0001233681 false N-CSRS BLACKROCK Ltd DURATION INCOME TRUST 0001233681 2022-09-01 2022-09-01 0001233681 2022-06-30 2022-06-30 0001233681 2021-12-31 2021-12-31 xbrli:shares iso4217:USD xbrli:shares
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 52
nd
Street, New York, NY 10055
Registrant’s telephone number, including area code: (800)
882-0052,
Option 4
Date of fiscal year end: 12/31/2022
Date of reporting period: 06/30/2022

Item 1 – Report to Stockholders
(a) The Report to Shareholders is attached herewith.

|  | JUNE 30, 2022

|  | 2022 Semi-Annual Report (Unaudited)

BlackRock Debt Strategies Fund, Inc. (DSU)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Income Trust, Inc. (BKT)
BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee

Supplemental Information
(unaudited)
Section 19(a) Notices
BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA), BlackRock Income Trust, Inc.’s (BKT) and BlackRock Limited Duration Income Trust’s (BLW) (collectively, the “Funds” or individually, a “Fund”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the remainder of its fiscal year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.
June 30, 2022

|  |  |  | Total Cumulative Distributions for the Fiscal Period |  |  |  |  | % Breakdown of the Total Cumulative Distributions for the Fiscal Period |  |  |
|  | Fund Name |  |  | Net Income |  |  |  | Net Realized Capital Gains Short-Term |  |  |  | Net Realized Capital Gains Long-Term |  |  |  | Return of Capital | (a) |  |  | Total Per Common Share |  |  |  |  |  | Net Income |  |  |  | Net Realized Capital Gains Short-Term |  |  |  | Net Realized Capital Gains Long-Term |  |  |  | Return of Capital |  |  |  | Total Per Common Share |  |  |
|  | DSU |  | $ | 0.290020 |  |  | $ | — |  |  | $ | — |  |  | $ | 0.012480 |  |  | $ | 0.302500 |  |  |  |  |  | 96 | % |  |  | — | % |  |  | — | % |  |  | 4 | % |  |  | 100% |  |  |
|  | FRA |  |  | 0.315017 |  |  |  | — |  |  |  | — |  |  |  | 0.018483 |  |  |  | 0.333500 |  |  |  |  |  | 94 |  |  |  | — |  |  |  | — |  |  |  | 6 |  |  |  | 100 |  |  |
|  | BKT |  |  | 0.095496 |  |  |  | — |  |  |  | — |  |  |  | 0.071504 |  |  |  | 0.167000 |  |  |  |  |  | 57 |  |  |  | — |  |  |  | — |  |  |  | 43 |  |  |  | 100 |  |  |
|  | BLW |  |  | 0.461596 |  |  |  | — |  |  |  | — |  |  |  | 0.028904 |  |  |  | 0.490500 |  |  |  |  |  | 94 |  |  |  | — |  |  |  | — |  |  |  | 6 |  |  |  | 100 |  |  |

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

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website at
blackrock.com
.
Section 19(b) Disclosure
BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) and BlackRock Limited Duration Income Trust’s (BLW) (collectively, the “Funds” or individually, a “Fund”), acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Fund’s Board of Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Funds currently distribute the following fixed amounts per share on a monthly basis:

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

The fixed amounts distributed per share are subject to change at the discretion of each Fund’s Board. Under its Plan, each Fund will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Funds will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Fund may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).
Shareholders should not draw any conclusions about each Fund’s investment performance from the amount of these distributions or from the terms of the Plan. Each Fund’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate a Fund’s Plan at any time without prior notice to the Fund’s shareholders if it deems such actions to be in the best interests of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. The Funds are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code. Please refer to BLW’s prospectus for a more complete description of the Fund’s risks.
Managed Distribution Plan
BKT, with the approval of BKT’s Board of Directors (the “Board”), adopted a managed distribution plan, consistent with its investment objectives and policies, to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plan, BKT currently distributes a fixed amount of $0.0294 per share on a monthly basis.
The fixed amount distributed per share is subject to change at the discretion of the Board. BKT is currently not relying on any exemptive relief from Section 19(b) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under its Plan, BKT will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, BKT will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is

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

Supplemental Information
(unaudited)
(continued)
expected to be at the fixed amount established by the Board; however, BKT may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the 1940 Act.
Shareholders should not draw any conclusions about BKT’s investment performance from the amount of these distributions or from the terms of the Plan. BKT’s total return performance is presented in its financial highlights table.
The Board may amend, suspend or terminate the Plan at any time without prior notice to BKT’s shareholders if it deems such actions to be in the best interests of BKT or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if BKT’s stock is trading at or above net asset value) or widening an existing trading discount. BKT is subject to risks that could have an adverse impact on its ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code. Please refer to BKT’s prospectus for a more complete description of BKT’s risks.

S U P P L E M E N T A L I N F O R M A T I O N |  | 3

The Markets in Review
Dear Shareholder,
The 12-month reporting period as of June 30, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets. The U.S. economy shrank in the first quarter of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Rapid changes in consumer spending led to supply constraints and elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.
Equity prices fell, as persistently high inflation drove investors’ expectations for higher interest rates, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were particularly steep. Both emerging market stocks and international equities from developed markets fell significantly, pressured by rising interest rates and a strengthening U.S. dollar.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose notably during the reporting period as increasing inflation drove investors’ expectations for higher interest rates. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates three times while indicating that additional large rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and began to reduce its balance sheet. Continued high inflation and the Fed’s statements led many analysts to anticipate that interest rates have significant room to rise before peaking.
Furthermore, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metals markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption have magnified supply problems for key commodities. We believe elevated energy prices will continue to exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation. However, markets have been primed to expect sharp tightening, which could weigh on valuations until central banks begin to tap the brakes.
In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Furthermore, the energy shock and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near-term. We take the opposite view on credit, where higher spreads provide near-term opportunities, while the likelihood of a higher inflation regime leads us to take an underweight stance on credit in the long-term. We believe that investment-grade corporates, U.K. gilts, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities in a six- to twelve-month horizon.
Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit
blackrock.com
for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC

Total Returns as of June 30, 2022
|  | 6-Month |  | 12-Month
U.S. large cap equities (S&P 500 ® Index) |  | (19.96)% |  | (10.62)%
U.S. small cap equities (Russell 2000 ® Index) |  | (23.43) |  | (25.20)
International equities (MSCI Europe, Australasia, Far East Index) |  | (19.57) |  | (17.77)
Emerging market equities (MSCI Emerging Markets Index) |  | (17.63) |  | (25.28)
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |  | 0.15 |  | 0.18
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |  | (11.34) |  | (10.94)
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |  | (10.35) |  | (10.29)
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |  | (8.98) |  | (8.57)
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |  | (14.19) |  | (12.82)
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

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

Table of Contents

|  | Page
Supplemental Information |  | 2
The Markets in Review |  | 4
Semi-Annual Report: |  |
The Benefits and Risks of Leveraging |  | 6
Derivative Financial Instruments |  | 6
Fund Summary |  | 7
Financial Statements: |  |
Schedules of Investments |  | 15
Statements of Assets and Liabilities |  | 111
Statements of Operations |  | 113
Statements of Changes in Net Assets |  | 114
Statements of Cash Flows |  | 116
Financial Highlights |  | 118
Notes to Financial Statements |  | 122
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreement |  | 136
Additional Information |  | 140
Glossary of Terms Used in this Report |  | 143

|  | 5

The Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.
In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.
To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.
However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed a Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if a Fund had not used leverage. Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the amount of each Fund’s obligations under its respective leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.
The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Fund’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to the Funds’ investment adviser will be higher than if the Funds did not use leverage.
Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements, if applicable.
Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33 1/3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.
If a Fund segregates or designates on its books and records cash or liquid assets having a value not less than the value of a Fund’s obligations under a reverse repurchase agreement (including accrued interest), then such transaction is not considered a senior security and is not subject to the foregoing limitations and requirements imposed by the 1940 Act.
Derivative Financial Instruments
The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

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Fund Summary as of June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Investment Objective
BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”)
primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings or Baa or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to provide capital appreciation.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information

Symbol on New York Stock Exchange |  | DSU
Initial Offering Date |  | March 27, 1998
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($9.14) (a) |  | 7.94%
Current Monthly Distribution per Common Share (b) |  | $0.0605
Current Annualized Distribution per Common Share (b) |  | $0.7260
Leverage as of June 30, 2022 (c) |  | 32%

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

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

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

Market Price and Net Asset Value Per Share Summary

|  | 06/30/22 |  |  | 12/31/21 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 9.14 |  |  | $ | 11.70 |  |  |  | (21.88 | )% |  | $ | 11.75 |  |  | $ | 8.88 |
Net Asset Value |  |  | 10.21 |  |  |  | 11.56 |  |  |  | (11.68 | ) |  |  | 11.62 |  |  |  | 10.21 |

Performance
Returns for the period ended June 30, 2022 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV (a)(b) |  |  | (8.97 | )% |  |  | (6.85 | )% |  |  | 3.16 | % |  |  | 5.78 | %
Fund at Market Price (a)(b) |  |  | (19.48 | ) |  |  | (14.65 | ) |  |  | 2.77 |  |  |  | 4.54 |
Reference Benchmark (c) |  |  | (9.43 | ) |  |  | (7.87 | ) |  |  | 2.52 |  |  |  | 4.12 |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (d) |  |  | (14.19 | ) |  |  | (12.82 | ) |  |  | 2.09 |  |  |  | 4.47 |
S&P/LSTA Leveraged Loan Index (e) |  |  | (4.55 | ) |  |  | (2.78 | ) |  |  | 2.91 |  |  |  | 3.74 |

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

| (b) | The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the S&P/LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |

| (d) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index, an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |

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

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Floating rate loan interest lost ground in the first half of 2022. Loans’ floating-rate feature was a beneficial attribute when rates were rising in the first quarter 2022 but inflation and recession fears hit all asset classes in the second half of the period. In this environment, no ratings category contributed to absolute performance and virtually all sectors finished with negative returns. High yield bonds also suffered losses for the period.

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

Fund Summary as of June 30, 2022 (continued) |  | BlackRock Debt Strategies Fund, Inc. (DSU)

B rated issues were the largest detractor within the Fund, followed by BBs and CCCs. With respect to sectors, technology, health care and cable & satellite were the main detractors.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy.
Describe recent portfolio activity.
The Fund reduced its allocation to high yield bonds and collateralized loan obligations. Sector positioning remained broadly consistent over the past several quarters, reflecting the investment adviser’s focus on individual security selection. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.
Describe portfolio positioning at period end.
The Fund remained predominately invested in floating rate loan interest with the rest of the portfolio primarily invested in high yield bonds. The Fund’s largest sector positions were in technology, consumer cyclical services and health care, while it had lower weightings in refining, natural gas and railroads. From a credit rating perspective, the Fund continued to emphasize B rated issues, followed by BBs and CCCs. The Fund also held a smaller in position in BBB rated debt.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION
Asset Type |  | 06/30/22
Floating Rate Loan Interests |  | 84.8%
Corporate Bonds |  | 14.4
Other* |  | 0.8

CREDIT QUALITY ALLOCATION |
Credit Rating (a)(b) |  | 06/30/22 |
A |  |  | —% | (c)
BBB/Baa |  |  | 4.5 |
BB/Ba |  |  | 28.1 |
B |  |  | 58.6 |
CCC/Caa |  |  | 7.3 |
N/R |  |  | 1.5 |

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

(b) | Excludes short-term securities.

(c) | Rounds to less than 0.1% of total investments.

* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

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Fund Summary as of June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Investment Objective
BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”)
investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information

Symbol on New York Stock Exchange |  | FRA
Initial Offering Date |  | October 31, 2003
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($11.39) (a) |  | 7.03%
Current Monthly Distribution per Common Share (b) |  | $0.0667
Current Annualized Distribution per Common Share (b) |  | $0.8004
Leverage as of June 30, 2022 (c) |  | 32%

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

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

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

Market Price and Net Asset Value Per Share Summary

|  | 06/30/22 |  |  | 12/31/21 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 11.39 |  |  | $ | 13.43 |  |  |  | (15.19 | )% |  | $ | 13.90 |  |  | $ | 11.01 |
Net Asset Value |  |  | 12.46 |  |  |  | 13.85 |  |  |  | (10.04 | ) |  |  | 13.97 |  |  |  | 12.46 |

Performance
Returns for the period ended June 30, 2022 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV (a)(b) |  |  | (7.58 | )% |  |  | (5.44 | )% |  |  | 2.90 | % |  |  | 4.72 | %
Fund at Market Price (a)(b) |  |  | (12.88 | ) |  |  | (8.60 | ) |  |  | 2.27 |  |  |  | 4.02 |
S&P/LSTA Leveraged Loan Index (c) |  |  | (4.55 | ) |  |  | (2.78 | ) |  |  | 2.91 |  |  |  | 3.74 |

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

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

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

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Floating rate loan interest lost ground in the first half of 2022. Although their floating rate feature was a positive attribute at a time of rising rates, the benefit was offset by a broad-based decline in higher-risk segments of the bond market. In this environment, no ratings category contributed on an absolute basis. The oil field services sector delivered a gain, but all other market segments posted negative returns. High yield bonds also suffered losses in the semi-annual period.

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

Fund Summary as of June 30, 2022 (continued) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

B rated issues were the largest detractor within the Fund, followed by BBs and CCCs. From a sector perspective, technology, health care and building materials were the main detractors.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy.
Describe recent portfolio activity.
The Fund maintained an underweight in BB and B rated securities, and it was slightly overweight in CCCs. The investment adviser increased the portfolio’s overall credit quality due to expectations for continued near-term volatility, raising its weighting in BBs while modestly decreasing its allocations to Bs and CCCs. The average price of the Fund’s CCC holdings was $87 at the close of the period, versus $81 for the CCCs in the benchmark. The investment adviser believed this helped illustrate the importance of selectivity within rating categories.
Sector weightings have remained broadly consistent over the past few quarters, which can be attributed to the investment adviser’s emphasis on individual security selection. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets to manage its positioning.
Describe portfolio positioning at period end.
B rated loans were the Fund’s largest position, followed by BBs and CCCs. Its largest sector allocations included technology, health care and consumer cyclicals, while natural gas, railroads, and refining were its most notable underweights.
The investment adviser had a bias toward larger loan tranches of $1 billion and above, and it maintained a preference for loan/bond capital structures over the loan-only segment. The securities that Fund did own in the latter category were typically deals of $1 billion or more.
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.
Overview of the Fund’s Total Investments

PORTFOLIO COMPOSITION |
Asset Type |  | 06/30/22 |
Floating Rate Loan Interests |  |  | 98.2 | %
Corporate Bonds |  |  | 1.5 |
Other* |  |  | 0.3 |

CREDIT QUALITY ALLOCATION |
Credit Rating (a)(b) |  | 06/30/22 |
BBB/Baa |  |  | 4.4 | %
BB/Ba |  |  | 26.2 |
B |  |  | 62.1 |
CCC/Caa |  |  | 5.5 |
N/R |  |  | 1.8 |

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

(b) | Excludes short-term securities.

* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

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

Fund Summary as of June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT)

Investment Objective
BlackRock Income Trust, Inc.’s (BKT) (the “Fund”)
investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Fund invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings or Aaa by Moody’s Investors Service, Inc. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information

Symbol on New York Stock Exchange |  | BKT |  |
Initial Offering Date |  | July 22, 1988 |  |
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($4.54) (a) |  | 7.77% |  |
Current Monthly Distribution per Common Share (b) |  | $0.0294 |  |
Current Annualized Distribution per Common Share (b) |  | $0.3528 |  |
Leverage as of June 30, 2022 (c) |  | 30% |  |

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

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

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

Market Price and Net Asset Value Per Share Summary

|  | 06/30/22 |  |  | 12/31/21 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 4.54 |  |  | $ | 5.65 |  |  |  | (19.65 | )% |  | $ | 5.65 |  |  | $ | 4.34 |
Net Asset Value |  |  | 4.85 |  |  |  | 5.65 |  |  |  | (14.16 | ) |  |  | 5.65 |  |  |  | 4.66 |

Performance
Returns for the period ended June 30, 2022 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV (a)(b) |  |  | (11.15 | )% |  |  | (12.67 | )% |  |  | 0.12 | % |  |  | 1.44 | %
Fund at Market Price (a)(b) |  |  | (16.83 | ) |  |  | (22.76 | ) |  |  | (0.14 | ) |  |  | 1.32 |
FTSE Mortgage Index (c) |  |  | (9.09 | ) |  |  | (9.45 | ) |  |  | 0.34 |  |  |  | 1.15 |

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

| (b) | The Fund moved from neither a premium nor discount to a discount to NAV during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

| (c) | An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization. |

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.
More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
The Fund’s substantial allocation to agency collateralized mortgage obligations (“CMOs”) as well as agency MBS derivatives (including interest-only and inverse interest-only positions) continued to provide a steady source of income over the six-month period. The Fund also benefited from general outperformance on its allocation to MBS derivatives, as prepayment speeds have decreased into the substantial rise in mortgage rates. These positive contributions have been offset by the Fund’s positioning on the MBS coupon stack, where its relative overweight to higher coupon MBS lagged the performance of lower coupons over the first half of 2022. Duration positioning has also detracted from active performance.
The Fund held derivatives during the period as a part of its investment strategy. Derivatives are utilized by the Fund in order to manage risk and/or take outright views on interest rates in the portfolio. In particular, the portfolio employed Treasury futures and interest rate swaps to manage duration and yield curve bias. The Fund’s interest rate derivatives positions contributed positively to performance during the six-month period.

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

Fund Summary as of June 30, 2022 (continued) |  | BlackRock Income Trust, Inc. (BKT)

Describe recent portfolio activity.
During the period, the Fund added exposure to Agency MBS specified pools in the middle to higher end of the MBS coupon stack. The Fund also made modest additions to its Agency CMO and Agency mortgage derivative allocation to take advantage of widened valuations. The Fund reduced its position in Agency CMBS, given tight valuations relative to the yield available in Agency MBS.
Describe portfolio positioning at period end.
The Fund continues to hold a substantial allocation to well-structured Agency CMOs as well as Agency MBS interest-only derivatives. Security selection within the Agency CMO and MBS derivatives holdings has been focused on seasoned collateral, which demonstrates more favorable prepayment performance across both higher and lower mortgage rate scenarios relative to generic collateral. The Fund’s allocation to MBS interest-only derivatives is expected to continue benefiting from the increase in mortgage rates and corresponding decrease in borrower refinance incentive over the balance of 2022. Within its allocation to agency MBS pass-throughs, the Fund holds a tilt toward higher coupon MBS, motivated by higher income and more appealing valuations. The Fund is modestly overweight duration relative to the Reference Benchmark and slightly short convexity (i.e., the rate at which duration changes in response to interest rate movements).
The Fund held only marginal positions in other securitized assets such as non-agency residential MBS and CMBS, preferring to focus on prepayment and structural opportunities in higher quality agency-backed assets rather than seek credit exposure.
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.
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION

Asset Type (a) |  | 06/30/22 |
U.S. Government Sponsored Agency Securities |  |  | 95.2 | %
Non-Agency Mortgage-Backed Securities |  |  | 4.8 |
Asset-Backed Securities |  |  | — | (b)

CREDIT QUALITY ALLOCATION

Credit Rating (a)(c) |  |  |  |  | 06/30/22 |
AAA/Aaa (d) |  |  |  |  |  |  | 99.9 | %
AA/Aa |  |  |  |  |  |  | 0.1 |
CCC/Caa |  |  |  |  |  |  | — | (b)
N/R |  |  |  |  |  |  | — | (b)

(a) | Excludes short-term securities.

(b) | Rounds to less than 0.1% of total investments.

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

(d) | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the investment adviser.

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

Fund Summary as of June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

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

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

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

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

The Fund’s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.
No assurance can be given that the Fund’s investment objective will be achieved.
Fund Information

Symbol on New York Stock Exchange |  | BLW |  |
Initial Offering Date |  | July 30, 2003 |  |
Current Distribution Rate on Closing Market Price as of June 30, 2022 ($12.65) (a) |  | 9.31% |  |
Current Monthly Distribution per Common Share (b) |  | $0.0981 |  |
Current Annualized Distribution per Common Share (b) |  | $1.1772 |  |
Leverage as of June 30, 2022 (c) |  | 38% |  |

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

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

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

Market Price and Net Asset Value Per Share Summary

|  | 06/30/22 |  |  | 12/31/21 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 12.65 |  |  | $ | 16.85 |  |  |  | (24.93 | )% |  | $ | 16.85 |  |  | $ | 12.16 |
Net Asset Value |  |  | 13.49 |  |  |  | 16.44 |  |  |  | (17.94 | ) |  |  | 16.44 |  |  |  | 13.49 |

Performance
Returns for the period ended June 30, 2022 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV (a)(b) |  |  | (15.00 | )% |  |  | (15.04 | )% |  |  | 2.51 | % |  |  | 5.35 | %
Fund at Market Price (a)(b) |  |  | (22.23 | ) |  |  | (19.77 | ) |  |  | 2.65 |  |  |  | 4.25 |
Reference Benchmark (c) |  |  | (7.75 | ) |  |  | (6.84 | ) |  |  | 2.18 |  |  |  | 3.30 |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (d) |  |  | (14.19 | ) |  |  | (12.82 | ) |  |  | 2.09 |  |  |  | 4.47 |
S&P/LSTA Leveraged Loan Index (e) |  |  | (4.55 | ) |  |  | (2.78 | ) |  |  | 2.91 |  |  |  | 3.74 |
BATS S Benchmark (f) |  |  | (4.34 | ) |  |  | (4.82 | ) |  |  | 1.35 |  |  |  | 1.57 |

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

| (b) | The Fund moved from a premium to NAV to a discount during the period, which accounts for the difference between performance based on market price and performance based on NAV. |

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

| (d) | Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index, an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index. |

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

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

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.
The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

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

Fund Summary as of June 30, 2022 (continued) |  | BlackRock Limited Duration Income Trust (BLW)

More information about the Fund’s historical performance can be found in the “Closed End Funds” section of
blackrock.com
.
The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Exposure to a range of credit-oriented sectors including high yield corporate bonds, investment grade corporate bonds, floating rate bank loans and emerging market bonds weighed most heavily on the Fund’s performance. Allocations to sovereign bonds also provided negative performance. Finally, exposure to securitized assets including residential mortgage-backed securities (“MBS”), commercial mortgage-backed securities (“CMBS”) and collateralized loan obligations detracted.
Exposure to U.S. Treasuries led positive contributions. The use of swaptions also contributed to performance over the period.
The Fund held derivatives during the period, including Treasury futures, currency forwards, currency options, interest rate swaps and credit default swaps. Derivative securities were employed primarily to adjust duration (sensitivity to interest rate changes) and yield curve exposure, as well as to hedge credit and currency risk. Currency forwards were used to provide the portfolio with active currency exposure. The Fund’s use of derivatives contributed to performance during the period.
Describe recent portfolio activity.
Over the period, the Fund increased exposure to high yield corporate bonds, investment grade corporate bonds, 30-year MBS, CMBS and asset-backed securities (“ABS”), while trimming exposure to emerging market bonds, 15-year MBS, sovereign issues and U.S. Treasuries.
The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Trust’s investment strategy.
Describe portfolio positioning at period end.
At period end, the Fund was overweight high yield corporate bonds, 30-year MBS, emerging market bonds, U.S. Treasuries and non-agency adjustable-rate MBS. The Fund was underweight investment grade corporate bonds, CMBS, ABS and 15-year MBS compared to the composite benchmark.
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.
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION

Asset Type (a) |  | 06/30/22 |
Corporate Bonds |  |  | 49.3 | %
Floating Rate Loan Interests |  |  | 35.4 |
U.S. Government Sponsored Agency Securities |  |  | 5.7 |
Preferred Securities |  |  | 4.4 |
Asset-Backed Securities |  |  | 3.0 |
Non-Agency Mortgage-Backed Securities |  |  | 1.0 |
Other* |  |  | 1.2 |

CREDIT QUALITY ALLOCATION

Credit Rating (a)(b) |  |  |  |  | 06/30/22 |
AAA/Aaa (c) |  |  |  |  |  |  | 5.6 | %
AA/Aa |  |  |  |  |  |  | 0.4 |
A |  |  |  |  |  |  | 2.8 |
BBB/Baa |  |  |  |  |  |  | 13.5 |
BB/Ba |  |  |  |  |  |  | 31.8 |
B |  |  |  |  |  |  | 36.4 |
CCC/Caa |  |  |  |  |  |  | 6.7 |
CC |  |  |  |  |  |  | 0.4 |
C |  |  |  |  |  |  | — | (d)
N/R (e) |  |  |  |  |  |  | 2.4 |

(a) | Excludes short-term securities.

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

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

(d) | Rounds to less than 0.1% of total investments.

(e) | The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors and individual investments. Using this approach, the investment adviser has deemed certain of these unrated securities as investment grade quality. As of June 30, 2022, the market value of unrated securities deemed by the investment adviser to be investment grade represents less than 1.0% of the Fund’s total investments.

* | Includes one or more investment categories that individually represents less than 1.0% of the Fund’s total investments. Please refer to the Schedule of Investments for details. |

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

Schedule of Investments (unaudited) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities |
Unique Pub Finance Co. PLC (a) |  |  |  |  |  |  |  |  |  |  |  |
Series A4, 5.66%, 06/30/27 |  |  | GBP |  |  |  | 38 |  |  | $ | 48,974 |
Series N, 6.46%, 03/30/32 |  |  |  |  |  |  | 100 |  |  |  | 139,397 |
Total Asset-Backed Securities — 0.0% (Cost: $199,333) |  |  |  | 188,371 |
|  |  |  |  | Shares |  |  |  |
Common Stocks |
Construction & Engineering — 0.0% |
McDermott International Ltd. (b) |  |  |  |  |  |  | 141,483 |  |  |  | 80,645 |
Diversified Financial Services — 0.0% |
Kcad Holdings I Ltd. (b)(c) |  |  |  |  |  |  | 1,075,282,733 |  |  |  | 10,753 |
Metals & Mining (b) — 0.0% |  |  |  |  |  |  |  |  |
Ameriforge Group, Inc. |  |  |  |  |  |  | 1,664 |  |  |  | 1,664 |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $255,714) (c)(d) |  |  |  |  |  |  | 14,576 |  |  |  | 1,210 |
|  |  |  |  |  |  |  |  |  |  | 2,874 |
Oil, Gas & Consumable Fuels — 0.0% |
Chesapeake Energy Corp. |  |  |  |  |  |  | 2,756 |  |  |  | 223,529 |
Semiconductors & Semiconductor Equipment (b) — 0.0% |
Maxeon Solar Technologies Ltd. |  |  |  |  |  |  | 213 |  |  |  | 2,831 |
SunPower Corp. |  |  |  |  |  |  | 1,707 |  |  |  | 26,987 |
|  |  |  |  |  |  |  |  |  |  | 29,818 |
Specialty Retail — 0.1% |  |  |  |  |  |  |  |  |
NMG Parent LLC (b) |  |  |  |  |  |  | 1,477 |  |  |  | 256,998 |
Total Common Stocks — 0.1% (Cost: $13,892,941) |  |  |  |  |  |  |  |  |  |  | 604,617 |
|  |  |  |  | Par (000) |  |  |  |
Corporate Bonds |
Aerospace & Defense — 0.7% |  |  |  |  |  |  |  |  |  |  |  |
Bombardier, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 03/15/25 |  |  | USD |  |  |  | 12 |  |  |  | 10,845 |
7.13%, 06/15/26 |  |  |  |  |  |  | 361 |  |  |  | 297,637 |
7.88%, 04/15/27 |  |  |  |  |  |  | 83 |  |  |  | 69,090 |
6.00%, 02/15/28 |  |  |  |  |  |  | 145 |  |  |  | 108,663 |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 08/15/26 (e) |  |  |  |  |  |  | 200 |  |  |  | 159,296 |
Rolls-Royce PLC, 5.75%, 10/15/27 (e) |  |  |  |  |  |  | 200 |  |  |  | 180,260 |
Spirit AeroSystems, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 01/15/25 |  |  |  |  |  |  | 55 |  |  |  | 50,875 |
7.50%, 04/15/25 |  |  |  |  |  |  | 10 |  |  |  | 9,288 |
TransDigm, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 12/15/25 (e) |  |  |  |  |  |  | 656 |  |  |  | 663,373 |
6.25%, 03/15/26 (e) |  |  |  |  |  |  | 1,077 |  |  |  | 1,037,959 |
6.38%, 06/15/26 |  |  |  |  |  |  | 15 |  |  |  | 14,025 |
7.50%, 03/15/27 |  |  |  |  |  |  | 33 |  |  |  | 31,133 |
4.63%, 01/15/29 |  |  |  |  |  |  | 151 |  |  |  | 121,558 |

Security |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |  |  |  |  |  |  |  |  |
TransDigm, Inc. (continued) 4.88%, 05/01/29 |  |  | USD |  |  |  | 96 |  |  | $ | 78,148 |
Triumph Group, Inc., 8.88%, 06/01/24 (e) |  |  |  |  |  |  | 231 |  |  |  | 232,702 |
|  |  |  |  |  |  |  |  |  |  | 3,064,852 |
Airlines — 0.7% |
Air Canada, 3.88%, 08/15/26 (e) |  |  |  |  |  |  | 101 |  |  |  | 85,435 |
Air France-KLM, 3.88%, 07/01/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 84,884 |
Allegiant Travel Co., 8.50%, 02/05/24 (e) |  |  | USD |  |  |  | 1,065 |  |  |  | 1,051,687 |
American Airlines, Inc., 11.75%, 07/15/25 (e) |  |  |  |  |  |  | 405 |  |  |  | 419,134 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 04/20/26 |  |  |  |  |  |  | 167 |  |  |  | 153,171 |
5.75%, 04/20/29 |  |  |  |  |  |  | 326 |  |  |  | 278,448 |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (e) |  |  |  |  |  |  | 169 |  |  |  | 159,351 |
Deutsche Lufthansa AG, 3.75%, 02/11/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 84,098 |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (e) |  |  | USD |  |  |  | 101 |  |  |  | 90,516 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27 (e) |  |  |  |  |  |  | 301 |  |  |  | 296,314 |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25 (e) |  |  |  |  |  |  | 13 |  |  |  | 13,701 |
United Airlines Pass-Through Trust |  |  |  |  |  |  |  |  |  |  |  |
Series 2020-1, Class A, 5.88%, 04/15/29 |  |  |  |  |  |  | 190 |  |  |  | 186,371 |
Series 2020-1, Class B, 4.88%, 07/15/27 |  |  |  |  |  |  | 17 |  |  |  | 15,764 |
United Airlines, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 04/15/26 |  |  |  |  |  |  | 235 |  |  |  | 207,075 |
4.63%, 04/15/29 |  |  |  |  |  |  | 302 |  |  |  | 256,178 |
|  |  |  |  |  |  |  |  |  |  | 3,382,127 |
Auto Components — 0.5% |
Clarios Global LP, 6.75%, 05/15/25 (e) |  |  |  |  |  |  | 721 |  |  |  | 714,114 |
Clarios Global LP/Clarios U.S. Finance Co. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 05/15/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 91,242 |
6.25%, 05/15/26 (e) |  |  | USD |  |  |  | 271 |  |  |  | 260,837 |
8.50%, 05/15/27 (e) |  |  |  |  |  |  | 930 |  |  |  | 898,822 |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 (e) |  |  |  |  |  |  | 22 |  |  |  | 19,006 |
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29 (e) |  |  |  |  |  |  | 36 |  |  |  | 26,586 |
Goodyear Tire & Rubber Co. |  |  |  |  |  |  |  |  |  |  |  |
9.50%, 05/31/25 |  |  |  |  |  |  | 65 |  |  |  | 67,221 |
5.00%, 07/15/29 |  |  |  |  |  |  | 42 |  |  |  | 34,783 |
5.63%, 04/30/33 |  |  |  |  |  |  | 66 |  |  |  | 52,858 |
Meritor, Inc., 4.50%, 12/15/28 (e) |  |  |  |  |  |  | 24 |  |  |  | 23,108 |
NM Holdings Co. LLC, 12.00%, 07/01/49 (b)(c)(f) |  |  |  |  |  |  | 5,150 |  |  |  | — |
Titan International, Inc., 7.00%, 04/30/28 |  |  |  |  |  |  | 18 |  |  |  | 16,909 |
|  |  |  |  |  |  |  |  |  |  | 2,205,486 |
Automobiles — 0.4% |
Allison Transmission, Inc., 5.88%, 06/01/29 (e) |  |  |  |  |  |  | 145 |  |  |  | 134,850 |
Asbury Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 03/01/28 |  |  |  |  |  |  | 35 |  |  |  | 30,363 |
4.75%, 03/01/30 |  |  |  |  |  |  | 73 |  |  |  | 60,024 |
5.00%, 02/15/32 (e) |  |  |  |  |  |  | 51 |  |  |  | 41,692 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Automobiles (continued) |
Carvana Co. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 04/15/27 |  |  | USD |  |  |  | 88 |  |  | $ | 56,790 |
4.88%, 09/01/29 |  |  |  |  |  |  | 72 |  |  |  | 40,940 |
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (a) |  |  | GBP |  |  |  | 100 |  |  |  | 95,558 |
Ford Motor Co. |  |  |  |  |  |  |  |  |  |  |  |
4.35%, 12/08/26 |  |  | USD |  |  |  | 9 |  |  |  | 8,341 |
3.25%, 02/12/32 |  |  |  |  |  |  | 199 |  |  |  | 148,832 |
4.75%, 01/15/43 |  |  |  |  |  |  | 176 |  |  |  | 125,371 |
5.29%, 12/08/46 |  |  |  |  |  |  | 78 |  |  |  | 59,819 |
Ford Motor Credit Co. LLC |  |  |  |  |  |  |  |  |  |  |  |
3.81%, 01/09/24 |  |  |  |  |  |  | 200 |  |  |  | 194,039 |
4.69%, 06/09/25 |  |  |  |  |  |  | 200 |  |  |  | 189,002 |
5.13%, 06/16/25 |  |  |  |  |  |  | 200 |  |  |  | 190,984 |
5.11%, 05/03/29 |  |  |  |  |  |  | 200 |  |  |  | 179,295 |
4.00%, 11/13/30 |  |  |  |  |  |  | 200 |  |  |  | 162,051 |
Group 1 Automotive, Inc., 4.00%, 08/15/28 (e) |  |  |  |  |  |  | 15 |  |  |  | 12,537 |
Ken Garff Automotive LLC, 4.88%, 09/15/28 (e) |  |  |  |  |  |  | 39 |  |  |  | 31,797 |
LCM Investments Holdings II LLC, 4.88%, 05/01/29 (e) |  |  |  |  |  |  | 90 |  |  |  | 68,499 |
Lithia Motors, Inc., 3.88%, 06/01/29 (e) |  |  |  |  |  |  | 42 |  |  |  | 35,674 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29 (e) |  |  |  |  |  |  | 59 |  |  |  | 40,415 |
Penske Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 09/01/25 |  |  |  |  |  |  | 59 |  |  |  | 55,312 |
3.75%, 06/15/29 |  |  |  |  |  |  | 22 |  |  |  | 18,319 |
Sonic Automotive, Inc., 4.63%, 11/15/29 (e) |  |  |  |  |  |  | 20 |  |  |  | 15,496 |
Wabash National Corp., 4.50%, 10/15/28 (e) |  |  |  |  |  |  | 70 |  |  |  | 53,550 |
|  |  |  |  |  |  |  |  |  |  | 2,049,550 |
Banks — 0.0% |
Banco Espirito Santo SA (a)(b)(f) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/22 |  |  | EUR |  |  |  | 200 |  |  |  | 30,391 |
4.00%, 01/21/22 (c) |  |  |  |  |  |  | 100 |  |  |  | 15,195 |
2.63%, 05/08/49 (c) |  |  |  |  |  |  | 100 |  |  |  | 15,195 |
Wells Fargo & Co., Series BB, (5 year CMT + 3.45%), 3.90% (g)(h) |  |  | USD |  |  |  | 115 |  |  |  | 99,044 |
|  |  |  |  |  |  |  |  |  |  | 159,825 |
Beverages — 0.4% |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27 (e)(i) |  |  |  |  |  |  | 441 |  |  |  | 327,116 |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29 (e) |  |  |  |  |  |  | 485 |  |  |  | 389,213 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27 (e) |  |  |  |  |  |  | 208 |  |  |  | 148,317 |
Ball Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.88%, 08/15/30 |  |  |  |  |  |  | 12 |  |  |  | 9,659 |
3.13%, 09/15/31 |  |  |  |  |  |  | 157 |  |  |  | 126,642 |
Silgan Holdings, Inc., 4.13%, 02/01/28 |  |  |  |  |  |  | 8 |  |  |  | 7,174 |
Triton Water Holdings, Inc., 6.25%, 04/01/29 (e) |  |  |  |  |  |  | 362 |  |  |  | 257,020 |
Trivium Packaging Finance BV, 8.50%, 08/15/27 (e) |  |  |  |  |  |  | 814 |  |  |  | 763,209 |
|  |  |  |  |  |  |  |  |  |  | 2,028,350 |
Biotechnology — 0.0% |
Cidron Aida Finco SARL, 5.00%, 04/01/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 87,049 |
Building Materials (e) — 0.2% |
Cornerstone Building Brands, Inc., 6.13%, 01/15/29 |  |  | USD |  |  |  | 55 |  |  |  | 35,334 |
CP Atlas Buyer, Inc., 7.00%, 12/01/28 |  |  |  |  |  |  | 21 |  |  |  | 15,166 |

Security |  |  |  |  | Par (000) |  |  | Value |
Building Materials (continued) |
Jeld-Wen, Inc., 4.63%, 12/15/25 |  |  | USD |  |  |  | 10 |  |  | $ | 8,500 |
Masonite International Corp. |  |  |  |  |  |  |  |  |  |  |  |
Class C, 5.38%, 02/01/28 |  |  |  |  |  |  | 45 |  |  |  | 40,725 |
Class C, 3.50%, 02/15/30 |  |  |  |  |  |  | 69 |  |  |  | 54,922 |
New Enterprise Stone & Lime Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 07/15/28 |  |  |  |  |  |  | 26 |  |  |  | 21,373 |
9.75%, 07/15/28 |  |  |  |  |  |  | 38 |  |  |  | 32,490 |
SRM Escrow Issuer LLC, 6.00%, 11/01/28 |  |  |  |  |  |  | 267 |  |  |  | 225,677 |
Standard Industries, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 02/15/27 |  |  |  |  |  |  | 34 |  |  |  | 30,347 |
4.38%, 07/15/30 |  |  |  |  |  |  | 167 |  |  |  | 131,721 |
3.38%, 01/15/31 |  |  |  |  |  |  | 99 |  |  |  | 73,024 |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 |  |  |  |  |  |  | 168 |  |  |  | 146,580 |
|  |  |  |  |  |  |  |  |  |  | 815,859 |
Building Products (e) — 0.3% |
Advanced Drainage Systems, Inc., 6.38%, 06/15/30 |  |  |  |  |  |  | 133 |  |  |  | 129,884 |
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 |  |  |  |  |  |  | 32 |  |  |  | 26,023 |
Foundation Building Materials, Inc., 6.00%, 03/01/29 |  |  |  |  |  |  | 52 |  |  |  | 38,090 |
GYP Holdings III Corp., 4.63%, 05/01/29 |  |  |  |  |  |  | 76 |  |  |  | 59,259 |
LBM Acquisition LLC, 6.25%, 01/15/29 |  |  |  |  |  |  | 71 |  |  |  | 45,711 |
Patrick Industries, Inc., 4.75%, 05/01/29 |  |  |  |  |  |  | 20 |  |  |  | 14,885 |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |  |  |  |  |  |  | 79 |  |  |  | 64,228 |
SRS Distribution, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 07/01/28 |  |  |  |  |  |  | 259 |  |  |  | 226,625 |
6.13%, 07/01/29 |  |  |  |  |  |  | 127 |  |  |  | 100,200 |
6.00%, 12/01/29 |  |  |  |  |  |  | 203 |  |  |  | 159,402 |
White Cap Buyer LLC, 6.88%, 10/15/28 |  |  |  |  |  |  | 497 |  |  |  | 397,600 |
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26 (i) |  |  |  |  |  |  | 67 |  |  |  | 55,777 |
|  |  |  |  |  |  |  |  |  |  | 1,317,684 |
Capital Markets — 0.3% |
Aretec Escrow Issuer, Inc., 7.50%, 04/01/29 (e) |  |  |  |  |  |  | 36 |  |  |  | 30,679 |
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00% (g)(h) |  |  |  |  |  |  | 265 |  |  |  | 203,984 |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (e) |  |  |  |  |  |  | 65 |  |  |  | 53,625 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 09/15/24 |  |  |  |  |  |  | 101 |  |  |  | 94,264 |
5.25%, 05/15/27 |  |  |  |  |  |  | 175 |  |  |  | 155,022 |
4.38%, 02/01/29 |  |  |  |  |  |  | 182 |  |  |  | 147,085 |
NFP Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 08/15/28 |  |  |  |  |  |  | 176 |  |  |  | 150,739 |
6.88%, 08/15/28 |  |  |  |  |  |  | 699 |  |  |  | 576,703 |
OWL Rock Core Income Corp., 5.50%, 03/21/25 (e) |  |  |  |  |  |  | 55 |  |  |  | 52,801 |
|  |  |  |  |  |  |  |  |  |  | 1,464,902 |
Chemicals — 0.6% |  |  |  |  |  |  |  |  |
Ashland LLC, 3.38%, 09/01/31 (e) |  |  |  |  |  |  | 89 |  |  |  | 72,390 |
Axalta Coating Systems LLC, 3.38%, 02/15/29 (e) |  |  |  |  |  |  | 300 |  |  |  | 244,911 |
Chemours Co., 5.75%, 11/15/28 (e) |  |  |  |  |  |  | 38 |  |  |  | 32,385 |
Diamond BC BV, 4.63%, 10/01/29 (e) |  |  |  |  |  |  | 226 |  |  |  | 180,732 |
Element Solutions, Inc., 3.88%, 09/01/28 (e) |  |  |  |  |  |  | 552 |  |  |  | 455,472 |
EverArc Escrow SARL, 5.00%, 10/30/29 (e) |  |  |  |  |  |  | 176 |  |  |  | 148,142 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |
GCP Applied Technologies, Inc., 5.50%, 04/15/26 (e) |  |  | USD |  |  |  | 134 |  |  | $ | 133,330 |
HB Fuller Co., 4.25%, 10/15/28 |  |  |  |  |  |  | 35 |  |  |  | 29,367 |
Herens Holdco SARL, 4.75%, 05/15/28 (e) |  |  |  |  |  |  | 200 |  |  |  | 166,160 |
Herens Midco SARL, 5.25%, 05/15/29 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 68,377 |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 (e) |  |  | USD |  |  |  | 188 |  |  |  | 148,520 |
Ingevity Corp., 3.88%, 11/01/28 (e) |  |  |  |  |  |  | 23 |  |  |  | 19,262 |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26 (e)(i) |  |  |  |  |  |  | 73 |  |  |  | 66,769 |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29 (e) |  |  |  |  |  |  | 36 |  |  |  | 30,330 |
Lune Holdings SARL, 5.63%, 11/15/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 84,142 |
Minerals Technologies, Inc., 5.00%, 07/01/28 (e) |  |  | USD |  |  |  | 55 |  |  |  | 47,866 |
Scotts Miracle-Gro Co. |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 04/01/31 |  |  |  |  |  |  | 57 |  |  |  | 42,607 |
4.38%, 02/01/32 |  |  |  |  |  |  | 8 |  |  |  | 6,082 |
WESCO Distribution, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/25 |  |  |  |  |  |  | 49 |  |  |  | 48,894 |
7.25%, 06/15/28 |  |  |  |  |  |  | 146 |  |  |  | 144,394 |
WR Grace Holdings LLC, 5.63%, 08/15/29 (e) |  |  |  |  |  |  | 916 |  |  |  | 674,405 |
|  |  |  |  |  |  |  |  |  |  | 2,844,537 |
Commercial Services & Supplies — 0.3% |
ADT Security Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 08/01/29 |  |  |  |  |  |  | 9 |  |  |  | 7,304 |
4.88%, 07/15/32 |  |  |  |  |  |  | 12 |  |  |  | 9,552 |
AMN Healthcare, Inc., 4.00%, 04/15/29 (e) |  |  |  |  |  |  | 28 |  |  |  | 23,660 |
APX Group, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 02/15/27 |  |  |  |  |  |  | 64 |  |  |  | 59,354 |
5.75%, 07/15/29 |  |  |  |  |  |  | 86 |  |  |  | 66,581 |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29 (e) |  |  |  |  |  |  | 13 |  |  |  | 10,814 |
EC Finance PLC, 3.00%, 10/15/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 91,409 |
Fortress Transportation & Infrastructure Investors LLC (e) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25 |  |  | USD |  |  |  | 24 |  |  |  | 22,644 |
9.75%, 08/01/27 |  |  |  |  |  |  | 17 |  |  |  | 16,616 |
5.50%, 05/01/28 |  |  |  |  |  |  | 95 |  |  |  | 78,414 |
Herc Holdings, Inc., 5.50%, 07/15/27 (e) |  |  |  |  |  |  | 121 |  |  |  | 110,461 |
Hertz Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 12/01/26 |  |  |  |  |  |  | 40 |  |  |  | 33,443 |
5.00%, 12/01/29 |  |  |  |  |  |  | 33 |  |  |  | 25,410 |
Metis Merger Sub LLC, 6.50%, 05/15/29 (e) |  |  |  |  |  |  | 68 |  |  |  | 54,036 |
NESCO Holdings II, Inc., 5.50%, 04/15/29 (e) |  |  |  |  |  |  | 74 |  |  |  | 61,975 |
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (e) |  |  |  |  |  |  | 3 |  |  |  | 2,378 |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28 (e) |  |  |  |  |  |  | 211 |  |  |  | 176,522 |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 (e) |  |  |  |  |  |  | 202 |  |  |  | 173,380 |
Team Health Holdings, Inc., 6.38%, 02/01/25 (e) |  |  |  |  |  |  | 103 |  |  |  | 71,923 |
United Rentals North America, Inc., 5.25%, 01/15/30 |  |  |  |  |  |  | 2 |  |  |  | 1,855 |
Williams Scotsman International, Inc., 4.63%, 08/15/28 (e) |  |  |  |  |  |  | 74 |  |  |  | 63,085 |
|  |  |  |  |  |  |  |  |  |  | 1,160,816 |
Communications Equipment (e) — 0.1% |
Avaya, Inc., 6.13%, 09/15/28 |  |  |  |  |  |  | 223 |  |  |  | 145,507 |
Ciena Corp., 4.00%, 01/31/30 |  |  |  |  |  |  | 34 |  |  |  | 29,346 |

Security |  |  |  |  | Par (000) |  |  | Value |
Communications Equipment (continued) |
CommScope Technologies LLC, 6.00%, 06/15/25 |  |  | USD |  |  |  | 139 |  |  | $ | 120,235 |
CommScope, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 03/01/26 |  |  |  |  |  |  | 24 |  |  |  | 22,105 |
8.25%, 03/01/27 |  |  |  |  |  |  | 11 |  |  |  | 8,696 |
7.13%, 07/01/28 |  |  |  |  |  |  | 58 |  |  |  | 44,085 |
4.75%, 09/01/29 |  |  |  |  |  |  | 89 |  |  |  | 71,796 |
Viasat, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 09/15/25 |  |  |  |  |  |  | 77 |  |  |  | 62,280 |
5.63%, 04/15/27 |  |  |  |  |  |  | 21 |  |  |  | 18,158 |
6.50%, 07/15/28 |  |  |  |  |  |  | 48 |  |  |  | 33,063 |
Viavi Solutions, Inc., 3.75%, 10/01/29 |  |  |  |  |  |  | 95 |  |  |  | 79,564 |
|  |  |  |  |  |  |  |  |  |  | 634,835 |
Construction Materials (e) — 0.1% |
American Builders & Contractors Supply Co., Inc. 4.00%, 01/15/28 |  |  |  |  |  |  | 148 |  |  |  | 126,763 |
3.88%, 11/15/29 |  |  |  |  |  |  | 18 |  |  |  | 14,391 |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 |  |  |  |  |  |  | 35 |  |  |  | 28,493 |
H&E Equipment Services, Inc., 3.88%, 12/15/28 |  |  |  |  |  |  | 20 |  |  |  | 16,175 |
IAA, Inc., 5.50%, 06/15/27 |  |  |  |  |  |  | 159 |  |  |  | 148,099 |
Picasso Finance Sub, Inc., 6.13%, 06/15/25 |  |  |  |  |  |  | 82 |  |  |  | 79,950 |
Thor Industries, Inc., 4.00%, 10/15/29 |  |  |  |  |  |  | 54 |  |  |  | 42,768 |
Winnebago Industries, Inc., 6.25%, 07/15/28 |  |  |  |  |  |  | 37 |  |  |  | 33,883 |
|  |  |  |  |  |  |  |  |  |  | 490,522 |
Consumer Discretionary (e) — 0.4% |  |  |  |  |  |  |  |  |
APi Escrow Corp., 4.75%, 10/15/29 |  |  |  |  |  |  | 32 |  |  |  | 25,840 |
APi Group DE, Inc., 4.13%, 07/15/29 |  |  |  |  |  |  | 67 |  |  |  | 53,211 |
Carnival Corp. |  |  |  |  |  |  |  |  |  |  |  |
10.50%, 02/01/26 |  |  |  |  |  |  | 314 |  |  |  | 312,578 |
5.75%, 03/01/27 |  |  |  |  |  |  | 300 |  |  |  | 216,684 |
9.88%, 08/01/27 |  |  |  |  |  |  | 140 |  |  |  | 136,500 |
4.00%, 08/01/28 |  |  |  |  |  |  | 326 |  |  |  | 267,320 |
6.00%, 05/01/29 |  |  |  |  |  |  | 125 |  |  |  | 87,826 |
CoreLogic, Inc., 4.50%, 05/01/28 |  |  |  |  |  |  | 138 |  |  |  | 106,260 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26 |  |  |  |  |  |  | 52 |  |  |  | 43,576 |
Life Time, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/26 |  |  |  |  |  |  | 80 |  |  |  | 71,718 |
8.00%, 04/15/26 |  |  |  |  |  |  | 69 |  |  |  | 61,496 |
NCL Corp. Ltd., 5.88%, 03/15/26 |  |  |  |  |  |  | 91 |  |  |  | 71,425 |
NCL Finance Ltd., 6.13%, 03/15/28 |  |  |  |  |  |  | 46 |  |  |  | 33,465 |
Nielsen Finance LLC/Nielsen Finance Co. |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/28 |  |  |  |  |  |  | 60 |  |  |  | 55,722 |
5.88%, 10/01/30 |  |  |  |  |  |  | 66 |  |  |  | 60,599 |
Royal Caribbean Cruises Ltd. |  |  |  |  |  |  |  |  |  |  |  |
10.88%, 06/01/23 |  |  |  |  |  |  | 42 |  |  |  | 42,140 |
9.13%, 06/15/23 |  |  |  |  |  |  | 54 |  |  |  | 53,404 |
11.50%, 06/01/25 |  |  |  |  |  |  | 57 |  |  |  | 58,567 |
5.50%, 08/31/26 |  |  |  |  |  |  | 28 |  |  |  | 20,790 |
5.50%, 04/01/28 |  |  |  |  |  |  | 170 |  |  |  | 118,150 |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 |  |  |  |  |  |  | 59 |  |  |  | 46,522 |
|  |  |  |  |  |  |  |  |  |  | 1,943,793 |
Consumer Finance — 0.6% |
American Express Co., (5 year CMT + 2.85%), 3.55% (g)(h) |  |  |  |  |  |  | 235 |  |  |  | 191,198 |
Block, Inc., 3.50%, 06/01/31 (e) |  |  |  |  |  |  | 399 |  |  |  | 317,947 |
HealthEquity, Inc., 4.50%, 10/01/29 (e) |  |  |  |  |  |  | 312 |  |  |  | 273,000 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Consumer Finance (continued) |
MPH Acquisition Holdings LLC, 5.50%, 09/01/28 (e) |  |  | USD |  |  |  | 66 |  |  | $ | 58,740 |
Navient Corp. |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 09/25/23 |  |  |  |  |  |  | 3 |  |  |  | 2,968 |
6.13%, 03/25/24 |  |  |  |  |  |  | 93 |  |  |  | 88,177 |
5.88%, 10/25/24 |  |  |  |  |  |  | 77 |  |  |  | 70,778 |
5.50%, 03/15/29 |  |  |  |  |  |  | 87 |  |  |  | 67,069 |
OneMain Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 03/15/25 |  |  |  |  |  |  | 151 |  |  |  | 143,112 |
3.50%, 01/15/27 |  |  |  |  |  |  | 156 |  |  |  | 124,800 |
6.63%, 01/15/28 |  |  |  |  |  |  | 8 |  |  |  | 7,150 |
5.38%, 11/15/29 |  |  |  |  |  |  | 18 |  |  |  | 14,586 |
4.00%, 09/15/30 |  |  |  |  |  |  | 93 |  |  |  | 68,936 |
Sabre Global, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
9.25%, 04/15/25 |  |  |  |  |  |  | 78 |  |  |  | 75,157 |
7.38%, 09/01/25 |  |  |  |  |  |  | 81 |  |  |  | 75,128 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26 (e) |  |  |  |  |  |  | 184 |  |  |  | 162,838 |
SLM Corp., 3.13%, 11/02/26 |  |  |  |  |  |  | 56 |  |  |  | 45,218 |
Verscend Escrow Corp., 9.75%, 08/15/26 (e) |  |  |  |  |  |  | 851 |  |  |  | 827,598 |
|  |  |  |  |  |  |  |  |  |  | 2,614,400 |
Containers & Packaging (e) — 0.1% |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, 09/01/28 |  |  |  |  |  |  | 200 |  |  |  | 170,714 |
Clydesdale Acquisition Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 04/15/29 |  |  |  |  |  |  | 218 |  |  |  | 204,839 |
8.75%, 04/15/30 |  |  |  |  |  |  | 178 |  |  |  | 153,537 |
LABL, Inc., 5.88%, 11/01/28 |  |  |  |  |  |  | 84 |  |  |  | 67,824 |
Sealed Air Corp., 4.00%, 12/01/27 |  |  |  |  |  |  | 61 |  |  |  | 54,992 |
|  |  |  |  |  |  |  |  |  |  | 651,906 |
Diversified Consumer Services — 0.5% |
Allied Universal Holdco LLC/Allied Universal Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/26 |  |  |  |  |  |  | 655 |  |  |  | 601,048 |
9.75%, 07/15/27 |  |  |  |  |  |  | 101 |  |  |  | 85,480 |
6.00%, 06/01/29 |  |  |  |  |  |  | 600 |  |  |  | 435,703 |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28 (e) |  |  |  |  |  |  | 400 |  |  |  | 326,783 |
Brink’s Co., 5.50%, 07/15/25 (e) |  |  |  |  |  |  | 15 |  |  |  | 14,433 |
Clarivate Science Holdings Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 07/01/28 |  |  |  |  |  |  | 352 |  |  |  | 294,099 |
4.88%, 07/01/29 |  |  |  |  |  |  | 167 |  |  |  | 137,107 |
Garda World Security Corp., 4.63%, 02/15/27 (e) |  |  |  |  |  |  | 11 |  |  |  | 9,460 |
Rekeep SpA, 7.25%, 02/01/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 90,293 |
Service Corp. International, 4.00%, 05/15/31 |  |  | USD |  |  |  | 192 |  |  |  | 163,920 |
Sotheby’s, 7.38%, 10/15/27 (e) |  |  |  |  |  |  | 200 |  |  |  | 185,355 |
|  |  |  |  |  |  |  |  |  |  | 2,343,681 |
Diversified Financial Services — 0.2% |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28 (e) |  |  |  |  |  |  | 200 |  |  |  | 165,964 |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27 (e) |  |  |  |  |  |  | 24 |  |  |  | 19,924 |
Central Garden & Pet Co. |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 10/15/30 |  |  |  |  |  |  | 63 |  |  |  | 51,692 |
4.13%, 04/30/31 (e) |  |  |  |  |  |  | 55 |  |  |  | 44,152 |
Citigroup, Inc. (g)(h) |  |  |  |  |  |  |  |  |  |  |  |
Series W, (5 year CMT + 3.60%), 4.00% |  |  |  |  |  |  | 50 |  |  |  | 43,250 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
Citigroup, Inc. (g)(h) (continued) |  |  |  |  |  |  |  |  |  |  |  |
Series Y, (5 year CMT + 3.00%), 4.15% |  |  | USD |  |  |  | 10 |  |  | $ | 8,025 |
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 (a) |  |  | GBP |  |  |  | 100 |  |  |  | 108,948 |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 (e)(i) |  |  | USD |  |  |  | 25 |  |  |  | 18,707 |
Intrum AB, 4.88%, 08/15/25 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 94,773 |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28 (e) |  |  | USD |  |  |  | 200 |  |  |  | 164,500 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 06/15/29 (e) |  |  |  |  |  |  | 22 |  |  |  | 16,928 |
Spectrum Brands, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/29 |  |  |  |  |  |  | 8 |  |  |  | 6,918 |
5.50%, 07/15/30 |  |  |  |  |  |  | 50 |  |  |  | 44,998 |
UBS Group AG, (5 year CMT + 3.31%), 4.38% (e)(g)(h) |  |  |  |  |  |  | 345 |  |  |  | 252,402 |
VistaJet Malta Finance PLC/XO Management Holding, Inc., 6.38%, 02/01/30 (e) |  |  |  |  |  |  | 52 |  |  |  | 41,600 |
|  |  |  |  |  |  |  |  |  |  | 1,082,781 |
Diversified Telecommunication Services — 0.9% |
Consolidated Communications, Inc., 6.50%, 10/01/28 (e) |  |  |  |  |  |  | 157 |  |  |  | 133,541 |
Frontier Communications Holdings LLC, 8.75%, 05/15/30 (e) |  |  |  |  |  |  | 187 |  |  |  | 189,055 |
Level 3 Financing, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.40%, 03/01/27 |  |  |  |  |  |  | 28 |  |  |  | 24,117 |
4.25%, 07/01/28 |  |  |  |  |  |  | 153 |  |  |  | 122,591 |
3.63%, 01/15/29 |  |  |  |  |  |  | 66 |  |  |  | 50,889 |
3.75%, 07/15/29 |  |  |  |  |  |  | 116 |  |  |  | 89,692 |
Lumen Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/15/26 (e) |  |  |  |  |  |  | 439 |  |  |  | 369,559 |
4.00%, 02/15/27 (e) |  |  |  |  |  |  | 62 |  |  |  | 52,436 |
4.50%, 01/15/29 (e) |  |  |  |  |  |  | 181 |  |  |  | 134,735 |
5.38%, 06/15/29 (e) |  |  |  |  |  |  | 498 |  |  |  | 394,304 |
Series U, 7.65%, 03/15/42 |  |  |  |  |  |  | 38 |  |  |  | 29,165 |
SoftBank Group Corp., 5.00%, 04/15/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 83,123 |
Sprint Capital Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 11/15/28 |  |  | USD |  |  |  | 324 |  |  |  | 340,692 |
8.75%, 03/15/32 |  |  |  |  |  |  | 522 |  |  |  | 628,217 |
Switch Ltd. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 09/15/28 |  |  |  |  |  |  | 99 |  |  |  | 97,926 |
4.13%, 06/15/29 |  |  |  |  |  |  | 202 |  |  |  | 199,948 |
Telecom Italia Capital SA |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/33 |  |  |  |  |  |  | 58 |  |  |  | 44,788 |
6.00%, 09/30/34 |  |  |  |  |  |  | 134 |  |  |  | 101,072 |
7.20%, 07/18/36 |  |  |  |  |  |  | 14 |  |  |  | 10,629 |
7.72%, 06/04/38 |  |  |  |  |  |  | 23 |  |  |  | 17,745 |
Telecom Italia SpA, 2.88%, 01/28/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 94,011 |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30 (e) |  |  | USD |  |  |  | 45 |  |  |  | 31,131 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28 (e) |  |  |  |  |  |  | 81 |  |  |  | 66,614 |
Zayo Group Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  |  |  |  |  |  | 645 |  |  |  | 535,086 |
6.13%, 03/01/28 |  |  |  |  |  |  | 746 |  |  |  | 538,694 |
|  |  |  |  |  |  |  |  |  |  | 4,379,760 |
Electric Utilities — 0.1% |
Edison International, Series A, (5 year CMT + 4.70%), 5.38% (g)(h) |  |  |  |  |  |  | 100 |  |  |  | 81,250 |
FirstEnergy Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.65%, 03/01/30 |  |  |  |  |  |  | 85 |  |  |  | 70,125 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Electric Utilities (continued) |
FirstEnergy Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
Series B, 2.25%, 09/01/30 |  |  | USD |  |  |  | 6 |  |  | $ | 4,755 |
Series C, 3.40%, 03/01/50 |  |  |  |  |  |  | 230 |  |  |  | 155,917 |
FirstEnergy Transmission LLC (e) |  |  |  |  |  |  |  |  |  |  |  |
5.45%, 07/15/44 |  |  |  |  |  |  | 139 |  |  |  | 129,925 |
4.55%, 04/01/49 |  |  |  |  |  |  | 51 |  |  |  | 41,036 |
Pike Corp., 5.50%, 09/01/28 (e) |  |  |  |  |  |  | 130 |  |  |  | 105,535 |
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (c)(h) |  |  |  |  |  |  | 2,375 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 588,543 |
Electrical Equipment — 0.1% |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 (e) |  |  |  |  |  |  | 322 |  |  |  | 298,655 |
GrafTech Finance, Inc., 4.63%, 12/15/28 (e) |  |  |  |  |  |  | 66 |  |  |  | 53,426 |
NM Holdings Co. LLC, Series B, 9.50%, 07/01/05 (b)(c)(f) |  |  |  |  |  |  | 5,125 |  |  |  | 1 |
|  |  |  |  |  |  |  |  |  |  | 352,082 |
Electronic Equipment, Instruments & Components — 0.3% |
BWX Technologies, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 06/30/28 |  |  |  |  |  |  | 86 |  |  |  | 76,540 |
4.13%, 04/15/29 |  |  |  |  |  |  | 107 |  |  |  | 93,893 |
Energizer Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 06/15/28 |  |  |  |  |  |  | 17 |  |  |  | 13,493 |
4.38%, 03/31/29 |  |  |  |  |  |  | 6 |  |  |  | 4,606 |
Imola Merger Corp., 4.75%, 05/15/29 (e) |  |  |  |  |  |  | 203 |  |  |  | 169,842 |
Vertiv Group Corp., 4.13%, 11/15/28 (e) |  |  |  |  |  |  | 1,049 |  |  |  | 851,704 |
Xerox Corp., 4.80%, 03/01/35 |  |  |  |  |  |  | 48 |  |  |  | 36,833 |
|  |  |  |  |  |  |  |  |  |  | 1,246,911 |
Energy Equipment & Services — 0.1% |
Archrock Partners LP/Archrock Partners Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 |  |  |  |  |  |  | 106 |  |  |  | 96,658 |
6.25%, 04/01/28 |  |  |  |  |  |  | 166 |  |  |  | 146,960 |
USA Compression Partners LP/USA Compression Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/26 |  |  |  |  |  |  | 45 |  |  |  | 40,937 |
6.88%, 09/01/27 |  |  |  |  |  |  | 229 |  |  |  | 203,238 |
Vallourec SA, 8.50%, 06/30/26 (a) |  |  | EUR |  |  |  | 8 |  |  |  | 7,742 |
Weatherford International Ltd. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 09/15/28 |  |  | USD |  |  |  | 4 |  |  |  | 3,590 |
8.63%, 04/30/30 |  |  |  |  |  |  | 68 |  |  |  | 56,425 |
|  |  |  |  |  |  |  |  |  |  | 555,550 |
Entertainment (e) — 0.0% |  |  |  |  |  |  |  |  |
AMC Entertainment Holdings, Inc., 7.50%, 02/15/29 |  |  |  |  |  |  | 104 |  |  |  | 87,880 |
Lindblad Expeditions LLC, 6.75%, 02/15/27 |  |  |  |  |  |  | 83 |  |  |  | 71,172 |
NCL Corp. Ltd., 7.75%, 02/15/29 |  |  |  |  |  |  | 35 |  |  |  | 26,775 |
|  |  |  |  |  |  |  |  |  |  | 185,827 |
Environmental, Maintenance & Security Service — 0.2% |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 12/01/29 (e) |  |  |  |  |  |  | 78 |  |  |  | 63,470 |
5.00%, 09/01/30 |  |  |  |  |  |  | 13 |  |  |  | 10,612 |
GFL Environmental, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 08/01/25 |  |  |  |  |  |  | 45 |  |  |  | 41,737 |
5.13%, 12/15/26 |  |  |  |  |  |  | 109 |  |  |  | 104,237 |
4.00%, 08/01/28 |  |  |  |  |  |  | 150 |  |  |  | 123,750 |
3.50%, 09/01/28 |  |  |  |  |  |  | 65 |  |  |  | 55,737 |
4.75%, 06/15/29 |  |  |  |  |  |  | 111 |  |  |  | 91,852 |

Security |  |  |  |  | Par (000) |  |  | Value |
Environmental, Maintenance & Security Service (continued) |
GFL Environmental, Inc. (e) (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 08/15/29 |  |  | USD |  |  |  | 126 |  |  | $ | 101,430 |
Stericycle, Inc., 3.88%, 01/15/29 (e) |  |  |  |  |  |  | 49 |  |  |  | 40,058 |
Tervita Corp., 11.00%, 12/01/25 (e) |  |  |  |  |  |  | 25 |  |  |  | 27,188 |
Waste Pro USA, Inc., 5.50%, 02/15/26 (e) |  |  |  |  |  |  | 104 |  |  |  | 92,383 |
|  |  |  |  |  |  |  |  |  |  | 752,454 |
Equity Real Estate Investment Trusts (REITs) — 0.3% |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27 (e) |  |  |  |  |  |  | 57 |  |  |  | 47,267 |
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28 (e) |  |  |  |  |  |  | 52 |  |  |  | 44,408 |
Diversified Healthcare Trust, 9.75%, 06/15/25 |  |  |  |  |  |  | 19 |  |  |  | 18,739 |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27 (e) |  |  |  |  |  |  | 46 |  |  |  | 38,442 |
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26 (e) |  |  |  |  |  |  | 59 |  |  |  | 50,740 |
Iron Mountain, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 07/15/30 |  |  |  |  |  |  | 43 |  |  |  | 37,384 |
5.63%, 07/15/32 |  |  |  |  |  |  | 66 |  |  |  | 55,808 |
MPT Operating Partnership LP/MPT Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  |  |  | 306 |  |  |  | 268,515 |
3.50%, 03/15/31 |  |  |  |  |  |  | 371 |  |  |  | 292,407 |
RHP Hotel Properties LP/RHP Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 10/15/27 |  |  |  |  |  |  | 311 |  |  |  | 275,891 |
4.50%, 02/15/29 (e) |  |  |  |  |  |  | 77 |  |  |  | 65,288 |
RLJ Lodging Trust LP (e) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 07/01/26 |  |  |  |  |  |  | 40 |  |  |  | 34,663 |
4.00%, 09/15/29 |  |  |  |  |  |  | 31 |  |  |  | 25,464 |
Service Properties Trust |  |  |  |  |  |  |  |  |  |  |  |
4.35%, 10/01/24 |  |  |  |  |  |  | 7 |  |  |  | 5,688 |
7.50%, 09/15/25 |  |  |  |  |  |  | 29 |  |  |  | 26,571 |
|  |  |  |  |  |  |  |  |  |  | 1,287,275 |
Food & Staples Retailing — 0.3% |  |  |  |  |  |  |  |  |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (e) |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 03/15/26 |  |  |  |  |  |  | 146 |  |  |  | 127,159 |
4.63%, 01/15/27 |  |  |  |  |  |  | 11 |  |  |  | 9,826 |
4.88%, 02/15/30 |  |  |  |  |  |  | 68 |  |  |  | 58,333 |
Darling Ingredients, Inc., 6.00%, 06/15/30 (e) |  |  |  |  |  |  | 96 |  |  |  | 95,678 |
Kraft Heinz Foods Co. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 02/09/40 |  |  |  |  |  |  | 35 |  |  |  | 37,821 |
4.88%, 10/01/49 |  |  |  |  |  |  | 61 |  |  |  | 53,878 |
5.50%, 06/01/50 |  |  |  |  |  |  | 253 |  |  |  | 242,858 |
Lamb Weston Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 05/15/28 |  |  |  |  |  |  | 18 |  |  |  | 16,940 |
4.13%, 01/31/30 |  |  |  |  |  |  | 94 |  |  |  | 81,363 |
4.38%, 01/31/32 |  |  |  |  |  |  | 145 |  |  |  | 126,150 |
Market Bidco Finco PLC, 5.50%, 11/04/27 (a) |  |  | GBP |  |  |  | 100 |  |  |  | 92,515 |
Ocado Group PLC, 3.88%, 10/08/26 (a) |  |  |  |  |  |  | 100 |  |  |  | 97,624 |
Performance Food Group, Inc., 4.25%, 08/01/29 (e) |  |  | USD |  |  |  | 168 |  |  |  | 140,280 |
Post Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 12/15/29 |  |  |  |  |  |  | 11 |  |  |  | 9,834 |
4.63%, 04/15/30 |  |  |  |  |  |  | 45 |  |  |  | 37,970 |
4.50%, 09/15/31 |  |  |  |  |  |  | 21 |  |  |  | 17,175 |
U.S. Foods, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 04/15/25 |  |  |  |  |  |  | 51 |  |  |  | 50,872 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Food & Staples Retailing (continued) |
U.S. Foods, Inc. (e) (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 02/15/29 |  |  | USD |  |  |  | 121 |  |  | $ | 105,777 |
United Natural Foods, Inc., 6.75%, 10/15/28 (e) |  |  |  |  |  |  | 15 |  |  |  | 14,018 |
|  |  |  |  |  |  |  |  |  |  | 1,416,071 |
Food Products (e) — 0.2% |  |  |  |  |  |  |  |  |
Aramark Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 05/01/25 |  |  |  |  |  |  | 110 |  |  |  | 107,618 |
5.00%, 02/01/28 |  |  |  |  |  |  | 211 |  |  |  | 191,210 |
Chobani LLC/Chobani Finance Corp., Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  |  |  |  |  |  | 352 |  |  |  | 323,266 |
4.63%, 11/15/28 |  |  |  |  |  |  | 256 |  |  |  | 216,320 |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 |  |  |  |  |  |  | 89 |  |  |  | 73,015 |
Pilgrim’s Pride Corp., 3.50%, 03/01/32 |  |  |  |  |  |  | 57 |  |  |  | 44,531 |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 |  |  |  |  |  |  | 110 |  |  |  | 92,994 |
|  |  |  |  |  |  |  |  |  |  | 1,048,954 |
Gas Utilities — 0.0% |  |  |  |  |  |  |  |  |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 (e) |  |  |  |  |  |  | 29 |  |  |  | 24,661 |
Health Care Equipment & Supplies (e) — 0.2% |
Avantor Funding, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 07/15/28 |  |  |  |  |  |  | 359 |  |  |  | 329,095 |
3.88%, 11/01/29 |  |  |  |  |  |  | 387 |  |  |  | 338,490 |
Embecta Corp., 6.75%, 02/15/30 |  |  |  |  |  |  | 49 |  |  |  | 44,116 |
Hologic, Inc., 3.25%, 02/15/29 |  |  |  |  |  |  | 15 |  |  |  | 12,821 |
|  |  |  |  |  |  |  |  |  |  | 724,522 |
Health Care Providers & Services — 0.9% |
Acadia Healthcare Co., Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 07/01/28 |  |  |  |  |  |  | 37 |  |  |  | 34,569 |
5.00%, 04/15/29 |  |  |  |  |  |  | 17 |  |  |  | 15,261 |
AdaptHealth LLC (e) |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 08/01/28 |  |  |  |  |  |  | 24 |  |  |  | 21,228 |
5.13%, 03/01/30 |  |  |  |  |  |  | 9 |  |  |  | 7,586 |
AHP Health Partners, Inc., 5.75%, 07/15/29 (e) |  |  |  |  |  |  | 105 |  |  |  | 77,144 |
Cano Health LLC, 6.25%, 10/01/28 (e) |  |  |  |  |  |  | 40 |  |  |  | 32,712 |
Centene Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.45%, 07/15/28 |  |  |  |  |  |  | 200 |  |  |  | 166,808 |
3.00%, 10/15/30 |  |  |  |  |  |  | 480 |  |  |  | 397,800 |
2.50%, 03/01/31 |  |  |  |  |  |  | 409 |  |  |  | 324,648 |
2.63%, 08/01/31 |  |  |  |  |  |  | 107 |  |  |  | 85,119 |
CHS/Community Health Systems, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 03/15/26 |  |  |  |  |  |  | 370 |  |  |  | 336,955 |
5.63%, 03/15/27 |  |  |  |  |  |  | 153 |  |  |  | 129,495 |
6.00%, 01/15/29 |  |  |  |  |  |  | 136 |  |  |  | 112,665 |
6.88%, 04/15/29 |  |  |  |  |  |  | 34 |  |  |  | 21,930 |
6.13%, 04/01/30 |  |  |  |  |  |  | 91 |  |  |  | 55,510 |
Encompass Health Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 02/01/28 |  |  |  |  |  |  | 16 |  |  |  | 13,698 |
4.75%, 02/01/30 |  |  |  |  |  |  | 123 |  |  |  | 103,079 |
4.63%, 04/01/31 |  |  |  |  |  |  | 66 |  |  |  | 53,442 |
Legacy LifePoint Health LLC (e) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 04/15/25 |  |  |  |  |  |  | 116 |  |  |  | 112,127 |
4.38%, 02/15/27 |  |  |  |  |  |  | 44 |  |  |  | 37,700 |
LifePoint Health, Inc., 5.38%, 01/15/29 (e) |  |  |  |  |  |  | 71 |  |  |  | 52,185 |
Medline Borrower LP (e) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 04/01/29 |  |  |  |  |  |  | 81 |  |  |  | 68,989 |

