | 331,377 |

See Notes to Financial Statements.

50 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

As of August 31, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty |  | Interest Rate |  |  | Trade Date |  |  | Maturity Date1 |  |  | Face Value |  |  | Face Value Including Accrued Interest |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 6/10/15 |  |  |  | Open |  |  | $ | 2,865,000 |  |  | $ | 2,869,242 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 6/11/15 |  |  |  | Open |  |  |  | 370,650 |  |  |  | 371,199 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 6/11/15 |  |  |  | Open |  |  |  | 397,575 |  |  |  | 398,164 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 6/11/15 |  |  |  | Open |  |  |  | 507,450 |  |  |  | 508,201 |
BNP Paribas Securities Corp. |  |  | 0.42 | % |  |  | 6/12/15 |  |  |  | Open |  |  |  | 707,000 |  |  |  | 707,700 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 6/12/15 |  |  |  | Open |  |  |  | 570,000 |  |  |  | 570,885 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 6/12/15 |  |  |  | Open |  |  |  | 1,031,000 |  |  |  | 1,032,392 |
RBC Capital Markets LLC |  |  | (1.00 | %) |  |  | 6/16/15 |  |  |  | Open |  |  |  | 221,160 |  |  |  | 220,687 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 6/18/15 |  |  |  | Open |  |  |  | 452,358 |  |  |  | 452,877 |
UBS Securities LLC |  |  | 0.55 | % |  |  | 6/18/15 |  |  |  | Open |  |  |  | 307,605 |  |  |  | 307,958 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 6/19/15 |  |  |  | Open |  |  |  | 632,653 |  |  |  | 633,433 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 6/23/15 |  |  |  | Open |  |  |  | 747,000 |  |  |  | 747,799 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 6/30/15 |  |  |  | Open |  |  |  | 1,166,000 |  |  |  | 1,167,104 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 2,764,000 |  |  |  | 2,766,856 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 1,342,000 |  |  |  | 1,343,618 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 446,000 |  |  |  | 446,538 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 733,000 |  |  |  | 733,884 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 899,000 |  |  |  | 900,084 |
HSBC Securities (USA), Inc. |  |  | 0.70 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 1,623,000 |  |  |  | 1,624,957 |
RBC Capital Markets LLC |  |  | 0.50 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 99,000 |  |  |  | 99,085 |
RBC Capital Markets LLC |  |  | 0.50 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 82,000 |  |  |  | 82,071 |
RBC Capital Markets LLC |  |  | 0.50 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 102,000 |  |  |  | 102,088 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 188,000 |  |  |  | 188,243 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 373,000 |  |  |  | 373,482 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 240,000 |  |  |  | 240,310 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 422,000 |  |  |  | 422,545 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 273,000 |  |  |  | 273,353 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 267,000 |  |  |  | 267,345 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 191,000 |  |  |  | 191,247 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 233,000 |  |  |  | 233,301 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 465,000 |  |  |  | 465,601 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 190,000 |  |  |  | 190,245 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 290,000 |  |  |  | 290,375 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 294,000 |  |  |  | 294,380 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 426,000 |  |  |  | 426,550 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 262,000 |  |  |  | 262,338 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 291,000 |  |  |  | 291,376 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 234,000 |  |  |  | 234,302 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 238,000 |  |  |  | 238,307 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 225,000 |  |  |  | 225,291 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 215,000 |  |  |  | 215,278 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 204,000 |  |  |  | 204,264 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 218,000 |  |  |  | 218,282 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 205,000 |  |  |  | 205,265 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 184,000 |  |  |  | 184,238 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 291,000 |  |  |  | 291,376 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 305,000 |  |  |  | 305,394 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 382,000 |  |  |  | 382,493 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 328,000 |  |  |  | 328,424 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 222,000 |  |  |  | 222,287 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 305,000 |  |  |  | 305,394 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 262,000 |  |  |  | 262,338 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 236,000 |  |  |  | 236,325 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 228,000 |  |  |  | 228,314 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 261,000 |  |  |  | 261,360 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 253,000 |  |  |  | 253,349 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 232,000 |  |  |  | 232,320 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 251,000 |  |  |  | 251,346 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 216,000 |  |  |  | 216,298 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 240,000 |  |  |  | 240,331 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 214,000 |  |  |  | 214,295 |
RBC Capital Markets LLC |  |  | 0.80 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 233,000 |  |  |  | 233,321 |
RBC Capital Markets LLC |  |  | 0.85 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 262,000 |  |  |  | 262,384 |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 51

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

As of August 31, 2015, reverse repurchase agreements outstanding were as follows (concluded):

Counterparty |  | Interest Rate |  |  | Trade Date |  |  | Maturity Date1 |  |  | Face Value |  |  | Face Value Including Accrued Interest |
RBC Capital Markets LLC |  |  | 0.85 | % |  |  | 7/01/15 |  |  |  | Open |  |  | $ | 191,000 |  |  | $ | 191,280 |
RBC Capital Markets LLC |  |  | 0.85 | % |  |  | 7/01/15 |  |  |  | Open |  |  |  | 206,000 |  |  |  | 206,302 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 7/08/15 |  |  |  | Open |  |  |  | 902,200 |  |  |  | 903,165 |
BNP Paribas Securities Corp. |  |  | 0.42 | % |  |  | 7/09/15 |  |  |  | Open |  |  |  | 4,110,000 |  |  |  | 4,112,360 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 7/16/15 |  |  |  | Open |  |  |  | 131,110 |  |  |  | 131,246 |
Credit Suisse Securities (USA) LLC |  |  | 0.40 | % |  |  | 7/23/15 |  |  |  | Open |  |  |  | 1,477,500 |  |  |  | 1,478,157 |
BNP Paribas Securities Corp. |  |  | 0.71 | % |  |  | 8/03/15 |  |  |  | Open |  |  |  | 412,830 |  |  |  | 413,043 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 8/03/15 |  |  |  | Open |  |  |  | 900,405 |  |  |  | 900,840 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 8/04/15 |  |  |  | Open |  |  |  | 157,511 |  |  |  | 157,591 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 8/06/15 |  |  |  | Open |  |  |  | 455,567 |  |  |  | 455,781 |
Deutsche Bank Securities, Inc. |  |  | 0.60 | % |  |  | 8/11/15 |  |  |  | Open |  |  |  | 298,096 |  |  |  | 298,200 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 8/12/15 |  |  |  | Open |  |  |  | 700,930 |  |  |  | 701,202 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 8/12/15 |  |  |  | Open |  |  |  | 737,000 |  |  |  | 737,225 |
RBC Capital Markets LLC |  |  | 0.39 | % |  |  | 8/13/15 |  |  |  | Open |  |  |  | 396,000 |  |  |  | 396,082 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 8/13/15 |  |  |  | Open |  |  |  | 1,580,876 |  |  |  | 1,581,418 |
UBS Securities LLC |  |  | 0.60 | % |  |  | 8/18/15 |  |  |  | Open |  |  |  | 553,329 |  |  |  | 553,458 |
UBS Securities LLC |  |  | 0.35 | % |  |  | 8/19/15 |  |  |  | Open |  |  |  | 1,023,268 |  |  |  | 1,023,397 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 8/20/15 |  |  |  | Open |  |  |  | 431,000 |  |  |  | 431,101 |
Deutsche Bank Securities, Inc. |  |  | 0.75 | % |  |  | 8/24/15 |  |  |  | Open |  |  |  | 1,063,568 |  |  |  | 1,063,745 |
RBC Capital Markets LLC |  |  | 0.65 | % |  |  | 8/24/15 |  |  |  | Open |  |  |  | 1,609,205 |  |  |  | 1,609,437 |
Deutsche Bank Securities, Inc. |  |  | 0.75 | % |  |  | 8/28/15 |  |  |  | Open |  |  |  | 838,000 |  |  |  | 838,070 |
HSBC Securities (USA), Inc. |  |  | 0.55 | % |  |  | 8/31/15 |  |  |  | Open |  |  |  | 654,410 |  |  |  | 654,410 |
Deutsche Bank Securities, Inc. |  |  | 0.70 | % |  |  | 8/31/15 |  |  |  | Open |  |  |  | 299,000 |  |  |  | 299,006 |
RBC Capital Markets LLC |  |  | 0.75 | % |  |  | 8/31/15 |  |  |  | Open |  |  |  | 251,835 |  |  |  | 251,835 |
Total |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 263,367,571 |  |  | $ | 264,036,460 |
1 Certain agreements have no stated maturity and can be terminated by either party at any time. |  |  |  |  |

Derivative Financial Instruments Outstanding as of August 31, 2015

Financial Futures Contracts

Contracts Long (Short) |  |  | Issue |  | Exchange |  | Expiration |  | Notional Value |  |  | Unrealized Appreciation (Depreciation) |
| (7 | ) |  | German Euro BOBL Futures |  | Eurex |  | September 2015 |  |  | USD 1,021,393 |  |  | $ | 4,315 |
| (2 | ) |  | German Euro-Bund Futures |  | Eurex |  | September 2015 |  |  | USD 343,580 |  |  |  | 4,498 |
| (193 | ) |  | 2-Year U.S. Treasury Note |  | Chicago Board of Trade |  | December 2015 |  |  | USD 42,164,469 |  |  |  | 48,111 |
| 231 |  |  | 5-Year U.S. Treasury Note |  | Chicago Board of Trade |  | December 2015 |  |  | USD 27,590,063 |  |  |  | (149,571 | )
| (327 | ) |  | 10-Year U.S. Treasury Note |  | Chicago Board of Trade |  | December 2015 |  |  | USD 41,549,438 |  |  |  | 145,558 |
| (116 | ) |  | Long U.S. Treasury Bond |  | Chicago Board of Trade |  | December 2015 |  |  | USD 17,936,500 |  |  |  | 442,258 |
| 16 |  |  | Ultra Long U.S. Treasury Bond |  | Chicago Board of Trade |  | December 2015 |  |  | USD 2,534,500 |  |  |  | (12,867 | )
| (4 | ) |  | Long Gilt Future |  | NYSE Liffe |  | December 2015 |  |  | USD 719,312 |  |  |  | 2,389 |
| Total |  |  |  |  |  |  |  |  |  |  |  |  | $ | 484,691 |

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |  |  |
AUD |  |  | 2,190,000 |  |  | CAD |  |  | 2,058,797 |  |  | Goldman Sachs International |  |  | 9/16/15 |  |  | $ | (7,413 | ) |  |
AUD |  |  | 2,200,000 |  |  | CAD |  |  | 2,074,569 |  |  | Morgan Stanley & Co. International PLC |  |  | 9/16/15 |  |  |  | (12,290 | ) |  |
CAD |  |  | 2,088,723 |  |  | AUD |  |  | 2,190,000 |  |  | BNP Paribas S.A. |  |  | 9/16/15 |  |  |  | 30,159 |  |  |
CAD |  |  | 2,151,818 |  |  | GBP |  |  | 1,030,000 |  |  | JPMorgan Chase Bank N.A. |  |  | 9/16/15 |  |  |  | 55,118 |  |  |
EUR |  |  | 1,437,500 |  |  | GBP |  |  | 1,013,416 |  |  | Royal Bank of Scotland PLC |  |  | 9/16/15 |  |  |  | 58,458 |  |  |
EUR |  |  | 1,437,500 |  |  | GBP |  |  | 1,057,224 |  |  | Royal Bank of Scotland PLC |  |  | 9/16/15 |  |  |  | (8,759 | ) |  |
EUR |  |  | 2,820,000 |  |  | JPY |  |  | 390,646,140 |  |  | UBS AG |  |  | 9/16/15 |  |  |  | (57,736 | ) |  |
GBP |  |  | 1,030,000 |  |  | CAD |  |  | 2,098,755 |  |  | Goldman Sachs International |  |  | 9/16/15 |  |  |  | (14,786 | ) |  |
GBP |  |  | 1,010,000 |  |  | CAD |  |  | 2,065,496 |  |  | Morgan Stanley & Co. International PLC |  |  | 9/16/15 |  |  |  | (20,195 | ) |  |
GBP |  |  | 1,038,336 |  |  | EUR |  |  | 1,465,000 |  |  | Royal Bank of Scotland PLC |  |  | 9/16/15 |  |  |  | (51,088 | ) |  |
GBP |  |  | 1,008,947 |  |  | EUR |  |  | 1,410,000 |  |  | Royal Bank of Scotland PLC |  |  | 9/16/15 |  |  |  | (34,451 | ) |  |
GBP |  |  | 970,000 |  |  | USD |  |  | 1,502,263 |  |  | Citibank N.A. |  |  | 9/16/15 |  |  |  | (13,922 | ) |  |
GBP |  |  | 2,060,000 |  |  | USD |  |  | 3,206,980 |  |  | Goldman Sachs International |  |  | 9/16/15 |  |  |  | (46,173 | ) |  |
JPY |  |  | 389,116,854 |  |  | EUR |  |  | 2,820,000 |  |  | Toronto Dominion Bank |  |  | 9/16/15 |  |  |  | 45,120 |  |  |
NZD |  |  | 2,440,000 |  |  | USD |  |  | 1,592,954 |  |  | Royal Bank of Scotland PLC |  |  | 9/16/15 |  |  |  | (48,189 | ) |  |

See Notes to Financial Statements.

52 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

Forward Foreign Currency Exchange Contracts (concluded)

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |  |  |
USD |  |  | 1,600,000 |  |  | CAD |  |  | 2,088,540 |  |  | Barclays Bank PLC |  |  | 9/16/15 |  |  | $ | 12,574 |  |  |
USD |  |  | 1,612,696 |  |  | EUR |  |  | 1,390,000 |  |  | Morgan Stanley & Co. International PLC |  |  | 9/16/15 |  |  |  | 52,593 |  |  |
USD |  |  | 1,616,791 |  |  | GBP |  |  | 1,030,000 |  |  | Citibank N.A. |  |  | 9/16/15 |  |  |  | 36,387 |  |  |
USD |  |  | 1,608,631 |  |  | NZD |  |  | 2,440,000 |  |  | Commonwealth Bank of Australia |  |  | 9/16/15 |  |  |  | 63,866 |  |  |
EUR |  |  | 1,000,000 |  |  | USD |  |  | 1,101,321 |  |  | Royal Bank of Scotland PLC |  |  | 10/20/15 |  |  |  | 21,650 |  |  |
USD |  |  | 1,089,645 |  |  | CAD |  |  | 1,407,000 |  |  | Westpac Banking Corp. |  |  | 10/20/15 |  |  |  | 20,304 |  |  |
USD |  |  | 568,427 |  |  | EUR |  |  | 515,000 |  |  | Credit Suisse International |  |  | 10/20/15 |  |  |  | (9,903 | ) |  |
USD |  |  | 16,899,548 |  |  | EUR |  |  | 15,312,000 |  |  | UBS AG |  |  | 10/20/15 |  |  |  | (295,391 | ) |  |
USD |  |  | 20,445,096 |  |  | GBP |  |  | 13,141,000 |  |  | HSBC Bank PLC |  |  | 10/20/15 |  |  |  | 285,478 |  |  |
USD |  |  | 156,042 |  |  | GBP |  |  | 100,000 |  |  | HSBC Bank PLC |  |  | 10/20/15 |  |  |  | 2,632 |  |  |
USD |  |  | 633,935 |  |  | GBP |  |  | 405,000 |  |  | State Street Bank and Trust Co. |  |  | 10/20/15 |  |  |  | 12,625 |  |  |
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 76,668 |  |  |

OTC Options Purchased

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

Centrally Cleared Interest Rate Swaps

Fixed Rate |  | Floating Rate |  | Clearinghouse |  | Expiration Date |  | Notional Amount (000) |  |  | Unrealized Appreciation (Depreciation) |  |  |
2.54%1 |  | 3-month LIBOR |  | Chicago Mercantile Exchange |  | 9/04/24 |  |  | USD 18,700 |  |  | $ | 576,757 |  |  |
2.60%2 |  | 3-month LIBOR |  | Chicago Mercantile Exchange |  | 9/04/24 |  |  | USD 18,700 |  |  |  | (580,667 | ) |  |
Total |  |  |  |  |  |  |  |  |  |  |  | $ | (3,910 | ) |  |
1 Fund pays the floating rate and receives the fixed rate. |  |  |
2 Fund pays the fixed rate and receives the floating rate. |  |  |

OTC Credit Default Swaps — Buy Protection

Issuer/Index |  | Pay Fixed Rate |  |  | Counterparty |  | Expiration Date |  | Notional Amount (000) |  |  | Value |  |  | Premiums Paid (Received) |  |  | Unrealized Appreciation (Depreciation) |
Australia & New Zealand Banking Group Ltd. |  |  | 1.00 | % |  | Deutsche Bank AG |  | 9/20/17 |  |  | USD 1 |  |  | $ | (7 | ) |  | $ | 6 |  |  | $ | (13 | )
Westpac Banking Corp. |  |  | 1.00 | % |  | Deutsche Bank AG |  | 9/20/17 |  |  | USD 1 |  |  |  | (6 | ) |  |  | 7 |  |  |  | (13 | )
Abengoa S.A. |  |  | 5.00 | % |  | Citibank N.A. |  | 9/20/20 |  |  | EUR 6 |  |  |  | 3,437 |  |  |  | 3,553 |  |  |  | (116 | )
Abengoa S.A. |  |  | 5.00 | % |  | Citibank N.A. |  | 9/20/20 |  |  | EUR 3 |  |  |  | 1,718 |  |  |  | 1,776 |  |  |  | (58 | )
Abengoa S.A. |  |  | 5.00 | % |  | Goldman Sachs Bank USA |  | 9/20/20 |  |  | EUR 10 |  |  |  | 5,728 |  |  |  | 6,029 |  |  |  | (301 | )
Abengoa S.A. |  |  | 5.00 | % |  | Goldman Sachs Bank USA |  | 9/20/20 |  |  | EUR 6 |  |  |  | 3,437 |  |  |  | 3,488 |  |  |  | (51 | )
Louis Dreyfus Commodities BV |  |  | 5.00 | % |  | Goldman Sachs Bank USA |  | 9/20/20 |  |  | EUR 10 |  |  |  | (945 | ) |  |  | (1,046 | ) |  |  | 101 |
Total |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 13,362 |  |  | $ | 13,813 |  |  | $ | (451 | )

OTC Credit Default Swaps — Sold Protection

Issuer/Index |  | Receive Fixed Rate |  |  | Counterparty |  | Expiration Date |  | Credit Rating3 |  |  | Notional Amount (000)4 |  |  | Value |  |  | Premiums Received |  |  | Unrealized Depreciation |
Glencore International AG |  |  | 1.00 | % |  | Citibank N.A. |  | 9/20/20 |  |  | BBB |  |  |  | EUR 30 |  |  | $ | (4,060 | ) |  | $ | (2,927 | ) |  | $ | (1,133 | )
Glencore International AG |  |  | 1.00 | % |  | Citibank N.A. |  | 9/20/20 |  |  | BBB |  |  |  | EUR 20 |  |  |  | (2,704 | ) |  |  | (1,952 | ) |  |  | (752 | )
Glencore International AG |  |  | 1.00 | % |  | Credit Suisse Securities (USA) LLC |  | 9/20/20 |  |  | BBB |  |  |  | EUR 10 |  |  |  | (1,351 | ) |  |  | (1,018 | ) |  |  | (333 | )
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (8,115 | ) |  | $ | (5,897 | ) |  | $ | (2,218 | )
3 Using S&P’s rating of the issuer or the underlying securities of the index, as applicable. |
4 The maximum potential amount the Fund may pay should a negative credit event take place, as defined under the terms of the agreement. |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 53

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

Transactions in Options Written for the Year Ended August 31, 2015

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

Derivative Financial Instruments Categorized by Risk Exposure |  |

The following is a summary of the Fund’s derivative financial instruments categorized by risk exposure. For information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

As of August 31, 2015, the fair values of derivative financial instruments were as follows:

|  | Statement of Assets and Liabilities Location |  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Derivative Financial Instruments — Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  | Net unrealized apppreciation1 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 647,129 |  |  | $ | 647,129 |
Forward foreign currency exchange contracts |  | Unrealized appreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 696,964 |  |  |  | — |  |  |  | 696,964 |
Swaps — OTC |  | Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  | $ | 14,960 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 14,960 |
Swaps — centrally cleared |  | Net unrealized appreciation1 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 576,757 |  |  |  | 576,757 |
|  |  |  |  | — |  |  | $ | 14,960 |  |  |  | — |  |  | $ | 696,964 |  |  | $ | 1,223,886 |  |  | $ | 1,935,810 |
Derivative Financial Instruments — Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  | Net unrealized depreciation1 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 162,438 |  |  | $ | 162,438 |
Forward foreign currency exchange contracts |  | Unrealized depreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 620,296 |  |  |  | — |  |  |  | 620,296 |
Swaps — OTC |  | Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  | $ | 9,713 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 9,713 |
Swaps — centrally cleared |  | Net unrealized depreciation1 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 580,667 |  |  |  | 580,667 |
|  |  |  |  | — |  |  | $ | 9,713 |  |  |  | — |  |  | $ | 620,296 |  |  | $ | 743,105 |  |  | $ | 1,373,114 |
1 Includes cumulative appreciation (depreciation) on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |

For the year ended August 31, 2015, the effect of derivative financial instruments in the Statement of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | (2,368,111 | ) |  | $ | (2,368,111 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 8,901,963 |  |  |  | — |  |  |  | 8,901,963 |
Options purchased2 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (201,693 | ) |  |  | (201,693 | )
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 93,500 |  |  |  | 93,500 |
Swaps |  |  | — |  |  | $ | (243 | ) |  |  | — |  |  |  | — |  |  |  | (380,578 | ) |  |  | (380,821 | )
Total |  |  | — |  |  | $ | (243 | ) |  |  | — |  |  | $ | 8,901,963 |  |  | $ | (2,856,882 | ) |  | $ | 6,044,838 |

See Notes to Financial Statements.

54 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Total |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 578,253 |  |  | $ | 578,253 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | (1,985,188 | ) |  |  | — |  |  |  | (1,985,188 | )
Options purchased2 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 198,931 |  |  |  | 198,931 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (11,948 | ) |  |  | (11,948 | )
Swaps |  |  | — |  |  | $ | (2,626 | ) |  |  | — |  |  |  | — |  |  |  | 18,183 |  |  |  | 15,557 |
Total |  |  | — |  |  | $ | (2,626 | ) |  |  | — |  |  | $ | (1,985,188 | ) |  | $ | 783,419 |  |  | $ | (1,204,395 | )
2 Options purchased are included in net realized gain (loss) from investments and net unrealized appreciation (depreciation) on investments. |

For the year ended August 31, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

Financial futures contracts: |  |  |
Average notional value of contracts — long |  | $ | 16,116,945 |
Average notional value of contracts — short |  | $ | 72,217,747 |
Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 67,157,398 |
Average amounts sold — in USD |  | $ | 19,303,266 |
Options: |  |  |  |
Average notional value of swaption contracts purchased |  | $ | 32,725,000 | 3
Average notional value of swaption contracts written |  | $ | 9,350,000 | 3
Credit default swaps: |  |  |  |
Average notional value-buy protection |  | $ | 10,819 |
Average notional value-sell protection |  | $ | 16,832 |
Interest rate swaps: |  |  |  |
Average notional value — pays fixed rate |  | $ | 18,700,000 |
Average notional value — receives fixed rate |  | $ | 29,263,354 |
3 Average amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter. |

Derivative Financial Instruments — Offsetting as of August 31, 2015

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

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments: |  |  |  |  |  |  |  |
Financial futures contracts |  | $ | 145,924 |  |  | $ | 38,884 |
Forward foreign currency exchange contracts |  |  | 696,964 |  |  |  | 620,296 |
Swaps — Centrally cleared |  |  | 16,884 |  |  |  | 16,815 |
Swaps — OTC4 |  |  | 14,960 |  |  |  | 9,713 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities |  |  | 874,732 |  |  |  | 685,708 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (162,808 | ) |  |  | (55,699 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 711,924 |  |  | $ | 630,009 |
4 Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/received in the Statement 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 Master Netting Agreement (“MNA”) and net of the related collateral received and pledged by the Fund:

Counterparty |  |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset5 |  |  | Non-cash Collateral Received |  |  | Cash Collateral Received |  |  | Net Amount of Derivative Assets6 |
Barclays Bank PLC |  |  |  | $ | 12,574 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 12,574 |
BNP Paribas S.A. |  |  |  |  | 30,159 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 30,159 |
Citibank N.A. |  |  |  |  | 41,716 |  |  | $ | (20,860 | ) |  |  | — |  |  |  | — |  |  |  | 20,856 |
Commonwealth Bank of Australia |  |  |  |  | 63,866 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 63,866 |
Deutsche Bank AG |  |  |  |  | 13 |  |  |  | (13 | ) |  |  | — |  |  |  | — |  |  |  | — |
Goldman Sachs Bank USA |  |  |  |  | 9,618 |  |  |  | (1,398 | ) |  |  | — |  |  |  | — |  |  |  | 8,220 |
HSBC Bank PLC |  |  |  |  | 288,110 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 288,110 |
JPMorgan Chase Bank N.A. |  |  |  |  | 55,118 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 55,118 |
Morgan Stanley & Co. International PLC |  |  |  |  | 52,593 |  |  |  | (32,485 | ) |  |  | — |  |  |  | — |  |  |  | 20,108 |
Royal Bank of Scotland PLC |  |  |  |  | 80,108 |  |  |  | (80,108 | ) |  |  | — |  |  |  | — |  |  |  | — |

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 55

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

Counterparty |  |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset5 |  |  | Non-cash Collateral Received |  |  | Cash Collateral Received |  |  | Net Amount of Derivative Assets6 |
State Street Bank and Trust Co. |  |  |  | $ | 12,625 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 12,625 |
Toronto Dominion Bank |  |  |  |  | 45,120 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 45,120 |
Westpac Banking Corp. |  |  |  |  | 20,304 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 20,304 |
Total |  |  |  | $ | 711,924 |  |  | $ | (134,864 | ) |  |  | — |  |  |  | — |  |  | $ | 577,060 |
Counterparty |  |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  | Derivatives Available for Offset5 |  |  | Non-cash Collateral Pledged |  |  | Cash Collateral Pledged7 |  |  | Net Amount of Derivative Liabilities8 |
Citibank N.A. |  |  |  | $ | 20,860 |  |  | $ | (20,860 | ) |  |  | — |  |  |  | — |  |  |  | — |
Credit Suisse International |  |  |  |  | 9,903 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 9,903 |
Credit Suisse Securities (USA) LLC |  |  |  |  | 1,351 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,351 |
Deutsche Bank AG |  |  |  |  | 26 |  |  |  | (13 | ) |  |  | — |  |  |  | (13 | ) |  |  | — |
Goldman Sachs International |  |  |  |  | 68,372 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 68,372 |
Goldman Sachs Bank USA |  |  |  |  | 1,398 |  |  |  | (1,398 | ) |  |  | — |  |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  |  |  | 32,485 |  |  |  | (32,485 | ) |  |  | — |  |  |  | — |  |  |  | — |
Royal Bank of Scotland PLC |  |  |  |  | 142,487 |  |  |  | (80,108 | ) |  |  | — |  |  |  | — |  |  |  | 62,379 |
UBS AG |  |  |  |  | 353,127 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 353,127 |
Total |  |  |  | $ | 630,009 |  |  | $ | (134,864 | ) |  |  | — |  |  |  | (13 | ) |  | $ | 495,132 |

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

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

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

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

Fair Value Hierarchy as of August 31, 2015 |  |

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  |  | — |  |  | $ | 85,774,621 |  |  | $ | 57,724,413 |  |  | $ | 143,499,034 |
Common Stocks |  | $ | 1,395,013 |  |  |  | 576,265 |  |  |  | 620,087 |  |  |  | 2,591,365 |
Corporate Bonds |  |  | — |  |  |  | 329,524,254 |  |  |  | 2,293,812 |  |  |  | 331,818,066 |
Floating Rate Loan Interests |  |  | — |  |  |  | 214,152,356 |  |  |  | 11,940,990 |  |  |  | 226,093,346 |
Foreign Agency Obligations |  |  | — |  |  |  | 11,611,010 |  |  |  | — |  |  |  | 11,611,010 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 85,541,961 |  |  |  | — |  |  |  | 85,541,961 |
Other Interests |  |  | — |  |  |  | — |  |  |  | 144,283 |  |  |  | 144,283 |
Preferred Securities |  |  | 11,596,121 |  |  |  | 54,109,549 |  |  |  | 112,143 |  |  |  | 65,817,813 |
U.S. Government Sponsored Agency Securities |  |  | — |  |  |  | 10,447,543 |  |  |  | — |  |  |  | 10,447,543 |
Warrants |  |  | — |  |  |  | — |  |  |  | 26,648 |  |  |  | 26,648 |
Short-Term Securities |  |  | 5,757,976 |  |  |  | — |  |  |  | — |  |  |  | 5,757,976 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests |  |  | — |  |  |  | (208 | ) |  |  | — |  |  |  | (208 | )
Total |  | $ | 18,749,110 |  |  | $ | 791,737,351 |  |  | $ | 72,862,376 |  |  | $ | 883,348,837 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Derivative Financial Instruments9 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit rate contracts |  |  | — |  |  | $ | 101 |  |  |  | — |  |  | $ | 101 |
Foreign currency exchange contracts |  |  | — |  |  |  | 696,964 |  |  |  | — |  |  |  | 696,964 |
Interest rate contracts |  | $ | 647,129 |  |  |  | 576,757 |  |  |  | — |  |  |  | 1,223,886 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit rate contracts |  |  | — |  |  |  | (2,770 | ) |  |  | — |  |  |  | (2,770 | )
Foreign currency exchange contracts |  |  | — |  |  |  | (620,296 | ) |  |  | — |  |  |  | (620,296 | )
Interest rate contracts |  |  | (162,438 | ) |  |  | (580,667 | ) |  |  | — |  |  |  | (743,105 | )
Total |  | $ | 484,691 |  |  | $ | 70,089 |  |  |  | — |  |  | $ | 554,780 |

9 |  | Derivative financial instruments are swaps, financial futures contracts, and forward foreign currency exchange contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

See Notes to Financial Statements.