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
Medline Borrower LP (e) (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 10/01/29 |  |  | USD |  |  |  | 761 |  |  | $ | 625,009 |
ModivCare, Inc., 5.88%, 11/15/25 (e) |  |  |  |  |  |  | 23 |  |  |  | 21,160 |
Molina Healthcare, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 06/15/28 |  |  |  |  |  |  | 12 |  |  |  | 10,719 |
3.88%, 11/15/30 |  |  |  |  |  |  | 174 |  |  |  | 148,732 |
3.88%, 05/15/32 |  |  |  |  |  |  | 77 |  |  |  | 64,571 |
Owens & Minor, Inc., 6.63%, 04/01/30 (e) |  |  |  |  |  |  | 46 |  |  |  | 42,020 |
Prime Healthcare Services, Inc., 7.25%, 11/01/25 (e) |  |  |  |  |  |  | 149 |  |  |  | 127,171 |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26 (e) |  |  |  |  |  |  | 17 |  |  |  | 16,533 |
Surgery Center Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/01/25 |  |  |  |  |  |  | 145 |  |  |  | 132,898 |
10.00%, 04/15/27 |  |  |  |  |  |  | 256 |  |  |  | 247,973 |
Teleflex, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 11/15/27 |  |  |  |  |  |  | 6 |  |  |  | 5,535 |
4.25%, 06/01/28 (e) |  |  |  |  |  |  | 42 |  |  |  | 37,948 |
Tenet Healthcare Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 01/01/26 |  |  |  |  |  |  | 214 |  |  |  | 196,880 |
6.25%, 02/01/27 |  |  |  |  |  |  | 30 |  |  |  | 27,612 |
5.13%, 11/01/27 |  |  |  |  |  |  | 343 |  |  |  | 308,700 |
4.63%, 06/15/28 |  |  |  |  |  |  | 26 |  |  |  | 22,640 |
6.13%, 10/01/28 |  |  |  |  |  |  | 55 |  |  |  | 47,068 |
4.25%, 06/01/29 |  |  |  |  |  |  | 14 |  |  |  | 11,791 |
6.13%, 06/15/30 |  |  |  |  |  |  | 91 |  |  |  | 83,955 |
|  |  |  |  |  |  |  |  |  |  | 4,439,565 |
Health Care Technology — 0.2% |
Catalent Pharma Solutions, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 07/15/27 |  |  |  |  |  |  | 41 |  |  |  | 38,595 |
3.13%, 02/15/29 |  |  |  |  |  |  | 52 |  |  |  | 42,663 |
3.50%, 04/01/30 |  |  |  |  |  |  | 139 |  |  |  | 113,414 |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25 (e) |  |  |  |  |  |  | 212 |  |  |  | 206,422 |
Charles River Laboratories International, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 05/01/28 |  |  |  |  |  |  | 46 |  |  |  | 41,322 |
3.75%, 03/15/29 |  |  |  |  |  |  | 11 |  |  |  | 9,546 |
4.00%, 03/15/31 |  |  |  |  |  |  | 31 |  |  |  | 26,426 |
Chrome Bidco SASU, 3.50%, 05/31/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 85,755 |
Minerva Merger Sub, Inc., 6.50%, 02/15/30 (e) |  |  | USD |  |  |  | 343 |  |  |  | 285,235 |
Syneos Health, Inc., 3.63%, 01/15/29 (e) |  |  |  |  |  |  | 291 |  |  |  | 246,427 |
|  |  |  |  |  |  |  |  |  |  | 1,095,805 |
Hotels, Restaurants & Leisure — 1.0% |
1011778 BC ULC/New Red Finance, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 01/15/28 |  |  |  |  |  |  | 73 |  |  |  | 63,358 |
4.38%, 01/15/28 |  |  |  |  |  |  | 234 |  |  |  | 204,586 |
4.00%, 10/15/30 |  |  |  |  |  |  | 46 |  |  |  | 36,915 |
Affinity Gaming, 6.88%, 12/15/27 (e) |  |  |  |  |  |  | 8 |  |  |  | 6,720 |
Boyd Gaming Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/27 |  |  |  |  |  |  | 58 |  |  |  | 52,490 |
4.75%, 06/15/31 (e) |  |  |  |  |  |  | 160 |  |  |  | 135,203 |
Boyne USA, Inc., 4.75%, 05/15/29 (e) |  |  |  |  |  |  | 94 |  |  |  | 81,398 |
Caesars Entertainment, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 07/01/25 |  |  |  |  |  |  | 533 |  |  |  | 513,668 |
8.13%, 07/01/27 |  |  |  |  |  |  | 409 |  |  |  | 395,196 |
4.63%, 10/15/29 |  |  |  |  |  |  | 534 |  |  |  | 415,185 |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25 (e) |  |  |  |  |  |  | 151 |  |  |  | 144,403 |
Carnival Corp., 7.63%, 03/01/26 (e) |  |  |  |  |  |  | 29 |  |  |  | 22,462 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
CCM Merger, Inc., 6.38%, 05/01/26 (e) |  |  | USD |  |  |  | 53 |  |  |  |  |  |  | $ | 48,253 |
CDI Escrow Issuer, Inc., 5.75%, 04/01/30 (e) |  |  |  |  |  |  | 323 |  |  |  |  |  |  |  | 293,930 |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 05/01/25 (e) |  |  |  |  |  |  | 318 |  |  |  |  |  |  |  | 308,460 |
6.50%, 10/01/28 |  |  |  |  |  |  | 19 |  |  |  |  |  |  |  | 18,033 |
Churchill Downs, Inc., 4.75%, 01/15/28 (e) |  |  |  |  |  |  | 152 |  |  |  |  |  |  |  | 135,280 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 01/15/29 |  |  |  |  |  |  | 195 |  |  |  |  |  |  |  | 166,237 |
6.75%, 01/15/30 |  |  |  |  |  |  | 376 |  |  |  |  |  |  |  | 288,580 |
Hilton Domestic Operating Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 05/01/28 (e) |  |  |  |  |  |  | 108 |  |  |  |  |  |  |  | 102,690 |
3.75%, 05/01/29 (e) |  |  |  |  |  |  | 35 |  |  |  |  |  |  |  | 29,685 |
4.88%, 01/15/30 |  |  |  |  |  |  | 199 |  |  |  |  |  |  |  | 179,846 |
4.00%, 05/01/31 (e) |  |  |  |  |  |  | 92 |  |  |  |  |  |  |  | 76,452 |
3.63%, 02/15/32 (e) |  |  |  |  |  |  | 35 |  |  |  |  |  |  |  | 27,803 |
MGM Resorts International, 5.75%, 06/15/25 |  |  |  |  |  |  | 73 |  |  |  |  |  |  |  | 69,532 |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (e) |  |  |  |  |  |  | 71 |  |  |  |  |  |  |  | 57,865 |
Peninsula Pacific Entertainment LLC/Peninsula Pacific Entertainment Finance, Inc., 8.50%, 11/15/27 (e) |  |  |  |  |  |  | 76 |  |  |  |  |  |  |  | 79,770 |
Powdr Corp., 6.00%, 08/01/25 (e) |  |  |  |  |  |  | 67 |  |  |  |  |  |  |  | 66,498 |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 09/01/29 |  |  |  |  |  |  | 34 |  |  |  |  |  |  |  | 24,207 |
5.88%, 09/01/31 |  |  |  |  |  |  | 37 |  |  |  |  |  |  |  | 25,678 |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26 (e) |  |  |  |  |  |  | 57 |  |  |  |  |  |  |  | 49,875 |
Royal Caribbean Cruises Ltd., 5.38%, 07/15/27 (e) |  |  |  |  |  |  | 92 |  |  |  |  |  |  |  | 66,872 |
Scientific Games International, Inc., 8.63%, 07/01/25 (e) |  |  |  |  |  |  | 65 |  |  |  |  |  |  |  | 66,632 |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 (e)(j) |  |  |  |  |  |  | 96 |  |  |  |  |  |  |  | 97,184 |
Station Casinos LLC (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 02/15/28 |  |  |  |  |  |  | 69 |  |  |  |  |  |  |  | 58,278 |
4.63%, 12/01/31 |  |  |  |  |  |  | 89 |  |  |  |  |  |  |  | 69,420 |
Vail Resorts, Inc., 6.25%, 05/15/25 (e) |  |  |  |  |  |  | 89 |  |  |  |  |  |  |  | 88,891 |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28 (e) |  |  |  |  |  |  | 44 |  |  |  |  |  |  |  | 38,485 |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (e) |  |  |  |  |  |  | 198 |  |  |  |  |  |  |  | 155,945 |
Yum! Brands, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/30 (e) |  |  |  |  |  |  | 24 |  |  |  |  |  |  |  | 21,780 |
5.35%, 11/01/43 |  |  |  |  |  |  | 14 |  |  |  |  |  |  |  | 11,603 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 4,795,348 |
Household Durables — 0.2% |
Ashton Woods USA LLC/Ashton Woods Finance Co. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  |  |  | 32 |  |  |  |  |  |  |  | 24,000 |
4.63%, 04/01/30 |  |  |  |  |  |  | 46 |  |  |  |  |  |  |  | 33,780 |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 06/15/29 |  |  |  |  |  |  | 67 |  |  |  |  |  |  |  | 50,657 |
4.88%, 02/15/30 |  |  |  |  |  |  | 256 |  |  |  |  |  |  |  | 185,984 |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25 (e) |  |  |  |  |  |  | 104 |  |  |  |  |  |  |  | 91,944 |
K Hovnanian Enterprises, Inc., 10.00%, 11/15/25 (e) |  |  |  |  |  |  | 20 |  |  |  |  |  |  |  | 21,204 |
KB Home, 7.25%, 07/15/30 |  |  |  |  |  |  | 21 |  |  |  |  |  |  |  | 19,898 |

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Household Durables (continued) |
Mattamy Group Corp., 4.63%, 03/01/30 (e) |  |  | USD |  |  |  | 72 |  |  |  |  |  |  | $ | 52,619 |
NCR Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/01/27 |  |  |  |  |  |  | 20 |  |  |  |  |  |  |  | 17,751 |
5.00%, 10/01/28 |  |  |  |  |  |  | 57 |  |  |  |  |  |  |  | 48,330 |
5.13%, 04/15/29 |  |  |  |  |  |  | 30 |  |  |  |  |  |  |  | 25,372 |
6.13%, 09/01/29 |  |  |  |  |  |  | 78 |  |  |  |  |  |  |  | 67,459 |
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (e) |  |  |  |  |  |  | 105 |  |  |  |  |  |  |  | 70,612 |
Taylor Morrison Communities, Inc., 5.13%, 08/01/30 (e) |  |  |  |  |  |  | 20 |  |  |  |  |  |  |  | 16,610 |
Tempur Sealy International, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 04/15/29 |  |  |  |  |  |  | 73 |  |  |  |  |  |  |  | 58,804 |
3.88%, 10/15/31 |  |  |  |  |  |  | 96 |  |  |  |  |  |  |  | 72,000 |
Tri Pointe Homes, Inc., 5.70%, 06/15/28 |  |  |  |  |  |  | 18 |  |  |  |  |  |  |  | 15,534 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 872,558 |
Household Products — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Energizer Holdings, Inc., 6.50%, 12/31/27 (e) |  |  |  |  |  |  | 38 |  |  |  |  |  |  |  | 33,297 |
Independent Power and Renewable Electricity Producers (e) — 0.1% |
Calpine Corp. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/26 |  |  |  |  |  |  | 28 |  |  |  |  |  |  |  | 26,600 |
5.13%, 03/15/28 |  |  |  |  |  |  | 380 |  |  |  |  |  |  |  | 334,514 |
4.63%, 02/01/29 |  |  |  |  |  |  | 22 |  |  |  |  |  |  |  | 18,310 |
5.00%, 02/01/31 |  |  |  |  |  |  | 14 |  |  |  |  |  |  |  | 11,318 |
3.75%, 03/01/31 |  |  |  |  |  |  | 4 |  |  |  |  |  |  |  | 3,254 |
Clearway Energy Operating LLC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 03/15/28 |  |  |  |  |  |  | 20 |  |  |  |  |  |  |  | 17,994 |
3.75%, 01/15/32 |  |  |  |  |  |  | 82 |  |  |  |  |  |  |  | 64,985 |
NRG Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.63%, 02/15/31 |  |  |  |  |  |  | 91 |  |  |  |  |  |  |  | 71,343 |
3.88%, 02/15/32 |  |  |  |  |  |  | 78 |  |  |  |  |  |  |  | 61,954 |
TerraForm Power Operating LLC, 4.75%, 01/15/30 |  |  |  |  |  |  | 74 |  |  |  |  |  |  |  | 63,380 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 673,652 |
Insurance (e) — 0.5% |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 |  |  |  |  |  |  | 71 |  |  |  |  |  |  |  | 55,578 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 10/15/27 |  |  |  |  |  |  | 388 |  |  |  |  |  |  |  | 335,841 |
6.75%, 10/15/27 |  |  |  |  |  |  | 1,083 |  |  |  |  |  |  |  | 961,032 |
5.88%, 11/01/29 |  |  |  |  |  |  | 376 |  |  |  |  |  |  |  | 312,009 |
AmWINS Group, Inc., 4.88%, 06/30/29 |  |  |  |  |  |  | 82 |  |  |  |  |  |  |  | 67,152 |
GTCR AP Finance, Inc., 8.00%, 05/15/27 |  |  |  |  |  |  | 4 |  |  |  |  |  |  |  | 3,745 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 05/01/26 |  |  |  |  |  |  | 416 |  |  |  |  |  |  |  | 391,206 |
5.63%, 12/01/29 |  |  |  |  |  |  | 16 |  |  |  |  |  |  |  | 13,217 |
Ryan Specialty Group LLC, 4.38%, 02/01/30 |  |  |  |  |  |  | 43 |  |  |  |  |  |  |  | 37,410 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2,177,190 |
Interactive Media & Services — 0.1% |
Arches Buyer, Inc., 4.25%, 06/01/28 (e) |  |  |  |  |  |  | 36 |  |  |  |  |  |  |  | 29,311 |
Iliad SA, 2.38%, 06/17/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 91,696 |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 04/30/27 |  |  | USD |  |  |  | 152 |  |  |  |  |  |  |  | 125,180 |
6.00%, 02/15/28 |  |  |  |  |  |  | 71 |  |  |  |  |  |  |  | 51,021 |
10.75%, 06/01/28 |  |  |  |  |  |  | 30 |  |  |  |  |  |  |  | 26,694 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Interactive Media & Services (continued) |
Twitter, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 12/15/27 |  |  | USD |  |  |  | 103 |  |  | $ | 97,104 |
5.00%, 03/01/30 |  |  |  |  |  |  | 71 |  |  |  | 67,361 |
|  |  |  |  |  |  |  |  |  |  | 488,367 |
Internet Software & Services (e) — 0.4% |
ANGI Group LLC, 3.88%, 08/15/28 |  |  |  |  |  |  | 106 |  |  |  | 80,708 |
Endurance International Group Holdings, Inc., 6.00%, 02/15/29 |  |  |  |  |  |  | 34 |  |  |  | 24,535 |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 |  |  |  |  |  |  | 55 |  |  |  | 46,370 |
Match Group Holdings II LLC |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/01/28 |  |  |  |  |  |  | 81 |  |  |  | 73,435 |
4.13%, 08/01/30 |  |  |  |  |  |  | 65 |  |  |  | 54,282 |
3.63%, 10/01/31 |  |  |  |  |  |  | 51 |  |  |  | 40,162 |
Uber Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25 |  |  |  |  |  |  | 242 |  |  |  | 239,694 |
8.00%, 11/01/26 |  |  |  |  |  |  | 92 |  |  |  | 91,586 |
7.50%, 09/15/27 |  |  |  |  |  |  | 282 |  |  |  | 273,196 |
6.25%, 01/15/28 |  |  |  |  |  |  | 341 |  |  |  | 315,370 |
4.50%, 08/15/29 |  |  |  |  |  |  | 656 |  |  |  | 539,560 |
|  |  |  |  |  |  |  |  |  |  | 1,778,898 |
IT Services — 0.6% |  |  |  |  |  |  |  |  |
Ahead DB Holdings LLC, 6.63%, 05/01/28 (e) |  |  |  |  |  |  | 50 |  |  |  | 41,450 |
Booz Allen Hamilton, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 09/01/28 |  |  |  |  |  |  | 75 |  |  |  | 66,375 |
4.00%, 07/01/29 |  |  |  |  |  |  | 138 |  |  |  | 120,326 |
CA Magnum Holdings, 5.38%, 10/31/26 (e) |  |  |  |  |  |  | 201 |  |  |  | 173,865 |
Camelot Finance SA, 4.50%, 11/01/26 (e) |  |  |  |  |  |  | 56 |  |  |  | 51,078 |
Condor Merger Sub, Inc., 7.38%, 02/15/30 (e) |  |  |  |  |  |  | 279 |  |  |  | 226,763 |
Dun & Bradstreet Corp., 5.00%, 12/15/29 (e) |  |  |  |  |  |  | 252 |  |  |  | 217,665 |
Fair Isaac Corp., 4.00%, 06/15/28 (e) |  |  |  |  |  |  | 63 |  |  |  | 55,808 |
Fiserv, Inc., 2.25%, 06/01/27 |  |  |  |  |  |  | 1,385 |  |  |  | 1,238,718 |
Gartner, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 07/01/28 |  |  |  |  |  |  | 91 |  |  |  | 83,557 |
3.63%, 06/15/29 |  |  |  |  |  |  | 55 |  |  |  | 47,650 |
3.75%, 10/01/30 |  |  |  |  |  |  | 45 |  |  |  | 38,306 |
KBR, Inc., 4.75%, 09/30/28 (e) |  |  |  |  |  |  | 66 |  |  |  | 58,168 |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25 (e) |  |  |  |  |  |  | 190 |  |  |  | 178,740 |
Twilio, Inc., 3.88%, 03/15/31 |  |  |  |  |  |  | 161 |  |  |  | 132,466 |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (e) |  |  |  |  |  |  | 337 |  |  |  | 282,286 |
|  |  |  |  |  |  |  |  |  |  | 3,013,221 |
Leisure Products — 0.0% |  |  |  |  |  |  |  |  |
Mattel, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 04/01/29 (e) |  |  |  |  |  |  | 45 |  |  |  | 40,437 |
6.20%, 10/01/40 |  |  |  |  |  |  | 60 |  |  |  | 57,300 |
5.45%, 11/01/41 |  |  |  |  |  |  | 119 |  |  |  | 104,452 |
|  |  |  |  |  |  |  |  |  |  | 202,189 |
Machinery — 0.5% |  |  |  |  |  |  |  |  |
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28 (e) |  |  |  |  |  |  | 35 |  |  |  | 29,225 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25 (e)(i) |  |  |  |  |  |  | 445 |  |  |  | 431,650 |
Madison IAQ LLC, 5.88%, 06/30/29 (e) |  |  |  |  |  |  | 1,142 |  |  |  | 875,137 |
Mueller Water Products, Inc., 4.00%, 06/15/29 (e) |  |  |  |  |  |  | 34 |  |  |  | 29,660 |
OT Merger Corp., 7.88%, 10/15/29 (e) |  |  |  |  |  |  | 37 |  |  |  | 21,251 |
Schenck Process Holding GmbH/Darmstadt, 5.38%, 06/15/23 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 100,819 |

Security |  |  |  |  | Par (000) |  |  | Value |
Machinery (continued) |  |  |  |
Terex Corp., 5.00%, 05/15/29 (e) |  |  | USD |  |  |  | 102 |  |  | $ | 86,700 |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26 (e) |  |  |  |  |  |  | 171 |  |  |  | 157,183 |
TK Elevator Holdco GmbH, 7.63%, 07/15/28 (e) |  |  |  |  |  |  | 200 |  |  |  | 179,500 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27 (e) |  |  |  |  |  |  | 400 |  |  |  | 356,626 |
|  |  |  |  |  |  |  |  |  |  | 2,267,751 |
Media — 2.5% |  |  |  |  |  |  |  |  |
Adelphia Communications Corp., 10.50%, 12/31/49 (b)(c)(f)(g) |  |  |  |  |  |  | 400 |  |  |  | — |
Altice Financing SA (e) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 01/15/28 |  |  |  |  |  |  | 204 |  |  |  | 164,391 |
5.75%, 08/15/29 |  |  |  |  |  |  | 251 |  |  |  | 201,428 |
Altice France Holding SA, 10.50%, 05/15/27 (e) |  |  |  |  |  |  | 742 |  |  |  | 622,642 |
AMC Networks, Inc., 4.25%, 02/15/29 |  |  |  |  |  |  | 39 |  |  |  | 31,540 |
Cable One, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1.13%, 03/15/28 (k) |  |  |  |  |  |  | 66 |  |  |  | 55,308 |
4.00%, 11/15/30 (e) |  |  |  |  |  |  | 88 |  |  |  | 72,290 |
CCO Holdings LLC/CCO Holdings Capital Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 05/01/27 (e) |  |  |  |  |  |  | 38 |  |  |  | 35,863 |
5.00%, 02/01/28 (e) |  |  |  |  |  |  | 62 |  |  |  | 57,207 |
5.38%, 06/01/29 (e) |  |  |  |  |  |  | 117 |  |  |  | 104,579 |
4.75%, 03/01/30 (e) |  |  |  |  |  |  | 22 |  |  |  | 18,816 |
4.50%, 08/15/30 (e) |  |  |  |  |  |  | 144 |  |  |  | 119,560 |
4.25%, 02/01/31 (e) |  |  |  |  |  |  | 257 |  |  |  | 209,455 |
4.75%, 02/01/32 (e) |  |  |  |  |  |  | 172 |  |  |  | 140,834 |
4.50%, 05/01/32 |  |  |  |  |  |  | 279 |  |  |  | 225,906 |
4.50%, 06/01/33 (e) |  |  |  |  |  |  | 128 |  |  |  | 100,867 |
4.25%, 01/15/34 (e) |  |  |  |  |  |  | 289 |  |  |  | 223,253 |
Clear Channel International BV, 6.63%, 08/01/25 (e) |  |  |  |  |  |  | 200 |  |  |  | 186,000 |
Clear Channel Outdoor Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 08/15/27 |  |  |  |  |  |  | 562 |  |  |  | 474,513 |
7.75%, 04/15/28 |  |  |  |  |  |  | 358 |  |  |  | 260,470 |
7.50%, 06/01/29 |  |  |  |  |  |  | 252 |  |  |  | 181,203 |
CMG Media Corp., 8.88%, 12/15/27 (e) |  |  |  |  |  |  | 100 |  |  |  | 79,001 |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26 (e) |  |  |  |  |  |  | 738 |  |  |  | 663,189 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/24 |  |  |  |  |  |  | 344 |  |  |  | 321,640 |
4.13%, 12/01/30 (e) |  |  |  |  |  |  | 223 |  |  |  | 173,940 |
3.38%, 02/15/31 (e) |  |  |  |  |  |  | 205 |  |  |  | 151,559 |
Directv Financing LLC/Directv Financing Co.- Obligor, Inc., 5.88%, 08/15/27 (e) |  |  |  |  |  |  | 155 |  |  |  | 132,226 |
DISH DBS Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 07/15/22 |  |  |  |  |  |  | 582 |  |  |  | 578,700 |
5.25%, 12/01/26 (e) |  |  |  |  |  |  | 463 |  |  |  | 362,918 |
5.75%, 12/01/28 (e) |  |  |  |  |  |  | 270 |  |  |  | 199,911 |
5.13%, 06/01/29 |  |  |  |  |  |  | 107 |  |  |  | 65,017 |
Frontier Communications Holdings LLC (e) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 10/15/27 |  |  |  |  |  |  | 144 |  |  |  | 129,471 |
5.00%, 05/01/28 |  |  |  |  |  |  | 165 |  |  |  | 140,250 |
6.75%, 05/01/29 |  |  |  |  |  |  | 146 |  |  |  | 120,085 |
6.00%, 01/15/30 |  |  |  |  |  |  | 86 |  |  |  | 66,173 |
GCI LLC, 4.75%, 10/15/28 (e) |  |  |  |  |  |  | 64 |  |  |  | 55,453 |
Iliad Holding SASU (e) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/15/26 |  |  |  |  |  |  | 200 |  |  |  | 179,994 |
7.00%, 10/15/28 |  |  |  |  |  |  | 200 |  |  |  | 173,987 |
Kaixo Bondsco Telecom SA, 5.13%, 09/30/29 (a) |  |  | EUR |  |  |  | 100 |  |  |  | 79,382 |
Lamar Media Corp., 4.00%, 02/15/30 |  |  | USD |  |  |  | 57 |  |  |  | 47,860 |
LCPR Senior Secured Financing DAC (e) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 10/15/27 |  |  |  |  |  |  | 180 |  |  |  | 167,909 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Media (continued) |
LCPR Senior Secured Financing DAC (e) (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 07/15/29 |  |  | USD |  |  |  | 200 |  |  |  |  |  |  | $ | 167,000 |
Liberty Broadband Corp., 2.75%, 09/30/50 (e)(k) |  |  |  |  |  |  | 481 |  |  |  |  |  |  |  | 457,518 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (e)(i) |  |  |  |  |  |  | 89 |  |  |  |  |  |  |  | 45,413 |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 (e) |  |  |  |  |  |  | 244 |  |  |  |  |  |  |  | 190,320 |
Live Nation Entertainment, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 11/01/24 |  |  |  |  |  |  | 9 |  |  |  |  |  |  |  | 8,595 |
6.50%, 05/15/27 |  |  |  |  |  |  | 452 |  |  |  |  |  |  |  | 444,506 |
4.75%, 10/15/27 |  |  |  |  |  |  | 52 |  |  |  |  |  |  |  | 46,099 |
3.75%, 01/15/28 |  |  |  |  |  |  | 62 |  |  |  |  |  |  |  | 53,475 |
Outfront Media Capital LLC/Outfront Media Capital Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 08/15/27 |  |  |  |  |  |  | 215 |  |  |  |  |  |  |  | 187,856 |
4.25%, 01/15/29 |  |  |  |  |  |  | 43 |  |  |  |  |  |  |  | 34,255 |
4.63%, 03/15/30 |  |  |  |  |  |  | 4 |  |  |  |  |  |  |  | 3,151 |
Radiate Holdco LLC/Radiate Finance, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 09/15/26 |  |  |  |  |  |  | 815 |  |  |  |  |  |  |  | 702,758 |
6.50%, 09/15/28 |  |  |  |  |  |  | 414 |  |  |  |  |  |  |  | 319,970 |
Scripps Escrow II, Inc., 3.88%, 01/15/29 (e) |  |  |  |  |  |  | 5 |  |  |  |  |  |  |  | 4,190 |
Sinclair Television Group, Inc., 4.13%, 12/01/30 (e) |  |  |  |  |  |  | 229 |  |  |  |  |  |  |  | 181,635 |
Sirius XM Radio, Inc. (e) |
3.13%, 09/01/26 |  |  |  |  |  |  | 212 |  |  |  |  |  |  |  | 189,153 |
5.00%, 08/01/27 |  |  |  |  |  |  | 55 |  |  |  |  |  |  |  | 51,014 |
4.00%, 07/15/28 |  |  |  |  |  |  | 99 |  |  |  |  |  |  |  | 85,635 |
4.13%, 07/01/30 |  |  |  |  |  |  | 28 |  |  |  |  |  |  |  | 23,385 |
3.88%, 09/01/31 |  |  |  |  |  |  | 151 |  |  |  |  |  |  |  | 120,234 |
Stagwell Global LLC, 5.63%, 08/15/29 (e) |  |  |  |  |  |  | 32 |  |  |  |  |  |  |  | 25,713 |
United Group BV, 5.25%, 02/01/30 (a) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 77,275 |
Univision Communications, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 02/15/25 |  |  | USD |  |  |  | 107 |  |  |  |  |  |  |  | 100,687 |
6.63%, 06/01/27 |  |  |  |  |  |  | 39 |  |  |  |  |  |  |  | 37,132 |
7.38%, 06/30/30 |  |  |  |  |  |  | 42 |  |  |  |  |  |  |  | 41,055 |
UPC Broadband Finco BV, 4.88%, 07/15/31 (e) |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 163,000 |
Videotron Ltd., 3.63%, 06/15/29 (e) |  |  |  |  |  |  | 85 |  |  |  |  |  |  |  | 69,000 |
Virgin Media Secured Finance PLC, 4.50%, 08/15/30 (e) |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 164,342 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28 (e) |  |  |  |  |  |  | 242 |  |  |  |  |  |  |  | 200,247 |
WMG Acquisition Corp., 3.88%, 07/15/30 (e) |  |  |  |  |  |  | 7 |  |  |  |  |  |  |  | 5,821 |
Ziggo Bonds Co. BV, 5.13%, 02/28/30 (e) |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 156,882 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 11,732,106 |
Metals & Mining — 0.5% |
Allegheny Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 10/01/29 |  |  |  |  |  |  | 32 |  |  |  |  |  |  |  | 25,520 |
5.13%, 10/01/31 |  |  |  |  |  |  | 88 |  |  |  |  |  |  |  | 67,412 |
Arconic Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 05/15/25 |  |  |  |  |  |  | 13 |  |  |  |  |  |  |  | 12,679 |
6.13%, 02/15/28 |  |  |  |  |  |  | 183 |  |  |  |  |  |  |  | 170,882 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29 (e) |  |  |  |  |  |  | 341 |  |  |  |  |  |  |  | 316,429 |
Carpenter Technology Corp. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 07/15/28 |  |  |  |  |  |  | 14 |  |  |  |  |  |  |  | 12,496 |
7.63%, 03/15/30 |  |  |  |  |  |  | 64 |  |  |  |  |  |  |  | 58,771 |
Commercial Metals Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 01/15/30 |  |  |  |  |  |  | 23 |  |  |  |  |  |  |  | 19,366 |
4.38%, 03/15/32 |  |  |  |  |  |  | 24 |  |  |  |  |  |  |  | 19,658 |
Constellium SE, 3.75%, 04/15/29 (e) |  |  |  |  |  |  | 500 |  |  |  |  |  |  |  | 396,536 |

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Metals & Mining (continued) |
ERO Copper Corp., 6.50%, 02/15/30 (e) |  |  | USD |  |  |  | 50 |  |  |  |  |  |  | $ | 40,125 |
FMG Resources August 2006 Pty. Ltd., 6.13%, 04/15/32 (e) |  |  |  |  |  |  | 130 |  |  |  |  |  |  |  | 117,000 |
Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28 (e) |  |  |  | 9 |  |  |  |  |  |  |  | 9,293 |
Kaiser Aluminum Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 03/01/28 |  |  |  |  |  |  | 169 |  |  |  |  |  |  |  | 140,696 |
4.50%, 06/01/31 |  |  |  |  |  |  | 192 |  |  |  |  |  |  |  | 145,321 |
Mineral Resources Ltd. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 11/01/27 |  |  |  |  |  |  | 41 |  |  |  |  |  |  |  | 39,975 |
8.50%, 05/01/30 |  |  |  |  |  |  | 41 |  |  |  |  |  |  |  | 40,385 |
New Gold, Inc., 7.50%, 07/15/27 (e) |  |  |  |  |  |  | 170 |  |  |  |  |  |  |  | 147,900 |
Novelis Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 11/15/26 |  |  |  |  |  |  | 148 |  |  |  |  |  |  |  | 125,101 |
4.75%, 01/30/30 |  |  |  |  |  |  | 381 |  |  |  |  |  |  |  | 316,679 |
3.88%, 08/15/31 |  |  |  |  |  |  | 148 |  |  |  |  |  |  |  | 113,988 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29 (e) |  |  |  |  |  |  | 39 |  |  |  |  |  |  |  | 33,186 |
U.S. Steel Corp., 6.88%, 03/01/29 |  |  |  |  |  |  | 90 |  |  |  |  |  |  |  | 78,533 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2,447,931 |
Mortgage Real Estate Investment Trusts (REITs) — 0.0% |
Starwood Property Trust, Inc., 5.50%, 11/01/23 (e) |  |  |  | 9 |  |  |  |  |  |  |  | 8,899 |
Multiline Retail — 0.0% |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 (e) |  |  |  |  |  |  | 123 |  |  |  |  |  |  |  | 113,354 |
Offshore Drilling & Other Services (e) — 0.0% |
Entegris, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 04/15/28 |  |  |  |  |  |  | 29 |  |  |  |  |  |  |  | 25,593 |
3.63%, 05/01/29 |  |  |  |  |  |  | 10 |  |  |  |  |  |  |  | 8,362 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33,955 |
Oil, Gas & Consumable Fuels — 2.7% |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26 (e) |  |  |  |  |  |  | 186 |  |  |  |  |  |  |  | 180,745 |
Antero Midstream Partners LP/Antero Midstream Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  |  |  |  |  | 80 |  |  |  |  |  |  |  | 74,400 |
5.75%, 01/15/28 |  |  |  |  |  |  | 15 |  |  |  |  |  |  |  | 13,656 |
5.38%, 06/15/29 |  |  |  |  |  |  | 66 |  |  |  |  |  |  |  | 59,107 |
Antero Resources Corp., 7.63%, 02/01/29 (e) |  |  |  |  |  |  | 38 |  |  |  |  |  |  |  | 38,656 |
Apache Corp. |
4.25%, 01/15/30 |  |  |  |  |  |  | 68 |  |  |  |  |  |  |  | 60,265 |
5.10%, 09/01/40 |  |  |  |  |  |  | 130 |  |  |  |  |  |  |  | 109,769 |
5.25%, 02/01/42 |  |  |  |  |  |  | 18 |  |  |  |  |  |  |  | 15,057 |
5.35%, 07/01/49 |  |  |  |  |  |  | 41 |  |  |  |  |  |  |  | 32,396 |
Arcosa, Inc., 4.38%, 04/15/29 (e) |  |  |  |  |  |  | 117 |  |  |  |  |  |  |  | 99,281 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 11/01/27 |  |  |  |  |  |  | 298 |  |  |  |  |  |  |  | 374,045 |
5.88%, 06/30/29 |  |  |  |  |  |  | 71 |  |  |  |  |  |  |  | 62,480 |
Buckeye Partners LP |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.85%, 11/15/43 |  |  |  |  |  |  | 16 |  |  |  |  |  |  |  | 11,360 |
5.60%, 10/15/44 |  |  |  |  |  |  | 1 |  |  |  |  |  |  |  | 696 |
Callon Petroleum Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 10/01/24 |  |  |  |  |  |  | 33 |  |  |  |  |  |  |  | 33,508 |
9.00%, 04/01/25 (e) |  |  |  |  |  |  | 237 |  |  |  |  |  |  |  | 251,220 |
6.38%, 07/01/26 |  |  |  |  |  |  | 38 |  |  |  |  |  |  |  | 35,055 |
8.00%, 08/01/28 (e) |  |  |  |  |  |  | 250 |  |  |  |  |  |  |  | 240,150 |
7.50%, 06/15/30 (e) |  |  |  |  |  |  | 279 |  |  |  |  |  |  |  | 256,719 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |  |  |  |  |  |  |  |  |
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 (a)(k) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  | $ | 71,367 |
Centennial Resource Production LLC, 6.88%, 04/01/27 (e) |  |  | USD |  |  |  | 36 |  |  |  |  |  |  |  | 34,187 |
Central Parent, Inc./Central Merger Sub, Inc., 7.25%, 06/15/29 (e) |  |  |  |  |  |  | 179 |  |  |  |  |  |  |  | 172,287 |
Cheniere Energy Partners LP |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 10/01/29 |  |  |  |  |  |  | 211 |  |  |  |  |  |  |  | 188,360 |
4.00%, 03/01/31 |  |  |  |  |  |  | 201 |  |  |  |  |  |  |  | 170,910 |
3.25%, 01/31/32 (e) |  |  |  |  |  |  | 163 |  |  |  |  |  |  |  | 128,362 |
Cheniere Energy, Inc., 4.63%, 10/15/28 |  |  |  |  |  |  | 616 |  |  |  |  |  |  |  | 554,751 |
Chesapeake Energy Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 02/01/29 |  |  |  |  |  |  | 5 |  |  |  |  |  |  |  | 4,715 |
6.75%, 04/15/29 |  |  |  |  |  |  | 166 |  |  |  |  |  |  |  | 160,527 |
CITGO Petroleum Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 06/15/25 |  |  |  |  |  |  | 90 |  |  |  |  |  |  |  | 87,075 |
6.38%, 06/15/26 |  |  |  |  |  |  | 74 |  |  |  |  |  |  |  | 68,315 |
Civitas Resources, Inc., 5.00%, 10/15/26 (e) |  |  |  |  |  |  | 28 |  |  |  |  |  |  |  | 25,130 |
CNX Midstream Partners LP, 4.75%, 04/15/30 (e) |  |  |  |  |  |  | 30 |  |  |  |  |  |  |  | 25,200 |
CNX Resources Corp., 6.00%, 01/15/29 (e) |  |  |  |  |  |  | 33 |  |  |  |  |  |  |  | 30,829 |
Colgate Energy Partners III LLC (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 02/15/26 |  |  |  |  |  |  | 38 |  |  |  |  |  |  |  | 36,124 |
5.88%, 07/01/29 |  |  |  |  |  |  | 129 |  |  |  |  |  |  |  | 113,036 |
Comstock Resources, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 03/01/29 |  |  |  |  |  |  | 137 |  |  |  |  |  |  |  | 122,674 |
5.88%, 01/15/30 |  |  |  |  |  |  | 220 |  |  |  |  |  |  |  | 189,200 |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31 (e) |  |  |  |  |  |  | 250 |  |  |  |  |  |  |  | 212,885 |
Crescent Energy Finance LLC, 7.25%, 05/01/26 (e) |  |  |  |  |  |  | 222 |  |  |  |  |  |  |  | 202,020 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 05/01/27 |  |  |  |  |  |  | 16 |  |  |  |  |  |  |  | 14,240 |
6.00%, 02/01/29 |  |  |  |  |  |  | 13 |  |  |  |  |  |  |  | 11,344 |
8.00%, 04/01/29 |  |  |  |  |  |  | 27 |  |  |  |  |  |  |  | 25,077 |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25 (e) |  |  |  |  |  |  | 441 |  |  |  |  |  |  |  | 414,540 |
DCP Midstream Operating LP (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.45%, 11/03/36 |  |  |  |  |  |  | 179 |  |  |  |  |  |  |  | 175,420 |
6.75%, 09/15/37 |  |  |  |  |  |  | 6 |  |  |  |  |  |  |  | 5,708 |
DT Midstream, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 06/15/29 |  |  |  |  |  |  | 132 |  |  |  |  |  |  |  | 111,870 |
4.38%, 06/15/31 |  |  |  |  |  |  | 152 |  |  |  |  |  |  |  | 127,300 |
Dycom Industries, Inc., 4.50%, 04/15/29 (e) |  |  |  |  |  |  | 33 |  |  |  |  |  |  |  | 28,813 |
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 (e) |  |  |  |  |  |  | 93 |  |  |  |  |  |  |  | 88,001 |
eG Global Finance PLC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 02/07/25 (e) |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 188,577 |
6.25%, 10/30/25 (a) |  |  | EUR |  |  |  | 142 |  |  |  |  |  |  |  | 133,360 |
Energy Transfer LP, Series H, (5 year CMT + 5.69%), 6.50% (g)(h) |  |  | USD |  |  |  | 204 |  |  |  |  |  |  |  | 180,319 |
EnLink Midstream LLC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 01/15/28 (e) |  |  |  |  |  |  | 93 |  |  |  |  |  |  |  | 85,306 |
5.38%, 06/01/29 |  |  |  |  |  |  | 122 |  |  |  |  |  |  |  | 106,775 |
EnLink Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.40%, 04/01/24 |  |  |  |  |  |  | 136 |  |  |  |  |  |  |  | 132,756 |
4.85%, 07/15/26 |  |  |  |  |  |  | 39 |  |  |  |  |  |  |  | 35,978 |
5.60%, 04/01/44 |  |  |  |  |  |  | 82 |  |  |  |  |  |  |  | 58,073 |
5.45%, 06/01/47 |  |  |  |  |  |  | 18 |  |  |  |  |  |  |  | 12,739 |

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |  |  |  |  |  |  |  |  |
EQM Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 07/01/25 (e) |  |  | USD |  |  |  | 33 |  |  |  |  |  |  | $ | 31,636 |
4.13%, 12/01/26 |  |  |  |  |  |  | 17 |  |  |  |  |  |  |  | 14,684 |
6.50%, 07/01/27 (e) |  |  |  |  |  |  | 117 |  |  |  |  |  |  |  | 108,787 |
4.50%, 01/15/29 (e) |  |  |  |  |  |  | 8 |  |  |  |  |  |  |  | 6,495 |
7.50%, 06/01/30 (e) |  |  |  |  |  |  | 27 |  |  |  |  |  |  |  | 25,937 |
4.75%, 01/15/31 (e) |  |  |  |  |  |  | 199 |  |  |  |  |  |  |  | 158,702 |
Gulfport Energy Corp., 8.00%, 05/17/26 (e) |  |  |  |  |  |  | 11 |  |  |  |  |  |  |  | 11,313 |
Harvest Midstream I LP, 7.50%, 09/01/28 (e) |  |  |  |  |  |  | 20 |  |  |  |  |  |  |  | 18,785 |
Hess Midstream Operations LP, 4.25%, 02/15/30 (e) |  |  |  |  |  |  | 77 |  |  |  |  |  |  |  | 64,485 |
Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, 11/01/28 (e) |  |  |  |  |  |  | 10 |  |  |  |  |  |  |  | 9,425 |
ITT Holdings LLC, 6.50%, 08/01/29 (e) |  |  |  |  |  |  | 109 |  |  |  |  |  |  |  | 87,200 |
Kinetik Holdings LP, 5.88%, 06/15/30 (e) |  |  |  |  |  |  | 177 |  |  |  |  |  |  |  | 168,613 |
MasTec, Inc., 4.50%, 08/15/28 (e) |  |  |  |  |  |  | 56 |  |  |  |  |  |  |  | 50,382 |
Matador Resources Co., 5.88%, 09/15/26 |  |  |  |  |  |  | 233 |  |  |  |  |  |  |  | 223,978 |
Murphy Oil Corp. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 08/15/25 |  |  |  |  |  |  | 35 |  |  |  |  |  |  |  | 34,633 |
5.88%, 12/01/27 |  |  |  |  |  |  | 20 |  |  |  |  |  |  |  | 18,665 |
Murphy Oil USA, Inc., 4.75%, 09/15/29 |  |  |  |  |  |  | 109 |  |  |  |  |  |  |  | 98,107 |
Nabors Industries Ltd. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 01/15/26 |  |  |  |  |  |  | 27 |  |  |  |  |  |  |  | 23,945 |
7.50%, 01/15/28 |  |  |  |  |  |  | 44 |  |  |  |  |  |  |  | 37,840 |
Nabors Industries, Inc., 7.38%, 05/15/27 (e) |  |  |  |  |  |  | 104 |  |  |  |  |  |  |  | 98,800 |
New Fortress Energy, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 09/15/25 |  |  |  |  |  |  | 383 |  |  |  |  |  |  |  | 361,935 |
6.50%, 09/30/26 |  |  |  |  |  |  | 309 |  |  |  |  |  |  |  | 279,880 |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (e) |  |  |  |  |  |  | 80 |  |  |  |  |  |  |  | 72,000 |
NGPL PipeCo LLC, 7.77%, 12/15/37 (e) |  |  |  |  |  |  | 186 |  |  |  |  |  |  |  | 202,412 |
Northern Oil & Gas, Inc., 8.13%, 03/01/28 (e) |  |  |  |  |  |  | 280 |  |  |  |  |  |  |  | 263,900 |
NuStar Logistics LP |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 10/01/25 |  |  |  |  |  |  | 41 |  |  |  |  |  |  |  | 38,335 |
6.00%, 06/01/26 |  |  |  |  |  |  | 124 |  |  |  |  |  |  |  | 115,940 |
6.38%, 10/01/30 |  |  |  |  |  |  | 2 |  |  |  |  |  |  |  | 1,738 |
Occidental Petroleum Corp. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.95%, 07/01/24 |  |  |  |  |  |  | 19 |  |  |  |  |  |  |  | 19,570 |
8.00%, 07/15/25 |  |  |  |  |  |  | 11 |  |  |  |  |  |  |  | 11,578 |
5.88%, 09/01/25 |  |  |  |  |  |  | 38 |  |  |  |  |  |  |  | 37,835 |
5.50%, 12/01/25 |  |  |  |  |  |  | 49 |  |  |  |  |  |  |  | 48,265 |
8.88%, 07/15/30 |  |  |  |  |  |  | 23 |  |  |  |  |  |  |  | 26,406 |
6.63%, 09/01/30 |  |  |  |  |  |  | 743 |  |  |  |  |  |  |  | 765,290 |
6.13%, 01/01/31 |  |  |  |  |  |  | 25 |  |  |  |  |  |  |  | 25,336 |
7.50%, 05/01/31 |  |  |  |  |  |  | 27 |  |  |  |  |  |  |  | 29,025 |
6.45%, 09/15/36 |  |  |  |  |  |  | 32 |  |  |  |  |  |  |  | 32,800 |
6.20%, 03/15/40 |  |  |  |  |  |  | 302 |  |  |  |  |  |  |  | 297,470 |
6.60%, 03/15/46 |  |  |  |  |  |  | 18 |  |  |  |  |  |  |  | 19,116 |
PDC Energy, Inc., 6.13%, 09/15/24 |  |  |  |  |  |  | 68 |  |  |  |  |  |  |  | 67,537 |
Range Resources Corp., 4.88%, 05/15/25 |  |  |  |  |  |  | 39 |  |  |  |  |  |  |  | 38,041 |
Rockcliff Energy II LLC, 5.50%, 10/15/29 (e) |  |  |  |  |  |  | 149 |  |  |  |  |  |  |  | 135,586 |
SM Energy Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 06/01/25 |  |  |  |  |  |  | 22 |  |  |  |  |  |  |  | 20,790 |
6.75%, 09/15/26 |  |  |  |  |  |  | 46 |  |  |  |  |  |  |  | 43,395 |
6.63%, 01/15/27 |  |  |  |  |  |  | 10 |  |  |  |  |  |  |  | 9,350 |
6.50%, 07/15/28 |  |  |  |  |  |  | 52 |  |  |  |  |  |  |  | 47,825 |
Southwestern Energy Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 02/01/29 |  |  |  |  |  |  | 92 |  |  |  |  |  |  |  | 85,339 |
4.75%, 02/01/32 |  |  |  |  |  |  | 52 |  |  |  |  |  |  |  | 44,435 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
Sunoco LP/Sunoco Finance Corp., 5.88%, 03/15/28 |  |  | USD |  |  |  | 151 |  |  |  |  |  |  | $ | 137,675 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 03/01/27 |  |  |  |  |  |  | 14 |  |  |  |  |  |  |  | 12,495 |
6.00%, 12/31/30 |  |  |  |  |  |  | 10 |  |  |  |  |  |  |  | 8,300 |
6.00%, 09/01/31 |  |  |  |  |  |  | 41 |  |  |  |  |  |  |  | 33,825 |
Tap Rock Resources LLC, 7.00%, 10/01/26 (e) |  |  |  |  |  |  | 245 |  |  |  |  |  |  |  | 231,333 |
Transocean, Inc., 11.50%, 01/30/27 (e) |  |  |  |  |  |  | 167 |  |  |  |  |  |  |  | 156,751 |
Venture Global Calcasieu Pass LLC (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 08/15/29 |  |  |  |  |  |  | 265 |  |  |  |  |  |  |  | 231,802 |
4.13%, 08/15/31 |  |  |  |  |  |  | 224 |  |  |  |  |  |  |  | 191,412 |
3.88%, 11/01/33 |  |  |  |  |  |  | 581 |  |  |  |  |  |  |  | 479,325 |
Vermilion Energy, Inc., 6.88%, 05/01/30 (e) |  |  |  |  |  |  | 51 |  |  |  |  |  |  |  | 45,645 |
Western Midstream Operating LP |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 08/15/28 |  |  |  |  |  |  | 95 |  |  |  |  |  |  |  | 86,794 |
5.45%, 04/01/44 |  |  |  |  |  |  | 217 |  |  |  |  |  |  |  | 180,357 |
5.30%, 03/01/48 |  |  |  |  |  |  | 39 |  |  |  |  |  |  |  | 31,440 |
5.50%, 08/15/48 |  |  |  |  |  |  | 17 |  |  |  |  |  |  |  | 13,855 |
5.75%, 02/01/50 |  |  |  |  |  |  | 156 |  |  |  |  |  |  |  | 125,277 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 12,882,542 |
Pharmaceuticals — 0.3% |
Bausch Health Cos., Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 12/15/25 |  |  |  |  |  |  | 55 |  |  |  |  |  |  |  | 40,637 |
6.13%, 02/01/27 |  |  |  |  |  |  | 21 |  |  |  |  |  |  |  | 17,850 |
7.00%, 01/15/28 |  |  |  |  |  |  | 36 |  |  |  |  |  |  |  | 20,610 |
5.00%, 02/15/29 |  |  |  |  |  |  | 55 |  |  |  |  |  |  |  | 28,600 |
6.25%, 02/15/29 |  |  |  |  |  |  | 2 |  |  |  |  |  |  |  | 1,064 |
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 89,040 |
Elanco Animal Health, Inc., 6.40%, 08/28/28 |  |  | USD |  |  |  | 57 |  |  |  |  |  |  |  | 54,258 |
Gruenenthal GmbH, 4.13%, 05/15/28 (a) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 89,600 |
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 (a) |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 185,174 |
Option Care Health, Inc., 4.38%, 10/31/29 (e) |  |  | USD |  |  |  | 67 |  |  |  |  |  |  |  | 57,453 |
Organon & Co./Organon Foreign Debt Co-Issuer BV (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 04/30/28 |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 177,000 |
5.13%, 04/30/31 |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 172,566 |
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (e) |  |  |  |  |  |  | 88 |  |  |  |  |  |  |  | 61,604 |
PRA Health Sciences, Inc., 2.88%, 07/15/26 (e) |  |  |  |  |  |  | 200 |  |  |  |  |  |  |  | 178,000 |
Prestige Brands, Inc., 3.75%, 04/01/31 (e) |  |  |  |  |  |  | 70 |  |  |  |  |  |  |  | 58,044 |
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27 |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 88,604 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,320,104 |
Real Estate Management & Development — 0.1% |  |  |  |
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28 (e) |  |  | USD |  |  |  | 90 |  |  |  |  |  |  |  | 83,587 |
DIC Asset AG, 2.25%, 09/22/26 (a) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 69,689 |
Howard Hughes Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 08/01/28 |  |  | USD |  |  |  | 8 |  |  |  |  |  |  |  | 6,700 |
4.13%, 02/01/29 |  |  |  |  |  |  | 51 |  |  |  |  |  |  |  | 39,336 |
4.38%, 02/01/31 |  |  |  |  |  |  | 63 |  |  |  |  |  |  |  | 46,625 |
Realogy Group LLC/Realogy Co-Issuer Corp. (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/29 |  |  |  |  |  |  | 321 |  |  |  |  |  |  |  | 243,421 |

Security |  |  |  |  | Par (000) |  |  |  |  |  | Value |
Real Estate Management & Development (continued) |  |  |  |  |  |  |
Realogy Group LLC/Realogy Co-Issuer Corp. (e) (continued) |  |  |  |  |
5.25%, 04/15/30 |  |  | USD |  |  |  | 43 |  |  |  |  |  |  | $ | 31,820 |
Starwood Property Trust, Inc., 4.38%, 01/15/27 (e) |  |  |  |  |  |  | 25 |  |  |  |  |  |  |  | 21,702 |
WeWork Cos. LLC/WW Co.-Obligor, Inc., 5.00%, 07/10/25 (e) |  |  |  |  |  |  | 70 |  |  |  |  |  |  |  | 45,209 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 588,089 |
Road & Rail — 0.0% |  |  |  |
Autostrade per l’Italia SpA, 2.00%, 01/15/30 (a) |  |  | EUR |  |  |  | 100 |  |  |  |  |  |  |  | 82,002 |
Seaspan Corp., 5.50%, 08/01/29 (e) |  |  | USD |  |  |  | 101 |  |  |  |  |  |  |  | 81,261 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 163,263 |
Semiconductors & Semiconductor Equipment (e) — 0.2% |
Entegris Escrow Corp., 4.75%, 04/15/29 |  |  |  |  |  |  | 398 |  |  |  |  |  |  |  | 370,629 |
Sensata Technologies BV, 4.00%, 04/15/29 |  |  |  |  |  |  | 36 |  |  |  |  |  |  |  | 30,531 |
Sensata Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 02/15/30 |  |  |  |  |  |  | 223 |  |  |  |  |  |  |  | 189,813 |
3.75%, 02/15/31 |  |  |  |  |  |  | 49 |  |  |  |  |  |  |  | 39,271 |
Synaptics, Inc., 4.00%, 06/15/29 |  |  |  |  |  |  | 112 |  |  |  |  |  |  |  | 90,942 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 721,186 |
Software (e) — 0.4% |  |  |  |
Black Knight InfoServ LLC, 3.63%, 09/01/28 |  |  |  |  |  |  | 122 |  |  |  |  |  |  |  | 105,530 |
Boxer Parent Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 10/02/25 |  |  |  |  |  |  | 148 |  |  |  |  |  |  |  | 141,719 |
9.13%, 03/01/26 |  |  |  |  |  |  | 215 |  |  |  |  |  |  |  | 200,856 |
Elastic NV, 4.13%, 07/15/29 |  |  |  |  |  |  | 120 |  |  |  |  |  |  |  | 100,174 |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32 |  |  |  |  |  |  | 73 |  |  |  |  |  |  |  | 58,919 |
Maxar Technologies, Inc., 7.75%, 06/15/27 |  |  |  |  |  |  | 27 |  |  |  |  |  |  |  | 26,744 |
MicroStrategy, Inc., 6.13%, 06/15/28 |  |  |  |  |  |  | 144 |  |  |  |  |  |  |  | 114,672 |
MSCI, Inc. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.63%, 09/01/30 |  |  |  |  |  |  | 64 |  |  |  |  |  |  |  | 53,355 |
3.88%, 02/15/31 |  |  |  |  |  |  | 11 |  |  |  |  |  |  |  | 9,405 |
3.63%, 11/01/31 |  |  |  |  |  |  | 41 |  |  |  |  |  |  |  | 33,749 |
3.25%, 08/15/33 |  |  |  |  |  |  | 58 |  |  |  |  |  |  |  | 46,231 |
Open Text Corp. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 02/15/28 |  |  |  |  |  |  | 2 |  |  |  |  |  |  |  | 1,779 |
3.88%, 12/01/29 |  |  |  |  |  |  | 177 |  |  |  |  |  |  |  | 148,972 |
Playtika Holding Corp., 4.25%, 03/15/29 |  |  |  |  |  |  | 174 |  |  |  |  |  |  |  | 143,550 |
PTC, Inc., 4.00%, 02/15/28 |  |  |  |  |  |  | 80 |  |  |  |  |  |  |  | 72,293 |
SS&C Technologies, Inc., 5.50%, 09/30/27 |  |  |  |  |  |  | 393 |  |  |  |  |  |  |  | 366,496 |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25 |  |  |  |  |  |  | 260 |  |  |  |  |  |  |  | 195,116 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,819,560 |
Specialty Retail — 0.1% |  |  |  |  |  |  |
Arko Corp., 5.13%, 11/15/29 (e) |  |  |  |  |  |  | 58 |  |  |  |  |  |  |  | 43,937 |
Bath & Body Works, Inc., 7.60%, 07/15/37 |  |  |  |  |  |  | 96 |  |  |  |  |  |  |  | 77,392 |
Carvana Co., 10.25%, 05/01/30 (e) |  |  |  |  |  |  | 53 |  |  |  |  |  |  |  | 43,460 |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 (e) |  |  |  |  |  |  | 253 |  |  |  |  |  |  |  | 227,829 |
Staples, Inc., 7.50%, 04/15/26 (e) |  |  |  |  |  |  | 90 |  |  |  |  |  |  |  | 74,598 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 467,216 |
Technology Hardware, Storage & Peripherals — 0.0% |
II-VI, Inc., 5.00%, 12/15/29 (e) |  |  |  |  |  |  | 164 |  |  |  |  |  |  |  | 143,090 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Textiles, Apparel & Luxury Goods (e) — 0.0% |  |  |  |
Crocs, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 03/15/29 |  |  | USD |  |  |  | 11 |  |  | $ | 8,136 |
4.13%, 08/15/31 |  |  |  |  |  |  | 49 |  |  |  | 34,680 |
Kontoor Brands, Inc., 4.13%, 11/15/29 |  |  |  |  |  |  | 32 |  |  |  | 25,412 |
Levi Strauss & Co., 3.50%, 03/01/31 |  |  |  |  |  |  | 57 |  |  |  | 46,598 |
|  |  |  |  |  |  |  |  |  |  | 114,826 |
Thrifts & Mortgage Finance — 0.1% |  |  |  |  |  |  |  |  |
Enact Holdings, Inc., 6.50%, 08/15/25 (e) |  |  |  |  |  |  | 129 |  |  |  | 121,663 |
Home Point Capital, Inc., 5.00%, 02/01/26 (e) |  |  |  |  |  |  | 58 |  |  |  | 40,020 |
MGIC Investment Corp., 5.25%, 08/15/28 |  |  |  |  |  |  | 47 |  |  |  | 42,086 |
Nationstar Mortgage Holdings, Inc. (e) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  |  |  |  |  |  | 54 |  |  |  | 46,842 |
5.13%, 12/15/30 |  |  |  |  |  |  | 34 |  |  |  | 25,416 |
5.75%, 11/15/31 |  |  |  |  |  |  | 32 |  |  |  | 24,502 |
Rocket Mortgage LLC/Rocket Mortgage Co- Issuer, Inc., 2.88%, 10/15/26 (e) |  |  |  |  |  |  | 59 |  |  |  | 48,758 |
|  |  |  |  |  |  |  |  |  |  | 349,287 |
Utilities (e) — 0.1% |  |  |  |  |  |  |  |  |
Consensus Cloud Solutions, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 10/15/26 |  |  |  |  |  |  | 23 |  |  |  | 19,787 |
6.50%, 10/15/28 |  |  |  |  |  |  | 20 |  |  |  | 16,504 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 |  |  |  |  |  |  | 51 |  |  |  | 44,370 |
Vistra Operations Co. LLC |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 02/15/27 |  |  |  |  |  |  | 99 |  |  |  | 93,086 |
4.38%, 05/01/29 |  |  |  |  |  |  | 73 |  |  |  | 61,074 |
|  |  |  |  |  |  |  |  |  |  | 234,821 |
Wireless Telecommunication Services — 0.4% |
Altice France SA (e) |  |  |  |  |  |  |  |  |  |  |  |
8.13%, 02/01/27 |  |  |  |  |  |  | 334 |  |  |  | 307,410 |
5.50%, 01/15/28 |  |  |  |  |  |  | 229 |  |  |  | 184,542 |
5.13%, 07/15/29 |  |  |  |  |  |  | 351 |  |  |  | 265,005 |
5.50%, 10/15/29 |  |  |  |  |  |  | 200 |  |  |  | 152,782 |
SBA Communications Corp. |  |  |  |  |  |  |  |  |  |  |  |
3.13%, 02/01/29 |  |  |  |  |  |  | 8 |  |  |  | 6,548 |
3.88%, 02/15/27 |  |  |  |  |  |  | 410 |  |  |  | 374,244 |
T-Mobile USA, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2.63%, 02/15/29 |  |  |  |  |  |  | 45 |  |  |  | 37,880 |
3.38%, 04/15/29 |  |  |  |  |  |  | 116 |  |  |  | 101,500 |
2.88%, 02/15/31 |  |  |  |  |  |  | 71 |  |  |  | 58,946 |
3.50%, 04/15/31 |  |  |  |  |  |  | 146 |  |  |  | 126,061 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29 (e) |  |  |  |  |  |  | 146 |  |  |  | 106,945 |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (e) |  |  |  |  |  |  | 147 |  |  |  | 139,834 |
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31 (e) |  |  |  |  |  |  | 200 |  |  |  | 161,570 |
|  |  |  |  |  |  |  |  |  |  | 2,023,267 |
Total Corporate Bonds — 21.0% (Cost: $124,569,715) |  |  |  |  |  |  |  |  |  |  | 99,906,902 |
Floating Rate Loan Interests (h) |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense — 4.4% |  |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |  |  |  |  |  |  | 4,698 |  |  |  | 4,330,576 |

Security |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |  |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |  |  | USD |  |  |  | 955 |  |  | $ | 880,795 |
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 6.25%, 10/31/26 |  |  |  |  |  |  | 812 |  |  |  | 786,061 |
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, 11/17/28 (l) |  |  |  |  |  |  | 326 |  |  |  | 309,429 |
Dynasty Acquisition Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 CAD Term Loan B2, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |  |  |  |  |  |  | 1,777 |  |  |  | 1,633,953 |
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |  |  |  |  |  |  | 3,305 |  |  |  | 3,039,152 |
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 7.19%, 04/09/26 |  |  |  |  |  |  | 766 |  |  |  | 632,931 |
Peraton Corp. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 9.00%, 02/01/29 |  |  |  |  |  |  | 1,474 |  |  |  | 1,367,262 |
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 |  |  |  |  |  |  | 5,074 |  |  |  | 4,754,311 |
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 01/15/25 |  |  |  |  |  |  | 880 |  |  |  | 855,685 |
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.92%, 12/09/25 |  |  |  |  |  |  | 2,382 |  |  |  | 2,253,110 |
|  |  |  |  |  |  |  |  |  |  | 20,843,265 |
Air Freight & Logistics — 0.3% |  |  |  |  |  |  |  |  |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.72%, 04/06/28 |  |  |  |  |  |  | 512 |  |  |  | 462,622 |
Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |  |  |  |  |  |  | 366 |  |  |  | 326,789 |
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/15/28 |  |  |  |  |  |  | 840 |  |  |  | 755,498 |
|  |  |  |  |  |  |  |  |  |  | 1,544,909 |
Airlines — 2.4% |  |  |  |  |  |  |  |  |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.81%, 04/20/28 |  |  |  |  |  |  | 1,434 |  |  |  | 1,365,123 |
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 (c) |  |  |  |  |  |  | 1,802 |  |  |  | 1,653,702 |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 3.40%, 01/29/27 |  |  |  |  |  |  | 571 |  |  |  | 501,586 |
2017 Incremental Term Loan, (6 mo. LIBOR + 2.00%), 2.84%, 12/15/23 |  |  |  |  |  |  | 1,785 |  |  |  | 1,723,384 |
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.37%, 06/27/25 |  |  |  |  |  |  | 436 |  |  |  | 385,291 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.31%, 06/21/27 |  |  |  |  |  |  | 3,013 |  |  |  | 2,970,986 |
United Airlines, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 |  |  |  |  |  |  | 3,279 |  |  |  | 3,038,776 |
|  |  |  |  |  |  |  |  |  |  | 11,638,848 |
Auto Components — 2.5% |  |  |  |  |  |  |  |  |
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/10/28 |  |  |  |  |  |  | 721 |  |  |  | 669,066 |
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/30/26 |  |  |  |  |  |  | 3,217 |  |  |  | 2,995,511 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Auto Components (continued) |  |  |  |  |  |  |  |  |
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 |  |  | USD |  |  |  | 1,755 |  |  | $ | 1,565,644 |
USI, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 05/16/24 |  |  |  |  |  |  | 4,325 |  |  |  | 4,138,505 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/02/26 (c) |  |  |  |  |  |  | 247 |  |  |  | 227,563 |
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 02/05/26 |  |  |  |  |  |  | 2,290 |  |  |  | 2,121,329 |
|  |  |  |  |  |  |  |  |  |  | 11,717,618 |
Banks — 0.7% |  |  |  |  |  |  |  |  |
Directv Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 6.67%, 08/02/27 |  |  |  |  |  |  | 2,162 |  |  |  | 1,984,738 |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 10/29/28 |  |  |  |  |  |  | 1,412 |  |  |  | 1,301,310 |
|  |  |  |  |  |  |  |  |  |  | 3,286,048 |
Beverages — 0.6% |  |  |  |  |  |  |  |  |
Naked Juice LLC |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (SOFR + 6.00%), 8.15%, 01/24/30 (c) |  |  |  |  |  |  | 1,030 |  |  |  | 926,781 |
Term Loan, (SOFR + 3.25%), 5.40%, 01/24/29 |  |  |  |  |  |  | 2,204 |  |  |  | 2,047,432 |
|  |  |  |  |  |  |  |  |  |  | 2,974,213 |
Building Materials — 0.1% |  |  |  |  |  |  |  |  |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |  |  |  |  |  |  | 515 |  |  |  | 424,934 |
Building Products — 1.7% |  |  |  |  |  |  |  |  |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 11/23/27 |  |  |  |  |  |  | 1,280 |  |  |  | 1,120,846 |
CPG International LLC, 2022 Term Loan B, (SOFR + 2.50%), 4.09%, 04/28/29 (c) |  |  |  |  |  |  | 707 |  |  |  | 653,975 |
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 07/28/28 |  |  |  |  |  |  | 723 |  |  |  | 684,975 |
LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 3.67%), 3.68%, 04/12/28 |  |  | EUR |  |  |  | 854 |  |  |  | 762,891 |
New AMI I LLC, 2022 Term Loan B, (SOFR + 6.00%), 7.52%, 03/08/29 |  |  | USD |  |  |  | 739 |  |  |  | 671,483 |
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%), 3.79%, 09/22/28 |  |  |  |  |  |  | 1,426 |  |  |  | 1,375,209 |
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.51%, 12/31/26 |  |  |  |  |  |  | 3,038 |  |  |  | 2,683,128 |
|  |  |  |  |  |  |  |  |  |  | 7,952,507 |
Capital Markets — 2.5% |  |  |  |  |  |  |  |  |
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.50%, 08/02/29 (c) |  |  |  |  |  |  | 2,373 |  |  |  | 2,206,518 |
Deerfield Dakota Holding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan B, (SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 |  |  |  |  |  |  | 5,665 |  |  |  | 5,289,546 |
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 8.42%, 04/07/28 |  |  |  |  |  |  | 1,594 |  |  |  | 1,546,180 |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.31%, 11/12/27 |  |  |  |  |  |  | 1,338 |  |  |  | 1,258,095 |

Security |  |  |  |  | Par (000) |  |  | Value |
Capital Markets (continued) |  |  |  |  |  |  |  |  |
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 06/27/25 |  |  | USD |  |  |  | — | (m) |  | $ | 234 |
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 06/30/28 |  |  |  |  |  |  | 1,300 |  |  |  | 1,242,492 |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/12/24 |  |  |  |  |  |  | 520 |  |  |  | 510,434 |
|  |  |  |  |  |  |  |  |  |  | 12,053,499 |
Chemicals — 4.8% |  |  |  |  |  |  |  |  |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 08/27/26 |  |  |  |  |  |  | 2,914 |  |  |  | 2,834,052 |
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 03/18/28 |  |  |  |  |  |  | 3,060 |  |  |  | 2,917,276 |
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 4.00%, 06/01/24 |  |  |  |  |  |  | 602 |  |  |  | 586,834 |
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 12/29/27 |  |  |  |  |  |  | 647 |  |  |  | 563,263 |
Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.09%, 06/28/24 |  |  |  |  |  |  | 1,329 |  |  |  | 1,278,073 |
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 01/31/26 |  |  |  |  |  |  | 1,755 |  |  |  | 1,726,637 |
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 06/30/27 |  |  |  |  |  |  | 1,233 |  |  |  | 1,136,560 |
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 07/03/28 |  |  |  |  |  |  | 949 |  |  |  | 844,289 |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.75%, 03/02/26 |  |  |  |  |  |  | 2,807 |  |  |  | 2,673,832 |
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.87%, 02/14/24 |  |  |  |  |  |  | 378 |  |  |  | 376,984 |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/15/24 |  |  |  |  |  |  | 1,330 |  |  |  | 1,282,048 |
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 4.38%, 10/14/24 |  |  |  |  |  |  | 1,524 |  |  |  | 1,406,912 |
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.74%, 06/09/28 |  |  |  |  |  |  | 1,530 |  |  |  | 1,459,753 |
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |  |  |  |  |  |  | 620 |  |  |  | 583,461 |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |  |  |  |  |  |  | 937 |  |  |  | 833,545 |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.62%, 08/02/28 (c) |  |  |  |  |  |  | 1,440 |  |  |  | 1,371,857 |
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%), 5.25%, 10/01/25 |  |  |  |  |  |  | 330 |  |  |  | 311,367 |
WR Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 09/22/28 |  |  |  |  |  |  | 473 |  |  |  | 447,340 |
|  |  |  |  |  |  |  |  |  |  | 22,634,083 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies — 5.1% |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/12/28 |  |  | USD |  |  |  | 2,316 |  |  | $ | 2,117,936 |
Amentum Government Services Holdings LLC, 2022 Term Loan, (SOFR + 4.00%), 5.30%, 02/15/29 |  |  |  |  |  |  | 689 |  |  |  | 654,123 |
Asurion LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 4.79%, 11/03/23 |  |  |  |  |  |  | 1,208 |  |  |  | 1,158,095 |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.67%, 11/03/24 |  |  |  |  |  |  | 911 |  |  |  | 852,656 |
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 4.92%, 12/23/26 |  |  |  |  |  |  | 693 |  |  |  | 627,068 |
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 6.92%, 01/31/28 |  |  |  |  |  |  | 985 |  |  |  | 837,576 |
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 6.92%, 01/20/29 |  |  |  |  |  |  | 1,402 |  |  |  | 1,184,690 |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 10/08/28 |  |  |  |  |  |  | 615 |  |  |  | 608,761 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |  |  |  |  |  |  | 997 |  |  |  | 940,020 |
2021 Term Loan C, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |  |  |  |  |  |  | 75 |  |  |  | 70,590 |
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.88%, 11/27/26 |  |  |  |  |  |  | 1,702 |  |  |  | 1,610,050 |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/12/25 |  |  |  |  |  |  | 2,667 |  |  |  | 2,539,007 |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.00%, 05/09/25 |  |  |  |  |  |  | 434 |  |  |  | 401,706 |
Packers Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.44%, 03/09/28 |  |  |  |  |  |  | 1,475 |  |  |  | 1,346,762 |
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 3.65%, 09/23/26 |  |  |  |  |  |  | 1,487 |  |  |  | 1,384,857 |
Tempo Acquisition LLC, 2022 Term Loan B, (SOFR + 3.00%), 4.53%, 08/31/28 |  |  |  |  |  |  | 4,230 |  |  |  | 4,003,009 |
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 10.00%, 06/16/26 |  |  |  |  |  |  | 383 |  |  |  | 296,554 |
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 08/27/25 |  |  |  |  |  |  | 3,247 |  |  |  | 3,100,438 |
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/30/28 |  |  |  |  |  |  | 691 |  |  |  | 645,879 |
|  |  |  |  |  |  |  |  |  |  | 24,379,777 |
Communications Equipment — 0.4% |  |  |  |  |  |  |  |  |
ViaSat, Inc., Term Loan, (SOFR + 4.50%), 6.14%, 03/02/29 |  |  |  |  |  |  | 2,198 |  |  |  | 2,041,296 |
Construction & Engineering — 1.8% |  |  |  |  |  |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.40%, 06/21/24 |  |  |  |  |  |  | 3,562 |  |  |  | 3,064,106 |
New Arclin U.S. Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.67%, 09/30/29 (c) |  |  |  |  |  |  | 815 |  |  |  | 768,138 |

Security |  |  |  |  | Par (000) |  |  | Value |
Construction & Engineering (continued) |  |  |  |  |  |  |  |  |
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/21/28 |  |  | USD |  |  |  | 925 |  |  | $ | 877,276 |
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.02%, 06/02/28 |  |  |  |  |  |  | 2,422 |  |  |  | 2,229,127 |
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 05/12/28 |  |  |  |  |  |  | 1,553 |  |  |  | 1,441,516 |
|  |  |  |  |  |  |  |  |  |  | 8,380,163 |
Construction Materials — 1.3% |  |  |  |  |  |  |  |  |
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.12%, 07/27/28 |  |  |  |  |  |  | 3,577 |  |  |  | 3,400,017 |
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/29/25 |  |  |  |  |  |  | 2,111 |  |  |  | 1,995,048 |
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 06/01/26 |  |  |  |  |  |  | 766 |  |  |  | 715,423 |
|  |  |  |  |  |  |  |  |  |  | 6,110,488 |
Containers & Packaging — 1.3% |  |  |  |  |  |  |  |  |
BWAY Holding Co., 2017 Term Loan B, (1 Week LIBOR + 3.25%), 4.31%, 04/03/24 |  |  |  |  |  |  | 2,219 |  |  |  | 2,087,788 |
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/01/27 |  |  |  |  |  |  | 1,990 |  |  |  | 1,868,876 |
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |  |  |  |  |  |  | 543 |  |  |  | 512,294 |
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 08/18/27 |  |  |  |  |  |  | 1,033 |  |  |  | 916,477 |
Trident TPI Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 5.60%, 09/15/28 |  |  |  |  |  |  | 79 |  |  |  | 74,167 |
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 09/15/28 |  |  |  |  |  |  | 889 |  |  |  | 831,843 |
|  |  |  |  |  |  |  |  |  |  | 6,291,445 |
Distributors — 0.9% |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/27 |  |  |  |  |  |  | 1,062 |  |  |  | 1,001,814 |
TMK Hawk Parent Corp. (c) |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 10.50%, 1.00% Floor), 11.17%, 05/30/24 |  |  |  |  |  |  | 1,005 |  |  |  | 934,978 |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.11%, 08/28/24 |  |  |  |  |  |  | 3,229 |  |  |  | 2,454,358 |
|  |  |  |  |  |  |  |  |  |  | 4,391,150 |
Diversified Consumer Services — 3.1% |  |  |  |  |  |  |  |  |
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 8.00%, 12/30/24 |  |  |  |  |  |  | 1,264 |  |  |  | 1,206,290 |
Ascend Learning LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 12/10/29 (c) |  |  |  |  |  |  | 681 |  |  |  | 623,115 |
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/11/28 |  |  |  |  |  |  | 1,696 |  |  |  | 1,562,878 |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 11/24/28 (c) |  |  |  |  |  |  | 816 |  |  |  | 777,145 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Consumer Services (continued) |  |  |  |  |  |  |  |  |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 07/11/25 |  |  | USD |  |  |  | 2,596 |  |  | $ | 2,463,760 |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 5.75%), 10.50%, 12/22/25 |  |  |  |  |  |  | 2,737 |  |  |  | 2,550,658 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 3.66%, 05/15/24 |  |  |  |  |  |  | 1,098 |  |  |  | 1,054,268 |
Okta, Inc., Term Loan, (SOFR + 6.25%), 7.63%, 12/15/26 |  |  |  |  |  |  | 763 |  |  |  | 644,241 |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.99%, 10/28/27 |  |  |  |  |  |  | 680 |  |  |  | 640,456 |
Serta Simmons Bedding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 9.01%, 08/10/23 |  |  |  |  |  |  | 415 |  |  |  | 401,664 |
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.01%, 08/10/23 |  |  |  |  |  |  | 850 |  |  |  | 593,013 |
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.54%, 01/15/27 |  |  |  |  |  |  | 1,667 |  |  |  | 1,591,488 |
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 07/20/28 |  |  |  |  |  |  | 654 |  |  |  | 610,321 |
|  |  |  |  |  |  |  |  |  |  | 14,719,297 |
Diversified Financial Services — 6.9% |  |  |  |  |  |  |  |  |
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 6.17%, 07/31/26 |  |  |  |  |  |  | 919 |  |  |  | 872,075 |
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.06%, 03/10/28 (c) |  |  |  |  |  |  | 750 |  |  |  | 721,563 |
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 02/04/28 |  |  |  |  |  |  | 1,532 |  |  |  | 1,452,840 |
AqGen Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.81%, 08/02/28 (c) |  |  |  |  |  |  | 3,115 |  |  |  | 2,896,923 |
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%), 4.58%, 10/22/26 |  |  |  |  |  |  | 2,048 |  |  |  | 1,953,904 |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 09/01/28 |  |  |  |  |  |  | 1,390 |  |  |  | 1,324,153 |
Delta TopCo, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 9.34%, 12/01/28 (c) |  |  |  |  |  |  | 595 |  |  |  | 505,750 |
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.84%, 12/01/27 |  |  |  |  |  |  | 1,509 |  |  |  | 1,362,521 |
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 02/07/25 |  |  |  |  |  |  | 1,143 |  |  |  | 1,071,687 |
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 |  |  |  |  |  |  | 2,836 |  |  |  | 2,676,664 |
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (SOFR + 4.00%), 6.20%, 02/16/28 |  |  |  |  |  |  | 380 |  |  |  | 357,355 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 07/03/24 |  |  |  |  |  |  | 1,321 |  |  |  | 1,258,137 |
KKR Apple Bidco LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 09/21/29 |  |  |  |  |  |  | 218 |  |  |  | 207,917 |
2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 09/23/28 |  |  |  |  |  |  | 531 |  |  |  | 500,555 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |  |  |  |  |  |  |  |  |
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |  |  | USD |  |  |  | 2,034 |  |  | $ | 1,661,835 |
LEB Holdings USA, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 11/02/27 |  |  |  |  |  |  | 425 |  |  |  | 416,815 |
Oscar Acquisitionco LLC, Term Loan B, (SOFR + 4.50%), 6.11%, 04/29/29 |  |  |  |  |  |  | 961 |  |  |  | 852,887 |
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 |  |  |  |  |  |  | 1,906 |  |  |  | 1,767,575 |
RVR Dealership Holdings LLC, Term Loan B, (SOFR + 3.75%), 5.17%, 02/08/28 |  |  |  |  |  |  | 643 |  |  |  | 539,039 |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 4.25%, 11/05/28 |  |  |  |  |  |  | 1,175 |  |  |  | 1,115,275 |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 01/23/25 |  |  |  |  |  |  | 1,708 |  |  |  | 1,588,596 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.50%, 07/30/25 |  |  |  |  |  |  | 921 |  |  |  | 854,762 |
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.25%, 09/01/25 |  |  |  |  |  |  | 3,335 |  |  |  | 2,720,802 |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/28/27 |  |  |  |  |  |  | 1,299 |  |  |  | 1,219,452 |
White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27 |  |  |  |  |  |  | 1,094 |  |  |  | 1,005,452 |
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.82%, 04/30/28 |  |  |  |  |  |  | 1,876 |  |  |  | 1,745,262 |
|  |  |  |  |  |  |  |  |  |  | 32,649,796 |
Diversified Telecommunication Services — 1.9% |
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.57%, 11/30/27 |  |  |  |  |  |  | 502 |  |  |  | 472,525 |
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.19%, 10/02/27 |  |  |  |  |  |  | 713 |  |  |  | 628,257 |
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.06%, 05/01/28 |  |  |  |  |  |  | 1,762 |  |  |  | 1,644,663 |
Intelsat Jackson Holdings SA, 2017 Term Loan B3, (PRIME + 4.75%), 9.50%, 11/27/23 |  |  |  |  |  |  | — | (m) |  |  | 1 |
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 11/04/26 |  |  |  |  |  |  | 1,698 |  |  |  | 1,625,335 |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 03/01/27 |  |  |  |  |  |  | 1,676 |  |  |  | 1,549,242 |
Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 07/24/28 |  |  |  |  |  |  | 1,774 |  |  |  | 1,674,293 |
Virgin Media SFA Finance Ltd., GBP Term Loan L, 4.19%, 01/15/27 |  |  | GBP |  |  |  | 1,400 |  |  |  | 1,538,332 |
|  |  |  |  |  |  |  |  |  |  | 9,132,648 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Electric Utilities — 0.7% |  |  |  |  |  |  |  |  |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.08%, 12/15/27 |  |  | USD |  |  |  | 1,110 |  |  | $ | 1,067,566 |
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.75%, 03/31/28 |  |  |  |  |  |  | 2,812 |  |  |  | 2,479,645 |
|  |  |  |  |  |  |  |  |  |  | 3,547,211 |
Electrical Equipment — 1.1% |  |  |  |  |  |  |  |  |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.63%, 06/23/28 (c) |  |  |  |  |  |  | 1,344 |  |  |  | 1,259,855 |
AZZ, Inc., Term Loan B, (SOFR + 4.25%), 5.88%, 05/13/29 (c) |  |  |  |  |  |  | 286 |  |  |  | 272,415 |
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 03/31/27 |  |  |  |  |  |  | 2,146 |  |  |  | 2,020,652 |
II-VI, Inc., 2021 Bridge Term Loan B, 07/02/29 (l) |  |  |  |  |  |  | 1,519 |  |  |  | 1,452,544 |
|  |  |  |  |  |  |  |  |  |  | 5,005,466 |
Environmental, Maintenance & Security Service — 0.6% |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 09/07/27 |  |  |  |  |  |  | 1,744 |  |  |  | 1,679,987 |
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 11/02/27 |  |  |  |  |  |  | 1,073 |  |  |  | 1,017,538 |
|  |  |  |  |  |  |  |  |  |  | 2,697,525 |
Equity Real Estate Investment Trusts (REITs) — 0.1% |
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 05/11/24 |  |  |  |  |  |  | 271 |  |  |  | 262,737 |
Food & Staples Retailing — 0.3% |  |  |  |  |  |  |  |  |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.57%, 09/13/26 |  |  |  |  |  |  | 735 |  |  |  | 691,754 |
2021 Term Loan B, (3 mo. LIBOR + 2.75%), 4.32%, 11/22/28 |  |  |  |  |  |  | 967 |  |  |  | 918,747 |
|  |  |  |  |  |  |  |  |  |  | 1,610,501 |
Food Products — 2.3% |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/01/25 |  |  |  |  |  |  | 1,184 |  |  |  | 992,826 |
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 6.42%, 10/01/25 |  |  |  |  |  |  | 1,342 |  |  |  | 1,133,587 |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 10/25/27 |  |  |  |  |  |  | 2,451 |  |  |  | 2,216,988 |
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 01/29/27 |  |  |  |  |  |  | 3,272 |  |  |  | 3,003,230 |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 4.92%, 02/05/26 |  |  |  |  |  |  | 1,677 |  |  |  | 1,561,090 |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 06/08/28 |  |  |  |  |  |  | 1,345 |  |  |  | 1,266,671 |
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/20/28 |  |  |  |  |  |  | 606 |  |  |  | 576,437 |
|  |  |  |  |  |  |  |  |  |  | 10,750,829 |
Gas Utilities — 0.5% |  |  |  |  |  |  |  |  |
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 12/21/28 |  |  |  |  |  |  | 2,908 |  |  |  | 2,505,313 |

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Equipment & Supplies — 1.4% |  |  |  |  |  |  |  |  |
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 11/01/28 |  |  | USD |  |  |  | 1,929 |  |  | $ | 1,801,871 |
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/04/28 |  |  |  |  |  |  | 678 |  |  |  | 642,547 |
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 10/23/28 |  |  |  |  |  |  | 3,771 |  |  |  | 3,491,415 |
Venga Finance SARL, 2021 USD Term Loan B, 12/04/28 (c)(l) |  |  |  |  |  |  | 570 |  |  |  | 529,864 |
|  |  |  |  |  |  |  |  |  |  | 6,465,697 |
Health Care Providers & Services — 2.7% |  |  |  |  |  |  |  |  |
CCRR Parent, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.01%, 03/06/28 |  |  |  |  |  |  | 1,405 |  |  |  | 1,329,651 |
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.75%, 09/29/28 |  |  |  |  |  |  | 903 |  |  |  | 852,146 |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.25%, 01/08/27 |  |  |  |  |  |  | 1,414 |  |  |  | 1,336,630 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/10/25 |  |  |  |  |  |  | 1,699 |  |  |  | 558,913 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 02/18/27 |  |  |  |  |  |  | 1,945 |  |  |  | 1,794,061 |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 9.00%, 11/15/29 |  |  |  |  |  |  | 508 |  |  |  | 476,057 |
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 11/15/28 |  |  |  |  |  |  | 376 |  |  |  | 345,311 |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.75%, 03/05/26 |  |  |  |  |  |  | 932 |  |  |  | 810,977 |
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 09/01/28 |  |  |  |  |  |  | 767 |  |  |  | 707,071 |
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 5.17%, 02/14/25 |  |  |  |  |  |  | 46 |  |  |  | 43,547 |
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 12/11/26 |  |  |  |  |  |  | 2,247 |  |  |  | 2,131,841 |
Vizient, Inc., 2022 Term Loan B, (SOFR + 2.25%), 3.68%, 04/28/29 |  |  |  |  |  |  | 294 |  |  |  | 291,428 |
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/22/28 |  |  |  |  |  |  | 2,469 |  |  |  | 2,320,953 |
|  |  |  |  |  |  |  |  |  |  | 12,998,586 |
Health Care Services — 0.3% |  |  |  |  |  |  |  |  |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.74%, 07/24/26 |  |  |  |  |  |  | 849 |  |  |  | 792,969 |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.88%, 11/01/29 |  |  |  |  |  |  | 536 |  |  |  | 493,120 |
|  |  |  |  |  |  |  |  |  |  | 1,286,089 |
Health Care Technology — 2.9% |  |  |  |  |  |  |  |  |
Athenahealth, Inc., 2022 Term Loan B, (SOFR + 3.50%), 5.01%, 02/15/29 |  |  |  |  |  |  | 2,524 |  |  |  | 2,317,125 |
Change Healthcare Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.17%, 03/01/24 |  |  |  |  |  |  | 2,996 |  |  |  | 2,910,060 |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 10/10/25 |  |  |  |  |  |  | 830 |  |  |  | 756,073 |
IQVIA, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 03/07/24 |  |  |  |  |  |  | 266 |  |  |  | 260,300 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Technology (continued) |  |  |  |  |  |  |  |  |
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 06/02/28 |  |  | USD |  |  |  | 3,272 |  |  | $ | 3,014,665 |
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.99%, 07/24/26 (c) |  |  |  |  |  |  | 2,322 |  |  |  | 2,200,145 |
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.67%, 04/02/29 (c) |  |  |  |  |  |  | 2,740 |  |  |  | 2,575,600 |
|  |  |  |  |  |  |  |  |  |  | 14,033,968 |
Hotels, Restaurants & Leisure — 5.9% |  |  |  |  |  |  |  |  |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 11/19/26 |  |  |  |  |  |  | 2,722 |  |  |  | 2,593,442 |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 02/02/26 |  |  |  |  |  |  | 241 |  |  |  | 213,875 |
Aristocrat Technologies, Inc., 2022 Term Loan B, (SOFR + 2.25%), 4.40%, 05/24/29 |  |  |  |  |  |  | 175 |  |  |  | 168,613 |
Caesars Resort Collection LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 12/23/24 |  |  |  |  |  |  | 1,571 |  |  |  | 1,509,922 |
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |  |  |  |  |  |  | 1,063 |  |  |  | 1,022,755 |
Carnival Corp., (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 |  |  |  |  |  |  | 620 |  |  |  | 574,682 |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 03/17/28 |  |  |  |  |  |  | 687 |  |  |  | 646,632 |
ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), 9.75%, 05/01/28 |  |  |  |  |  |  | 812 |  |  |  | 791,002 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 03/08/24 |  |  |  |  |  |  | 4,157 |  |  |  | 3,060,254 |
Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |  |  |  |  |  |  | 3,201 |  |  |  | 2,943,831 |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 11/30/23 |  |  |  |  |  |  | 873 |  |  |  | 862,087 |
IRB Holding Corp., 2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 4.42%, 02/05/25 |  |  |  |  |  |  | 1,378 |  |  |  | 1,303,758 |
Penn National Gaming, Inc., 2022 Term Loan B, (SOFR + 2.75%), 4.38%, 05/03/29 |  |  |  |  |  |  | 1,288 |  |  |  | 1,232,215 |
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 03/13/28 |  |  |  |  |  |  | 1,513 |  |  |  | 1,422,980 |
Scientific Games International, Inc., 2022 USD Term Loan, (SOFR + 3.00%), 4.36%, 04/14/29 |  |  |  |  |  |  | 711 |  |  |  | 673,672 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |  |  |  |  |  |  | 1,050 |  |  |  | 996,778 |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/08/27 |  |  |  |  |  |  | 1,968 |  |  |  | 1,847,519 |
Travelport Finance Luxembourg SARL |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor), 3.75%, 02/28/25 |  |  |  |  |  |  | 1,638 |  |  |  | 1,616,168 |
2021 Consented Term Loan, (3 mo. LIBOR + 5.00%), 7.25%, 05/29/26 |  |  |  |  |  |  | 2,166 |  |  |  | 1,666,454 |

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |  |  |  |  |  |  |  |  |
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.37%, 10/02/28 |  |  | USD |  |  |  | 793 |  |  | $ | 733,789 |
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 08/03/28 |  |  |  |  |  |  | 1,996 |  |  |  | 1,866,232 |
Wyndham Hotels & Resorts, Inc., Term Loan B, 05/30/25 (l) |  |  |  |  |  |  | 173 |  |  |  | 166,426 |
|  |  |  |  |  |  |  |  |  |  | 27,913,086 |
Household Durables — 1.1% |  |  |  |  |  |  |  |  |
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), 6.97%, 05/17/28 |  |  |  |  |  |  | 1,433 |  |  |  | 1,103,661 |
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%), 7.38%, 12/08/28 |  |  |  |  |  |  | 943 |  |  |  | 854,974 |
Solis IV BV, USD Term Loan B1, (SOFR + 3.50%), 4.84%, 02/26/29 |  |  |  |  |  |  | 1,958 |  |  |  | 1,680,219 |
Springs Windows Fashions LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.60%, 10/06/28 |  |  |  |  |  |  | 727 |  |  |  | 595,377 |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 10/30/27 |  |  |  |  |  |  | 906 |  |  |  | 819,481 |
|  |  |  |  |  |  |  |  |  |  | 5,053,712 |
Household Products — 0.1% |  |  |  |  |  |  |  |  |
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 03/03/28 |  |  |  |  |  |  | 474 |  |  |  | 455,633 |
Independent Power and Renewable Electricity Producers — 0.7% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/25 |  |  |  |  |  |  | 658 |  |  |  | 630,826 |
Calpine Corp. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 3.67%, 08/12/26 |  |  |  |  |  |  | 1,045 |  |  |  | 989,137 |
Term Loan B9, (1 mo. LIBOR + 2.00%), 3.67%, 04/05/26 |  |  |  |  |  |  | 1,894 |  |  |  | 1,779,833 |
|  |  |  |  |  |  |  |  |  |  | 3,399,796 |
Industrial Conglomerates — 2.4% |  |  |  |  |  |  |  |  |
AVSC Holding Corp. (i) |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan B1, (0.25% PIK), 5.11%, 03/03/25 |  |  |  |  |  |  | 3,181 |  |  |  | 2,728,252 |
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 |  |  |  |  |  |  | 1,515 |  |  |  | 1,597,852 |
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.99%, 09/29/28 |  |  |  |  |  |  | 1,527 |  |  |  | 1,406,851 |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.30%, 11/28/23 |  |  |  |  |  |  | 736 |  |  |  | 729,477 |
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 9.00%, 07/28/28 |  |  |  |  |  |  | 961 |  |  |  | 853,262 |
Vertical U.S. Newco, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.02%, 07/30/27 |  |  |  |  |  |  | 1,682 |  |  |  | 1,567,072 |
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.87%, 03/02/27 |  |  |  |  |  |  | 2,588 |  |  |  | 2,400,381 |
|  |  |  |  |  |  |  |  |  |  | 11,283,147 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Insurance — 4.1% |  |  |  |  |  |  |  |  |
Alliant Holdings Intermediate LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |  |  | USD |  |  |  | 2,403 |  |  | $ | 2,256,856 |
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 5.01%, 11/06/27 |  |  |  |  |  |  | 3,299 |  |  |  | 3,060,832 |
Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |  |  |  |  |  |  | 1,172 |  |  |  | 1,105,725 |
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/19/28 |  |  |  |  |  |  | 2,969 |  |  |  | 2,799,967 |
AssuredPartners, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |  |  |  |  |  |  | 1,288 |  |  |  | 1,204,082 |
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |  |  |  |  |  |  | 768 |  |  |  | 717,952 |
Hub International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.21%, 04/25/25 |  |  |  |  |  |  | 2,351 |  |  |  | 2,221,520 |
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.35%, 04/25/25 |  |  |  |  |  |  | 2,986 |  |  |  | 2,826,640 |
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 02/15/27 |  |  |  |  |  |  | 164 |  |  |  | 150,972 |
Ryan Specialty Group LLC, Term Loan, (SOFR + 3.00%, 0.75% Floor), 4.63%, 09/01/27 (c) |  |  |  |  |  |  | 1,011 |  |  |  | 970,511 |
Sedgwick Claims Management Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 09/03/26 |  |  |  |  |  |  | 1,353 |  |  |  | 1,283,716 |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.92%, 09/03/26 |  |  |  |  |  |  | 726 |  |  |  | 699,335 |
|  |  |  |  |  |  |  |  |  |  | 19,298,108 |
Interactive Media & Services — 2.3% |
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 06/26/28 |  |  |  |  |  |  | 2,196 |  |  |  | 2,094,347 |
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/06/27 |  |  |  |  |  |  | 636 |  |  |  | 579,051 |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.67%, 10/30/26 |  |  |  |  |  |  | 2,963 |  |  |  | 2,787,566 |
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 08/10/27 |  |  |  |  |  |  | 1,695 |  |  |  | 1,625,889 |
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 |  |  |  |  |  |  | 4,499 |  |  |  | 4,093,932 |
|  |  |  |  |  |  |  |  |  |  | 11,180,785 |
Internet & Direct Marketing Retail — 0.4% |
CNT Holdings I Corp., 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.69%, 11/08/27 |  |  |  |  |  |  | 1,646 |  |  |  | 1,558,700 |
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 02/12/27 (c) |  |  |  |  |  |  | 324 |  |  |  | 299,395 |
|  |  |  |  |  |  |  |  |  |  | 1,858,095 |
Internet Software & Services — 0.3% |  |  |  |  |  |  |  |  |
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.07%, 02/25/27 |  |  |  |  |  |  | 1,543 |  |  |  | 1,473,475 |
IT Services — 6.1% |  |  |  |  |  |  |  |  |
Aruba Investments, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.38%, 11/24/28 |  |  |  |  |  |  | 1,275 |  |  |  | 1,204,875 |

Security |  |  |  |  | Par (000) |  |  | Value |
IT Services (continued) |  |  |  |  |  |  |  |  |
Aruba Investments, Inc. (continued) |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.63%, 11/24/27 (c) |  |  | USD |  |  |  | 681 |  |  | $ | 626,889 |
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/02/25 |  |  |  |  |  |  | 2,028 |  |  |  | 1,884,325 |
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 10/30/26 |  |  |  |  |  |  | 2,114 |  |  |  | 1,995,753 |
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.50%, 09/21/28 |  |  |  |  |  |  | 1,485 |  |  |  | 1,405,117 |
CoreLogic, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.19%, 06/04/29 (c) |  |  |  |  |  |  | 1,248 |  |  |  | 898,560 |
Term Loan, (1 mo. LIBOR + 3.50%), 5.19%, 06/02/28 |  |  |  |  |  |  | 2,967 |  |  |  | 2,459,708 |
Fleetcor Technologies Operating Co. LLC, |  |  |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/28/28 |  |  |  |  |  |  | 1,950 |  |  |  | 1,872,854 |
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 |  |  |  |  |  |  | 5,037 |  |  |  | 4,803,020 |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 (c) |  |  |  |  |  |  | 2,237 |  |  |  | 2,012,953 |
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 10.25%, 10/09/28 |  |  |  |  |  |  | 3,730 |  |  |  | 3,702,025 |
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 05/05/26 (c) |  |  |  |  |  |  | 855 |  |  |  | 797,398 |
Trans Union LLC |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 11/16/26 |  |  |  |  |  |  | 1,646 |  |  |  | 1,549,674 |
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 3.92%, 12/01/28 |  |  |  |  |  |  | 2,288 |  |  |  | 2,176,833 |
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/11/28 |  |  |  |  |  |  | 927 |  |  |  | 873,370 |
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 03/31/28 |  |  |  |  |  |  | 863 |  |  |  | 828,017 |
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/02/26 |  |  |  |  |  |  | 192 |  |  |  | 185,161 |
|  |  |  |  |  |  |  |  |  |  | 29,276,532 |
Leisure Products — 0.4% |  |  |  |  |  |  |  |  |
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.23%, 12/01/28 |  |  |  |  |  |  | 857 |  |  |  | 808,760 |
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 06/19/24 |  |  |  |  |  |  | 770 |  |  |  | 750,901 |
Peloton Interactive, Inc., Term Loan, (SOFR + 6.50%), 8.35%, 05/25/27 |  |  |  |  |  |  | 299 |  |  |  | 284,238 |
|  |  |  |  |  |  |  |  |  |  | 1,843,899 |
Life Sciences Tools & Services — 2.7% |
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 3.92%, 11/08/27 |  |  |  |  |  |  | 2,348 |  |  |  | 2,239,681 |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 |  |  |  |  |  |  | 3,991 |  |  |  | 3,676,235 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Life Sciences Tools & Services (continued) |
ICON Luxembourg SARL |  |  |  |  |  |  |  |  |  |  |  |
LUX Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |  |  | USD |  |  |  | 2,433 |  |  | $ | 2,347,206 |
US Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |  |  |  |  |  |  | 606 |  |  |  | 584,810 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (SOFR + 3.00%), 3.85%, 10/19/27 (c) |  |  |  |  |  |  | 1,300 |  |  |  | 1,232,079 |
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.88%, 11/15/28 |  |  |  |  |  |  | 2,997 |  |  |  | 2,808,093 |
|  |  |  |  |  |  |  |  |  |  | 12,888,104 |
Machinery — 3.0% |  |  |  |  |  |  |  |  |
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%), 6.43%, 08/17/26 |  |  |  |  |  |  | 1,615 |  |  |  | 1,542,687 |
ASP Blade Holdings, Inc., Initial Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 10/13/28 |  |  |  |  |  |  | 353 |  |  |  | 307,920 |
Clark Equipment Co., 2022 Term Loan B, (SOFR + 2.50%), 4.65%, 04/20/29 |  |  |  |  |  |  | 264 |  |  |  | 254,094 |
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 5.06%, 05/14/28 |  |  |  |  |  |  | 358 |  |  |  | 341,148 |
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/21/28 |  |  |  |  |  |  | 1,031 |  |  |  | 961,601 |
Fluidra SA, 2022 USD Term Loan B, (SOFR + 2.00%), 3.63%, 01/29/29 |  |  |  |  |  |  | 271 |  |  |  | 261,958 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 3.38%, 03/01/27 |  |  |  |  |  |  | 2,489 |  |  |  | 2,377,164 |
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 4.52%, 06/21/28 |  |  |  |  |  |  | 3,278 |  |  |  | 2,977,638 |
SPX Flow, Inc., (SOFR + 4.50%), 6.13%, 04/05/29 |  |  |  |  |  |  | 1,197 |  |  |  | 1,112,167 |
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 |  |  |  |  |  |  | 4,228 |  |  |  | 3,867,397 |
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 10/04/28 |  |  |  |  |  |  | 111 |  |  |  | 108,880 |
|  |  |  |  |  |  |  |  |  |  | 14,112,654 |
Media — 11.7% |  |  |  |  |  |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.79%, 07/15/25 |  |  |  |  |  |  | 649 |  |  |  | 585,289 |
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 3.79%, 01/31/26 |  |  |  |  |  |  | 1,732 |  |  |  | 1,560,741 |
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 5.41%, 08/14/26 |  |  |  |  |  |  | 2,788 |  |  |  | 2,541,347 |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 4.20%, 04/22/26 |  |  |  |  |  |  | 1,320 |  |  |  | 1,108,482 |
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 05/03/28 |  |  |  |  |  |  | 433 |  |  |  | 415,325 |
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 04/30/25 |  |  |  |  |  |  | 2,581 |  |  |  | 2,508,852 |
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%), 4.60%, 07/21/28 (c) |  |  |  |  |  |  | 1,403 |  |  |  | 1,284,186 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 08/21/26 |  |  |  |  |  |  | 3,381 |  |  |  | 2,894,997 |

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/17/26 |  |  | USD |  |  |  | — | (m) |  | $ | 190 |
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |  |  |  |  |  |  | 7,243 |  |  |  | 6,645,054 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.57%, 07/17/25 |  |  |  |  |  |  | 579 |  |  |  | 537,212 |
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.82%, 04/15/27 |  |  |  |  |  |  | 1,845 |  |  |  | 1,711,103 |
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 4.42%, 01/07/28 |  |  |  |  |  |  | 759 |  |  |  | 716,912 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 12/01/23 (c) |  |  |  |  |  |  | 753 |  |  |  | 659,228 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/24/25 |  |  |  |  |  |  | 1,526 |  |  |  | 1,471,186 |
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.35%, 10/17/26 |  |  |  |  |  |  | 2,262 |  |  |  | 2,109,304 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.42%, 09/13/24 |  |  |  |  |  |  | 4,175 |  |  |  | 3,922,222 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.42%, 09/13/24 |  |  |  |  |  |  | 2,530 |  |  |  | 2,377,742 |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.92%, 02/23/29 |  |  |  |  |  |  | 984 |  |  |  | 923,572 |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 09/18/26 |  |  |  |  |  |  | 1,004 |  |  |  | 987,637 |
Sinclair Television Group, Inc., 2022 Term Loan B4, (SOFR + 3.75%), 5.38%, 04/21/29 (c) |  |  |  |  |  |  | 1,581 |  |  |  | 1,454,520 |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.63%, 09/28/23 (c) |  |  |  |  |  |  | 4,338 |  |  |  | 4,153,756 |
Trader Interactive LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 07/28/28 (c) |  |  |  |  |  |  | 495 |  |  |  | 472,664 |
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 4.32%, 01/31/29 |  |  |  |  |  |  | 672 |  |  |  | 637,176 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 4.57%, 01/31/29 |  |  |  |  |  |  | 2,097 |  |  |  | 2,004,501 |
USD Term Loan N, (1 mo. LIBOR + 2.50%), 3.82%, 01/31/28 |  |  |  |  |  |  | 2,578 |  |  |  | 2,409,205 |
Voyage Digital Ltd., (SOFR + 4.50%), 5.28%, 05/11/29 (c) |  |  |  |  |  |  | 885 |  |  |  | 840,750 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 05/18/25 |  |  |  |  |  |  | 3,105 |  |  |  | 2,914,033 |
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 3.79%, 01/20/28 |  |  |  |  |  |  | 1,854 |  |  |  | 1,775,822 |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/09/27 |  |  |  |  |  |  | 4,386 |  |  |  | 4,030,943 |
|  |  |  |  |  |  |  |  |  |  | 55,653,951 |
Oil, Gas & Consumable Fuels — 1.8% |  |  |  |  |  |  |  |  |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.02%, 11/01/25 |  |  |  |  |  |  | 556 |  |  |  | 582,266 |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 12/13/25 |  |  |  |  |  |  | 1,090 |  |  |  | 921,543 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |  |  |  |  |  |
Lealand Finance Co. BV |  |  |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 06/28/24 |  |  | USD |  |  |  | 46 |  |  | $ | 27,614 |
2020 Take Back Term Loan, (3.00% PIK), 2.83%, 06/30/25 (i) |  |  |  |  |  |  | 337 |  |  |  | 169,274 |
Lucid Energy Group II Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.87%, 11/24/28 |  |  |  |  |  |  | 2,093 |  |  |  | 2,062,184 |
Medallion Midland Acquisition LLC, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 10/18/28 |  |  |  |  |  |  | 1,681 |  |  |  | 1,608,302 |
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.82%, 01/31/28 |  |  |  |  |  |  | 568 |  |  |  | 564,947 |
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.71%, 10/05/28 |  |  |  |  |  |  | 2,727 |  |  |  | 2,589,086 |
|  |  |  |  |  |  |  |  |  |  | 8,525,216 |
Personal Products — 1.1% |  |  |  |  |  |  |  |  |
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (SOFR + 6.00%, 1.00% Floor), 7.65%, 12/22/26 |  |  |  |  |  |  | 357 |  |  |  | 349,614 |
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 5.42%, 07/03/28 |  |  |  |  |  |  | 194 |  |  |  | 192,054 |
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26 |  |  |  |  |  |  | 5,332 |  |  |  | 4,922,207 |
|  |  |  |  |  |  |  |  |  |  | 5,463,875 |
Pharmaceuticals — 2.6% |  |  |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.50%, 05/04/25 |  |  |  |  |  |  | 1,070 |  |  |  | 966,010 |
Bausch Health Cos., Inc., 2022 Term Loan B, (SOFR + 5.25%), 6.55%, 02/01/27 |  |  |  |  |  |  | 1,900 |  |  |  | 1,624,387 |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 3.63%, 02/22/28 |  |  |  |  |  |  | 1,860 |  |  |  | 1,829,236 |
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.81%, 08/01/27 |  |  |  |  |  |  | 1,328 |  |  |  | 1,251,621 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |  |  |  |  |  |  | 1,762 |  |  |  | 1,661,723 |
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 05/05/28 |  |  |  |  |  |  | 2,134 |  |  |  | 2,031,860 |
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 10/27/28 |  |  |  |  |  |  | 611 |  |  |  | 582,250 |
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%), 4.63%, 06/02/28 |  |  |  |  |  |  | 1,360 |  |  |  | 1,306,121 |
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 11/18/27 (c) |  |  |  |  |  |  | 1,218 |  |  |  | 1,123,332 |
|  |  |  |  |  |  |  |  |  |  | 12,376,540 |
Professional Services — 1.2% |  |  |  |  |  |  |  |  |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan B2, (SOFR + 3.25%), 4.75%, 01/18/29 |  |  |  |  |  |  | 624 |  |  |  | 580,576 |
Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |  |  |  |  |  |  | 2,088 |  |  |  | 1,965,970 |

Security |  |  |  |  | Par (000) |  |  | Value |
Professional Services (continued) |  |  |  |  |  |  |  |  |
Element Materials Technology Group |  |  |  |  |  |  |  |  |  |  |  |
U.S. Holdings, Inc. (l) |  |  |  |  |  |  |  |  |  |  |  |
2022 USD Delayed Draw Term Loan B, 04/12/29 |  |  | USD |  |  |  | 529 |  |  | $ | 506,604 |
2022 USD Delayed Draw Term Loan D, 04/12/29 |  |  |  |  |  |  | 1,146 |  |  |  | 1,097,641 |
Galaxy U.S. Opco, Inc., Term Loan, (SOFR + 4.75%), 6.28%, 04/29/29 |  |  |  |  |  |  | 1,749 |  |  |  | 1,637,501 |
|  |  |  |  |  |  |  |  |  |  | 5,788,292 |
Real Estate Management & Development — 0.8% |
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 11/03/28 |  |  |  |  |  |  | 2,161 |  |  |  | 1,946,820 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 08/21/25 |  |  |  |  |  |  | 2,048 |  |  |  | 1,923,502 |
|  |  |  |  |  |  |  |  |  |  | 3,870,322 |
Road & Rail — 0.4% |  |  |  |  |  |  |  |  |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 08/06/27 |  |  |  |  |  |  | 571 |  |  |  | 539,942 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.09%, 08/04/25 (c) |  |  |  |  |  |  | 1,346 |  |  |  | 1,197,687 |
|  |  |  |  |  |  |  |  |  |  | 1,737,629 |
Semiconductors & Semiconductor Equipment — 0.1% |
ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 09/19/26 |  |  |  |  |  |  | — | (m) |  |  | 21 |
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.36%, 12/02/28 |  |  |  |  |  |  | 551 |  |  |  | 534,803 |
|  |  |  |  |  |  |  |  |  |  | 534,824 |
Software — 12.6% |  |  |  |  |  |  |  |  |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 09/19/24 |  |  |  |  |  |  | 431 |  |  |  | 412,475 |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.75%, 09/19/25 |  |  |  |  |  |  | 630 |  |  |  | 604,995 |
Barracuda Networks, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.98%, 02/12/25 |  |  |  |  |  |  | 2,664 |  |  |  | 2,635,266 |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.99%, 10/30/28 |  |  |  |  |  |  | 581 |  |  |  | 579,438 |
2022 Term Loan, 05/17/29 (l) |  |  |  |  |  |  | 661 |  |  |  | 632,081 |
Central Parent, Inc., 2022 USD Term Loan B, 07/06/29 (l) |  |  |  |  |  |  | 634 |  |  |  | 597,627 |
Cloudera, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 10/08/29 (c) |  |  |  |  |  |  | 846 |  |  |  | 736,020 |
2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/08/28 |  |  |  |  |  |  | 2,593 |  |  |  | 2,379,536 |
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.75%, 09/29/28 |  |  |  |  |  |  | 893 |  |  |  | 816,070 |
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/16/28 |  |  |  |  |  |  | 1,055 |  |  |  | 941,028 |
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/28/24 (c) |  |  |  |  |  |  | 499 |  |  |  | 430,654 |
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 02/04/28 |  |  |  |  |  |  | 251 |  |  |  | 236,556 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.42%, 07/31/28 |  |  | USD |  |  |  | 1,886 |  |  | $ | 1,825,648 |
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 5.95%, 03/11/28 |  |  |  |  |  |  | 1,887 |  |  |  | 1,730,065 |
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.44%, 10/27/28 |  |  |  |  |  |  | 4,478 |  |  |  | 4,240,012 |
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.27%, 10/30/28 (c) |  |  |  |  |  |  | 642 |  |  |  | 608,665 |
IPS Corp. |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 8.67%, 10/01/29 |  |  |  |  |  |  | 919 |  |  |  | 851,224 |
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |  |  |  |  |  |  | 516 |  |  |  | 472,926 |
Magenta Buyer LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 6.23%, 07/27/28 |  |  |  |  |  |  | 2,105 |  |  |  | 1,886,115 |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 9.48%, 07/27/29 |  |  |  |  |  |  | 1,907 |  |  |  | 1,735,281 |
McAfee LLC, 2022 USD Term Loan B, (SOFR + 4.00%), 5.15%, 03/01/29 |  |  |  |  |  |  | 3,050 |  |  |  | 2,767,875 |
Netsmart Technologies, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 10/01/27 |  |  |  |  |  |  | 1,380 |  |  |  | 1,310,692 |
Planview Parent, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 8.92%, 12/18/28 (c) |  |  |  |  |  |  | 824 |  |  |  | 782,800 |
Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/17/27 |  |  |  |  |  |  | 1,894 |  |  |  | 1,779,913 |
Proofpoint, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.82%, 08/31/28 |  |  |  |  |  |  | 2,481 |  |  |  | 2,300,592 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.82%, 08/31/29 |  |  |  |  |  |  | 1,281 |  |  |  | 1,223,355 |
RealPage, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 04/24/28 |  |  |  |  |  |  | 5,456 |  |  |  | 5,031,110 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 8.17%, 04/23/29 |  |  |  |  |  |  | 2,629 |  |  |  | 2,493,240 |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 05/30/25 |  |  |  |  |  |  | 581 |  |  |  | 548,595 |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.62%, 08/01/25 |  |  |  |  |  |  | 2,418 |  |  |  | 2,317,030 |
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 10/07/27 |  |  |  |  |  |  | 3,678 |  |  |  | 3,422,567 |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |  |  |  |  |  |  | 401 |  |  |  | 379,903 |
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |  |  |  |  |  |  | 325 |  |  |  | 308,194 |
2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |  |  |  |  |  |  | 1,700 |  |  |  | 1,611,487 |
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 |  |  |  |  |  |  | 2,577 |  |  |  | 2,521,417 |

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%), 6.21%, 05/03/27 |  |  | USD |  |  |  | 1,216 |  |  | $ | 1,118,920 |
2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.21%, 05/04/26 |  |  |  |  |  |  | 3,770 |  |  |  | 3,522,186 |
Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/04/26 |  |  |  |  |  |  | 2,493 |  |  |  | 2,350,271 |
|  |  |  |  |  |  |  |  |  |  | 60,141,829 |
Specialty Retail — 3.8% |  |  |  |  |  |
Belron Finance U.S. LLC |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 3.69%, 11/13/25 |  |  |  |  |  |  | 1,977 |  |  |  | 1,908,080 |
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 3.50%, 10/30/26 (c) |  |  |  |  |  |  | 1,134 |  |  |  | 1,082,898 |
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.88%, 04/13/28 |  |  |  |  |  |  | 1,720 |  |  |  | 1,649,330 |
EG Group Ltd., 2021 Term Loan, 6.50%, 03/31/26 |  |  |  |  |  |  | 502 |  |  |  | 473,797 |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |  |  |  |  |  |  | 599 |  |  |  | 564,297 |
Mavis Tire Express Services Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.63%, 05/04/28 |  |  |  |  |  |  | 2,658 |  |  |  | 2,452,110 |
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.92%, 08/31/26 |  |  |  |  |  |  | 1,847 |  |  |  | 1,663,075 |
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 |  |  |  |  |  |  | 4,670 |  |  |  | 4,382,711 |
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |  |  |  |  |  |  | 860 |  |  |  | 789,894 |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (SOFR + 3.25%), 4.88%, 10/20/28 |  |  |  |  |  |  | 753 |  |  |  | 670,170 |
Reverb Buyer, Inc., 2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.38%, 11/01/28 |  |  |  |  |  |  | 1,763 |  |  |  | 1,650,207 |
WOOF Holding, Inc. (c) |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.81%, 12/21/27 |  |  |  |  |  |  | 485 |  |  |  | 452,134 |
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 9.31%, 12/21/28 |  |  |  |  |  |  | 495 |  |  |  | 475,200 |
|  |  |  |  |  |  |  |  |  |  | 18,213,903 |
Technology Hardware, Storage & Peripherals — 0.2% |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/23/26 |  |  |  |  |  |  | 890 |  |  |  | 790,174 |
Textiles, Apparel & Luxury Goods — 0.3% |  |  |  |  |  |
Crocs, Inc., Term Loan B, (SOFR + 3.50%), 4.45%, 02/17/29 |  |  |  |  |  |  | 1,659 |  |  |  | 1,506,445 |
Trading Companies & Distributors — 0.7% |  |  |  |  |  |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 05/19/28 |  |  |  |  |  |  | 1,221 |  |  |  | 1,162,644 |
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28 (c) |  |  |  |  |  |  | 1,061 |  |  |  | 922,602 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Trading Companies & Distributors (continued) |
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 04/03/28 |  |  | USD |  |  |  | 598 |  |  | $ | 549,752 |
SRS Distribution, Inc., 2022 Incremental Term Loan, (SOFR + 3.50%), 4.00%, 06/02/28 |  |  |  |  |  |  | 868 |  |  |  | 797,678 |
|  |  |  |  |  |  |  |  |  |  | 3,432,676 |
Wireless Telecommunication Services — 1.0% |
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR), 4.99%, 04/30/28 |  |  |  |  |  |  | 968 |  |  |  | 914,203 |
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (SOFR + 3.75%), 5.05%, 06/02/28 |  |  |  |  |  |  | 624 |  |  |  | 576,029 |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 04/11/25 |  |  |  |  |  |  | 3,318 |  |  |  | 3,191,235 |
|  |  |  |  |  |  |  |  |  |  | 4,681,467 |
Total Floating Rate Loan Interests — 123.4% (Cost: $627,998,083) |  |  |  | 587,084,075 |
|  |  |  |  | Shares |  |  |  |
Investment Companies |
Fixed Income Funds — 0.1% |
Invesco Senior Loan ETF |  |  |  |  |  |  | 16,200 |  |  |  | 328,374 |
Total Investment Companies — 0.1% (Cost: $349,754) |  |  |  |  |  |  |  | 328,374 |
|  |  |  |  | Benefical Interest (000) |  |  |  |
Other Interests (n) |
IT Services (b)(c) — 0.0% |
Millennium Corp. |  |  | USD |  |  |  | 1,156 |  |  |  | — |
Millennium Lender Claim Trust |  |  |  |  |  |  | 1,084 |  |  |  | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  |  | — |
|  |  |  |  | Par (000) |  |  |  |
Preferred Securities |
Capital Trusts — 0.4% (g)(h) |
Automobiles — 0.0% |  |  |  |  |  |  |  |  |
General Motors Financial Co., Inc., Series C, 5.70% |  |  | USD |  |  |  | 50 |  |  |  | 43,500 |
Volkswagen International Finance NV, 4.38% (a) |  |  | EUR |  |  |  | 100 |  |  |  | 84,083 |
|  |  |  |  |  |  |  |  |  |  | 127,583 |
Diversified Financial Services — 0.3% |
Barclays PLC, 4.38% |  |  | USD |  |  |  | 200 |  |  |  | 153,373 |
HSBC Holdings PLC, 6.00% |  |  |  |  |  |  | 600 |  |  |  | 537,750 |
JPMorgan Chase & Co. |  |  |  |  |  |  |  |  |  |  |  |
Series FF, 5.00% |  |  |  |  |  |  | 765 |  |  |  | 675,112 |
Series HH, 4.60% |  |  |  |  |  |  | 166 |  |  |  | 140,191 |
|  |  |  |  |  |  |  |  |  |  | 1,506,426 |
Electric Utilities — 0.0% |
Edison International, Series B, 5.00% |  |  |  |  |  |  | 55 |  |  |  | 43,760 |

Security |  |  |  |  | Par (000) |  |  | Value |
Independent Power and Renewable Electricity Producers — 0.0% |
Vistra Corp., 7.00% (e) |  |  | USD |  |  |  | 77 |  |  | $ | 69,877 |
Utilities — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Electricite de France SA, 3.38% (a) |  |  | EUR |  |  |  | 200 |  |  |  | 136,225 |
|  |  |  |  |  |  |  |  |  |  | 1,883,871 |
|  |  |  |  | Shares |  |  |  |
Preferred Stocks — 0.1% |  |  |  |  |  |  |  |  |  |  |  |
Capital Markets — 0.1% |  |  |  |  |  |  |  |  |
Goldman Sachs Group, Inc., Series J, 5.50% (g)(h) |  |  |  |  |  |  | 13,550 |  |  |  | 331,162 |
Insurance — 0.0% |
Alliant Holdings, Inc. (c) |  |  |  |  |  |  | 83 |  |  |  | 75,210 |
|  |  |  |  |  |  |  |  |  |  | 406,372 |
Total Preferred Securities — 0.5% (Cost: $2,675,908) |  |  |  |  |  |  |  | 2,290,243 |
Warrants |  |  |  |  |  |  |  |  |  |  |  |
Metals & Mining — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Ameriforge Group, Inc. |  |  |  |  |  |  | 5,283 |  |  |  | — |
Oil, Gas & Consumable Fuels — 0.0% |
California Resources Corp. (b) |  |  |  |  |  |  | 1,152 |  |  |  | 11,831 |
Transportation Infrastructure — 0.0% |
Turbo Cayman Ltd. (Strike Price $0.01) (b)(c) |  |  |  |  |  |  | 1 |  |  |  | — |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  |  |  |  |  | 11,831 |
Total Long-Term Investments — 145.1% (Cost: $769,685,734) |  |  |  |  |  |  |  | 690,414,413 |
Short-Term Securities |  |  |  |  |  |  |  |  |  |  |  |
Money Market Funds — 0.5% |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33% (o)(p) |  |  |  |  |  |  | 2,322,065 |  |  |  | 2,322,065 |
Total Short-Term Securities — 0.5% (Cost: $2,322,065) |  |  |  | 2,322,065 |
Total Investments — 145.6% (Cost: $772,007,799) |  |  |  |  |  |  |  | 692,736,478 |
Liabilities in Excess of Other Assets — (45.6)% |  |  |  | (216,802,197 | )
Net Assets — 100.0% |  |  |  |  |  |  |  |  |  | $ | 475,934,281 |

(a) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(b) | Non-income producing security.

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

(d) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,210, representing less than 0.05% of its net assets as of period end, and an original cost of $255,714.

(e) | 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.

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

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

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

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

(j) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(k) | Convertible security.

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

(m) | Rounds to less than 1,000.

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

(o) | Affiliate of the Fund.

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

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/21 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/22 |  |  | Shares Held at 06/30/22 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  | $ | 435,992 |  |  | $ | 1,886,073 | (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,322,065 |  |  |  | 2,322,065 |  |  | $ | 5,041 |  |  | $ | — |

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

Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  |  |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 705,477 |  |  |  |  |  |  | EUR |  |  | 657,000 |  |  | Bank of Montreal |  |  | 09/21/22 |  |  | $ | 13,142 |
USD |  |  | 2,769,395 |  |  |  |  |  |  | EUR |  |  | 2,615,000 |  |  | BNP Paribas S.A. |  |  | 09/21/22 |  |  |  | 13,754 |
USD |  |  | 438,868 |  |  |  |  |  |  | GBP |  |  | 354,000 |  |  | Bank of America N.A. |  |  | 09/21/22 |  |  |  | 7,299 |
USD |  |  | 1,723,075 |  |  |  |  |  |  | GBP |  |  | 1,374,000 |  |  | Natwest Markets PLC |  |  | 09/21/22 |  |  |  | 48,003 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 82,198 |

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Obligation/Index |  |  | Financing Rate Received by the Fund |  |  |  | Payment Frequency |  |  |  | Termination Date |  |  |  | Credit Rating | (a) |  |  | Notional Amount (000) | (b) |  |  | Value |  |  |  | Upfront Premium Paid (Received) |  |  |  | Unrealized Appreciation (Depreciation) |
CDX.NA.HY.37.V2 |  |  | 5.00 | % |  |  | Quarterly |  |  |  | 12/20/26 |  |  |  | B+ |  |  | USD | 4,950 |  |  | $ | (61,886 | ) |  | $ | 332,573 |  |  | $ | (394,459 | )

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

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

OTC Credit Default Swaps — Sell Protection

|  | Reference Obligation/Index |  |  | Financing Rate Received by the Fund |  |  |  | Payment Frequency |  |  | Counterparty |  |  | Termination Date |  |  |  | Credit Rating | (a) |  |  | Notional Amount (000) (b) |  |  |  | Value |  |  |  | Upfront Premium Paid (Received) |  |  |  | Unrealized Appreciation (Depreciation) |  |  |
|  | CenturyLink, Inc. |  |  | 1.00 | % |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 12/20/23 |  |  |  | NR |  |  |  | USD |  |  |  | 170 |  |  | $ | (4,888 | ) |  | $ | (4,050 | ) |  | $ | (838 | ) |  |
|  | CenturyLink, Inc. |  |  | 1.00 |  |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 06/20/25 |  |  |  | NR |  |  |  | USD |  |  |  | 185 |  |  |  | (16,595 | ) |  |  | (15,429 | ) |  |  | (1,166 | ) |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Goldman Sachs International |  |  | 12/20/26 |  |  |  | CCC |  |  |  | EUR |  |  |  | 10 |  |  |  | (3,328 | ) |  |  | (21 | ) |  |  | (3,307 | ) |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Morgan Stanley & Co. International PLC |  |  | 12/20/26 |  |  |  | CCC |  |  |  | EUR |  |  |  | 30 |  |  |  | (9,986 | ) |  |  | 127 |  |  |  | (10,113 | ) |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 12/20/26 |  |  |  | B+ |  |  |  | EUR |  |  |  | 10 |  |  |  | (1,626 | ) |  |  | (391 | ) |  |  | (1,235 | ) |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 12/20/26 |  |  |  | B+ |  |  |  | EUR |  |  |  | 5 |  |  |  | (825 | ) |  |  | 198 |  |  |  | (1,023 | ) |  |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

OTC Credit Default Swaps — Sell Protection (continued)

|  | Reference Obligation/Index |  |  | Financing Rate Received by the Fund |  |  |  | Payment Frequency |  |  | Counterparty |  |  | Termination Date |  |  |  | Credit Rating | (a) |  |  | Notional Amount (000) | (b) |  |  | Value |  |  |  | Upfront Premium Paid (Received) |  |  |  | Unrealized Appreciation (Depreciation) |  |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 | % |  |  | Quarterly |  |  | Credit Suisse International |  |  | 12/20/26 |  |  |  | B+ |  |  |  | EUR 5 |  |  | $ | (802 | ) |  |  |  |  |  | $ | 204 |  |  |  |  |  |  | $ | (1,006 | ) |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 12/20/26 |  |  |  | B+ |  |  |  | EUR 10 |  |  |  | (1,625 | ) |  |  |  |  |  |  | 385 |  |  |  |  |  |  |  | (2,010 | ) |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Morgan Stanley & Co. International PLC |  |  | 12/20/26 |  |  |  | B+ |  |  |  | EUR 10 |  |  |  | (1,625 | ) |  |  |  |  |  |  | 456 |  |  |  |  |  |  |  | (2,081 | ) |  |  |  |
|  | CMA CGM SA |  |  | 5.00 |  |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 06/20/27 |  |  |  | BB+ |  |  |  | EUR 6 |  |  |  | (248 | ) |  |  |  |  |  |  | 178 |  |  |  |  |  |  |  | (426 | ) |  |  |  |
|  | CMA CGM SA |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 06/20/27 |  |  |  | BB+ |  |  |  | EUR 20 |  |  |  | (868 | ) |  |  |  |  |  |  | 913 |  |  |  |  |  |  |  | (1,781 | ) |  |  |  |
|  | CMA CGM SA |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 06/20/27 |  |  |  | BB+ |  |  |  | EUR 6 |  |  |  | (256 | ) |  |  |  |  |  |  | 198 |  |  |  |  |  |  |  | (454 | ) |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (42,672 | ) |  |  |  |  |  | $ | (17,232 | ) |  |  |  |  |  | $ | (25,440 | ) |  |  |  |

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

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

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

Description |  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |
Centrally Cleared Swaps (a) |  | $ | 332,573 |  |  | $ | — |  |  | $ | — |  |  |  | $ (394,459 | )
OTC Swaps |  |  | 2,659 |  |  |  | (19,891 | ) |  |  | — |  |  |  | (25,440 | )

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

Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 82,198 |  |  | $ | — |  |  | $ | — |  |  | $ | 82,198 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | 2,659 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,659 |
|  | $ | — |  |  | $ | 2,659 |  |  | $ | — |  |  | $ | 82,198 |  |  | $ | — |  |  | $ | — |  |  | $ | 84,857 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps (a) |  | $ | — |  |  | $ | 394,459 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 394,459 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  |  | 45,331 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 45,331 |
|  | $ | — |  |  | $ | 439,790 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 439,790 |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 488,751 |  |  | $ | — |  |  | $ | — |  |  | $ | 488,751 |
Options purchased (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (486 | ) |  |  | — |  |  |  | (486 | )
Swaps |  |  | — |  |  |  | 81,784 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 81,784 |
|  | $ | — |  |  | $ | 81,784 |  |  | $ | — |  |  | $ | 488,751 |  |  | $ | (486 | ) |  | $ | — |  |  | $ | 570,049 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 170,267 |  |  | $ | — |  |  | $ | — |  |  | $ | 170,267 |
Swaps |  |  | — |  |  |  | (532,005 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (532,005 | )
|  | $ | — |  |  | $ | (532,005 | ) |  | $ | — |  |  | $ | 170,267 |  |  | $ | — |  |  | $ | — |  |  | $ | (361,738 | )

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 6,712,795 |
Options: |  |  |  |
Average value of option contracts purchased |  | $ | — | (a)
Credit default swaps: |  |  |  |
Average notional value — sell protection |  | $ | 5,432,732 |

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

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | 82,198 |  |  | $ | — |
Swaps — centrally cleared |  |  | — |  |  |  | 4,109 |
Swaps — OTC (a) |  |  | 2,659 |  |  |  | 45,331 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 84,857 |  |  |  | 49,440 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (4,109 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 84,857 |  |  | $ | 45,331 |

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

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

Counterparty |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Net Amount of Derivative Assets | (b)(c)
Bank of America N.A. |  | $ | 7,299 |  |  | $ | (1,626 | ) |  | $ | — |  |  | $ | — |  |  | $ | 5,673 |
Bank of Montreal |  |  | 13,142 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 13,142 |
Barclays Bank PLC |  |  | 376 |  |  |  | (376 | ) |  |  | — |  |  |  | — |  |  |  | — |
BNP Paribas S.A |  |  | 13,754 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 13,754 |
Credit Suisse International |  |  | 1,700 |  |  |  | (1,700 | ) |  |  | — |  |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 583 |  |  |  | (583 | ) |  |  | — |  |  |  | — |  |  |  | — |
Natwest Markets PLC |  |  | 48,003 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 48,003 |
|  | $ | 84,857 |  |  | $ | (4,285 | ) |  | $ | — |  |  | $ | — |  |  | $ | 80,572 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged | (d) |  |  | Net Amount of Derivative Liabilities | (b)(e)
Bank of America N.A. |  | $ | 1,626 |  |  | $ | (1,626 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
Barclays Bank PLC |  |  | 22,932 |  |  |  | (376 | ) |  |  | — |  |  |  | (22,556 | ) |  |  | — |
Credit Suisse International |  |  | 5,251 |  |  |  | (1,700 | ) |  |  | — |  |  |  | — |  |  |  | 3,551 |
Goldman Sachs International |  |  | 3,328 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,328 |
Morgan Stanley & Co. International PLC |  |  | 12,194 |  |  |  | (583 | ) |  |  | — |  |  |  | — |  |  |  | 11,611 |
|  | $ | 45,331 |  |  | $ | (4,285 | ) |  | $ | — |  |  | $ | (22,556 | ) |  | $ | 18,490 |

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

| (b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |

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

| (d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |

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

Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  | $ | — |  |  | $ | 188,371 |  |  | $ | — |  |  | $ | 188,371 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  |  | 80,645 |  |  |  | — |  |  |  | — |  |  |  | 80,645 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 10,753 |  |  |  | 10,753 |
Metals & Mining |  |  | — |  |  |  | 1,664 |  |  |  | 1,210 |  |  |  | 2,874 |
Oil, Gas & Consumable Fuels |  |  | 223,529 |  |  |  | — |  |  |  | — |  |  |  | 223,529 |
Semiconductors & Semiconductor Equipment |  |  | 29,818 |  |  |  | — |  |  |  | — |  |  |  | 29,818 |
Specialty Retail |  |  | — |  |  |  | 256,998 |  |  |  | — |  |  |  | 256,998 |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense |  |  | — |  |  |  | 3,064,852 |  |  |  | — |  |  |  | 3,064,852 |
Airlines |  |  | — |  |  |  | 3,382,127 |  |  |  | — |  |  |  | 3,382,127 |
Auto Components |  |  | — |  |  |  | 2,205,486 |  |  |  | — |  |  |  | 2,205,486 |
Automobiles |  |  | — |  |  |  | 2,049,550 |  |  |  | — |  |  |  | 2,049,550 |
Banks |  |  | — |  |  |  | 129,435 |  |  |  | 30,390 |  |  |  | 159,825 |
Beverages |  |  | — |  |  |  | 2,028,350 |  |  |  | — |  |  |  | 2,028,350 |
Biotechnology |  |  | — |  |  |  | 87,049 |  |  |  | — |  |  |  | 87,049 |
Building Materials |  |  | — |  |  |  | 815,859 |  |  |  | — |  |  |  | 815,859 |
Building Products |  |  | — |  |  |  | 1,317,684 |  |  |  | — |  |  |  | 1,317,684 |
Capital Markets |  |  | — |  |  |  | 1,464,902 |  |  |  | — |  |  |  | 1,464,902 |
Chemicals |  |  | — |  |  |  | 2,844,537 |  |  |  | — |  |  |  | 2,844,537 |
Commercial Services & Supplies |  |  | — |  |  |  | 1,160,816 |  |  |  | — |  |  |  | 1,160,816 |
Communications Equipment |  |  | — |  |  |  | 634,835 |  |  |  | — |  |  |  | 634,835 |
Construction Materials |  |  | — |  |  |  | 490,522 |  |  |  | — |  |  |  | 490,522 |
Consumer Discretionary |  |  | — |  |  |  | 1,943,793 |  |  |  | — |  |  |  | 1,943,793 |
Consumer Finance |  |  | — |  |  |  | 2,614,400 |  |  |  | — |  |  |  | 2,614,400 |
Containers & Packaging |  |  | — |  |  |  | 651,906 |  |  |  | — |  |  |  | 651,906 |
Diversified Consumer Services |  |  | — |  |  |  | 2,343,681 |  |  |  | — |  |  |  | 2,343,681 |
Diversified Financial Services |  |  | — |  |  |  | 1,082,781 |  |  |  | — |  |  |  | 1,082,781 |
Diversified Telecommunication Services |  |  | — |  |  |  | 4,379,760 |  |  |  | — |  |  |  | 4,379,760 |
Electric Utilities |  |  | — |  |  |  | 588,543 |  |  |  | — |  |  |  | 588,543 |
Electrical Equipment |  |  | — |  |  |  | 352,081 |  |  |  | 1 |  |  |  | 352,082 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 1,246,911 |  |  |  | — |  |  |  | 1,246,911 |
Energy Equipment & Services |  |  | — |  |  |  | 555,550 |  |  |  | — |  |  |  | 555,550 |
Entertainment |  |  | — |  |  |  | 185,827 |  |  |  | — |  |  |  | 185,827 |
Environmental, Maintenance & Security Service |  |  | — |  |  |  | 752,454 |  |  |  | — |  |  |  | 752,454 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Corporate Bonds (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Equity Real Estate Investment Trusts (REITs) |  | $ | — |  |  | $ | 1,287,275 |  |  | $ | — |  |  | $ | 1,287,275 |
Food & Staples Retailing. |  |  | — |  |  |  | 1,416,071 |  |  |  | — |  |  |  | 1,416,071 |
Food Products |  |  | — |  |  |  | 1,048,954 |  |  |  | — |  |  |  | 1,048,954 |
Gas Utilities |  |  | — |  |  |  | 24,661 |  |  |  | — |  |  |  | 24,661 |
Health Care Equipment & Supplies |  |  | — |  |  |  | 724,522 |  |  |  | — |  |  |  | 724,522 |
Health Care Providers & Services |  |  | — |  |  |  | 4,439,565 |  |  |  | — |  |  |  | 4,439,565 |
Health Care Technology |  |  | — |  |  |  | 1,095,805 |  |  |  | — |  |  |  | 1,095,805 |
Hotels, Restaurants & Leisure |  |  | — |  |  |  | 4,795,348 |  |  |  | — |  |  |  | 4,795,348 |
Household Durables |  |  | — |  |  |  | 872,558 |  |  |  | — |  |  |  | 872,558 |
Household Products |  |  | — |  |  |  | 33,297 |  |  |  | — |  |  |  | 33,297 |
Independent Power and Renewable Electricity Producers |  |  | — |  |  |  | 673,652 |  |  |  | — |  |  |  | 673,652 |
Insurance |  |  | — |  |  |  | 2,177,190 |  |  |  | — |  |  |  | 2,177,190 |
Interactive Media & Services |  |  | — |  |  |  | 488,367 |  |  |  | — |  |  |  | 488,367 |
Internet Software & Services |  |  | — |  |  |  | 1,778,898 |  |  |  | — |  |  |  | 1,778,898 |
IT Services |  |  | — |  |  |  | 3,013,221 |  |  |  | — |  |  |  | 3,013,221 |
Leisure Products |  |  | — |  |  |  | 202,189 |  |  |  | — |  |  |  | 202,189 |
Machinery |  |  | — |  |  |  | 2,267,751 |  |  |  | — |  |  |  | 2,267,751 |
Media |  |  | — |  |  |  | 11,732,106 |  |  |  | — |  |  |  | 11,732,106 |
Metals & Mining |  |  | — |  |  |  | 2,447,931 |  |  |  | — |  |  |  | 2,447,931 |
Mortgage Real Estate Investment Trusts (REITs) |  |  | — |  |  |  | 8,899 |  |  |  | — |  |  |  | 8,899 |
Multiline Retail |  |  | — |  |  |  | 113,354 |  |  |  | — |  |  |  | 113,354 |
Offshore Drilling & Other Services |  |  | — |  |  |  | 33,955 |  |  |  | — |  |  |  | 33,955 |
Oil, Gas & Consumable Fuels |  |  | 71,367 |  |  |  | 12,811,175 |  |  |  | — |  |  |  | 12,882,542 |
Pharmaceuticals |  |  | — |  |  |  | 1,320,104 |  |  |  | — |  |  |  | 1,320,104 |
Real Estate Management & Development |  |  | — |  |  |  | 588,089 |  |  |  | — |  |  |  | 588,089 |
Road & Rail |  |  | — |  |  |  | 163,263 |  |  |  | — |  |  |  | 163,263 |
Semiconductors & Semiconductor Equipment |  |  | — |  |  |  | 721,186 |  |  |  | — |  |  |  | 721,186 |
Software |  |  | — |  |  |  | 1,819,560 |  |  |  | — |  |  |  | 1,819,560 |
Specialty Retail |  |  | — |  |  |  | 467,216 |  |  |  | — |  |  |  | 467,216 |
Technology Hardware, Storage & Peripherals |  |  | — |  |  |  | 143,090 |  |  |  | — |  |  |  | 143,090 |
Textiles, Apparel & Luxury Goods |  |  | — |  |  |  | 114,826 |  |  |  | — |  |  |  | 114,826 |
Thrifts & Mortgage Finance |  |  | — |  |  |  | 349,287 |  |  |  | — |  |  |  | 349,287 |
Utilities |  |  | — |  |  |  | 234,821 |  |  |  | — |  |  |  | 234,821 |
Wireless Telecommunication Services |  |  | — |  |  |  | 2,023,267 |  |  |  | — |  |  |  | 2,023,267 |
Floating Rate Loan Interests |  |  | — |  |  |  | 540,008,949 |  |  |  | 47,075,126 |  |  |  | 587,084,075 |
Investment Companies |  |  | 328,374 |  |  |  | — |  |  |  | — |  |  |  | 328,374 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts |  |  | — |  |  |  | 1,883,871 |  |  |  | — |  |  |  | 1,883,871 |
Preferred Stocks |  |  | 331,162 |  |  |  | — |  |  |  | 75,210 |  |  |  | 406,372 |
Warrants |  |  | 11,831 |  |  |  | — |  |  |  | — |  |  |  | 11,831 |
Short-Term Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Money Market Funds |  |  | 2,322,065 |  |  |  | — |  |  |  | — |  |  |  | 2,322,065 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests (a) |  |  | — |  |  |  | (66,675 | ) |  |  | (5,454 | ) |  |  | (72,129 | )
|  | $ | 3,398,791 |  |  | $ | 642,078,322 |  |  | $ | 47,187,236 |  |  | $ | 692,664,349 |
Derivative Financial Instruments (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Exchange Contracts |  | $ | — |  |  | $ | 82,198 |  |  | $ | — |  |  | $ | 82,198 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  |  | — |  |  |  | (419,899 | ) |  |  | — |  |  |  | (419,899 | )
|  | $ | — |  |  | $ | (337,701 | ) |  | $ | — |  |  | $ | (337,701 | )

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

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $222,000,000 are categorized as Level 2 within the fair value hierarchy.

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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 |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Preferred Stocks |  |  | Unfunded Floating Rate Loan Interests |  |  | Warrants |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2021 |  | $ | 11,700 |  |  | $ | 1 |  |  | $ | 26,559,403 |  |  | $ | — | (a) |  | $ | 86,236 |  |  |  | (259 | ) |  |  | — |  |  | $ | 26,657,081 |
Transfers into Level 3 (b) |  |  | — |  |  |  | 33,016 |  |  |  | 32,800,656 |  |  |  | — |  |  |  | — |  |  |  | (1,943 | ) |  |  | — |  |  |  | 32,831,729 |
Transfers out of Level 3 (c) |  |  | — |  |  |  | — |  |  |  | (7,991,613 | ) |  |  | — |  |  |  | — |  |  |  | 259 |  |  |  | — |  |  |  | (7,991,354 | )
Accrued discounts/premiums |  |  | — |  |  |  | — |  |  |  | 215,229 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 215,229 |
Net realized gain (loss) |  |  | — |  |  |  | — |  |  |  | 45,325 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 45,325 |
Net change in unrealized appreciation (depreciation) (d)(e) |  |  | 263 |  |  |  | (2,626 | ) |  |  | (3,839,934 | ) |  |  | — |  |  |  | (11,026 | ) |  |  | (3,511 | ) |  |  | — |  |  |  | (3,856,835 | )
Purchases |  |  | — |  |  |  | — |  |  |  | 6,284,128 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 6,284,128 |
Sales |  |  | — |  |  |  | — |  |  |  | (6,998,068 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (6,998,068 | )
Closing balance, as of June 30, 2022 |  | $ | 11,963 |  |  | $ | 30,391 |  |  | $ | 47,075,126 |  |  | $ | — | (a) |  | $ | 75,210 |  |  |  | (5,454 | ) |  |  | — |  |  | $ | 47,187,236 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 (e) |  | $ | 263 |  |  | $ | (2,626 | ) |  | $ | (3,717,203 | ) |  | $ | — |  |  | $ | (11,026 | ) |  |  | (3,511 | ) |  |  | — |  |  | $ | (3,734,104 | )

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

| (b) | As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |

| (c) | As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |

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

| (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |

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

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

Schedule of Investments (unaudited) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Shares |  |  | Value |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering — 0.0% |
McDermott International Ltd. (a) |  |  |  |  |  |  | 123,933 |  |  | $ | 70,642 |
Diversified Financial Services — 0.0% |
Kcad Holdings I Ltd. (b) |  |  |  |  |  |  | 309,827,230 |  |  |  | 3,098 |
Metals & Mining — 0.0% |  |  |  |  |  |  |  |  |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $214,007) (b)(c) |  |  |  |  |  |  | 12,198 |  |  |  | 1,012 |
Semiconductors & Semiconductor Equipment (a) — 0.0% |
Maxeon Solar Technologies Ltd. |  |  |  |  |  |  | 232 |  |  |  | 3,083 |
SunPower Corp. |  |  |  |  |  |  | 1,860 |  |  |  | 29,407 |
|  |  |  |  |  |  |  |  |  |  | 32,490 |
Software — 0.0% |  |  |  |  |  |  |  |  |
Avaya Holdings Corp. (a) |  |  |  |  |  |  | 66 |  |  |  | 148 |
Specialty Retail — 0.2% |  |  |  |  |  |  |  |  |
NMG Parent LLC |  |  |  |  |  |  | 3,613 |  |  |  | 628,662 |
Total Common Stocks — 0.2% (Cost: $5,728,234) |  |  |  |  |  |  |  | 736,052 |
|  |  |  |  | Par (000) |  |  |  |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |
Airlines — 0.3% |  |  |  |  |  |  |  |  |
Allegiant Travel Co., 8.50%, 02/05/24 (d) |  |  | USD |  |  |  | 1,195 |  |  |  | 1,180,063 |
Auto Components — 0.1% |  |  |  |  |  |  |  |  |
Clarios Global LP, 6.75%, 05/15/25 (d) |  |  |  |  |  |  | 446 |  |  |  | 441,741 |
Beverages — 0.1% |  |  |  |  |  |  |  |  |
Triton Water Holdings, Inc., 6.25%, 04/01/29 (d) |  |  |  |  |  |  | 410 |  |  |  | 291,100 |
Building Materials — 0.0% |  |  |  |  |  |  |  |  |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 (d) |  |  |  |  |  |  | 118 |  |  |  | 102,955 |
Building Products — 0.0% |  |  |  |  |  |  |  |  |
White Cap Buyer LLC, 6.88%, 10/15/28 (d) |  |  |  |  |  |  | 250 |  |  |  | 200,000 |
Chemicals (d) — 0.1% |  |  |  |  |  |  |  |  |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 |  |  |  |  |  |  | 51 |  |  |  | 40,290 |
WR Grace Holdings LLC, 5.63%, 08/15/29 |  |  |  |  |  |  | 388 |  |  |  | 285,665 |
|  |  |  |  |  |  |  |  |  |  | 325,955 |
Construction Materials — 0.1% |
Wolverine Escrow LLC, 9.00%, 11/15/26 (d) |  |  |  |  |  |  | 1,028 |  |  |  | 599,118 |
Diversified Telecommunication Services (d) — 0.1% |
Lumen Technologies, Inc., 5.38%, 06/15/29 |  |  |  |  |  |  | 398 |  |  |  | 315,126 |
Zayo Group Holdings, Inc., 6.13%, 03/01/28 |  |  |  |  |  |  | 251 |  |  |  | 181,250 |
|  |  |  |  |  |  |  |  |  |  | 496,376 |
Electric Utilities — 0.0% |  |  |  |  |  |  |  |  |
Pike Corp., 5.50%, 09/01/28 (d) |  |  |  |  |  |  | 144 |  |  |  | 116,901 |
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (a)(b)(e) |  |  |  |  |  |  | 1,710 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 116,901 |
Electronic Equipment, Instruments & Components — 0.2% |
Vertiv Group Corp., 4.13%, 11/15/28 (d) |  |  |  |  |  |  | 901 |  |  |  | 731,540 |

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Equipment & Supplies — 0.1% |
Avantor Funding, Inc., 3.88%, 11/01/29 (d) |  |  | USD |  |  |  | 374 |  |  | $ | 327,119 |
Health Care Providers & Services — 0.1% |
Medline Borrower LP, 5.25%, 10/01/29 (d) |  |  |  |  |  |  | 384 |  |  |  | 315,379 |
Hotels, Restaurants & Leisure (d) — 0.1% |
Caesars Entertainment, Inc., 4.63%, 10/15/29 |  |  |  |  |  |  | 390 |  |  |  | 303,225 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 |  |  |  |  |  |  | 381 |  |  |  | 292,417 |
|  |  |  |  |  |  |  |  |  |  | 595,642 |
Insurance — 0.1% |  |  |  |  |  |  |  |  |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27 (d) |  |  |  |  |  |  | 357 |  |  |  | 316,795 |
Internet Software & Services (d) — 0.2% |
Expedia Group, Inc., 6.25%, 05/01/25 |  |  |  |  |  |  | 337 |  |  |  | 347,081 |
Uber Technologies, Inc., 4.50%, 08/15/29 |  |  |  |  |  |  | 381 |  |  |  | 313,372 |
|  |  |  |  |  |  |  |  |  |  | 660,453 |
Machinery — 0.2% |  |  |  |  |  |  |  |  |
Madison IAQ LLC, 5.88%, 06/30/29 (d) |  |  |  |  |  |  | 1,203 |  |  |  | 921,883 |
Media (d) — 0.3% |  |  |  |  |  |  |  |  |
Liberty Broadband Corp., 2.75%, 09/30/50 |  |  |  |  |  |  | 513 |  |  |  | 487,956 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (f) |  |  |  |  |  |  | 225 |  |  |  | 116,065 |
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 |  |  |  |  |  |  | 573 |  |  |  | 494,086 |
|  |  |  |  |  |  |  |  |  |  | 1,098,107 |
Oil, Gas & Consumable Fuels — 0.1% |
Occidental Petroleum Corp., 6.63%, 09/01/30 |  |  |  |  |  |  | 619 |  |  |  | 637,570 |
Real Estate Management & Development — 0.0% |
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29 (d) |  |  |  |  |  |  | 265 |  |  |  | 200,955 |
Wireless Telecommunication Services — 0.0% |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (d) |  |  |  |  |  |  | 138 |  |  |  | 131,273 |
Total Corporate Bonds — 2.2% (Cost: $11,186,948) |  |  |  |  |  |  |  |  |  |  | 9,690,925 |
Floating Rate Loan Interests (g) |
Aerospace & Defense — 4.1% |  |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |  |  |  |  |  |  | 5,405 |  |  |  | 4,982,352 |
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |  |  |  |  |  |  | 1,099 |  |  |  | 1,013,360 |
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 6.25%, 10/31/26 |  |  |  |  |  |  | 711 |  |  |  | 688,324 |
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, 11/17/28 (h) |  |  |  |  |  |  | 374 |  |  |  | 354,990 |
Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 7.19%, 04/09/26 |  |  |  |  |  |  | 766 |  |  |  | 632,931 |
Peraton Corp. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 9.00%, 02/01/29 |  |  |  |  |  |  | 1,699 |  |  |  | 1,576,157 |
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 |  |  |  |  |  |  | 5,730 |  |  |  | 5,368,478 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |  |  |  |  |  |  |  |  |
Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 01/15/25 |  |  | USD |  |  |  | 990 |  |  | $ | 963,005 |
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.92%, 12/09/25 |  |  |  |  |  |  | 2,533 |  |  |  | 2,396,752 |
|  |  |  |  |  |  |  |  |  |  | 17,976,349 |
Air Freight & Logistics — 0.4% |  |  |  |  |  |  |  |  |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.72%, 04/06/28 |  |  |  |  |  |  | 582 |  |  |  | 525,381 |
Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |  |  |  |  |  |  | 416 |  |  |  | 371,405 |
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/15/28 |  |  |  |  |  |  | 965 |  |  |  | 868,911 |
|  |  |  |  |  |  |  |  |  |  | 1,765,697 |
Airlines — 3.0% |  |  |  |  |  |  |  |  |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.81%, 04/20/28 |  |  |  |  |  |  | 1,636 |  |  |  | 1,557,443 |
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 (b) |  |  |  |  |  |  | 2,048 |  |  |  | 1,878,581 |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 3.40%, 01/29/27 |  |  |  |  |  |  | 1,027 |  |  |  | 901,779 |
2017 Incremental Term Loan, (6 mo. LIBOR + 2.00%), 2.84%, 12/15/23 |  |  |  |  |  |  | 1,557 |  |  |  | 1,503,465 |
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.37%, 06/27/25 |  |  |  |  |  |  | 501 |  |  |  | 443,496 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.31%, 06/21/27 |  |  |  |  |  |  | 3,455 |  |  |  | 3,406,394 |
United Airlines, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 |  |  |  |  |  |  | 3,707 |  |  |  | 3,436,014 |
|  |  |  |  |  |  |  |  |  |  | 13,127,172 |
Auto Components — 2.8% |  |  |  |  |  |  |  |  |
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/10/28 |  |  |  |  |  |  | 817 |  |  |  | 758,214 |
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/30/26 |  |  |  |  |  |  | 3,646 |  |  |  | 3,395,319 |
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 |  |  |  |  |  |  | 2,032 |  |  |  | 1,813,083 |
USI, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 05/16/24 |  |  |  |  |  |  | 3,750 |  |  |  | 3,588,208 |
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/02/26 (b) |  |  |  |  |  |  | 214 |  |  |  | 197,881 |
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 02/05/26 |  |  |  |  |  |  | 2,586 |  |  |  | 2,394,978 |
|  |  |  |  |  |  |  |  |  |  | 12,147,683 |