56 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of August 31, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash pledged for financial futures contracts |  | $ | 871,710 |  |  |  | — |  |  | — |  | $ | 871,710 |
Cash pledged as collateral for reverse repurchase agreements |  |  | 2,380,000 |  |  |  | — |  |  | — |  |  | 2,380,000 |
Cash pledged as collateral for OTC derivatives |  |  | 90,000 |  |  |  | — |  |  | — |  |  | 90,000 |
Cash pledged for centrally cleared swaps |  |  | 1,270 |  |  |  | — |  |  | — |  |  | 1,270 |
Foreign currency at value |  |  | 397,444 |  |  |  | — |  |  | — |  |  | 397,444 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank overdraft |  |  | — |  |  | $ | (41,790 | ) |  | — |  |  | (41,790 | )
Reverse repurchase agreements |  |  | — |  |  |  | (264,036,460 | ) |  | — |  |  | (264,036,460 | )
Total |  | $ | 3,740,424 |  |  | $ | (264,078,250 | ) |  | — |  | $ | (260,337,826 | )

During the year ended August 31, 2015, there were no transfers between Level 1 and Level 2.

|  | Asset-Backed Securities |  |  | Common Stocks |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Warrants |  |  | Preferred Stocks |  |  | Unfunded Floating Rate Loan Interest (Liabilities) |  |  | Grand Total |
Opening balance, as of August 31, 2014 |  | $ | 14,418,405 |  |  | $ | 2,748,166 |  |  | $ | 8,907,388 |  |  | $ | 33,197,391 |  |  | $ | 8,750 |  |  |  | — |  |  |  | — |  |  | $ | (175 | ) |  | $ | 59,279,925 |
Transfers into Level 31 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,431,905 |  |  |  | — |  |  | $ | 14,419 |  |  |  | — |  |  |  | — |  |  |  | 4,446,324 |
Transfers out of Level 32 |  |  | (9,168,663 | ) |  |  | — |  |  |  | — |  |  |  | (14,318,184 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (23,486,847 | )
Accrued discounts/premiums |  |  | (107,625 | ) |  |  | — |  |  |  | (1,135 | ) |  |  | 39,948 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (68,812 | )
Net realized gain (loss) |  |  | (785,210 | ) |  |  | — |  |  |  | (3,138,641 | ) |  |  | (1,623,116 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (5,546,967 | )
Net change in unrealized appreciation (depreciation)3,4 |  |  | 144,990 |  |  |  | (2,334,577 | ) |  |  | 3,022,280 |  |  |  | 902,958 |  |  |  | 135,533 |  |  |  | 12,229 |  |  | $ | 647 |  |  |  | 175 |  |  |  | 1,884,235 |
Purchases |  |  | 55,443,320 |  |  |  | 206,498 |  |  |  | 173,920 |  |  |  | 4,343,508 |  |  |  | — |  |  |  | — |  |  |  | 111,496 |  |  |  | — |  |  |  | 60,278,742 |
Sales |  |  | (2,220,804 | ) |  |  | — |  |  |  | (6,670,000 | ) |  |  | (15,033,420 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (23,924,224 | )
Closing Balance, as of August 31, 2015 |  | $ | 57,724,413 |  |  | $ | 620,087 |  |  | $ | 2,293,812 |  |  | $ | 11,940,990 |  |  | $ | 144,283 |  |  | $ | 26,648 |  |  | $ | 112,143 |  |  |  | — |  |  | $ | 72,862,376 |
Net change in unrealized appreciation (depreciation) on investments still held at August 31, 20154 |  | $ | 156,506 |  |  | $ | (2,334,575 | ) |  | $ | (49,661 | ) |  | $ | (563,549 | ) |  | $ | 135,533 |  |  | $ | 12,229 |  |  | $ | 647 |  |  |  | — |  |  | $ | (2,642,870 | )
1 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,446,324 transferred from Level 2 to Level 3 in the disclosure hierarchy. |
2 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $23,486,847 transferred from Level 3 to Level 2 in the disclosure hierarchy. 3 Included in the related net change in unrealized appreciation (depreciation) in the Statement of Operations. 4 Any difference between net change in unrealized appreciation (depreciation) on investments still held at August 31, 2015 is generally due to investments no longer held or categorized as Level 3 at period end. |

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

See Notes to Financial Statements.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 57

Statements of Assets and Liabilities |  |

August 31, 2015 |  | BlackRock Defined Opportunity Credit Trust (BHL) |  |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |  |  | BlackRock Limited Duration Income Trust (BLW) |
Assets |  |  |  |  |  |  |  |  |  |  |  |
Investments at value — unaffiliated2 |  | $ | 170,232,342 |  |  | $ | 763,067,179 |  |  | $ | 877,591,069 |
Investments at value — affiliated3 |  |  | 254,052 |  |  |  | — |  |  |  | 5,757,976 |
Cash |  |  | 4,641,589 |  |  |  | 9,531,960 |  |  |  | — |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |
Centrally cleared swaps |  |  | 40,000 |  |  |  | 170,000 |  |  |  | 1,270 |
Financial futures contracts |  |  | 11,700 |  |  |  | 45,000 |  |  |  | 871,710 |
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | 90,000 |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 2,380,000 |
Foreign currency at value4 |  |  | 729 |  |  |  | 6,465 |  |  |  | 397,444 |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |
Dividends |  |  | — |  |  |  | — |  |  |  | 52 |
Interest |  |  | 995,532 |  |  |  | 4,438,089 |  |  |  | 8,928,843 |
Investments sold |  |  | 1,819,995 |  |  |  | 7,967,682 |  |  |  | 5,548,746 |
Reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 906,245 |
Swaps |  |  | — |  |  |  | — |  |  |  | 1,531 |
Swap premiums paid |  |  | — |  |  |  | — |  |  |  | 14,859 |
Unrealized appreciation on forward foreign currency exchange contracts |  |  | 11,340 |  |  |  | 65,118 |  |  |  | 696,964 |
Unrealized appreciation on OTC swaps |  |  | — |  |  |  | — |  |  |  | 101 |
Variation margin receivable on financial futures contracts |  |  | 563 |  |  |  | 2,531 |  |  |  | 145,924 |
Variation margin receivable on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | 16,884 |
Prepaid expenses |  |  | 3,749 |  |  |  | 8,210 |  |  |  | 8,878 |
Other assets |  |  | — |  |  |  | — |  |  |  | 258,043 |
Total assets |  |  | 178,011,591 |  |  |  | 785,302,234 |  |  |  | 903,616,539 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Bank overdraft |  |  | — |  |  |  | — |  |  |  | 41,790 |
Reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 264,036,460 |
Payables: |  |  |  |  |  |  |  |  |  |  |  |
Investments purchased |  |  | 7,273,365 |  |  |  | 32,602,317 |  |  |  | 6,876,336 |
Bank borrowings |  |  | 45,000,000 |  |  |  | 196,000,000 |  |  |  | — |
Income dividends |  |  | 75,550 |  |  |  | 127,614 |  |  |  | 100,779 |
Interest expense |  |  | 35,523 |  |  |  | 161,236 |  |  |  | — |
Investment advisory fees |  |  | 287,782 |  |  |  | 959,730 |  |  |  | 857,403 |
Offering costs |  |  | — |  |  |  | 785 |  |  |  | 785 |
Officer’s and Directors’ fees |  |  | 1,821 |  |  |  | 7,994 |  |  |  | 321,214 |
Other accrued expenses |  |  | 153,003 |  |  |  | 330,546 |  |  |  | 305,942 |
Swaps |  |  | — |  |  |  | — |  |  |  | 1,879 |
Swap premiums received |  |  | — |  |  |  | — |  |  |  | 6,943 |
Unrealized depreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | 620,296 |
Unrealized depreciation on OTC swaps |  |  | — |  |  |  | — |  |  |  | 2,770 |
Unrealized depreciation on unfunded floating rate loan interests |  |  | 116 |  |  |  | 519 |  |  |  | 208 |
Variation margin payable on financial futures contracts |  |  | — |  |  |  | — |  |  |  | 38,884 |
Variation margin payable on centrally cleared swaps |  |  | 1,640 |  |  |  | 7,382 |  |  |  | 16,815 |
Commitments and contingencies |  |  | — |  |  |  | — | 8 |  |  | — | 8
Total liabilities |  |  | 52,828,800 |  |  |  | 230,198,123 |  |  |  | 273,228,504 |
Net Assets |  | $ | 125,182,791 |  |  | $ | 555,104,111 |  |  | $ | 630,388,035 |
Net Assets Consist of |  |  |  |  |  |  |  |  |  |  |  |
Paid-in capital5,6,7 |  | $ | 128,319,712 |  |  | $ | 659,804,576 |  |  | $ | 701,298,221 |
Undistributed net investment income |  |  | 88,186 |  |  |  | 101,791 |  |  |  | 2,805,013 |
Accumulated net realized loss |  |  | (1,093,327 | ) |  |  | (92,834,790 | ) |  |  | (59,409,589 | )
Net unrealized appreciation (depreciation) |  |  | (2,131,780 | ) |  |  | (11,967,466 | ) |  |  | (14,305,610 | )
Net Assets |  | $ | 125,182,791 |  |  | $ | 555,104,111 |  |  | $ | 630,388,035 |
Net asset value per share |  | $ | 13.84 |  |  | $ | 14.91 |  |  | $ | 17.04 |
1 Consolidated Statement of Assets and Liabilities |  |  |  |  |  |  |  |  |  |  |  |
2 Investments at cost — unaffiliated |  | $ | 172,368,741 |  |  | $ | 774,910,962 |  |  | $ | 892,705,025 |
3 Investments at cost — affiliated |  | $ | 254,052 |  |  |  | — |  |  | $ | 5,757,976 |
4 Foreign currency at cost |  | $ | 825 |  |  | $ | 6,508 |  |  | $ | 402,287 |
5 Par value per share |  | $ | 0.001 |  |  | $ | 0.100 |  |  | $ | 0.001 |
6 Shares outstanding |  |  | 9,044,041 |  |  |  | 37,232,488 |  |  |  | 37,003,854 |
7 Shares authorized |  |  | unlimited |  |  | $ | 200 million |  |  |  | unlimited |
8 See Note 4 and Note 12 of the Notes to Financial Statements for details of commitments and contingencies. |  |  |  |  |  |  |  |  |  |  |  |

See Notes to Financial Statements. |  |  |  |
58 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Statements of Operations |  |

Year Ended August 31, 2015 |  | BlackRock Defined Opportunity Credit Trust (BHL) |  |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |  |  | BlackRock Limited Duration Income Trust (BLW)1 |
Investment Income |  |  |  |  |  |  |  |  |  |  |  |
Interest |  | $ | 8,914,075 |  |  | $ | 38,966,411 |  |  | $ | 49,854,892 |
Dividends — unaffiliated |  |  | 35,678 |  |  |  | 168,390 |  |  |  | 679,643 |
Dividends — affiliated |  |  | 315 |  |  |  | 513 |  |  |  | 2,697 |
Foreign taxes withheld |  |  | — |  |  |  | (1,371 | ) |  |  | (53 | )
Total income |  |  | 8,950,068 |  |  |  | 39,133,943 |  |  |  | 50,537,179 |
Expenses |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory |  |  | 1,770,536 |  |  |  | 5,882,332 |  |  |  | 5,139,379 |
Professional |  |  | 108,088 |  |  |  | 209,669 |  |  |  | 253,411 |
Custodian |  |  | 70,816 |  |  |  | 233,987 |  |  |  | 162,852 |
Accounting services |  |  | 32,433 |  |  |  | 105,218 |  |  |  | 91,166 |
Transfer agent |  |  | 27,969 |  |  |  | 66,089 |  |  |  | 79,612 |
Offering |  |  | — |  |  |  | 59,411 |  |  |  | 62,188 |
Printing |  |  | 21,756 |  |  |  | 31,752 |  |  |  | 34,671 |
Officer and Directors |  |  | 10,827 |  |  |  | 47,937 |  |  |  | 17,265 |
Registration |  |  | 9,201 |  |  |  | 13,690 |  |  |  | 13,072 |
Miscellaneous |  |  | 29,959 |  |  |  | 58,177 |  |  |  | 97,521 |
Total expenses excluding interest expense |  |  | 2,081,585 |  |  |  | 6,708,262 |  |  |  | 5,951,137 |
Interest expense |  |  | 469,104 |  |  |  | 2,081,649 |  |  |  | 1,510,720 |
Total expenses |  |  | 2,550,689 |  |  |  | 8,789,911 |  |  |  | 7,461,857 |
Less fees waived by the Manager |  |  | (310 | ) |  |  | (519 | ) |  |  | (3,084 | )
Less fees paid indirectly |  |  | — |  |  |  | — |  |  |  | (112 | )
Total expenses after fees waived and/or paid indirectly |  |  | 2,550,379 |  |  |  | 8,789,392 |  |  |  | 7,458,661 |
Net investment income |  |  | 6,399,689 |  |  |  | 30,344,551 |  |  |  | 43,078,518 |
Realized and Unrealized Gain (Loss) |  |  |  |  |  |  |  |  |  |  |  |
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  | (1,267,163 | ) |  |  | (10,878,184 | ) |  |  | (11,272,324 | )
Financial futures contracts |  |  | (5,430 | ) |  |  | (24,385 | ) |  |  | (2,368,111 | )
Foreign currency transactions |  |  | 267,650 |  |  |  | 1,373,254 |  |  |  | 8,732,087 |
Options written |  |  | — |  |  |  | — |  |  |  | 93,500 |
Short sales |  |  | (218 | ) |  |  | (970 | ) |  |  | — |
Swaps |  |  | (751 | ) |  |  | (3,377 | ) |  |  | (380,821 | )
|  |  | (1,005,912 | ) |  |  | (9,533,662 | ) |  |  | (5,195,669 | )
Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  | (2,337,600 | ) |  |  | (7,696,249 | ) |  |  | (27,770,045 | )
Financial futures contracts |  |  | 503 |  |  |  | 2,213 |  |  |  | 578,253 |
Foreign currency translations |  |  | (67,883 | ) |  |  | (261,140 | ) |  |  | (1,919,364 | )
Options written |  |  | — |  |  |  | — |  |  |  | (11,948 | )
Swaps |  |  | (7,012 | ) |  |  | (31,556 | ) |  |  | 15,557 |
Unfunded floating rate loan interests |  |  | 6,111 |  |  |  | 26,974 |  |  |  | 2,312 |
|  |  | (2,405,881 | ) |  |  | (7,959,758 | ) |  |  | (29,105,235 | )
Net realized and unrealized loss |  |  | (3,411,793 | ) |  |  | (17,493,420 | ) |  |  | (34,300,904 | )
Net Increase in Net Assets Resulting from Operations |  | $ | 2,987,896 |  |  | $ | 12,851,131 |  |  | $ | 8,777,614 |
1 Consolidated Statement of Operations. |

See Notes to Financial Statements. |  |  |  |
|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 59

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

|  | Year Ended August 31, |
Increase (Decrease) in Net Assets: |  | 2015 |  |  | 2014 |
Operations |  |  |  |  |  |  |  |
Net investment income |  | $ | 6,399,689 |  |  | $ | 6,953,558 |
Net realized gain (loss) |  |  | (1,005,912 | ) |  |  | 1,555,241 |
Net change in unrealized appreciation (depreciation) |  |  | (2,405,881 | ) |  |  | (1,214,434 | )
Net increase in net assets resulting from operations |  |  | 2,987,896 |  |  |  | 7,294,365 |
Distributions to Shareholders From1 |  |  |  |  |  |  |  |
Net investment income |  |  | (6,869,345 | ) |  |  | (7,542,730 | )
Net realized gain |  |  | (1,286,571 | ) |  |  | — |
Decrease in net assets resulting from distributions to shareholders |  |  | (8,155,916 | ) |  |  | (7,542,730 | )
Net Assets |  |  |  |  |  |  |  |
Total decrease in net assets |  |  | (5,168,020 | ) |  |  | (248,365 | )
Beginning of year |  |  | 130,350,811 |  |  |  | 130,599,176 |
End of year |  | $ | 125,182,791 |  |  | $ | 130,350,811 |
Undistributed net investment income, end of year |  | $ | 88,186 |  |  | $ | 466,939 |
1 Distributions for annual periods determined in accordance with federal income tax regulations. |