Security |  |  |  |  | Par (000) |  |  | Value |
Banks — 0.9% |  |  |  |  |  |  |  |  |
Directv Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 6.67%, 08/02/27 |  |  | USD |  |  |  | 2,493 |  |  | $ | 2,288,434 |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 10/29/28 |  |  |  |  |  |  | 1,613 |  |  |  | 1,486,557 |
|  |  |  |  |  |  |  |  |  |  | 3,774,991 |
Beverages — 0.8% |  |  |  |  |  |  |  |  |
Naked Juice LLC |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (SOFR + 6.00%), 8.15%, 01/24/30 (b) |  |  |  |  |  |  | 1,179 |  |  |  | 1,061,038 |
Term Loan, (SOFR + 3.25%), 5.40%, 01/24/29 |  |  |  |  |  |  | 2,541 |  |  |  | 2,360,246 |
|  |  |  |  |  |  |  |  |  |  | 3,421,284 |
Building Materials — 0.1% |  |  |  |  |  |  |  |  |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |  |  |  |  |  |  | 438 |  |  |  | 361,393 |
Building Products — 2.0% |  |  |  |  |  |  |  |  |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 11/23/27 |  |  |  |  |  |  | 1,473 |  |  |  | 1,289,633 |
CPG International LLC, 2022 Term Loan B, (SOFR + 2.50%), 4.09%, 04/28/29 (b) |  |  |  |  |  |  | 800 |  |  |  | 740,000 |
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 07/28/28 |  |  |  |  |  |  | 823 |  |  |  | 779,445 |
LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 3.67%), 3.68%, 04/12/28 |  |  | EUR |  |  |  | 854 |  |  |  | 762,891 |
New AMI I LLC, 2022 Term Loan B, (SOFR + 6.00%), 7.52%, 03/08/29 |  |  | USD |  |  |  | 850 |  |  |  | 772,825 |
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%), 3.79%, 09/22/28 |  |  |  |  |  |  | 1,624 |  |  |  | 1,565,717 |
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.51%, 12/31/26 |  |  |  |  |  |  | 3,188 |  |  |  | 2,815,425 |
|  |  |  |  |  |  |  |  |  |  | 8,725,936 |
Capital Markets — 3.4% |  |  |  |  |  |  |  |  |
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.50%, 08/02/29 (b) |  |  |  |  |  |  | 2,699 |  |  |  | 2,509,588 |
Deerfield Dakota Holding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan B, (SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 |  |  |  |  |  |  | 6,210 |  |  |  | 5,798,802 |
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 8.42%, 04/07/28 |  |  |  |  |  |  | 1,806 |  |  |  | 1,751,820 |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.31%, 11/12/27 |  |  |  |  |  |  | 1,522 |  |  |  | 1,430,923 |
FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 06/27/25 |  |  |  |  |  |  | 820 |  |  |  | 778,938 |
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 06/30/28 |  |  |  |  |  |  | 1,477 |  |  |  | 1,412,445 |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/12/24 |  |  |  |  |  |  | 1,170 |  |  |  | 1,147,338 |
|  |  |  |  |  |  |  |  |  |  | 14,829,854 |
Chemicals — 5.4% |  |  |  |  |  |  |  |  |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 08/27/26 |  |  |  |  |  |  | 2,527 |  |  |  | 2,457,627 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |  |
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 03/18/28 |  |  | USD |  |  |  | 3,462 |  |  | $ | 3,300,457 |
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 4.00%, 06/01/24 |  |  |  |  |  |  | 698 |  |  |  | 680,019 |
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 12/29/27 |  |  |  |  |  |  | 732 |  |  |  | 637,218 |
Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.09%, 06/28/24 |  |  |  |  |  |  | 1,145 |  |  |  | 1,101,156 |
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 01/31/26 |  |  |  |  |  |  | 1,993 |  |  |  | 1,963,283 |
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 06/30/27 |  |  |  |  |  |  | 1,399 |  |  |  | 1,289,859 |
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 07/03/28 |  |  |  |  |  |  | 1,079 |  |  |  | 960,633 |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.75%, 03/02/26 |  |  |  |  |  |  | 2,438 |  |  |  | 2,322,304 |
Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.87%, 02/14/24 |  |  |  |  |  |  | 431 |  |  |  | 429,240 |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/15/24 |  |  |  |  |  |  | 1,506 |  |  |  | 1,452,067 |
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 4.38%, 10/14/24 |  |  |  |  |  |  | 1,729 |  |  |  | 1,595,977 |
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.74%, 06/09/28 |  |  |  |  |  |  | 1,739 |  |  |  | 1,658,037 |
Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |  |  |  |  |  |  | 705 |  |  |  | 663,036 |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |  |  |  |  |  |  | 1,060 |  |  |  | 943,718 |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.62%, 08/02/28 (b) |  |  |  |  |  |  | 1,653 |  |  |  | 1,574,350 |
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%), 5.25%, 10/01/25 |  |  |  |  |  |  | 160 |  |  |  | 151,094 |
WR Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 09/22/28 |  |  |  |  |  |  | 538 |  |  |  | 509,496 |
|  |  |  |  |  |  |  |  |  |  | 23,689,571 |
Commercial Services & Supplies — 6.3% |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/12/28 |  |  |  |  |  |  | 2,636 |  |  |  | 2,410,709 |
Amentum Government Services Holdings LLC, 2022 Term Loan, (SOFR + 4.00%), 5.30%, 02/15/29 |  |  |  |  |  |  | 791 |  |  |  | 750,960 |
Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 03/11/25 |  |  |  |  |  |  | 155 |  |  |  | 148,191 |
Asurion LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 4.79%, 11/03/23 |  |  |  |  |  |  | 1,932 |  |  |  | 1,852,399 |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.67%, 11/03/24 |  |  |  |  |  |  | 1,133 |  |  |  | 1,059,734 |
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 4.92%, 12/23/26 |  |  |  |  |  |  | 790 |  |  |  | 714,060 |
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 6.92%, 01/31/28 |  |  |  |  |  |  | 1,117 |  |  |  | 949,227 |
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 6.92%, 01/20/29 |  |  |  |  |  |  | 1,596 |  |  |  | 1,348,620 |

Security |  |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (continued) |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 10/08/28 |  |  | USD |  |  |  | 700 |  |  | $ | 693,475 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |  |  |  |  |  |  | 1,140 |  |  |  | 1,075,366 |
2021 Term Loan C, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |  |  |  |  |  |  | 86 |  |  |  | 80,754 |
Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.88%, 11/27/26 |  |  |  |  |  |  | 1,960 |  |  |  | 1,854,424 |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/12/25 |  |  |  |  |  |  | 2,551 |  |  |  | 2,429,078 |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.00%, 05/09/25 |  |  |  |  |  |  | 518 |  |  |  | 479,747 |
Packers Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.44%, 03/09/28 |  |  |  |  |  |  | 1,680 |  |  |  | 1,533,962 |
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 3.65%, 09/23/26 |  |  |  |  |  |  | 1,938 |  |  |  | 1,804,762 |
Tempo Acquisition LLC, 2022 Term Loan B, (SOFR + 3.00%), 4.53%, 08/31/28 |  |  |  |  |  |  | 4,828 |  |  |  | 4,568,385 |
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 10.00%, 06/16/26 |  |  |  |  |  |  | 333 |  |  |  | 257,414 |
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 08/27/25 |  |  |  |  |  |  | 3,132 |  |  |  | 2,991,519 |
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/30/28 |  |  |  |  |  |  | 786 |  |  |  | 734,966 |
|  |  |  |  |  |  |  |  |  |  | 27,737,752 |
Communications Equipment — 0.5% |  |  |  |  |  |  |  |  |
ViaSat, Inc., Term Loan, (SOFR + 4.50%), 6.14%, 03/02/29 |  |  |  |  |  |  | 2,528 |  |  |  | 2,347,586 |
Construction & Engineering — 2.0% |  |  |  |  |  |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.40%, 06/21/24 |  |  |  |  |  |  | 4,024 |  |  |  | 3,467,302 |
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/21/28 |  |  |  |  |  |  | 1,045 |  |  |  | 991,153 |
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.02%, 06/02/28 |  |  |  |  |  |  | 2,786 |  |  |  | 2,564,207 |
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 05/12/28 |  |  |  |  |  |  | 1,760 |  |  |  | 1,633,518 |
|  |  |  |  |  |  |  |  |  |  | 8,656,180 |
Construction Materials — 1.6% |  |  |  |  |  |  |  |  |
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.12%, 07/27/28 |  |  |  |  |  |  | 4,120 |  |  |  | 3,915,395 |
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/29/25 |  |  |  |  |  |  | 2,391 |  |  |  | 2,259,611 |
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 06/01/26 |  |  |  |  |  |  | 868 |  |  |  | 811,057 |
|  |  |  |  |  |  |  |  |  |  | 6,986,063 |
Containers & Packaging — 1.6% |  |  |  |  |  |  |  |  |
BWAY Holding Co., 2017 Term Loan B, (1 Week LIBOR + 3.25%), 4.31%, 04/03/24 |  |  |  |  |  |  | 2,379 |  |  |  | 2,239,197 |
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/01/27 |  |  |  |  |  |  | 2,299 |  |  |  | 2,159,475 |
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |  |  |  |  |  |  | 619 |  |  |  | 583,576 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Containers & Packaging (continued) |  |  |  |  |  |  |  |  |
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 08/18/27 |  |  | USD |  |  |  | 1,183 |  |  | $ | 1,048,726 |
Trident TPI Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 5.60%, 09/15/28 |  |  |  |  |  |  | 90 |  |  |  | 84,254 |
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 09/15/28 |  |  |  |  |  |  | 1,010 |  |  |  | 944,973 |
|  |  |  |  |  |  |  |  |  |  | 7,060,201 |
Distributors — 1.0% |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/27 |  |  |  |  |  |  | 1,200 |  |  |  | 1,132,622 |
TMK Hawk Parent Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 10.50%, 1.00% Floor), 11.17%, 05/30/24 |  |  |  |  |  |  | 954 |  |  |  | 887,345 |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.11%, 08/28/24 |  |  |  |  |  |  | 3,065 |  |  |  | 2,329,319 |
|  |  |  |  |  |  |  |  |  |  | 4,349,286 |
Diversified Consumer Services — 3.3% |  |  |  |  |  |  |  |  |
2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 8.00%, 12/30/24 |  |  |  |  |  |  | 1,433 |  |  |  | 1,366,877 |
Ascend Learning LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 12/10/29 (b) |  |  |  |  |  |  | 781 |  |  |  | 714,615 |
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/11/28 |  |  |  |  |  |  | 1,934 |  |  |  | 1,781,956 |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 11/24/28 (b) |  |  |  |  |  |  | 932 |  |  |  | 888,030 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 07/11/25 |  |  |  |  |  |  | 2,238 |  |  |  | 2,124,225 |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 5.75%), 10.50%, 12/22/25 |  |  |  |  |  |  | 1,713 |  |  |  | 1,596,641 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 3.66%, 05/15/24 |  |  |  |  |  |  | 1,118 |  |  |  | 1,074,228 |
Okta, Inc., Term Loan, (SOFR + 6.25%), 7.63%, 12/15/26 |  |  |  |  |  |  | 874 |  |  |  | 737,475 |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.99%, 10/28/27 |  |  |  |  |  |  | 760 |  |  |  | 715,703 |
Serta Simmons Bedding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 9.01%, 08/10/23 |  |  |  |  |  |  | 467 |  |  |  | 452,351 |
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.01%, 08/10/23 |  |  |  |  |  |  | 732 |  |  |  | 511,052 |
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.54%, 01/15/27 |  |  |  |  |  |  | 1,789 |  |  |  | 1,708,251 |
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 07/20/28 |  |  |  |  |  |  | 743 |  |  |  | 692,746 |
|  |  |  |  |  |  |  |  |  |  | 14,364,150 |
Diversified Financial Services — 7.8% |  |  |  |  |  |  |  |  |
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 6.17%, 07/31/26 |  |  |  |  |  |  | 1,026 |  |  |  | 974,285 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |  |  |  |  |  |  |  |  |
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.06%, 03/10/28 (b) |  |  | USD |  |  |  | 848 |  |  | $ | 816,132 |
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 02/04/28 |  |  |  |  |  |  | 1,740 |  |  |  | 1,650,808 |
AqGen Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.81%, 08/02/28 (b) |  |  |  |  |  |  | 3,563 |  |  |  | 3,313,592 |
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%), 4.58%, 10/22/26 |  |  |  |  |  |  | 2,335 |  |  |  | 2,228,311 |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 09/01/28 |  |  |  |  |  |  | 1,604 |  |  |  | 1,527,462 |
Delta TopCo, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 9.34%, 12/01/28 (b) |  |  |  |  |  |  | 670 |  |  |  | 569,500 |
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.84%, 12/01/27 |  |  |  |  |  |  | 1,738 |  |  |  | 1,569,290 |
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 02/07/25 |  |  |  |  |  |  | 909 |  |  |  | 851,933 |
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 |  |  |  |  |  |  | 3,279 |  |  |  | 3,094,261 |
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (SOFR + 4.00%), 6.20%, 02/16/28 |  |  |  |  |  |  | 429 |  |  |  | 402,872 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 07/03/24 |  |  |  |  |  |  | 1,681 |  |  |  | 1,601,145 |
KKR Apple Bidco LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 09/21/29 |  |  |  |  |  |  | 248 |  |  |  | 236,530 |
2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 09/23/28 |  |  |  |  |  |  | 605 |  |  |  | 569,921 |
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |  |  |  |  |  |  | 2,332 |  |  |  | 1,905,845 |
LEB Holdings USA, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 11/02/27 |  |  |  |  |  |  | 243 |  |  |  | 238,258 |
Oscar Acquisitionco LLC, Term Loan B, (SOFR + 4.50%), 6.11%, 04/29/29 |  |  |  |  |  |  | 1,108 |  |  |  | 983,350 |
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 |  |  |  |  |  |  | 2,188 |  |  |  | 2,029,490 |
RVR Dealership Holdings LLC, Term Loan B, (SOFR + 3.75%), 5.17%, 02/08/28 |  |  |  |  |  |  | 735 |  |  |  | 615,969 |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 4.25%, 11/05/28 |  |  |  |  |  |  | 1,340 |  |  |  | 1,271,888 |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 01/23/25 |  |  |  |  |  |  | 421 |  |  |  | 391,154 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.50%, 07/30/25 |  |  |  |  |  |  | 226 |  |  |  | 209,647 |
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.25%, 09/01/25 |  |  |  |  |  |  | 3,726 |  |  |  | 3,040,053 |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/28/27 |  |  |  |  |  |  | 1,474 |  |  |  | 1,383,310 |
White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27 |  |  |  |  |  |  | 1,235 |  |  |  | 1,134,867 |
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.82%, 04/30/28 |  |  |  |  |  |  | 1,617 |  |  |  | 1,504,311 |
|  |  |  |  |  |  |  |  |  |  | 34,114,184 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services — 2.2% |
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.57%, 11/30/27 |  |  | USD |  |  |  | 569 |  |  | $ | 535,529 |
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.19%, 10/02/27 |  |  |  |  |  |  | 808 |  |  |  | 711,983 |
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.06%, 05/01/28 |  |  |  |  |  |  | 1,987 |  |  |  | 1,855,110 |
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 11/04/26 |  |  |  |  |  |  | 1,933 |  |  |  | 1,851,068 |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 03/01/27 |  |  |  |  |  |  | 1,931 |  |  |  | 1,784,431 |
Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 07/24/28 |  |  |  |  |  |  | 2,028 |  |  |  | 1,913,746 |
Virgin Media SFA Finance Ltd., GBP Term Loan L, 4.19%, 01/15/27 |  |  | GBP |  |  |  | 1,000 |  |  |  | 1,098,808 |
|  |  |  |  |  |  |  | 9,750,675 |
Electric Utilities — 0.9% |  |  |  |  |  |  |  |  |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.08%, 12/15/27 |  |  | USD |  |  |  | 1,256 |  |  |  | 1,207,779 |
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.75%, 03/31/28 |  |  |  |  |  |  | 3,232 |  |  |  | 2,850,146 |
|  |  |  |  |  |  |  |  |  |  | 4,057,925 |
Electrical Equipment — 1.3% |  |  |  |  |  |  |  |  |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.63%, 06/23/28 (b) |  |  |  |  |  |  | 1,536 |  |  |  | 1,440,366 |
AZZ, Inc., Term Loan B, (SOFR + 4.25%), 5.88%, 05/13/29 (b) |  |  |  |  |  |  | 330 |  |  |  | 314,325 |
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 03/31/27 |  |  |  |  |  |  | 2,431 |  |  |  | 2,288,801 |
II-VI, Inc., 2021 Bridge Term Loan B, 07/02/29 (h) |  |  |  |  |  |  | 1,736 |  |  |  | 1,660,050 |
|  |  |  |  |  |  |  |  |  |  | 5,703,542 |
Environmental, Maintenance & Security Service — 0.7% |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 09/07/27 |  |  |  |  |  |  | 1,978 |  |  |  | 1,905,247 |
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 11/02/27 |  |  |  |  |  |  | 1,218 |  |  |  | 1,154,879 |
|  |  |  |  |  |  |  |  |  |  | 3,060,126 |
Equity Real Estate Investment Trusts (REITs) — 0.2% |
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 05/11/24 |  |  |  |  |  |  | 871 |  |  |  | 854,408 |
Food & Staples Retailing — 0.4% |  |  |  |  |  |  |  |  |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.57%, 09/13/26 |  |  |  |  |  |  | 831 |  |  |  | 782,222 |
2021 Term Loan B, (3 mo. LIBOR + 2.75%), 4.32%, 11/22/28 |  |  |  |  |  |  | 1,106 |  |  |  | 1,050,753 |
|  |  |  |  |  |  |  |  |  |  | 1,832,975 |
Food Products — 2.4% |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/01/25 |  |  |  |  |  |  | 1,195 |  |  |  | 1,002,354 |

Security |  |  |  |  | Par (000) |  |  | Value |
Food Products (continued) |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc. (continued) |
2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 6.42%, 10/01/25 |  |  | USD |  |  |  | 1,531 |  |  | $ | 1,293,662 |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 10/25/27 |  |  |  |  |  |  | 2,757 |  |  |  | 2,493,411 |
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 01/29/27 |  |  |  |  |  |  | 3,569 |  |  |  | 3,276,057 |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 4.92%, 02/05/26 |  |  |  |  |  |  | 403 |  |  |  | 375,589 |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 06/08/28 |  |  |  |  |  |  | 1,523 |  |  |  | 1,434,388 |
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/20/28 |  |  |  |  |  |  | 687 |  |  |  | 653,298 |
|  |  |  |  |  |  |  |  |  |  | 10,528,759 |
Gas Utilities — 0.7% |  |  |  |  |  |  |  |  |
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 12/21/28 |  |  |  |  |  |  | 3,352 |  |  |  | 2,888,097 |
Health Care Equipment & Supplies — 1.7% |  |  |  |  |  |  |  |  |
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 11/01/28 |  |  |  |  |  |  | 2,202 |  |  |  | 2,057,039 |
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/04/28 |  |  |  |  |  |  | 769 |  |  |  | 728,845 |
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 10/23/28 |  |  |  |  |  |  | 4,369 |  |  |  | 4,045,064 |
Venga Finance SARL, 2021 USD Term Loan B, 12/04/28 (b)(h) |  |  |  |  |  |  | 651 |  |  |  | 605,218 |
|  |  |  |  |  |  |  |  |  |  | 7,436,166 |
Health Care Providers & Services — 3.1% |  |  |  |  |  |  |  |  |
CCRR Parent, Inc., Term Loan B, (3 mo. LIBOR + 3.75%), 6.01%, 03/06/28 |  |  |  |  |  |  | 1,629 |  |  |  | 1,540,939 |
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.75%, 09/29/28 |  |  |  |  |  |  | 1,028 |  |  |  | 970,135 |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.25%, 01/08/27 |  |  |  |  |  |  | 1,453 |  |  |  | 1,372,983 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/10/25 |  |  |  |  |  |  | 1,430 |  |  |  | 470,482 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 02/18/27 |  |  |  |  |  |  | 1,677 |  |  |  | 1,547,205 |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 9.00%, 11/15/29 |  |  |  |  |  |  | 581 |  |  |  | 548,934 |
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 11/15/28 |  |  |  |  |  |  | 538 |  |  |  | 494,536 |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.75%, 03/05/26 |  |  |  |  |  |  | 1,050 |  |  |  | 913,334 |
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 09/01/28 |  |  |  |  |  |  | 876 |  |  |  | 807,780 |
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 5.17%, 02/14/25 |  |  |  |  |  |  | 52 |  |  |  | 49,107 |
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 12/11/26 |  |  |  |  |  |  | 2,539 |  |  |  | 2,408,876 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
Vizient, Inc., 2022 Term Loan B, (SOFR + 2.25%), 3.68%, 04/28/29 |  |  | USD |  |  |  | 338 |  |  | $ | 335,043 |
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/22/28 |  |  |  |  |  |  | 2,457 |  |  |  | 2,309,087 |
|  |  |  |  |  |  |  |  |  |  | 13,768,441 |
Health Care Services — 0.3% |  |  |  |  |  |  |  |  |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.74%, 07/24/26 |  |  |  |  |  |  | 973 |  |  |  | 908,693 |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.88%, 11/01/29 |  |  |  |  |  |  | 611 |  |  |  | 562,120 |
|  |  |  |  |  |  |  | 1,470,813 |
Health Care Technology — 3.1% |  |  |  |  |  |  |  |  |
Athenahealth, Inc., 2022 Term Loan B, (SOFR + 3.50%), 5.01%, 02/15/29 |  |  |  |  |  |  | 2,891 |  |  |  | 2,654,263 |
Change Healthcare Holdings LLC, 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 4.17%, 03/01/24 |  |  |  |  |  |  | 1,382 |  |  |  | 1,342,207 |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 10/10/25 |  |  |  |  |  |  | 957 |  |  |  | 871,787 |
IQVIA, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 03/07/24 |  |  |  |  |  |  | 475 |  |  |  | 465,437 |
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 06/02/28 |  |  |  |  |  |  | 4,181 |  |  |  | 3,852,108 |
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.99%, 07/24/26 (b) |  |  |  |  |  |  | 1,698 |  |  |  | 1,608,425 |
Verscend Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 8.67%, 04/02/29 (b) |  |  |  |  |  |  | 3,092 |  |  |  | 2,906,480 |
|  |  |  |  |  |  |  |  |  |  | 13,700,707 |
Hotels, Restaurants & Leisure — 6.8% |  |  |  |  |  |  |  |  |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 11/19/26 |  |  |  |  |  |  | 2,443 |  |  |  | 2,327,237 |
Aristocrat Technologies, Inc., 2022 Term Loan B, (SOFR + 2.25%), 4.40%, 05/24/29 |  |  |  |  |  |  | 202 |  |  |  | 194,627 |
Caesars Resort Collection LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 12/23/24 |  |  |  |  |  |  | 2,005 |  |  |  | 1,927,256 |
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |  |  |  |  |  |  | 1,217 |  |  |  | 1,170,749 |
Carnival Corp., (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 |  |  |  |  |  |  | 718 |  |  |  | 665,453 |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 03/17/28 |  |  |  |  |  |  | 777 |  |  |  | 731,178 |
ECL Entertainment LLC, Term Loan, (3 mo. LIBOR + 7.50%, 0.75% Floor), 9.75%, 05/01/28 |  |  |  |  |  |  | 575 |  |  |  | 560,454 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 03/08/24 |  |  |  |  |  |  | 3,985 |  |  |  | 2,948,598 |
Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |  |  |  |  |  |  | 4,145 |  |  |  | 3,811,527 |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 11/30/23 |  |  |  |  |  |  | 1,303 |  |  |  | 1,288,015 |
IRB Holding Corp., 2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 4.42%, 02/05/25 |  |  |  |  |  |  | 1,581 |  |  |  | 1,496,067 |
Penn National Gaming, Inc., 2022 Term Loan B, (SOFR + 2.75%), 4.38%, 05/03/29 |  |  |  |  |  |  | 1,490 |  |  |  | 1,426,013 |
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 03/13/28 |  |  |  |  |  |  | 1,507 |  |  |  | 1,417,963 |

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |  |  |  |  |  |
Scientific Games International, Inc., 2022 USD Term Loan, (SOFR + 3.00%), 4.36%, 04/14/29 |  |  | USD |  |  |  | 818 |  |  | $ | 775,055 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |  |  |  |  |  |  | 1,116 |  |  |  | 1,058,808 |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/08/27 |  |  |  |  |  |  | 2,060 |  |  |  | 1,933,628 |
Travelport Finance Luxembourg SARL |  |  |  |  |  |  |  |
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor), 3.75%, 02/28/25 |  |  |  |  |  |  | 1,410 |  |  |  | 1,415,733 |
2021 Consented Term Loan, (3 mo. LIBOR + 5.00%), 7.25%, 05/29/26 |  |  |  |  |  |  | 1,674 |  |  |  | 1,287,741 |
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.37%, 10/02/28 |  |  |  |  |  |  | 903 |  |  |  | 836,221 |
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 08/03/28 |  |  |  |  |  |  | 2,274 |  |  |  | 2,125,793 |
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 05/30/25 |  |  |  |  |  |  | 534 |  |  |  | 514,899 |
|  |  |  |  |  |  | 29,913,015 |
Household Durables — 1.7% |  |  |  |  |  |
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), 6.97%, 05/17/28 |  |  |  |  |  |  | 1,653 |  |  |  | 1,272,731 |
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 3.42%, 02/04/27 |  |  |  |  |  |  | 1,500 |  |  |  | 1,438,677 |
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%), 7.38%, 12/08/28 |  |  |  |  |  |  | 1,080 |  |  |  | 979,226 |
Solis IV BV, USD Term Loan B1, (SOFR + 3.50%), 4.84%, 02/26/29 |  |  |  |  |  |  | 2,260 |  |  |  | 1,939,374 |
Springs Windows Fashions LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.60%, 10/06/28 |  |  |  |  |  |  | 829 |  |  |  | 678,680 |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 10/30/27 |  |  |  |  |  |  | 1,030 |  |  |  | 931,996 |
|  |  |  |  |  |  | 7,240,684 |
Household Products — 0.1% |  |  |  |  |  |
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 03/03/28 |  |  |  |  |  |  | 536 |  |  |  | 515,434 |
Independent Power and Renewable Electricity Producers — 0.6% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/25 |  |  |  |  |  |  | 504 |  |  |  | 482,736 |
Calpine Corp. |  |  |  |  |  |  |  |
2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 3.67%, 08/12/26 |  |  |  |  |  |  | 706 |  |  |  | 668,234 |
Term Loan B9, (1 mo. LIBOR + 2.00%), 3.67%, 04/05/26 |  |  |  |  |  |  | 1,511 |  |  |  | 1,420,700 |
|  |  |  |  |  |  | 2,571,670 |
Industrial Conglomerates — 2.5% |  |  |  |  |  |
AVSC Holding Corp. (f) |  |  |  |  |  |  |  |
2020 Term Loan B1, (0.25% PIK), 5.11%, 03/03/25 |  |  |  |  |  |  | 2,376 |  |  |  | 2,035,994 |
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 |  |  |  |  |  |  | 1,305 |  |  |  | 1,377,205 |
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.99%, 09/29/28 |  |  |  |  |  |  | 1,740 |  |  |  | 1,602,791 |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.30%, 11/28/23 |  |  |  |  |  |  | 679 |  |  |  | 672,519 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Industrial Conglomerates (continued) |
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 9.00%, 07/28/28 |  |  | USD |  |  |  | 1,092 |  |  | $ | 969,616 |
Vertical U.S. Newco, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.02%, 07/30/27 |  |  |  |  |  |  | 1,905 |  |  |  | 1,778,336 |
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.87%, 03/02/27 |  |  |  |  |  |  | 2,942 |  |  |  | 2,728,768 |
|  |  |  |  |  |  |  |  |  |  | 11,165,229 |
Insurance — 4.9% |  |  |  |  |  |  |  |  |
Alliant Holdings Intermediate LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |  |  |  |  |  |  | 2,899 |  |  |  | 2,722,920 |
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 5.01%, 11/06/27 |  |  |  |  |  |  | 3,807 |  |  |  | 3,531,989 |
Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |  |  |  |  |  |  | 1,019 |  |  |  | 961,113 |
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/19/28 |  |  |  |  |  |  | 3,380 |  |  |  | 3,186,740 |
AssuredPartners, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |  |  |  |  |  |  | 1,411 |  |  |  | 1,319,525 |
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |  |  |  |  |  |  | 884 |  |  |  | 827,185 |
Hub International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.21%, 04/25/25 |  |  |  |  |  |  | 2,862 |  |  |  | 2,704,024 |
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.35%, 04/25/25 |  |  |  |  |  |  | 2,680 |  |  |  | 2,536,504 |
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 02/15/27 |  |  |  |  |  |  | 186 |  |  |  | 172,016 |
Ryan Specialty Group LLC, Term Loan, (SOFR + 3.00%, 0.75% Floor), 4.63%, 09/01/27 (b) |  |  |  |  |  |  | 1,147 |  |  |  | 1,101,500 |
Sedgwick Claims Management Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/31/25 |  |  |  |  |  |  | 790 |  |  |  | 740,382 |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 09/03/26 |  |  |  |  |  |  | 1,023 |  |  |  | 970,472 |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.92%, 09/03/26 |  |  |  |  |  |  | 824 |  |  |  | 793,244 |
|  |  |  |  |  |  |  |  |  |  | 21,567,614 |
Interactive Media & Services — 2.6% |
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 06/26/28 |  |  |  |  |  |  | 2,488 |  |  |  | 2,372,703 |
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/06/27 |  |  |  |  |  |  | 736 |  |  |  | 670,452 |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.67%, 10/30/26 |  |  |  |  |  |  | 3,350 |  |  |  | 3,151,766 |
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 08/10/27 |  |  |  |  |  |  | 736 |  |  |  | 705,776 |
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 |  |  |  |  |  |  | 5,090 |  |  |  | 4,631,775 |
|  |  |  |  |  |  |  | 11,532,472 |

Security |  |  |  |  | Par (000) |  |  | Value |
Internet & Direct Marketing Retail — 0.5% |
CNT Holdings I Corp., 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.69%, 11/08/27 |  |  | USD |  |  |  | 1,876 |  |  | $ | 1,777,004 |
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 02/12/27 (b) |  |  |  |  |  |  | 369 |  |  |  | 340,596 |
|  |  |  |  |  |  |  |  |  |  | 2,117,600 |
Internet Software & Services — 0.4% |  |  |  |  |  |  |  |  |
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.07%, 02/25/27 |  |  |  |  |  |  | 1,776 |  |  |  | 1,696,181 |
IT Services — 7.3% |  |  |  |  |  |  |  |  |
Aruba Investments, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%), 9.38%, 11/24/28 |  |  |  |  |  |  | 1,440 |  |  |  | 1,360,800 |
2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.63%, 11/24/27 (b) |  |  |  |  |  |  | 769 |  |  |  | 707,748 |
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/02/25 |  |  |  |  |  |  | 2,048 |  |  |  | 1,903,275 |
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 10/30/26 |  |  |  |  |  |  | 2,188 |  |  |  | 2,065,572 |
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.50%, 09/21/28 |  |  |  |  |  |  | 1,691 |  |  |  | 1,601,005 |
CoreLogic, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 8.19%, 06/04/29 (b) |  |  |  |  |  |  | 1,416 |  |  |  | 1,019,160 |
Term Loan, (1 mo. LIBOR + 3.50%), 5.19%, 06/02/28 |  |  |  |  |  |  | 3,391 |  |  |  | 2,810,845 |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/28/28 |  |  |  |  |  |  | 2,054 |  |  |  | 1,972,478 |
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 |  |  |  |  |  |  | 5,003 |  |  |  | 4,770,120 |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 (b) |  |  |  |  |  |  | 2,542 |  |  |  | 2,287,914 |
Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 10.25%, 10/09/28 |  |  |  |  |  |  | 4,215 |  |  |  | 4,183,387 |
TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 05/05/26 (b) |  |  |  |  |  |  | 965 |  |  |  | 900,318 |
Trans Union LLC |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 11/16/26 |  |  |  |  |  |  | 1,865 |  |  |  | 1,755,897 |
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 3.92%, 12/01/28 |  |  |  |  |  |  | 2,615 |  |  |  | 2,488,280 |
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/11/28 |  |  |  |  |  |  | 1,049 |  |  |  | 987,773 |
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 03/31/28 |  |  |  |  |  |  | 978 |  |  |  | 937,914 |
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/02/26 |  |  |  |  |  |  | 218 |  |  |  | 210,235 |
|  |  |  |  |  |  |  |  |  |  | 31,962,721 |
Leisure Products — 0.5% |  |  |  |  |  |  |  |  |
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.23%, 12/01/28 |  |  |  |  |  |  | 980 |  |  |  | 925,236 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Leisure Products (continued) |  |  |  |  |  |  |  |  |
MND Holdings III Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 06/19/24 |  |  | USD |  |  |  | 985 |  |  | $ | 960,695 |
Peloton Interactive, Inc., Term Loan, (SOFR + 6.50%), 8.35%, 05/25/27 |  |  |  |  |  |  | 346 |  |  |  | 328,918 |
|  |  |  |  |  |  |  |  |  |  | 2,214,849 |
Life Sciences Tools & Services — 3.3% |  |  |  |  |  |  |  |  |
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 3.92%, 11/08/27 |  |  |  |  |  |  | 2,666 |  |  |  | 2,557,075 |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 |  |  |  |  |  |  | 4,416 |  |  |  | 4,068,016 |
ICON Luxembourg SARL |  |  |  |  |  |  |  |  |  |  |  |
LUX Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |  |  |  |  |  |  | 2,776 |  |  |  | 2,678,204 |
US Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |  |  |  |  |  |  | 692 |  |  |  | 667,278 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (SOFR + 3.00%), 3.85%, 10/19/27 (b) |  |  |  |  |  |  | 1,498 |  |  |  | 1,419,854 |
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.88%, 11/15/28 |  |  |  |  |  |  | 3,425 |  |  |  | 3,209,551 |
|  |  |  |  |  |  |  |  |  |  | 14,599,978 |
Machinery — 3.3% |  |  |  |  |  |  |  |  |
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%), 6.43%, 08/17/26 |  |  |  |  |  |  | 1,845 |  |  |  | 1,761,727 |
ASP Blade Holdings, Inc., Initial Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 10/13/28 |  |  |  |  |  |  | 402 |  |  |  | 350,730 |
Clark Equipment Co., 2022 Term Loan B, (SOFR + 2.50%), 4.65%, 04/20/29 |  |  |  |  |  |  | 304 |  |  |  | 292,448 |
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 5.06%, 05/14/28 |  |  |  |  |  |  | 405 |  |  |  | 385,801 |
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/21/28 |  |  |  |  |  |  | 1,179 |  |  |  | 1,099,502 |
Fluidra SA, 2022 USD Term Loan B, (SOFR + 2.00%), 3.63%, 01/29/29 |  |  |  |  |  |  | 310 |  |  |  | 300,481 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 3.38%, 03/01/27 |  |  |  |  |  |  | 2,236 |  |  |  | 2,134,943 |
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 4.52%, 06/21/28 |  |  |  |  |  |  | 3,729 |  |  |  | 3,387,554 |
SPX Flow, Inc., (SOFR + 4.50%), 6.13%, 04/05/29 |  |  |  |  |  |  | 1,381 |  |  |  | 1,283,980 |
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 |  |  |  |  |  |  | 3,895 |  |  |  | 3,562,829 |
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 10/04/28 |  |  |  |  |  |  | 126 |  |  |  | 123,462 |
|  |  |  |  |  |  |  |  |  |  | 14,683,457 |
Media — 13.4% |  |  |  |  |  |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.79%, 07/15/25 |  |  |  |  |  |  | 1,090 |  |  |  | 982,056 |
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 3.79%, 01/31/26 |  |  |  |  |  |  | 1,563 |  |  |  | 1,408,843 |
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 5.41%, 08/14/26 |  |  |  |  |  |  | 3,483 |  |  |  | 3,174,760 |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 4.20%, 04/22/26 |  |  |  |  |  |  | 1,515 |  |  |  | 1,272,243 |

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 05/03/28 |  |  | USD |  |  |  | 1,035 |  |  | $ | 994,118 |
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 04/30/25 |  |  |  |  |  |  | 2,619 |  |  |  | 2,545,690 |
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%), 4.60%, 07/21/28 (b) |  |  |  |  |  |  | 1,595 |  |  |  | 1,459,427 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 08/21/26 |  |  |  |  |  |  | 3,846 |  |  |  | 3,293,509 |
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/17/26 |  |  |  |  |  |  | — | (i) |  |  | 288 |
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |  |  |  |  |  |  | 6,692 |  |  |  | 6,139,770 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.57%, 07/17/25 |  |  |  |  |  |  | 2,136 |  |  |  | 1,981,845 |
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.82%, 04/15/27 |  |  |  |  |  |  | 1,795 |  |  |  | 1,664,114 |
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 4.42%, 01/07/28 |  |  |  |  |  |  | 859 |  |  |  | 811,613 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 12/01/23 (b) |  |  |  |  |  |  | 877 |  |  |  | 767,148 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/24/25 |  |  |  |  |  |  | 1,326 |  |  |  | 1,278,342 |
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.35%, 10/17/26 |  |  |  |  |  |  | 2,544 |  |  |  | 2,372,048 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.42%, 09/13/24 |  |  |  |  |  |  | 3,488 |  |  |  | 3,277,024 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.42%, 09/13/24 |  |  |  |  |  |  | 2,910 |  |  |  | 2,734,867 |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.92%, 02/23/29 |  |  |  |  |  |  | 951 |  |  |  | 892,471 |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 09/18/26 |  |  |  |  |  |  | 874 |  |  |  | 859,630 |
Sinclair Television Group, Inc., 2022 Term Loan B4, (SOFR + 3.75%), 5.38%, 04/21/29 (b) |  |  |  |  |  |  | 1,822 |  |  |  | 1,676,240 |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.63%, 09/28/23 (b) |  |  |  |  |  |  | 4,102 |  |  |  | 3,927,411 |
Trader Interactive LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 07/28/28 (b) |  |  |  |  |  |  | 564 |  |  |  | 538,639 |
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 4.32%, 01/31/29 |  |  |  |  |  |  | 768 |  |  |  | 728,039 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 4.57%, 01/31/29 |  |  |  |  |  |  | 2,365 |  |  |  | 2,260,680 |
USD Term Loan N, (1 mo. LIBOR + 2.50%), 3.82%, 01/31/28 |  |  |  |  |  |  | 988 |  |  |  | 923,428 |
Voyage Digital Ltd., (SOFR + 4.50%), 5.28%, 05/11/29 (b) |  |  |  |  |  |  | 1,018 |  |  |  | 967,100 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 05/18/25 |  |  |  |  |  |  | 3,276 |  |  |  | 3,075,188 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 3.79%, 01/20/28 |  |  | USD |  |  |  | 2,123 |  |  | $ | 2,033,523 |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/09/27 |  |  |  |  |  |  | 5,045 |  |  |  | 4,636,870 |
|  |  |  |  |  |  |  |  |  |  | 58,676,924 |
Oil, Gas & Consumable Fuels — 2.0% |  |  |  |  |  |  |  |  |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 12/13/25 |  |  |  |  |  |  | 939 |  |  |  | 793,600 |
Lealand Finance Co. BV |  |  |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 06/28/24 |  |  |  |  |  |  | 40 |  |  |  | 24,146 |
2020 Take Back Term Loan, (3.00% PIK), 2.83%, 06/30/25 (f) |  |  |  |  |  |  | 296 |  |  |  | 148,276 |
Lucid Energy Group II Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.87%, 11/24/28 |  |  |  |  |  |  | 2,408 |  |  |  | 2,372,713 |
Medallion Midland Acquisition LLC, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 10/18/28 |  |  |  |  |  |  | 1,934 |  |  |  | 1,850,740 |
Murphy USA, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.82%, 01/31/28 |  |  |  |  |  |  | 642 |  |  |  | 638,764 |
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.71%, 10/05/28 |  |  |  |  |  |  | 3,139 |  |  |  | 2,979,771 |
|  |  |  |  |  |  |  |  |  |  | 8,808,010 |
Personal Products — 1.4% |  |  |  |  |  |  |  |  |
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (SOFR + 6.00%, 1.00% Floor), 7.65%, 12/22/26 |  |  |  |  |  |  | 409 |  |  |  | 400,255 |
Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 5.42%, 07/03/28 |  |  |  |  |  |  | 224 |  |  |  | 221,776 |
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26 |  |  |  |  |  |  | 6,090 |  |  |  | 5,622,780 |
|  |  |  |  |  |  |  |  |  |  | 6,244,811 |
Pharmaceuticals — 3.0% |  |  |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.50%, 05/04/25 |  |  |  |  |  |  | 1,220 |  |  |  | 1,101,128 |
Bausch Health Cos., Inc., 2022 Term Loan B, (SOFR + 5.25%), 6.55%, 02/01/27 |  |  |  |  |  |  | 2,180 |  |  |  | 1,863,482 |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 3.63%, 02/22/28 |  |  |  |  |  |  | 1,599 |  |  |  | 1,572,135 |
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.81%, 08/01/27 |  |  |  |  |  |  | 1,525 |  |  |  | 1,437,631 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |  |  |  |  |  |  | 1,592 |  |  |  | 1,500,944 |
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 05/05/28 |  |  |  |  |  |  | 2,438 |  |  |  | 2,320,839 |
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 10/27/28 |  |  |  |  |  |  | 704 |  |  |  | 671,210 |
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%), 4.63%, 06/02/28 |  |  |  |  |  |  | 1,542 |  |  |  | 1,481,343 |
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 11/18/27 (b) |  |  |  |  |  |  | 1,382 |  |  |  | 1,274,805 |
|  |  |  |  |  |  |  |  |  |  | 13,223,517 |
Professional Services — 1.5% |  |  |  |  |  |  |  |  |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan B2, (SOFR + 3.25%), 4.75%, 01/18/29 |  |  |  |  |  |  | 715 |  |  |  | 666,037 |

Security |  |  |  |  | Par (000) |  |  | Value |
Professional Services (continued) |
Dun & Bradstreet Corp. (continued) |  |  |  |  |  |  |  |
Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |  |  | USD |  |  |  | 2,410 |  |  | $ | 2,269,501 |
Element Materials Technology Group U.S. Holdings, Inc. (h) |  |  |  |  |  |  |  |  |  |  |  |
2022 USD Delayed Draw Term Loan B, 04/12/29 |  |  |  |  |  |  | 608 |  |  |  | 582,260 |
2022 USD Delayed Draw Term Loan D, 04/12/29 |  |  |  |  |  |  | 1,318 |  |  |  | 1,261,565 |
Galaxy U.S. Opco, Inc., Term Loan, (SOFR + 4.75%), 6.28%, 04/29/29 |  |  |  |  |  |  | 2,016 |  |  |  | 1,887,480 |
|  |  |  |  |  |  |  |  |  |  | 6,666,843 |
Real Estate Management & Development — 1.0% |
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 11/03/28 |  |  |  |  |  |  | 2,470 |  |  |  | 2,224,681 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 08/21/25 |  |  |  |  |  |  | 2,365 |  |  |  | 2,221,410 |
|  |  |  |  |  |  |  |  |  |  | 4,446,091 |
Road & Rail — 0.4% |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 08/06/27 |  |  |  |  |  |  | 662 |  |  |  | 625,477 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.09%, 08/04/25 (b) |  |  |  |  |  |  | 1,193 |  |  |  | 1,061,520 |
|  |  |  |  |  |  |  |  |  |  | 1,686,997 |
Semiconductors & Semiconductor Equipment — 0.1% |
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.36%, 12/02/28 |  |  |  |  |  |  | 629 |  |  |  | 610,928 |
Software — 14.4% |
Applied Systems, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 09/19/24 |  |  |  |  |  |  | 734 |  |  |  | 702,358 |
Barracuda Networks, Inc. |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.98%, 02/12/25 |  |  |  |  |  |  | 2,074 |  |  |  | 2,051,265 |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%, 0.75% Floor), 7.99%, 10/30/28 |  |  |  |  |  |  | 655 |  |  |  | 653,841 |
2022 Term Loan, 05/17/29 (h) |  |  |  |  |  |  | 766 |  |  |  | 732,488 |
Central Parent, Inc., 2022 USD Term Loan B, 07/06/29 (h) |  |  |  | 733 |  |  |  | 690,948 |
Cloudera, Inc. |  |  |  |  |  |  |  |
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 10/08/29 (b) |  |  |  |  |  |  | 975 |  |  |  | 848,250 |
2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/08/28 |  |  |  |  |  |  | 2,993 |  |  |  | 2,746,534 |
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.75%, 09/29/28 |  |  |  |  |  |  | 1,018 |  |  |  | 929,665 |
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/16/28 |  |  |  |  |  |  | 1,202 |  |  |  | 1,071,776 |
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/28/24 (b) |  |  |  |  |  |  | 1,034 |  |  |  | 891,734 |
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 02/04/28 |  |  |  |  |  |  | 286 |  |  |  | 269,281 |
Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.42%, 07/31/28 |  |  |  |  |  |  | 2,141 |  |  |  | 2,072,488 |
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 5.95%, 03/11/28 |  |  |  |  |  |  | 2,134 |  |  |  | 1,956,485 |
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.44%, 10/27/28 |  |  |  |  |  |  | 5,147 |  |  |  | 4,873,308 |
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.27%, 10/30/28 (b) |  |  |  |  |  |  | 733 |  |  |  | 694,671 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |
IPS Corp. |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 8.67%, 10/01/29 |  |  | USD |  |  |  | 1,046 |  |  | $ | 968,858 |
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |  |  |  |  |  |  | 588 |  |  |  | 538,719 |
Magenta Buyer LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 6.23%, 07/27/28 |  |  |  |  |  |  | 2,432 |  |  |  | 2,179,677 |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 9.48%, 07/27/29 |  |  |  |  |  |  | 2,204 |  |  |  | 2,005,372 |
McAfee LLC, 2022 USD Term Loan B, (SOFR + 4.00%), 5.15%, 03/01/29 |  |  |  |  |  |  | 3,493 |  |  |  | 3,169,898 |
Netsmart Technologies, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 10/01/27 |  |  |  |  |  |  | 1,566 |  |  |  | 1,488,033 |
Planview Parent, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 8.92%, 12/18/28 (b) |  |  |  |  |  |  | 930 |  |  |  | 883,500 |
Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/17/27 |  |  |  |  |  |  | 2,138 |  |  |  | 2,009,583 |
Proofpoint, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.82%, 08/31/28 |  |  |  |  |  |  | 2,817 |  |  |  | 2,611,682 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.82%, 08/31/29 |  |  |  |  |  |  | 1,451 |  |  |  | 1,385,705 |
RealPage, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 04/24/28 |  |  |  |  |  |  | 6,256 |  |  |  | 5,768,329 |
2nd Lien Term Loan, (1 mo. LIBOR + 6.50%, 0.75% Floor), 8.17%, 04/23/29 |  |  |  |  |  |  | 2,965 |  |  |  | 2,811,943 |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 05/30/25 |  |  |  |  |  |  | 677 |  |  |  | 639,272 |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.62%, 08/01/25 |  |  |  |  |  |  | 2,783 |  |  |  | 2,666,397 |
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 10/07/27 |  |  |  |  |  |  | 4,230 |  |  |  | 3,936,831 |
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 |  |  |  |  |  |  | 861 |  |  |  | 842,494 |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%), 6.21%, 05/03/27 |  |  |  |  |  |  | 1,402 |  |  |  | 1,289,873 |
2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.21%, 05/04/26 |  |  |  |  |  |  | 4,349 |  |  |  | 4,063,914 |
Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/04/26 |  |  |  |  |  |  | 2,877 |  |  |  | 2,712,046 |
|  |  |  |  |  |  |  |  |  |  | 63,157,218 |
Specialty Retail — 4.7% |
Belron Finance U.S. LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 3.69%, 11/13/25 |  |  |  |  |  |  | 437 |  |  |  | 421,845 |
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 3.50%, 10/30/26 (b) |  |  |  |  |  |  | 871 |  |  |  | 831,495 |
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.88%, 04/13/28 |  |  |  |  |  |  | 3,013 |  |  |  | 2,889,589 |

Security |  |  |  |  | Par (000) |  |  | Value |
Specialty Retail (continued) |
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (SONIA + 4.25%), 5.19%, 06/23/25 |  |  | GBP |  |  |  | 1,000 |  |  | $ | 1,109,265 |
EG Group Ltd., 2021 Term Loan, 6.50%, 03/31/26 |  |  | USD |  |  |  | 569 |  |  |  | 537,469 |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |  |  |  |  |  |  | 684 |  |  |  | 644,910 |
Mavis Tire Express Services Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.63%, 05/04/28 |  |  |  |  |  |  | 3,011 |  |  |  | 2,777,353 |
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.92%, 08/31/26 |  |  |  |  |  |  | 1,710 |  |  |  | 1,539,828 |
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 |  |  |  |  |  |  | 5,290 |  |  |  | 4,964,502 |
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |  |  |  |  |  |  | 986 |  |  |  | 906,315 |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (SOFR + 3.25%), 4.88%, 10/20/28 |  |  |  |  |  |  | 868 |  |  |  | 772,520 |
Reverb Buyer, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 3.50%), 3.50%, 11/01/28 |  |  |  |  |  |  | 65 |  |  |  | 60,417 |
2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.38%, 11/01/28 |  |  |  |  |  |  | 2,459 |  |  |  | 2,301,076 |
WOOF Holding, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.81%, 12/21/27 |  |  |  |  |  |  | 548 |  |  |  | 511,068 |
2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 9.31%, 12/21/28 |  |  |  |  |  |  | 560 |  |  |  | 537,600 |
|  |  |  |  |  |  |  |  |  |  | 20,805,252 |
Technology Hardware, Storage & Peripherals — 0.2% |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/23/26 |  |  |  |  |  |  | 1,018 |  |  |  | 904,186 |
Textiles, Apparel & Luxury Goods — 0.4% |
Crocs, Inc., Term Loan B, (SOFR + 3.50%), 4.45%, 02/17/29 |  |  |  |  |  |  | 1,900 |  |  |  | 1,725,663 |
Trading Companies & Distributors — 0.9% |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 05/19/28 |  |  |  |  |  |  | 1,382 |  |  |  | 1,315,886 |
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28 (b) |  |  |  |  |  |  | 1,221 |  |  |  | 1,062,428 |
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 04/03/28 |  |  |  |  |  |  | 677 |  |  |  | 622,567 |
SRS Distribution, Inc., 2022 Incremental Term Loan, (SOFR + 3.50%), 4.00%, 06/02/28 |  |  |  |  |  |  | 995 |  |  |  | 913,860 |
|  |  |  |  |  |  |  |  |  |  | 3,914,741 |
Wireless Telecommunication Services — 1.1% |
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR), 4.99%, 04/30/28 |  |  |  |  |  |  | 1,099 |  |  |  | 1,037,592 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Wireless Telecommunication Services (continued) |
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (SOFR + 3.75%), 5.05%, 06/02/28 |  |  | USD |  |  |  | 709 |  |  | $ | 654,342 |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 04/11/25 |  |  |  |  |  |  | 3,360 |  |  |  | 3,231,830 |
|  |  |  |  |  |  |  |  |  |  | 4,923,764 |
Total Floating Rate Loan Interests — 143.0% (Cost: $671,960,920) |  |  |  | 628,063,815 |
|  |  |  |  | Shares |  |  |  |
Investment Companies |  |  |  |  |  |  |  |  |  |  |  |
Fixed Income Funds — 0.3% |  |  |  |  |  |  |  |  |
Invesco Senior Loan ETF |  |  |  |  |  |  | 64,300 |  |  |  | 1,303,361 |
Total Investment Companies — 0.3% (Cost: $1,406,588) |  |  |  | 1,303,361 |
|  |  |  |  | Benefical Interest (000) |  |  |  |
Other Interests (j) |  |  |  |  |  |  |  |  |  |  |  |
IT Services (a)(b) — 0.0% |  |  |  |  |  |  |  |  |
Millennium Corp. |  |  | USD |  |  |  | 1,607 |  |  |  | — |
Millennium Lender Claim Trust |  |  |  |  |  |  | 1,508 |  |  |  | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  |  |  |  |  |  |  |  |  | — |

Security |  | Shares |  |  | Value |
Warrants |  |  |  |  |  |  |  |
Oil, Gas & Consumable Fuels — 0.0% |  |  |  |  |  |  |  |
California Resources Corp. (a) |  |  | 999 |  |  | $ | 10,260 |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  |  |  |  | 10,260 |
Total Investments — 145.7% (Cost: $690,282,690) |  |  |  | 639,804,413 |
Liabilities in Excess of Other Assets — (45.7)% |  |  |  | (200,697,356 | )
Net Assets — 100.0% |  |  | $ | 439,107,057 |

(a) | Non-income producing security.

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

(c) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,012, representing less than 0.05% of its net assets as of period end, and an original cost of $214,007.

(d) | 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.

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

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

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

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

(i) | Rounds to less than 1,000.

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

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/21 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/22 |  |  | Shares Held at 06/30/22 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class (a) |  | $ | — |  |  | $ | 3,291,520 |  |  | $ | (3,291,520 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | — |  |  | $ | 463 |  |  | $ | — |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  |  |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 822,520 |  |  |  |  |  | EUR |  |  |  | 766,000 |  |  | Toronto-Dominion Bank |  |  | 09/21/22 |  |  |  |  |  |  | $ | 15,323 |
USD |  |  | 2,397,837 |  |  |  |  |  | GBP |  |  |  | 1,912,000 |  |  | Natwest Markets PLC |  |  | 09/21/22 |  |  |  |  |  |  |  | 66,877 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 82,200 |
EUR |  |  | 872,000 |  |  |  |  |  | USD |  |  |  | 925,414 |  |  | Bank of Montreal |  |  | 09/21/22 |  |  |  |  |  |  |  | (6,515 | )
EUR |  |  | 50,944 |  |  |  |  |  | USD |  |  |  | 54,329 |  |  | Standard Chartered Bank |  |  | 09/21/22 |  |  |  |  |  |  |  | (645 | )
GBP |  |  | 66,750 |  |  |  |  |  | USD |  |  |  | 81,927 |  |  | Bank of Montreal |  |  | 09/21/22 |  |  |  |  |  |  |  | (551 | )
GBP |  |  | 72,503 |  |  |  |  |  | USD |  |  |  | 89,293 |  |  | Standard Chartered Bank |  |  | 09/21/22 |  |  |  |  |  |  |  | (903 | )
USD |  |  | 917,455 |  |  |  |  |  | EUR |  |  |  | 874,000 |  |  | Standard Chartered Bank |  |  | 09/21/22 |  |  |  |  |  |  |  | (3,551 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (12,165 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 70,035 |

Centrally Cleared Credit Default Swaps — Sell Protection

Reference Obligation/Index |  |  | Financing Rate Received by the Fund |  |  |  | Payment Frequency |  |  |  | Termination Date |  |  | Credit Rating (a) |  |  | Notional Amount (000) | (b) |  |  | Value |  |  |  | Upfront Premium Paid (Received | ) |  |  | Unrealized Appreciation (Depreciation | )
CDX.NA.HY.37.V2 |  |  | 5.00 | % |  |  | Quarterly |  |  |  | 12/20/26 |  |  | B+ |  | USD | 5,544 |  |  | $ | (69,312 | ) |  | $ | 372,482 |  |  | $ | (441,794 | )

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

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

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps

Description |  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |
Centrally Cleared Swaps (a) |  | $ | 372,482 |  |  | $ | — |  |  | $ | — |  |  | $ | (441,794 | )

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

Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 82,200 |  |  | $ | — |  |  | $ | — |  |  | $ | 82,200 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 12,165 |  |  | $ | — |  |  | $ | — |  |  | $ | 12,165 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps (a) |  |  | — |  |  |  | 441,794 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 441,794 |
|  | $ | — |  |  | $ | 441,794 |  |  | $ | — |  |  | $ | 12,165 |  |  | $ | — |  |  | $ | — |  |  | $ | 453,959 |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 240,641 |  |  | $ | — |  |  | $ | — |  |  | $ | 240,641 |
Swaps |  |  | — |  |  |  | 81,308 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 81,308 |
|  | $ | — |  |  | $ | 81,308 |  |  | $ | — |  |  | $ | 240,641 |  |  | $ | — |  |  | $ | — |  |  | $ | 321,949 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 144,484 |  |  | $ | — |  |  | $ | — |  |  | $ | 144,484 |
Swaps |  |  | — |  |  |  | (551,776 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (551,776 | )
|  | $ | — |  |  | $ | (551,776 | ) |  | $ | — |  |  | $ | 144,484 |  |  | $ | — |  |  | $ | — |  |  | $ | (407,292 | )

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 4,328,165 |
Average amounts sold — in USD |  | $ | 575,481 |
Credit default swaps: |  |  |  |
Average notional value — sell protection |  | $ | 5,572,000 |

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | 82,200 |  |  | $ | 12,165 |
Swaps — centrally cleared |  |  | — |  |  |  | 4,469 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 82,200 |  |  |  | 16,634 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | — |  |  |  | (4,469 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 82,200 |  |  | $ | 12,165 |

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

Counterparty |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset |  |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Net Amount of Derivative Assets | (a)(b)
Natwest Markets PLC |  | $ | 66,877 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 66,877 |
Toronto-Dominion Bank |  |  | 15,323 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 15,323 |
|  | $ | 82,200 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 82,200 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset |  |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged |  |  |  | Net Amount of Derivative Liabilities | (a)(c)
Bank of Montreal |  | $ | 7,066 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 7,066 |
Standard Chartered Bank |  |  | 5,099 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 5,099 |
|  | $ | 12,165 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 12,165 |

| (a) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |

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

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

Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  | $ | 70,642 |  |  | $ | — |  |  | $ | — |  |  | $ | 70,642 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 3,098 |  |  |  | 3,098 |
Metals & Mining |  |  | — |  |  |  | — |  |  |  | 1,012 |  |  |  | 1,012 |
Semiconductors & Semiconductor Equipment |  |  | 32,490 |  |  |  | — |  |  |  | — |  |  |  | 32,490 |
Software |  |  | 148 |  |  |  | — |  |  |  | — |  |  |  | 148 |
Specialty Retail |  |  | — |  |  |  | 628,662 |  |  |  | — |  |  |  | 628,662 |
Corporate Bonds |  |  | — |  |  |  | 9,690,925 |  |  |  | — |  |  |  | 9,690,925 |
Floating Rate Loan Interests |  |  | — |  |  |  | 577,998,904 |  |  |  | 50,064,911 |  |  |  | 628,063,815 |
Investment Companies |  |  | 1,303,361 |  |  |  | — |  |  |  | — |  |  |  | 1,303,361 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Warrants |  |  | 10,260 |  |  |  | — |  |  |  | — |  |  |  | 10,260 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests (a) |  |  | — |  |  |  | (81,823 | ) |  |  | (6,188 | ) |  |  | (88,011 | )
|  | $ | 1,416,901 |  |  | $ | 588,236,668 |  |  | $ | 50,062,833 |  |  | $ | 639,716,402 |
Derivative Financial Instruments (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Exchange Contracts |  | $ | — |  |  | $ | 82,200 |  |  | $ | — |  |  | $ | 82,200 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  |  | — |  |  |  | (441,794 | ) |  |  | — |  |  |  | (441,794 | )
Foreign Currency Exchange Contracts |  |  | — |  |  |  | (12,165 | ) |  |  | — |  |  |  | (12,165 | )
|  | $ | — |  |  | $ | (371,759 | ) |  | $ | — |  |  | $ | (371,759 | )

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

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $203,000,000 are categorized as Level 2 within the fair value hierarchy.

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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 |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Unfunded Floating Rate Loan Interests |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2021 |  | $ | 3,891 |  |  | $ | — | (a) |  | $ | 27,319,074 |  |  | $ | — | (a) |  | $ | (589 | ) |  | $ | 27,322,376 |
Transfers into Level 3 (b) |  |  | — |  |  |  | — |  |  |  | 35,095,500 |  |  |  | — |  |  |  | (1,674 | ) |  |  | 35,093,826 |
Transfers out of Level 3 (c) |  |  | — |  |  |  | — |  |  |  | (8,846,041 | ) |  |  | — |  |  |  | 590 |  |  |  | (8,845,451 | )
Accrued discounts/premiums |  |  | — |  |  |  | — |  |  |  | 197,842 |  |  |  | — |  |  |  | — |  |  |  | 197,842 |
Net realized gain (loss) |  |  | — |  |  |  |  |  |  |  | 41,658 |  |  |  | — |  |  |  | — |  |  |  | 41,658 |
Net change in unrealized appreciation (depreciation) (d)(e) |  |  | 219 |  |  |  | — |  |  |  | (4,180,297 | ) |  |  | — |  |  |  | (4,515 | ) |  |  | (4,184,593 | )
Purchases |  |  | — |  |  |  | — |  |  |  | 7,850,180 |  |  |  | — |  |  |  | — |  |  |  | 7,850,180 |
Sales |  |  | — |  |  |  | — |  |  |  | (7,413,005 | ) |  |  | — |  |  |  | — |  |  |  | (7,413,005 | )
Closing balance, as of June 30, 2022 |  | $ | 4,110 |  |  | $ | — | (a) |  | $ | 50,064,911 |  |  | $ | — | (a) |  | $ | (6,188 | ) |  | $ | 50,062,833 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 (d) |  | $ | 219 |  |  | $ | — |  |  | $ | (4,057,036 | ) |  | $ | — |  |  | $ | (4,515 | ) |  | $ | (4,061,332 | )

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

| (b) | As of December 31, 2021, the Trust used observable inputs in determining the value of certain investments. As of June 30, 2022, the Trust used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |

| (c) | As of December 31, 2021, the Trust used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, the Trust used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |

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

| (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end. |

See notes to financial statements.

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

Schedule of Investments (unaudited) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets)

Security |  | Par (000) |  |  | Value |
Asset-Backed Securities |
Small Business Administration, Series 2000-1, 1.00%, 11/10/21 (a) |  | $ | 5 |  |  | $ | — |
Sterling Coofs Trust (a) |  |  |  |  |  |  |  |
Series 2004-1, Class A, 2.00%, 04/15/29 |  |  | 537 |  |  |  | 5,372 |
Series 2004-2, Class Note, 2.08%, 03/30/30 (b) |  |  | 428 |  |  |  | 4,285 |
Total Asset-Backed Securities — 0.0% (Cost: $97,223) |  |  |  |  |  |  | 9,657 |
Non-Agency Mortgage-Backed Securities |
Collateralized Mortgage Obligations — 3.1% |
Fannie Mae REMICS, Series 2019-36, Class NJ, 3.00%, 07/25/49 |  |  | 2,355 |  |  |  | 2,098,368 |
Freddie Mac REMICS, Series 5083, Class IN, 4.50%, 07/25/32 |  |  | 16,597 |  |  |  | 1,837,524 |
Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR US + 16.62%), 13.61%, 08/25/23 (c) |  |  | 5 |  |  |  | 5,302 |
Seasoned Credit Risk Transfer Trust |  |  |  |  |  |  |  |
Series 2018-2, Class MA, 3.50%, 11/25/57 |  |  | 648 |  |  |  | 641,725 |
Series 2018-4, Class MA, 3.50%, 03/25/58 |  |  | 3,624 |  |  |  | 3,588,048 |
Series 2019-1, Class MA, 3.50%, 07/25/58 |  |  | 1,148 |  |  |  | 1,136,665 |
Series 2019-2, Class MA, 3.50%, 08/25/58 |  |  | 450 |  |  |  | 445,183 |
|  |  |  |  |  |  | 9,752,815 |
Commercial Mortgage-Backed Securities — 0.8% |
CSAIL Commercial Mortgage Trust (c) |  |  |  |  |  |  |  |
Series 2018-C14, Class XA, 0.73%, 11/15/51 |  |  | 2,085 |  |  |  | 59,492 |
Series 2019-C16, Class XA, 1.72%, 06/15/52 |  |  | 6,399 |  |  |  | 525,690 |
Natixis Commercial Mortgage Securities Trust, |  |  |  |  |  |  |  |
Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 2.27%, 06/15/35 (b)(c) |  |  | 163 |  |  |  | 157,710 |
One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54 (b) |  |  | 1,717 |  |  |  | 1,483,586 |
Wells Fargo Commercial Mortgage Trust, Series 2018- C44, Class XA, 0.89%, 05/15/51 (c) |  |  | 4,958 |  |  |  | 160,261 |
|  |  |  |  |  |  | 2,386,739 |
Interest Only Collateralized Mortgage Obligations — 0.0% |
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 |  |  | 152 |  |  |  | 29,323 |
IndyMac INDX Mortgage Loan Trust, Series 2006- AR33, Class 4AX, 0.17%, 01/25/37 (a) |  |  | 19,574 |  |  |  | 2 |
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29 (a)(c) |  |  | 7,495 |  |  |  | 7 |
|  |  |  |  |  |  | 29,332 |
Mortgage-Backed Securities — 3.4% |
Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50 |  |  | 30,600 |  |  |  | 4,931,160 |
Freddie Mac REMICS, 4.00%, 10/15/40 |  |  | 3,500 |  |  |  | 3,545,853 |
Ginnie Mae Mortgage-Backed Securities, Class IT, 3.50%, 01/20/52 |  |  | 12,250 |  |  |  | 2,041,901 |
|  |  |  |  |  |  | 10,518,914 |

Security |  | Par (000) |  |  | Value |
Principal Only Collateralized Mortgage Obligations — 0.0% |
CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 0.01%, 09/25/23 |  | $ | 9 |  |  | $ | 8,756 |
Residential Asset Securitization Trust, Series 2005- A15, Class 1A8, 0.00%, 02/25/36 |  |  | 104 |  |  |  | 78,443 |
Washington Mutual Mortgage Pass-Through |  |  |  |  |  |  |  |
Certificates WMALT Trust, Series 2005-9, Class CP, 0.01%, 11/25/35 |  |  | 46 |  |  |  | 28,040 |
|  |  |  |  |  |  | 115,239 |
Total Non-Agency Mortgage-Backed Securities — 7.3% (Cost: $23,318,672) |  |  |  | 22,803,039 |
U.S. Government Sponsored Agency Securities |
Agency Obligations — 3.2% |  |  |  |  |  |
Federal Housing Administration (a) |  |  |  |  |  |  |  |
Merrill Lynch Projects, Series 54, 7.43%, 05/15/23 |  |  | — | (d) |  |  | — |
USGI Projects, Series 99, 7.43%, 11/01/22 -10/01/23 |  |  | 5 |  |  |  | 5,173 |
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30 (e) |  |  | 13,000 |  |  |  | 9,913,014 |
|  |  |  |  |  |  | 9,918,187 |
Collateralized Mortgage Obligations — 64.6% |
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24 |  |  | 9 |  |  |  | 8,818 |
Fannie Mae REMICS |  |  |  |  |  |  |  |
Series 1993-247, Class SN, (12 mo. LIBOR US + 63.85%), 10.00%, 12/25/23 (c) |  |  | 9 |  |  |  | 8,968 |
Series 2004-31, Class ZG, 7.50%, 05/25/34 |  |  | 2,397 |  |  |  | 2,714,148 |
Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 9.99%, 04/25/34 (c) |  |  | 676 |  |  |  | 680,480 |
Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 13.33%, 08/25/35 (c) |  |  | 58 |  |  |  | 59,855 |
Series 2010-134, Class DB, 4.50%, 12/25/40 |  |  | 7,000 |  |  |  | 7,164,687 |
Series 2010-136, Class CY, 4.00%, 12/25/40 |  |  | 3,060 |  |  |  | 3,100,909 |
Series 2010-47, Class JB, 5.00%, 05/25/30 |  |  | 2,584 |  |  |  | 2,661,894 |
Series 2011-117, Class CP, 4.00%, 11/25/41 |  |  | 14,350 |  |  |  | 14,461,872 |
Series 2011-8, Class ZA, 4.00%, 02/25/41 |  |  | 4,505 |  |  |  | 4,568,381 |
Series 2011-99, Class CB, 4.50%, 10/25/41 |  |  | 36,429 |  |  |  | 37,605,820 |
Series 2012-104, Class QD, 4.00%, 09/25/42 |  |  | 1,639 |  |  |  | 1,647,535 |
Series 2013-81, Class YK, 4.00%, 08/25/43 |  |  | 7,000 |  |  |  | 6,939,671 |
Series 2017-76, Class PB, 3.00%, 10/25/57 |  |  | 3,415 |  |  |  | 2,947,360 |
Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 5.34%, 05/25/48 (c) |  |  | 5,002 |  |  |  | 4,897,049 |
Series 2018-50, Class EB, 4.00%, 07/25/48 |  |  | 2,001 |  |  |  | 2,029,313 |
Freddie Mac REMICS |  |  |  |  |  |  |  |
Series 2218, Class Z, 8.50%, 03/15/30 |  |  | 490 |  |  |  | 538,476 |
Series 2542, Class UC, 6.00%, 12/15/22 |  |  | 19 |  |  |  | 18,809 |
Series 2731, Class ZA, 4.50%, 01/15/34 |  |  | 1,932 |  |  |  | 1,980,884 |
Series 2927, Class BZ, 5.50%, 02/15/35 |  |  | 2,063 |  |  |  | 2,152,634 |
Series 3745, Class ZA, 4.00%, 10/15/40 |  |  | 1,244 |  |  |  | 1,254,953 |
Series 3762, Class LN, 4.00%, 11/15/40 |  |  | 2,000 |  |  |  | 2,013,696 |
Series 3780, Class ZA, 4.00%, 12/15/40 |  |  | 3,132 |  |  |  | 3,161,920 |
Series 3856, Class PB, 5.00%, 05/15/41 |  |  | 7,615 |  |  |  | 8,037,361 |
Series 3960, Class PL, 4.00%, 11/15/41 |  |  | 2,859 |  |  |  | 2,919,995 |
Series 3963, Class JB, 4.50%, 11/15/41 |  |  | 604 |  |  |  | 622,351 |
Series 4016, Class BX, 4.00%, 09/15/41 |  |  | 15,408 |  |  |  | 15,708,585 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets)

Security |  | Par (000) |  |  | Value |
Collateralized Mortgage Obligations (continued) |
Freddie Mac REMICS (continued) |  |  |  |  |  |  |  |
Series 4269, Class PM, 4.00%, 08/15/41 |  | $ | 8,884 |  |  | $ | 8,983,844 |
Series 4299, Class JY, 4.00%, 01/15/44 |  |  | 1,000 |  |  |  | 1,006,197 |
Series 4316, Class VB, 4.50%, 03/15/34 |  |  | 1,415 |  |  |  | 1,421,975 |
Series 4384, Class LB, 3.50%, 08/15/43 |  |  | 4,885 |  |  |  | 4,902,978 |
Series 4471, Class JB, 3.50%, 09/15/43 |  |  | 3,932 |  |  |  | 3,456,543 |
Series 4615, Class LB, 4.50%, 09/15/41 |  |  | 7,600 |  |  |  | 7,904,046 |
Series 4748, Class BM, 3.50%, 11/15/47 |  |  | 3,351 |  |  |  | 3,184,905 |
Series 4774, Class L, 4.50%, 03/15/48 |  |  | 6,219 |  |  |  | 6,449,330 |
Series 4830, Class AV, 4.00%, 10/15/33 |  |  | 1,069 |  |  |  | 1,076,953 |
Series 4880, Class LG, 3.50%, 05/15/49 |  |  | 2,196 |  |  |  | 2,110,753 |
Ginnie Mae |  |  |  |  |  |  |  |
Series 2011-88, Class PY, 4.00%, 06/20/41 |  |  | 9,028 |  |  |  | 9,132,511 |
Series 2012-16, Class HJ, 4.00%, 09/20/40 |  |  | 6,242 |  |  |  | 6,310,246 |
Series 2015-96, Class ZM, 4.00%, 07/20/45 |  |  | 8,274 |  |  |  | 8,415,954 |
Series 2018-91, Class ZL, 4.00%, 07/20/48 |  |  | 6,010 |  |  |  | 6,103,016 |
|  |  |  |  |  |  | 200,365,675 |
Interest Only Collateralized Mortgage Obligations — 6.1% |
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 |  |  | 41 |  |  |  | 2,297 |
Fannie Mae REMICS |  |  |  |  |  |  |  |
Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23 (c) |  |  | 2 |  |  |  | 6 |
Series 1997-90, Class M, 6.00%, 01/25/28 |  |  | 133 |  |  |  | 4,002 |
Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 4.98%, 05/25/36 (c) |  |  | 2,617 |  |  |  | 302,864 |
Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 4.38%, 12/25/41 (c) |  |  | 14,399 |  |  |  | 2,120,220 |
Series 2013-10, Class PI, 3.00%, 02/25/43 |  |  | 4,098 |  |  |  | 554,666 |
Series 2013-45, Class EI, 4.00%, 04/25/43 |  |  | 1,450 |  |  |  | 135,904 |
Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 4.63%, 09/25/45 (c) |  |  | 13,733 |  |  |  | 1,315,467 |
Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 4.53%, 09/25/47 (c) |  |  | 19,765 |  |  |  | 2,856,134 |
Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 4.43%, 06/25/49 (c) |  |  | 9,874 |  |  |  | 1,304,718 |
Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 4.48%, 07/25/49 (c) |  |  | 3,097 |  |  |  | 420,287 |
Series 2020-12, Class JI, 4.50%, 03/25/50 |  |  | 8,779 |  |  |  | 1,814,956 |
Freddie Mac REMICS |  |  |  |  |  |  |  |
Series 3744, Class PI, 4.00%, 06/15/39 |  |  | 1,590 |  |  |  | 82,884 |
Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 5.23%, 02/15/40 (c) |  |  | 745 |  |  |  | 14,264 |
Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 4.68%, 09/15/41 (c) |  |  | 19,070 |  |  |  | 2,348,662 |
Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 4.68%, 11/15/41 (c) |  |  | 11,635 |  |  |  | 1,589,219 |
Series 4026, Class IO, 4.50%, 04/15/32 |  |  | 709 |  |  |  | 65,073 |
Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 4.83%, 10/15/42 (c) |  |  | 254 |  |  |  | 33,692 |
Series 4706, Class IG, 4.00%, 07/15/47 |  |  | 9,215 |  |  |  | 1,584,580 |
Ginnie Mae (c) |  |  |  |  |  |  |  |
Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 4.96%, 12/16/39 |  |  | 413 |  |  |  | 44,457 |
Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 5.05%, 04/20/41 |  |  | 3,325 |  |  |  | 247,482 |

Security |  | Par (000) |  |  | Value |
Interest Only Collateralized Mortgage Obligations (continued) |
Ginnie Mae (c) (continued) |  |  |  |  |  |  |  |
Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 5.16%, 04/16/41 |  | $ | 4,038 |  |  | $ | 419,792 |
Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 4.74%, 08/16/42 |  |  | 5,964 |  |  |  | 317,224 |
Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 4.60%, 07/20/47 |  |  | 10,212 |  |  |  | 1,386,827 |
|  |  |  |  |  |  | 18,965,677 |
Mortgage-Backed Securities — 70.5% |
Fannie Mae, Series 2020-M21, Class AX, 1.94%, 01/25/58 (c) |  |  | 1,724 |  |  |  | 282,206 |
Fannie Mae Mortgage-Backed Securities (f) |  |  |  |  |  |  |  |
3.50%, 07/14/22 |  |  | 4,841 |  |  |  | 4,675,129 |
4.00%, 07/14/22 |  |  | 41,552 |  |  |  | 41,509,536 |
3.00%, 09/01/60 |  |  | 4,724 |  |  |  | 4,428,351 |
Fannie Mae REMICS, Series 2021-23, Class CI, 3.50%, 07/25/46 |  |  | 21,592 |  |  |  | 3,551,744 |
Freddie Mac Mortgage-Backed Securities, 5.50%, 07/14/22 (f) |  |  | 5,310 |  |  |  | 5,694,996 |
Freddie Mac Structured Pass-Through Certificates |  |  |  |  |  |  |  |
Series 5013, Class JI, 4.00%, 09/25/50 |  |  | 22,834 |  |  |  | 3,465,888 |
Series K094, Class X1, 1.02%, 06/25/29 (c) |  |  | 1,407 |  |  |  | 71,581 |
Series K104, Class X1, 1.25%, 01/25/30 (c) |  |  | 1,355 |  |  |  | 91,419 |
Series K105, Class X1, 1.64%, 01/25/30 (c) |  |  | 1,821 |  |  |  | 166,877 |
Series K107, Class X1, 1.71%, 01/25/30 (c) |  |  | 1,232 |  |  |  | 119,903 |
Series K109, Class X1, 1.70%, 04/25/30 (c) |  |  | 942 |  |  |  | 91,454 |
Series K110, Class X1, 1.81%, 04/25/30 (c) |  |  | 394 |  |  |  | 40,306 |
Series K113, Class X1, 1.49%, 06/25/30 (c) |  |  | 1,600 |  |  |  | 138,953 |
Series K115, Class X1, 1.43%, 06/25/30 (c) |  |  | 1,954 |  |  |  | 165,371 |
Series K120, Class X1, 1.13%, 10/25/30 (c) |  |  | 3,898 |  |  |  | 259,081 |
Series K122, Class X1, 0.97%, 11/25/30 (c) |  |  | 1,673 |  |  |  | 97,401 |
Series T-11, Class A9, 0.13%, 01/25/28 (c) |  |  | 135 |  |  |  | 135,395 |
Ginnie Mae (c) |  |  |  |  |  |  |  |
Series 2013-63, Class IO, 0.78%, 09/16/51 |  |  | 4,995 |  |  |  | 115,339 |
Series 2014-169, Class IO, 0.64%, 10/16/56 |  |  | 14,155 |  |  |  | 363,182 |
Series 2016-113, Class IO, 1.09%, 02/16/58 |  |  | 4,427 |  |  |  | 237,574 |
Ginnie Mae Mortgage-Backed Securities |  |  |  |  |  |  |  |
7.50%, 02/15/23 - 11/15/23 |  |  | 3 |  |  |  | 3,323 |
8.00%, 05/15/26 - 06/15/27 |  |  | 10 |  |  |  | 10,496 |
5.00%, 10/20/39 |  |  | 1,147 |  |  |  | 1,218,991 |
Uniform Mortgage-Backed Securities |  |  |  |  |  |  |  |
2.00%, 07/14/22 (f) |  |  | 38,811 |  |  |  | 33,838,997 |
2.50%, 07/14/22 - 12/01/51 (f)(g) |  |  | 18,335 |  |  |  | 16,563,012 |
3.00%, 07/14/22 (g) |  |  | 40,100 |  |  |  | 37,339,992 |
3.50%, 07/14/22 (g) |  |  | 3,664 |  |  |  | 3,523,451 |
4.00%, 07/14/22 - 10/01/48 (f)(h) |  |  | 17,129 |  |  |  | 17,202,488 |
4.50%, 07/14/22 - 09/01/41 (f)(h) |  |  | 20,503 |  |  |  | 21,079,837 |
5.00%, 07/14/22 - 04/01/48 (f)(g) |  |  | 12,708 |  |  |  | 13,268,209 |
5.50%, 07/14/22 - 06/01/38 (f) |  |  | 3,852 |  |  |  | 4,133,009 |
6.50%, 10/01/38 - 10/01/39 |  |  | 1,333 |  |  |  | 1,450,507 |
Series 1839, Class QA, 4.00%, 07/14/22 (f) |  |  | 3,107 |  |  |  | 3,108,562 |
|  |  |  |  |  |  | 218,442,560 |
Principal Only Collateralized Mortgage Obligations — 0.0% |
Fannie Mae Interest Strip |  |  |  |  |  |  |  |
Series 203, Class 1, 0.00%, 02/25/23 |  |  | — | (d) |  |  | 138 |
Series 228, Class 1, 0.00%, 06/25/23 |  |  | — | (d) |  |  | 113 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets)

Security |  | Par (000) |  |  | Value |
Principal Only Collateralized Mortgage Obligations (continued) |
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 0.00%, 02/25/29 |  | $ | 20 |  |  | $ | 18,859 |
Fannie Mae REMICS |  |  |  |
Series 1993-51, Class E, 0.00%, 02/25/23 |  |  | — | (d) |  |  | 458 |
Series 1993-70, Class A, 0.00%, 05/25/23 |  |  | — | (d) |  |  | 146 |
Series 2002-13, Class PR, 0.01%, 03/25/32 |  |  | 28 |  |  |  | 25,592 |
Series G93-2, Class KB, 0.01%, 01/25/23 |  |  | 1 |  |  |  | 837 |
Freddie Mac REMICS |  |  |  |
Series 1418, Class M, 0.01%, 11/15/22 |  |  | — | (d) |  |  | 276 |
Series 1571, Class G, 0.01%, 08/15/23 |  |  | 5 |  |  |  | 4,468 |
Series 1691, Class B, 0.01%, 03/15/24 |  |  | 26 |  |  |  | 25,406 |
|  |  |  | 76,293 |
Total U.S. Government Sponsored Agency Securities — 144.4% (Cost: $487,753,895) |  |  |  | 447,768,392 |
Total Long-Term Investments — 151.7% (Cost: $511,169,790) |  |  |  | 470,581,088 |
Short-Term Securities |  |  |  |
Borrowed Bond Agreement — 0.3% |  |  |
Credit Suisse AG, 1.43%, open (Purchased on 04/21/22 to be repurchased at $867,840, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $ 866,565 and $821,109, respectively) (i)(j) |  |  | 867 |  |  |  | 866,565 |
|  | Shares |  |  |  |
Money Market Funds — 3.2% |  |  |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33% (k)(l) |  |  | 9,872,958 |  |  |  | 9,872,958 |
Total Short-Term Securities — 3.5% (Cost: $10,739,524) |  |  |  | 10,739,523 |
Total Investments Before Borrowed Bonds and — 155.2% (Cost: $521,909,314) |  |  |  | 481,320,611 |

Security |  | Par (000) |  |  | Value |
Borrowed Bonds |  |  |  |  |  |  |  |
U.S. Governments Obligations — (0.3)% |  |  |  |  |  |
U.S. Treasury Bonds, 2.75%, 11/15/42 (m) |  | $ | (917 | ) |  | $ | (821,109 | )
Total Borrowed Bonds — (0.3)% (Proceeds: $(842,347)) |  |  |  |  |  |  | (821,109 | )
Total Investments, Net of Borrowed Bonds and — 154.9% (Cost: $521,066,967) |  |  |  | 480,499,502 |
Liabilities in Excess of Other Assets — (54.9)% |  |  |  | (170,330,625 | )
Net Assets — 100.0% |  |  |  |  |  | $ | 310,168,877 |

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

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

(d) | Rounds to less than 1,000.

(e) | Zero-coupon bond.

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

(g) | Represents or includes a TBA transaction.

(h) | All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

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

(j) | The amount to be repurchased assumes the maturity will be the day after the period end.

(k) | Affiliate of the Fund.

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

(m) | All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds.

Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/21 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/22 |  |  | Shares Held at 06/30/22 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  | $ | 12,560,167 |  |  | $ | — |  |  | $ | (2,687,209 | ) (a) |  | $ | — |  |  | $ | — |  |  | $ | 9,872,958 |  |  |  | 9,872,958 |  |  | $ | 19,286 |  |  | $ | — |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT)

Reverse Repurchase Agreements

Counterparty |  | Interest Rate |  |  | Trade Date |  |  | Maturity Date |  |  | Face Value |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  | Remaining Contractual Maturity of the Agreements
Deutsche Bank Securities, Inc. |  |  | 1.31 | % |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  | $ | 4,531,396 |  |  | $ | 4,534,364 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 3,238,469 |  |  |  | 3,240,590 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 5,502,926 |  |  |  | 5,506,530 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 2,776,964 |  |  |  | 2,778,783 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 975,953 |  |  |  | 976,592 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 2,549,273 |  |  |  | 2,550,942 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 3,017,268 |  |  |  | 3,019,244 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 4,514,326 |  |  |  | 4,517,283 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 3,789,031 |  |  |  | 3,791,513 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Deutsche Bank Securities, Inc. |  |  | 1.31 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 4,466,661 |  |  |  | 4,469,586 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 5,859,842 |  |  |  | 5,863,651 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 23,430,755 |  |  |  | 23,448,483 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 4,544,967 |  |  |  | 4,547,921 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,724,426 |  |  |  | 6,728,797 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,915,291 |  |  |  | 6,919,786 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 4,311,590 |  |  |  | 4,314,393 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 5,991,837 |  |  |  | 5,995,732 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,877,402 |  |  |  | 6,881,872 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,907,447 |  |  |  | 6,911,937 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,231,054 |  |  |  | 6,235,105 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 10,563,348 |  |  |  | 10,570,215 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,812,769 |  |  |  | 6,817,197 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 130,532,995 |  |  | $ | 130,620,516 |  |  |  |  |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT)

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Notional Amount (000) |  |  | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Treasury Note |  |  | 512 |  |  |  | 09/21/22 |  |  | $ | 60,600 |  |  | $ | (685,153 | )
Short Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
90-Day Euro-Dollar |  |  | 7 |  |  |  | 09/19/22 |  |  |  | 1,694 |  |  |  | 52,578 |
10-Year U.S. Ultra Long Treasury Note |  |  | 173 |  |  |  | 09/21/22 |  |  |  | 21,982 |  |  |  | 215,734 |
U.S. Long Bond |  |  | 174 |  |  |  | 09/21/22 |  |  |  | 24,028 |  |  |  | 197,673 |
5-Year U.S. Treasury Note |  |  | 137 |  |  |  | 09/30/22 |  |  |  | 15,361 |  |  |  | 150,977 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 616,962 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (68,191 | )

Centrally Cleared Interest Rate Swaps

|  |  |  |  |  |  |  |  |  |  |  |  |  |  | Upfront Premium Paid (Received) |  |  | Unrealized Appreciation (Depreciation) |
Paid by the Fund |  | Received by the Fund |  | Effective Date |  | Termination Date |  |  | Notional Amount (000) |  |  |  |
Rate |  | Frequency |  | Rate |  | Frequency |  | Value |
0.05% |  | Quarterly |  | 1-Day FEDL, 1.58% |  | Quarterly |  | N/A |  |  | 10/21/22 |  |  | USD | 1,639 |  |  | $ | 13,663 |  |  | $ | (26 | ) |  | $ | 13,689 |
1-Day SOFR, 0.82% |  | Quarterly |  | 0.05% |  | Quarterly |  | N/A |  |  | 10/21/22 |  |  | USD | 1,639 |  |  |  | (13,247 | ) |  |  | — |  |  |  | (13,247 | )
2.30% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  | N/A |  |  | 08/31/23 |  |  | USD | 14,100 |  |  |  | 58,504 |  |  |  | 65,276 |  |  |  | (6,772 | )
2.35% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  | N/A |  |  | 08/31/23 |  |  | USD | 12,100 |  |  |  | 42,042 |  |  |  | 57,139 |  |  |  | (15,097 | )
1.41% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  | N/A |  |  | 11/30/23 |  |  | USD | 4,900 |  |  |  | 126,123 |  |  |  | 2,066 |  |  |  | 124,057 |
1.70% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  | N/A |  |  | 11/30/23 |  |  | USD | 1,500 |  |  |  | 32,101 |  |  |  | 784 |  |  |  | 31,317 |
0.72% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  | N/A |  |  | 03/13/25 |  |  | USD | 22,270 |  |  |  | 1,352,956 |  |  |  | 34,764 |  |  |  | 1,318,192 |
1-Day SOFR, 0.82% |  | Quarterly |  | 0.17% |  | Quarterly |  | N/A |  |  | 10/21/25 |  |  | USD | 137 |  |  |  | (11,631 | ) |  |  | (23 | ) |  |  | (11,608 | )
0.18% |  | Quarterly |  | 1-Day FEDL, 1.58% |  | Quarterly |  | N/A |  |  | 10/21/25 |  |  | USD | 137 |  |  |  | 11,732 |  |  |  | 19 |  |  |  | 11,713 |
1.11% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  | N/A |  |  | 02/28/26 |  |  | USD | 4,740 |  |  |  | 309,240 |  |  |  | — |  |  |  | 309,240 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 1,921,483 |  |  | $ | 159,999 |  |  | $ | 1,761,484 |

OTC Interest Rate Swaps

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Upfront Premium Paid (Received) |  |  | Unrealized Appreciation (Depreciation) |  |  |
|  | Paid by the Fund |  |  |  | Received by the Fund |  |  |  | Effective Date |  |  | Termination Date |  |  | Notional Amount (000) |  |  |  |
|  | Rate |  | Frequency |  |  |  | Rate |  | Frequency |  | Counterparty |  | Value |
|  | 3-Month LIBOR, 2.29% |  | Quarterly |  |  |  | 5.41% |  | Semi-Annual |  | JPMorgan Chase Bank N.A. |  |  | N/A |  |  |  | 08/15/22 |  |  | USD | 9,565 |  |  | $ | 225,194 |  |  | $ | — |  |  | $ | 225,194 |  |  |

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

Description |  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |
Centrally Cleared Swaps (a) |  | $ | 160,048 |  |  | $ | (49 | ) |  | $ | 1,808,208 |  |  | $ | (46,724 | )
OTC Swaps |  |  | — |  |  |  | — |  |  |  | 225,194 |  |  |  | — |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT)

Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on futures contracts (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 616,962 |  |  | $ | — |  |  | $ | 616,962 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on centrally cleared swaps (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,808,208 |  |  |  | — |  |  |  | 1,808,208 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 225,194 |  |  |  | — |  |  |  | 225,194 |
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,650,364 |  |  | $ | — |  |  | $ | 2,650,364 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on futures contracts (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 685,153 |  |  | $ | — |  |  | $ | 685,153 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 46,724 |  |  |  | — |  |  |  | 46,724 |
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 731,877 |  |  | $ | — |  |  | $ | 731,877 |

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

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,740,023 |  |  | $ | — |  |  | $ | 1,740,023 |
Swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (135,524 | ) |  |  | — |  |  |  | (135,524 | )
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,604,499 |  |  | $ | — |  |  | $ | 1,604,499 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (235,506 | ) |  | $ | — |  |  | $ | (235,506 | )
Swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,329,770 |  |  |  | — |  |  |  | 2,329,770 |
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,094,264 |  |  | $ | — |  |  | $ | 2,094,264 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts: |  |  |  |
Average notional value of contracts — long |  | $ | 67,554,625 |
Average notional value of contracts — short |  | $ | 66,557,103 |
Interest rate swaps: |  |  |  |
Average notional value — pays fixed rate |  | $ | 61,385,227 |
Average notional value — receives fixed rate |  | $ | 11,340,227 |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Income Trust, Inc. (BKT)

Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Futures contracts |  | $ | 415,728 |  |  | $ | 470,321 |
Swaps — centrally cleared |  |  | — |  |  |  | 140,608 |
Swaps — OTC (a) |  |  | 225,194 |  |  |  | — |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 640,922 |  |  |  | 610,929 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (415,728 | ) |  |  | (610,929 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 225,194 |  |  | $ | — |

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

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

Counterparty |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset |  |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Net Amount of Derivative Assets ( | a)
JPMorgan Chase Bank N.A. |  | $ | 225,194 |  |  | $ | — |  |  | $ | — |  |  | $ | (220,000 | ) |  | $ | 5,194 |

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

Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  | $ | — |  |  | $ | — |  |  | $ | 9,657 |  |  | $ | 9,657 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 22,803,030 |  |  |  | 9 |  |  |  | 22,803,039 |
U.S. Government Sponsored Agency Securities |  |  | — |  |  |  | 447,763,219 |  |  |  | 5,173 |  |  |  | 447,768,392 |
Short-Term Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowed Bond Agreement |  |  | — |  |  |  | 866,565 |  |  |  | — |  |  |  | 866,565 |
Money Market Funds |  |  | 9,872,958 |  |  |  | — |  |  |  | — |  |  |  | 9,872,958 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowed Bonds |  |  | — |  |  |  | (821,109 | ) |  |  | — |  |  |  | (821,109 | )
|  | $ | 9,872,958 |  |  | $ | 470,611,705 |  |  | $ | 14,839 |  |  | $ | 480,499,502 |
Derivative Financial Instruments (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  | $ | 616,962 |  |  | $ | 2,033,402 |  |  | $ | — |  |  | $ | 2,650,364 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | (685,153 | ) |  |  | (46,724 | ) |  |  | — |  |  |  | (731,877 | )
|  | $ | (68,191 | ) |  | $ | 1,986,678 |  |  | $ | — |  |  | $ | 1,918,487 |

| (a) | Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $130,620,516 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.

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

Schedule of Investments (unaudited) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities |
AIMCO CLO, Series 2017-AA, Class CR, (3 mo. LIBOR US + 2.10%), 3.16%, 04/20/34 (a)(b) |  |  | USD |  |  |  | 1,000 |  |  | $ | 931,352 |
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 4.10%, 10/21/28 (a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 945,179 |
ALM Ltd., Series 2020-1A, Class D, (3 mo. LIBOR US + 6.00%), 7.04%, 10/15/29 (a)(b) |  |  |  |  |  |  | 285 |  |  |  | 250,868 |
Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 6.74%, 01/28/31 (a)(b) |  |  |  |  |  |  | 850 |  |  |  | 756,075 |
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 3.84%, 01/28/31 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 224,681 |
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 4.74%, 01/28/31 (a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 943,565 |
Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 1.92%, 06/25/36 (a) |  |  |  |  |  |  | 4,398 |  |  |  | 3,033,082 |
Bain Capital Credit CLO Ltd. (a)(b) |  |  |  |  |  |  |  |  |  |  |  |
Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.30%), 4.34%, 07/19/34 |  |  |  |  |  |  | 300 |  |  |  | 280,809 |
Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 4.28%, 07/24/34 |  |  |  |  |  |  | 250 |  |  |  | 230,740 |
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3 mo. LIBOR US + 2.05%), 3.09%, 07/15/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 232,940 |
CarVal CLO I Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.77%), 6.81%, 07/16/31 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 443,068 |
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 2.00%), 3.06%, 04/20/32 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 237,518 |
CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 7.50%, 07/20/32 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 443,027 |
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3 mo. LIBOR US + 1.65%), 2.69%, 07/17/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 233,873 |
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3 mo. LIBOR US + 1.60%), 2.64%, 07/15/33 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 476,181 |
CIFC Funding Ltd., Series 2013-4A, Class DRR, (3 mo. LIBOR US + 2.80%), 4.02%, 04/27/31 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 234,827 |
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36 |  |  |  |  |  |  | 352 |  |  |  | 261,243 |
Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 4.01%, 10/20/30 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 232,649 |
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30 (b) |  |  |  |  |  |  | 259 |  |  |  | 250,723 |
CWABS Asset-Backed Certificates Trust, Series 2006-26, Class 1A, (1 mo. LIBOR US + 0.14%), 1.76%, 06/25/37 (a) |  |  |  |  |  |  | 568 |  |  |  | 519,832 |
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 3.69%, 04/18/31 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 228,587 |

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |
Elevation CLO Ltd., Series 2021-12A, Class E, (3 mo. LIBOR US + 7.27%), 8.33%, 04/20/32 (a)(b) |  |  | USD |  |  |  | 250 |  |  | $ | 222,811 |
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3 mo. LIBOR US + 6.80%), 7.86%, 04/20/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 235,813 |
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3 mo. LIBOR US + 1.70%), 2.74%, 04/15/33 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 475,563 |
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 3.06%, 10/20/34 (a)(b) |  |  |  |  |  |  | 436 |  |  |  | 406,058 |
Generate CLO 3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 4.66%, 10/20/29 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 241,684 |
Generate CLO 4 Ltd., Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 7.81%, 04/20/32 (a)(b) |  |  |  |  |  |  | 1,000 |  |  |  | 919,446 |
Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 4.64%, 01/22/35 (a)(b) |  |  |  |  |  |  | 750 |  |  |  | 698,444 |
Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3 mo. LIBOR US + 6.56%), 7.62%, 07/20/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 232,038 |
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3 mo. LIBOR US + 6.45%), 7.49%, 04/15/33 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 231,578 |
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3 mo. LIBOR US + 1.80%), 2.84%, 07/15/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 242,503 |
Madison Park Funding XXIX Ltd., Series 2018-29A, Class E, (3 mo. LIBOR US + 5.70%), 6.74%, 10/18/30 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 219,566 |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3 mo. LIBOR US + 1.65%), 2.69%, 07/17/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 236,216 |
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3 mo. LIBOR US + 6.50%), 7.54%, 07/15/34 (a)(b) |  |  |  |  |  |  | 790 |  |  |  | 697,325 |
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3 mo. LIBOR US + 6.10%), 7.14%, 01/20/32 (a)(b) |  |  |  |  |  |  | 425 |  |  |  | 391,173 |
Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 4.09%, 07/15/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 233,054 |
Octagon Investment Partners 31 LLC, Series 2017- 1A, Class E, (3 mo. LIBOR US + 6.30%), 7.36%, 07/20/30 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 441,503 |
Octagon Investment Partners XVII Ltd., Series 2013- 1A, Class BR2, (3 mo. LIBOR US + 1.40%), 2.58%, 01/25/31 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 237,065 |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3 mo. LIBOR US + 1.70%), 2.80%, 10/25/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 236,226 |
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 4.19%, 10/17/29 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 235,126 |
OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 6.60%, 01/20/31 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 215,381 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |
Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3 mo. LIBOR US + 3.10%), 4.16%, 01/20/35 (a)(b) |  |  | USD |  |  |  | 250 |  |  | $ | 230,061 |
Regional Management Issuance Trust, 3.88%, 10/17/33 (c) |  |  |  |  |  |  | 980 |  |  |  | 936,089 |
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 3.89%, 10/15/29 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 471,947 |
Sterling Coofs Trust (c) |  |  |  |  |  |  |  |  |  |  |  |
Series 2004-1, Class A, 2.00%, 04/15/29 |  |  |  |  |  |  | 748 |  |  |  | 7,482 |
Series 2004-2, Class Note, 2.08%, 03/30/30 (b) |  |  |  |  |  |  | 1,162 |  |  |  | 11,619 |
TICP CLO I-2 Ltd., Series 2018-IA, Class C, (3 mo. LIBOR US + 3.04%), 4.25%, 04/26/28 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 487,700 |
TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 8.09%, 04/15/33 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 223,193 |
Trimaran Cavu Ltd., Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 4.43%, 10/25/34 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 467,707 |
Unique Pub Finance Co. PLC (d) |  |  |  |  |  |  |  |  |  |  |  |
Series A4, 5.66%, 06/30/27 |  |  | GBP |  |  |  | 38 |  |  |  | 48,974 |
Series N, 6.46%, 03/30/32 |  |  |  |  |  |  | 50 |  |  |  | 69,698 |
Voya CLO 2019-3 Ltd., Series 2019-3A, Class BR, (3 mo. LIBOR US + 1.65%), 2.69%, 10/17/32 (a)(b) |  |  | USD |  |  |  | 500 |  |  |  | 475,173 |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 4.53%, 10/24/34 (a)(b) |  |  |  |  |  |  | 500 |  |  |  | 470,916 |
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 4.39%, 10/15/34 (a)(b) |  |  |  |  |  |  | 250 |  |  |  | 235,505 |
Total Asset-Backed Securities — 4.7% (Cost: $23,901,272) |  |  |  | 22,575,456 |
|  |  |  |  | Shares |  |  |  |
Common Stocks |
Construction & Engineering — 0.0% |
McDermott International Ltd. (e) |  |  |  |  |  |  | 47,837 |  |  |  | 27,267 |
Diversified Financial Services — 0.0% |
Kcad Holdings I Ltd. (c) |  |  |  |  |  |  | 546,753,936 |  |  |  | 5,467 |
Diversified Telecommunication Services — 0.0% |
Liberty Global PLC, Class A (e) |  |  |  |  |  |  | 193 |  |  |  | 4,063 |
Household Durables — 0.0% |  |  |  |  |  |  |  |  |
Berkline Benchcraft Equity LLC (c) |  |  |  |  |  |  | 3,155 |  |  |  | — |
Metals & Mining — 0.0% |
Ameriforge Group, Inc. |  |  |  |  |  |  | 801 |  |  |  | 801 |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $100,687) (c)(f) |  |  |  |  |  |  | 5,738 |  |  |  | 476 |
|  |  |  |  |  |  |  |  |  |  | 1,277 |
Software — 0.0% |
Avaya Holdings Corp. (e) |  |  |  |  |  |  | 19 |  |  |  | 43 |

Security |  |  |  |  | Shares |  |  | Value |
Specialty Retail — 0.1% |
NMG Parent LLC |  |  |  |  |  |  | 1,330 |  |  | $ | 231,420 |
Total Common Stocks — 0.1% (Cost: $6,928,866) |  |  |  | 269,537 |
|  |  |  |  | Par (000) |  |  |  |
Corporate Bonds |
Advertising Agencies — 0.0% |
Interpublic Group of Cos., Inc., 5.40%, 10/01/48 (g) |  |  | USD |  |  |  | 200 |  |  |  | 194,885 |
Aerospace & Defense — 2.5% |
Amsted Industries, Inc., 5.63%, 07/01/27 (b) |  |  |  |  |  |  | 156 |  |  |  | 146,640 |
Boeing Co., 3.20%, 03/01/29 (g) |  |  |  |  |  |  | 500 |  |  |  | 432,642 |
Bombardier, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 03/15/25 |  |  |  |  |  |  | 39 |  |  |  | 35,246 |
7.13%, 06/15/26 (g) |  |  |  |  |  |  | 715 |  |  |  | 589,503 |
7.88%, 04/15/27 (g) |  |  |  |  |  |  | 605 |  |  |  | 503,608 |
6.00%, 02/15/28 (g) |  |  |  |  |  |  | 539 |  |  |  | 403,927 |
7.45%, 05/01/34 |  |  |  |  |  |  | 100 |  |  |  | 74,995 |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26 (b)(g) |  |  |  |  |  |  | 423 |  |  |  | 336,911 |
Howmet Aerospace, Inc., 5.13%, 10/01/24 |  |  |  |  |  |  | 5 |  |  |  | 4,956 |
Northrop Grumman Corp., 3.85%, 04/15/45 (g) |  |  |  |  |  |  | 600 |  |  |  | 505,083 |
Rolls-Royce PLC, 5.75%, 10/15/27 (b)(g) |  |  |  |  |  |  | 1,018 |  |  |  | 917,523 |
Spirit AeroSystems, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 01/15/25 |  |  |  |  |  |  | 181 |  |  |  | 167,425 |
7.50%, 04/15/25 |  |  |  |  |  |  | 32 |  |  |  | 29,720 |
TransDigm, Inc. |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 12/15/25 (b)(g) |  |  |  |  |  |  | 815 |  |  |  | 824,161 |
6.25%, 03/15/26 (b)(g) |  |  |  |  |  |  | 6,056 |  |  |  | 5,836,470 |
6.38%, 06/15/26 |  |  |  |  |  |  | 46 |  |  |  | 43,010 |
7.50%, 03/15/27 |  |  |  |  |  |  | 105 |  |  |  | 99,058 |
4.63%, 01/15/29 (g) |  |  |  |  |  |  | 457 |  |  |  | 367,894 |
4.88%, 05/01/29 |  |  |  |  |  |  | 300 |  |  |  | 244,212 |
Triumph Group, Inc., 8.88%, 06/01/24 (b)(g) |  |  |  |  |  |  | 685 |  |  |  | 690,049 |
|  |  |  |  |  |  |  |  |  |  | 12,253,033 |
Airlines — 1.9% |  |  |  |  |  |  |  |  |
Air Canada, 3.88%, 08/15/26 (b)(g) |  |  |  |  |  |  | 384 |  |  |  | 324,822 |
Air France-KLM, 3.88%, 07/01/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 84,884 |
American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 07/15/24 (g) |  |  | USD |  |  |  | 664 |  |  |  | 651,516 |
American Airlines, Inc., 11.75%, 07/15/25 (b)(g) |  |  |  |  |  |  | 596 |  |  |  | 616,800 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 04/20/26 |  |  |  |  |  |  | 855 |  |  |  | 785,203 |
5.75%, 04/20/29 |  |  |  |  |  |  | 1,131 |  |  |  | 965,435 |
Avianca Midco 2 Ltd., 9.00%, 12/01/28 (b) |  |  |  |  |  |  | 151 |  |  |  | 130,782 |
Azul Investments LLP, 5.88%, 10/26/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 151,225 |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28 (b) |  |  |  |  |  |  | 77 |  |  |  | 72,553 |
Deutsche Lufthansa AG, 3.50%, 07/14/29 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 78,640 |
Finnair OYJ, 4.25%, 05/19/25 (d) |  |  |  |  |  |  | 100 |  |  |  | 86,165 |
Gol Finance SA, 7.00%, 01/31/25 (b) |  |  | USD |  |  |  | 200 |  |  |  | 124,288 |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (b) |  |  |  |  |  |  | 249 |  |  |  | 223,154 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Airlines (continued) |
International Consolidated Airlines Group SA, 2.75%, 03/25/25 (d) |  |  | EUR |  |  |  | 100 |  |  | $ | 88,618 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27 (b)(g) |  |  | USD |  |  |  | 758 |  |  |  | 744,962 |
United Airlines Pass-Through Trust (g) |  |  |  |  |  |  |  |  |  |  |  |
Series 2015-1, Class A, 3.70%, 06/01/24 |  |  |  |  |  |  | 2,430 |  |  |  | 2,418,544 |
Series 2020-1, Class A, 5.88%, 04/15/29 |  |  |  |  |  |  | 595 |  |  |  | 584,905 |
Series 2020-1, Class B, 4.88%, 07/15/27 |  |  |  |  |  |  | 41 |  |  |  | 39,409 |
United Airlines, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 04/15/26 |  |  |  |  |  |  | 459 |  |  |  | 404,457 |
4.63%, 04/15/29 |  |  |  |  |  |  | 619 |  |  |  | 525,079 |
|  |  |  |  |  |  |  |  |  |  | 9,101,441 |
Auto Components — 1.2% |  |  |  |  |  |  |  |  |
Aptiv PLC, 4.40%, 10/01/46 (g) |  |  |  |  |  |  | 240 |  |  |  | 190,633 |
Clarios Global LP, 6.75%, 05/15/25 (b) |  |  |  |  |  |  | 486 |  |  |  | 481,359 |
Clarios Global LP/Clarios U.S. Finance Co. |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 05/15/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 91,242 |
6.25%, 05/15/26 (b)(g) |  |  | USD |  |  |  | 1,409 |  |  |  | 1,356,162 |
8.50%, 05/15/27 (b)(g) |  |  |  |  |  |  | 2,669 |  |  |  | 2,579,522 |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28 (b) |  |  |  |  |  |  | 334 |  |  |  | 288,543 |
Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29 (b) |  |  |  |  |  |  | 111 |  |  |  | 81,973 |
Faurecia SE (d) |  |  |  |  |  |  |  |  |  |  |  |
2.75%, 02/15/27 |  |  | EUR |  |  |  | 100 |  |  |  | 81,478 |
3.75%, 06/15/28 |  |  |  |  |  |  | 100 |  |  |  | 80,809 |
Goodyear Tire & Rubber Co. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 07/15/29 |  |  | USD |  |  |  | 147 |  |  |  | 121,739 |
5.63%, 04/30/33 |  |  |  |  |  |  | 247 |  |  |  | 197,817 |
ZF Finance GmbH (d) |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 09/21/25 |  |  | EUR |  |  |  | 100 |  |  |  | 91,847 |
2.00%, 05/06/27 |  |  |  |  |  |  | 100 |  |  |  | 80,650 |
|  |  |  |  |  |  |  |  |  |  | 5,723,774 |
Automobiles — 1.9% |  |  |  |  |  |  |  |  |
Allison Transmission, Inc., 5.88%, 06/01/29 (b)(g) |  |  | USD |  |  |  | 368 |  |  |  | 342,240 |
Asbury Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 03/01/28 |  |  |  |  |  |  | 129 |  |  |  | 111,908 |
4.75%, 03/01/30 |  |  |  |  |  |  | 124 |  |  |  | 101,959 |
5.00%, 02/15/32 (b) |  |  |  |  |  |  | 157 |  |  |  | 128,348 |
Carvana Co. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 04/15/27 |  |  |  |  |  |  | 290 |  |  |  | 187,148 |
4.88%, 09/01/29 |  |  |  |  |  |  | 224 |  |  |  | 127,368 |
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 95,558 |
Ford Motor Co. |  |  |  |  |  |  |  |  |  |  |  |
0.00%, 03/15/26 (h)(i) |  |  | USD |  |  |  | 221 |  |  |  | 201,552 |
4.35%, 12/08/26 |  |  |  |  |  |  | 11 |  |  |  | 10,195 |
3.25%, 02/12/32 (g) |  |  |  |  |  |  | 623 |  |  |  | 465,942 |
5.29%, 12/08/46 |  |  |  |  |  |  | 48 |  |  |  | 36,811 |
Ford Motor Credit Co. LLC |  |  |  |  |  |  |  |  |  |  |  |
2.98%, 08/03/22 (g) |  |  |  |  |  |  | 449 |  |  |  | 449,000 |
3.35%, 11/01/22 (g) |  |  |  |  |  |  | 215 |  |  |  | 213,439 |
3.81%, 01/09/24 (g) |  |  |  |  |  |  | 629 |  |  |  | 610,254 |
4.69%, 06/09/25 |  |  |  |  |  |  | 200 |  |  |  | 189,002 |
5.13%, 06/16/25 (g) |  |  |  |  |  |  | 490 |  |  |  | 467,911 |
4.13%, 08/04/25 (g) |  |  |  |  |  |  | 411 |  |  |  | 389,293 |
3.38%, 11/13/25 (g) |  |  |  |  |  |  | 200 |  |  |  | 180,094 |
4.39%, 01/08/26 (g) |  |  |  |  |  |  | 400 |  |  |  | 368,424 |
2.70%, 08/10/26 |  |  |  |  |  |  | 295 |  |  |  | 251,384 |
4.95%, 05/28/27 |  |  |  |  |  |  | 200 |  |  |  | 185,750 |
3.82%, 11/02/27 (g) |  |  |  |  |  |  | 400 |  |  |  | 340,000 |
2.90%, 02/16/28 (g) |  |  |  |  |  |  | 295 |  |  |  | 237,699 |

Security |  |  |  |  | Par (000) |  |  | Value |
Automobiles (continued) |
Ford Motor Credit Co. LLC (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.11%, 05/03/29 (g) |  |  | USD |  |  |  | 526 |  |  | $ | 471,545 |
4.00%, 11/13/30 |  |  |  |  |  |  | 200 |  |  |  | 162,051 |
3.63%, 06/17/31 (g) |  |  |  |  |  |  | 400 |  |  |  | 310,000 |
General Motors Financial Co., Inc., 2.70%, 08/20/27 (g) |  |  |  |  |  |  | 1,500 |  |  |  | 1,319,845 |
Group 1 Automotive, Inc., 4.00%, 08/15/28 (b) |  |  |  |  |  |  | 45 |  |  |  | 37,610 |
Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 74,810 |
Ken Garff Automotive LLC, 4.88%, 09/15/28 (b) |  |  | USD |  |  |  | 122 |  |  |  | 99,466 |
LCM Investments Holdings II LLC, 4.88%, 05/01/29 (b) |  |  |  |  |  |  | 292 |  |  |  | 222,241 |
Lithia Motors, Inc., 3.88%, 06/01/29 (b) |  |  |  |  |  |  | 131 |  |  |  | 111,269 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29 (b) |  |  |  |  |  |  | 178 |  |  |  | 121,930 |
Penske Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 09/01/25 |  |  |  |  |  |  | 214 |  |  |  | 200,625 |
3.75%, 06/15/29 (b) |  |  |  |  |  |  | 69 |  |  |  | 57,454 |
Renault SA, 2.38%, 05/25/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 89,690 |
Sonic Automotive, Inc., 4.63%, 11/15/29 (b) |  |  | USD |  |  |  | 59 |  |  |  | 45,714 |
TML Holdings Pte. Ltd., 4.35%, 06/09/26 (d) |  |  |  |  |  |  | 200 |  |  |  | 174,787 |
Wabash National Corp., 4.50%, 10/15/28 (b) |  |  |  |  |  |  | 220 |  |  |  | 168,300 |
|  |  |  |  |  |  |  |  |  |  | 9,358,616 |
Banks — 1.3% |  |  |  |  |  |  |  |  |
Banco BPM SpA, (5 year EUR Swap + 3.17%), 2.88%, 06/29/31 (a)(d) |  |  | EUR |  |  |  | 100 |  |  |  | 88,814 |
Banco Espirito Santo SA (e)(j) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/22 |  |  |  |  |  |  | 100 |  |  |  | 15,195 |
4.00%, 01/21/22 (c) |  |  |  |  |  |  | 100 |  |  |  | 15,195 |
Bangkok Bank PCL, (5 year CMT + 4.73%), 5.00% |  |  | USD |  |  |  | 201 |  |  |  | 183,011 |
Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80% (a)(d)(k) |  |  |  |  |  |  | 200 |  |  |  | 195,750 |
Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70% (a)(d)(k) |  |  |  |  |  |  | 250 |  |  |  | 248,250 |
Grupo Aval Ltd., 4.38%, 02/04/30 (b) |  |  |  |  |  |  | 200 |  |  |  | 155,788 |
Intesa Sanpaolo SpA, 5.02%, 06/26/24 (b)(g) |  |  |  |  |  |  | 2,442 |  |  |  | 2,329,992 |
Krung Thai Bank PCL, (5 year CMT + 3.53%), 4.40% (a)(d)(k) |  |  |  |  |  |  | 202 |  |  |  | 174,730 |
NBK Tier 1 Ltd., 3.63% (a)(b)(k) |  |  |  |  |  |  | 279 |  |  |  | 250,280 |
Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24 (a)(b)(g) |  |  |  |  |  |  | 1,500 |  |  |  | 1,495,369 |
SVB Financial Group, Series D, (5 year CMT + 3.07%), 4.25% (a)(g)(k) |  |  |  |  |  |  | 1,000 |  |  |  | 754,531 |
Wells Fargo & Co., Series BB, (5 year CMT + 3.45%), 3.90% (a)(g)(k) |  |  |  |  |  |  | 365 |  |  |  | 314,356 |
|  |  |  |  |  |  |  |  |  |  | 6,221,261 |
Beverages — 1.5% |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 (g) |  |  |  |  |  |  | 800 |  |  |  | 751,912 |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27 (b)(g)(l) |  |  |  |  |  |  | 633 |  |  |  | 469,893 |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29 (b)(g) |  |  |  |  |  |  | 1,958 |  |  |  | 1,571,295 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 08/15/26 |  |  |  |  |  |  | 276 |  |  |  | 233,830 |
4.75%, 07/15/27 |  |  | GBP |  |  |  | 100 |  |  |  | 87,320 |
5.25%, 08/15/27 |  |  | USD |  |  |  | 252 |  |  |  | 179,691 |
Ball Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.88%, 08/15/30 |  |  |  |  |  |  | 36 |  |  |  | 28,977 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Beverages (continued) |
Ball Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
3.13%, 09/15/31 (g) |  |  | USD |  |  |  | 377 |  |  | $ | 304,103 |
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25 (b) |  |  |  |  |  |  | 211 |  |  |  | 188,450 |
Crown Cork & Seal Co., Inc., 7.38%, 12/15/26 |  |  |  |  |  |  | 34 |  |  |  | 34,731 |
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24 (b)(g) |  |  |  |  |  |  | 794 |  |  |  | 758,270 |
OI European Group BV, 2.88%, 02/15/25 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 94,901 |
Silgan Holdings, Inc., 4.13%, 02/01/28 |  |  | USD |  |  |  | 84 |  |  |  | 75,325 |
Triton Water Holdings, Inc., 6.25%, 04/01/29 (b) |  |  |  |  |  |  | 173 |  |  |  | 122,830 |
Trivium Packaging Finance BV (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 08/15/26 |  |  |  |  |  |  | 1,004 |  |  |  | 948,489 |
8.50%, 08/15/27 |  |  |  |  |  |  | 1,367 |  |  |  | 1,281,704 |
|  |  |  |  |  |  |  |  |  |  | 7,131,721 |
Biotechnology — 0.0% |
Cidron Aida Finco SARL, 5.00%, 04/01/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 87,049 |
Building Materials (b) — 0.5% |  |  |  |  |  |  |  |  |
Cornerstone Building Brands, Inc., 6.13%, 01/15/29 |  |  | USD |  |  |  | 178 |  |  |  | 114,355 |
CP Atlas Buyer, Inc., 7.00%, 12/01/28 |  |  |  |  |  |  | 75 |  |  |  | 54,163 |
James Hardie International Finance DAC, 5.00%, 01/15/28 |  |  |  |  |  |  | 200 |  |  |  | 178,000 |
Jeld-Wen, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 05/15/25 |  |  |  |  |  |  | 146 |  |  |  | 140,160 |
4.63%, 12/15/25 |  |  |  |  |  |  | 17 |  |  |  | 14,450 |
Masonite International Corp. |  |  |  |  |  |  |  |  |  |  |  |
Class C, 5.38%, 02/01/28 |  |  |  |  |  |  | 101 |  |  |  | 91,405 |
Class C, 3.50%, 02/15/30 |  |  |  |  |  |  | 214 |  |  |  | 170,338 |
New Enterprise Stone & Lime Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 07/15/28 |  |  |  |  |  |  | 81 |  |  |  | 66,585 |
9.75%, 07/15/28 |  |  |  |  |  |  | 38 |  |  |  | 32,490 |
SRM Escrow Issuer LLC, 6.00%, 11/01/28 (g) |  |  |  |  |  |  | 503 |  |  |  | 425,151 |
Standard Industries, Inc. (g) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 02/15/27 |  |  |  |  |  |  | 174 |  |  |  | 155,305 |
4.75%, 01/15/28 |  |  |  |  |  |  | 46 |  |  |  | 39,330 |
4.38%, 07/15/30 |  |  |  |  |  |  | 683 |  |  |  | 538,716 |
3.38%, 01/15/31 |  |  |  |  |  |  | 283 |  |  |  | 208,746 |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29 |  |  |  |  |  |  | 235 |  |  |  | 205,037 |
|  |  |  |  |  |  |  |  |  |  | 2,434,231 |
Building Products (b) — 0.7% |
Advanced Drainage Systems, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 09/30/27 |  |  |  |  |  |  | 202 |  |  |  | 186,248 |
6.38%, 06/15/30 (g) |  |  |  |  |  |  | 423 |  |  |  | 413,089 |
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 |  |  |  |  |  |  | 100 |  |  |  | 81,322 |
Foundation Building Materials, Inc., 6.00%, 03/01/29 (g) |  |  |  |  |  |  | 174 |  |  |  | 127,455 |
GYP Holdings III Corp., 4.63%, 05/01/29 |  |  |  |  |  |  | 237 |  |  |  | 184,796 |
LBM Acquisition LLC, 6.25%, 01/15/29 |  |  |  |  |  |  | 219 |  |  |  | 140,995 |
Patrick Industries, Inc., 4.75%, 05/01/29 |  |  |  |  |  |  | 64 |  |  |  | 47,631 |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |  |  |  |  |  |  | 258 |  |  |  | 209,758 |
SRS Distribution, Inc. (g) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 07/01/28 |  |  |  |  |  |  | 516 |  |  |  | 451,500 |
6.13%, 07/01/29 |  |  |  |  |  |  | 392 |  |  |  | 309,278 |
6.00%, 12/01/29 |  |  |  |  |  |  | 516 |  |  |  | 405,179 |

Security |  |  |  |  | Par (000) |  |  | Value |
Building Products (continued) |  |  |  |  |  |  |  |  |
White Cap Buyer LLC, 6.88%, 10/15/28 (g) |  |  | USD |  |  |  | 955 |  |  | $ | 764,000 |
White Cap Parent LLC, (8.25% PIK), 8.25%, 03/15/26 (l) |  |  |  |  |  |  | 210 |  |  |  | 174,825 |
|  |  |  |  |  |  |  |  |  |  | 3,496,076 |
Capital Markets — 1.1% |  |  |  |  |  |  |  |  |
Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00% (a)(g)(k) |  |  |  |  |  |  | 2,835 |  |  |  | 2,182,241 |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29 (b) |  |  |  |  |  |  | 214 |  |  |  | 176,550 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 05/15/26 (g) |  |  |  |  |  |  | 366 |  |  |  | 342,635 |
5.25%, 05/15/27 (g) |  |  |  |  |  |  | 606 |  |  |  | 536,819 |
4.38%, 02/01/29 |  |  |  |  |  |  | 295 |  |  |  | 238,407 |
Kane Bidco Ltd., 6.50%, 02/15/27 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 106,295 |
NFP Corp. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 08/15/28 |  |  | USD |  |  |  | 522 |  |  |  | 447,077 |
6.88%, 08/15/28 |  |  |  |  |  |  | 1,373 |  |  |  | 1,132,780 |
|  |  |  |  |  |  |  |  |  |  | 5,162,804 |
Chemicals — 1.8% |  |  |  |  |  |  |  |  |
Alpek SAB de CV, 3.25%, 02/25/31 (b) |  |  |  |  |  |  | 200 |  |  |  | 160,225 |
Ashland LLC, 3.38%, 09/01/31 (b)(g) |  |  |  |  |  |  | 296 |  |  |  | 240,759 |
Axalta Coating Systems LLC, 3.38%, 02/15/29 (b)(g) |  |  | . |  |  |  | 447 |  |  |  | 364,917 |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27 (b) |  |  |  |  |  |  | 170 |  |  |  | 152,762 |
Braskem Idesa SAPI, 6.99%, 02/20/32 (b) |  |  |  |  |  |  | 200 |  |  |  | 155,000 |
Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81 (a)(b) |  |  |  |  |  |  | 278 |  |  |  | 278,313 |
Chemours Co., 4.00%, 05/15/26 |  |  | EUR |  |  |  | 100 |  |  |  | 92,744 |
Diamond BC BV, 4.63%, 10/01/29 (b)(g) |  |  | USD |  |  |  | 558 |  |  |  | 446,233 |
Element Solutions, Inc., 3.88%, 09/01/28 (b)(g) |  |  |  |  |  |  | 1,421 |  |  |  | 1,172,510 |
EverArc Escrow SARL, 5.00%, 10/30/29 (b)(g) |  |  |  |  |  |  | 550 |  |  |  | 462,943 |
GCP Applied Technologies, Inc., 5.50%, 04/15/26 (b) |  |  |  | 165 |  |  |  | 164,175 |
HB Fuller Co., 4.25%, 10/15/28 |  |  |  |  |  |  | 110 |  |  |  | 92,297 |
Herens Holdco SARL, 4.75%, 05/15/28 (b)(g) |  |  |  |  |  |  | 612 |  |  |  | 508,450 |
Herens Midco SARL, 5.25%, 05/15/29 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 68,377 |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 (b)(g) |  |  | USD |  |  |  | 368 |  |  |  | 290,720 |
Ingevity Corp., 3.88%, 11/01/28 (b) |  |  |  |  |  |  | 84 |  |  |  | 70,350 |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26 (b)(l) |  |  |  |  |  |  | 230 |  |  |  | 210,367 |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29 (b) |  |  |  |  |  |  | 113 |  |  |  | 95,202 |
Lune Holdings SARL, 5.63%, 11/15/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 84,142 |
Minerals Technologies, Inc., 5.00%, 07/01/28 (b) |  |  | USD |  |  |  | 169 |  |  |  | 147,081 |
Monitchem HoldCo 3 SA, 5.25%, 03/15/25 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 96,018 |
NOVA Chemicals Corp., 4.88%, 06/01/24 (b) |  |  | USD |  |  |  | 67 |  |  |  | 63,683 |
Sasol Financing USA LLC, 5.50%, 03/18/31 |  |  |  |  |  |  | 200 |  |  |  | 152,900 |
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26 (b) |  |  |  |  |  |  | 239 |  |  |  | 191,200 |
Scotts Miracle-Gro Co. |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 04/01/31 |  |  |  |  |  |  | 169 |  |  |  | 126,327 |
4.38%, 02/01/32 |  |  |  |  |  |  | 27 |  |  |  | 20,526 |
WESCO Distribution, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/25 |  |  |  |  |  |  | 676 |  |  |  | 674,533 |
7.25%, 06/15/28 |  |  |  |  |  |  | 616 |  |  |  | 609,224 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |  |
WR Grace Holdings LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/24 |  |  | USD |  |  |  | 216 |  |  | $ | 209,263 |
5.63%, 08/15/29 (g) |  |  |  |  |  |  | 1,371 |  |  |  | 1,009,399 |
|  |  |  |  |  |  |  |  |  |  | 8,410,640 |
Commercial Services & Supplies — 0.8% |
ADT Security Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 06/15/23 |  |  |  |  |  |  | 9 |  |  |  | 8,840 |
4.13%, 08/01/29 (b) |  |  |  |  |  |  | 27 |  |  |  | 21,912 |
4.88%, 07/15/32 (b) |  |  |  |  |  |  | 38 |  |  |  | 30,249 |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26 (b) |  |  |  |  |  |  | 200 |  |  |  | 171,165 |
APX Group, Inc., 5.75%, 07/15/29 (b) |  |  |  |  |  |  | 268 |  |  |  | 207,483 |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29 (b)(g) |  |  |  |  |  |  | 36 |  |  |  | 29,945 |
BCP V Modular Services Finance II PLC, 4.75%, 11/30/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 83,155 |
EC Finance PLC, 3.00%, 10/15/26 (d) |  |  |  |  |  |  | 200 |  |  |  | 182,819 |
Fortress Transportation & Infrastructure Investors LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25 |  |  | USD |  |  |  | 75 |  |  |  | 70,763 |
5.50%, 05/01/28 |  |  |  |  |  |  | 310 |  |  |  | 255,879 |
Herc Holdings, Inc., 5.50%, 07/15/27 (b) |  |  |  |  |  |  | 362 |  |  |  | 330,470 |
Hertz Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 12/01/26 |  |  |  |  |  |  | 126 |  |  |  | 105,346 |
5.00%, 12/01/29 |  |  |  |  |  |  | 101 |  |  |  | 77,770 |
Metis Merger Sub LLC, 6.50%, 05/15/29 (b) |  |  |  |  |  |  | 214 |  |  |  | 170,054 |
NESCO Holdings II, Inc., 5.50%, 04/15/29 (b) |  |  |  |  |  |  | 239 |  |  |  | 200,163 |
PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29 (b) |  |  |  |  |  |  | 11 |  |  |  | 8,718 |
Prime Security Services Borrower LLC/Prime Finance, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 04/15/24 |  |  |  |  |  |  | 141 |  |  |  | 137,828 |
5.75%, 04/15/26 (g) |  |  |  |  |  |  | 421 |  |  |  | 392,582 |
6.25%, 01/15/28 |  |  |  |  |  |  | 188 |  |  |  | 157,280 |
Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25 (b) |  |  |  |  |  |  | 187 |  |  |  | 183,105 |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 (b)(g) |  |  |  |  |  |  | 653 |  |  |  | 560,482 |
United Rentals North America, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 05/15/27 |  |  |  |  |  |  | 170 |  |  |  | 166,713 |
5.25%, 01/15/30 |  |  |  |  |  |  | 161 |  |  |  | 149,328 |
Williams Scotsman International, Inc., 4.63%, 08/15/28 (b) |  |  |  |  |  |  | 243 |  |  |  | 207,157 |
|  |  |  |  |  |  |  |  |  |  | 3,909,206 |
Communications Equipment — 0.5% |
Avaya, Inc., 6.13%, 09/15/28 (b)(g) |  |  |  |  |  |  | 481 |  |  |  | 313,852 |
Ciena Corp., 4.00%, 01/31/30 (b) |  |  |  |  |  |  | 104 |  |  |  | 89,766 |
CommScope Technologies LLC, 6.00%, 06/15/25 (b)(g) |  |  |  |  |  |  | 632 |  |  |  | 546,680 |
CommScope, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 03/01/26 |  |  |  |  |  |  | 176 |  |  |  | 162,101 |
8.25%, 03/01/27 |  |  |  |  |  |  | 86 |  |  |  | 67,983 |
7.13%, 07/01/28 (g) |  |  |  |  |  |  | 138 |  |  |  | 104,891 |
4.75%, 09/01/29 (g) |  |  |  |  |  |  | 234 |  |  |  | 188,767 |
Nokia OYJ, 4.38%, 06/12/27 |  |  |  |  |  |  | 149 |  |  |  | 140,760 |
Viasat, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 09/15/25 |  |  |  |  |  |  | 270 |  |  |  | 218,385 |
5.63%, 04/15/27 (g) |  |  |  |  |  |  | 67 |  |  |  | 57,932 |

Security |  |  |  |  | Par (000) |  |  | Value |
Communications Equipment (continued) |  |  |  |  |  |  |  |  |
Viasat, Inc. (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 07/15/28 (g) |  |  | USD |  |  |  | 161 |  |  | $ | 110,900 |
Viavi Solutions, Inc., 3.75%, 10/01/29 (b) |  |  |  |  |  |  | 300 |  |  |  | 251,255 |
|  |  |  |  |  |  |  |  |  |  | 2,253,272 |
Construction Materials (b) — 0.4% |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 01/15/28 (g) |  |  |  |  |  |  | 447 |  |  |  | 382,860 |
3.88%, 11/15/29 |  |  |  |  |  |  | 59 |  |  |  | 47,170 |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 |  |  |  |  |  |  | 109 |  |  |  | 88,735 |
H&E Equipment Services, Inc., 3.88%, 12/15/28 |  |  |  |  |  |  | 58 |  |  |  | 46,907 |
IAA, Inc., 5.50%, 06/15/27 (g) |  |  |  |  |  |  | 372 |  |  |  | 346,496 |
Picasso Finance Sub, Inc., 6.13%, 06/15/25 (g) |  |  |  |  |  |  | 403 |  |  |  | 392,925 |
Thor Industries, Inc., 4.00%, 10/15/29 |  |  |  |  |  |  | 168 |  |  |  | 133,056 |
Winnebago Industries, Inc., 6.25%, 07/15/28 |  |  |  |  |  |  | 114 |  |  |  | 104,395 |
Wolverine Escrow LLC, 9.00%, 11/15/26 |  |  |  |  |  |  | 672 |  |  |  | 391,642 |
|  |  |  |  |  |  |  |  |  |  | 1,934,186 |
Consumer Discretionary — 1.2% |
APi Escrow Corp., 4.75%, 10/15/29 (b) |  |  |  |  |  |  | 100 |  |  |  | 80,750 |
APi Group DE, Inc., 4.13%, 07/15/29 (b) |  |  |  |  |  |  | 132 |  |  |  | 104,834 |
Carnival Corp. |  |  |  |  |  |  |  |  |  |  |  |
10.13%, 02/01/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 103,511 |
10.50%, 02/01/26 (b)(g) |  |  | USD |  |  |  | 669 |  |  |  | 665,969 |
5.75%, 03/01/27 (b)(g) |  |  |  |  |  |  | 953 |  |  |  | 688,333 |
9.88%, 08/01/27 (b)(g) |  |  |  |  |  |  | 381 |  |  |  | 371,475 |
4.00%, 08/01/28 (b)(g) |  |  |  |  |  |  | 1,019 |  |  |  | 835,580 |
6.00%, 05/01/29 (b)(g) |  |  |  |  |  |  | 313 |  |  |  | 219,917 |
CoreLogic, Inc., 4.50%, 05/01/28 (b)(g) |  |  |  |  |  |  | 511 |  |  |  | 393,470 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26 (b) |  |  |  |  |  |  | 91 |  |  |  | 76,258 |
Life Time, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/26 |  |  |  |  |  |  | 258 |  |  |  | 231,289 |
8.00%, 04/15/26 |  |  |  |  |  |  | 215 |  |  |  | 191,619 |
NCL Corp. Ltd., 5.88%, 03/15/26 (b) |  |  |  |  |  |  | 253 |  |  |  | 198,577 |
NCL Finance Ltd., 6.13%, 03/15/28 (b)(g) |  |  |  |  |  |  | 261 |  |  |  | 189,878 |
Nielsen Finance LLC/Nielsen Finance Co. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 10/01/28 (g) |  |  |  |  |  |  | 479 |  |  |  | 444,847 |
5.88%, 10/01/30 |  |  |  |  |  |  | 192 |  |  |  | 176,287 |
Royal Caribbean Cruises Ltd. (b) |  |  |  |  |  |  |  |  |  |  |  |
10.88%, 06/01/23 |  |  |  |  |  |  | 90 |  |  |  | 90,301 |
9.13%, 06/15/23 |  |  |  |  |  |  | 153 |  |  |  | 151,311 |
11.50%, 06/01/25 |  |  |  |  |  |  | 120 |  |  |  | 123,300 |
5.50%, 08/31/26 |  |  |  |  |  |  | 91 |  |  |  | 67,568 |
5.50%, 04/01/28 (g) |  |  |  |  |  |  | 354 |  |  |  | 246,030 |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 (b) |  |  |  |  |  |  | 183 |  |  |  | 144,296 |
|  |  |  |  |  |  |  |  |  |  | 5,795,400 |
Consumer Finance — 1.4% |
American Express Co., (5 year CMT + 2.85%), 3.55% (a)(g)(k) |  |  |  |  |  |  | 735 |  |  |  | 598,003 |
Block, Inc., 3.50%, 06/01/31 (b)(g) |  |  |  |  |  |  | 1,094 |  |  |  | 871,765 |
Equifax, Inc., 2.60%, 12/15/25 |  |  |  |  |  |  | 59 |  |  |  | 55,617 |
HealthEquity, Inc., 4.50%, 10/01/29 (b)(g) |  |  |  |  |  |  | 583 |  |  |  | 510,125 |
MPH Acquisition Holdings LLC, 5.50%, 09/01/28 (b) |  |  |  |  |  |  | 220 |  |  |  | 195,800 |
Navient Corp. |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 09/25/23 |  |  |  |  |  |  | 77 |  |  |  | 76,183 |
6.13%, 03/25/24 |  |  |  |  |  |  | 86 |  |  |  | 81,540 |
5.88%, 10/25/24 |  |  |  |  |  |  | 82 |  |  |  | 75,374 |
5.50%, 03/15/29 |  |  |  |  |  |  | 278 |  |  |  | 214,313 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Consumer Finance (continued) |
OneMain Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 03/15/25 |  |  | USD |  |  |  | 226 |  |  | $ | 214,194 |
7.13%, 03/15/26 |  |  |  |  |  |  | 305 |  |  |  | 281,890 |
3.50%, 01/15/27 |  |  |  |  |  |  | 304 |  |  |  | 243,200 |
6.63%, 01/15/28 |  |  |  |  |  |  | 240 |  |  |  | 214,502 |
5.38%, 11/15/29 |  |  |  |  |  |  | 70 |  |  |  | 56,725 |
4.00%, 09/15/30 |  |  |  |  |  |  | 139 |  |  |  | 103,034 |
Sabre Global, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
9.25%, 04/15/25 |  |  |  |  |  |  | 164 |  |  |  | 158,022 |
7.38%, 09/01/25 |  |  |  |  |  |  | 252 |  |  |  | 233,730 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26 (b) |  |  |  |  |  |  | 348 |  |  |  | 307,977 |
Shift4 Payments, Inc., 0.00%, 12/15/25 (h)(i) |  |  |  |  |  |  | 349 |  |  |  | 279,724 |
SLM Corp., 3.13%, 11/02/26 |  |  |  |  |  |  | 173 |  |  |  | 139,691 |
Verscend Escrow Corp., 9.75%, 08/15/26 (b)(g) |  |  |  |  |  |  | 1,817 |  |  |  | 1,767,032 |
|  |  |  |  |  |  |  |  |  |  | 6,678,441 |
Containers & Packaging — 0.6% |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 06/15/27 |  |  |  |  |  |  | 400 |  |  |  | 395,892 |
3.25%, 09/01/28 |  |  |  |  |  |  | 200 |  |  |  | 170,714 |
Clydesdale Acquisition Holdings, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 04/15/29 (g) |  |  |  |  |  |  | 503 |  |  |  | 472,634 |
8.75%, 04/15/30 |  |  |  |  |  |  | 377 |  |  |  | 325,189 |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |  |  |  |  |  |  | 196 |  |  |  | 180,810 |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 (g) |  |  |  |  |  |  | 424 |  |  |  | 403,487 |
Graham Packaging Co., Inc., 7.13%, 08/15/28 (b) |  |  |  |  |  |  | 60 |  |  |  | 48,150 |
Graphic Packaging International LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 07/15/27 |  |  |  |  |  |  | 89 |  |  |  | 84,033 |
3.50%, 03/15/28 |  |  |  |  |  |  | 17 |  |  |  | 14,620 |
3.50%, 03/01/29 |  |  |  |  |  |  | 61 |  |  |  | 51,221 |
Klabin Austria GmbH, 3.20%, 01/12/31 (b) |  |  |  |  |  |  | 200 |  |  |  | 152,250 |
LABL, Inc., 5.88%, 11/01/28 (b) |  |  |  |  |  |  | 261 |  |  |  | 210,738 |
Sealed Air Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/01/24 |  |  |  |  |  |  | 46 |  |  |  | 45,655 |
4.00%, 12/01/27 |  |  |  |  |  |  | 73 |  |  |  | 65,810 |
Suzano Austria GmbH, 3.13%, 01/15/32 |  |  |  |  |  |  | 71 |  |  |  | 53,339 |
|  |  |  |  |  |  |  |  |  |  | 2,674,542 |
Diversified Consumer Services — 1.4% |
Allied Universal Holdco LLC/Allied Universal Finance Corp. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/26 |  |  |  |  |  |  | 1,998 |  |  |  | 1,833,425 |
9.75%, 07/15/27 |  |  |  |  |  |  | 601 |  |  |  | 508,650 |
6.00%, 06/01/29 |  |  |  |  |  |  | 1,356 |  |  |  | 984,689 |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28 (b)(g) |  |  |  |  |  |  | 1,348 |  |  |  | 1,102,420 |
Clarivate Science Holdings Corp. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 07/01/28 |  |  |  |  |  |  | 603 |  |  |  | 503,811 |
4.88%, 07/01/29 |  |  |  |  |  |  | 434 |  |  |  | 356,314 |
Garda World Security Corp., 4.63%, 02/15/27 (b) |  |  |  |  |  |  | 132 |  |  |  | 113,520 |
Graham Holdings Co., 5.75%, 06/01/26 (b) |  |  |  |  |  |  | 140 |  |  |  | 138,600 |
Rekeep SpA, 7.25%, 02/01/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 90,293 |
Service Corp. International |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 06/01/29 |  |  | USD |  |  |  | 238 |  |  |  | 224,241 |
3.38%, 08/15/30 (g) |  |  |  |  |  |  | 263 |  |  |  | 215,331 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Consumer Services (continued) |
Service Corp. International (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 05/15/31 |  |  | USD |  |  |  | 333 |  |  | $ | 284,299 |
Sotheby’s, 7.38%, 10/15/27 (b)(g) |  |  |  |  |  |  | 451 |  |  |  | 417,975 |
|  |  |  |  |  |  |  |  |  |  | 6,773,568 |
Diversified Financial Services — 2.8% |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28 (b)(g) |  |  |  |  |  |  | 403 |  |  |  | 334,417 |
ASG Finance Designated Activity Co., 7.88%, 12/03/24 (b) |  |  |  |  |  |  | 200 |  |  |  | 187,500 |
Barclays PLC |  |  |  |  |  |  |  |  |  |  |  |
3.65%, 03/16/25 (g) |  |  |  |  |  |  | 3,600 |  |  |  | 3,520,426 |
5.20%, 05/12/26 |  |  |  |  |  |  | 200 |  |  |  | 199,146 |
BNP Paribas S.A., (5 year CMT + 3.34%), 4.63% (a)(b)(g)(k) |  |  |  |  |  |  | 1,500 |  |  |  | 1,106,997 |
Castlelake Aviation Finance DAC, 5.00%, 04/15/27 (b) |  |  |  |  |  |  | 74 |  |  |  | 61,431 |
Central Garden & Pet Co. |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 10/15/30 |  |  |  |  |  |  | 194 |  |  |  | 159,179 |
4.13%, 04/30/31 (b) |  |  |  |  |  |  | 177 |  |  |  | 142,089 |
Citigroup, Inc. (a)(k) |  |  |  |  |  |  |  |  |  |  |  |
(5 year CMT + 3.42%), 3.88% (g) |  |  |  |  |  |  | 2,000 |  |  |  | 1,660,000 |
Series W, (5 year CMT + 3.60%), 4.00% |  |  |  |  |  |  | 155 |  |  |  | 134,075 |
Series Y, (5 year CMT + 3.00%), 4.15% (g) |  |  |  |  |  |  | 490 |  |  |  | 393,225 |
Garfunkelux Holdco 3 SA, 7.75%, 11/01/25 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 108,948 |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24 (b)(l) |  |  | USD |  |  |  | 223 |  |  |  | 169,190 |
Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95% (a)(g)(k) |  |  |  |  |  |  | 730 |  |  |  | 657,241 |
HSBC Holdings PLC (g) 4.38%, 11/23/26 |  |  |  |  |  |  | 395 |  |  |  | 386,101 |
(5 year CMT + 3.22%), 4.00% (a)(k) |  |  |  |  |  |  | 290 |  |  |  | 243,111 |
(5 year USD ICE Swap + 4.37%), 6.38% (a)(k) |  |  |  |  |  |  | 1,250 |  |  |  | 1,208,687 |
Intrum AB, 3.00%, 09/15/27 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 80,550 |
ION Trading Technologies SARL, 5.75%, 05/15/28 (b) |  |  | USD |  |  |  | 200 |  |  |  | 159,958 |
Jefferies Finance LLC/JFIN Co-Issuer Corp., 5.00%, 08/15/28 (b) |  |  |  |  |  |  | 325 |  |  |  | 267,313 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 02/01/27 (g) |  |  |  |  |  |  | 170 |  |  |  | 137,245 |
4.75%, 06/15/29 |  |  |  |  |  |  | 67 |  |  |  | 51,552 |
Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75% (a)(g)(k) |  |  |  |  |  |  | 450 |  |  |  | 423,594 |
Morgan Stanley, 4.00%, 07/23/25 (g) |  |  |  |  |  |  | 965 |  |  |  | 964,186 |
Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25 (b)(g) |  |  |  |  |  |  | 300 |  |  |  | 194,681 |
Shriram Transport Finance Co. Ltd., 5.95%, 10/24/22 (d) |  |  |  |  |  |  | 220 |  |  |  | 217,184 |
Spectrum Brands, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/29 |  |  |  |  |  |  | 141 |  |  |  | 121,928 |
5.50%, 07/15/30 |  |  |  |  |  |  | 154 |  |  |  | 138,594 |
|  |  |  |  |  |  |  |  |  |  | 13,428,548 |
Diversified Telecommunication Services — 3.3% |
AT&T, Inc., 4.30%, 02/15/30 (g) |  |  |  |  |  |  | 1,350 |  |  |  | 1,317,466 |
Consolidated Communications, Inc., 6.50%, 10/01/28 (b)(g) |  |  |  |  |  |  | 489 |  |  |  | 415,934 |
Frontier Communications Holdings LLC, 8.75%, 05/15/30 (b) |  |  |  |  |  |  | 300 |  |  |  | 303,297 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Level 3 Financing, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/25 |  |  | USD |  |  |  | 90 |  |  | $ | 87,171 |
3.40%, 03/01/27 (b) |  |  |  |  |  |  | 88 |  |  |  | 75,797 |
4.63%, 09/15/27 (b) |  |  |  |  |  |  | 111 |  |  |  | 94,627 |
4.25%, 07/01/28 (b)(g) |  |  |  |  |  |  | 785 |  |  |  | 628,981 |
3.63%, 01/15/29 (b) |  |  |  |  |  |  | 136 |  |  |  | 104,863 |
3.75%, 07/15/29 (b) |  |  |  |  |  |  | 380 |  |  |  | 293,818 |
Lumen Technologies, Inc. (g) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/15/26 (b) |  |  |  |  |  |  | 839 |  |  |  | 706,287 |
4.00%, 02/15/27 (b) |  |  |  |  |  |  | 493 |  |  |  | 416,955 |
4.50%, 01/15/29 (b) |  |  |  |  |  |  | 560 |  |  |  | 416,861 |
5.38%, 06/15/29 (b) |  |  |  |  |  |  | 455 |  |  |  | 360,258 |
Series U, 7.65%, 03/15/42 |  |  |  |  |  |  | 188 |  |  |  | 144,290 |
Series W, 6.75%, 12/01/23 |  |  |  |  |  |  | 512 |  |  |  | 507,205 |
Series Y, 7.50%, 04/01/24 |  |  |  |  |  |  | 266 |  |  |  | 262,342 |
Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25 (l) |  |  |  |  |  |  | 200 |  |  |  | 92,000 |
SoftBank Group Corp. (d) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 04/20/25 |  |  | EUR |  |  |  | 100 |  |  |  | 94,839 |
4.75%, 07/30/25 |  |  |  |  |  |  | 100 |  |  |  | 92,913 |
Sprint Capital Corp. (g) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 11/15/28 |  |  | USD |  |  |  | 1,355 |  |  |  | 1,424,809 |
8.75%, 03/15/32 |  |  |  |  |  |  | 870 |  |  |  | 1,047,028 |
Switch Ltd. (b) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 09/15/28 |  |  |  |  |  |  | 312 |  |  |  | 308,615 |
4.13%, 06/15/29 (g) |  |  |  |  |  |  | 616 |  |  |  | 609,742 |
Telecom Italia Capital SA |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/33 |  |  |  |  |  |  | 222 |  |  |  | 171,428 |
6.00%, 09/30/34 (g) |  |  |  |  |  |  | 432 |  |  |  | 325,845 |
7.20%, 07/18/36 |  |  |  |  |  |  | 98 |  |  |  | 74,406 |
7.72%, 06/04/38 |  |  |  |  |  |  | 44 |  |  |  | 33,946 |
Telecom Italia SpA |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 04/11/24 (d) |  |  | EUR |  |  |  | 150 |  |  |  | 154,442 |
5.30%, 05/30/24 (b)(g) |  |  | USD |  |  |  | 200 |  |  |  | 192,170 |
1.63%, 01/18/29 (d) |  |  | EUR |  |  |  | 200 |  |  |  | 151,345 |
Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30 (b) |  |  | USD |  |  |  | 152 |  |  |  | 105,154 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28 (b) |  |  |  |  |  |  | 266 |  |  |  | 218,756 |
Verizon Communications, Inc. (g) |  |  |  |  |  |  |  |  |  |  |  |
2.36%, 03/15/32 |  |  |  |  |  |  | 169 |  |  |  | 140,124 |
3.70%, 03/22/61 |  |  |  |  |  |  | 1,000 |  |  |  | 785,422 |
Zayo Group Holdings, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  |  |  |  |  |  | 3,059 |  |  |  | 2,537,716 |
6.13%, 03/01/28 |  |  |  |  |  |  | 1,772 |  |  |  | 1,279,579 |
|  |  |  |  |  |  |  |  |  |  | 15,976,431 |
Electric Utilities — 0.6% |  |  |  |  |  |  |  |  |
Black Hills Corp., 3.15%, 01/15/27 (g) |  |  |  |  |  |  | 305 |  |  |  | 290,869 |
Empresas Publicas de Medellin ESP, 4.25%, 07/18/29 (b) |  |  |  |  |  |  | 200 |  |  |  | 156,412 |
Enel Finance International NV, 3.63%, 05/25/27 (b)(g) |  |  |  |  |  |  | 900 |  |  |  | 855,312 |
Exelon Corp., 3.40%, 04/15/26 (g) |  |  |  |  |  |  | 140 |  |  |  | 135,841 |
FirstEnergy Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.65%, 03/01/30 |  |  |  |  |  |  | 270 |  |  |  | 222,750 |
Series B, 2.25%, 09/01/30 |  |  |  |  |  |  | 21 |  |  |  | 16,643 |
Series C, 3.40%, 03/01/50 (g) |  |  |  |  |  |  | 717 |  |  |  | 486,054 |
FirstEnergy Transmission LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
5.45%, 07/15/44 (g) |  |  |  |  |  |  | 458 |  |  |  | 428,098 |

Security |  |  |  |  | Par (000) |  |  | Value |
Electric Utilities (continued) |
FirstEnergy Transmission LLC (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.55%, 04/01/49 |  |  | USD |  |  |  | 163 |  |  | $ | 131,154 |
NextEra Energy Operating Partners LP (b) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 07/15/24 (g) |  |  |  |  |  |  | 170 |  |  |  | 162,622 |
4.25%, 09/15/24 |  |  |  |  |  |  | 9 |  |  |  | 8,573 |
Pike Corp., 5.50%, 09/01/28 (b) |  |  |  |  |  |  | 80 |  |  |  | 64,945 |
Texas Competitive Electric Holdings, 1.00%, 11/10/21 (c)(e)(j) |  |  |  |  |  |  | 780 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 2,959,273 |
Electrical Equipment (b) — 0.1% |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 (g) |  |  |  |  |  |  | 416 |  |  |  | 385,840 |
GrafTech Finance, Inc., 4.63%, 12/15/28 |  |  |  |  |  |  | 136 |  |  |  | 110,091 |
|  |  |  |  |  |  |  |  |  |  | 495,931 |
Electronic Equipment, Instruments & Components — 0.4% |
BWX Technologies, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 06/30/28 |  |  |  |  |  |  | 268 |  |  |  | 238,520 |
4.13%, 04/15/29 |  |  |  |  |  |  | 208 |  |  |  | 182,520 |
Energizer Holdings, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 06/15/28 |  |  |  |  |  |  | 140 |  |  |  | 111,121 |
4.38%, 03/31/29 |  |  |  |  |  |  | 19 |  |  |  | 14,587 |
Imola Merger Corp., 4.75%, 05/15/29 (b)(g) |  |  |  |  |  |  | 660 |  |  |  | 552,196 |
Vertiv Group Corp., 4.13%, 11/15/28 (b)(g) |  |  |  |  |  |  | 994 |  |  |  | 807,048 |
Xerox Corp., 4.80%, 03/01/35 |  |  |  |  |  |  | 56 |  |  |  | 42,971 |
|  |  |  |  |  |  |  |  |  |  | 1,948,963 |
Energy Equipment & Services — 0.4% |
Archrock Partners LP/Archrock Partners Finance Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 |  |  |  |  |  |  | 139 |  |  |  | 126,750 |
6.25%, 04/01/28 (g) |  |  |  |  |  |  | 706 |  |  |  | 625,022 |
Halliburton Co., 3.80%, 11/15/25 (g) |  |  |  |  |  |  | 3 |  |  |  | 2,970 |
Petroleos Mexicanos |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 06/02/29 (b) |  |  |  |  |  |  | 169 |  |  |  | 151,181 |
6.70%, 02/16/32 (g) |  |  |  |  |  |  | 220 |  |  |  | 166,650 |
USA Compression Partners LP/USA Compression Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/26 |  |  |  |  |  |  | 263 |  |  |  | 239,251 |
6.88%, 09/01/27 (g) |  |  |  |  |  |  | 406 |  |  |  | 360,325 |
Vallourec SA, 8.50%, 06/30/26 (d) |  |  | EUR |  |  |  | 25 |  |  |  | 24,195 |
Weatherford International Ltd. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 09/15/28 |  |  | USD |  |  |  | 13 |  |  |  | 11,667 |
8.63%, 04/30/30 |  |  |  |  |  |  | 208 |  |  |  | 172,596 |
|  |  |  |  |  |  |  |  |  |  | 1,880,607 |
Entertainment (b) — 0.1% |  |  |  |  |  |  |  |  |
AMC Entertainment Holdings, Inc., 7.50%, 02/15/29 (g) |  |  |  |  |  |  | 324 |  |  |  | 273,780 |
Lindblad Expeditions LLC, 6.75%, 02/15/27 |  |  |  |  |  |  | 260 |  |  |  | 222,950 |
NCL Corp. Ltd., 7.75%, 02/15/29 |  |  |  |  |  |  | 109 |  |  |  | 83,385 |
|  |  |  |  |  |  |  |  |  |  | 580,115 |
Environmental, Maintenance & Security Service — 0.6% |
Clean Harbors, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 07/15/27 |  |  |  |  |  |  | 250 |  |  |  | 228,750 |
5.13%, 07/15/29 |  |  |  |  |  |  | 172 |  |  |  | 156,090 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 12/01/29 (b) |  |  |  |  |  |  | 250 |  |  |  | 203,430 |
5.00%, 09/01/30 |  |  |  |  |  |  | 45 |  |  |  | 36,734 |
GFL Environmental, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 06/01/25 |  |  |  |  |  |  | 86 |  |  |  | 81,160 |
3.75%, 08/01/25 |  |  |  |  |  |  | 136 |  |  |  | 126,140 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Environmental, Maintenance & Security Service (continued) |
GFL Environmental, Inc. (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 12/15/26 (g) |  |  | USD |  |  |  | 485 |  |  | $ | 463,805 |
4.00%, 08/01/28 (g) |  |  |  |  |  |  | 431 |  |  |  | 355,575 |
3.50%, 09/01/28 |  |  |  |  |  |  | 198 |  |  |  | 169,785 |
4.75%, 06/15/29 |  |  |  |  |  |  | 378 |  |  |  | 312,795 |
4.38%, 08/15/29 |  |  |  |  |  |  | 259 |  |  |  | 208,495 |
Stericycle, Inc., 3.88%, 01/15/29 (b) |  |  |  |  |  |  | 162 |  |  |  | 132,435 |
Tervita Corp., 11.00%, 12/01/25 (b) |  |  |  |  |  |  | 114 |  |  |  | 123,975 |
Waste Pro USA, Inc., 5.50%, 02/15/26 (b)(g) |  |  |  |  |  |  | 519 |  |  |  | 461,028 |
|  |  |  |  |  |  |  |  |  |  | 3,060,197 |
Equity Real Estate Investment Trusts (REITs) — 1.2% |
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50 (g) |  |  |  |  |  |  | 450 |  |  |  | 371,148 |
Brookfield Property REIT, Inc./BPR Cumulus |  |  |  |  |  |  |  |  |  |  |  |
LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27 (b) |  |  |  |  |  |  | 178 |  |  |  | 147,604 |
CTR Partnership LP/CareTrust Capital Corp., 3.88%, 06/30/28 (b) |  |  |  |  |  |  | 163 |  |  |  | 139,202 |
ERP Operating LP, 3.38%, 06/01/25 (g) |  |  |  |  |  |  | 1,015 |  |  |  | 994,918 |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27 (b)(g) |  |  |  |  |  |  | 142 |  |  |  | 118,668 |
Iron Mountain, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 07/15/30 |  |  |  |  |  |  | 172 |  |  |  | 149,536 |
5.63%, 07/15/32 |  |  |  |  |  |  | 417 |  |  |  | 352,605 |
LMIRT Capital Pte. Ltd., 7.25%, 06/19/24 (d) |  |  |  |  |  |  | 229 |  |  |  | 199,230 |
MPT Operating Partnership LP/MPT Finance Corp. (g) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/15/27 |  |  |  |  |  |  | 66 |  |  |  | 60,368 |
4.63%, 08/01/29 |  |  |  |  |  |  | 433 |  |  |  | 379,957 |
3.50%, 03/15/31 |  |  |  |  |  |  | 1,400 |  |  |  | 1,103,424 |
RHP Hotel Properties LP/RHP Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 10/15/27 (g) |  |  |  |  |  |  | 644 |  |  |  | 571,299 |
4.50%, 02/15/29 (b) |  |  |  |  |  |  | 179 |  |  |  | 151,774 |
RLJ Lodging Trust LP (b) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 07/01/26 |  |  |  |  |  |  | 135 |  |  |  | 116,987 |
4.00%, 09/15/29 |  |  |  |  |  |  | 97 |  |  |  | 79,677 |
Ventas Realty LP, 4.13%, 01/15/26 (g) |  |  |  |  |  |  | 650 |  |  |  | 643,024 |
|  |  |  |  |  |  |  |  |  |  | 5,579,421 |
Food & Staples Retailing — 1.1% |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 03/15/26 (g) |  |  |  |  |  |  | 582 |  |  |  | 506,893 |
7.50%, 03/15/26 (g) |  |  |  |  |  |  | 107 |  |  |  | 106,436 |
4.63%, 01/15/27 (g) |  |  |  |  |  |  | 766 |  |  |  | 684,283 |
5.88%, 02/15/28 |  |  |  |  |  |  | 320 |  |  |  | 299,081 |
4.88%, 02/15/30 |  |  |  |  |  |  | 138 |  |  |  | 118,382 |
Bellis Acquisition Co. PLC, 3.25%, 02/16/26 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 94,341 |
Darling Ingredients, Inc., 6.00%, 06/15/30 (b) |  |  | USD |  |  |  | 313 |  |  |  | 311,951 |
Kraft Heinz Foods Co. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 02/09/40 |  |  |  |  |  |  | 155 |  |  |  | 167,491 |
4.88%, 10/01/49 (g) |  |  |  |  |  |  | 397 |  |  |  | 350,651 |
5.50%, 06/01/50 (g) |  |  |  |  |  |  | 691 |  |  |  | 663,301 |
Lamb Weston Holdings, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 05/15/28 (g) |  |  |  |  |  |  | 156 |  |  |  | 146,813 |
4.13%, 01/31/30 |  |  |  |  |  |  | 312 |  |  |  | 270,055 |
4.38%, 01/31/32 |  |  |  |  |  |  | 285 |  |  |  | 247,950 |
Market Bidco Finco PLC, 5.50%, 11/04/27 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 92,515 |
Ocado Group PLC, 3.88%, 10/08/26 (d) |  |  |  |  |  |  | 100 |  |  |  | 97,624 |