See Notes to Financial Statements. |  |  |  |
60 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

|  | Year Ended August 31, |
Increase (Decrease) in Net Assets: |  | 2015 |  |  | 2014 |
Operations |  |  |  |  |  |  |  |
Net investment income |  | $ | 30,344,551 |  |  | $ | 32,487,698 |
Net realized gain (loss) |  |  | (9,533,662 | ) |  |  | 606,314 |
Net change in unrealized appreciation (depreciation) |  |  | (7,959,758 | ) |  |  | 771,265 |
Net increase in net assets resulting from operations |  |  | 12,851,131 |  |  |  | 33,865,277 |
Distributions to Shareholders From1 |  |  |  |  |  |  |  |
Net investment income |  |  | (30,210,441 | ) |  |  | (33,203,943 | )
Net Assets |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | (17,359,310 | ) |  |  | 661,334 |
Beginning of year |  |  | 572,463,421 |  |  |  | 571,802,087 |
End of year |  | $ | 555,104,111 |  |  | $ | 572,463,421 |
Undistributed (distributions in excess of) net investment income, end of year |  | $ | 101,791 |  |  | $ | (680,740 | )
1 Distributions for annual periods determined in accordance with federal income tax regulations. |

See Notes to Financial Statements. |  |  |  |
|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 61

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

|  | Year Ended August 31, |
Increase (Decrease) in Net Assets: |  | 2015 |  |  | 2014 |
Operations |  |  |  |  |  |  |  |
Net investment income |  | $ | 43,078,518 |  |  | $ | 46,667,443 |
Net realized gain (loss) |  |  | (5,195,669 | ) |  |  | 4,294,232 |
Net change in unrealized appreciation (depreciation) |  |  | (29,105,235 | ) |  |  | 14,593,852 |
Net increase in net assets resulting from operations |  |  | 8,777,614 |  |  |  | 65,555,527 |
Distributions to Shareholders From1 |  |  |  |  |  |  |  |
Net investment income |  |  | (47,771,976 | ) |  |  | (45,292,717 | )
Net Assets |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  | (38,994,362 | ) |  |  | 20,262,810 |
Beginning of year |  |  | 669,382,397 |  |  |  | 649,119,587 |
End of year |  | $ | 630,388,035 |  |  | $ | 669,382,397 |
Undistributed net investment income, end of year |  | $ | 2,805,013 |  |  | $ | 553,777 |
1 Distributions for annual periods determined in accordance with federal income tax regulations. |  |  |  |  |  |  |  |

See Notes to Financial Statements. |  |  |  |
62 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Statements of Cash Flows |  |

Year Ended August 31, 2015 |  | BlackRock Defined Opportunity Credit Trust (BHL) |  |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |  |  | BlackRock Limited Duration Income Trust (BLW)1 |
Cash Provided by Operating Activities |  |  |  |  |  |  |  |  |  |  |  |
Net increase in net assets resulting from operations |  | $ | 2,987,896 |  |  | $ | 12,851,131 |  |  | $ | 8,777,614 |
Proceeds from sales of long-term investments |  |  | 84,628,096 |  |  |  | 369,238,444 |  |  |  | 467,910,997 |
Purchases of long-term investments |  |  | (71,591,714 | ) |  |  | (325,014,453 | ) |  |  | (444,431,714 | )
Net proceeds from sales of short-term securities |  |  | 2,704,449 |  |  |  | 3,456,864 |  |  |  | 1,632,414 |
(Increase) decrease in assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash Pledged: |  |  |  |  |  |  |  |  |  |  |  |
Collateral — OTC derivatives |  |  | 400,000 |  |  |  | — |  |  |  | — |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | (2,372,000 | )
Centrally cleared swaps |  |  | (40,000 | ) |  |  | (170,000 | ) |  |  | (1,270 | )
Financial futures contracts |  |  | (11,700 | ) |  |  | (45,000 | ) |  |  | (216,210 | )
Receivables: |  |  |  |  |  |  |  |  |  |  |  |
Dividends |  |  | — |  |  |  | — |  |  |  | 1,644 |
Interest |  |  | 29,401 |  |  |  | (21,114 | ) |  |  | 902,046 |
Swaps |  |  | — |  |  |  | — |  |  |  | 580,461 |
Swap premiums paid |  |  | — |  |  |  | — |  |  |  | (14,840 | )
Variation margin receivable on financial futures contracts |  |  | (563 | ) |  |  | (2,531 | ) |  |  | (118,653 | )
Variation margin receivable on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | (16,884 | )
Prepaid expenses |  |  | 374 |  |  |  | 1,173 |  |  |  | 2,092 |
Other assets |  |  | — |  |  |  | 38,072 |  |  |  | 7,889 |
Increase (decrease) in liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Cash received: |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | (502,000 | )
Payables: |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory fees |  |  | 134,654 |  |  |  | 452,600 |  |  |  | 407,289 |
Interest expense and fees |  |  | (3,654 | ) |  |  | (13,808 | ) |  |  | 9,719 |
Other accrued expenses |  |  | 23,824 |  |  |  | (18,418 | ) |  |  | 43,236 |
Officer’s and Directors’ fees |  |  | (700 | ) |  |  | (3,132 | ) |  |  | (14,388 | )
Swaps |  |  | — |  |  |  | — |  |  |  | (562,068 | )
Variation margin payable on financial futures contracts |  |  | — |  |  |  | — |  |  |  | 30,728 |
Variation margin payable on centrally cleared swaps |  |  | 1,640 |  |  |  | 7,382 |  |  |  | 16,815 |
Swap premiums received |  |  | — |  |  |  | — |  |  |  | 6,070 |
Amortization of premium and accretion of discount on investments |  |  | (290,930 | ) |  |  | (1,229,102 | ) |  |  | 1,778,499 |
Net realized loss on investments and options written |  |  | 1,312,978 |  |  |  | 10,992,580 |  |  |  | 13,935,099 |
Net unrealized loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests |  |  | 2,399,372 |  |  |  | 7,930,415 |  |  |  | 29,679,578 |
Premiums paid on closing options written |  |  | — |  |  |  | — |  |  |  | (93,500 | )
Net cash provided by operating activities |  |  | 22,683,423 |  |  |  | 78,451,103 |  |  |  | 77,378,663 |
Cash Used for Financing Activities |  |  |  |  |  |  |  |  |  |  |  |
Net borrowing of reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | (30,769,230 | )
Proceeds from bank borrowings |  |  | 54,000,000 |  |  |  | 226,000,000 |  |  |  | — |
Payments for bank borrowings |  |  | (64,000,000 | ) |  |  | (265,000,000 | ) |  |  | — |
Cash payments for offering costs |  |  | — |  |  |  | (75,129 | ) |  |  | (75,129 | )
Cash dividends paid to shareholders |  |  | (8,152,519 | ) |  |  | (30,204,740 | ) |  |  | (47,762,603 | )
Increase in bank overdraft |  |  | — |  |  |  | — |  |  |  | 41,790 |
Amortization of deferred offering costs |  |  | — |  |  |  | 59,411 |  |  |  | 62,188 |
Net cash used for financing activities |  |  | (18,152,519 | ) |  |  | (69,220,458 | ) |  |  | (78,502,984 | )
Cash Impact from Foreign Exchange Fluctuations |  |  |  |  |  |  |  |  |  |  |  |
Cash impact from foreign exchange fluctuations |  | $ | (10 | ) |  | $ | 281 |  |  | $ | 11,656 |
Cash and Foreign Currency |  |  |  |  |  |  |  |  |  |  |  |
Net increase (decrease) in cash |  |  | 4,530,894 |  |  |  | 9,230,926 |  |  |  | (1,112,665 | )
Cash and foreign currency at beginning of year |  |  | 111,424 |  |  |  | 307,499 |  |  |  | 1,510,109 |
Cash and foreign currency at end of year |  | $ | 4,642,318 |  |  | $ | 9,538,425 |  |  | $ | 397,444 |
Supplemental Disclosure of Cash Flow Information |  |  |  |  |  |  |  |  |  |  |  |
Cash paid during the year for interest expense |  | $ | 472,758 |  |  | $ | 2,026,823 |  |  | $ | 1,427,111 |

| 1 |  | Consolidated Statement of Cash Flows.

See Notes to Financial Statements. |  |  |  |
|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 63

Financial Highlights |  | BlackRock Defined Opportunity Credit Trust (BHL)

|  | Year Ended August 31, |
|  | 2015 |  |  | 2014 |  |  | 2013 |  |  | 2012 |  |  | 2011 |
Per Share Operating Performance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net asset value, beginning of year |  | $ | 14.41 |  |  | $ | 14.44 |  |  | $ | 14.12 |  |  | $ | 13.17 |  |  | $ | 13.55 |
Net investment income1 |  |  | 0.71 |  |  |  | 0.77 |  |  |  | 0.87 |  |  |  | 0.85 |  |  |  | 0.86 |
Net realized and unrealized gain (loss) |  |  | (0.38 | ) |  |  | 0.03 |  |  |  | 0.30 |  |  |  | 0.90 |  |  |  | (0.45 | )
Net increase from investment operations |  |  | 0.33 |  |  |  | 0.80 |  |  |  | 1.17 |  |  |  | 1.75 |  |  |  | 0.41 |
Distributions from:2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  | (0.76 | ) |  |  | (0.83 | ) |  |  | (0.85 | ) |  |  | (0.80 | ) |  |  | (0.79 | )
Net realized gain |  |  | (0.14 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  | (0.90 | ) |  |  | (0.83 | ) |  |  | (0.85 | ) |  |  | (0.80 | ) |  |  | (0.79 | )
Net asset value, end of year |  | $ | 13.84 |  |  | $ | 14.41 |  |  | $ | 14.44 |  |  | $ | 14.12 |  |  | $ | 13.17 |
Market price, end of year |  | $ | 12.95 |  |  | $ | 13.84 |  |  | $ | 13.77 |  |  | $ | 13.94 |  |  | $ | 12.65 |
Total Return3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 2.80% |  |  |  | 5.98% |  |  |  | 8.52% |  |  |  | 13.94% |  |  |  | 2.93% |
Based on market price |  |  | 0.15% |  |  |  | 6.75% |  |  |  | 4.82% |  |  |  | 17.12% |  |  |  | 4.17% |
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 2.01% |  |  |  | 1.92% |  |  |  | 1.92% |  |  |  | 1.91% |  |  |  | 2.02% |
Total expenses after fees waived and paid indirectly |  |  | 2.01% |  |  |  | 1.92% |  |  |  | 1.92% |  |  |  | 1.91% |  |  |  | 2.02% |
Total expenses after fees waived and paid indirectly and excluding interest expense |  |  | 1.64% |  |  |  | 1.60% |  |  |  | 1.58% | 4 |  |  | 1.61% | 4 |  |  | 1.71% |
Net investment income |  |  | 5.03% |  |  |  | 5.31% |  |  |  | 6.04% |  |  |  | 6.24% |  |  |  | 6.10% |
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of year (000) |  | $ | 125,183 |  |  | $ | 130,351 |  |  | $ | 130,599 |  |  | $ | 127,455 |  |  | $ | 118,897 |
Borrowings outstanding, end of year (000) |  | $ | 45,000 |  |  | $ | 55,000 |  |  | $ | 49,000 |  |  | $ | 55,000 |  |  | $ | 43,000 |
Asset coverage, end of year per $1,000 of bank borrowings |  | $ | 3,782 |  |  | $ | 3,370 |  |  | $ | 3,665 |  |  | $ | 3,317 |  |  | $ | 3,765 |
Portfolio turnover rate |  |  | 42% |  |  |  | 59% |  |  |  | 85% |  |  |  | 53% |  |  |  | 91% |

| 1 |  | Based on average shares outstanding.

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

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

| 4 |  | For the year ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing cost was 1.57% and 1.52%, respectively.

See Notes to Financial Statements. |  |  |  |
64 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

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

|  | Year Ended August 31, |
|  | 20151 |  |  | 20141 |  |  | 20131 |  |  | 20121 |  |  | 2011 |
Per Share Operating Performance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net asset value, beginning of year |  | $ | 15.38 |  |  | $ | 15.36 |  |  | $ | 14.98 |  |  | $ | 14.04 |  |  | $ | 14.36 |
Net investment income2 |  |  | 0.81 |  |  |  | 0.87 |  |  |  | 0.99 |  |  |  | 0.97 |  |  |  | 0.96 |
Net realized and unrealized gain (loss) |  |  | (0.47 | ) |  |  | 0.04 |  |  |  | 0.42 |  |  |  | 0.90 |  |  |  | (0.36 | )
Net increase from investment operations |  |  | 0.34 |  |  |  | 0.91 |  |  |  | 1.41 |  |  |  | 1.87 |  |  |  | 0.60 |
Distributions from:3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  | (0.81 | ) |  |  | (0.89 | ) |  |  | (1.03 | ) |  |  | (0.93 | ) |  |  | (0.86 | )
Net realized gain |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (0.06 | )
Total distributions |  |  | (0.81 | ) |  |  | (0.89 | ) |  |  | (1.03 | ) |  |  | (0.93 | ) |  |  | (0.92 | )
Net asset value, end of year |  | $ | 14.91 | 4 |  | $ | 15.38 |  |  | $ | 15.36 |  |  | $ | 14.98 |  |  | $ | 14.04 |
Market price, end of year |  | $ | 12.94 |  |  | $ | 14.26 |  |  | $ | 14.96 |  |  | $ | 15.20 |  |  | $ | 13.33 |
Total Return5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 2.88% | 4 |  |  | 6.45% |  |  |  | 9.68% |  |  |  | 13.91% |  |  |  | 4.04% |
Based on market price |  |  | (3.71)% |  |  |  | 1.33% |  |  |  | 5.28% |  |  |  | 21.74% |  |  |  | (2.91)% |
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.56% |  |  |  | 1.48% |  |  |  | 1.54% | 6 |  |  | 1.67% | 7 |  |  | 1.60% |
Total expenses after fees waived and paid indirectly |  |  | 1.56% |  |  |  | 1.48% |  |  |  | 1.52% | 6 |  |  | 1.67% | 7 |  |  | 1.60% |
Total expenses after fees waived and paid indirectly and excluding interest expense |  |  | 1.19% |  |  |  | 1.15% |  |  |  | 1.15% | 6,8 |  |  | 1.35% | 7,8 |  |  | 1.30% |
Net investment income |  |  | 5.39% |  |  |  | 5.65% |  |  |  | 6.49% |  |  |  | 6.67% |  |  |  | 6.44% |
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of year (000) |  | $ | 555,104 |  |  | $ | 572,463 |  |  | $ | 571,802 |  |  | $ | 276,990 |  |  | $ | 259,205 |
Borrowings outstanding, end of year (000) |  | $ | 196,000 |  |  | $ | 235,000 |  |  | $ | 214,000 |  |  | $ | 117,000 |  |  | $ | 93,000 |
Asset coverage, end of year per $1,000 of bank borrowings |  | $ | 3,832 |  |  | $ | 3,436 |  |  | $ | 3,672 |  |  | $ | 3,367 |  |  | $ | 3,787 |
Portfolio turnover rate |  |  | 43% |  |  |  | 58% |  |  |  | 88% |  |  |  | 53% |  |  |  | 91% |

| 1 |  | Consolidated Financial Highlights.

| 2 |  | Based on average shares outstanding.