Security |  |  |  |  | Par (000) |  |  | Value |
Food & Staples Retailing (continued) |
Performance Food Group, Inc., 4.25%, 08/01/29 (b)(g) |  |  | USD |  |  |  | 395 |  |  | $ | 329,825 |
Post Holdings, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  |  |  |  |  | 89 |  |  |  | 86,219 |
5.63%, 01/15/28 |  |  |  |  |  |  | 73 |  |  |  | 69,291 |
5.50%, 12/15/29 (g) |  |  |  |  |  |  | 261 |  |  |  | 233,329 |
4.63%, 04/15/30 (g) |  |  |  |  |  |  | 170 |  |  |  | 143,441 |
U.S. Foods, Inc., 4.75%, 02/15/29 (b) |  |  |  |  |  |  | 335 |  |  |  | 292,854 |
|  |  |  |  |  |  |  |  |  |  | 5,312,726 |
Food Products — 0.6% |
Aramark Services, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 04/01/25 (g) |  |  |  |  |  |  | 623 |  |  |  | 596,924 |
5.00%, 02/01/28 |  |  |  |  |  |  | 442 |  |  |  | 400,545 |
BRF SA, 4.88%, 01/24/30 (d) |  |  |  |  |  |  | 200 |  |  |  | 158,600 |
Chobani LLC/Chobani Finance Corp., Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  |  |  |  |  |  | 757 |  |  |  | 695,205 |
4.63%, 11/15/28 |  |  |  |  |  |  | 364 |  |  |  | 307,580 |
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31 (b)(g) |  |  |  |  |  |  | 280 |  |  |  | 229,708 |
Pilgrim’s Pride Corp., 3.50%, 03/01/32 (b)(g) |  |  |  |  |  |  | 175 |  |  |  | 136,719 |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29 (b) |  |  |  |  |  |  | 284 |  |  |  | 240,094 |
|  |  |  |  |  |  |  |  |  |  | 2,765,375 |
Gas Utilities — 0.0% |  |  |  |  |  |  |  |  |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 (b) |  |  |  |  |  |  | 91 |  |  |  | 77,384 |
Health Care Equipment & Supplies (b) — 0.2% |
Avantor Funding, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 07/15/28 (g) |  |  |  |  |  |  | 872 |  |  |  | 799,362 |
3.88%, 11/01/29 |  |  |  |  |  |  | 210 |  |  |  | 183,677 |
Embecta Corp., 6.75%, 02/15/30 |  |  |  |  |  |  | 152 |  |  |  | 136,850 |
Hologic, Inc., 3.25%, 02/15/29 |  |  |  |  |  |  | 46 |  |  |  | 39,316 |
|  |  |  |  |  |  |  |  |  |  | 1,159,205 |
Health Care Providers & Services — 3.5% |
180 Medical, Inc., 3.88%, 10/15/29 (b) |  |  |  |  |  |  | 200 |  |  |  | 173,000 |
Acadia Healthcare Co., Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 07/01/28 |  |  |  |  |  |  | 115 |  |  |  | 107,444 |
5.00%, 04/15/29 |  |  |  |  |  |  | 55 |  |  |  | 49,375 |
AdaptHealth LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 08/01/28 |  |  |  |  |  |  | 73 |  |  |  | 64,570 |
5.13%, 03/01/30 |  |  |  |  |  |  | 26 |  |  |  | 21,916 |
AHP Health Partners, Inc., 5.75%, 07/15/29 (b) |  |  |  |  |  |  | 324 |  |  |  | 238,043 |
Cano Health LLC, 6.25%, 10/01/28 (b) |  |  |  |  |  |  | 125 |  |  |  | 102,225 |
Centene Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.45%, 07/15/28 (g) |  |  |  |  |  |  | 687 |  |  |  | 572,985 |
4.63%, 12/15/29 (g) |  |  |  |  |  |  | 1,058 |  |  |  | 986,585 |
3.00%, 10/15/30 (g) |  |  |  |  |  |  | 652 |  |  |  | 540,345 |
2.50%, 03/01/31 (g) |  |  |  |  |  |  | 1,077 |  |  |  | 854,880 |
2.63%, 08/01/31 |  |  |  |  |  |  | 334 |  |  |  | 265,697 |
CHS/Community Health Systems, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 03/15/26 (g) |  |  |  |  |  |  | 1,132 |  |  |  | 1,030,901 |
5.63%, 03/15/27 (g) |  |  |  |  |  |  | 565 |  |  |  | 478,199 |
6.00%, 01/15/29 (g) |  |  |  |  |  |  | 502 |  |  |  | 415,867 |
6.13%, 04/01/30 |  |  |  |  |  |  | 301 |  |  |  | 183,610 |
Elevance Health, Inc., 2.75%, 10/15/42 (h) |  |  |  |  |  |  | 57 |  |  |  | 391,043 |
Encompass Health Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 02/01/28 |  |  |  |  |  |  | 45 |  |  |  | 38,524 |
4.75%, 02/01/30 (g) |  |  |  |  |  |  | 403 |  |  |  | 337,730 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
Encompass Health Corp. (continued) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 04/01/31 |  |  | USD |  |  |  | 211 |  |  | $ | 170,852 |
HCA, Inc., 5.50%, 06/15/47 (g) |  |  |  |  |  |  | 650 |  |  |  | 579,821 |
Legacy LifePoint Health LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 04/15/25 |  |  |  |  |  |  | 190 |  |  |  | 183,656 |
4.38%, 02/15/27 |  |  |  |  |  |  | 217 |  |  |  | 185,930 |
LifePoint Health, Inc., 5.38%, 01/15/29 (b)(g) |  |  |  |  |  |  | 160 |  |  |  | 117,600 |
Medline Borrower LP (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 04/01/29 |  |  |  |  |  |  | 449 |  |  |  | 382,418 |
5.25%, 10/01/29 |  |  |  |  |  |  | 1,118 |  |  |  | 918,213 |
ModivCare, Inc., 5.88%, 11/15/25 (b) |  |  |  |  |  |  | 71 |  |  |  | 65,320 |
Molina Healthcare, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 06/15/28 |  |  |  |  |  |  | 303 |  |  |  | 270,661 |
3.88%, 11/15/30 |  |  |  |  |  |  | 226 |  |  |  | 193,180 |
3.88%, 05/15/32 |  |  |  |  |  |  | 238 |  |  |  | 199,584 |
Owens & Minor, Inc., 6.63%, 04/01/30 (b) |  |  |  |  |  |  | 142 |  |  |  | 129,713 |
Prime Healthcare Services, Inc., 7.25%, 11/01/25 (b) |  |  |  |  |  |  | 312 |  |  |  | 266,292 |
RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26 (b) |  |  |  |  |  |  | 53 |  |  |  | 51,543 |
Surgery Center Holdings, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/01/25 |  |  |  |  |  |  | 611 |  |  |  | 560,006 |
10.00%, 04/15/27 |  |  |  |  |  |  | 621 |  |  |  | 601,528 |
Teleflex, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 11/15/27 |  |  |  |  |  |  | 80 |  |  |  | 73,800 |
4.25%, 06/01/28 (b)(g) |  |  |  |  |  |  | 368 |  |  |  | 332,501 |
Tenet Healthcare Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 07/15/24 (g) |  |  |  |  |  |  | 204 |  |  |  | 195,785 |
4.63%, 09/01/24 (b)(g) |  |  |  |  |  |  | 367 |  |  |  | 352,320 |
4.88%, 01/01/26 (b)(g) |  |  |  |  |  |  | 1,618 |  |  |  | 1,488,560 |
6.25%, 02/01/27 (b) |  |  |  |  |  |  | 95 |  |  |  | 87,439 |
5.13%, 11/01/27 (b)(g) |  |  |  |  |  |  | 614 |  |  |  | 552,600 |
4.63%, 06/15/28 (b) |  |  |  |  |  |  | 81 |  |  |  | 70,533 |
6.13%, 10/01/28 (b)(g) |  |  |  |  |  |  | 183 |  |  |  | 156,608 |
4.25%, 06/01/29 (b) |  |  |  |  |  |  | 48 |  |  |  | 40,426 |
6.13%, 06/15/30 (b) |  |  |  |  |  |  | 283 |  |  |  | 261,090 |
UnitedHealth Group, Inc., 3.75%, 07/15/25 (g) |  |  |  |  |  |  | 1,470 |  |  |  | 1,468,013 |
|  |  |  |  |  |  |  |  |  |  | 16,808,931 |
Health Care Technology — 0.8% |
Catalent Pharma Solutions, Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 07/15/27 (b)(g) |  |  |  |  |  |  | 365 |  |  |  | 343,585 |
2.38%, 03/01/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 85,412 |
3.13%, 02/15/29 (b) |  |  | USD |  |  |  | 157 |  |  |  | 128,808 |
3.50%, 04/01/30 (b)(g) |  |  |  |  |  |  | 412 |  |  |  | 336,163 |
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25 (b)(g) |  |  |  |  |  |  | 732 |  |  |  | 712,741 |
Charles River Laboratories International, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 05/01/28 |  |  |  |  |  |  | 159 |  |  |  | 142,831 |
3.75%, 03/15/29 |  |  |  |  |  |  | 34 |  |  |  | 29,507 |
4.00%, 03/15/31 |  |  |  |  |  |  | 98 |  |  |  | 83,540 |
Chrome Bidco SASU, 3.50%, 05/31/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 85,755 |
IQVIA, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 10/15/26 |  |  | USD |  |  |  | 463 |  |  |  | 440,929 |
5.00%, 05/15/27 |  |  |  |  |  |  | 437 |  |  |  | 413,446 |
Minerva Merger Sub, Inc., 6.50%, 02/15/30 (b)(g) |  |  |  |  |  |  | 600 |  |  |  | 498,954 |
Syneos Health, Inc., 3.63%, 01/15/29 (b)(g) |  |  |  |  |  |  | 802 |  |  |  | 679,156 |
|  |  |  |  |  |  |  |  |  |  | 3,980,827 |
Hotels, Restaurants & Leisure — 4.0% |
1011778 BC ULC/New Red Finance, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 04/15/25 |  |  |  |  |  |  | 207 |  |  |  | 208,206 |

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
1011778 BC ULC/New Red Finance, Inc. (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 01/15/28 (g) |  |  | USD |  |  |  | 590 |  |  | $ | 512,073 |
4.38%, 01/15/28 |  |  |  |  |  |  | 134 |  |  |  | 117,156 |
4.00%, 10/15/30 |  |  |  |  |  |  | 146 |  |  |  | 117,165 |
Accor SA, 0.70%, 12/07/27 (d) |  |  | EUR |  |  |  | 32 |  |  |  | 13,579 |
Affinity Gaming, 6.88%, 12/15/27 (b) |  |  | USD |  |  |  | 4 |  |  |  | 3,360 |
Airbnb, Inc., 0.00%, 03/15/26 (h)(i) |  |  |  |  |  |  | 567 |  |  |  | 471,177 |
Boyd Gaming Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/27 |  |  |  |  |  |  | 179 |  |  |  | 161,995 |
4.75%, 06/15/31 (b)(g) |  |  |  |  |  |  | 376 |  |  |  | 317,728 |
Boyne USA, Inc., 4.75%, 05/15/29 (b) |  |  |  |  |  |  | 297 |  |  |  | 257,184 |
Caesars Entertainment, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 07/01/25 |  |  |  |  |  |  | 1,466 |  |  |  | 1,412,828 |
8.13%, 07/01/27 |  |  |  |  |  |  | 1,508 |  |  |  | 1,457,105 |
4.63%, 10/15/29 |  |  |  |  |  |  | 624 |  |  |  | 485,160 |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25 (b)(g) |  |  |  |  |  |  | 478 |  |  |  | 457,116 |
Carnival Corp., 7.63%, 03/01/26 (b) |  |  |  |  |  |  | 71 |  |  |  | 54,992 |
CDI Escrow Issuer, Inc., 5.75%, 04/01/30 (b)(g) |  |  |  |  |  |  | 668 |  |  |  | 607,880 |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25 (b)(g) |  |  |  |  |  |  | 296 |  |  |  | 287,120 |
Champion Path Holdings Ltd., 4.50%, 01/27/26 (d) |  |  |  |  |  |  | 232 |  |  |  | 143,840 |
Churchill Downs, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 04/01/27 (g) |  |  |  |  |  |  | 675 |  |  |  | 641,250 |
4.75%, 01/15/28 |  |  |  |  |  |  | 435 |  |  |  | 387,150 |
Cirsa Finance International SARL, 4.75%, 05/22/25 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 92,356 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 01/15/29 (g) |  |  | USD |  |  |  | 483 |  |  |  | 411,757 |
6.75%, 01/15/30 |  |  |  |  |  |  | 292 |  |  |  | 224,110 |
Food Service Project SA, 5.50%, 01/21/27 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 89,862 |
Fortune Star BVI Ltd., 6.75%, 07/02/23 (d) |  |  | USD |  |  |  | 200 |  |  |  | 157,175 |
Hilton Domestic Operating Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/25 (b) |  |  |  |  |  |  | 145 |  |  |  | 142,100 |
5.75%, 05/01/28 (b) |  |  |  |  |  |  | 99 |  |  |  | 94,132 |
3.75%, 05/01/29 (b) |  |  |  |  |  |  | 110 |  |  |  | 93,296 |
4.88%, 01/15/30 (g) |  |  |  |  |  |  | 972 |  |  |  | 878,445 |
4.00%, 05/01/31 (b) |  |  |  |  |  |  | 292 |  |  |  | 242,652 |
McDonald’s Corp., 3.70%, 01/30/26 (g) |  |  |  |  |  |  | 405 |  |  |  | 403,762 |
Melco Resorts Finance Ltd., 5.25%, 04/26/26 (d) |  |  |  |  |  |  | 250 |  |  |  | 175,000 |
Merlin Entertainments Ltd., 5.75%, 06/15/26 (b) |  |  |  |  |  |  | 200 |  |  |  | 182,501 |
MGM China Holdings Ltd., 5.88%, 05/15/26 (d) |  |  |  |  |  |  | 250 |  |  |  | 189,812 |
MGM Resorts International |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 03/15/23 (g) |  |  |  |  |  |  | 416 |  |  |  | 415,035 |
5.75%, 06/15/25 |  |  |  |  |  |  | 29 |  |  |  | 27,623 |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (b) |  |  |  |  |  |  | 235 |  |  |  | 191,525 |
Powdr Corp., 6.00%, 08/01/25 (b) |  |  |  |  |  |  | 317 |  |  |  | 314,622 |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 09/01/29 |  |  |  |  |  |  | 116 |  |  |  | 82,587 |
5.88%, 09/01/31 |  |  |  |  |  |  | 116 |  |  |  | 80,506 |
Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26 (b) |  |  |  |  |  |  | 177 |  |  |  | 154,875 |
Royal Caribbean Cruises Ltd., 5.38%, 07/15/27 (b)(g) |  |  |  |  |  |  | 284 |  |  |  | 206,431 |
Scientific Games International, Inc. (b) 8.63%, 07/01/25 |  |  |  |  |  |  | 203 |  |  |  | 208,095 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Scientific Games International, Inc. (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 05/15/28 |  |  | USD |  |  |  | 174 |  |  | $ | 163,287 |
7.25%, 11/15/29 |  |  |  |  |  |  | 51 |  |  |  | 47,828 |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25 (b)(g) |  |  |  |  |  |  | 533 |  |  |  | 539,572 |
Spirit Issuer PLC, Series A5, 5.47%, 12/28/34 (d) |  |  | GBP |  |  |  | 2,550 |  |  |  | 3,279,689 |
Station Casinos LLC, 4.63%, 12/01/31 (b) |  |  | USD |  |  |  | 277 |  |  |  | 216,060 |
Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 111,170 |
Vail Resorts, Inc., 6.25%, 05/15/25 (b) |  |  | USD |  |  |  | 154 |  |  |  | 153,811 |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28 (b) |  |  |  |  |  |  | 158 |  |  |  | 138,196 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27 (b)(g) |  |  |  |  |  |  | 192 |  |  |  | 164,446 |
Wynn Macau Ltd., 5.50%, 01/15/26 (d) |  |  |  |  |  |  | 347 |  |  |  | 239,864 |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 04/15/25 |  |  |  |  |  |  | 239 |  |  |  | 232,609 |
5.13%, 10/01/29 (g) |  |  |  |  |  |  | 618 |  |  |  | 486,737 |
Yum! Brands, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/30 (b)(g) |  |  |  |  |  |  | 279 |  |  |  | 253,192 |
3.63%, 03/15/31 |  |  |  |  |  |  | 96 |  |  |  | 80,640 |
5.35%, 11/01/43 |  |  |  |  |  |  | 71 |  |  |  | 58,842 |
|  |  |  |  |  |  |  |  |  |  | 19,338,266 |
Household Durables — 0.6% |
Ashton Woods USA LLC/Ashton Woods Finance Co. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  |  |  | 100 |  |  |  | 75,000 |
4.63%, 04/01/30 |  |  |  |  |  |  | 145 |  |  |  | 106,481 |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 06/15/29 |  |  |  |  |  |  | 208 |  |  |  | 157,262 |
4.88%, 02/15/30 (g) |  |  |  |  |  |  | 412 |  |  |  | 299,318 |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25 (b) |  |  |  |  |  |  | 253 |  |  |  | 223,672 |
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26 (b) |  |  |  |  |  |  | 219 |  |  |  | 214,620 |
Mattamy Group Corp., 4.63%, 03/01/30 (b) |  |  |  |  |  |  | 199 |  |  |  | 145,432 |
Meritage Homes Corp., 5.13%, 06/06/27 |  |  |  |  |  |  | 50 |  |  |  | 45,767 |
NCR Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/01/27 |  |  |  |  |  |  | 220 |  |  |  | 195,257 |
5.00%, 10/01/28 |  |  |  |  |  |  | 110 |  |  |  | 93,269 |
5.13%, 04/15/29 |  |  |  |  |  |  | 145 |  |  |  | 122,632 |
6.13%, 09/01/29 |  |  |  |  |  |  | 92 |  |  |  | 79,567 |
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (b) |  |  |  |  |  |  | 330 |  |  |  | 221,925 |
Taylor Morrison Communities, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 06/15/27 |  |  |  |  |  |  | 245 |  |  |  | 225,819 |
5.13%, 08/01/30 |  |  |  |  |  |  | 54 |  |  |  | 44,846 |
Tempur Sealy International, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 04/15/29 |  |  |  |  |  |  | 224 |  |  |  | 180,441 |
3.88%, 10/15/31 (g) |  |  |  |  |  |  | 239 |  |  |  | 179,250 |
Tri Pointe Group, Inc./Tri Pointe Homes, Inc., |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 06/15/24 |  |  |  |  |  |  | 11 |  |  |  | 10,704 |
Tri Pointe Homes, Inc., 5.25%, 06/01/27 |  |  |  |  |  |  | 15 |  |  |  | 13,112 |
|  |  |  |  |  |  |  |  |  |  | 2,634,374 |
Household Products — 0.0% |  |  |  |  |  |  |  |  |
Berkline Benchcraft LLC, 4.50%, 06/01/22 (c)(e)(j) |  |  |  |  |  |  | 200 |  |  |  | — |
Energizer Holdings, Inc., 6.50%, 12/31/27 (b) |  |  |  |  |  |  | 117 |  |  |  | 102,521 |
|  |  |  |  |  |  |  |  |  |  | 102,521 |

Security |  |  |  |  | Par (000) |  |  | Value |
Independent Power and Renewable Electricity Producers — 1.1% |
Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24 (d) |  |  | USD |  |  |  | 200 |  |  | $ | 190,725 |
Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 188,663 |
Calpine Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/26 (g) |  |  |  |  |  |  | 221 |  |  |  | 209,950 |
4.50%, 02/15/28 (g) |  |  |  |  |  |  | 249 |  |  |  | 226,061 |
5.13%, 03/15/28 (g) |  |  |  |  |  |  | 1,060 |  |  |  | 933,118 |
4.63%, 02/01/29 (g) |  |  |  |  |  |  | 106 |  |  |  | 88,221 |
5.00%, 02/01/31 |  |  |  |  |  |  | 43 |  |  |  | 34,762 |
3.75%, 03/01/31 |  |  |  |  |  |  | 5 |  |  |  | 4,067 |
Clearway Energy Operating LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 03/15/28 (g) |  |  |  |  |  |  | 300 |  |  |  | 269,904 |
3.75%, 01/15/32 |  |  |  |  |  |  | 262 |  |  |  | 207,635 |
Continuum Energy Levanter Pte. Ltd., 4.50%, 02/09/27 (b) |  |  |  |  |  |  | 215 |  |  |  | 167,702 |
Greenko Mauritius Ltd., 6.25%, 02/21/23 (d) |  |  |  |  |  |  | 200 |  |  |  | 197,975 |
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26 (d) |  |  |  |  |  |  | 200 |  |  |  | 176,500 |
India Cleantech Energy, 4.70%, 08/10/26 (b) |  |  |  |  |  |  | 243 |  |  |  | 193,483 |
India Green Energy Holdings |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 04/29/24 (b) |  |  |  |  |  |  | 250 |  |  |  | 233,750 |
5.38%, 04/29/24 (d) |  |  |  |  |  |  | 250 |  |  |  | 233,750 |
Investment Energy Resources Ltd., 6.25%, 04/26/29 (b) |  |  |  |  |  |  | 200 |  |  |  | 169,600 |
NRG Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 01/15/27 (g) |  |  |  |  |  |  | 720 |  |  |  | 705,151 |
5.75%, 01/15/28 |  |  |  |  |  |  | 63 |  |  |  | 57,263 |
5.25%, 06/15/29 (b)(g) |  |  |  |  |  |  | 253 |  |  |  | 225,803 |
3.63%, 02/15/31 (b)(g) |  |  |  |  |  |  | 277 |  |  |  | 217,165 |
3.88%, 02/15/32 (b) |  |  |  |  |  |  | 134 |  |  |  | 106,434 |
TerraForm Power Operating LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 01/31/28 |  |  |  |  |  |  | 96 |  |  |  | 86,951 |
4.75%, 01/15/30 |  |  |  |  |  |  | 186 |  |  |  | 159,307 |
|  |  |  |  |  |  |  |  |  |  | 5,283,940 |
Insurance — 2.2% |  |  |  |  |  |  |  |  |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 (b) |  |  |  |  |  |  | 231 |  |  |  | 180,825 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 10/15/27 |  |  |  |  |  |  | 1,166 |  |  |  | 1,009,255 |
6.75%, 10/15/27 |  |  |  |  |  |  | 1,896 |  |  |  | 1,682,473 |
5.88%, 11/01/29 |  |  |  |  |  |  | 1,182 |  |  |  | 980,835 |
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25 (g) |  |  |  |  |  |  | 360 |  |  |  | 355,115 |
AmWINS Group, Inc., 4.88%, 06/30/29 (b) |  |  |  |  |  |  | 266 |  |  |  | 217,833 |
Aon Global Ltd., 3.88%, 12/15/25 (g) |  |  |  |  |  |  | 1,115 |  |  |  | 1,102,703 |
GTCR AP Finance, Inc., 8.00%, 05/15/27 (b) |  |  |  |  |  |  | 330 |  |  |  | 308,930 |
HUB International Ltd. (b) |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 05/01/26 (g) |  |  |  |  |  |  | 1,226 |  |  |  | 1,152,930 |
5.63%, 12/01/29 |  |  |  |  |  |  | 53 |  |  |  | 43,781 |
Ryan Specialty Group LLC, 4.38%, 02/01/30 (b) |  |  |  |  |  |  | 135 |  |  |  | 117,450 |
Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), 5.65%, 05/15/53 (a)(g) |  |  |  |  |  |  | 3,500 |  |  |  | 3,281,530 |
|  |  |  |  |  |  |  |  |  |  | 10,433,660 |
Interactive Media & Services — 0.4% |
Arches Buyer, Inc., 4.25%, 06/01/28 (b) |  |  |  |  |  |  | 110 |  |  |  | 89,563 |
Cablevision Lightpath LLC (b) 3.88%, 09/15/27 |  |  |  |  |  |  | 400 |  |  |  | 331,000 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Interactive Media & Services (continued) |
Cablevision Lightpath LLC (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 09/15/28 (g) |  |  | USD |  |  |  | 400 |  |  | $ | 312,904 |
Iliad SA, 2.38%, 06/17/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 91,696 |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 04/30/27 |  |  | USD |  |  |  | 303 |  |  |  | 249,536 |
6.00%, 02/15/28 (g) |  |  |  |  |  |  | 309 |  |  |  | 222,051 |
Twitter, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 12/15/27 |  |  |  |  |  |  | 295 |  |  |  | 278,113 |
5.00%, 03/01/30 |  |  |  |  |  |  | 182 |  |  |  | 172,672 |
United Group BV, 4.00%, 11/15/27 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 79,367 |
|  |  |  |  |  |  |  |  |  |  | 1,826,902 |
Internet & Direct Marketing Retail — 0.0% |
Very Group Funding PLC, 6.50%, 08/01/26 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 92,310 |
Internet Software & Services — 1.1% |
ANGI Group LLC, 3.88%, 08/15/28 (b) |  |  | USD |  |  |  | 262 |  |  |  | 199,486 |
Booking Holdings, Inc., 0.75%, 05/01/25 (h) |  |  |  |  |  |  | 380 |  |  |  | 455,544 |
Go Daddy Operating Co. LLC/GD Finance Co., Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 12/01/27 |  |  |  |  |  |  | 303 |  |  |  | 277,245 |
3.50%, 03/01/29 |  |  |  |  |  |  | 165 |  |  |  | 139,110 |
Match Group Holdings II LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 06/01/28 |  |  |  |  |  |  | 157 |  |  |  | 142,336 |
5.63%, 02/15/29 |  |  |  |  |  |  | 177 |  |  |  | 165,495 |
4.13%, 08/01/30 |  |  |  |  |  |  | 198 |  |  |  | 165,351 |
3.63%, 10/01/31 |  |  |  |  |  |  | 158 |  |  |  | 124,425 |
Uber Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25 (b)(g) |  |  |  |  |  |  | 667 |  |  |  | 660,644 |
0.00%, 12/15/25 (h)(i) |  |  |  |  |  |  | 1,582 |  |  |  | 1,261,989 |
8.00%, 11/01/26 (b)(g) |  |  |  |  |  |  | 311 |  |  |  | 309,600 |
7.50%, 09/15/27 (b)(g) |  |  |  |  |  |  | 622 |  |  |  | 602,581 |
6.25%, 01/15/28 (b)(g) |  |  |  |  |  |  | 402 |  |  |  | 371,786 |
4.50%, 08/15/29 (b)(g) |  |  |  |  |  |  | 652 |  |  |  | 536,270 |
Zillow Group, Inc., 1.38%, 09/01/26 (h) |  |  |  |  |  |  | 55 |  |  |  | 54,945 |
|  |  |  |  |  |  |  |  |  |  | 5,466,807 |
IT Services — 1.2% |  |  |  |  |  |  |  |  |
Ahead DB Holdings LLC, 6.63%, 05/01/28 (b) |  |  |  |  |  |  | 150 |  |  |  | 124,350 |
Booz Allen Hamilton, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 09/01/28 |  |  |  |  |  |  | 272 |  |  |  | 240,720 |
4.00%, 07/01/29 |  |  |  |  |  |  | 391 |  |  |  | 340,924 |
CA Magnum Holdings, 5.38%, 10/31/26 (b)(g) |  |  |  |  |  |  | 382 |  |  |  | 330,430 |
Camelot Finance SA, 4.50%, 11/01/26 (b)(g) |  |  |  |  |  |  | 564 |  |  |  | 514,424 |
Condor Merger Sub, Inc., 7.38%, 02/15/30 (b)(g) |  |  |  |  |  |  | 786 |  |  |  | 638,837 |
Dun & Bradstreet Corp., 5.00%, 12/15/29 (b)(g) |  |  |  |  |  |  | 485 |  |  |  | 418,919 |
Fair Isaac Corp., 4.00%, 06/15/28 (b)(g) |  |  |  |  |  |  | 366 |  |  |  | 324,217 |
Gartner, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 07/01/28 |  |  |  |  |  |  | 107 |  |  |  | 98,248 |
3.63%, 06/15/29 |  |  |  |  |  |  | 133 |  |  |  | 115,227 |
3.75%, 10/01/30 (g) |  |  |  |  |  |  | 368 |  |  |  | 313,260 |
International Business Machines Corp., 1.95%, 05/15/30 (g) |  |  |  |  |  |  | 500 |  |  |  | 419,019 |
KBR, Inc., 4.75%, 09/30/28 (b) |  |  |  |  |  |  | 206 |  |  |  | 181,556 |
La Financiere Atalian SASU, 5.13%, 05/15/25 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 79,919 |
Science Applications International Corp., 4.88%, 04/01/28 (b)(g) |  |  | USD |  |  |  | 289 |  |  |  | 269,492 |

Security |  |  |  |  | Par (000) |  |  | Value |
IT Services (continued) |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25 (b) |  |  | USD |  |  |  | 243 |  |  | $ | 228,599 |
Twilio, Inc., 3.88%, 03/15/31 |  |  |  |  |  |  | 353 |  |  |  | 290,438 |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (b)(g) |  |  |  |  |  |  | 692 |  |  |  | 579,649 |
|  |  |  |  |  |  |  |  |  |  | 5,508,228 |
Leisure Products — 0.1% |  |  |  |  |  |  |  |  |
Mattel, Inc. |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 04/01/29 (b) |  |  |  |  |  |  | 103 |  |  |  | 92,556 |
6.20%, 10/01/40 |  |  |  |  |  |  | 219 |  |  |  | 209,145 |
5.45%, 11/01/41 |  |  |  |  |  |  | 278 |  |  |  | 244,015 |
|  |  |  |  |  |  |  |  |  |  | 545,716 |
Machinery — 0.8% |  |  |  |  |  |  |  |  |
ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28 (b) |  |  |  |  |  |  | 108 |  |  |  | 90,180 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25 (b)(l) |  |  |  |  |  |  | 240 |  |  |  | 232,800 |
Madison IAQ LLC, 5.88%, 06/30/29 (b) |  |  |  |  |  |  | 658 |  |  |  | 504,239 |
Mueller Water Products, Inc., 4.00%, 06/15/29 (b) |  |  |  |  |  |  | 138 |  |  |  | 120,383 |
OT Merger Corp., 7.88%, 10/15/29 (b) |  |  |  |  |  |  | 115 |  |  |  | 66,050 |
Stevens Holding Co., Inc., 6.13%, 10/01/26 (b) |  |  |  |  |  |  | 167 |  |  |  | 160,737 |
Terex Corp., 5.00%, 05/15/29 (b) |  |  |  |  |  |  | 333 |  |  |  | 283,050 |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26 (b)(g) |  |  |  |  |  |  | 852 |  |  |  | 783,158 |
TK Elevator Holdco GmbH, 7.63%, 07/15/28 (b)(g) |  |  |  |  |  |  | 400 |  |  |  | 359,000 |
TK Elevator Midco GmbH, 4.38%, 07/15/27 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 90,280 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27 (b)(g) |  |  | USD |  |  |  | 1,033 |  |  |  | 920,987 |
|  |  |  |  |  |  |  |  |  |  | 3,610,864 |
Media — 9.4% |  |  |  |  |  |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
3.00%, 01/15/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 78,054 |
5.00%, 01/15/28 (b)(g) |  |  | USD |  |  |  | 378 |  |  |  | 304,608 |
5.75%, 08/15/29 (b)(g) |  |  |  |  |  |  | 1,447 |  |  |  | 1,161,217 |
Altice France Holding SA, 10.50%, 05/15/27 (b)(g) |  |  |  |  |  |  | 1,673 |  |  |  | 1,403,881 |
AMC Networks, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 08/01/25 |  |  |  |  |  |  | 222 |  |  |  | 206,802 |
4.25%, 02/15/29 |  |  |  |  |  |  | 123 |  |  |  | 99,653 |
Block Communications, Inc., 4.88%, 03/01/28 (b) |  |  |  |  |  |  | 128 |  |  |  | 108,160 |
Cable One, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1.13%, 03/15/28 (h) |  |  |  |  |  |  | 1,028 |  |  |  | 861,464 |
4.00%, 11/15/30 (b) |  |  |  |  |  |  | 261 |  |  |  | 214,406 |
CCO Holdings LLC/CCO Holdings Capital Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 05/01/27 (b)(g) |  |  |  |  |  |  | 565 |  |  |  | 533,219 |
5.00%, 02/01/28 (b) |  |  |  |  |  |  | 83 |  |  |  | 76,584 |
5.38%, 06/01/29 (b)(g) |  |  |  |  |  |  | 731 |  |  |  | 653,397 |
4.75%, 03/01/30 (b) |  |  |  |  |  |  | 204 |  |  |  | 174,471 |
4.50%, 08/15/30 (b)(g) |  |  |  |  |  |  | 1,099 |  |  |  | 912,476 |
4.25%, 02/01/31 (b)(g) |  |  |  |  |  |  | 764 |  |  |  | 622,660 |
4.75%, 02/01/32 (b) |  |  |  |  |  |  | 451 |  |  |  | 369,279 |
4.50%, 05/01/32 (g) |  |  |  |  |  |  | 426 |  |  |  | 344,932 |
4.50%, 06/01/33 (b) |  |  |  |  |  |  | 260 |  |  |  | 204,885 |
4.25%, 01/15/34 (b)(g) |  |  |  |  |  |  | 991 |  |  |  | 765,547 |
Charter Communications Operating LLC/Charter Communications Operating Capital (g) |  |  |  |  |  |  |  |  |  |  |  |
4.91%, 07/23/25 |  |  |  |  |  |  | 2,425 |  |  |  | 2,430,626 |
5.38%, 05/01/47 |  |  |  |  |  |  | 425 |  |  |  | 361,871 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |
Clear Channel International BV, 6.63%, 08/01/25 (b)(g) |  |  | USD |  |  |  | 384 |  |  | $ | 357,120 |
Clear Channel Outdoor Holdings, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 08/15/27 |  |  |  |  |  |  | 1,676 |  |  |  | 1,415,097 |
7.75%, 04/15/28 |  |  |  |  |  |  | 1,017 |  |  |  | 739,939 |
7.50%, 06/01/29 |  |  |  |  |  |  | 803 |  |  |  | 577,405 |
CMG Media Corp., 8.88%, 12/15/27 (b)(g) |  |  |  |  |  |  | 617 |  |  |  | 487,436 |
Comcast Corp., 3.95%, 10/15/25 (g) |  |  |  |  |  |  | 3,000 |  |  |  | 3,011,836 |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26 (b)(g) |  |  |  |  |  |  | 2,266 |  |  |  | 2,036,296 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/24 |  |  |  |  |  |  | 123 |  |  |  | 115,005 |
6.50%, 02/01/29 (b)(g) |  |  |  |  |  |  | 865 |  |  |  | 781,207 |
5.75%, 01/15/30 (b)(g) |  |  |  |  |  |  | 660 |  |  |  | 480,170 |
4.13%, 12/01/30 (b)(g) |  |  |  |  |  |  | 626 |  |  |  | 488,280 |
3.38%, 02/15/31 (b)(g) |  |  |  |  |  |  | 257 |  |  |  | 190,003 |
4.50%, 11/15/31 (b)(g) |  |  |  |  |  |  | 488 |  |  |  | 376,321 |
Directv Financing LLC/Directv Financing Co.-Obligor, Inc., 5.88%, 08/15/27 (b)(g) |  |  |  |  |  |  | 459 |  |  |  | 391,559 |
Discovery Communications LLC (g) |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 04/01/23 |  |  |  |  |  |  | 1,490 |  |  |  | 1,485,695 |
3.45%, 03/15/25 |  |  |  |  |  |  | 170 |  |  |  | 164,598 |
DISH DBS Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 07/15/22 (g) |  |  |  |  |  |  | 1,233 |  |  |  | 1,226,009 |
5.00%, 03/15/23 |  |  |  |  |  |  | 186 |  |  |  | 177,029 |
7.75%, 07/01/26 (g) |  |  |  |  |  |  | 601 |  |  |  | 468,480 |
5.25%, 12/01/26 (b)(g) |  |  |  |  |  |  | 1,226 |  |  |  | 960,988 |
5.75%, 12/01/28 (b)(g) |  |  |  |  |  |  | 946 |  |  |  | 700,428 |
DISH Network Corp., 3.38%, 08/15/26 (h) |  |  |  |  |  |  | 260 |  |  |  | 175,630 |
Frontier Communications Holdings LLC (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 10/15/27 |  |  |  |  |  |  | 417 |  |  |  | 374,926 |
5.00%, 05/01/28 |  |  |  |  |  |  | 483 |  |  |  | 410,550 |
6.75%, 05/01/29 |  |  |  |  |  |  | 573 |  |  |  | 471,292 |
6.00%, 01/15/30 |  |  |  |  |  |  | 266 |  |  |  | 204,674 |
GCI LLC, 4.75%, 10/15/28 (b) |  |  |  |  |  |  | 198 |  |  |  | 171,557 |
iHeartCommunications, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 05/01/26 |  |  |  |  |  |  | 264 |  |  |  | 244,688 |
5.25%, 08/15/27 (b) |  |  |  |  |  |  | 122 |  |  |  | 104,411 |
4.75%, 01/15/28 (b) |  |  |  |  |  |  | 78 |  |  |  | 64,278 |
Iliad Holding SASU (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/15/26 |  |  |  |  |  |  | 486 |  |  |  | 437,385 |
7.00%, 10/15/28 |  |  |  |  |  |  | 498 |  |  |  | 433,228 |
Kaixo Bondsco Telecom SA, 5.13%, 09/30/29 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 79,382 |
Lamar Media Corp., 4.00%, 02/15/30 |  |  | USD |  |  |  | 126 |  |  |  | 105,796 |
LCPR Senior Secured Financing DAC (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 10/15/27 |  |  |  |  |  |  | 360 |  |  |  | 335,819 |
5.13%, 07/15/29 |  |  |  |  |  |  | 768 |  |  |  | 641,280 |
Liberty Broadband Corp. (b)(h) |  |  |  |  |  |  |  |  |  |  |  |
1.25%, 09/30/50 |  |  |  |  |  |  | 413 |  |  |  | 385,742 |
2.75%, 09/30/50 |  |  |  |  |  |  | 797 |  |  |  | 758,092 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23 (b)(l) |  |  |  |  |  |  | 401 |  |  |  | 205,827 |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29 (b)(g) |  |  |  |  |  |  | 748 |  |  |  | 583,440 |
Liquid Telecommunications Financing PLC, 5.50%, 09/04/26 (b) |  |  |  |  |  |  | 200 |  |  |  | 175,000 |
Live Nation Entertainment, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 11/01/24 |  |  |  |  |  |  | 31 |  |  |  | 29,605 |
6.50%, 05/15/27 (g) |  |  |  |  |  |  | 1,066 |  |  |  | 1,048,326 |
4.75%, 10/15/27 |  |  |  |  |  |  | 152 |  |  |  | 134,751 |

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
Live Nation Entertainment, Inc. (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 01/15/28 |  |  | USD |  |  |  | 192 |  |  | $ | 165,600 |
Lorca Telecom Bondco SA, 4.00%, 09/18/27 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 87,474 |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27 (b) |  |  | USD |  |  |  | 177 |  |  |  | 162,840 |
Network i2i Ltd., (5 year CMT + 4.27%), 5.65% (a)(d)(k) |  |  |  |  |  |  | 300 |  |  |  | 277,650 |
Outfront Media Capital LLC/Outfront Media Capital Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 08/15/27 (g) |  |  |  |  |  |  | 329 |  |  |  | 287,464 |
4.25%, 01/15/29 |  |  |  |  |  |  | 144 |  |  |  | 114,713 |
4.63%, 03/15/30 |  |  |  |  |  |  | 15 |  |  |  | 11,818 |
Radiate Holdco LLC/Radiate Finance, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 09/15/26 |  |  |  |  |  |  | 1,150 |  |  |  | 991,622 |
6.50%, 09/15/28 |  |  |  |  |  |  | 2,120 |  |  |  | 1,638,495 |
Sable International Finance Ltd. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 09/07/27 (d) |  |  |  |  |  |  | 245 |  |  |  | 224,567 |
5.75%, 09/07/27 (b) |  |  |  |  |  |  | 200 |  |  |  | 183,320 |
Scripps Escrow II, Inc., 3.88%, 01/15/29 (b) |  |  |  |  |  |  | 17 |  |  |  | 14,247 |
Sinclair Television Group, Inc., 4.13%, 12/01/30 (b)(g) . |  |  |  | 495 |  |  |  | 392,617 |
Sirius XM Radio, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
3.13%, 09/01/26 (g) |  |  |  |  |  |  | 491 |  |  |  | 438,085 |
5.00%, 08/01/27 |  |  |  |  |  |  | 293 |  |  |  | 271,763 |
4.00%, 07/15/28 (g) |  |  |  |  |  |  | 347 |  |  |  | 300,155 |
5.50%, 07/01/29 (g) |  |  |  |  |  |  | 722 |  |  |  | 657,922 |
4.13%, 07/01/30 |  |  |  |  |  |  | 36 |  |  |  | 30,067 |
3.88%, 09/01/31 (g) |  |  |  |  |  |  | 498 |  |  |  | 396,533 |
Stagwell Global LLC, 5.63%, 08/15/29 (b) |  |  |  |  |  |  | 101 |  |  |  | 81,157 |
Summer BC Holdco B SARL, 5.75%, 10/31/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 91,292 |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28 (b) |  |  | USD |  |  |  | 200 |  |  |  | 176,480 |
Univision Communications, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 02/15/25 |  |  |  |  |  |  | 133 |  |  |  | 125,153 |
6.63%, 06/01/27 |  |  |  |  |  |  | 234 |  |  |  | 222,794 |
7.38%, 06/30/30 |  |  |  |  |  |  | 129 |  |  |  | 126,098 |
UPC Broadband Finco BV, 4.88%, 07/15/31 (b)(g) |  |  |  |  |  |  | 449 |  |  |  | 365,935 |
Videotron Ltd., 3.63%, 06/15/29 (b) |  |  |  |  |  |  | 262 |  |  |  | 212,681 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28 (b)(g) |  |  |  |  |  |  | 754 |  |  |  | 623,911 |
VZ Secured Financing BV, 3.50%, 01/15/32 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 78,639 |
WMG Acquisition Corp., 3.88%, 07/15/30 (b) |  |  | USD |  |  |  | 136 |  |  |  | 113,091 |
Ziggo Bonds Co. BV (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  |  |  |  |  |  | 199 |  |  |  | 176,115 |
5.13%, 02/28/30 (g) |  |  |  |  |  |  | 225 |  |  |  | 176,492 |
Ziggo BV, 4.88%, 01/15/30 (b)(g) |  |  |  |  |  |  | 200 |  |  |  | 169,588 |
|  |  |  |  |  |  |  |  |  |  | 45,481,150 |
Metals & Mining — 1.7% |
ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24 (d) |  |  |  |  |  |  | 250 |  |  |  | 249,375 |
Allegheny Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 10/01/29 |  |  |  |  |  |  | 101 |  |  |  | 80,547 |
5.13%, 10/01/31 |  |  |  |  |  |  | 273 |  |  |  | 209,129 |
AngloGold Ashanti Holdings PLC, 3.75%, 10/01/30 |  |  | . |  |  |  | 200 |  |  |  | 167,250 |
Arconic Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 05/15/25 (g) |  |  |  |  |  |  | 332 |  |  |  | 323,801 |
6.13%, 02/15/28 |  |  |  |  |  |  | 343 |  |  |  | 320,287 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29 (b)(g) |  |  |  |  |  |  | 861 |  |  |  | 798,961 |
Carpenter Technology Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 07/15/28 |  |  |  |  |  |  | 44 |  |  |  | 39,275 |
7.63%, 03/15/30 |  |  |  |  |  |  | 303 |  |  |  | 278,244 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Metals & Mining (continued) |
Commercial Metals Co. |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 01/15/30 |  |  | USD |  |  |  | 70 |  |  | $ | 58,940 |
4.38%, 03/15/32 |  |  |  |  |  |  | 75 |  |  |  | 61,431 |
Constellium SE (b) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 02/15/26 (g) |  |  |  |  |  |  | 588 |  |  |  | 548,986 |
5.63%, 06/15/28 |  |  |  |  |  |  | 500 |  |  |  | 447,371 |
3.75%, 04/15/29 (g) |  |  |  |  |  |  | 756 |  |  |  | 599,563 |
FMG Resources August 2006 Pty. Ltd., 6.13%, 04/15/32 (b)(g) |  |  |  |  |  |  | 405 |  |  |  | 364,500 |
JSW Steel Ltd., 5.95%, 04/18/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 197,500 |
Kaiser Aluminum Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 03/01/28 |  |  |  |  |  |  | 191 |  |  |  | 159,011 |
4.50%, 06/01/31 |  |  |  |  |  |  | 347 |  |  |  | 262,637 |
Mineral Resources Ltd. (b) |  |  |  |  |  |  |  |  |  |  |  |
8.00%, 11/01/27 |  |  |  |  |  |  | 126 |  |  |  | 122,850 |
8.50%, 05/01/30 |  |  |  |  |  |  | 128 |  |  |  | 126,080 |
New Gold, Inc., 7.50%, 07/15/27 (b)(g) |  |  |  |  |  |  | 545 |  |  |  | 474,150 |
Nexa Resources SA, 5.38%, 05/04/27 (b)(g) |  |  |  |  |  |  | 237 |  |  |  | 218,973 |
Novelis Corp. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 11/15/26 |  |  |  |  |  |  | 472 |  |  |  | 398,970 |
4.75%, 01/30/30 |  |  |  |  |  |  | 951 |  |  |  | 790,452 |
3.88%, 08/15/31 |  |  |  |  |  |  | 511 |  |  |  | 393,567 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29 (b) |  |  |  |  |  |  | 122 |  |  |  | 103,812 |
thyssenkrupp AG, 2.88%, 02/22/24 (d) |  |  | EUR |  |  |  | 84 |  |  |  | 84,433 |
U.S. Steel Corp., 6.88%, 03/01/29 (g) |  |  | USD |  |  |  | 346 |  |  |  | 301,916 |
Vedanta Resources Finance II PLC, 13.88%, 01/21/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 178,000 |
|  |  |  |  |  |  |  |  |  |  | 8,360,011 |
Multiline Retail — 0.1% |  |  |  |  |  |  |  |  |
Bath & Body Works, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 11/01/35 (g) |  |  |  |  |  |  | 295 |  |  |  | 239,687 |
6.75%, 07/01/36 |  |  |  |  |  |  | 71 |  |  |  | 56,793 |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26 (b)(g) |  |  |  |  |  |  | 396 |  |  |  | 364,946 |
|  |  |  |  |  |  |  |  |  |  | 661,426 |
Offshore Drilling & Other Services — 0.1% |
Applied Materials, Inc., 3.90%, 10/01/25 (g) |  |  |  |  |  |  | 285 |  |  |  | 286,780 |
Entegris, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 04/15/28 |  |  |  |  |  |  | 246 |  |  |  | 217,095 |
3.63%, 05/01/29 |  |  |  |  |  |  | 40 |  |  |  | 33,449 |
|  |  |  |  |  |  |  |  |  |  | 537,324 |
Oil, Gas & Consumable Fuels — 9.2% |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26 (b)(g) |  |  |  |  |  |  | 699 |  |  |  | 679,253 |
Antero Midstream Partners LP/Antero Midstream Finance Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  |  |  |  |  | 271 |  |  |  | 252,030 |
5.75%, 01/15/28 |  |  |  |  |  |  | 59 |  |  |  | 53,715 |
5.38%, 06/15/29 |  |  |  |  |  |  | 206 |  |  |  | 184,485 |
Apache Corp. |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/30 |  |  |  |  |  |  | 205 |  |  |  | 181,681 |
5.10%, 09/01/40 (g) |  |  |  |  |  |  | 450 |  |  |  | 379,971 |
5.25%, 02/01/42 |  |  |  |  |  |  | 40 |  |  |  | 33,459 |
5.35%, 07/01/49 |  |  |  |  |  |  | 137 |  |  |  | 108,249 |
Arcosa, Inc., 4.38%, 04/15/29 (b)(g) |  |  |  |  |  |  | 374 |  |  |  | 317,359 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (b) 9.00%, 11/01/27 (g) |  |  |  |  |  |  | 639 |  |  |  | 802,062 |

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Ascent Resources Utica Holdings LLC/ARU Finance Corp. (b) (continued) 5.88%, 06/30/29 |  |  | USD |  |  |  | 291 |  |  | $ | 256,080 |
Buckeye Partners LP |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 03/01/25 (b)(g) |  |  |  |  |  |  | 262 |  |  |  | 242,567 |
5.85%, 11/15/43 |  |  |  |  |  |  | 145 |  |  |  | 102,950 |
5.60%, 10/15/44 |  |  |  |  |  |  | 86 |  |  |  | 59,888 |
Callon Petroleum Co. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 10/01/24 |  |  |  |  |  |  | 126 |  |  |  | 127,940 |
9.00%, 04/01/25 (b)(g) |  |  |  |  |  |  | 842 |  |  |  | 892,520 |
6.38%, 07/01/26 |  |  |  |  |  |  | 119 |  |  |  | 109,778 |
8.00%, 08/01/28 (b)(g) |  |  |  |  |  |  | 583 |  |  |  | 560,030 |
7.50%, 06/15/30 (b) |  |  |  |  |  |  | 549 |  |  |  | 505,157 |
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31 (d) |  |  | EUR |  |  |  | 200 |  |  |  | 142,734 |
Centennial Resource Production LLC |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 (b) |  |  | USD |  |  |  | 46 |  |  |  | 43,683 |
3.25%, 04/01/28 (g)(h) |  |  |  |  |  |  | 478 |  |  |  | 594,512 |
Central Parent, Inc./Central Merger Sub, Inc., 7.25%, 06/15/29 (b) |  |  |  |  |  |  | 560 |  |  |  | 539,000 |
Cheniere Energy Partners LP (g) |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 10/01/29 |  |  |  |  |  |  | 659 |  |  |  | 588,289 |
4.00%, 03/01/31 |  |  |  |  |  |  | 634 |  |  |  | 539,090 |
3.25%, 01/31/32 (b) |  |  |  |  |  |  | 528 |  |  |  | 415,800 |
Cheniere Energy, Inc., 4.63%, 10/15/28 (g) |  |  |  |  |  |  | 1,831 |  |  |  | 1,648,944 |
Chesapeake Energy Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 02/01/29 |  |  |  |  |  |  | 41 |  |  |  | 38,663 |
6.75%, 04/15/29 (g) |  |  |  |  |  |  | 518 |  |  |  | 500,922 |
Citgo Holding, Inc., 9.25%, 08/01/24 (b) |  |  |  |  |  |  | 228 |  |  |  | 220,590 |
Civitas Resources, Inc., 5.00%, 10/15/26 (b) |  |  |  |  |  |  | 88 |  |  |  | 78,980 |
CNX Midstream Partners LP, 4.75%, 04/15/30 (b) |  |  |  |  |  |  | 92 |  |  |  | 77,280 |
CNX Resources Corp. |  |  |  |  |  |  |  |  |  |  |  |
2.25%, 05/01/26 (h) |  |  |  |  |  |  | 499 |  |  |  | 729,288 |
6.00%, 01/15/29 (b) |  |  |  |  |  |  | 110 |  |  |  | 102,762 |
Colgate Energy Partners III LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 02/15/26 |  |  |  |  |  |  | 272 |  |  |  | 258,573 |
5.88%, 07/01/29 (g) |  |  |  |  |  |  | 353 |  |  |  | 309,316 |
Comstock Resources, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 03/01/29 |  |  |  |  |  |  | 647 |  |  |  | 579,343 |
5.88%, 01/15/30 |  |  |  |  |  |  | 543 |  |  |  | 466,980 |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31 (b) |  |  |  |  |  |  | 1,367 |  |  |  | 1,164,055 |
Crescent Energy Finance LLC, 7.25%, 05/01/26 (b)(g) |  |  |  |  |  |  | 708 |  |  |  | 644,280 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 05/01/27 |  |  |  |  |  |  | 52 |  |  |  | 46,280 |
6.00%, 02/01/29 |  |  |  |  |  |  | 47 |  |  |  | 41,011 |
8.00%, 04/01/29 |  |  |  |  |  |  | 90 |  |  |  | 83,588 |
CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25 (b)(g) |  |  |  |  |  |  | 809 |  |  |  | 760,460 |
DCP Midstream Operating LP (b) |  |  |  |  |  |  |  |  |  |  |  |
6.45%, 11/03/36 |  |  |  |  |  |  | 162 |  |  |  | 158,760 |
6.75%, 09/15/37 (g) |  |  |  |  |  |  | 295 |  |  |  | 280,619 |
DT Midstream, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 06/15/29 |  |  |  |  |  |  | 408 |  |  |  | 345,780 |
4.38%, 06/15/31 |  |  |  |  |  |  | 518 |  |  |  | 433,825 |
Dycom Industries, Inc., 4.50%, 04/15/29 (b) |  |  |  |  |  |  | 102 |  |  |  | 89,057 |
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 (b) |  |  |  |  |  |  | 290 |  |  |  | 274,412 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
eG Global Finance PLC |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 02/07/25 (b)(g) |  |  | USD |  |  |  | 596 |  |  | $ | 561,959 |
6.25%, 10/30/25 (d) |  |  | EUR |  |  |  | 142 |  |  |  | 133,360 |
8.50%, 10/30/25 (b) |  |  | USD |  |  |  | 252 |  |  |  | 244,125 |
Enbridge, Inc., (3 mo. LIBOR US + 3.64%), 6.25%, 03/01/78 (a)(g) |  |  |  |  |  |  | 1,565 |  |  |  | 1,393,067 |
Endeavor Energy Resources LP/EER Finance, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/25 |  |  |  |  |  |  | 192 |  |  |  | 192,941 |
5.75%, 01/30/28 (g) |  |  |  |  |  |  | 386 |  |  |  | 367,723 |
Energy Transfer LP (g) 3.90%, 07/15/26 |  |  |  |  |  |  | 235 |  |  |  | 225,806 |
Series H, (5 year CMT + 5.69%), 6.50% (a)(k) |  |  |  |  |  |  | 644 |  |  |  | 569,243 |
EnLink Midstream LLC |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 01/15/28 (b) |  |  |  |  |  |  | 249 |  |  |  | 228,400 |
5.38%, 06/01/29 |  |  |  |  |  |  | 335 |  |  |  | 293,195 |
EnLink Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |
4.40%, 04/01/24 (g) |  |  |  |  |  |  | 240 |  |  |  | 234,275 |
4.15%, 06/01/25 |  |  |  |  |  |  | 17 |  |  |  | 15,825 |
4.85%, 07/15/26 |  |  |  |  |  |  | 115 |  |  |  | 106,088 |
5.60%, 04/01/44 |  |  |  |  |  |  | 226 |  |  |  | 160,056 |
5.05%, 04/01/45 |  |  |  |  |  |  | 40 |  |  |  | 27,050 |
5.45%, 06/01/47 |  |  |  |  |  |  | 60 |  |  |  | 42,464 |
EQM Midstream Partners LP |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 07/01/25 (b)(g) |  |  |  |  |  |  | 94 |  |  |  | 90,116 |
4.13%, 12/01/26 |  |  |  |  |  |  | 100 |  |  |  | 86,375 |
6.50%, 07/01/27 (b)(g) |  |  |  |  |  |  | 364 |  |  |  | 338,447 |
4.50%, 01/15/29 (b) |  |  |  |  |  |  | 21 |  |  |  | 17,049 |
7.50%, 06/01/30 (b) |  |  |  |  |  |  | 84 |  |  |  | 80,694 |
4.75%, 01/15/31 (b)(g) |  |  |  |  |  |  | 663 |  |  |  | 528,742 |
EQT Corp., 1.75%, 05/01/26 (h) |  |  |  |  |  |  | 193 |  |  |  | 454,611 |
Genesis Energy LP/Genesis Energy Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25 |  |  |  |  |  |  | 46 |  |  |  | 42,435 |
7.75%, 02/01/28 |  |  |  |  |  |  | 118 |  |  |  | 102,076 |
Geopark Ltd., 5.50%, 01/17/27 (b) |  |  |  |  |  |  | 200 |  |  |  | 166,325 |
Gulfport Energy Corp., 8.00%, 05/17/26 (b) |  |  |  |  |  |  | 37 |  |  |  | 36,398 |
Harvest Midstream I LP, 7.50%, 09/01/28 (b) |  |  |  |  |  |  | 60 |  |  |  | 56,354 |
Hess Corp., 4.30%, 04/01/27 (g) |  |  |  |  |  |  | 50 |  |  |  | 48,739 |
Hess Midstream Operations LP, 4.25%, 02/15/30 (b) . |  |  |  |  |  |  | 240 |  |  |  | 200,992 |
Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, 11/01/28 (b) |  |  |  |  |  |  | 32 |  |  |  | 30,160 |
Hilong Holding Ltd., 9.75%, 11/18/24 (d) |  |  |  |  |  |  | 207 |  |  |  | 112,466 |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26 (d) |  |  |  |  |  |  | 200 |  |  |  | 187,000 |
HTA Group Ltd., 7.00%, 12/18/25 (b) |  |  |  |  |  |  | 200 |  |  |  | 166,788 |
IHS Holding Ltd., 6.25%, 11/29/28 (b) |  |  |  |  |  |  | 200 |  |  |  | 159,500 |
Impulsora Pipeline LLC, 6.05%, 12/31/42 (c) |  |  |  |  |  |  | 1,382 |  |  |  | 1,223,330 |
ITT Holdings LLC, 6.50%, 08/01/29 (b) |  |  |  |  |  |  | 343 |  |  |  | 274,400 |
Kinetik Holdings LP, 5.88%, 06/15/30 (b)(g) |  |  |  |  |  |  | 553 |  |  |  | 526,796 |
Matador Resources Co., 5.88%, 09/15/26 (g) |  |  |  |  |  |  | 1,116 |  |  |  | 1,072,788 |
Medco Bell Pte. Ltd., 6.38%, 01/30/27 (d) |  |  |  |  |  |  | 250 |  |  |  | 211,250 |
MPLX LP, 4.25%, 12/01/27 (g) |  |  |  |  |  |  | 185 |  |  |  | 178,521 |
Murphy Oil Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 08/15/25 |  |  |  |  |  |  | 63 |  |  |  | 62,339 |
5.88%, 12/01/27 |  |  |  |  |  |  | 56 |  |  |  | 52,262 |
6.13%, 12/01/42 |  |  |  |  |  |  | 29 |  |  |  | 21,678 |
Murphy Oil USA, Inc., 4.75%, 09/15/29 |  |  |  |  |  |  | 146 |  |  |  | 131,409 |
Nabors Industries Ltd. (b) |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 01/15/26 |  |  |  |  |  |  | 85 |  |  |  | 75,382 |
7.50%, 01/15/28 |  |  |  |  |  |  | 140 |  |  |  | 120,400 |
Nabors Industries, Inc., 7.38%, 05/15/27 (b) |  |  |  |  |  |  | 331 |  |  |  | 314,450 |

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Neptune Energy Bondco PLC, 6.63%, 05/15/25 (b) |  |  | USD |  |  |  | 200 |  |  | $ | 192,000 |
New Fortress Energy, Inc. (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 09/15/25 |  |  |  |  |  |  | 657 |  |  |  | 620,865 |
6.50%, 09/30/26 |  |  |  |  |  |  | 1,086 |  |  |  | 983,657 |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26 (b) |  |  |  |  |  |  | 171 |  |  |  | 153,900 |
NGPL PipeCo LLC, 7.77%, 12/15/37 (b)(g) |  |  |  |  |  |  | 227 |  |  |  | 247,030 |
Northern Oil & Gas, Inc., 8.13%, 03/01/28 (b)(g) |  |  |  |  |  |  | 755 |  |  |  | 711,587 |
NuStar Logistics LP |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 06/01/26 |  |  |  |  |  |  | 163 |  |  |  | 152,405 |
6.38%, 10/01/30 |  |  |  |  |  |  | 25 |  |  |  | 21,721 |
Occidental Petroleum Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.95%, 07/01/24 |  |  |  |  |  |  | 63 |  |  |  | 64,890 |
8.00%, 07/15/25 |  |  |  |  |  |  | 36 |  |  |  | 37,890 |
5.88%, 09/01/25 |  |  |  |  |  |  | 117 |  |  |  | 116,491 |
5.50%, 12/01/25 |  |  |  |  |  |  | 151 |  |  |  | 148,735 |
8.88%, 07/15/30 |  |  |  |  |  |  | 100 |  |  |  | 114,808 |
6.63%, 09/01/30 (g) |  |  |  |  |  |  | 649 |  |  |  | 668,470 |
6.13%, 01/01/31 |  |  |  |  |  |  | 78 |  |  |  | 79,047 |
7.50%, 05/01/31 |  |  |  |  |  |  | 85 |  |  |  | 91,375 |
6.45%, 09/15/36 |  |  |  |  |  |  | 98 |  |  |  | 100,450 |
6.20%, 03/15/40 (g) |  |  |  |  |  |  | 944 |  |  |  | 929,840 |
6.60%, 03/15/46 |  |  |  |  |  |  | 64 |  |  |  | 67,968 |
Odebrecht Offshore Drilling Finance Ltd., (7.72% PIK), 7.72%, 12/01/26 (b)(l) |  |  |  |  |  |  | — | (m) |  |  | 40 |
Oil & Gas Holding Co., 7.63%, 11/07/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 205,725 |
OQ SAOC, 5.13%, 05/06/28 (b) |  |  |  |  |  |  | 200 |  |  |  | 188,350 |
PDC Energy, Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 09/15/24 |  |  |  |  |  |  | 75 |  |  |  | 74,490 |
5.75%, 05/15/26 |  |  |  |  |  |  | 235 |  |  |  | 219,215 |
Petroleos Mexicanos |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 03/13/27 (g) |  |  |  |  |  |  | 107 |  |  |  | 92,368 |
5.95%, 01/28/31 (g) |  |  |  |  |  |  | 273 |  |  |  | 199,181 |
6.38%, 01/23/45 (g) |  |  |  |  |  |  | 109 |  |  |  | 65,536 |
6.75%, 09/21/47 |  |  |  |  |  |  | 57 |  |  |  | 34,913 |
7.69%, 01/23/50 |  |  |  |  |  |  | 88 |  |  |  | 58,740 |
Pioneer Natural Resources Co., 0.25%, 05/15/25 (h) |  |  |  |  |  |  | 283 |  |  |  | 611,846 |
Puma International Financing SA, 5.13%, 10/06/24 (b) |  |  |  |  |  |  | 200 |  |  |  | 181,000 |
Range Resources Corp. |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 03/15/23 |  |  |  |  |  |  | 189 |  |  |  | 187,582 |
4.88%, 05/15/25 |  |  |  |  |  |  | 14 |  |  |  | 13,656 |
Rockcliff Energy II LLC, 5.50%, 10/15/29 (b) |  |  |  |  |  |  | 377 |  |  |  | 343,059 |
SM Energy Co. |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 06/01/25 |  |  |  |  |  |  | 74 |  |  |  | 69,930 |
6.75%, 09/15/26 |  |  |  |  |  |  | 156 |  |  |  | 147,165 |
6.63%, 01/15/27 |  |  |  |  |  |  | 34 |  |  |  | 31,790 |
6.50%, 07/15/28 |  |  |  |  |  |  | 172 |  |  |  | 158,189 |
Southwestern Energy Co. |  |  |  |  |  |  |  |  |  |  |  |
5.95%, 01/23/25 |  |  |  |  |  |  | 18 |  |  |  | 17,782 |
5.38%, 02/01/29 (g) |  |  |  |  |  |  | 279 |  |  |  | 258,800 |
4.75%, 02/01/32 |  |  |  |  |  |  | 161 |  |  |  | 137,579 |
Sunoco LP/Sunoco Finance Corp. |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 04/15/27 |  |  |  |  |  |  | 63 |  |  |  | 60,063 |
5.88%, 03/15/28 |  |  |  |  |  |  | 124 |  |  |  | 113,058 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 03/01/27 |  |  |  |  |  |  | 41 |  |  |  | 36,593 |
6.00%, 12/31/30 |  |  |  |  |  |  | 28 |  |  |  | 23,240 |
6.00%, 09/01/31 |  |  |  |  |  |  | 131 |  |  |  | 108,075 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Tap Rock Resources LLC, 7.00%, 10/01/26 (b)(g) |  |  | USD |  |  |  | 768 |  |  | $ | 725,160 |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 (g) |  |  |  |  |  |  | 280 |  |  |  | 271,283 |
Transocean, Inc., 11.50%, 01/30/27 (b) |  |  |  |  |  |  | 171 |  |  |  | 160,506 |
Venture Global Calcasieu Pass LLC (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 08/15/29 |  |  |  |  |  |  | 827 |  |  |  | 723,398 |
4.13%, 08/15/31 |  |  |  |  |  |  | 705 |  |  |  | 602,437 |
3.88%, 11/01/33 |  |  |  |  |  |  | 1,545 |  |  |  | 1,274,625 |
Vermilion Energy, Inc., 6.88%, 05/01/30 (b) |  |  |  |  |  |  | 159 |  |  |  | 142,305 |
Vivo Energy Investments BV, 5.13%, 09/24/27 (b) |  |  |  |  |  |  | 200 |  |  |  | 188,500 |
Western Midstream Operating LP |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 08/15/28 |  |  |  |  |  |  | 37 |  |  |  | 33,804 |
5.45%, 04/01/44 |  |  |  |  |  |  | 339 |  |  |  | 281,756 |
5.30%, 03/01/48 |  |  |  |  |  |  | 199 |  |  |  | 160,424 |
5.50%, 08/15/48 |  |  |  |  |  |  | 99 |  |  |  | 80,685 |
5.75%, 02/01/50 (g) |  |  |  |  |  |  | 795 |  |  |  | 638,432 |
|  |  |  |  |  |  |  |  |  |  | 44,436,308 |
Personal Products — 0.0% |
Coty, Inc., 3.88%, 04/15/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 92,419 |
Pharmaceuticals — 1.5% |
AbbVie, Inc., 2.95%, 11/21/26 (g) |  |  | USD |  |  |  | 1,750 |  |  |  | 1,658,207 |
Bausch Health Cos., Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 12/15/25 |  |  |  |  |  |  | 114 |  |  |  | 84,229 |
6.13%, 02/01/27 |  |  |  |  |  |  | 64 |  |  |  | 54,400 |
5.00%, 02/15/29 |  |  |  |  |  |  | 108 |  |  |  | 56,160 |
6.25%, 02/15/29 (g) |  |  |  |  |  |  | 7 |  |  |  | 3,725 |
7.25%, 05/30/29 (g) |  |  |  |  |  |  | 117 |  |  |  | 63,473 |
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 89,040 |
CVS Health Corp. (g) |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/22 |  |  | USD |  |  |  | 165 |  |  |  | 165,423 |
3.25%, 08/15/29 |  |  |  |  |  |  | 1,750 |  |  |  | 1,597,508 |
Elanco Animal Health, Inc., 6.40%, 08/28/28 |  |  |  |  |  |  | 156 |  |  |  | 148,496 |
Gruenenthal GmbH, 4.13%, 05/15/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 89,600 |
Jazz Securities DAC, 4.38%, 01/15/29 (b)(g) |  |  | USD |  |  |  | 441 |  |  |  | 392,277 |
Nidda BondsCo GmbH, 7.25%, 09/30/25 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 87,313 |
Nidda Healthcare Holding GmbH, 3.50%, 09/30/24 (d) |  |  |  |  |  |  | 100 |  |  |  | 92,587 |
Option Care Health, Inc., 4.38%, 10/31/29 (b) |  |  | USD |  |  |  | 208 |  |  |  | 178,360 |
Organon & Co./Organon Foreign Debt Co-Issuer BV (b)(g) |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 04/30/28 |  |  |  |  |  |  | 790 |  |  |  | 699,150 |
5.13%, 04/30/31 |  |  |  |  |  |  | 772 |  |  |  | 666,105 |
P&L Development LLC/PLD Finance Corp., 7.75%, 11/15/25 (b) |  |  |  |  |  |  | 266 |  |  |  | 186,213 |
PRA Health Sciences, Inc., 2.88%, 07/15/26 (b)(g) |  |  |  |  |  |  | 484 |  |  |  | 430,760 |
Prestige Brands, Inc., 3.75%, 04/01/31 (b) |  |  |  |  |  |  | 149 |  |  |  | 123,551 |
Teva Pharmaceutical Finance Netherlands II BV |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/31/25 |  |  | EUR |  |  |  | 100 |  |  |  | 102,064 |
3.75%, 05/09/27 |  |  |  |  |  |  | 100 |  |  |  | 88,604 |
|  |  |  |  |  |  |  |  |  |  | 7,057,245 |
Real Estate Management & Development — 0.7% |
Adler Group SA, 2.75%, 11/13/26 (d) |  |  |  |  |  |  | 100 |  |  |  | 52,502 |
Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26 (b)(g) |  |  | USD |  |  |  | 260 |  |  |  | 235,592 |
China Aoyuan Group Ltd. (d)(e)(j) |  |  |  |  |  |  |  |  |  |  |  |
6.35%, 02/08/24 |  |  |  |  |  |  | 400 |  |  |  | 32,000 |
6.20%, 03/24/26 |  |  |  |  |  |  | 200 |  |  |  | 16,000 |
CIFI Holdings Group Co. Ltd., 6.00%, 07/16/25 (d) |  |  |  |  |  |  | 200 |  |  |  | 118,500 |

Security |  |  |  |  | Par (000) |  |  | Value |
Real Estate Management & Development (continued) |  |  |  |
Country Garden Holdings Co. Ltd., 6.50%, 04/08/24 (d) |  |  | USD |  |  |  | 200 |  |  | $ | 124,000 |
DIC Asset AG, 2.25%, 09/22/26 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 69,689 |
Easy Tactic Ltd., 11.75%, 08/02/23 (d) |  |  | USD |  |  |  | 200 |  |  |  | 43,600 |
Fantasia Holdings Group Co. Ltd. (d)(e)(j) |  |  |  |  |  |  |  |  |  |  |  |
11.75%, 04/17/22 |  |  |  |  |  |  | 400 |  |  |  | 33,000 |
11.88%, 06/01/23 |  |  |  |  |  |  | 200 |  |  |  | 16,500 |
9.25%, 07/28/23 |  |  |  |  |  |  | 200 |  |  |  | 16,500 |
9.88%, 10/19/23 |  |  |  |  |  |  | 200 |  |  |  | 16,500 |
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25 (b)(g) |  |  |  |  |  |  | 90 |  |  |  | 75,488 |
Global Prime Capital Pte. Ltd., 5.50%, 10/18/23 (d) |  |  |  |  |  |  | 200 |  |  |  | 197,037 |
Greystar Real Estate Partners LLC, 5.75%, 12/01/25 (b) |  |  |  |  |  |  | 100 |  |  |  | 94,655 |
Howard Hughes Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 08/01/28 |  |  |  |  |  |  | 180 |  |  |  | 150,750 |
4.13%, 02/01/29 |  |  |  |  |  |  | 149 |  |  |  | 114,922 |
4.38%, 02/01/31 |  |  |  |  |  |  | 140 |  |  |  | 103,612 |
Jingrui Holdings Ltd., 12.00%, 07/25/22 (d) |  |  |  |  |  |  | 200 |  |  |  | 30,859 |
KWG Group Holdings Ltd., 5.88%, 11/10/24 (d) |  |  |  |  |  |  | 231 |  |  |  | 45,045 |
MAF Sukuk Ltd. (d) |  |  |  |  |  |  |  |  |  |  |  |
4.64%, 05/14/29 |  |  |  |  |  |  | 275 |  |  |  | 275,137 |
3.93%, 02/28/30 |  |  |  |  |  |  | 238 |  |  |  | 227,632 |
Modern Land China Co. Ltd., 9.80%, 04/11/23 (c)(d)(e)(j) |  |  |  |  |  |  | 431 |  |  |  | 68,960 |
Realogy Group LLC/Realogy Co-Issuer Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/29 |  |  |  |  |  |  | 456 |  |  |  | 345,794 |
5.25%, 04/15/30 |  |  |  |  |  |  | 135 |  |  |  | 99,900 |
Ronshine China Holdings Ltd., 6.75%, 08/05/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 23,000 |
Shimao Group Holdings Ltd., 3.45%, 01/11/31 (d)(e)(j) |  |  |  |  |  |  | 200 |  |  |  | 21,000 |
Shui On Development Holding Ltd., 5.50%, 03/03/25 (d) |  |  |  |  |  |  | 209 |  |  |  | 157,795 |
Sinic Holdings Group Co. Ltd., 10.50%, 12/18/22 (c)(e)(j) |  |  |  |  |  |  | 200 |  |  |  | 4,000 |
Starwood Property Trust, Inc., 4.38%, 01/15/27 (b) |  |  |  |  |  |  | 77 |  |  |  | 66,841 |
Sunac China Holdings Ltd., 7.00%, 07/09/25 (d)(e)(j) |  |  |  |  |  |  | 200 |  |  |  | 28,000 |
Theta Capital Pte. Ltd., 8.13%, 01/22/25 (d) |  |  |  |  |  |  | 200 |  |  |  | 172,000 |
Times China Holdings Ltd. (d) |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 07/08/25 |  |  |  |  |  |  | 390 |  |  |  | 54,600 |
6.20%, 03/22/26 |  |  |  |  |  |  | 277 |  |  |  | 38,780 |
Wanda Group Overseas Ltd., 7.50%, 07/24/22 (d) |  |  |  |  |  |  | 200 |  |  |  | 194,000 |
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24 (d) |  |  |  |  |  |  | 200 |  |  |  | 169,000 |
Yuzhou Group Holdings Co. Ltd. (d)(e)(j) |  |  |  |  |  |  |  |  |  |  |  |
8.38%, 10/30/24 |  |  |  |  |  |  | 200 |  |  |  | 14,000 |
7.70%, 02/20/25 |  |  |  |  |  |  | 200 |  |  |  | 13,000 |
8.30%, 05/27/25 |  |  |  |  |  |  | 200 |  |  |  | 13,000 |
|  |  |  |  |  |  |  |  |  |  | 3,573,190 |
Road & Rail — 0.5% |  |  |  |  |  |  |  |  |
Danaos Corp., 8.50%, 03/01/28 (b) |  |  |  |  |  |  | 100 |  |  |  | 99,002 |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34 (b)(g) |  |  |  |  |  |  | 1,461 |  |  |  | 1,430,900 |
Seaspan Corp., 5.50%, 08/01/29 (b)(g) |  |  |  |  |  |  | 353 |  |  |  | 284,012 |
Union Pacific Corp., 3.20%, 05/20/41 (g) |  |  |  |  |  |  | 600 |  |  |  | 489,422 |
|  |  |  |  |  |  |  |  |  |  | 2,303,336 |
Semiconductors & Semiconductor Equipment — 1.4% |
Broadcom, Inc. (g) |  |  |  |  |  |  |  |  |  |  |  |
3.46%, 09/15/26 |  |  |  |  |  |  | 578 |  |  |  | 553,761 |
4.11%, 09/15/28 |  |  |  |  |  |  | 1,594 |  |  |  | 1,512,448 |
Entegris Escrow Corp., 4.75%, 04/15/29 (b)(g) |  |  |  |  |  |  | 1,292 |  |  |  | 1,203,147 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Semiconductors & Semiconductor Equipment (continued) |
Microchip Technology, Inc. (h) |  |  |  |  |  |  |  |  |  |  |  |
0.13%, 11/15/24 |  |  | USD |  |  |  | 250 |  |  | $ | 248,750 |
1.63%, 02/15/25 |  |  |  |  |  |  | 86 |  |  |  | 213,952 |
1.63%, 02/15/27 |  |  |  |  |  |  | 61 |  |  |  | 101,298 |
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25 |  |  |  |  |  |  | 33 |  |  |  | 31,353 |
Qualcomm, Inc., 1.65%, 05/20/32 (g) |  |  |  |  |  |  | 1,779 |  |  |  | 1,436,781 |
Sensata Technologies BV (b) |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 11/01/24 (g) |  |  |  |  |  |  | 229 |  |  |  | 226,060 |
5.00%, 10/01/25 (g) |  |  |  |  |  |  | 324 |  |  |  | 311,040 |
4.00%, 04/15/29 |  |  |  |  |  |  | 168 |  |  |  | 142,477 |
Sensata Technologies, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 02/15/30 (g) |  |  |  |  |  |  | 571 |  |  |  | 486,023 |
3.75%, 02/15/31 |  |  |  |  |  |  | 34 |  |  |  | 27,250 |
Synaptics, Inc., 4.00%, 06/15/29 (b) |  |  |  |  |  |  | 192 |  |  |  | 155,900 |
|  |  |  |  |  |  |  |  |  |  | 6,650,240 |
Software — 1.6% |  |  |  |  |  |  |  |  |
ACI Worldwide, Inc., 5.75%, 08/15/26 (b)(g) |  |  |  |  |  |  | 444 |  |  |  | 428,580 |
Black Knight InfoServ LLC, 3.63%, 09/01/28 (b)(g) |  |  |  |  |  |  | 386 |  |  |  | 333,890 |
Boxer Parent Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 10/02/25 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 98,130 |
7.13%, 10/02/25 (b)(g) |  |  | USD |  |  |  | 398 |  |  |  | 381,109 |
9.13%, 03/01/26 (b)(g) |  |  |  |  |  |  | 678 |  |  |  | 633,396 |
Cedacri Mergeco SpA, (3 mo. EURIBOR + 4.63%), 4.63%, 05/15/28 (a)(d) |  |  | EUR |  |  |  | 100 |  |  |  | 96,598 |
Elastic NV, 4.13%, 07/15/29 (b)(g) |  |  | USD |  |  |  | 376 |  |  |  | 313,877 |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28 (b) |  |  |  |  |  |  | 200 |  |  |  | 158,728 |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32 (b) |  |  |  |  |  |  | 230 |  |  |  | 185,636 |
MicroStrategy, Inc., 6.13%, 06/15/28 (b)(g) |  |  |  |  |  |  | 451 |  |  |  | 359,145 |
MSCI, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 11/15/29 |  |  |  |  |  |  | 83 |  |  |  | 73,565 |
3.63%, 09/01/30 |  |  |  |  |  |  | 147 |  |  |  | 122,551 |
3.88%, 02/15/31 (g) |  |  |  |  |  |  | 373 |  |  |  | 318,915 |
3.63%, 11/01/31 |  |  |  |  |  |  | 129 |  |  |  | 106,186 |
3.25%, 08/15/33 |  |  |  |  |  |  | 183 |  |  |  | 145,868 |
Open Text Corp. (b) |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 02/15/28 (g) |  |  |  |  |  |  | 268 |  |  |  | 238,367 |
3.88%, 12/01/29 |  |  |  |  |  |  | 196 |  |  |  | 164,963 |
Open Text Holdings, Inc., 4.13%, 02/15/30 (b)(g) |  |  |  |  |  |  | 256 |  |  |  | 221,453 |
Oracle Corp., 3.60%, 04/01/50 (g) |  |  |  |  |  |  | 785 |  |  |  | 545,307 |
Playtika Holding Corp., 4.25%, 03/15/29 (b)(g) |  |  |  |  |  |  | 391 |  |  |  | 322,575 |
PTC, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
3.63%, 02/15/25 |  |  |  |  |  |  | 76 |  |  |  | 71,879 |
4.00%, 02/15/28 |  |  |  |  |  |  | 187 |  |  |  | 168,986 |
SS&C Technologies, Inc., 5.50%, 09/30/27 (b)(g) |  |  |  |  |  |  | 1,507 |  |  |  | 1,405,368 |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, |  |  |  |  |  |  |  |  |  |  |  |
09/01/25 (b)(g) |  |  |  |  |  |  | 814 |  |  |  | 610,862 |
|  |  |  |  |  |  |  |  |  |  | 7,505,934 |
Specialty Retail — 0.4% |  |  |  |  |  |  |  |  |
Arko Corp., 5.13%, 11/15/29 (b) |  |  |  |  |  |  | 181 |  |  |  | 137,113 |
Bath & Body Works, Inc., 7.60%, 07/15/37 |  |  |  |  |  |  | 60 |  |  |  | 48,370 |
Carvana Co., 10.25%, 05/01/30 (b) |  |  |  |  |  |  | 166 |  |  |  | 136,120 |
National Vision Holdings, Inc., 2.50%, 05/15/25 (h) |  |  |  |  |  |  | 244 |  |  |  | 273,597 |
PetSmart, Inc./PetSmart Finance Corp. (b) 4.75%, 02/15/28 |  |  |  |  |  |  | 343 |  |  |  | 296,777 |

Security |  |  |  |  | Par (000) |  |  | Value |
Specialty Retail (continued) |  |  |  |  |  |  |  |  |
PetSmart, Inc./PetSmart Finance Corp. (b) (continued) |  |  |  |  |  |  |  |  |  |  |  |
7.75%, 02/15/29 (g) |  |  | USD |  |  |  | 587 |  |  | $ | 528,599 |
Staples, Inc., 7.50%, 04/15/26 (b)(g) |  |  |  |  |  |  | 434 |  |  |  | 359,730 |
Tendam Brands SAU, (3 mo. EURIBOR + 5.25%), 5.25%, 09/15/24 (a)(d) |  |  | EUR |  |  |  | 100 |  |  |  | 100,035 |
|  |  |  |  |  |  |  |  |  |  | 1,880,341 |
Technology Hardware, Storage & Peripherals — 0.1% |
II-VI, Inc., 5.00%, 12/15/29 (b)(g) |  |  | USD |  |  |  | 430 |  |  |  | 375,175 |
Textiles, Apparel & Luxury Goods (b) — 0.1% |
Crocs, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.25%, 03/15/29 |  |  |  |  |  |  | 25 |  |  |  | 18,492 |
4.13%, 08/15/31 |  |  |  |  |  |  | 149 |  |  |  | 105,456 |
Kontoor Brands, Inc., 4.13%, 11/15/29 |  |  |  |  |  |  | 98 |  |  |  | 77,824 |
Levi Strauss & Co., 3.50%, 03/01/31 |  |  |  |  |  |  | 125 |  |  |  | 102,187 |
William Carter Co., 5.63%, 03/15/27 |  |  |  |  |  |  | 160 |  |  |  | 149,826 |
|  |  |  |  |  |  |  |  |  |  | 453,785 |
Thrifts & Mortgage Finance — 0.2% |
Home Point Capital, Inc., 5.00%, 02/01/26 (b) |  |  |  |  |  |  | 194 |  |  |  | 133,860 |
Jerrold Finco PLC, 5.25%, 01/15/27 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 107,335 |
MGIC Investment Corp., 5.25%, 08/15/28 |  |  | USD |  |  |  | 167 |  |  |  | 149,540 |
Nationstar Mortgage Holdings, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  |  |  |  |  |  | 147 |  |  |  | 127,514 |
5.13%, 12/15/30 |  |  |  |  |  |  | 104 |  |  |  | 77,743 |
5.75%, 11/15/31 |  |  |  |  |  |  | 98 |  |  |  | 75,039 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26 (b) |  |  |  |  |  |  | 296 |  |  |  | 244,617 |
|  |  |  |  |  |  |  |  |  |  | 915,648 |
Transportation — 0.0% |  |  |  |  |  |  |  |  |
Autostrade per l’Italia SpA, 2.00%, 12/04/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 85,412 |
Transportation Infrastructure — 0.2% |  |  |  |  |  |  |  |  |
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29 (b) |  |  | USD |  |  |  | 200 |  |  |  | 180,375 |
Autostrade per l’Italia SpA, 1.63%, 01/25/28 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 87,256 |
DP World Salaam, (5 year CMT + 5.75%), 6.00% (a)(d)(k) |  |  | USD |  |  |  | 200 |  |  |  | 200,563 |
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27 (d) |  |  |  |  |  |  | 200 |  |  |  | 167,850 |
Heathrow Finance PLC, 4.63%, 09/01/29 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 104,871 |
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26 (b)(g) |  |  | USD |  |  |  | 435 |  |  |  | 430,488 |
|  |  |  |  |  |  |  |  |  |  | 1,171,403 |
Utilities — 0.7% |  |  |  |  |  |  |  |  |
American Water Capital Corp., 4.45%, 06/01/32 (g) |  |  |  |  |  |  | 900 |  |  |  | 894,688 |
Consensus Cloud Solutions, Inc. (b) |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 10/15/26 |  |  |  |  |  |  | 71 |  |  |  | 61,081 |
6.50%, 10/15/28 |  |  |  |  |  |  | 64 |  |  |  | 52,813 |
FEL Energy VI SARL, 5.75%, 12/01/40 |  |  |  |  |  |  | 188 |  |  |  | 136,904 |
Genneia SA, 8.75%, 09/02/27 (b) |  |  |  |  |  |  | 70 |  |  |  | 65,594 |
Inkia Energy Ltd., 5.88%, 11/09/27 (b)(g) |  |  |  |  |  |  | 377 |  |  |  | 342,787 |
Mong Duong Finance Holdings BV, 5.13%, 05/07/29 (d) |  |  |  |  |  |  | 250 |  |  |  | 201,141 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28 (b)(g) |  |  |  |  |  |  | 433 |  |  |  | 376,710 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Utilities (continued) |  |  |  |  |  |  |  |  |
Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38 (b) |  |  | USD |  |  |  | 280 |  |  | $ | 237,265 |
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33 (d) |  |  |  |  |  |  | 165 |  |  |  | 154,081 |
Thames Water Kemble Finance PLC, 4.63%, 05/19/26 (d) |  |  | GBP |  |  |  | 168 |  |  |  | 190,749 |
Vistra Operations Co. LLC (b) |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 09/01/26 |  |  | USD |  |  |  | 8 |  |  |  | 7,555 |
5.63%, 02/15/27 (g) |  |  |  |  |  |  | 422 |  |  |  | 396,790 |
4.38%, 05/01/29 |  |  |  |  |  |  | 227 |  |  |  | 189,915 |
|  |  |  |  |  |  |  |  |  |  | 3,308,073 |
Wireless Telecommunication Services — 1.5% |
Altice France SA |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 02/01/27 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 90,805 |
8.13%, 02/01/27 (b)(g) |  |  | USD |  |  |  | 507 |  |  |  | 466,638 |
5.50%, 01/15/28 (b)(g) |  |  |  |  |  |  | 381 |  |  |  | 307,033 |
4.13%, 01/15/29 (d) |  |  | EUR |  |  |  | 100 |  |  |  | 78,909 |
5.13%, 01/15/29 (b) |  |  | USD |  |  |  | 200 |  |  |  | 151,522 |
5.13%, 07/15/29 (b)(g) |  |  |  |  |  |  | 902 |  |  |  | 681,010 |
5.50%, 10/15/29 (b)(g) |  |  |  |  |  |  | 477 |  |  |  | 364,385 |
Kenbourne Invest SA, 6.88%, 11/26/24 (b) |  |  |  |  |  |  | 275 |  |  |  | 250,130 |
Millicom International Cellular SA, 5.13%, 01/15/28 (d) |  |  |  |  |  |  | 248 |  |  |  | 210,994 |
Rogers Communications, Inc., 5.00%, 03/15/44 (g) |  |  |  |  |  |  | 545 |  |  |  | 507,319 |
SBA Communications Corp. |  |  |  |  |  |  |  |  |  |  |  |
3.13%, 02/01/29 |  |  |  |  |  |  | 25 |  |  |  | 20,463 |
3.88%, 02/15/27 (g) |  |  |  |  |  |  | 1,106 |  |  |  | 1,009,546 |
Sprint Corp., 7.63%, 03/01/26 (g) |  |  |  |  |  |  | 506 |  |  |  | 533,135 |
T-Mobile USA, Inc. |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 02/01/28 (g) |  |  |  |  |  |  | 532 |  |  |  | 515,620 |
2.63%, 02/15/29 |  |  |  |  |  |  | 240 |  |  |  | 202,029 |
3.38%, 04/15/29 |  |  |  |  |  |  | 155 |  |  |  | 135,625 |
2.88%, 02/15/31 (g) |  |  |  |  |  |  | 180 |  |  |  | 149,441 |
3.50%, 04/15/31 |  |  |  |  |  |  | 373 |  |  |  | 322,059 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29 (b)(g) |  |  |  |  |  |  | 525 |  |  |  | 384,562 |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25 (b) |  |  |  |  |  |  | 75 |  |  |  | 71,344 |
Vmed O2 U.K. Financing I PLC |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 01/31/29 (d) |  |  | GBP |  |  |  | 100 |  |  |  | 96,561 |
4.50%, 07/15/31 (d) |  |  |  |  |  |  | 100 |  |  |  | 95,862 |
4.75%, 07/15/31 (b)(g) |  |  | USD |  |  |  | 797 |  |  |  | 643,856 |
|  |  |  |  |  |  |  |  |  |  | 7,288,848 |
Total Corporate Bonds — 77.3% (Cost: $426,934,217) |  |  |  |  |  |  |  |  |  |  | 372,588,936 |
Floating Rate Loan Interests (a) |
Aerospace & Defense — 1.8% |  |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |  |  |  |  |  |  | 2,574 |  |  |  | 2,372,876 |
Term Loan C, (3 mo. LIBOR + 4.25%, 0.75% Floor), 5.82%, 05/25/28 |  |  |  |  |  |  | 523 |  |  |  | 482,619 |
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 6.25%, 10/31/26 |  |  |  |  |  |  | 285 |  |  |  | 275,844 |

Security |  |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |
Cobham Ultra U.S. Co-Borrower LLC, USD Term Loan B, 11/17/28 |  |  | USD |  |  |  | 155 |  |  | $ | 147,121 |
Dynasty Acquisition Co., Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 CAD Term Loan B2, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |  |  |  |  |  |  | 784 |  |  |  | 721,040 |
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 04/06/26 |  |  |  |  |  |  | 1,459 |  |  |  | 1,341,136 |
Peraton Corp. |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%, 0.75% Floor), 9.00%, 02/01/29 |  |  |  |  |  |  | 455 |  |  |  | 422,068 |
Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/01/28 |  |  |  |  |  |  | 2,265 |  |  |  | 2,122,124 |
TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 3.92%, 12/09/25 |  |  |  |  |  |  | 853 |  |  |  | 807,335 |
|  |  |  |  |  |  |  |  |  |  | 8,692,163 |
Air Freight & Logistics — 0.2% |  |  |  |  |  |  |  |  |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.72%, 04/06/28 |  |  |  |  |  |  | 275 |  |  |  | 248,346 |
Kestrel Bidco, Inc., Term Loan B, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.03%, 12/11/26 |  |  |  |  |  |  | 178 |  |  |  | 158,987 |
PECF USS Intermediate Holding III Corp., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/15/28 |  |  |  |  |  |  | 602 |  |  |  | 542,282 |
|  |  |  |  |  |  |  |  |  |  | 949,615 |
Airlines — 1.4% |  |  |  |  |  |  |  |  |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.81%, 04/20/28 |  |  |  |  |  |  | 942 |  |  |  | 897,296 |
Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28 (c) |  |  |  |  |  |  | 1,178 |  |  |  | 1,080,998 |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 3.40%, 01/29/27 |  |  |  |  |  |  | 692 |  |  |  | 607,813 |
2017 Incremental Term Loan, (6 mo. LIBOR + 2.00%), 2.84%, 12/15/23 |  |  |  |  |  |  | 763 |  |  |  | 736,184 |
2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.37%, 06/27/25 |  |  |  |  |  |  | 314 |  |  |  | 277,458 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 7.31%, 06/21/27 |  |  |  |  |  |  | 1,583 |  |  |  | 1,560,975 |
United Airlines, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.39%, 04/21/28 |  |  |  |  |  |  | 1,677 |  |  |  | 1,554,169 |
|  |  |  |  |  |  |  |  |  |  | 6,714,893 |
Auto Components — 1.0% |  |  |  |  |  |  |  |  |
Adient U.S. LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/10/28 |  |  |  |  |  |  | 337 |  |  |  | 313,395 |
Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/30/26 |  |  |  |  |  |  | 1,701 |  |  |  | 1,583,743 |
Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 01/31/28 |  |  |  |  |  |  | 808 |  |  |  | 720,847 |
USI, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 05/16/24 |  |  |  |  |  |  | 1,064 |  |  |  | 1,018,192 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Auto Components (continued) |  |  |  |  |  |  |  |  |
USI, Inc. (continued) |  |  |  |  |  |  |  |  |  |  |  |
2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/02/26 (c) |  |  | USD |  |  |  | 83 |  |  | $ | 76,454 |
Wand NewCo 3, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 02/05/26 |  |  |  |  |  |  | 1,046 |  |  |  | 968,543 |
|  |  |  |  |  |  |  |  |  |  | 4,681,174 |
Banks — 0.4% |  |  |  |  |  |  |  |  |
Directv Financing LLC, Term Loan, (1 mo. LIBOR + 5.00%, 0.75% Floor), 6.67%, 08/02/27 |  |  |  |  |  |  | 1,266 |  |  |  | 1,162,300 |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 10/29/28 |  |  |  |  |  |  | 611 |  |  |  | 563,076 |
|  |  |  |  |  |  |  |  |  |  | 1,725,376 |
Beverages — 0.5% |  |  |  |  |  |  |  |  |
Naked Juice LLC |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (SOFR + 6.00%), 8.15%, 01/24/30 (c) |  |  |  |  |  |  | 496 |  |  |  | 446,458 |
Term Loan, (SOFR + 3.25%), 5.40%, 01/24/29 |  |  |  |  |  |  | 1,954 |  |  |  | 1,815,071 |
|  |  |  |  |  |  |  |  |  |  | 2,261,529 |
Building Materials — 0.0% |  |  |  |  |  |  |  |  |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%,), 4.57%, 04/12/28 |  |  |  |  |  |  | 125 |  |  |  | 103,255 |
MI Windows & Doors LLC, 2022 Term Loan, (SOFR + 3.50%), 5.13%, 12/18/27 |  |  |  |  |  |  | — | (m) |  |  | 275 |
|  |  |  |  |  |  |  |  |  |  | 103,530 |
Building Products — 0.8% |  |  |  |  |  |  |  |  |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 11/23/27 |  |  |  |  |  |  | 1,180 |  |  |  | 1,032,799 |
CPG International LLC, 2022 Term Loan B, (SOFR + 2.50%), 4.09%, 04/28/29 (c) |  |  |  |  |  |  | 360 |  |  |  | 333,000 |
Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 07/28/28 |  |  |  |  |  |  | 336 |  |  |  | 318,145 |
New AMI I LLC, 2022 Term Loan B, (SOFR + 6.00%), 7.52%, 03/08/29 |  |  |  |  |  |  | 396 |  |  |  | 359,723 |
Standard Industries, Inc., 2021 Term Loan B, (6 mo. LIBOR + 2.50%), 3.79%, 09/22/28 |  |  |  |  |  |  | 676 |  |  |  | 651,769 |
Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.25%, 1.00% Floor), 5.51%, 12/31/26 |  |  |  |  |  |  | 1,473 |  |  |  | 1,301,329 |
|  |  |  |  |  |  |  |  |  |  | 3,996,765 |
Capital Markets — 0.9% |  |  |  |  |  |  |  |  |
AqGen Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.50%, 08/02/29 (c) |  |  |  |  |  |  | 231 |  |  |  | 214,842 |
Deerfield Dakota Holding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan B, (SOFR + 3.75%, 1.00% Floor), 5.28%, 04/09/27 |  |  |  |  |  |  | 2,514 |  |  |  | 2,346,782 |
2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%, 0.75% Floor), 8.42%, 04/07/28 |  |  |  |  |  |  | 642 |  |  |  | 622,740 |
Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.31%, 11/12/27 |  |  |  |  |  |  | 576 |  |  |  | 541,639 |
Focus Financial Partners LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 06/30/28 |  |  |  |  |  |  | 628 |  |  |  | 600,594 |
Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 04/12/24 |  |  |  |  |  |  | 222 |  |  |  | 217,552 |
|  |  |  |  |  |  |  |  |  |  | 4,544,149 |

Security |  |  |  |  | Par (000) |  |  | Value |
Chemicals — 2.0% |  |  |  |  |  |  |  |  |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%, 0.75% Floor), 7.00%, 08/27/26 |  |  | USD |  |  |  | 1,036 |  |  | $ | 1,007,027 |
Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 03/18/28 |  |  |  |  |  |  | 1,352 |  |  |  | 1,289,226 |
Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 4.00%, 06/01/24 |  |  |  |  |  |  | 513 |  |  |  | 499,831 |
CPC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 12/29/27 |  |  |  |  |  |  | 285 |  |  |  | 248,524 |
Element Materials Technology Group U.S. Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 5.09%, 06/28/24 |  |  |  |  |  |  | 343 |  |  |  | 329,578 |
Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 01/31/26 |  |  |  |  |  |  | 847 |  |  |  | 834,590 |
Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 06/30/27 |  |  |  |  |  |  | 413 |  |  |  | 381,090 |
Lonza Group AG, USD Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 07/03/28 |  |  |  |  |  |  | 399 |  |  |  | 355,170 |
Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 4.75%, 03/02/26 |  |  |  |  |  |  | 679 |  |  |  | 646,250 |
Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/15/24 |  |  |  |  |  |  | 684 |  |  |  | 659,668 |
New Arclin U.S. Holding Corp., 2021 Term Loan , (1 mo. LIBOR + 3.75%), 5.42%, 09/30/28 |  |  |  |  |  |  | 515 |  |  |  | 474,014 |
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (1 mo. LIBOR + 3.25%), 4.38%, 10/14/24 |  |  |  |  |  |  | 731 |  |  |  | 674,532 |
PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.74%, 06/09/28 |  |  |  |  |  |  | 670 |  |  |  | 639,232 |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (6 mo. LIBOR + 4.00%, 0.75% Floor), 4.75%, 03/16/27 |  |  |  |  |  |  | 433 |  |  |  | 385,605 |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.62%, 08/02/28 (c) |  |  |  |  |  |  | 803 |  |  |  | 765,107 |
Starfruit Finco BV, 2018 USD Term Loan B, (3 mo. LIBOR + 3.00%), 5.25%, 10/01/25 |  |  |  |  |  |  | 91 |  |  |  | 85,717 |
WR Grace Holdings LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 6.06%, 09/22/28 |  |  |  |  |  |  | 221 |  |  |  | 209,072 |
|  |  |  |  |  |  |  |  |  |  | 9,484,233 |
Commercial Services & Supplies — 2.4% |  |  |  |  |  |  |  |  |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/12/28 |  |  |  |  |  |  | 1,243 |  |  |  | 1,137,081 |
Amentum Government Services Holdings LLC, 2022 Term Loan, (SOFR + 4.00%), 5.30%, 02/15/29 |  |  |  |  |  |  | 328 |  |  |  | 311,397 |
Aramark Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 03/11/25 |  |  |  |  |  |  | 375 |  |  |  | 358,701 |
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 04/06/28 |  |  |  |  |  |  | 383 |  |  |  | 365,625 |
Asurion LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 4.79%, 11/03/23 |  |  |  |  |  |  | 451 |  |  |  | 432,086 |
2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 4.67%, 11/03/24 |  |  |  |  |  |  | 376 |  |  |  | 352,047 |
2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 4.92%, 12/23/26 |  |  |  |  |  |  | 885 |  |  |  | 800,763 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (continued) |
Asurion LLC (continued) |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 6.92%, 01/31/28 |  |  | USD |  |  |  | 364 |  |  | $ | 309,400 |
2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 6.92%, 01/20/29 |  |  |  |  |  |  | 646 |  |  |  | 545,870 |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 10/08/28 |  |  |  |  |  |  | 424 |  |  |  | 419,631 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |  |  |  |  |  |  | 486 |  |  |  | 458,042 |
2021 Term Loan C, (1 mo. LIBOR + 2.50%), 4.17%, 11/30/28 |  |  |  |  |  |  | 36 |  |  |  | 34,396 |
Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 12/12/25 |  |  |  |  |  |  | 832 |  |  |  | 791,873 |
EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 6.00%, 05/09/25 |  |  |  |  |  |  | 171 |  |  |  | 158,547 |
GFL Environmental, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 4.24%, 05/30/25 |  |  |  |  |  |  | 175 |  |  |  | 169,904 |
Packers Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.44%, 03/09/28 |  |  |  |  |  |  | 746 |  |  |  | 681,131 |
Prime Security Services Borrower LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%, 0.75% Floor), 3.65%, 09/23/26 |  |  |  |  |  |  | 301 |  |  |  | 280,221 |
Tempo Acquisition LLC, 2022 Term Loan B, (SOFR + 3.00%), 4.53%, 08/31/28 |  |  |  |  |  |  | 2,295 |  |  |  | 2,171,810 |
Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 10.00%, 06/16/26 |  |  |  |  |  |  | 121 |  |  |  | 93,940 |
Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 08/27/25 |  |  |  |  |  |  | 1,268 |  |  |  | 1,210,573 |
Viad Corp., Initial Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/30/28 |  |  |  |  |  |  | 353 |  |  |  | 330,364 |
|  |  |  |  |  |  |  |  |  |  | 11,413,402 |
Communications Equipment — 0.2% |
ViaSat, Inc., Term Loan, (SOFR + 4.50%), 6.14%, 03/02/29 |  |  |  |  |  |  | 1,096 |  |  |  | 1,017,768 |
Construction & Engineering — 0.9% |  |  |  |  |  |  |  |  |
Brand Energy & Infrastructure Services, Inc., |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.40%, 06/21/24 |  |  |  |  |  |  | 1,676 |  |  |  | 1,441,775 |
Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/21/28 |  |  |  |  |  |  | 424 |  |  |  | 402,261 |
SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.02%, 06/02/28 |  |  |  |  |  |  | 1,829 |  |  |  | 1,683,366 |
USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 05/12/28 |  |  |  |  |  |  | 710 |  |  |  | 659,257 |
|  |  |  |  |  |  |  |  |  |  | 4,186,659 |
Construction Materials — 0.7% |
Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 4.12%, 07/27/28 |  |  |  |  |  |  | 1,819 |  |  |  | 1,728,697 |
Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/29/25 |  |  |  |  |  |  | 1,116 |  |  |  | 1,054,853 |
Tamko Building Products LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 4.33%, 06/01/26 |  |  |  |  |  |  | 355 |  |  |  | 331,964 |
|  |  |  |  |  |  |  |  |  |  | 3,115,514 |
Containers & Packaging — 0.9% |
BWAY Holding Co., 2017 Term Loan B, (1 Week LIBOR + 3.25%), 4.31%, 04/03/24 |  |  |  |  |  |  | 1,049 |  |  |  | 984,081 |

Security |  |  |  |  | Par (000) |  |  | Value |
Containers & Packaging (continued) |
Charter Next Generation, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/01/27 |  |  | USD |  |  |  | 2,233 |  |  | $ | 2,097,231 |
Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 07/31/26 |  |  |  |  |  |  | 136 |  |  |  | 128,394 |
Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 5.17%, 08/18/27 |  |  |  |  |  |  | 580 |  |  |  | 514,150 |
Trident TPI Holdings, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 5.60%, 09/15/28 |  |  |  |  |  |  | 40 |  |  |  | 37,899 |
2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 09/15/28 |  |  |  |  |  |  | 454 |  |  |  | 425,071 |
|  |  |  |  |  |  |  |  |  |  | 4,186,826 |
Distributors — 0.3% |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/27 |  |  |  |  |  |  | 507 |  |  |  | 477,953 |
TMK Hawk Parent Corp. (c) |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 10.50%, 1.00% Floor), 11.17%, 05/30/24 |  |  |  |  |  |  | 162 |  |  |  | 151,031 |
2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.11%, 08/28/24 |  |  |  |  |  |  | 1,310 |  |  |  | 995,908 |
|  |  |  |  |  |  |  |  |  |  | 1,624,892 |
Diversified Consumer Services — 1.2% |
Ascend Learning LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 12/10/29 (c) |  |  |  |  |  |  | 299 |  |  |  | 273,585 |
2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/11/28 |  |  |  |  |  |  | 602 |  |  |  | 554,352 |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 11/24/28 (c) |  |  |  |  |  |  | 409 |  |  |  | 389,520 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 07/11/25 |  |  |  |  |  |  | 830 |  |  |  | 787,812 |
Midas Intermediate Holdco II LLC, 2020 Term Loan B, (PRIME + 5.75%), 10.50%, 12/22/25 |  |  |  |  |  |  | 1,554 |  |  |  | 1,419,918 |
Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 3.66%, 05/15/24 |  |  |  |  |  |  | 402 |  |  |  | 385,840 |
Okta, Inc., Term Loan, (SOFR + 6.25%), 7.63%, 12/15/26 |  |  |  |  |  |  | 355 |  |  |  | 299,862 |
PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.99%, 10/28/27 |  |  |  |  |  |  | 332 |  |  |  | 312,697 |
Serta Simmons Bedding LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan, (1 mo. LIBOR + 7.50%), 9.01%, 08/10/23 |  |  |  |  |  |  | 187 |  |  |  | 180,749 |
2020 Super Priority Second Out Term Loan, (1 mo. LIBOR + 7.50%, 1.00% Floor), 9.01%, 08/10/23 |  |  |  |  |  |  | 250 |  |  |  | 174,548 |
Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.54%, 01/15/27 |  |  |  |  |  |  | 626 |  |  |  | 598,434 |
Voyage Australia Pty. Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 07/20/28 |  |  |  |  |  |  | 306 |  |  |  | 285,248 |
|  |  |  |  |  |  |  |  |  |  | 5,662,565 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services — 3.2% |
Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 6.17%, 07/31/26 |  |  | USD |  |  |  | 709 |  |  | $ | 673,530 |
Alchemy Copyrights LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.06%, 03/10/28 (c) |  |  |  |  |  |  | 342 |  |  |  | 329,101 |
AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 02/04/28 |  |  |  |  |  |  | 772 |  |  |  | 732,230 |
AqGen Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.81%, 08/02/28 (c) |  |  |  |  |  |  | 1,509 |  |  |  | 1,403,758 |
Castlelake Aviation Ltd., Term Loan B, (3 mo. LIBOR + 2.75%), 4.58%, 10/22/26 |  |  |  |  |  |  | 978 |  |  |  | 932,985 |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 4.17%, 09/01/28 |  |  |  |  |  |  | 675 |  |  |  | 642,758 |
Credito Real SAB de CV Sofom ENR, Term Loan B, (3 mo. LIBOR + 3.75%), 5.25%, 02/17/23 (c) |  |  |  |  |  |  | 24 |  |  |  | 1,540 |
Delta TopCo, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%, 0.75% Floor), 9.34%, 12/01/28 (c) |  |  |  |  |  |  | 261 |  |  |  | 221,850 |
2020 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.84%, 12/01/27 |  |  |  |  |  |  | 753 |  |  |  | 679,932 |
EG America LLC, 2018 USD Term Loan, (3 mo. LIBOR + 4.00%), 6.25%, 02/07/25 |  |  |  |  |  |  | 512 |  |  |  | 480,161 |
Gainwell Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%, 0.75% Floor), 6.25%, 10/01/27 |  |  |  |  |  |  | 1,496 |  |  |  | 1,412,146 |
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (SOFR + 4.00%), 6.20%, 02/16/28 |  |  |  |  |  |  | 206 |  |  |  | 194,130 |
Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 07/03/24 |  |  |  |  |  |  | 679 |  |  |  | 646,370 |
KKR Apple Bidco LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 7.42%, 09/21/29 |  |  |  |  |  |  | 100 |  |  |  | 95,375 |
2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 09/23/28 |  |  |  |  |  |  | 245 |  |  |  | 230,593 |
LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 12/18/27 |  |  |  |  |  |  | 984 |  |  |  | 804,284 |
LEB Holdings USA, Inc., Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 11/02/27 |  |  |  |  |  |  | 150 |  |  |  | 146,793 |
Oscar Acquisitionco LLC, Term Loan B, (SOFR + 4.50%), 6.11%, 04/29/29 |  |  |  |  |  |  | 497 |  |  |  | 441,088 |
Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 09/25/26 |  |  |  |  |  |  | 633 |  |  |  | 586,966 |
RVR Dealership Holdings LLC, Term Loan B, (SOFR + 3.75%), 5.17%, 02/08/28 |  |  |  |  |  |  | 297 |  |  |  | 248,906 |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 4.25%, 11/05/28 |  |  |  |  |  |  | 591 |  |  |  | 560,959 |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 4.17%, 01/23/25 |  |  |  |  |  |  | 529 |  |  |  | 491,807 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 6.50%, 07/30/25 |  |  |  |  |  |  | 310 |  |  |  | 287,509 |
Veritas U.S., Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 7.25%, 09/01/25 |  |  |  |  |  |  | 1,871 |  |  |  | 1,526,704 |
VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/28/27 |  |  |  |  |  |  | 724 |  |  |  | 679,318 |

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
White Cap Buyer LLC, Term Loan B, (SOFR + 3.75%), 5.28%, 10/19/27. |  |  | USD |  |  |  | 538 |  |  | $ | 494,129 |
Ziggo Financing Partnership, USD Term Loan I, (1 mo. LIBOR + 2.50%), 3.82%, 04/30/28 |  |  |  |  |  |  | 510 |  |  |  | 474,458 |
|  |  |  |  |  |  |  |  |  |  | 15,419,380 |
Diversified Telecommunication Services — 0.6% |
Cablevision Lightpath LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.57%, 11/30/27 |  |  |  |  |  |  | 227 |  |  |  | 213,100 |
CenturyLink, Inc., 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/15/27 |  |  |  |  |  |  | 625 |  |  |  | 573,995 |
Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.19%, 10/02/27 |  |  |  |  |  |  | 349 |  |  |  | 307,834 |
Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.06%, 05/01/28 |  |  |  |  |  |  | 750 |  |  |  | 699,871 |
Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 11/04/26 |  |  |  |  |  |  | 729 |  |  |  | 698,066 |
Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 03/01/27 |  |  |  |  |  |  | 566 |  |  |  | 523,281 |
|  |  |  |  |  |  |  |  |  |  | 3,016,147 |
Electric Utilities — 0.4% |  |  |  |  |  |  |  |  |
ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 4.08%, 12/15/27 |  |  |  |  |  |  | 670 |  |  |  | 644,844 |
Triton Water Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 5.75%, 03/31/28 |  |  |  |  |  |  | 1,675 |  |  |  | 1,476,507 |
|  |  |  |  |  |  |  |  |  |  | 2,121,351 |
Electrical Equipment — 0.5% |  |  |  |  |  |  |  |  |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (6 mo. LIBOR + 4.75%, 0.75% Floor), 7.63%, 06/23/28 (c) |  |  |  |  |  |  | 631 |  |  |  | 591,778 |
AZZ, Inc., Term Loan B, (SOFR + 4.25%), 5.88%, 05/13/29 (c) |  |  |  |  |  |  | 138 |  |  |  | 131,445 |
Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%, 0.75% Floor), 4.17%, 03/31/27 |  |  |  |  |  |  | 859 |  |  |  | 808,625 |
II-VI, Inc., 2021 Bridge Term Loan B, 07/02/29 (n) |  |  |  |  |  |  | 662 |  |  |  | 633,037 |
|  |  |  |  |  |  |  |  |  |  | 2,164,885 |
Electronic Equipment, Instruments & Components — 0.0% |
GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/12/25 |  |  |  |  |  |  | 134 |  |  |  | 129,784 |
Environmental, Maintenance & Security Service — 0.2% |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 09/07/27 |  |  |  |  |  |  | 785 |  |  |  | 756,231 |
TruGreen LP, 2020 Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 11/02/27 |  |  |  |  |  |  | 432 |  |  |  | 409,245 |
|  |  |  |  |  |  |  |  |  |  | 1,165,476 |
Equity Real Estate Investment Trusts (REITs) — 0.1% |
RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 05/11/24 |  |  |  |  |  |  | 321 |  |  |  | 314,804 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Food & Staples Retailing — 0.2% |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (3 mo. LIBOR + 2.00%), 3.57%, 09/13/26 |  |  | USD |  |  |  | 761 |  |  | $ | 716,083 |
2021 Term Loan B, (3 mo. LIBOR + 2.75%), 4.32%, 11/22/28 |  |  |  |  |  |  | 468 |  |  |  | 444,115 |
|  |  |  |  |  |  |  |  |  |  | 1,160,198 |
Food Products — 1.1% |  |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/01/25 |  |  |  |  |  |  | 654 |  |  |  | 548,619 |
B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 4.17%, 10/10/26 |  |  |  |  |  |  | 163 |  |  |  | 153,095 |
Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 10/25/27 |  |  |  |  |  |  | 1,734 |  |  |  | 1,568,103 |
Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 01/29/27 |  |  |  |  |  |  | 1,717 |  |  |  | 1,576,125 |
Hostess Brands LLC, 2019 Term Loan, (3 mo. LIBOR + 2.25%, 0.75% Floor), 3.60%, 08/03/25 |  |  |  |  |  |  | 418 |  |  |  | 399,886 |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 4.92%, 02/05/26 |  |  |  |  |  |  | 254 |  |  |  | 236,243 |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 06/08/28 |  |  |  |  |  |  | 448 |  |  |  | 421,739 |
UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 01/20/28 |  |  |  |  |  |  | 274 |  |  |  | 260,568 |
|  |  |  |  |  |  |  |  |  |  | 5,164,378 |
Gas Utilities — 0.3% |
Freeport LNG Investments LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.56%, 12/21/28 |  |  |  |  |  |  | 1,795 |  |  |  | 1,546,428 |
Health Care Equipment & Supplies — 0.8% |
Electron BidCo, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 11/01/28 |  |  |  |  |  |  | 1,006 |  |  |  | 940,425 |
Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/04/28 |  |  |  |  |  |  | 285 |  |  |  | 270,151 |
Medline Borrower LP, USD Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 10/23/28 |  |  |  |  |  |  | 2,630 |  |  |  | 2,434,544 |
Venga Finance SARL, 2021 USD Term Loan B, 12/04/28 (c)(n) |  |  |  |  |  |  | 263 |  |  |  | 244,309 |
|  |  |  |  |  |  |  |  |  |  | 3,889,429 |
Health Care Providers & Services — 1.0% |
CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.75%, 09/29/28 |  |  |  |  |  |  | 466 |  |  |  | 440,119 |
Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 6.25%, 01/08/27 |  |  |  |  |  |  | 678 |  |  |  | 640,320 |
Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/10/25 |  |  |  |  |  |  | 742 |  |  |  | 244,220 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 02/18/27 |  |  |  |  |  |  | 859 |  |  |  | 792,401 |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 9.00%, 11/15/29 |  |  |  |  |  |  | 175 |  |  |  | 165,000 |
2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 6.00%, 11/15/28 |  |  |  |  |  |  | 156 |  |  |  | 143,873 |
Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 6.75%, 03/05/26 |  |  |  |  |  |  | 442 |  |  |  | 384,198 |
Orbcomm, Inc., Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 09/01/28 |  |  |  |  |  |  | 388 |  |  |  | 357,474 |

Security |  |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 5.17%, 02/14/25 |  |  | USD |  |  |  | 21 |  |  | $ | 19,457 |
Sotera Health Holdings LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 12/11/26 |  |  |  |  |  |  | 578 |  |  |  | 548,377 |
Vizient, Inc., 2022 Term Loan B, (SOFR + 2.25%), 3.68%, 04/28/29 |  |  |  |  |  |  | 127 |  |  |  | 125,889 |
WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 12/22/28 |  |  |  |  |  |  | 1,147 |  |  |  | 1,078,112 |
|  |  |  |  |  |  |  |  |  |  | 4,939,440 |
Health Care Services — 0.3% |  |  |  |  |  |  |  |  |
Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.74%, 07/24/26. |  |  |  |  |  |  | 1,124 |  |  |  | 1,049,445 |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 9.88%, 11/01/29 |  |  |  |  |  |  | 247 |  |  |  | 227,240 |
|  |  |  |  |  |  |  |  |  |  | 1,276,685 |
Health Care Technology — 0.5% |  |  |  |  |  |  |  |  |
Athenahealth, Inc., 2022 Term Loan B, (SOFR + 3.50%), 5.01%, 02/15/29. |  |  |  |  |  |  | 1,312 |  |  |  | 1,204,914 |
GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 10/10/25. |  |  |  |  |  |  | 332 |  |  |  | 302,434 |
Polaris Newco LLC, USD Term Loan B, (1 mo. LIBOR + 4.00%), 5.67%, 06/02/28 |  |  |  |  |  |  | 891 |  |  |  | 820,980 |
Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.99%, 07/24/26 (c) |  |  |  |  |  |  | 271 |  |  |  | 256,331 |
|  |  |  |  |  |  |  |  |  |  | 2,584,659 |
Hotels, Restaurants & Leisure — 2.7% |
1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 11/19/26 |  |  |  |  |  |  | 988 |  |  |  | 940,924 |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 02/02/26 |  |  |  |  |  |  | 136 |  |  |  | 120,913 |
Aristocrat Technologies, Inc., 2022 Term Loan B, (SOFR + 2.25%), 4.40%, 05/24/29 |  |  |  |  |  |  | 91 |  |  |  | 87,679 |
Caesars Resort Collection LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 12/23/24 |  |  |  |  |  |  | 1,177 |  |  |  | 1,130,824 |
2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 5.17%, 07/20/25 |  |  |  |  |  |  | 356 |  |  |  | 342,709 |
Carnival Corp., (6 mo. LIBOR + 3.00%, 0.75% Floor), 5.88%, 06/30/25 |  |  |  |  |  |  | 396 |  |  |  | 366,910 |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 3.67%, 03/17/28 |  |  |  |  |  |  | 342 |  |  |  | 321,458 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 5.25%, 03/08/24 |  |  |  |  |  |  | 2,311 |  |  |  | 1,709,942 |
Fertitta Entertainment LLC, 2022 Term Loan B, (SOFR + 4.00%), 5.53%, 01/27/29 |  |  |  |  |  |  | 1,950 |  |  |  | 1,793,191 |
Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 11/30/23 |  |  |  |  |  |  | 532 |  |  |  | 525,903 |
Hilton Worldwide Finance LLC, 2019 Term Loan B2, 06/22/26 (n) |  |  |  |  |  |  | 126 |  |  |  | 121,224 |
IRB Holding Corp., 2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 4.42%, 02/05/25 |  |  |  |  |  |  | 606 |  |  |  | 573,096 |
Penn National Gaming, Inc., 2022 Term Loan B, (SOFR + 2.75%), 4.38%, 05/03/29 |  |  |  |  |  |  | 618 |  |  |  | 591,678 |
Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 03/13/28 |  |  |  |  |  |  | 723 |  |  |  | 679,871 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Scientific Games International, Inc., 2022 USD Term Loan, (SOFR + 3.00%), 4.36%, 04/14/29 |  |  | USD |  |  |  | 351 |  |  | $ | 332,573 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 4.50%, 07/21/26 |  |  |  |  |  |  | 563 |  |  |  | 534,118 |
Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/08/27 |  |  |  |  |  |  | 834 |  |  |  | 783,115 |
Travelport Finance Luxembourg SARL |  |  |  |  |  |  |  |  |  |  |  |
2020 Super Priority Term Loan, (3 mo. LIBOR + 1.50%, 1.00% Floor), 3.75%, 02/28/25 |  |  |  |  |  |  | 537 |  |  |  | 538,852 |
2021 Consented Term Loan, (3 mo. LIBOR + 5.00%), 7.25%, 05/29/26 |  |  |  |  |  |  | 487 |  |  |  | 381,349 |
Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.37%, 10/02/28 |  |  |  |  |  |  | 300 |  |  |  | 278,003 |
Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 08/03/28 |  |  |  |  |  |  | 938 |  |  |  | 877,296 |
Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 05/30/25 |  |  |  |  |  |  | 199 |  |  |  | 192,098 |
|  |  |  |  |  |  |  |  |  |  | 13,223,726 |
Household Durables — 0.6% |
ACProducts Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.25%), 6.97%, 05/17/28 |  |  |  |  |  |  | 696 |  |  |  | 536,069 |
Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 3.42%, 02/04/27 |  |  |  |  |  |  | 138 |  |  |  | 132,860 |
Snap One Holdings Corp., Term Loan B, (6 mo. LIBOR + 4.50%), 7.38%, 12/08/28 |  |  |  |  |  |  | 493 |  |  |  | 446,717 |
Solis IV BV, USD Term Loan B1, (SOFR + 3.50%), 4.84%, 02/26/29 |  |  |  |  |  |  | 1,006 |  |  |  | 863,279 |
Springs Windows Fashions LLC, 2021 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.60%, 10/06/28 |  |  |  |  |  |  | 358 |  |  |  | 293,196 |
Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 10/30/27 |  |  |  |  |  |  | 429 |  |  |  | 388,002 |
|  |  |  |  |  |  |  |  |  |  | 2,660,123 |
Household Products — 0.0% |
Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 3.67%, 03/03/28 |  |  |  |  |  |  | 218 |  |  |  | 209,781 |
Independent Power and Renewable Electricity Producers — 0.2% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 01/15/25 |  |  |  |  |  |  | 878 |  |  |  | 841,796 |
Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 3.67%, 08/12/26 |  |  |  |  |  |  | 286 |  |  |  | 270,349 |
|  |  |  |  |  |  |  |  |  |  | 1,112,145 |
Industrial Conglomerates — 1.0% |
AVSC Holding Corp. (l) |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan B1, (0.25% PIK), 5.11%, 03/03/25 |  |  |  |  |  |  | 546 |  |  |  | 468,213 |
2020 Term Loan B3, (10.00% PIK), 7.50%, 10/15/26 |  |  |  |  |  |  | 450 |  |  |  | 474,976 |
Diamond BC BV, 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.99%, 09/29/28 |  |  |  |  |  |  | 1,375 |  |  |  | 1,266,921 |
Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 8.30%, 11/28/23 |  |  |  |  |  |  | 234 |  |  |  | 231,525 |

Security |  |  |  |  | Par (000) |  |  | Value |
Industrial Conglomerates (continued) |
Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 9.00%, 07/28/28 |  |  | USD |  |  |  | 262 |  |  | $ | 232,708 |
Vertical U.S. Newco, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.02%, 07/30/27 |  |  |  |  |  |  | 731 |  |  |  | 682,728 |
Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.87%, 03/02/27 |  |  |  |  |  |  | 1,484 |  |  |  | 1,376,636 |
|  |  |  |  |  |  |  |  |  |  | 4,733,707 |
Insurance — 1.5% |
Alliant Holdings Intermediate LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/09/25 |  |  |  |  |  |  | 834 |  |  |  | 783,407 |
2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 5.01%, 11/06/27 |  |  |  |  |  |  | 2,135 |  |  |  | 1,980,624 |
AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 02/19/28 |  |  |  |  |  |  | 1,010 |  |  |  | 952,100 |
AssuredPartners, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |  |  |  |  |  |  | 536 |  |  |  | 501,555 |
2021 Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 |  |  |  |  |  |  | 284 |  |  |  | 265,628 |
Hub International Ltd. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 3.00%), 4.21%, 04/25/25 |  |  |  |  |  |  | 349 |  |  |  | 329,456 |
2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.35%, 04/25/25 |  |  |  |  |  |  | 1,429 |  |  |  | 1,352,300 |
NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 02/15/27. |  |  |  |  |  |  | 113 |  |  |  | 104,308 |
Ryan Specialty Group LLC, Term Loan, (SOFR + 3.00%, 0.75% Floor), 4.63%, 09/01/27 (c) |  |  |  |  |  |  | 201 |  |  |  | 193,282 |
Sedgwick Claims Management Services, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 09/03/26 |  |  |  |  |  |  | 522 |  |  |  | 494,930 |
2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.92%, 09/03/26 |  |  |  |  |  |  | 184 |  |  |  | 177,519 |
|  |  |  |  |  |  |  |  |  |  | 7,135,109 |
Interactive Media & Services — 1.2% |
Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 06/26/28 |  |  |  |  |  |  | 1,060 |  |  |  | 1,011,373 |
Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 12/06/27 |  |  |  |  |  |  | 375 |  |  |  | 341,341 |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.67%, 10/30/26 |  |  |  |  |  |  | 1,614 |  |  |  | 1,517,963 |
Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 08/10/27 |  |  |  |  |  |  | 827 |  |  |  | 793,208 |
Grab Holdings, Inc., Term Loan B, (6 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26 |  |  |  |  |  |  | 2,180 |  |  |  | 1,983,538 |
|  |  |  |  |  |  |  |  |  |  | 5,647,423 |
Internet & Direct Marketing Retail — 0.1% |
CNT Holdings I Corp., 2020 Term Loan, (1 mo. LIBOR + 3.50%, 0.75% Floor), 4.69%, 11/08/27 |  |  |  |  |  |  | 599 |  |  |  | 566,972 |
PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 5.92%, 02/12/27 (c) |  |  |  |  |  |  | 111 |  |  |  | 102,545 |
|  |  |  |  |  |  |  |  |  |  | 669,517 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Internet Software & Services — 0.3% |
Uber Technologies, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.07%, 02/25/27 |  |  | USD |  |  |  | 1,284 |  |  | $ | 1,226,515 |
IT Services — 2.5% |
Aruba Investments, Inc., 2020 USD Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.63%, 11/24/27 (c) |  |  |  |  |  |  | 337 |  |  |  | 309,810 |
Banff Merger Sub, Inc., 2021 USD Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/02/25 |  |  |  |  |  |  | 755 |  |  |  | 701,468 |
Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 10/30/26 |  |  |  |  |  |  | 1,502 |  |  |  | 1,418,324 |
CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.50%, 09/21/28 |  |  |  |  |  |  | 730 |  |  |  | 691,257 |
CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 5.19%, 06/02/28 |  |  |  |  |  |  | 1,821 |  |  |  | 1,509,253 |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/28/28 |  |  |  |  |  |  | 952 |  |  |  | 914,108 |
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/01/27 |  |  |  |  |  |  | 2,569 |  |  |  | 2,449,863 |
PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 02/12/27 (c) |  |  |  |  |  |  | 1,216 |  |  |  | 1,094,645 |
Trans Union LLC |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 3.42%, 11/16/26 |  |  |  |  |  |  | 757 |  |  |  | 712,413 |
2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 3.92%, 12/01/28 |  |  |  |  |  |  | 1,510 |  |  |  | 1,437,045 |
Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 02/11/28 |  |  |  |  |  |  | 443 |  |  |  | 417,618 |
WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 3.92%, 03/31/28 |  |  |  |  |  |  | 432 |  |  |  | 414,008 |
ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 4.67%, 02/02/26 |  |  |  |  |  |  | 89 |  |  |  | 85,830 |
|  |  |  |  |  |  |  |  |  |  | 12,155,642 |
Leisure Products — 0.1% |
Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.23%, 12/01/28 |  |  |  |  |  |  | 299 |  |  |  | 281,798 |
Peloton Interactive, Inc., Term Loan, (SOFR + 6.50%), 8.35%, 05/25/27 |  |  |  |  |  |  | 166 |  |  |  | 157,804 |
|  |  |  |  |  |  |  |  |  |  | 439,602 |
Life Sciences Tools & Services — 1.4% |
Avantor Funding, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 3.92%, 11/08/27 |  |  |  |  |  |  | 1,804 |  |  |  | 1,730,705 |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 6.17%, 02/04/27 |  |  |  |  |  |  | 1,836 |  |  |  | 1,691,604 |
ICON Luxembourg SARL |  |  |  |  |  |  |  |  |  |  |  |
LUX Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |  |  |  |  |  |  | 1,264 |  |  |  | 1,219,050 |
US Term Loan, (3 mo. LIBOR + 2.25%), 4.56%, 07/03/28 |  |  |  |  |  |  | 315 |  |  |  | 303,728 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (SOFR + 3.00%), 3.85%, 10/19/27 (c) |  |  |  |  |  |  | 664 |  |  |  | 629,229 |
Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.88%, 11/15/28 |  |  |  |  |  |  | 1,473 |  |  |  | 1,380,062 |
|  |  |  |  |  |  |  |  |  |  | 6,954,378 |

Security |  |  |  |  | Par (000) |  |  | Value |
Machinery — 1.3% |
Albion Acquisitions Ltd., USD Term Loan, (3 mo. LIBOR + 5.25%), 6.43%, 08/17/26 |  |  | USD |  |  |  | 759 |  |  | $ | 725,078 |
ASP Blade Holdings, Inc., Initial Term Loan, (1 mo. LIBOR + 4.00%), 5.67%, 10/13/28 |  |  |  |  |  |  | 162 |  |  |  | 141,324 |
Clark Equipment Co., 2022 Term Loan B, (SOFR + 2.50%), 4.65%, 04/20/29 |  |  |  |  |  |  | 166 |  |  |  | 159,168 |
Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 5.06%, 05/14/28 |  |  |  |  |  |  | 160 |  |  |  | 152,713 |
Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/21/28 |  |  |  |  |  |  | 495 |  |  |  | 461,827 |
Fluidra SA, 2022 USD Term Loan B, (SOFR + 2.00%), 3.63%, 01/29/29 |  |  |  |  |  |  | 127 |  |  |  | 123,274 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 3.38%, 03/01/27 |  |  |  |  |  |  | 567 |  |  |  | 541,930 |
Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 4.52%, 06/21/28 |  |  |  |  |  |  | 1,845 |  |  |  | 1,675,878 |
SPX Flow, Inc., (SOFR + 4.50%), 6.13%, 04/05/29 |  |  |  |  |  |  | 590 |  |  |  | 548,694 |
Titan Acquisition Ltd., 2018 Term Loan B, (6 mo. LIBOR + 3.00%), 5.88%, 03/28/25 |  |  |  |  |  |  | 1,823 |  |  |  | 1,667,214 |
Zurn LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 10/04/28 |  |  |  |  |  |  | 64 |  |  |  | 62,217 |
|  |  |  |  |  |  |  |  |  |  | 6,259,317 |
Media — 5.4% |
Altice Financing SA |  |  |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.79%, 07/15/25 |  |  |  |  |  |  | 438 |  |  |  | 394,950 |
USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 3.79%, 01/31/26 |  |  |  |  |  |  | 528 |  |  |  | 475,503 |
Altice France SA, 2018 Term Loan B13, (3 mo. LIBOR + 4.00%), 5.41%, 08/14/26 |  |  |  |  |  |  | 1,325 |  |  |  | 1,207,546 |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.00%), 4.20%, 04/22/26 |  |  |  |  |  |  | 670 |  |  |  | 562,989 |
Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 3.67%, 05/03/28 |  |  |  |  |  |  | 408 |  |  |  | 391,565 |
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 3.42%, 04/30/25 |  |  |  |  |  |  | 1,254 |  |  |  | 1,219,142 |
City Football Group Ltd., Term Loan, (3 mo. LIBOR + 3.50%), 4.60%, 07/21/28 (c) |  |  |  |  |  |  | 678 |  |  |  | 620,644 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 4.74%, 08/21/26 |  |  |  |  |  |  | 1,971 |  |  |  | 1,687,959 |
CMG Media Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 12/17/26 |  |  |  |  |  |  | 581 |  |  |  | 534,501 |
Connect Finco SARL, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 5.17%, 12/12/26 |  |  |  |  |  |  | 3,102 |  |  |  | 2,845,723 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1 mo. LIBOR + 2.25%), 3.57%, 07/17/25 |  |  |  |  |  |  | 647 |  |  |  | 600,410 |
2019 Term Loan B5, (1 mo. LIBOR + 2.50%), 3.82%, 04/15/27 |  |  |  |  |  |  | 870 |  |  |  | 806,759 |
E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 2.75%, 0.75% Floor), 4.42%, 01/07/28 |  |  |  |  |  |  | 358 |  |  |  | 338,107 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.92%, 12/01/23 (c) |  |  |  |  |  |  | 372 |  |  |  | 325,744 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 03/24/25 |  |  |  |  |  |  | 514 |  |  |  | 495,893 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |  |
Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 3.35%, 10/17/26 |  |  | USD |  |  |  | 1,078 |  |  | $ | 1,005,542 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 5.42%, 09/13/24 |  |  |  |  |  |  | 1,890 |  |  |  | 1,775,120 |
2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 5.42%, 09/13/24 |  |  |  |  |  |  | 1,456 |  |  |  | 1,368,458 |
2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 7.92%, 02/23/29 |  |  |  |  |  |  | 515 |  |  |  | 482,880 |
Sinclair Television Group, Inc., 2022 Term Loan B4, (SOFR + 3.75%), 5.38%, 04/21/29 (c) |  |  |  |  |  |  | 806 |  |  |  | 741,520 |
Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.63%, 09/28/23 (c) |  |  |  |  |  |  | 1,480 |  |  |  | 1,416,646 |
Trader Interactive LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 07/28/28 (c) |  |  |  |  |  |  | 230 |  |  |  | 219,613 |
UPC Financing Partnership, 2021 USD Term Loan AX, (1 mo. LIBOR + 3.00%), 4.32%, 01/31/29 |  |  |  |  |  |  | 341 |  |  |  | 323,782 |
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1 mo. LIBOR + 3.25%), 4.57%, 01/31/29 |  |  |  |  |  |  | 917 |  |  |  | 876,551 |
Voyage Digital Ltd., (SOFR + 4.50%), 5.28%, 05/11/29 (c) |  |  |  |  |  |  | 431 |  |  |  | 409,450 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 4.42%, 05/18/25. |  |  |  |  |  |  | 1,920 |  |  |  | 1,801,605 |
WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 3.79%, 01/20/28 |  |  |  |  |  |  | 910 |  |  |  | 871,330 |
Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 03/09/27 |  |  |  |  |  |  | 2,342 |  |  |  | 2,152,263 |
|  |  |  |  |  |  |  |  |  |  | 25,952,195 |
Oil, Gas & Consumable Fuels — 0.9% |  |  |  |
Ascent Resources Utica LLC, 2020 Fixed 2nd Lien |  |  |  |  |  |  |  |  |  |  |  |
Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.02%, 11/01/25 |  |  |  |  |  |  | 330 |  |  |  | 345,949 |
Citgo Holding, Inc., 2019 Term Loan B, (1 mo. LIBOR + 7.00%, 1.00% Floor), 8.67%, 08/01/23 |  |  |  |  |  |  | 2 |  |  |  | 1,902 |
Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 12/13/25 |  |  |  |  |  |  | 269 |  |  |  | 227,118 |
Lealand Finance Co. BV |  |  |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 06/28/24 |  |  |  |  |  |  | 16 |  |  |  | 9,466 |
2020 Take Back Term Loan, (3.00% PIK), 2.83%, 06/30/25 (l) |  |  |  |  |  |  | 114 |  |  |  | 57,233 |
Lucid Energy Group II Borrower LLC, 2021 Term |  |  |  |  |  |  |  |  |  |  |  |
Loan, (1 mo. LIBOR + 4.25%, 0.75% Floor), 5.87%, 11/24/28 |  |  |  |  |  |  | 1,495 |  |  |  | 1,473,073 |
Medallion Midland Acquisition LLC, (1 mo. LIBOR + 3.75%, 0.75% Floor), 5.42%, 10/18/28 |  |  |  |  |  |  | 901 |  |  |  | 861,897 |
Oryx Midstream Services Permian Basin LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 4.71%, 10/05/28 |  |  |  |  |  |  | 1,499 |  |  |  | 1,423,443 |
|  |  |  |  |  |  |  |  |  |  | 4,400,081 |
Personal Products — 0.6% |  |  |  |
Sunshine Luxembourg VII SARL, 2021 Term Loan |  |  |  |  |  |  |  |  |  |  |  |
B3, (3 mo. LIBOR + 3.75%, 0.75% Floor), 6.00%, 10/01/26 |  |  |  |  |  |  | 3,052 |  |  |  | 2,817,651 |
Pharmaceuticals — 1.4% |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 5.50%, 05/04/25 |  |  |  |  |  |  | 751 |  |  |  | 678,130 |

Security |  |  |  |  | Par (000) |  |  | Value |
Pharmaceuticals (continued) |  |  |  |  |  |  |  |  |
Bausch Health Cos., Inc., 2022 Term Loan B, (SOFR + 5.25%), 6.55%, 02/01/27 |  |  | USD |  |  |  | 974 |  |  | $ | 832,326 |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 3.63%, 02/22/28 |  |  |  |  |  |  | 1,043 |  |  |  | 1,025,455 |
Elanco Animal Health, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 2.81%, 08/01/27 |  |  |  |  |  |  | 632 |  |  |  | 595,779 |
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 3.67%, 11/15/27 |  |  |  |  |  |  | 656 |  |  |  | 618,679 |
Jazz Financing Lux SARL, USD Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 05/05/28 |  |  |  |  |  |  | 1,201 |  |  |  | 1,143,865 |
Option Care Health, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 10/27/28 |  |  |  |  |  |  | 220 |  |  |  | 209,695 |
Organon & Co., USD Term Loan, (3 mo. LIBOR + 3.00%), 4.63%, 06/02/28 |  |  |  |  |  |  | 652 |  |  |  | 625,793 |
Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%, 0.75% Floor), 5.25%, 11/18/27 (c) |  |  |  |  |  |  | 1,136 |  |  |  | 1,048,106 |
|  |  |  |  |  |  |  |  |  |  | 6,777,828 |
Professional Services — 0.8% |  |  |  |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan B2, (SOFR + 3.25%), 4.75%, 01/18/29 |  |  |  |  |  |  | 305 |  |  |  | 284,250 |
Term Loan, (1 mo. LIBOR + 3.25%), 4.87%, 02/06/26 |  |  |  |  |  |  | 2,022 |  |  |  | 1,903,784 |
Element Materials Technology Group U.S. Holdings, Inc. (n) |  |  |  |  |  |  |  |  |  |  |  |
2022 USD Delayed Draw Term Loan B, 04/12/29 |  |  |  |  |  |  | 310 |  |  |  | 296,512 |
2022 USD Delayed Draw Term Loan D, 04/12/29 |  |  |  |  |  |  | 671 |  |  |  | 642,443 |
Galaxy U.S. Opco, Inc., Term Loan, (SOFR + 4.75%), 6.28%, 04/29/29 |  |  |  |  |  |  | 724 |  |  |  | 677,845 |
|  |  |  |  |  |  |  |  |  |  | 3,804,834 |
Real Estate Management & Development — 0.4% |
Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 5.17%, 11/03/28 |  |  |  |  |  |  | 1,048 |  |  |  | 943,831 |
Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 4.42%, 08/21/25 |  |  |  |  |  |  | 1,208 |  |  |  | 1,134,576 |
|  |  |  |  |  |  |  |  |  |  | 2,078,407 |
Road & Rail — 0.1% |  |  |  |  |  |  |  |  |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 08/06/27 |  |  |  |  |  |  | 289 |  |  |  | 272,644 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 5.50%), 7.09%, 08/04/25 (c) |  |  |  |  |  |  | 376 |  |  |  | 331,818 |
|  |  |  |  |  |  |  |  |  |  | 604,462 |
Semiconductors & Semiconductor Equipment — 0.1% |
CMC Materials, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 3.69%, 11/17/25 |  |  |  |  |  |  | 457 |  |  |  | 454,424 |
Synaptics, Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 4.36%, 12/02/28 |  |  |  |  |  |  | 254 |  |  |  | 246,684 |
|  |  |  |  |  |  |  |  |  |  | 701,108 |
Software — 5.2% |  |  |  |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 5.25%, 09/19/24 |  |  |  |  |  |  | 95 |  |  |  | 90,511 |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 7.75%, 09/19/25 |  |  |  |  |  |  | 90 |  |  |  | 86,428 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
Barracuda Networks, Inc. |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3 mo. LIBOR + 3.75%, 0.75% Floor), 5.98%, 02/12/25 |  |  | USD |  |  |  | 1,288 |  |  | $ | 1,273,773 |
2022 Term Loan, 05/17/29 (n) |  |  |  |  |  |  | 333 |  |  |  | 318,431 |
Central Parent, Inc., 2022 USD Term Loan B, 07/06/29 (n) |  |  |  |  |  |  | 292 |  |  |  | 275,248 |
Cloudera, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 7.67%, 10/08/29 (c) |  |  |  |  |  |  | 457 |  |  |  | 397,590 |
2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/08/28 |  |  |  |  |  |  | 1,115 |  |  |  | 1,023,201 |
ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 5.75%, 09/29/28 |  |  |  |  |  |  | 493 |  |  |  | 449,838 |
Cornerstone OnDemand, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 5.42%, 10/16/28 |  |  |  |  |  |  | 519 |  |  |  | 462,509 |
Digicel International Finance Ltd., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 05/28/24 (c) |  |  |  |  |  |  | 439 |  |  |  | 378,543 |
E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.83%, 02/04/28 |  |  |  |  |  |  | 113 |  |  |  | 106,590 |
Epicor Software Corp. |  |  |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 9.42%, 07/31/28 |  |  |  |  |  |  | 296 |  |  |  | 286,528 |
2020 Term Loan, (1 mo. LIBOR + 3.25%, 0.75% Floor), 4.92%, 07/30/27 |  |  |  |  |  |  | 288 |  |  |  | 271,701 |
Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 5.95%, 03/11/28 |  |  |  |  |  |  | 868 |  |  |  | 796,270 |
Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 4.44%, 10/27/28 |  |  |  |  |  |  | 1,812 |  |  |  | 1,715,802 |
Instructure Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.27%, 10/30/28 (c) |  |  |  |  |  |  | 311 |  |  |  | 294,881 |
IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 5.17%, 10/02/28 |  |  |  |  |  |  | 254 |  |  |  | 232,550 |
Magenta Buyer LLC |  |  |  |  |  |  |  |  |  |  |  |
2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%, 0.75% Floor), 6.23%, 07/27/28 |  |  |  |  |  |  | 1,022 |  |  |  | 916,208 |
2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%, 0.75% Floor), 9.48%, 07/27/29 |  |  |  |  |  |  | 936 |  |  |  | 851,520 |
McAfee LLC, 2022 USD Term Loan B, (SOFR + 4.00%), 5.15%, 03/01/29 |  |  |  |  |  |  | 1,642 |  |  |  | 1,490,115 |
Netsmart Technologies, Inc., 2020 Term Loan B, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 10/01/27 |  |  |  |  |  |  | 577 |  |  |  | 547,887 |
Planview Parent, Inc., Term Loan, (1 mo. LIBOR + 4.00%, 0.75% Floor), 5.67%, 12/17/27 |  |  |  |  |  |  | 1,026 |  |  |  | 964,902 |
Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 4.82%, 08/31/28 |  |  |  |  |  |  | 1,769 |  |  |  | 1,640,198 |
RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 4.67%, 04/24/28 |  |  |  |  |  |  | 3,471 |  |  |  | 3,200,138 |
Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 4.92%, 05/30/25 |  |  |  |  |  |  | 31 |  |  |  | 29,338 |
Restoration Hardware, Inc., Term Loan B, (1 mo. LIBOR + 2.50%), 4.14%, 10/20/28 |  |  |  |  |  |  | 466 |  |  |  | 407,293 |
Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 4.62%, 08/01/25 |  |  |  |  |  |  | 603 |  |  |  | 577,466 |
Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.25%), 5.50%, 10/07/27 |  |  |  |  |  |  | 750 |  |  |  | 698,103 |

Security |  |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |  |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |  |  | USD |  |  |  | 575 |  |  | $ | 544,867 |
2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 3.42%, 04/16/25 |  |  |  |  |  |  | 466 |  |  |  | 442,060 |
Tibco Software, Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28 |  |  |  |  |  |  | 898 |  |  |  | 878,784 |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.25%), 6.21%, 05/03/27 |  |  |  |  |  |  | 453 |  |  |  | 416,870 |
2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.21%, 05/04/26 |  |  |  |  |  |  | 1,874 |  |  |  | 1,751,346 |
Term Loan B, (1 mo. LIBOR + 3.75%), 5.42%, 05/04/26 |  |  |  |  |  |  | 1,049 |  |  |  | 988,461 |
|  |  |  |  |  |  |  |  |  |  | 24,805,950 |
Specialty Retail — 2.0% |
Belron Finance U.S. LLC |  |  |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3 mo. LIBOR + 2.25%), 3.69%, 11/13/25 |  |  |  |  |  |  | 180 |  |  |  | 173,208 |
2019 USD Term Loan B3, (3 mo. LIBOR + 2.25%), 3.50%, 10/30/26 (c) |  |  |  |  |  |  | 410 |  |  |  | 391,073 |
2021 USD Term Loan B, (3 mo. LIBOR + 2.50%), 3.88%, 04/13/28 |  |  |  |  |  |  | 1,224 |  |  |  | 1,173,779 |
CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (SONIA + 4.25%), 5.19%, 06/23/25 |  |  | GBP |  |  |  | 1,000 |  |  |  | 1,109,265 |
EG Group Ltd., 2021 Term Loan, 6.50%, 03/31/26 |  |  | USD |  |  |  | 234 |  |  |  | 220,981 |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.92%, 11/24/28 |  |  |  |  |  |  | 312 |  |  |  | 294,334 |
Mavis Tire Express Services Corp., 2021 Term Loan B, (SOFR + 4.00%), 5.63%, 05/04/28 |  |  |  |  |  |  | 1,275 |  |  |  | 1,175,807 |
MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 5.92%, 08/31/26 |  |  |  |  |  |  | 824 |  |  |  | 742,189 |
PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 02/11/28 |  |  |  |  |  |  | 2,206 |  |  |  | 2,070,638 |
Pilot Travel Centers LLC, 2021 Term Loan B, (SOFR + 2.00%), 3.63%, 08/04/28 |  |  |  |  |  |  | 430 |  |  |  | 410,951 |
Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24 |  |  |  |  |  |  | 303 |  |  |  | 278,103 |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (SOFR + 3.25%), 4.88%, 10/20/28 |  |  |  |  |  |  | 364 |  |  |  | 323,960 |
Reverb Buyer, Inc. |  |  |  |  |  |  |  |  |  |  |  |
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 3.50%), 3.50%, 11/01/28 |  |  |  |  |  |  | 28 |  |  |  | 26,640 |
2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 6.38%, 11/01/28 |  |  |  |  |  |  | 1,084 |  |  |  | 1,014,633 |
WOOF Holding, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 5.81%, 12/21/27 (c) |  |  |  |  |  |  | 227 |  |  |  | 211,794 |
|  |  |  |  |  |  |  |  |  |  | 9,617,355 |
Technology Hardware, Storage & Peripherals — 0.1% |
Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 6.67%, 07/23/26 |  |  |  |  |  |  | 394 |  |  |  | 349,660 |
Textiles, Apparel & Luxury Goods — 0.1% |
Crocs, Inc., Term Loan B, (SOFR + 3.50%), 4.45%, 02/17/29 |  |  |  |  |  |  | 730 |  |  |  | 663,089 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Trading Companies & Distributors — 0.4% |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.92%, 05/19/28 |  |  | USD |  |  |  | 616 |  |  | $ | 586,319 |
Foundation Building Materials Holding Co. LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 4.49%, 01/31/28 (c) |  |  |  |  |  |  | 519 |  |  |  | 451,881 |
ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 7.00%, 04/03/28 |  |  |  |  |  |  | 300 |  |  |  | 275,787 |
SRS Distribution, Inc., 2022 Incremental Term Loan, (SOFR + 3.50%), 4.00%, 06/02/28 |  |  |  |  |  |  | 409 |  |  |  | 375,655 |
|  |  |  |  |  |  |  |  |  |  | 1,689,642 |
Wireless Telecommunication Services — 0.3% |  |  |  |
GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR), 4.99%, 04/30/28 |  |  |  |  |  |  | 433 |  |  |  | 408,494 |
MetroNet Systems Holdings LLC, 2021 1st Lien Term Loan, (SOFR + 3.75%), 5.05%, 06/02/28 |  |  |  |  |  |  | 263 |  |  |  | 242,892 |
SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 3.42%, 04/11/25 |  |  |  |  |  |  | 1,058 |  |  |  | 1,017,581 |
|  |  |  |  |  |  |  |  |  |  | 1,668,967 |
Total Floating Rate Loan Interests — 55.5% (Cost: $286,365,541) |  |  |  |  |  |  |  | 267,612,311 |
Foreign Agency Obligations |
Argentina — 0.0% |  |  |  |  |  |  |  |  |
Argentine Republic Government International Bond, 2.50%, 07/09/41 (g)(o) |  |  |  |  |  |  | 351 |  |  |  | 90,311 |
Bahrain — 0.0% |  |  |  |  |  |  |  |  |
Bahrain Government International Bond, 6.75%, 09/20/29 (d) |  |  |  |  |  |  | 200 |  |  |  | 190,975 |
Chile — 0.0% |  |  |  |  |  |  |  |  |
Chile Government International Bond, 4.34%, 03/07/42 (g) |  |  |  |  |  |  | 200 |  |  |  | 178,500 |
Colombia — 0.1% |  |  |  |  |  |  |  |  |
Colombia Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
4.50%, 01/28/26 (g) |  |  |  |  |  |  | 243 |  |  |  | 227,782 |
3.88%, 04/25/27 (g) |  |  |  |  |  |  | 200 |  |  |  | 176,475 |
3.13%, 04/15/31 |  |  |  |  |  |  | 200 |  |  |  | 148,350 |
|  |  |  |  |  |  |  |  |  |  | 552,607 |
Dominican Republic — 0.2% |
Dominican Republic International Bond |  |  |  |  |  |  |  |  |  |  |  |
5.95%, 01/25/27 (d) |  |  |  |  |  |  | 307 |  |  |  | 293,146 |
5.50%, 02/22/29 (b) |  |  |  |  |  |  | 155 |  |  |  | 134,685 |
4.50%, 01/30/30 (b) |  |  |  |  |  |  | 200 |  |  |  | 159,600 |
4.88%, 09/23/32 (b) |  |  |  |  |  |  | 150 |  |  |  | 115,294 |
6.40%, 06/05/49 (d) |  |  |  |  |  |  | 150 |  |  |  | 111,544 |
|  |  |  |  |  |  |  |  |  |  | 814,269 |
Egypt — 0.0% |  |  |  |  |  |  |  |  |
Egypt Government International Bond, 7.50%, 02/16/61 (b) |  |  |  |  |  |  | 200 |  |  |  | 110,500 |
Guatemala — 0.1% |  |  |  |  |  |  |  |  |
Guatemala Government Bond (b) |  |  |  |  |  |  |  |  |  |  |  |
5.38%, 04/24/32 |  |  |  |  |  |  | 200 |  |  |  | 184,162 |
4.65%, 10/07/41 |  |  |  |  |  |  | 200 |  |  |  | 145,788 |
|  |  |  |  |  |  |  |  |  |  | 329,950 |