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

| 4 |  | For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance presented herein are different than the information previously published on August 31, 2015.

| 5 |  | 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.

| 6 |  | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.52%, 1.52% and 1.15%, respectively.

| 7 |  | Includes reorganization costs. Without these costs, total expenses, total expenses after fees waived and paid indirectly and total expenses after fees waived and paid indirectly and excluding interest expense would have been 1.61%, 1.61% and 1.29%, respectively.

| 8 |  | For the year ended August 31, 2013 and August 31, 2012, the total expense ratio after fees waived and paid indirectly and excluding interest expense and borrowing costs were 1.14% and 1.26%, respectively.

See Notes to Financial Statements. |  |  |  |
|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 65

Financial Highlights |  | BlackRock Limited Duration Income Trust (BLW)

|  | Year Ended August 31, |
|  | 20151 |  |  | 20141 |  |  | 20131 |  |  | 20121 |  |  | 2011 |
Per Share Operating Performance |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net asset value, beginning of year |  | $ | 18.09 |  |  | $ | 17.54 |  |  | $ | 17.38 |  |  | $ | 16.52 |  |  | $ | 16.79 |
Net investment income2 |  |  | 1.16 |  |  |  | 1.26 |  |  |  | 1.30 |  |  |  | 1.31 |  |  |  | 1.34 |
Net realized and unrealized gain (loss) |  |  | (0.92 | ) |  |  | 0.51 |  |  |  | 0.25 |  |  |  | 0.88 |  |  |  | (0.37 | )
Net increase from investment operations |  |  | 0.24 |  |  |  | 1.77 |  |  |  | 1.55 |  |  |  | 2.19 |  |  |  | 0.97 |
Distributions from net investment income3 |  |  | (1.29 | ) |  |  | (1.22 | ) |  |  | (1.39 | ) |  |  | (1.33 | ) |  |  | (1.24 | )
Net asset value, end of year |  | $ | 17.04 | 4 |  | $ | 18.09 |  |  | $ | 17.54 |  |  | $ | 17.38 |  |  | $ | 16.52 |
Market price, end of year |  | $ | 14.60 |  |  | $ | 16.81 |  |  | $ | 16.89 |  |  | $ | 18.00 |  |  | $ | 16.01 |
Total Return5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  | 2.23% | 4 |  |  | 10.77% |  |  |  | 9.13% |  |  |  | 13.86% |  |  |  | 5.85% |
Based on market price |  |  | (5.74)% |  |  |  | 6.89% |  |  |  | 1.47% |  |  |  | 21.68% |  |  |  | 2.77% |
Ratios to Average Net Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  | 1.15% |  |  |  | 1.14% |  |  |  | 1.12% |  |  |  | 1.05% |  |  |  | 1.01% |
Total expenses after fees waived and paid indirectly |  |  | 1.15% |  |  |  | 1.14% |  |  |  | 1.12% |  |  |  | 1.05% |  |  |  | 1.00% |
Total expenses after fees waived and paid indirectly and excluding interest expense |  |  | 0.92% |  |  |  | 0.92% |  |  |  | 0.90% |  |  |  | 0.89% |  |  |  | 0.87% |
Net investment income |  |  | 6.65% |  |  |  | 7.00% |  |  |  | 7.34% |  |  |  | 7.82% |  |  |  | 7.75% |
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of year (000) |  | $ | 630,388 |  |  | $ | 669,382 |  |  | $ | 649,120 |  |  | $ | 642,391 |  |  | $ | 609,818 |
Borrowings outstanding, end of year (000) |  | $ | 264,036 |  |  | $ | 293,890 |  |  | $ | 273,347 |  |  | $ | 296,476 |  |  | $ | 244,120 |
Portfolio turnover rate |  |  | 47% |  |  |  | 57% |  |  |  | 71% |  |  |  | 54% |  |  |  | 106% | 6

| 1 |  | Consolidated Financial Highlights.

| 2 |  | Based on average shares outstanding.

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

| 4 |  | For financial reporting purposes, the market value of certain investments were adjusted as of report date. Accordingly, the net asset value (“NAV”) per share and total return performance presented herein are different than the information previously published on August 31, 2015.

| 5 |  | 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.

| 6 |  | Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover rate would have been 87%.

See Notes to Financial Statements. |  |  |  |
66 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements |  |

1. Organization:

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

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

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

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of closed-end funds referred to as the Closed-End Complex.

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the accounts of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA. The Taxable Subsidiary enables FRA to hold an investment in an operating company and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for FRA. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for FRA. FRA may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of August 31, 2015 were $2,116,853, which is 0.4% of FRA’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to FRA.

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

2. Significant Accounting Policies:

The 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:

Foreign Currency: The Funds’ books and records are maintained in U.S. dollars. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective date of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

The Funds do not isolate changes in the exchange rates from the changes in the market prices of investments held or sold for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Funds report realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., financial futures contracts, forward foreign currency exchange contracts, options written and swaps), or certain borrowings (e.g., reverse repurchase transactions) that would be 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 the Fund’s future obligations under such investments or borrowings. Doing so allows the investment or borrowing to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 67

Notes to Financial Statements (continued) |  |

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, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

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

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the independent Directors (“Independent Directors”) may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain other BlackRock Closed-End Funds.

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

Recent Accounting Standard: In June 2014, the Financial Accounting Standards Board issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance will require expanded disclosure for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings. It is effective for financial statements with fiscal years beginning on or after December 15, 2014 and for interim periods beginning after March 15, 2015. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.

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 are prorated among those funds on the basis of relative net assets or other appropriate methods.

The Funds have an arrangement with their custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statements of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges.

3. Investment Valuation and Fair Value Measurements:

Investment Valuation Policies: The Funds’ investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Funds determine the fair values of their financial instruments using independent dealers or pricing services under policies approved by the Board. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to provide oversight of the pricing function for the Funds for all financial instruments.

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

• |  | Equity investments traded on a recognized securities exchange are valued at the official close price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

• |  | Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche.

68 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements (continued) |  |

• |  | Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the 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 business on the NYSE, which follows the close of the local markets.

• |  | Municipal investments (including commitments to purchase such investments on a “when-issued” basis) are valued on the basis of prices provided by dealers or pricing services. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments and information with respect to various relationships between investments.

• |  | Investments in open-end registered investment companies are valued at NAV each business day.

• |  | Financial futures contracts traded on exchanges are valued at their last sale price.

• |  | Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of business on the NYSE. Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of business on the NYSE. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available.

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

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

• |  | Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse.

If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a 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”). 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 consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Fund’s pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

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

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

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

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 69

Notes to Financial Statements (continued) |  |

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

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for each Fund’s investments and derivative instruments has been included in the Schedules of Investments.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with each Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

4. Securities and Other Investments:

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

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

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

Multiple Class Pass-Through Securities: Certain Funds may invest in multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities. These multiple class securities may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by, and multiple class pass-through securities represent direct ownership interests in, a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”), the payments on which are used to make payments on the CMOs or multiple pass-through securities. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and

70 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements (continued) |  |

principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, the Funds may not fully recoup their initial investment in IOs.

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

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

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

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

Warrants: Warrants entitle each Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.

Floating Rate Loan Interests: Certain Funds may invest in floating rate loan interests. The floating rate loan interests held by the Funds are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of its investment policies.

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

Floating rate loan interests are usually freely callable at the borrower’s option. The Funds may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 71

Notes to Financial Statements (continued) |  |

As a result, the Funds will assume the credit risk of both the borrower and the lender that is selling the Participation. The Funds’ investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, the Funds may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in the Funds having a direct contractual relationship with the borrower, and the Funds may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, certain Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of August 31, 2015, the Funds had the following unfunded floating rate loan interests:

|  | Borrower |  | Unfunded Floating Rate Loan Interest |  |  | Value of Underlying Floating Rate Loan Interest |  |  | Unrealized Depreciation |
BHL…. |  | Universal Services of America LP, 2015 2nd Lien Delayed Draw Term Loan |  | $ | 8,878 |  |  | $ | 8,789 |  |  |  | — |
BHL…. |  | Universal Services of America LP, 2015 Delayed Draw Term Loan |  | $ | 34,965 |  |  | $ | 34,498 |  |  | $ | (116 | )
FRA…. |  | Universal Services of America LP, 2015 2nd Lien Delayed Draw Term Loan |  | $ | 39,490 |  |  | $ | 39,095 |  |  |  | — |
FRA…. |  | Universal Services of America LP, 2015 Delayed Draw Term Loan |  | $ | 155,755 |  |  | $ | 153,679 |  |  | $ | (519 | )
BLW… |  | Universal Services of America LP, 2015 2nd Lien Delayed Draw Term Loan |  | $ | 30,000 |  |  | $ | 29,700 |  |  |  | — |
BLW… |  | Universal Services of America LP, 2015 Delayed Draw Term Loan |  | $ | 62,583 |  |  | $ | 61,748 |  |  | $ | (208 | )

Forward Commitments and When-Issued Delayed Delivery Securities: Certain Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them, but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, the Funds are not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. The Funds receive cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If the Funds suffer a loss on its investment of the transaction proceeds from a reverse repurchase agreement, the Funds would still be required to pay the full repurchase price. Further, the Funds remain subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, the Funds would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

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

For the year ended August 31, 2015, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rates for BLW were $286,683,989 and 0.53%, respectively.

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

72 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements (continued) |  |

As of August 31, 2015, the following table is a summary of the BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

Counterparty |  |  |  | Reverse Repurchase Agreements |  |  | Fair Value of Non-cash Collateral Pledged Including Accrued Interest1 |  |  | Cash Collateral Pledged |  |  | Net Amount |
Barclays Capital, Inc. |  |  |  | $ | 18,193,459 |  |  | $ | (18,193,459 | ) |  |  | — |  |  |  | — |
BNP Paribas Securities Corp. |  |  |  |  | 9,892,089 |  |  |  | (9,892,089 | ) |  |  | — |  |  |  | — |
Credit Suisse Securities (USA) LLC |  |  |  |  | 11,266,587 |  |  |  | (11,266,587 | ) |  |  | — |  |  |  | — |
Deutsche Bank Securities, Inc. |  |  |  |  | 73,643,047 |  |  |  | (73,643,047 | ) |  |  | — |  |  |  | — |
HSBC Securities (USA), Inc. |  |  |  |  | 55,808,435 |  |  |  | (55,808,435 | ) |  |  | — |  |  |  | — |
RBC Capital Markets LLC |  |  |  |  | 50,009,371 |  |  |  | (50,009,371 | ) |  |  | — |  |  |  | — |
UBS Securities LLC |  |  |  |  | 45,223,472 |  |  |  | (45,223,472 | ) |  |  | — |  |  |  | — |
Total |  |  |  | $ | 264,036,460 |  |  | $ | (264,036,460 | ) |  |  | — |  |  |  | — |

| 1 |  | Net collateral with a value of $295,027,898 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

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

Commitments: BLW may enter into commitments, or agreements, to acquire an investment at a future date (subject to certain conditions) in connection with a potential public or non-public offering. Such agreements may obligate BLW to make future cash payments. As of August 31, 2015, BLW had outstanding commitments of $10,878,000. These commitments are not included in the net assets of the Fund as of August 31, 2015.

Short Sales: Certain Funds may enter into short sale transactions in which the Funds sells a security they do not hold in anticipation of a decline in the market price of that security. When the Funds make a short sale, they will borrow the security sold short (borrowed bond) and deliver the security to the counterparty to which they sold the security short. An amount equal to the proceeds received by the Funds is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. The Funds are required to repay the counterparty interest on the security sold short, which, if applicable, is shown as interest expense in the Statements of Operations. The Funds are exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of a theoretically unlimited loss since there is a theoretically unlimited potential for the market price of the security sold short to increase. A gain, limited to the price at which the Funds sold the security short, or a loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that the Funds will be able to close out a short position at a particular time or at an acceptable price.

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 economically their exposure to certain risks such as credit risk, equity risk, interest rate risk, and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.

Financial Futures Contracts: Certain Funds invest in long and/or short positions in financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk). Financial futures contracts are agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and at a specified date. Depending on the terms of the particular contract, financial futures contracts are settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash settlement amount on the settlement date.

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

When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of financial futures contracts involves the risk of an imperfect correlation in the movements in the price of financial futures contracts, interest or foreign currency exchange rates and the underlying assets.

Forward Foreign Currency Exchange Contracts: Certain Funds enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 73

Notes to Financial Statements (continued) |  |

risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: Certain Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments including equity risk and interest rate risk and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (write) an option,

an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is “covered,” meaning that the Funds hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

Options on swaps (“swaptions”) are similar to options on securities except that instead of selling or purchasing the right to buy or sell a security, the writer or purchaser of the swaptions is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

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

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

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

For OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the OTC swap. Payments received or made by the Funds for OTC swaps are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, the Funds will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

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

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

74 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements (continued) |  |

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

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

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

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain less the value of any collateral held by such Fund.

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

With exchange-traded options purchased, 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) of the clearing broker or clearinghouse. 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.

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

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

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Notes to Financial Statements (continued) |  |

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

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

6. Investment Advisory Agreement and Other Transactions with Affiliates:

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

Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment advisor, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory and administration services. The Manager is responsible for the management of each Fund’s portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Fund’s average daily net assets plus the proceeds of any outstanding borrowings used for leverage at the following annual rates:

BHL |  |  | 1.00% |
FRA |  |  | 0.75% |
BLW |  |  | 0.55% |

The Manager voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with each Fund’s investments in other affiliated investment companies, if any. These amounts are shown as fees waived by the Manager in the Statements of Operations.

The Manager provides investment management and other services to the Taxable Subsidiaries. The Manager does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Fund pays the Manager based on the Fund’s net assets, which include the assets of the Taxable Subsidiaries.

Certain officers and/or Directors of the Funds are officers and/or directors of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in officer and directors in the Statements of Operations.

7. Purchases and Sales:

For the year ended August 31, 2015, purchases and sales of investments, including paydowns and excluding short-term securities, were as follows:

Purchases |  | BHL |  |  | FRA |  |  | BLW |
Non-U.S. Government Securities |  | $ | 74,968,375 |  |  | $ | 340,775,205 |  |  | $ | 427,705,916 |
U.S. Government Securities |  |  | — |  |  |  | — |  |  |  | 12,071,661 |
Total Purchases |  | $ | 74,968,375 |  |  | $ | 340,775,205 |  |  | $ | 439,777,577 |
Sales |  | BHL |  |  | FRA |  |  | BLW |
Non-U.S. Government Securities (includes paydowns) |  | $ | 85,194,466 |  |  | $ | 373,327,184 |  |  | $ | 447,444,553 |
U.S. Government Securities |  |  | — |  |  |  | — |  |  |  | 11,943,885 |
Total Sales |  | $ | 85,194,466 |  |  | $ | 373,327,184 |  |  | $ | 459,388,438 |

8. Income Tax Information:

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

76 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements (continued) |  |

The Funds file U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds’ U.S. federal tax returns remains open for each of the four years ended August 31, 2015. The statutes of limitations on the Funds’ state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of August 31, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

U.S. GAAP require that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share. As of August 31, 2015, the following permanent differences attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, non-deductible expenses, the expiration of capital loss carryforwards and liquidating distribution on a wholly-owned subsidiary were reclassified to the following accounts:

|  | BHL |  |  | FRA |  |  | BLW |
Paid-in capital |  |  | — |  |  | $ | (229,369 | ) |  | $ | (2,029,606 | )
Undistributed net investment income |  | $ | 90,903 |  |  | $ | 648,421 |  |  | $ | 6,944,694 |
Undistributed net realized gain (Accumulated net realized loss) |  | $ | (90,903 | ) |  | $ | (419,052 | ) |  | $ | (4,915,088 | )

The tax character of distributions paid was as follows:

|  |  |  |  | BHL |  |  | FRA |  |  | BLW |
Ordinary income |  |  | 8/31/2015 |  |  | $ | 6,869,345 |  |  | $ | 30,210,441 |  |  | $ | 47,771,976 |
|  |  | 8/31/2014 |  |  | $ | 7,542,730 |  |  | $ | 33,203,943 |  |  | $ | 45,292,717 |
Long term Capital Gains |  |  | 8/31/2015 |  |  | $ | 1,286,571 |  |  |  | — |  |  |  | — |
Total |  |  | 8/31/2015 |  |  | $ | 8,155,916 |  |  | $ | 30,210,441 |  |  | $ | 47,771,976 |
|  |  | 8/31/2014 |  |  | $ | 7,542,730 |  |  | $ | 33,203,943 |  |  | $ | 45,292,717 |

As of August 31, 2015 the tax components of accumulated net losses were as follows:

|  | BHL |  |  | FRA |  |  | BLW |
Undistributed ordinary income |  | $ | 655,125 |  |  | $ | 2,999,553 |  |  | $ | 5,490,718 |
Capital loss carryforwards |  |  | (1,098,340 | ) |  |  | (89,885,804 | ) |  |  | (58,887,414 | )
Net unrealized gains (losses)1 |  |  | (2,693,706 | ) |  |  | (17,814,214 | ) |  |  | (17,513,490 | )
Total |  | $ | (3,136,921 | ) |  | $ | (104,700,465 | ) |  | $ | (70,910,186 | )

| 1 |  | The differences between book-basis and tax-basis net unrealized losses were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the accounting for swap agreements, dividends recognized for tax purposes, the deferral of compensation to directors and investments in wholly owned subsidiaries.

As of August 31, 2015, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

Expires |  | BHL |  |  | FRA |  |  | BLW |
2016 |  |  | — |  |  | $ | 20,623,334 |  |  | $ | 284,006 |
2017 |  |  | — |  |  |  | 30,228,590 |  |  |  | 9,996,868 |
2018 |  |  | — |  |  |  | 27,716,009 |  |  |  | 37,509,275 |
2019 |  |  | — |  |  |  | 2,206,081 |  |  |  | — |
No expiration date3 |  | $ | 1,098,340 |  |  |  | 9,111,790 |  |  |  | 11,097,265 |
Total |  | $ | 1,098,340 |  |  | $ | 89,885,804 |  |  | $ | 58,887,414 |

| 3 |  | Must be utilized prior to losses subject to expiration.

As of August 31, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

|  | BHL |  |  | FRA |  |  | BLW |
Tax cost |  | $ | 173,172,876 |  |  | $ | 780,667,448 |  |  | $ | 900,797,475 |
Gross unrealized appreciation |  | $ | 522,197 |  |  | $ | 3,254,895 |  |  | $ | 12,877,118 |
Gross unrealized depreciation |  |  | (3,208,679 | ) |  |  | (20,855,164 | ) |  |  | (30,325,548 | )
Net unrealized appreciation (depreciation) |  | $ | (2,686,482 | ) |  | $ | (17,600,269 | ) |  | $ | (17,448,430 | )

9. Bank Borrowings:

BHL and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to BHL and FRA, respectively. As of August 31, 2015, BHL and FRA have not received any notice to terminate. BHL and FRA have granted a security interest in substantially all of their assets to SSB.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 77

Notes to Financial Statements (continued) |  |

The SSB Agreement allows for the following maximum commitment amounts:

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

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

In addition, BHL and FRA pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if BHL and FRA meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to BHL and FRA as of August 31, 2015 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

BHL 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 August 31, 2015, the average amount of bank borrowings and the daily weighted average interest rates for BHL and FRA, funds with loans under the revolving credit agreements were as follows:

|  | Average Amount of Bank Borrowings |  |  | Daily Weighted Average Interest Rate |
BHL |  | $ | 49,947,945 |  |  |  | 0.94% |
FRA |  | $ | 221,632,877 |  |  |  | 0.94% |

10. Principal Risks:

In the normal course of business, certain Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations, including to pay principal and interest when due (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency, interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that 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 generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

Certain Funds may invest in securities that are rated below investment grade quality (sometimes called “junk bonds”), which are predominantly speculative, have greater credit risk and generally are less liquid and have more volatile prices than higher quality securities.

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

Certain Funds invest a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. Investment percentages in these securities are presented in the Schedules of Investments. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions.

11. Capital Share Transactions

BHL and BLW are authorized to issue an unlimited number of shares, par value $0.001, all of which were initially classified as Common Shares. FRA is authorized to issue 200 million shares, par value $0.10, all of which were initially classified as Common Shares. The Board is authorized, however, to reclassify any unissued Common Shares without approval of Common Shareholders.

For the years ended August 31, 2015 and August 31, 2014, shares issued and outstanding remained constant.

FRA and BLW each filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing them to issue an additional 3,050,000 and 3,750,000 Common Shares, respectively, through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, FRA and BLW, subject to

78 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Notes to Financial Statements (continued) |  |

market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA and BLW’s NAV per Common Share (calculated within 48 hours of pricing). Please see Additional Information — Shelf Offering Program for additional information about the Shelf Offering.

Costs incurred by FRA and BLW in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

12. Contingencies:

In May 2015, the Motors Liquidation Company Avoidance Action Trust, as the Trust Administrator and Trustee of the General Motors bankruptcy estate, began serving amended complaints on defendants, which include former holders of certain General Motors debt (the “Debt”), in an adversary proceeding in the United States Bankruptcy Court for the Southern District of New York. In addition to FRA, the lawsuit also names over five hundred other institutional investors as defendants, some of which are also managed by BlackRock Advisors, LLC or its affiliates. The plaintiffs are seeking an order that FRA and other defendants return proceeds received in 2009 in full payment of the principal and interest on the Debt. The holders received a full repayment of a term loan pursuant to a court order in the General Motors bankruptcy proceeding with the understanding that the Debt was fully secured at the time of repayment. The plaintiffs contend that FRA and other defendants were not secured creditors at the time of the 2009 payments and therefore not entitled to the payments in full. FRA cannot predict the outcome of the lawsuit, or the effect, if any, on FRA’s net asset value. As such, no liability for litigation related to this matter is reflected in the financial statements. Management cannot determine the amount of loss that will be realized by FRA but does not expect the loss to exceed the payment received in 2009. The amount of the proceeds received in 2009 is $668,165.

13. Subsequent Events:

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

The Funds paid a net investment income dividend in the following amounts per share on September 30, 2015 to shareholders of record on September 15, 2015:

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

Additionally, the Funds declared a net investment income dividend on October 1, 2015 payable to Common Shareholders of record on October 15, 2015 as follows:

|  | Common Dividend Per Share |
BHL |  | $ | 0.0510 |
FRA |  | $ | 0.0610 |
BLW |  | $ | 0.0870 |

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 79

Report of Independent Registered Public Accounting Firm |  |

To the Shareholders and Board of Directors of BlackRock Floating Rate Income Strategies Fund, Inc. and to the Shareholders and Board of Trustees of BlackRock Defined Opportunity Credit Trust and BlackRock Limited Duration Income Trust:

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of BlackRock Defined Opportunity Credit Trust (the “Fund”) as of August 31, 2015, and its related statements of operations and cash flows for the year then ended, its statements of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. We have also audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of BlackRock Floating Rate Income Strategies Fund, Inc., and the statement of assets and liabilities, including the schedule of investments, of BlackRock Limited Duration Income Trust, (collectively with the Fund mentioned above, the “Funds”), as of August 31, 2015, and their related consolidated statements of operations and consolidated cash flows for the year then ended, their consolidated statements of changes in net assets for each of the two years in the period then ended, and their consolidated financial highlights for the years ended August 31, 2015, August 31, 2014, August 31, 2013, and August 31, 2012, and their financial highlights for the year ended August 31, 2011. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). 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. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, 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. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2015, by correspondence with the custodian, brokers and agent banks; where replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of BlackRock Defined Opportunity Credit Trust as of August 31, 2015, the results of its operations and its cash flows for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, and the consolidated financial position of BlackRock Floating Rate Income Strategies Fund, Inc., and the financial position of BlackRock Limited Duration Income Trust, as of August 31, 2015, the consolidated results of their operations and their consolidated cash flows for the year then ended, the consolidated changes in their net assets for each of the two years in the period then ended, and their consolidated financial highlights for the years ended August 31, 2015, August 31, 2014, August 31, 2013, and August 31, 2012, and their financial highlights for the year ended August 31, 2011, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

Boston, Massachusetts

October 26, 2015

Important Tax Information (Unaudited) |  |

The following information is provided with respect to the ordinary income distributions paid by the Funds during the fiscal year ended August 31, 2015

|  |  |  | BHL |  |  | FRA |  |  | BLW |
Qualified Dividend Income for Individuals1 |  |  |  |  |  |  |  |  |  |  |  |  |  |
September 2014-December 2014 |  |  |  |  | — |  |  |  | — |  |  |  | 5.88% |
January 2015- August 2015 |  |  |  |  | — |  |  |  | — |  |  |  | 5.58% |
Dividends Qualifying for the Dividends Received Deduction for Corporations1 |  |  |  |  |  |  |  |  |  |  |  |  |  |
September 2014-December 2014 |  |  |  |  | — |  |  |  | — |  |  |  | 4.94% |
January 2015- August 2015 |  |  |  |  | — |  |  |  | — |  |  |  | 4.17% |
Interest-Related Dividends for Non-U.S. Residents2 |  |  |  |  |  |  |  |  |  |  |  |  |  |
September 2014-December 2014 |  |  |  |  | 79.71% |  |  |  | 80.40% |  |  |  | 79.73% |
January 2015- August 2015 |  |  |  |  | 79.27% |  |  |  | 78.58% |  |  |  | 53.54% |

| 1 |  | The Fund hereby designates the percentage indicated above or the maximum amount allowable by law.

| 2 |  | Represents the portion of the taxable ordinary income dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations.

Additionally, BHL distributed long-term capital gains of $0.142256 per share to shareholders of record on December 31, 2014.

80 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Disclosure of Investment Advisory Agreements |  |

The Board of Directors or Trustees, as applicable, (each, a “Board,” collectively, the “Boards,” and the members of which are referred to as “Board Members”) of BlackRock Defined Opportunity Credit Trust (“BHL”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”) and BlackRock Limited Duration Income Trust (“BLW” and together with BHL and FRA, each a “Fund,” and, collectively, the “Funds”) met in person on April 30, 2015 (the “April Meeting”) and June 11-12, 2015 (the “June Meeting”) to consider the approval of each Fund’s investment advisory agreement (each, an “Advisory Agreement,” and, collectively, the “Advisory Agreements”) with BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Manager is referred to herein as “BlackRock.” The Advisory Agreements are also referred to herein as the “Agreements.”

Activities and Composition of the Board

On the date of the April and June Meetings, the Board of each Fund consisted of eleven individuals, nine of whom were not “interested persons” of such Fund as defined in the Investment Company Act of 1940 (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Fund and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chairman of each Board is an Independent Board Member. Each Board has established six standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight Committee, an Executive Committee, and a Leverage Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee and the Leverage Committee, each of which also has one interested Board Member).

The Agreements

Pursuant to the 1940 Act, each Board is required to consider the continuation of its Advisory Agreement on an annual basis. The Boards have four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreements and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Boards assessed, among other things, the nature, extent and quality of the services provided to the Funds by BlackRock, BlackRock’s personnel and affiliates, including, as applicable; investment management services, administrative, and shareholder services; the oversight of fund service providers; marketing services; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.

The Boards, acting directly and through their respective committees, consider at each of their meetings, and from time to time as appropriate, factors that are relevant to their annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to the Funds and their shareholders. Among the matters the Boards considered were: (a) investment performance for one-year, three-year, five-year and/or since inception periods, as applicable, against peer funds, applicable benchmarks, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Funds for services such as call center; (c) Fund operating expenses and how BlackRock allocates expenses to the Funds; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Funds’ investment objective(s), policies and restrictions, and meeting new regulatory requirements; (e) the Funds’ compliance with its compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Boards; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of the Funds’ valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Funds; (l) BlackRock’s compensation methodology for its investment professionals and the incentives it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.

The Boards have engaged in an ongoing strategic review with BlackRock of opportunities to consolidate funds and of BlackRock’s commitment to investment performance. BlackRock also furnished information to the Boards in response to specific questions. These questions covered issues such as: BlackRock’s profitability; investment performance; funds trading at a discount; subadvisory and advisory relationships with other clients (including mutual funds sponsored by third parties); fund size; portfolio manager’s investments in the funds they manage; and management fee levels and breakpoints. The Boards further discussed with BlackRock: BlackRock’s management structure; portfolio turnover; BlackRock’s portfolio manager compensation and performance accountability; marketing support for the funds; services provided to the funds by BlackRock affiliates; and BlackRock’s oversight of relationships with third party service providers.

Board Considerations in Approving the Agreements

The Approval Process: Prior to the April Meeting, the Boards requested and received materials specifically relating to the Agreements. The Boards are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Lipper, Inc. (“Lipper”) on Fund fees and expenses as compared with a peer group of funds as determined by Lipper (“Expense Peers”) and the

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 81

Disclosure of Investment Advisory Agreements (continued)

investment performance of each Fund as compared with a peer group of funds as determined by Lipper 1, and, with respect to BHL and FRA, a customized peer group selected by BlackRock, as well as the investment performance of BLW as compared with its custom benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, and open-end funds, under similar investment mandates, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by each Fund to BlackRock and (g) if applicable, a comparison of management fees to similar BlackRock closed-end funds, as classified by Lipper.

At the April Meeting, the Boards reviewed materials relating to their consideration of the Agreements. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Boards’ year-long deliberative process, the Boards presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the June Meeting.

At the June Meeting, each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2016. In approving the continuation of the Agreements, the Boards considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Funds and BlackRock; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Funds; (d) the Funds’ costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance comparison as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to BlackRock and its affiliates as a result of its relationship with the Funds; and (g) other factors deemed relevant by the Board Members.

The Boards also considered other matters they deemed important to the approval process, such as payments made to BlackRock or its affiliates relating to securities lending and cash management, services related to the valuation and pricing of Fund portfolio holdings, direct and indirect benefits to BlackRock and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Boards’ review. The Boards noted the willingness of BlackRock personnel to engage in open, candid discussions with the Boards. The Boards did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services Provided by BlackRock: The Boards, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Funds. Throughout the year, the Boards compared the Funds’ performance to the performance of a comparable group of closed-end funds, relevant benchmark, and performance metrics, as applicable. The Boards met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. Each Board also reviewed the materials provided by its Fund’s portfolio management team discussing the Fund’s performance and the Fund’s investment objective(s), strategies and outlook.

The Boards considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and their Funds’ portfolio management teams; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Boards engaged in a review of BlackRock’s compensation structure with respect to the Funds’ portfolio management teams and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to advisory services, the Boards considered the quality of the administrative and other non-investment advisory services provided to the Funds. BlackRock and its affiliates provide the Funds with certain services (in addition to any such services provided to the Funds by third parties) and officers and other personnel as are necessary for the operations of the Funds. In particular, BlackRock and its affiliates provide the Funds with the following administrative services including, among others: (i) preparing disclosure documents, such as the prospectus and the statement of additional information in connection with the initial public offering and periodic shareholder reports, and with respect to FRA and BLW, registration statements in connection with the Fund’s equity shelf program; (ii) preparing communications with analysts to support secondary market trading of the Funds; (iii) oversight of daily accounting and pricing; (iv) preparing periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of other service providers; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Boards in their consideration of strategic issues such as the merger, consolidation or repurposing of certain closed-end funds; and (ix) performing other administrative functions necessary for the operation of the Funds, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Boards reviewed the structure and duties of BlackRock’s fund administration, shareholder services, legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.

B. The Investment Performance of the Funds and BlackRock: Each Board, including the Independent Board Members, also reviewed and considered the performance history of its Fund. In preparation for the April Meeting, the Boards worked with their independent legal counsel, BlackRock and Lipper to develop a template for, and were provided with reports independently prepared by Lipper, which included a comprehensive analysis of each Fund’s

1 |  | Funds are ranked by Lipper in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable.

82 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Disclosure of Investment Advisory Agreements (continued)

performance. The Boards also reviewed a narrative and statistical analysis of the Lipper data that was prepared by BlackRock. In connection with its review, each Board received and reviewed information regarding the investment performance, based on net asset value (NAV), of its Fund as compared to other funds in its applicable Lipper category, and with respect to BHL and FRA, the customized peer group selected by BlackRock, and with respect to BLW, the investment performance of BLW as compared with its custom benchmark. The Boards were provided with a description of the methodology used by Lipper to select peer funds and periodically meets with Lipper representatives to review its methodology. Each Board and its Performance Oversight Committee regularly review, and meet with Fund management to discuss, the performance of its Fund throughout the year.

In evaluating performance, the Boards recognized that the performance data reflects a snapshot of a period or as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Boards recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.

The Board of BLW noted that for each of the one-, three- and five-year periods reported, BLW exceeded its customized benchmark. BlackRock believes that performance relative to the customized benchmark is an appropriate performance metric for BLW.

The Board of BHL noted that for the one-, three- and five-year periods reported, BHL ranked in the second, third and fourth quartiles, respectively, against its Customized Lipper Peer Group. BlackRock believes that the Customized Lipper Peer Group is an appropriate performance metric for BHL.

The Board of FRA noted that for the one-, three- and five-year periods reported, FRA ranked in the second, third and third quartiles, respectively, against its Customized Lipper Peer Group. BlackRock believes that the Customized Lipper Peer Group is an appropriate performance metric for FRA.

The Board of each of BHL and FRA also noted its respective Fund’s improved performance during the one-year period. The Board of each of BHL and FRA and BlackRock reviewed and discussed the reasons for its respective Fund’s underperformance during the three- and five-year periods. BHL’s and FRA’s Board was informed that, among other things, the two factors with the greatest impact on performance relative to each Fund’s peers during these periods were the Fund’s leverage utilization limit and the Fund’s portfolio management team’s higher quality investment style.

The Board of each of BHL and FRA and BlackRock also discussed BlackRock’s strategy for improving its respective Fund’s performance and BlackRock’s commitment to providing the resources necessary to assist the Fund’s portfolio managers in seeking to do so.

C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Funds: Each Board, including the Independent Board Members, reviewed its Fund’s contractual management fee rate compared with the other funds in its Lipper category. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. Each Board also compared its Fund’s total expense ratio, as well as its actual management fee rate as a percentage of total assets, to those of other funds in its Lipper category. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual management fee rate gives effect to any management fee reimbursements or waivers that benefit a fund. The Boards considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds.

The Boards received and reviewed statements relating to BlackRock’s financial condition. The Boards reviewed BlackRock’s profitability methodology and were also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Funds. The Boards reviewed BlackRock’s profitability with respect to the Funds and other funds the Boards currently oversee for the year ended December 31, 2014 compared to available aggregate profitability data provided for the prior two years. The Boards reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Boards reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Boards recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.

The Boards noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Boards reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Boards considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.

In addition, the Boards considered the cost of the services provided to the Funds by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management of the Funds and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Boards reviewed BlackRock’s methodology in allocating its costs to the management of the Funds. The Boards may periodically receive and review information from independent third parties as part of their annual evaluation. BlackRock retained an independent third party to evaluate its cost allocation methodologies in the context of BlackRock’s 1940 Act Fund business. The Boards considered the results of that evaluation in connection with BlackRock’s profitability reporting. The Boards also considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 83

Disclosure of Investment Advisory Agreements (concluded)

obligations under the Agreements and to continue to provide the high quality of services that is expected by the Boards. The Boards further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Funds in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.

The Board of BHL noted that BHL’s contractual management fee rate ranked in the second quartile, and that the actual management fee rate and total expense ratio each ranked in the second quartile, relative to the Fund’s Expense Peers.

The Board of each of FRA and BLW noted that its respective Fund’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Fund’s Expense Peers.

D. Economies of Scale: Each Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of its Fund increase. Each Board also considered the extent to which its Fund benefits from such economies and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Fund to participate in these economies of scale, for example through the use of breakpoints in the advisory fee based upon the asset level of the Fund.

Based on the Boards’ review and consideration of the issue, the Boards concluded that most closed-end funds do not have fund level breakpoints because closed-end funds generally do not experience substantial growth after the initial public offering. They are typically priced at scale at a fund’s inception. The Board of each of FRA and BLW noted that although FRA and BLW may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of the Fund’s assets will occur primarily through the appreciation of the Fund’s investment portfolio.

E. Other Factors Deemed Relevant by the Board Members: The Boards, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Funds, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Funds, including securities lending and cash management services. The Boards also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Boards also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Boards further noted that it had considered the investment by BlackRock’s funds in exchange traded funds (i.e., ETFs) without any offset against the management fees payable by the funds to BlackRock.

In connection with its consideration of the Agreements, the Boards also received information regarding BlackRock’s brokerage and soft dollar practices. The Boards received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

The Boards noted the competitive nature of the closed-end fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

The Boards also considered the various notable initiatives and projects BlackRock performed in connection with its closed-end fund product line. These initiatives included the redemption of AMPS for the BlackRock closed-end funds with AMPS outstanding; developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; share repurchases and other support initiatives for certain BlackRock funds; and continued communications efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of closed-end funds. BlackRock’s support services included, among other things: continuing communications concerning the redemption efforts related to AMPS; sponsoring and participating in conferences; communicating with closed-end fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the closed-end funds; and maintaining and enhancing its closed-end fund website.

Conclusion

Each Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and its Fund for a one-year term ending June 30, 2016. Based upon its evaluation of all of the aforementioned factors in their totality, each Board, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of its Fund and its shareholders. In arriving at its decision to approve the Agreement for its Fund, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Funds reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.

84 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Automatic Dividend Reinvestment Plans |  |

Pursuant to each Fund’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After the Funds declare a dividend or determine to make a capital gain 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.

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 dividends and 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 dividends and distributions. The automatic reinvestment of dividends and distributions will not relieve participants of any federal income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan. However, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share fee. Per share fees include any applicable brokerage commissions the Reinvestment Plan Agent is required to pay. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N. A. through the internet at http://www.computershare.com/blackrock, or in writing to Computershare, P. O. Box 30170, College Station, TX 77842-3170, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 211 Quality Circle, Suite 210, College Station, TX 77845.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 85

Officers and Directors |  |

Name, Address1 and Year of Birth |  | Position(s) Held with Funds |  | Length of Time Served as a Director3 |  | Principal Occupation(s) During Past Five Years |  | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen |  | Public Directorships
Independent Directors2 |  |  |  |  |  |
Richard E. Cavanagh 1946 |  | Chair of the Board and Director |  | Since 2007 |  | Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life Insurance Company of America since 1998; Director, Arch Chemical (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007. |  | 76 RICs consisting of 76 Portfolios |  | None
Karen P. Robards 1950 |  | Vice Chairperson of the Board, Chairperson of the Audit Committee and Director |  | Since 2007 |  | Partner of Robards & Company, LLC (financial advisory firm) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Investment Banker at Morgan Stanley from 1976 to 1987. |  | 76 RICs consisting of 76 Portfolios |  | AtriCure, Inc. (medical devices); Greenhill & Co., Inc.; Care Investment Trust, Inc. (health care real estate investment trust) from 2007 to 2010
Michael J. Castellano 1946 |  | Director and Member of the Audit Committee |  | 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; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company). since 2015. |  | 76 RICs consisting of 76 Portfolios |  | None
Frank J. Fabozzi4 1948 |  | Director and Member of the Audit Committee |  | Since 2007 |  | Editor of and Consultant for The Journal of Portfolio Management since 2006; Professor of Finance, EDHEC Business School since 2011; Visiting Professor, Princeton University from 2013 to 2014; Professor in the Practice of Finance and Becton Fellow, Yale University School of Management from 2006 to 2011. |  | 109 RICs consisting of 235 Portfolios |  | None
Kathleen F. Feldstein 1941 |  | Director |  | Since 2007 |  | President of Economics Studies, Inc. (private economic consulting firm) since 1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee Emeritus thereof since 2008; Member of the Board of Partners Community Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners HealthCare since 1995; Trustee, Museum of Fine Arts, Boston since 1992; Member of the Visiting Committee to the Harvard University Art Museum since 2003; Director, Catholic Charities of Boston since 2009. |  | 76 RICs consisting of 76 Portfolios |  | The McClatchy Company (publishing)
James T. Flynn 1939 |  | Director and Member of the Audit Committee |  | Since 2007 |  | Chief Financial Officer of JPMorgan & Co., Inc. from 1990 to 1995. |  | 76 RICs consisting of 76 Portfolios |  | None
Jerrold B. Harris 1942 |  | Director |  | Since 2007 |  | Trustee, Ursinus College from 2000 to 2012; Director, Waterfowl Chesapeake (conservation) since 2014; Director, Ducks Unlimited, Inc. (conservation) since 2013; Director, Troemner LLC (scientific equipment) since 2000; Director of Delta Waterfowl Foundation from 2010 to 2012; President and Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999. |  | 76 RICs consisting of 76 Portfolios |  | BlackRock Capital Investment Corp. (business development company)
R. Glenn Hubbard 1958 |  | Director |  | Since 2007 |  | Dean, Columbia Business School since 2004; Faculty member, Columbia Business School since 1988. |  | 76 RICs consisting of 76 Portfolios |  | ADP (data and information services); Metropolitan Life Insurance Company (insurance)

86 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Officers and Directors (continued) |  |

Name, Address1 and Year of Birth |  | Position(s) Held with Funds |  | Length of Time Served as a Director3 |  | Principal Occupation(s) During Past Five Years |  | Number of BlackRock- Advised Registered Investment Companies (“RICs”) Consisting of Investment Portfolios (“Portfolios”) Overseen |  | Public Directorships
Independent Directors2 (concluded) |  |  |  |  |  |  |  |
W. Carl Kester 1951 |  | Director and Member of the Audit Committee |  | 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. |  | 76 RICs consisting of 76 Portfolios |  | None
|  | 1 The address of each Director and Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
|  | 2 Independent Directors serve until their resignation, retirement, removal or death, or until December 31 of the year in which they turn 74. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon finding of good cause thereof. The Board has unanimously approved further extending the mandatory retirement age for Mr. James T. Flynn until December 31, 2015, which the Board believes is in the best interest of shareholders.
|  | 3 Date shown is the earliest date a person has served for the Funds covered by this annual report. Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. (“BlackRock”) in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. As a result, although the chart shows certain Directors as joining the Funds’ board in 2007, those 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; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995 and Karen P. Robards, 1998.
|  | 4 For purposes of this chart, “RICs” refers to investment companies registered under the 1940 Act and “Portfolios” refers to the investment programs of the BlackRock-advised funds. The Closed-End Complex is comprised of 76 RICs. Mr. Perlowski, Dr. Fabozzi and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is also a board member of the BlackRock Equity-Bond Complex, and Ms. Novick and Dr. Fabozzi are also board members of the BlackRock Equity-Liquidity Complex.
Interested Directors5 |  |  |  |  |  |
Barbara G. Novick 1960 |  | Director |  | Since 2014 |  | Vice Chairman of BlackRock since 2006; Chair of BlackRock’s Government Relations Steering Committee since 2009; Head of the Global Client Group of BlackRock, Inc. from 1988 to 2008. |  | 109 RICs consisting of 235 Portfolios |  | None
John M. Perlowski 1964 |  | Director, President and Chief Executive Officer |  | Since 2014 |  | Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009. |  | 104 RICs consisting of 174 Portfolios |  | None
|  | 5 Mr. Perlowski and Ms. Novick are both “interested persons,” as defined in the 1940 Act, of the Funds based on their positions with BlackRock and its affiliate. Mr. Perlowski and Ms. Novick are also board members of a complex of BlackRock registered open-end funds. Mr. Perlowski is a board member of the BlackRock Equity-Bond Complex and Ms. Novick is a board member of the BlackRock Equity-Liquidity Complex. Interested Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. The maximum age limitation may be waived as to any Director by action of a majority of the Directors upon a finding of good cause thereof.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 87

Officers and Directors (concluded) |  |

Name, Address1 and Year of Birth |  | Position(s) Held with the Funds |  | Length of Time Served |  | Principal Occupation(s) During Past Five Years
Officers2 |  |  |  |  |  |
John M. Perlowski 1964 |  | Director, President and Chief Executive Officer |  | Since 2011 |  | Managing Director of BlackRock since 2009; Head of BlackRock Global Fund Services since 2009; Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management, L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family Resource Network (charitable foundation) since 2009.
Robert W. Crothers 1981 |  | Vice President |  | Since 2012 |  | Director of BlackRock since 2011; Vice President of BlackRock from 2008 to 2010.
Neal Andrews 1966 |  | Chief Financial Officer |  | Since 2007 |  | Managing Director of BlackRock since 2006; Senior Vice President and Line of Business Head of Fund Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.
Jay Fife 1970 |  | Treasurer |  | Since 2007 |  | Managing Director of BlackRock since 2007; Director of BlackRock in 2006; Assistant Treasurer of the MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group from 2001 to 2006.
Charles Park 1967 |  | Chief Compliance Officer |  | Since 2014 |  | Anti-Money Laundering Compliance Officer for the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the Equity-Bond Complex, the Equity-Liquidity Complex and the Closed-End Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.
Janey Ahn 1975 |  | Secretary |  | Since 2012 |  | Director of BlackRock since 2009; Vice President of BlackRock from 2008 to 2009; Assistant Secretary of the Funds from 2008 to 2012.
|  | 1 The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, NY 10055.
|  | 2 Officers of the Funds serve at the pleasure of the Board.

Effective September 18, 2015, Robert W. Crothers resigned as a Vice President of the Funds and Jonathan Diorio became a Vice President of the Funds.

Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809 |  | Accounting Agent and Custodian State Street Bank and Trust Company Boston, MA 02110 |  | Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 |  | Address of the Funds 100 Bellevue Parkway Wilmington, DE 19809
|  | Transfer Agent Common Shares Computershare Trust Company, N.A. Canton, MA 02021 |  | Legal Counsel Skadden, Arps, Slate, Meagher & Flom LLP Boston, MA 02116 |  |

88 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Additional Information |  |

The Annual Meeting of Shareholders was held on July 29, 2015 for shareholders of record on June 1, 2015, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Approved the Directors as follows:

|  | Frank J. Fabozzi1 |  | James T. Flynn1 |  | Barbara G. Novick2
|  | Votes For |  | Votes Withheld |  | Abstain |  | Votes For |  | Votes Withheld |  | Abstain |  | Votes For |  | Votes Withheld |  | Abstain
BHL |  | 8,406,555 |  | 57,374 |  | 0 |  | 8,392,001 |  | 71,928 |  | 0 |  | 8,405,328 |  | 58,601 |  | 0
BLW |  | 32,593,416 |  | 451,435 |  | 0 |  | 32,552,527 |  | 492,324 |  | 0 |  | 32,594,388 |  | 450,463 |  | 0
|  | John M. Perlowski3 |  | Karen P. Robards1 |  |  |  |  |  |
|  | Votes For |  | Votes Withheld |  | Abstain |  | Votes For |  | Votes Withheld |  | Abstain |  |  |  |  |  |
BHL |  | 8,405,328 |  | 58,601 |  | 0 |  | 8,405,803 |  | 58,126 |  | 0 |  |  |  |  |  |
BLW |  | 32,599,520 |  | 445,331 |  | 0 |  | 32,559,145 |  | 485,706 |  | 0 |  |  |  |  |  |

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 Michael J. Castellano, Richard E. Cavanagh, Kathleen F. Feldstein, Jerrold B. Harris, R. Glenn Hubbard and W. Carl Kester.

| 1 |  | Class II

| 2 |  | Class III

| 3 |  | Class I

Approved the Directors as follows:

|  |  |  | Votes For |  |  | Votes Withheld |  |  | Abstain |
FRA |  | Michael J. Castellano |  |  | 32,403,178 |  |  |  | 1,224,526 |  |  |  | 0 |
|  | Kathleen F. Feldstein |  |  | 32,365,055 |  |  |  | 1,262,649 |  |  |  | 0 |
|  | R. Glenn Hubbard |  |  | 32,378,251 |  |  |  | 1,249,453 |  |  |  | 0 |
|  | John M. Perlowski |  |  | 32,383,857 |  |  |  | 1,243,846 |  |  |  | 0 |
|  | Richard E. Cavanaugh |  |  | 32,383,374 |  |  |  | 1,244,329 |  |  |  | 0 |
|  | James T. Flynn |  |  | 32,366,262 |  |  |  | 1,261,441 |  |  |  | 0 |
|  | W. Carl Kester |  |  | 32,388,654 |  |  |  | 1,239,050 |  |  |  | 0 |
|  | Karen P. Robards |  |  | 32,407,971 |  |  |  | 1,219,733 |  |  |  | 0 |
|  | Frank J. Fabozzi |  |  | 32,373,143 |  |  |  | 1,254,560 |  |  |  | 0 |
|  | Jerrold B. Harris |  |  | 32,379,246 |  |  |  | 1,248,457 |  |  |  | 0 |
|  | Barbara G. Novick |  |  | 32,414,020 |  |  |  | 1,213,683 |  |  |  | 0 |

Fund Certification

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

Dividend Policy

Each Fund’s dividend policy is to distribute all or a portion of its net investment income to its shareholders on a monthly basis. In order to provide shareholders with a more stable level of dividend distributions, the distributions paid by the Funds for any particular month may be more or less than the amount of net investment income earned by the Funds during such month. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a nontaxable return of capital. Distributions in excess of a Fund’s taxable income and net capital gains, but not in excess of a Fund’s earnings and profits, will be taxable to shareholders as ordinary income and will not constitute a nontaxable return of capital. The Funds’ current accumulated but undistributed net investment income, if any, is disclosed in the Statements of Assets and Liabilities, which comprises part of the financial information included in this report.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 89

Additional Information (continued) |  |

General Information

BHL does not make available copies of its Statement of Additional Information because BHL’s shares are not continuously offered, which means that BHL’s Statement of Additional Information has not been updated after the completion of BHL’s offering and the information contained in BHL’s Statement of Additional Information may have become outdated.

BLW and FRA’s respective Statements of Additional Information include additional information about their respective Boards and are available, without charge upon request by calling (800) 882-0052.

During the period, there were no material changes in the Funds’ investment objectives or policies or to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by shareholders or in the principal risk factors associated with investment in the Funds. There have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at http://www.blackrock.com. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

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

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisors, Banks or Brokerages:

Please contact your financial advisor to enroll. Please note that not all investment advisors, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, including annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds files their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Fund’s Forms N-Q may also be obtained upon request and without charge by calling (800) 882-0052.

Availability of Proxy Voting Policies and Procedures

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 882-0052; (2) at http://www.blackrock.com; and (3) on the SEC’s website at http://www.sec.gov.

Availability of Proxy Voting Record

Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at http://www.blackrock.com or by calling (800) 882-0052 and (2) on the SEC’s website at http://www.sec.gov.

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of http://www.blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

90 |  | ANNUAL REPORT |  | AUGUST 31, 2015 |  |

Additional Information (concluded) |  |

Section 19(a) Notices

BLW’s amounts and sources of distributions reported are estimates and are provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Fund’s investment experience during the year and may be subject to changes based on the tax regulations. The Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for federal income tax purposes. Section 19(a) notices for the Fund, as applicable, are available on the BlackRock website http://www.blackrock.com.

August 31, 2015 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  |  |  |  | Total Fiscal Year to Date Cumulative Distributions by Character |  |  | Percentage of Fiscal Year to Date Cumulative Distributions by Character |
|  | Ticker |  |  | Net Investment Income |  |  | Net Realized Capital Gains Short Term |  |  | Net Realized Capital Gains Long Term |  |  | Return of Capital |  |  | Total Per Common Share |  |  | Net Investment Income |  |  | Net Realized Capital Gains Short Term |  |  | Net Realized Capital Gains Long Term |  |  | Return of Capital |  |  | Total Per Common Share |
BlackRock Limited Duration Income Trust |  |  | BLW |  |  | $ | 1.216503 |  |  |  | — |  |  |  | — |  |  | $ | 0.074497 |  |  | $ | 1.291000 |  |  |  | 94 | % |  |  | 0 | % |  |  | 0 | % |  |  | 6 | % |  |  | 100 | %

The Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with ‘yield’ or ‘income.’ When distributions exceed total return performance, the difference will incrementally reduce the Funds’ net asset value per share.

Shelf Offering Program

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

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

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.

|  | ANNUAL REPORT |  | AUGUST 31, 2015 |  | 91

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for Common Shareholders, including the likelihood of greater volatility of net asset value and market price of the Common Shares, and the risk that fluctuations in short-term interest rates may reduce the Common Shares’ yield. Statements and other information herein are as dated and are subject to change.

CEFT-BK3-8/15-AR |  |

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, by calling 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

| James T. Flynn

| W. Carl Kester

| Karen P. Robards

| The registrant’s board of directors has determined that W. Carl Kester and Karen P. Robards qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.

| Prof. Kester has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Prof. Kester has been involved in providing valuation and other financial consulting services to corporate clients since 1978. Prof. Kester’s financial consulting services present a breadth and level of complexity of accounting issues that are generally comparable to the breadth and complexity of issues that can reasonably be expected to be raised by the registrant’s financial statements.

| Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization.

| Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

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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:

|  | (a) Audit Fees |  | (b) Audit-Related Fees1 |  | (c) Tax Fees2 |  | (d) All Other Fees3
Entity Name |  | Current Fiscal Year End |  | Previous Fiscal Year End |  | Current Fiscal Year End |  | Previous Fiscal Year End |  | Current Fiscal Year End |  | Previous Fiscal Year End |  | Current Fiscal Year End |  | Previous Fiscal Year End
BlackRock Limited Duration Income Trust |  | $74,488 |  | $66,613 |  | $4,000 |  | $0 |  | $16,392 |  | $25,350 |  | $0 |  | $0

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (“Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Fund Service Providers”):

|  | Current Fiscal Year End |  | Previous Fiscal Year End
(b) Audit-Related Fees1 |  | $0 |  | $0
(c) Tax Fees2 |  | $0 |  | $0
(d) All Other Fees3 |  | $2,391,000 |  | $2,555,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements not included in Audit Fees.

2 The nature of the services includes tax compliance, tax advice and tax planning.

3 Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&T with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.

(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 Fund 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.

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.,

3

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 paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Fund Service Providers were:

Entity Name |  | Current Fiscal Year End |  | Previous Fiscal Year End
BlackRock Limited Duration Income Trust |  | $16,392 |  | $25,350

| Additionally, SSAE 16 Review (Formerly, SAS No. 70) fees for the current and previous fiscal years of $2,391,000 and $2,555,000, respectively, were billed by D&T to the Investment Adviser.

| (h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Fund Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Item 5 – | Audit Committee of Listed Registrants

| (a) | The following individuals are members of the registrant’s separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)): |

|  | Michael Castellano

|  | Frank J. Fabozzi

|  | James T. Flynn

|  | W. Carl Kester

|  | 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.

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| (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

Item 8 – | Portfolio Managers of Closed-End Management Investment Companies – as of August 31, 2015.

| (a)(1) | The registrant is managed by a team of investment professionals comprised of Leland Hart, Managing Director at BlackRock, James E. Keenan, Managing Director of BlackRock, C. Adrian Marshall, Director of BlackRock, and Thomas Musmanno, Managing Director at BlackRock. Each of the foregoing investment professionals is jointly responsible for the day-to-day management of the registrant’s portfolio, which includes setting the registrant’s overall investment strategy, overseeing the management of the registrant and/or selection of its investments. Messrs. Hart, Keenan, Marshall and Musmanno have been members of the registrant’s portfolio management team since 2009, 2007, 2009 and 2012, respectively.

Portfolio Manager |  | Biography
Leland Hart |  | Managing Director of BlackRock since 2009; Partner of R3 Capital Partners (“R3”) in 2009; Managing Director of R3 from 2008 to 2009; Managing Director of Lehman Brothers from 2006 to 2008; Executive Director of Lehman Brothers from 2003 to 2006.
James E. Keenan |  | Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock from 2004 to 2005.
C. Adrian Marshall |  | Director of BlackRock since 2007; Vice President of BlackRock from 2004 to 2007.
Thomas Musmanno |  | Managing Director of BlackRock since 2010; Director of BlackRock from 2006 to 2009.

5

| (a)(2) As of August 31, 2015:

|  | (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
Leland Hart |  | 6 |  | 23 |  | 11 |  | 0 |  | 5 |  | 0
|  | $4.78 Billion |  | $6.71 Billion |  | $1.31 Billion |  | $0 |  | $21.61 Million |  | $0
James E. Keenan |  | 14 |  | 30 |  | 16 |  | 0 |  | 1 |  | 4
|  | $26.89 Billion |  | $13.92 Billion |  | $6.84 Billion |  | $0 |  | $0.32 Million |  | $566.3 Million
C. Adrian Marshall |  | 6 |  | 23 |  | 15 |  | 0 |  | 4 |  | 0
|  | $4.78 Billion |  | $6.67 Billion |  | $2.07 Billion |  | $0 |  | $1.22 Million |  | $0
Thomas Musmanno |  | 12 |  | 15 |  | 136 |  | 0 |  | 1 |  | 0
|  | $11.01 Billion |  | $4.93 Billion |  | $48.11 Billion |  | $0 |  | $1.50 Billion |  | $0

| (iv) | Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Hart, Keenan, Marshall and Musmanno 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. Hart, Keenan, Marshall and Musmanno may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

6

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of August 31, 2015:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of August 31, 2015.

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.

Discre tionary Incentive Compensation. Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the performance of the Funds or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Funds and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are:

Portfolio Manager |  | Benchmark
James E. Keenan |  | A combination of market-based indices (e.g., The Barclays U.S. Corporate High Yield 2% Issuer Cap Index), certain cusThomasized indices and certain fund industry peer groups.
Thomas Musmanno |  | A combination of market-based indices (e.g., Bank of America Merrill Lynch U.S. Corporate & Government Index, 1-3 Years), certain cusThomasized indices and certain fund industry peer groups.
Leland Hart C. Adrian Marshall |  | A combination of market-based indices (e.g., S&P Leveraged All Loan Index), certain cusThomasized indices and certain fund industry peer groups.

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Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of years. For some portfolio managers, discretionary incentive compensation is also distributed in deferred cash awards that notionally track the returns of select BlackRock investment products they manage and that vest ratably over a number of years. The BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc. common stock. Typically, the cash portion of the discretionary incentive compensation, when combined with base salary, represents more than 60% of total compensation for the portfolio managers. Paying a portion of discretionary incentive compensation in 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. Providing a portion of discretionary incentive compensation in deferred cash awards that notionally track the BlackRock investment products they manage provides direct alignment with investment product results.

Long-Term Incentive Plan Awards — From time to time long-term incentive equity awards are granted to certain key employees to aid in retention, align their interests with long-term shareholder interests and motivate performance. Equity awards are generally granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have unvested long-term incentive awards.

Deferred Compensation Program — A portion of the compensation paid to eligible United States-based BlackRock employees may be voluntarily deferred at their election for defined periods of time into an account that tracks the performance of certain of the firm’s investment products. Any portfolio manager who is either a managing director or director at BlackRock with compensation above a specified threshold is eligible to participate in the deferred compensation program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company

8

retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($265,000 for 2015). The RSP offers a range of investment options, including registered investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of August 31, 2015.

Portfolio Manager |  | Dollar Range of Equity Securities of the Fund Beneficially Owned
Leland Hart |  | None
James E. Keenan |  | None
C. Adrian Marshall |  | None
Thomas Musmanno |  | None

|  | (b) Not Applicable
Item 9 – |  | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.
Item 10 – |  | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.
Item 11 – |  | Controls and Procedures
|  | (a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.
|  | (b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12 – |  | Exhibits attached hereto
|  | (a)(1) – Code of Ethics – See Item 2

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|  | (a)(2) – Certifications – Attached hereto
|  | (a)(3) – Not Applicable
|  | (b) – Certifications – Attached hereto

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Limited Duration Income Trust
By: |  | /s/ John M. Perlowski |  |
|  | John M. Perlowski |  |
|  | Chief Executive Officer (principal executive officer) of
|  | BlackRock Limited Duration Income Trust
Date: November 3, 2015 |  |

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: |  | /s/ John M. Perlowski |  |
|  | John M. Perlowski |  |
|  | Chief Executive Officer (principal executive officer) of
|  | BlackRock Limited Duration Income Trust
Date: November 3, 2015 |  |
By: |  | /s/ Neal J. Andrews |  |
|  | Neal J. Andrews |  |
|  | Chief Financial Officer (principal financial officer) of
|  | BlackRock Limited Duration Income Trust
Date: November 3, 2015 |  |

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