Security |  |  |  |  | Par (000) |  |  | Value |
Hungary — 0.0% |  |  |  |  |  |  |  |  |
Hungary Government International Bond, 5.25%, 06/16/29 (b) |  |  | USD |  |  |  | 200 |  |  | $ | 199,271 |
Indonesia — 0.1% |  |  |  |  |  |  |  |  |
Indonesia Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
4.10%, 04/24/28 |  |  |  |  |  |  | 221 |  |  |  | 217,105 |
5.35%, 02/11/49 (g) |  |  |  |  |  |  | 200 |  |  |  | 195,772 |
|  |  |  |  |  |  |  |  |  |  | 412,877 |
Ivory Coast — 0.0% |  |  |  |
Ivory Coast Government International Bond, 6.38%, 03/03/28 (d) |  |  |  |  |  |  | 200 |  |  |  | 176,788 |
Mexico — 0.1% |  |  |  |  |  |  |  |  |
Mexico Government International Bond (g) |  |  |  |  |  |  |  |  |  |  |  |
4.15%, 03/28/27 |  |  |  |  |  |  | 397 |  |  |  | 391,244 |
3.75%, 01/11/28 |  |  |  |  |  |  | 200 |  |  |  | 191,900 |
|  |  |  |  |  |  |  |  |  |  | 583,144 |
Mongolia — 0.1% |  |  |  |  |  |  |  |  |
Mongolia Government International Bond, 5.13%, 04/07/26 (d) |  |  |  |  |  |  | 250 |  |  |  | 222,528 |
Morocco — 0.1% |  |  |  |  |  |  |  |  |
Morocco Government International Bond, 3.00%, 12/15/32 (b)(g) |  |  |  |  |  |  | 300 |  |  |  | 213,000 |
Nigeria — 0.0% |  |  |  |  |  |  |  |  |
Nigeria Government International Bond, 7.88%, 02/16/32 (d) |  |  |  |  |  |  | 200 |  |  |  | 138,500 |
Oman — 0.1% |  |  |  |  |  |  |  |  |
Oman Government International Bond, 6.50%, 03/08/47 (d) |  |  |  |  |  |  | 308 |  |  |  | 258,335 |
Panama — 0.1% |
Panama Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
3.88%, 03/17/28 |  |  |  |  |  |  | 200 |  |  |  | 190,913 |
3.16%, 01/23/30 (g) |  |  |  |  |  |  | 245 |  |  |  | 218,249 |
|  |  |  |  |  |  |  |  |  |  | 409,162 |
Paraguay — 0.1% |  |  |  |  |  |  |  |  |
Paraguay Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
5.40%, 03/30/50 (d) |  |  |  |  |  |  | 200 |  |  |  | 154,663 |
5.40%, 03/30/50 (b) |  |  |  |  |  |  | 200 |  |  |  | 154,662 |
|  |  |  |  |  |  |  |  |  |  | 309,325 |
Peru — 0.1% |  |  |  |  |  |  |  |  |
Peruvian Government International Bond (g) |  |  |  |  |  |  |  |  |  |  |  |
2.78%, 01/23/31 |  |  |  |  |  |  | 29 |  |  |  | 24,683 |
1.86%, 12/01/32 |  |  |  |  |  |  | 259 |  |  |  | 196,969 |
3.00%, 01/15/34 |  |  |  |  |  |  | 116 |  |  |  | 95,178 |
|  |  |  |  |  |  |  |  |  |  | 316,830 |
Qatar — 0.0% |  |  |  |  |  |  |  |  |
Qatar Government International Bond, 4.00%, 03/14/29 (b)(g) |  |  |  |  |  |  | 200 |  |  |  | 202,000 |
Romania — 0.1% |  |  |  |  |  |  |  |  |
Romanian Government International Bond (b) |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 11/25/27 |  |  |  |  |  |  | 168 |  |  |  | 160,020 |
3.00%, 02/14/31 (g) |  |  |  |  |  |  | 140 |  |  |  | 107,695 |
3.63%, 03/27/32 |  |  |  |  |  |  | 94 |  |  |  | 73,396 |
|  |  |  |  |  |  |  |  |  |  | 341,111 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Saudi Arabia — 0.1% |  |  |  |  |  |  |  |  |
Saudi Government International Bond (d) |
4.50%, 04/17/30 |  |  | USD |  |  |  | 325 |  |  | $ | 331,500 |
2.25%, 02/02/33 |  |  |  |  |  |  | 200 |  |  |  | 166,000 |
|  |  |  |  |  |  |  |  |  |  | 497,500 |
South Africa — 0.1% |  |  |  |  |  |  |  |  |
Republic of South Africa Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
4.85%, 09/30/29 |  |  |  |  |  |  | 200 |  |  |  | 170,725 |
5.88%, 04/20/32 |  |  |  |  |  |  | 200 |  |  |  | 169,000 |
|  |  |  |  |  |  |  |  |  |  | 339,725 |
Sri Lanka — 0.0% |  |  |  |  |  |  |  |  |
Sri Lanka Government International Bond (d)(e)(j) |  |  |  |  |  |  |  |  |  |  |  |
6.85%, 03/14/24 |  |  |  |  |  |  | 200 |  |  |  | 56,022 |
6.35%, 06/28/24 |  |  |  |  |  |  | 200 |  |  |  | 56,022 |
|  |  |  |  |  |  |  |  |  |  | 112,044 |
Ukraine — 0.0% |  |  |  |  |  |  |  |  |
Ukraine Government International Bond |  |  |  |  |  |  |  |  |  |  |  |
9.75%, 11/01/28 (d) |  |  |  |  |  |  | 236 |  |  |  | 57,820 |
7.25%, 03/15/33 (b)(g) |  |  |  |  |  |  | 200 |  |  |  | 49,000 |
|  |  |  |  |  |  |  |  |  |  | 106,820 |
Uruguay — 0.0% |  |  |  |  |  |  |  |  |
Uruguay Government International Bond, 4.38%, 10/27/27 |  |  |  |  |  |  | 90 |  |  |  | 91,029 |
Total Foreign Agency Obligations — 1.5% (Cost: $8,865,676) |  |  |  |  |  |  |  | 7,197,101 |
|  |  |  |  | Shares |  |  |  |
Investment Companies |  |  |  |  |  |  |  |  |  |  |  |
Fixed Income Funds — 0.5% |  |  |  |  |  |  |  |  |
Invesco Senior Loan ETF |  |  |  |  |  |  | 120,501 |  |  |  | 2,442,555 |
Total Investment Companies — 0.5% (Cost: $2,670,577) |  |  |  |  |  |  |  | 2,442,555 |
|  |  |  |  | Par (000) |  |  |  |
Non-Agency Mortgage-Backed Securities |
Collateralized Mortgage Obligations — 0.6% |
Alternative Loan Trust |  |  |  |  |  |  |  |  |  |  |  |
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |  |  | USD |  |  |  | 1,117 |  |  |  | 721,357 |
Series 2006-J8, Class A5, 6.00%, 02/25/37 |  |  |  |  |  |  | 1,869 |  |  |  | 964,848 |
Series 2007-19, Class 1A1, 6.00%, 08/25/37 |  |  |  |  |  |  | 549 |  |  |  | 326,169 |
CHL Mortgage Pass-Through Trust |  |  |  |  |  |  |  |  |  |  |  |
Series 2005-17, Class 1A6, 5.50%, 09/25/35 |  |  |  |  |  |  | 106 |  |  |  | 100,915 |
Series 2006-17, Class A2, 6.00%, 12/25/36 |  |  |  |  |  |  | 653 |  |  |  | 323,002 |
Series 2007-HY5, Class 3A1, 3.08%, 09/25/37 (a) |  |  |  |  |  |  | 309 |  |  |  | 287,454 |
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.82%, 10/25/35 (a) |  |  |  |  |  |  | 319 |  |  |  | 200,468 |
|  |  |  |  |  |  |  |  |  |  | 2,924,213 |

Security |  |  |  |  | Par (000) |  |  | Value |
Commercial Mortgage-Backed Securities — 0.9% |
BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class C, 3.72%, 04/14/33 (a)(b) . |  |  | USD |  |  |  | 4,830 |  |  | $ | 4,540,043 |
Total Non-Agency Mortgage-Backed Securities — 1.5% (Cost: $8,668,712) |  |  |  | 7,464,256 |
|  |  |  |  | Benefical Interest (000) |  |  |  |
Other Interests (p) |
IT Services (c)(e) — 0.0% |  |  |  |  |  |  |  |  |
Millennium Corp |  |  | USD |  |  |  | 918 |  |  |  | — |
Millennium Lender Claim Trust |  |  |  |  |  |  | 861 |  |  |  | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  |  |  |  |  |  |  |  |  | — |
|  |  |  |  | Par (000) |  |  |  |
Preferred Securities |
Capital Trusts — 5.0% (a) |  |  |  |  |  |  |  |  |  |  |  |
Automobiles (k) — 0.1% |  |  |  |  |  |  |  |  |
General Motors Financial Co., Inc., Series C, 5.70% (g) |  |  | USD |  |  |  | 365 |  |  |  | 317,550 |
Volkswagen International Finance NV, 4.38% (d) |  |  | EUR |  |  |  | 100 |  |  |  | 84,083 |
|  |  |  |  |  |  |  |  |  |  | 401,633 |
Banks (k) — 1.3% |  |  |  |  |  |  |  |  |
Banco Mercantil del Norte SA, 6.75% (b)(g) |  |  | USD |  |  |  | 396 |  |  |  | 371,745 |
Bank of East Asia Ltd., 5.88% (d) |  |  |  |  |  |  | 250 |  |  |  | 246,062 |
Credit Agricole SA, 4.75% (b)(g) |  |  |  |  |  |  | 200 |  |  |  | 155,433 |
Industrial & Commercial Bank of China Ltd., 3.20% (d) |  |  |  |  |  |  | 200 |  |  |  | 189,000 |
ING Groep NV, 3.88% (g) |  |  |  |  |  |  | 1,750 |  |  |  | 1,267,375 |
Kasikornbank PCL, 5.28% (d) |  |  |  |  |  |  | 200 |  |  |  | 183,288 |
Nordea Bank Abp, 3.75% (b)(g) |  |  |  |  |  |  | 560 |  |  |  | 412,444 |
Rizal Commercial Banking Corp., 6.50% (d) |  |  |  |  |  |  | 200 |  |  |  | 191,163 |
TMBThanachart Bank PCL, 4.90% (d) |  |  |  |  |  |  | 250 |  |  |  | 228,016 |
U.S. Bancorp, 3.70% (g) |  |  |  |  |  |  | 1,665 |  |  |  | 1,277,887 |
Wells Fargo & Co. (g) |  |  |  |  |  |  |  |  |  |  |  |
Series S, 5.90% |  |  |  |  |  |  | 1,500 |  |  |  | 1,356,300 |
Series U, 5.88% |  |  |  |  |  |  | 384 |  |  |  | 374,362 |
|  |  |  |  |  |  |  |  |  |  | 6,253,075 |
Capital Markets — 0.5% |  |  |  |  |  |  |  |  |
Bank of New York Mellon Corp., Series I, 3.75% (g)(k) |  |  |  |  |  |  | 3,110 |  |  |  | 2,538,784 |
Diversified Financial Services (k) — 2.6% |
Bank of America Corp. (g) |  |  |  |  |  |  |  |  |  |  |  |
Series DD, 6.30%. |  |  |  |  |  |  | 215 |  |  |  | 213,149 |
Series X, 6.25% |  |  |  |  |  |  | 1,929 |  |  |  | 1,874,988 |
Series Z, 6.50% |  |  |  |  |  |  | 143 |  |  |  | 141,624 |
Barclays PLC, 4.38% (g) |  |  |  |  |  |  | 455 |  |  |  | 348,923 |
Credit Suisse Group AG |  |  |  |  |  |  |  |  |  |  |  |
6.38% (b)(g) |  |  |  |  |  |  | 295 |  |  |  | 243,743 |
6.25% (d) |  |  |  |  |  |  | 200 |  |  |  | 182,000 |
HSBC Holdings PLC (g) |  |  |  |  |  |  |  |  |  |  |  |
6.25% |  |  |  |  |  |  | 695 |  |  |  | 681,621 |
6.00% |  |  |  |  |  |  | 415 |  |  |  | 371,944 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Par (000) |  |  | Value |
Diversified Financial Services (continued) |
JPMorgan Chase & Co. (g) |  |  |  |  |  |  |  |  |  |  |  |
Series FF, 5.00% |  |  | USD |  |  |  | 2,865 |  |  | $ | 2,528,363 |
Series HH, 4.60%. |  |  |  |  |  |  | 253 |  |  |  | 213,664 |
Lloyds Banking Group PLC, 7.50% (g) |  |  |  |  |  |  | 1,250 |  |  |  | 1,218,340 |
NatWest Group PLC, 6.00% (g) |  |  |  |  |  |  | 1,185 |  |  |  | 1,096,608 |
Societe Generale SA, 5.38% (b)(g) |  |  |  |  |  |  | 2,250 |  |  |  | 1,743,750 |
UBS Group AG, 3.88% (b)(g) |  |  |  |  |  |  | 1,500 |  |  |  | 1,220,957 |
Woori Bank, 4.25% (d) |  |  |  |  |  |  | 250 |  |  |  | 239,656 |
|  |  |  |  |  |  |  |  |  |  | 12,319,330 |
Electric Utilities — 0.4% |  |  |  |  |  |  |  |  |
Edison International, Series B, 5.00% (k) |  |  |  |  |  |  | 175 |  |  |  | 139,235 |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79 (g) |  |  |  |  |  |  | 1,750 |  |  |  | 1,537,728 |
|  |  |  |  |  |  |  |  |  |  | 1,676,963 |
Independent Power and Renewable Electricity Producers — 0.1% |
Vistra Corp., 7.00% (b)(k) |  |  |  |  |  |  | 240 |  |  |  | 217,800 |
Insurance — 0.0% |  |  |  |  |  |  |  |  |
Heungkuk Life Insurance Co. Ltd., 4.48% (d)(k) |  |  |  |  |  |  | 200 |  |  |  | 194,850 |
Media — 0.0% |  |  |  |  |  |  |  |  |
SES SA, 2.88% (d)(k) |  |  | EUR |  |  |  | 100 |  |  |  | 87,504 |
Oil, Gas & Consumable Fuels — 0.0% |
Abertis Infraestructuras Finance BV, 3.25% (d)(k) |  |  |  |  |  |  | 100 |  |  |  | 83,583 |
Real Estate Management & Development — 0.0% |
Heimstaden Bostad AB, 3.00% (d)(k) |  |  |  |  |  |  | 100 |  |  |  | 52,454 |
Transportation Infrastructure — 0.0% |
Poste Italiane SpA, 2.63% (d)(k) |  |  |  |  |  |  | 100 |  |  |  | 72,833 |
Utilities — 0.0% |  |  |  |  |  |  |  |  |
Electricite de France SA, 3.00% (d)(k) |  |  |  |  |  |  | 200 |  |  |  | 159,026 |
Wireless Telecommunication Services — 0.0% |
Vodafone Group PLC, 2.63%, 08/27/80 (d) |  |  |  |  |  |  | 100 |  |  |  | 90,438 |
|  |  |  |  |  |  |  |  |  |  | 24,148,273 |
|  |  |  |  | Shares |  |  |  |
Preferred Stocks — 2.0% |
Banks — 0.0% |  |  |  |  |  |  |  |  |
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $134,650) (f) |  |  |  |  |  |  | 137,556 |  |  |  | 2,542 |
Capital Markets (a)(k) — 2.0% |  |  |  |  |  |  |  |  |
Goldman Sachs Group, Inc., Series J, 5.50% |  |  |  |  |  |  | 202,526 |  |  |  | 4,949,735 |

Security |  |  |  |  | Shares |  |  | Value |
Capital Markets (continued) |
Morgan Stanley |  |  |  |  |  |  |  |  |  |  |  |
Series F |  |  |  |  |  |  | 120,000 |  |  | $ | 3,091,200 |
Series K, 5.85% |  |  |  |  |  |  | 53,253 |  |  |  | 1,316,947 |
|  |  |  |  |  |  |  |  |  |  | 9,357,882 |
|  |  |  |  |  |  |  |  |  |  | 9,360,424 |
Total Preferred Securities — 7.0% (Cost: $38,275,695) |  |  |  |  |  |  |  | 33,508,697 |
|  |  |  |  | Par (000) |  |  |  |
U.S. Government Sponsored Agency Securities |
Agency Obligations — 2.3% |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae Mortgage-Backed Securities, 4.00%, 07/14/22 (g) |  |  | USD |  |  |  | 11,000 |  |  |  | 10,861,593 |
Collateralized Mortgage Obligations — 0.2% |
Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 4.62%, 10/25/29 (a) |  |  |  |  |  |  | 1,032 |  |  |  | 1,041,198 |
Mortgage-Backed Securities — 6.4% |
Fannie Mae Mortgage-Backed Securities, 4.00%, 12/01/44 (g) |  |  |  |  |  |  | 6,775 |  |  |  | 6,822,510 |
Freddie Mac Multifamily Structured Pass Through Certificates, Series K042, Class X1, 1.16%, 12/25/24 (a) |  |  |  |  |  |  | 32,342 |  |  |  | 679,990 |
Uniform Mortgage-Backed Securities |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 07/14/22 - 04/25/52 (g)(q) |  |  |  |  |  |  | 14,704 |  |  |  | 14,516,349 |
2.00%, 07/18/22 (q) |  |  |  |  |  |  | 5,700 |  |  |  | 5,320,149 |
5.00%, 08/01/23 |  |  |  |  |  |  | 6 |  |  |  | 5,977 |
3.50%, 01/01/51 - 04/01/52 (g) |  |  |  |  |  |  | 3,625 |  |  |  | 3,544,819 |
2.50%, 12/01/51 - 01/01/52 |  |  |  |  |  |  | — |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | 30,889,794 |
Total U.S. Government Sponsored Agency Securities — 8.9% |
(Cost: $43,059,748) |  |  |  | 42,792,585 |
|  |  |  |  | Shares |  |  |  |
Warrants |  |  |  |  |  |  |  |  |  |  |  |
Metals & Mining — 0.0% |
Ameriforge Group, Inc. (e) |  |  |  |  |  |  | 2,542 |  |  |  | — |
Oil, Gas & Consumable Fuels — 0.0% |
California Resources Corp. (e) |  |  |  |  |  |  | 345 |  |  |  | 3,543 |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  | 3,543 |
Total Long-Term Investments — 157.0% (Cost: $845,670,304) |  |  |  | 756,454,977 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  |  | Shares |  |  | Value |
Short-Term Securities |
Money Market Funds — 0.9% |  |  |  |  |  |  |  |  |  |  |  |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 1.33% (r)(s) |  |  |  |  |  |  | 4,320,231 |  |  | $ | 4,320,231 |
Total Short-Term Securities — 0.9% (Cost: $4,320,231) |  |  |  | 4,320,231 |
Total Investments Before TBA Sale Commitments — 157.9% (Cost: $849,990,535) |  |  |  | 760,775,208 |
|  |  |  |  | Par (000) |  |  |  |
TBA Sale Commitments |  |  |  |  |  |  |  |  |
Mortgage-Backed Securities — (1.3)% |
Uniform Mortgage-Backed Securities, 4.00%, 07/14/52 (q) |  |  | USD |  |  |  | (6,500 | ) |  |  | (6,409,482 | )
Total TBA Sale Commitments — (1.3)% (Proceeds: $(6,361,494)) |  |  |  | (6,409,482 | )
Total Investments, Net of TBA Sale Commitments — 156.6% |
(Cost: $843,629,041) |  |  |  | 754,365,726 |
Liabilities in Excess of Other Assets — (56.6)% |  |  |  | (272,501,790 | )
Net Assets — 100.0% |  |  |  |  |  |  |  |  |  | $ | 481,863,936 |

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

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

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

(d) | This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(e) | Non-income producing security.

(f) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $3,018, representing less than 0.05% of its net assets as of period end, and an original cost of $235,337.

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

(h) | Convertible security.

(i) | Zero-coupon bond.

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

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

(l) | 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.

(m) | Rounds to less than 1,000.

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

(o) | Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

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

(q) | Represents or includes a TBA transaction.

(r) | Affiliate of the Fund.

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

For Fund compliance purposes, the Fund’s industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/21 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/22 |  |  | Shares Held at 06/30/22 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class |  | $ | 4,969,680 |  |  | $ | — |  |  | $ | (649,449 | ) (a) |  | $ | — |  |  | $ | — |  |  | $ | 4,320,231 |  |  |  | 4,320,231 |  |  | $ | 11,898 |  |  | $ | — |

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

Reverse Repurchase Agreements

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  | Remaining Contractual Maturity of the Agreements (a)
Barclays Capital, Inc. |  |  | 1.80 | % (b) |  |  | 06/29/21 |  |  |  | Open |  |  | $ | 790,119 |  |  |  | $ 793,390 |  |  | Corporate Bonds |  | Open/Demand
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/21 |  |  |  | Open |  |  |  | 371,995 |  |  |  | 374,292 |  |  | Corporate Bonds |  | Open/Demand
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/21 |  |  |  | Open |  |  |  | 326,430 |  |  |  | 328,445 |  |  | Corporate Bonds |  | Open/Demand
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/21 |  |  |  | Open |  |  |  | 1,023,710 |  |  |  | 1,030,030 |  |  | Corporate Bonds |  | Open/Demand
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/21 |  |  |  | Open |  |  |  | 518,141 |  |  |  | 521,340 |  |  | Corporate Bonds |  | Open/Demand
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/21 |  |  |  | Open |  |  |  | 549,010 |  |  |  | 552,399 |  |  | Corporate Bonds |  | Open/Demand
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/21 |  |  |  | Open |  |  |  | 196,284 |  |  |  | 197,496 |  |  | Corporate Bonds |  | Open/Demand

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements ( | a)
Barclays Capital, Inc. |  |  | 2.00 | % (b) |  |  | 06/29/21 |  |  |  | Open |  |  | $ | 561,045 |  |  |  | $ 564,509 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 07/12/21 |  |  |  | Open |  |  |  | 1,266,580 |  |  |  | 1,272,929 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 07/15/21 |  |  |  | Open |  |  |  | 428,106 |  |  |  | 430,654 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 07/15/21 |  |  |  | Open |  |  |  | 1,213,212 |  |  |  | 1,220,433 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 07/15/21 |  |  |  | Open |  |  |  | 170,435 |  |  |  | 171,449 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 07/16/21 |  |  |  | Open |  |  |  | 123,895 |  |  |  | 124,567 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 07/19/21 |  |  |  | Open |  |  |  | 732,929 |  |  |  | 737,250 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 07/22/21 |  |  |  | Open |  |  |  | 210,313 |  |  |  | 211,343 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 07/22/21 |  |  |  | Open |  |  |  | 642,366 |  |  |  | 645,515 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 07/22/21 |  |  |  | Open |  |  |  | 1,023,390 |  |  |  | 1,028,406 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 07/22/21 |  |  |  | Open |  |  |  | 149,425 |  |  |  | 150,157 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 07/22/21 |  |  |  | Open |  |  |  | 174,500 |  |  |  | 175,355 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 08/02/21 |  |  |  | Open |  |  |  | 535,435 |  |  |  | 538,488 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 08/06/21 |  |  |  | Open |  |  |  | 430,200 |  |  |  | 432,617 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 08/23/21 |  |  |  | Open |  |  |  | 396,880 |  |  |  | 398,616 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 08/23/21 |  |  |  | Open |  |  |  | 426,073 |  |  |  | 427,936 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 10/26/21 |  |  |  | Open |  |  |  | 985,455 |  |  |  | 988,558 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 10/26/21 |  |  |  | Open |  |  |  | 1,883,612 |  |  |  | 1,892,128 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 10/27/21 |  |  |  | Open |  |  |  | 646,949 |  |  |  | 649,865 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/02/21 |  |  |  | Open |  |  |  | 498,995 |  |  |  | 501,202 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/16/21 |  |  |  | Open |  |  |  | 175,840 |  |  |  | 176,584 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 11/18/21 |  |  |  | Open |  |  |  | 41,698 |  |  |  | 41,804 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 11/18/21 |  |  |  | Open |  |  |  | 239,401 |  |  |  | 240,109 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 11/18/21 |  |  |  | Open |  |  |  | 303,613 |  |  |  | 304,510 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/18/21 |  |  |  | Open |  |  |  | 159,428 |  |  |  | 160,097 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/18/21 |  |  |  | Open |  |  |  | 308,438 |  |  |  | 309,733 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/18/21 |  |  |  | Open |  |  |  | 42,033 |  |  |  | 42,209 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/19/21 |  |  |  | Open |  |  |  | 537,460 |  |  |  | 539,696 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/19/21 |  |  |  | Open |  |  |  | 537,460 |  |  |  | 539,696 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 11/22/21 |  |  |  | Open |  |  |  | 588,627 |  |  |  | 591,068 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 12/01/21 |  |  |  | Open |  |  |  | 1,509,941 |  |  |  | 1,516,033 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 12/01/21 |  |  |  | Open |  |  |  | 1,072,750 |  |  |  | 1,077,078 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 12/20/21 |  |  |  | Open |  |  |  | 783,035 |  |  |  | 785,559 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 12/27/21 |  |  |  | Open |  |  |  | 187,750 |  |  |  | 188,437 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 01/04/22 |  |  |  | Open |  |  |  | 563,036 |  |  |  | 564,481 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 01/05/22 |  |  |  | Open |  |  |  | 661,819 |  |  |  | 664,093 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 01/05/22 |  |  |  | Open |  |  |  | 798,380 |  |  |  | 801,397 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | (1.75 | ) (b) |  |  | 01/10/22 |  |  |  | Open |  |  |  | 270,443 |  |  |  | 268,194 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 01/10/22 |  |  |  | Open |  |  |  | 520,822 |  |  |  | 522,627 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/12/22 |  |  |  | Open |  |  |  | 200,640 |  |  |  | 201,217 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 01/14/22 |  |  |  | Open |  |  |  | 820,052 |  |  |  | 822,814 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 01/14/22 |  |  |  | Open |  |  |  | 712,470 |  |  |  | 715,356 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 01/20/22 |  |  |  | Open |  |  |  | 91,823 |  |  |  | 92,169 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.20 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 156,694 |  |  |  | 157,322 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 381,753 |  |  |  | 382,773 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 370,099 |  |  |  | 371,088 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 378,675 |  |  |  | 379,687 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 355,833 |  |  |  | 356,784 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 348,075 |  |  |  | 349,006 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 367,200 |  |  |  | 368,182 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 477,374 |  |  |  | 478,650 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 347,839 |  |  |  | 348,769 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 327,600 |  |  |  | 328,476 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 01/31/22 |  |  |  | Open |  |  |  | 346,090 |  |  |  | 347,015 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/03/22 |  |  |  | Open |  |  |  | 398,216 |  |  |  | 399,707 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 02/04/22 |  |  |  | Open |  |  |  | 321,810 |  |  |  | 322,650 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.79 | (b) |  |  | 02/11/22 |  |  |  | Open |  |  |  | 26,064 |  |  |  | 26,121 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 02/11/22 |  |  |  | Open |  |  |  | 864,000 |  |  |  | 866,422 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 02/11/22 |  |  |  | Open |  |  |  | 297,238 |  |  |  | 297,991 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 335,265 |  |  |  | 336,264 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 298,726 |  |  |  | 299,616 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 258,319 |  |  |  | 259,088 |  |  | Corporate Bonds |  |  | Open/Demand |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements ( | a)
Barclays Capital, Inc. |  |  | 2.00 | % (b) |  |  | 02/14/22 |  |  |  | Open |  |  | $ | 319,770 |  |  |  | $ 320,723 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 320,780 |  |  |  | 321,736 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 319,880 |  |  |  | 320,833 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 406,700 |  |  |  | 407,881 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 593,512 |  |  |  | 595,236 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 303,406 |  |  |  | 304,287 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 335,800 |  |  |  | 336,864 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 1,573,775 |  |  |  | 1,578,761 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 1,151,150 |  |  |  | 1,155,014 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 176,750 |  |  |  | 177,343 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 509,977 |  |  |  | 511,689 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 968,830 |  |  |  | 972,082 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 131,750 |  |  |  | 132,192 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 327,656 |  |  |  | 328,756 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 1,564,412 |  |  |  | 1,569,664 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 196,188 |  |  |  | 196,846 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 225,425 |  |  |  | 226,207 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 207,818 |  |  |  | 208,539 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 532,875 |  |  |  | 534,764 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 334,588 |  |  |  | 335,774 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 620,085 |  |  |  | 622,284 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 1,828,170 |  |  |  | 1,834,652 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 799,680 |  |  |  | 802,516 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 412,665 |  |  |  | 414,128 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 211,840 |  |  |  | 212,591 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 386,360 |  |  |  | 387,730 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 298,148 |  |  |  | 299,205 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 223,780 |  |  |  | 224,573 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 316,020 |  |  |  | 317,141 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 641,112 |  |  |  | 642,732 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 294,690 |  |  |  | 295,457 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 299,663 |  |  |  | 300,442 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 290,513 |  |  |  | 291,268 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 02/14/22 |  |  |  | Open |  |  |  | 274,010 |  |  |  | 274,723 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 02/16/22 |  |  |  | Open |  |  |  | 666,947 |  |  |  | 669,040 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 02/16/22 |  |  |  | Open |  |  |  | 278,509 |  |  |  | 279,206 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 02/17/22 |  |  |  | Open |  |  |  | 212,800 |  |  |  | 213,425 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 02/22/22 |  |  |  | Open |  |  |  | 570,745 |  |  |  | 572,410 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.99 | (b) |  |  | 02/22/22 |  |  |  | Open |  |  |  | 409,538 |  |  |  | 410,791 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.99 | (b) |  |  | 02/22/22 |  |  |  | Open |  |  |  | 568,800 |  |  |  | 570,541 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 02/23/22 |  |  |  | Open |  |  |  | 2,970 |  |  |  | 2,977 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 02/24/22 |  |  |  | Open |  |  |  | 429,660 |  |  |  | 430,850 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 555,015 |  |  |  | 556,460 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 421,094 |  |  |  | 422,261 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 887,412 |  |  |  | 889,871 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 406,980 |  |  |  | 408,108 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 439,875 |  |  |  | 441,094 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 902,457 |  |  |  | 904,958 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 453,850 |  |  |  | 455,108 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 650,737 |  |  |  | 652,541 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,364,467 |  |  |  | 1,368,248 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 919,150 |  |  |  | 921,697 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 277,179 |  |  |  | 277,947 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 552,062 |  |  |  | 553,592 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 2,113,347 |  |  |  | 2,119,203 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 526,297 |  |  |  | 527,756 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 326,525 |  |  |  | 327,130 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 836,991 |  |  |  | 839,254 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 780,481 |  |  |  | 782,591 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 703,099 |  |  |  | 705,000 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.00 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 393,374 |  |  |  | 394,464 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 257,726 |  |  |  | 258,484 |  |  | Corporate Bonds |  |  | Open/Demand |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
BNP Paribas S.A. |  |  | 2.05 | % (b) |  |  | 03/01/22 |  |  |  | Open |  |  | $ | 306,990 |  |  | $ | 307,892 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 901,170 |  |  |  | 903,818 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 865,740 |  |  |  | 868,284 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 517,412 |  |  |  | 518,933 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 5,730,400 |  |  |  | 5,747,241 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 500,544 |  |  |  | 502,015 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,449,850 |  |  |  | 1,454,111 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 497,260 |  |  |  | 498,721 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 662,590 |  |  |  | 664,537 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 581,394 |  |  |  | 583,200 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,334,565 |  |  |  | 1,338,711 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,084,601 |  |  |  | 1,087,971 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 486,412 |  |  |  | 487,973 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 542,587 |  |  |  | 544,319 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 239,468 |  |  |  | 240,252 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,300,917 |  |  |  | 1,305,178 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,200,306 |  |  |  | 1,204,237 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 504,780 |  |  |  | 506,433 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 703,711 |  |  |  | 706,016 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 667,019 |  |  |  | 669,203 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.30 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 512,645 |  |  |  | 514,582 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.30 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 406,698 |  |  |  | 408,234 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.40 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 529,849 |  |  |  | 532,029 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,435,987 |  |  |  | 1,438,760 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 294,325 |  |  |  | 294,893 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 360,900 |  |  |  | 361,597 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,525,492 |  |  |  | 1,528,438 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 1,108,031 |  |  |  | 1,110,170 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 571,497 |  |  |  | 572,601 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.75 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 166,388 |  |  |  | 166,709 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 611,319 |  |  |  | 612,766 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 524,970 |  |  |  | 526,213 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 54,780 |  |  |  | 54,910 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 378,000 |  |  |  | 378,895 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 03/01/22 |  |  |  | Open |  |  |  | 322,691 |  |  |  | 323,455 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 693,412 |  |  |  | 695,324 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 181,250 |  |  |  | 181,750 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 206,455 |  |  |  | 207,024 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 1,185,765 |  |  |  | 1,189,034 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 335,393 |  |  |  | 336,317 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 216,405 |  |  |  | 217,002 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 412,125 |  |  |  | 413,261 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 250,408 |  |  |  | 251,098 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 844,234 |  |  |  | 846,561 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 326,690 |  |  |  | 327,591 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 368,195 |  |  |  | 369,210 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 1,377,832 |  |  |  | 1,381,631 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 147,475 |  |  |  | 147,882 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 174,000 |  |  |  | 174,480 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 391,230 |  |  |  | 392,309 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 59,630 |  |  |  | 59,804 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 03/02/22 |  |  |  | Open |  |  |  | 455,666 |  |  |  | 457,196 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 319,550 |  |  |  | 320,215 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 220,106 |  |  |  | 220,565 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 143,715 |  |  |  | 144,014 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 341,500 |  |  |  | 342,437 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 203,683 |  |  |  | 204,241 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 409,176 |  |  |  | 410,299 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 230,300 |  |  |  | 230,764 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 392,531 |  |  |  | 393,323 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 400,950 |  |  |  | 401,758 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 435,000 |  |  |  | 435,877 |  |  | Corporate Bonds |  |  | Open/Demand |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
RBC Capital Markets LLC |  |  | 1.78 | % (b) |  |  | 03/03/22 |  |  |  | Open |  |  | $ | 287,494 |  |  | $ | 288,073 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 1,451,625 |  |  |  | 1,454,551 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 1,601,970 |  |  |  | 1,605,199 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 137,375 |  |  |  | 137,652 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 1,456,875 |  |  |  | 1,459,812 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 883,125 |  |  |  | 884,905 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 992,162 |  |  |  | 994,163 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/03/22 |  |  |  | Open |  |  |  | 645,937 |  |  |  | 647,240 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 603,630 |  |  |  | 604,872 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 350,875 |  |  |  | 351,823 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 660,060 |  |  |  | 661,843 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 136,890 |  |  |  | 137,260 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 467,066 |  |  |  | 468,328 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 216,456 |  |  |  | 217,041 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 620,876 |  |  |  | 622,553 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/04/22 |  |  |  | Open |  |  |  | 737,412 |  |  |  | 739,405 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.61 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 243,338 |  |  |  | 243,688 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.65 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 136,120 |  |  |  | 136,333 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.78 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 1,419,412 |  |  |  | 1,422,219 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.78 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 2,655,162 |  |  |  | 2,660,412 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.81 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 616,225 |  |  |  | 617,502 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 183,656 |  |  |  | 183,991 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 161,081 |  |  |  | 161,486 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 1,443,750 |  |  |  | 1,447,381 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 543,637 |  |  |  | 545,005 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 633,041 |  |  |  | 634,634 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 3,523,500 |  |  |  | 3,532,363 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 946,906 |  |  |  | 949,288 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 279,650 |  |  |  | 280,353 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 3,026,250 |  |  |  | 3,033,862 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 1,836,562 |  |  |  | 1,839,742 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 283,158 |  |  |  | 283,674 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 1,297,187 |  |  |  | 1,300,450 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 820,000 |  |  |  | 822,063 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 656,529 |  |  |  | 658,242 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 461,169 |  |  |  | 462,373 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 1,205,625 |  |  |  | 1,208,772 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.99 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 731,737 |  |  |  | 733,671 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.00 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 560,835 |  |  |  | 562,334 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 270,788 |  |  |  | 271,554 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 622,765 |  |  |  | 624,529 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 372,775 |  |  |  | 373,831 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 896,070 |  |  |  | 898,608 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 512,352 |  |  |  | 513,803 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 541,231 |  |  |  | 542,764 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 770,931 |  |  |  | 773,114 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 717,577 |  |  |  | 719,610 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 300,800 |  |  |  | 301,652 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 1,291,912 |  |  |  | 1,295,571 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 509,312 |  |  |  | 510,755 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 316,538 |  |  |  | 317,434 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 42,129 |  |  |  | 42,248 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 216,631 |  |  |  | 217,279 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 560,092 |  |  |  | 561,821 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 407,046 |  |  |  | 408,302 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 281,295 |  |  |  | 282,163 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 748,807 |  |  |  | 751,118 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 527,617 |  |  |  | 529,279 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 668,700 |  |  |  | 670,805 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 362,194 |  |  |  | 363,334 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 566,886 |  |  |  | 568,671 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 472,320 |  |  |  | 473,807 |  |  | Corporate Bonds |  |  | Open/Demand |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a)
BNP Paribas S.A. |  |  | 2.15 | % (b) |  |  | 03/08/22 |  |  |  | Open |  |  | $ | 109,280 |  |  | $ | 109,624 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 405,223 |  |  |  | 406,498 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 597,872 |  |  |  | 599,755 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 489,837 |  |  |  | 491,380 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 518,100 |  |  |  | 519,731 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 222,045 |  |  |  | 222,744 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 203,873 |  |  |  | 204,514 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 637,130 |  |  |  | 639,136 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 104,860 |  |  |  | 105,190 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 414,585 |  |  |  | 415,890 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 2,300,719 |  |  |  | 2,308,181 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 300,514 |  |  |  | 301,488 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 314,100 |  |  |  | 315,119 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 2,243,587 |  |  |  | 2,250,865 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.30 | (b) |  |  | 03/08/22 |  |  |  | Open |  |  |  | 417,055 |  |  |  | 418,566 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.78 | (b) |  |  | 03/09/22 |  |  |  | Open |  |  |  | 423,563 |  |  |  | 424,400 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 03/09/22 |  |  |  | Open |  |  |  | 113,040 |  |  |  | 113,306 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 03/09/22 |  |  |  | Open |  |  |  | 195,570 |  |  |  | 196,031 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 03/09/22 |  |  |  | Open |  |  |  | 146,094 |  |  |  | 146,438 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 03/09/22 |  |  |  | Open |  |  |  | 294,500 |  |  |  | 295,194 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 03/10/22 |  |  |  | Open |  |  |  | 129,203 |  |  |  | 129,597 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.79 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 234,175 |  |  |  | 234,634 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 508,596 |  |  |  | 510,143 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.92 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 330,704 |  |  |  | 331,481 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.92 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 375,599 |  |  |  | 376,481 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.92 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 328,213 |  |  |  | 328,984 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.92 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 345,750 |  |  |  | 346,563 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.92 | (b) |  |  | 03/14/22 |  |  |  | Open |  |  |  | 701,222 |  |  |  | 702,871 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.25 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 24,000 |  |  |  | 23,987 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.50 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 195,000 |  |  |  | 195,233 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.65 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 234,000 |  |  |  | 234,384 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.75 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 362,160 |  |  |  | 362,862 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 192,631 |  |  |  | 193,013 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,182,812 |  |  |  | 1,185,157 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 420,000 |  |  |  | 420,832 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 93,090 |  |  |  | 93,275 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,502,209 |  |  |  | 1,505,186 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,640,000 |  |  |  | 1,643,250 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 2,104,314 |  |  |  | 2,107,593 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 596,831 |  |  |  | 598,014 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,825,000 |  |  |  | 1,828,617 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,389,062 |  |  |  | 1,391,816 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 317,281 |  |  |  | 317,943 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.85 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 93,938 |  |  |  | 94,138 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.85 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 2,752,500 |  |  |  | 2,758,364 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.90 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 207,383 |  |  |  | 207,856 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,164,062 |  |  |  | 1,167,062 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 308,029 |  |  |  | 308,822 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 2,673,125 |  |  |  | 2,680,012 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 581,750 |  |  |  | 583,249 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 1,205,050 |  |  |  | 1,208,155 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 965,775 |  |  |  | 968,263 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 352,125 |  |  |  | 353,032 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 2.00 | (b) |  |  | 03/15/22 |  |  |  | Open |  |  |  | 336,256 |  |  |  | 337,123 |  |  | Capital Trusts |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 03/16/22 |  |  |  | Open |  |  |  | 161,303 |  |  |  | 161,668 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.72 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 437,500 |  |  |  | 438,297 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.72 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 453,125 |  |  |  | 453,951 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.72 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 1,366,875 |  |  |  | 1,369,366 |  |  | Corporate Bonds |  |  | Open/Demand |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

|  | Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a) |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.72 | % (b) |  |  | 03/17/22 |  |  |  | Open |  |  | $ | 1,645,000 |  |  | $ | 1,647,998 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.72 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 1,675,625 |  |  |  | 1,678,678 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.72 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 1,344,375 |  |  |  | 1,346,825 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.75 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 673,841 |  |  |  | 675,128 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.75 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 833,750 |  |  |  | 835,342 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 216,600 |  |  |  | 217,026 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 182,688 |  |  |  | 183,047 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 186,750 |  |  |  | 187,118 |  |  | Foreign Agency Obligations |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 222,250 |  |  |  | 222,687 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 122,500 |  |  |  | 122,741 |  |  | Foreign Agency Obligations |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 50,125 |  |  |  | 50,224 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.77 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 411,188 |  |  |  | 411,997 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 251,119 |  |  |  | 251,635 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 228,179 |  |  |  | 228,648 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 214,200 |  |  |  | 214,640 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 294,866 |  |  |  | 295,472 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 320,823 |  |  |  | 321,482 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 231,600 |  |  |  | 232,076 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 321,210 |  |  |  | 321,870 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.82 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 798,750 |  |  |  | 800,438 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.82 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 309,833 |  |  |  | 310,487 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.82 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 433,148 |  |  |  | 434,063 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.82 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 332,979 |  |  |  | 333,683 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 216,745 |  |  |  | 217,216 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 343,406 |  |  |  | 344,152 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 377,100 |  |  |  | 377,919 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 411,294 |  |  |  | 412,187 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 370,440 |  |  |  | 371,245 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 695,200 |  |  |  | 696,710 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 331,500 |  |  |  | 332,220 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 425,315 |  |  |  | 426,239 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

|  | Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements | (a) |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | % (b) |  |  | 03/17/22 |  |  |  | Open |  |  | $ | 436,489 |  |  | $ | 437,437 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 479,960 |  |  |  | 481,003 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 299,500 |  |  |  | 300,151 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 456,120 |  |  |  | 457,111 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 330,630 |  |  |  | 331,348 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 344,500 |  |  |  | 345,248 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 332,175 |  |  |  | 332,897 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.86 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 513,305 |  |  |  | 514,450 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.86 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 483,035 |  |  |  | 484,112 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.86 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 485,939 |  |  |  | 487,023 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.86 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 109,705 |  |  |  | 109,950 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.88 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 339,565 |  |  |  | 340,342 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.92 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 74,588 |  |  |  | 74,767 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 1,190,625 |  |  |  | 1,193,072 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.80 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 194,000 |  |  |  | 194,399 |  |  | Foreign Agency Obligations |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.85 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 487,207 |  |  |  | 488,280 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.85 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 264,688 |  |  |  | 265,270 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.90 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 302,575 |  |  |  | 303,285 |  |  | Capital Trusts |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.90 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 322,444 |  |  |  | 323,201 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.90 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 331,570 |  |  |  | 332,348 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.95 | (b) |  |  | 03/17/22 |  |  |  | Open |  |  |  | 1,490,000 |  |  |  | 1,493,715 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/22/22 |  |  |  | Open |  |  |  | 471,069 |  |  |  | 472,263 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 03/22/22 |  |  |  | Open |  |  |  | 548,625 |  |  |  | 550,244 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 03/30/22 |  |  |  | Open |  |  |  | 174,872 |  |  |  | 175,199 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/30/22 |  |  |  | Open |  |  |  | 833,866 |  |  |  | 835,841 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/31/22 |  |  |  | Open |  |  |  | 672,861 |  |  |  | 674,441 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 03/31/22 |  |  |  | Open |  |  |  | 357,300 |  |  |  | 358,139 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 04/01/22 |  |  |  | Open |  |  |  | 1,290,369 |  |  |  | 1,293,398 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 04/01/22 |  |  |  | Open |  |  |  | 1,392,300 |  |  |  | 1,395,651 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 04/01/22 |  |  |  | Open |  |  |  | 458,640 |  |  |  | 459,890 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.88 | (b) |  |  | 04/04/22 |  |  |  | Open |  |  |  | 261,375 |  |  |  | 261,891 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.88 | (b) |  |  | 04/04/22 |  |  |  | Open |  |  |  | 214,775 |  |  |  | 215,199 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 04/06/22 |  |  |  | Open |  |  |  | 260,684 |  |  |  | 261,189 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 04/11/22 |  |  |  | Open |  |  |  | 66,838 |  |  |  | 66,950 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Bank PLC |  |  | 1.80 | (b) |  |  | 04/11/22 |  |  |  | Open |  |  |  | 197,228 |  |  |  | 197,558 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Bank PLC |  |  | 1.90 | (b) |  |  | 04/11/22 |  |  |  | Open |  |  |  | 201,206 |  |  |  | 201,588 |  |  | Foreign Agency Obligations |  |  | Open/Demand |  |  |
|  | Barclays Bank PLC |  |  | 1.90 | (b) |  |  | 04/11/22 |  |  |  | Open |  |  |  | 212,321 |  |  |  | 212,724 |  |  | Foreign Agency Obligations |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.88 | (b) |  |  | 04/11/22 |  |  |  | Open |  |  |  | 282,056 |  |  |  | 282,578 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.95 | (b) |  |  | 04/11/22 |  |  |  | Open |  |  |  | 90,680 |  |  |  | 90,862 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 04/12/22 |  |  |  | Open |  |  |  | 481,699 |  |  |  | 482,762 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Suisse Securities (USA) LLC |  |  | 1.25 | (b) |  |  | 04/12/22 |  |  |  | Open |  |  |  | 89,700 |  |  |  | 89,543 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 04/14/22 |  |  |  | Open |  |  |  | 340,170 |  |  |  | 340,708 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 04/14/22 |  |  |  | Open |  |  |  | 166,725 |  |  |  | 167,016 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 04/19/22 |  |  |  | Open |  |  |  | 337,199 |  |  |  | 337,857 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |
|  | Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 04/21/22 |  |  |  | Open |  |  |  | 232,360 |  |  |  | 232,804 |  |  | Corporate Bonds |  |  | Open/Demand |  |  |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements (a | )
BNP Paribas S.A. |  |  | 2.05 | % (b) |  |  | 04/21/22 |  |  |  | Open |  |  | $ | 261,220 |  |  | $ | 261,744 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 04/21/22 |  |  |  | Open |  |  |  | 766,010 |  |  |  | 767,696 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Suisse Securities (USA) LLC |  |  | (0.75 | ) (b) |  |  | 04/21/22 |  |  |  | Open |  |  |  | 184,150 |  |  |  | 183,653 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 04/25/22 |  |  |  | Open |  |  |  | 340,025 |  |  |  | 340,740 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.85 | (b) |  |  | 04/26/22 |  |  |  | Open |  |  |  | 481,504 |  |  |  | 482,243 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 04/27/22 |  |  |  | Open |  |  |  | 269,188 |  |  |  | 269,620 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | (1.25 | ) (b) |  |  | 04/28/22 |  |  |  | Open |  |  |  | 138,880 |  |  |  | 138,571 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 04/28/22 |  |  |  | Open |  |  |  | 824,377 |  |  |  | 825,832 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 04/29/22 |  |  |  | Open |  |  |  | 223,549 |  |  |  | 223,892 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 05/03/22 |  |  |  | Open |  |  |  | 143,835 |  |  |  | 144,108 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/06/22 |  |  |  | Open |  |  |  | 367,650 |  |  |  | 368,334 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/06/22 |  |  |  | Open |  |  |  | 933,240 |  |  |  | 934,977 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 05/06/22 |  |  |  | Open |  |  |  | 137,925 |  |  |  | 138,192 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 05/06/22 |  |  |  | Open |  |  |  | 137,271 |  |  |  | 137,507 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/10/22 |  |  |  | Open |  |  |  | 337,249 |  |  |  | 337,853 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.00 | (b) |  |  | 05/10/22 |  |  |  | Open |  |  |  | 923,105 |  |  |  | 924,759 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 05/10/22 |  |  |  | Open |  |  |  | 466,403 |  |  |  | 467,271 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.84 | (b) |  |  | 05/10/22 |  |  |  | Open |  |  |  | 383,381 |  |  |  | 383,981 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/13/22 |  |  |  | Open |  |  |  | 541,822 |  |  |  | 542,699 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 05/13/22 |  |  |  | Open |  |  |  | 204,180 |  |  |  | 204,550 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 05/13/22 |  |  |  | Open |  |  |  | 260,100 |  |  |  | 260,488 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 05/16/22 |  |  |  | Open |  |  |  | 833,425 |  |  |  | 834,797 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.15 | (b) |  |  | 05/16/22 |  |  |  | Open |  |  |  | 621,285 |  |  |  | 622,409 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/18/22 |  |  |  | Open |  |  |  | 444,231 |  |  |  | 444,904 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.00 | (b) |  |  | 05/19/22 |  |  |  | Open |  |  |  | 791,595 |  |  |  | 792,766 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/23/22 |  |  |  | Open |  |  |  | 172,568 |  |  |  | 172,799 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.18 | (b) |  |  | 05/25/22 |  |  |  | Open |  |  |  | 644,490 |  |  |  | 645,425 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/27/22 |  |  |  | Open |  |  |  | 526,256 |  |  |  | 526,834 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 05/27/22 |  |  |  | Open |  |  |  | 179,973 |  |  |  | 180,170 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 05/27/22 |  |  |  | Open |  |  |  | 76,624 |  |  |  | 76,711 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.75 | (b) |  |  | 06/03/22 |  |  |  | Open |  |  |  | 471,750 |  |  |  | 472,087 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 06/03/22 |  |  |  | Open |  |  |  | 448,800 |  |  |  | 449,204 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 06/03/22 |  |  |  | Open |  |  |  | 392,250 |  |  |  | 392,566 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.90 | (b) |  |  | 06/06/22 |  |  |  | Open |  |  |  | 317,363 |  |  |  | 317,612 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.80 | (b) |  |  | 06/08/22 |  |  |  | Open |  |  |  | 559,333 |  |  |  | 559,720 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.80 | (b) |  |  | 06/08/22 |  |  |  | Open |  |  |  | 387,563 |  |  |  | 387,831 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.83 | (b) |  |  | 06/08/22 |  |  |  | Open |  |  |  | 385,293 |  |  |  | 385,566 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.88 | (b) |  |  | 06/08/22 |  |  |  | Open |  |  |  | 607,060 |  |  |  | 607,511 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 1.87 | (b) |  |  | 06/08/22 |  |  |  | Open |  |  |  | 994,967 |  |  |  | 995,700 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 1.87 | (b) |  |  | 06/08/22 |  |  |  | Open |  |  |  | 230,520 |  |  |  | 230,690 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 1,715,132 |  |  |  | 1,716,620 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 1,664,407 |  |  |  | 1,665,489 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 1,720,432 |  |  |  | 1,721,550 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 10,535,719 |  |  |  | 10,542,567 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 1.30 |  |  |  | 06/10/22 |  |  |  | 07/14/22 |  |  |  | 6,643,796 |  |  |  | 6,648,115 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
BNP Paribas S.A. |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 490,820 |  |  |  | 491,112 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 609,765 |  |  |  | 610,128 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 475,082 |  |  |  | 475,366 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 477,654 |  |  |  | 477,938 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 394,043 |  |  |  | 394,283 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 758,812 |  |  |  | 759,276 |  |  | Corporate Bonds |  |  | Open/Demand |

S C H E D U L E O F I N V E S T M E N T S |  | 101

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements (a | )
BNP Paribas S.A. |  |  | 1.93 | % (b) |  |  | 06/13/22 |  |  |  | Open |  |  | $ | 332,821 |  |  | $ | 333,025 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 386,468 |  |  |  | 386,704 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 383,250 |  |  |  | 383,484 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 333,574 |  |  |  | 333,778 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 301,106 |  |  |  | 301,286 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 347,820 |  |  |  | 348,027 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 375,765 |  |  |  | 375,989 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 304,476 |  |  |  | 304,658 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 437,063 |  |  |  | 437,323 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 359,640 |  |  |  | 359,854 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 605,760 |  |  |  | 606,121 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 384,323 |  |  |  | 384,551 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 513,810 |  |  |  | 514,116 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/13/22 |  |  |  | Open |  |  |  | 321,131 |  |  |  | 321,323 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.75 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 804,375 |  |  |  | 804,772 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 1.75 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 452,250 |  |  |  | 452,460 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | (1.00 | ) (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 516,684 |  |  |  | 516,454 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 307,680 |  |  |  | 307,851 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 331,478 |  |  |  | 331,661 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 286,978 |  |  |  | 287,137 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 452,250 |  |  |  | 452,501 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 394,654 |  |  |  | 394,872 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 338,138 |  |  |  | 338,325 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 341,610 |  |  |  | 341,796 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 298,080 |  |  |  | 298,243 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 303,656 |  |  |  | 303,822 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 340,775 |  |  |  | 340,961 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 330,793 |  |  |  | 330,973 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 421,438 |  |  |  | 421,667 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 368,010 |  |  |  | 368,211 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 305,776 |  |  |  | 305,943 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 301,500 |  |  |  | 301,664 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 336,150 |  |  |  | 336,333 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 279,500 |  |  |  | 279,652 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 372,844 |  |  |  | 373,050 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 366,520 |  |  |  | 366,723 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.95 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 544,305 |  |  |  | 544,607 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.13 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 83,190 |  |  |  | 83,246 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 301,950 |  |  |  | 302,111 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 278,651 |  |  |  | 278,799 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 443,980 |  |  |  | 444,216 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/14/22 |  |  |  | Open |  |  |  | 331,530 |  |  |  | 331,706 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 06/15/22 |  |  |  | Open |  |  |  | 328,843 |  |  |  | 329,027 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | (3.00 | ) (b) |  |  | 06/17/22 |  |  |  | Open |  |  |  | 26,550 |  |  |  | 26,528 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/17/22 |  |  |  | Open |  |  |  | 212,031 |  |  |  | 212,149 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Suisse Securities (USA) LLC |  |  | 1.85 | (b) |  |  | 06/17/22 |  |  |  | Open |  |  |  | 105,656 |  |  |  | 105,711 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 06/17/22 |  |  |  | Open |  |  |  | 166,061 |  |  |  | 166,148 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 1.75 | (b) |  |  | 06/21/22 |  |  |  | Open |  |  |  | 145,250 |  |  |  | 145,314 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.90 | (b) |  |  | 06/21/22 |  |  |  | Open |  |  |  | 155,649 |  |  |  | 155,723 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Suisse Securities (USA) LLC |  |  | (0.50 | ) (b) |  |  | 06/22/22 |  |  |  | Open |  |  |  | 123,360 |  |  |  | 123,346 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/22/22 |  |  |  | Open |  |  |  | 112,174 |  |  |  | 112,221 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.10 | (b) |  |  | 06/23/22 |  |  |  | Open |  |  |  | 65,813 |  |  |  | 65,839 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 1.75 | (b) |  |  | 06/23/22 |  |  |  | Open |  |  |  | 185,120 |  |  |  | 185,183 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 1.75 | (b) |  |  | 06/23/22 |  |  |  | Open |  |  |  | 166,297 |  |  |  | 166,354 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 1.85 | (b) |  |  | 06/23/22 |  |  |  | Open |  |  |  | 217,750 |  |  |  | 217,828 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 1.85 | (b) |  |  | 06/23/22 |  |  |  | Open |  |  |  | 204,413 |  |  |  | 204,486 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.65 | (b) |  |  | 06/24/22 |  |  |  | Open |  |  |  | 503,882 |  |  |  | 503,975 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.98 | (b) |  |  | 06/24/22 |  |  |  | Open |  |  |  | 774,440 |  |  |  | 774,610 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 2.05 | (b) |  |  | 06/24/22 |  |  |  | Open |  |  |  | 127,500 |  |  |  | 127,529 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 1.92 | (b) |  |  | 06/24/22 |  |  |  | Open |  |  |  | 28,000 |  |  |  | 28,006 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Suisse Securities (USA) LLC |  |  | (5.00 | ) (b) |  |  | 06/24/22 |  |  |  | Open |  |  |  | 78,650 |  |  |  | 78,574 |  |  | Corporate Bonds |  |  | Open/Demand |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Reverse Repurchase Agreements (continued)

Counterparty |  |  | Interest Rate |  |  |  | Trade Date |  |  |  | Maturity Date | (a) |  |  | Face Value |  |  |  | Face Value Including Accrued Interest |  |  | Type of Non-Cash Underlying Collateral |  |  | Remaining Contractual Maturity of the Agreements (a | )
RBC Capital Markets LLC |  |  | 1.88 | % (b) |  |  | 06/28/22 |  |  |  | Open |  |  | $ | 265,898 |  |  | $ | 265,925 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 270,020 |  |  |  | 270,035 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 476,190 |  |  |  | 476,216 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 2.00 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 293,020 |  |  |  | 293,036 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.65 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 115,275 |  |  |  | 115,280 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 222,135 |  |  |  | 222,147 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas S.A. |  |  | 1.93 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 185,310 |  |  |  | 185,320 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.88 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 510,351 |  |  |  | 510,378 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets LLC |  |  | 1.90 | (b) |  |  | 06/29/22 |  |  |  | Open |  |  |  | 223,576 |  |  |  | 223,588 |  |  | Corporate Bonds |  |  | Open/Demand |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 291,585,438 |  |  | $ | 292,269,603 |  |  |  |  |  |  |

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

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

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts

Description |  | Number of Contracts |  |  | Expiration Date |  |  | Notional Amount (000) |  |  | Value/ Unrealized Appreciation (Depreciation) |
Long Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Ultra Long Treasury Note |  |  | 141 |  |  |  | 09/21/22 |  |  | $ | 17,916 |  |  | $ | (55,397 | )
2-Year U.S. Treasury Note |  |  | 230 |  |  |  | 09/30/22 |  |  |  | 48,264 |  |  |  | (258,724 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | (314,121 | )
Short Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Euro BTP |  |  | 1 |  |  |  | 09/08/22 |  |  |  | 129 |  |  |  | (3,553 | )
10-Year Japanese Government Treasury Bonds |  |  | 3 |  |  |  | 09/12/22 |  |  |  | 3,286 |  |  |  | 8,616 |
10-Year U.S. Treasury Note |  |  | 288 |  |  |  | 09/21/22 |  |  |  | 34,088 |  |  |  | 95,653 |
U.S. Long Bond |  |  | 45 |  |  |  | 09/21/22 |  |  |  | 6,214 |  |  |  | 120,063 |
Ultra U.S. Treasury Bond |  |  | 48 |  |  |  | 09/21/22 |  |  |  | 7,409 |  |  |  | 77,093 |
5-Year U.S. Treasury Note |  |  | 73 |  |  |  | 09/30/22 |  |  |  | 8,185 |  |  |  | (44,884 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 252,988 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (61,133 | )

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 6,911,308 |  |  | EUR |  |  | 6,526,000 |  |  | BNP Paribas S.A. |  |  | 09/21/22 |  |  | $ | 34,326 |
USD |  |  | 867,875 |  |  | EUR |  |  | 820,000 |  |  | State Street Bank and Trust Co. |  |  | 09/21/22 |  |  |  | 3,774 |
USD |  |  | 17,225 |  |  | GBP |  |  | 14,081 |  |  | Bank of America N.A. |  |  | 09/21/22 |  |  |  | 59 |
USD |  |  | 1,206,346 |  |  | GBP |  |  | 973,000 |  |  | Deutsche Bank AG |  |  | 09/21/22 |  |  |  | 20,141 |
USD |  |  | 1,763,026 |  |  | GBP |  |  | 1,422,000 |  |  | Deutsche Bank AG |  |  | 09/21/22 |  |  |  | 29,435 |
USD |  |  | 3,418,188 |  |  | GBP |  |  | 2,757,000 |  |  | Deutsche Bank AG |  |  | 09/21/22 |  |  |  | 57,070 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 144,805 |
EUR |  |  | 379,264 |  |  | USD |  |  | 401,686 |  |  | Morgan Stanley & Co. International PLC |  |  | 09/21/22 |  |  |  | (2,024 | )
GBP |  |  | 37,357 |  |  | USD |  |  | 45,696 |  |  | Deutsche Bank AG |  |  | 09/21/22 |  |  |  | (154 | )
GBP |  |  | 59,608 |  |  | USD |  |  | 72,915 |  |  | Standard Chartered Bank |  |  | 09/21/22 |  |  |  | (246 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (2,424 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 142,381 |

S C H E D U L E O F I N V E S T M E N T S |  | 103

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Centrally Cleared Credit Default Swaps — Buy Protection

Reference Obligation/Index |  | Financing Rate Paid by the Fund |  |  | Payment Frequency |  | Termination Date |  | Notional Amount (000) |  |  | Value |  |  | Upfront Premium Paid (Received) |  |  | Unrealized Appreciation (Depreciation) |
CDX.NA.HY.38.V2 |  |  | 5.00 | % |  | Quarterly |  | 06/20/27 |  | USD | 3,737 |  |  | $ | 104,216 |  |  | $ | (117,814 | ) |  | $ | 222,030 |
CDX.NA.IG.38.V1 |  |  | 1.00 |  |  | Quarterly |  | 06/20/27 |  | USD | 16,590 |  |  |  | 191 |  |  |  | (146,553 | ) |  |  | 146,744 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 104,407 |  |  | $ | (264,367 | ) |  | $ | 368,774 |

Centrally Cleared Interest Rate Swaps

Paid by the Fund |  | Received by the Fund |  | Effective |  |  | Termination |  |  | Notional |  |  |  |  |  | Upfront Premium Paid |  |  | Unrealized Appreciation |
Rate |  | Frequency |  | Rate |  | Frequency |  | Date |  |  | Date |  |  | Amount (000) |  |  | Value |  |  | (Received) |  |  | (Depreciation) |
1-Day SOFR, 0.82% |  | Annual |  | 3.01% |  | Annual |  |  | 10/05/22 | (a) |  |  | 06/30/24 |  |  | USD |  |  | 11,575 |  |  | $ | (24,128 | ) |  | $ | 50 |  |  | $ | (24,178 | )
2.86% |  | Annual |  | 1-Day SOFR, 0.82% |  | Annual |  |  | 10/05/22 | (a) |  |  | 11/30/26 |  |  | USD |  |  | 11,575 |  |  |  | (16,677 | ) |  |  | 105 |  |  |  | (16,782 | )
3-Month LIBOR, 2.29% |  | Quarterly |  | 1.57% |  | Semi-Annual |  |  | N/A |  |  |  | 02/11/30 |  |  | USD |  |  | 5 |  |  |  | (482 | ) |  |  | 163 |  |  |  | (645 | )
1.61% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  |  | N/A |  |  |  | 03/28/32 |  |  | USD |  |  | 9,300 |  |  |  | 1,121,049 |  |  |  | 146 |  |  |  | 1,120,903 |
1.66% |  | Semi-Annual |  | 3-Month LIBOR, 2.29% |  | Quarterly |  |  | N/A |  |  |  | 04/25/32 |  |  | USD |  |  | 9,020 |  |  |  | 1,082,246 |  |  |  | 144 |  |  |  | 1,082,102 |
3-Month LIBOR, 2.29% |  | Quarterly |  | 1.93% |  | Semi-Annual |  |  | N/A |  |  |  | 10/22/51 |  |  | USD |  |  | 2,500 |  |  |  | (501,385 | ) |  |  | 77 |  |  |  | (501,462 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 1,660,623 |  |  | $ | 685 |  |  | $ | 1,659,938 |

| (a) | Forward Swap. |

OTC Credit Default Swaps — Sell Protection

|  | Reference Obligation/Index |  |  | Financing Rate Received by the Fund |  |  | Payment Frequency |  | Counterparty |  | Termination Date |  |  | Credit Rating | (a) |  |  | Notional Amount(000) (b) |  |  |  | Value |  |  |  | Upfront Premium Paid (Received) |  |  |  | Unrealized Appreciation (Depreciation) |  |  |
|  | Casino Guichard-Perrachon S.A. |  |  | 5.00 | % |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/23 |  |  | B |  |  |  | EUR |  |  |  | 20 |  |  | $ | (3,002 | ) |  | $ | (1,735 | ) |  | $ | (1,267 | ) |  |
|  | Novafives S.A.S |  |  | 5.00 |  |  | Quarterly |  | Citibank N.A. |  | 06/20/23 |  |  | B- |  |  |  | EUR |  |  |  | 10 |  |  |  | (1,161 | ) |  |  | (668 | ) |  |  | (493 | ) |  |
|  | Faurecia SE |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/25 |  |  | BB |  |  |  | EUR |  |  |  | 10 |  |  |  | 100 |  |  |  | 461 |  |  |  | (361 | ) |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  | Quarterly |  | Morgan Stanley & Co. International PLC |  | 12/20/25 |  |  | CCC |  |  |  | EUR |  |  |  | 10 |  |  |  | (3,224 | ) |  |  | 1,224 |  |  |  | (4,448 | ) |  |
|  | Virgin Media Finance PLC |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 12/20/25 |  |  | B |  |  |  | EUR |  |  |  | 10 |  |  |  | 257 |  |  |  | 948 |  |  |  | (691 | ) |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/26 |  |  | NR |  |  |  | EUR |  |  |  | 10 |  |  |  | (3,280 | ) |  |  | 836 |  |  |  | (4,116 | ) |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/26 |  |  | NR |  |  |  | EUR |  |  |  | 10 |  |  |  | (3,280 | ) |  |  | 939 |  |  |  | (4,219 | ) |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 12/20/26 |  |  | CCC |  |  |  | EUR |  |  |  | 10 |  |  |  | (3,329 | ) |  |  | — |  |  |  | (3,329 | ) |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 12/20/26 |  |  | BB+ |  |  |  | EUR |  |  |  | 30 |  |  |  | (886 | ) |  |  | 1,192 |  |  |  | (2,078 | ) |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  | Quarterly |  | Bank of America N.A. |  | 12/20/26 |  |  | B+ |  |  |  | EUR |  |  |  | 20 |  |  |  | (3,251 | ) |  |  | (781 | ) |  |  | (2,470 | ) |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  | Quarterly |  | Barclays Bank PLC |  | 12/20/26 |  |  | B+ |  |  |  | EUR |  |  |  | 10 |  |  |  | (1,650 | ) |  |  | 397 |  |  |  | (2,047 | ) |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  | Quarterly |  | Credit Suisse International |  | 12/20/26 |  |  | B+ |  |  |  | EUR |  |  |  | 10 |  |  |  | (1,604 | ) |  |  | 408 |  |  |  | (2,012 | ) |  |
|  | K&S AG |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 12/20/26 |  |  | BB |  |  |  | EUR |  |  |  | 10 |  |  |  | 825 |  |  |  | 805 |  |  |  | 20 |  |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | Barclays Bank PLC |  | 06/20/27 |  |  | BB+ |  |  |  | EUR |  |  |  | 2 |  |  |  | (92 | ) |  |  | 67 |  |  |  | (159 | ) |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | Credit Suisse International |  | 06/20/27 |  |  | BB+ |  |  |  | EUR |  |  |  | 40 |  |  |  | (1,737 | ) |  |  | 1,825 |  |  |  | (3,562 | ) |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | Credit Suisse International |  | 06/20/27 |  |  | BB+ |  |  |  | EUR |  |  |  | 12 |  |  |  | (511 | ) |  |  | 396 |  |  |  | (907 | ) |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/27 |  |  | BB+ |  |  |  | EUR |  |  |  | 12 |  |  |  | (514 | ) |  |  | 431 |  |  |  | (945 | ) |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/27 |  |  | BB+ |  |  |  | EUR |  |  |  | 11 |  |  |  | (483 | ) |  |  | 405 |  |  |  | (888 | ) |  |
|  | CMA CGM SA |  |  | 5.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/27 |  |  | BB+ |  |  |  | EUR |  |  |  | 3 |  |  |  | (136 | ) |  |  | 114 |  |  |  | (250 | ) |  |
|  | Ladbrokes Coral Group Ltd. |  |  | 1.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/27 |  |  | BB |  |  |  | EUR |  |  |  | 40 |  |  |  | (6,679 | ) |  |  | (7,077 | ) |  |  | 398 |  |  |
|  | Ladbrokes Coral Group Ltd. |  |  | 1.00 |  |  | Quarterly |  | JPMorgan Chase Bank N.A. |  | 06/20/27 |  |  | BB |  |  |  | EUR |  |  |  | 10 |  |  |  | (1,670 | ) |  |  | (1,109 | ) |  |  | (561 | ) |  |
|  | CMBX.NA.8 |  |  | 3.00 |  |  | Monthly |  | Barclays Bank PLC |  | 10/17/57 |  |  | N/R |  |  |  | USD |  |  |  | 5,000 |  |  |  | (861,017 | ) |  |  | (483,158 | ) |  |  | (377,859 | ) |  |
|  | CMBX.NA.8 |  |  | 3.00 |  |  | Monthly |  | Credit Suisse International |  | 10/17/57 |  |  | N/R |  |  |  | USD |  |  |  | 2,500 |  |  |  | (430,509 | ) |  |  | (239,041 | ) |  |  | (191,468 | ) |  |
|  | CMBX.NA.8 |  |  | 3.00 |  |  | Monthly |  | Morgan Stanley & Co. International PLC |  | 10/17/57 |  |  | N/R |  |  |  | USD |  |  |  | 4,450 |  |  |  | (766,305 | ) |  |  | (563,363 | ) |  |  | (202,942 | ) |  |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

OTC Credit Default Swaps — Sell Protection (continued)

|  | Reference Obligation/Index |  |  | Financing Rate Received by the Fund |  |  | Payment Frequency |  | Counterparty |  | Termination Date |  |  | Credit Rating | (a) |  |  | Notional Amount (000) (b) |  |  |  | Value |  |  |  | Upfront Premium Paid (Received) |  |  |  | Unrealized Appreciation (Depreciation) |  |  |
|  | CMBX.NA.9 |  |  | 3.00 | % |  | Monthly |  | Credit Suisse International |  | 09/17/58 |  |  | N/R |  |  |  | USD |  |  |  | 5,000 |  |  | $ | (854,607 | ) |  | $ | (518,760 | ) |  | $ | (335,847 | ) |  |
|  | CMBX.NA.9 |  |  | 3.00 |  |  | Monthly |  | Morgan Stanley & Co. International PLC |  | 09/17/58 |  |  | N/R |  |  |  | USD |  |  |  | 1,528 |  |  |  | (261,168 | ) |  |  | (165,932 | ) |  |  | (95,236 | ) |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,208,913 | ) |  | $ | (1,971,176 | ) |  | $ | (1,237,737 | ) |  |

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

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

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

Description |  | Swap Premiums Paid |  |  | Swap Premiums Received |  |  | Unrealized Appreciation |  |  | Unrealized Depreciation |
Centrally Cleared Swaps (a) |  | $ | 685 |  |  | $ | (264,367 | ) |  | $ | 2,571,779 |  |  | $ | (543,067 | )
OTC Swaps |  |  | 10,448 |  |  |  | (1,981,624 | ) |  |  | 418 |  |  |  | (1,238,155 | )

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

Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on futures contracts (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 301,425 |  |  | $ | — |  |  | $ | 301,425 |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 144,805 |  |  |  | — |  |  |  | — |  |  |  | 144,805 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on centrally cleared swaps (a) |  |  | — |  |  |  | 368,774 |  |  |  | — |  |  |  | — |  |  |  | 2,203,005 |  |  |  | — |  |  |  | 2,571,779 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | 10,866 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 10,866 |
|  | $ | — |  |  | $ | 379,640 |  |  | $ | — |  |  | $ | 144,805 |  |  | $ | 2,504,430 |  |  | $ | — |  |  | $ | 3,028,875 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on futures contracts (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 362,558 |  |  | $ | — |  |  | $ | 362,558 |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,424 |  |  |  | — |  |  |  | — |  |  |  | 2,424 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 543,067 |  |  |  | — |  |  |  | 543,067 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  |  | 3,219,779 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,219,779 |
|  | $ | — |  |  | $ | 3,219,779 |  |  | $ | — |  |  | $ | 2,424 |  |  | $ | 905,625 |  |  | $ | — |  |  | $ | 4,127,828 |

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

S C H E D U L E O F I N V E S T M E N T S |  | 105

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

For the period ended June 30, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Net Realized Gain (Loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 5,080,822 |  |  | $ | — |  |  | $ | 5,080,822 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,018,540 |  |  |  | — |  |  |  | — |  |  |  | 1,018,540 |
Options purchased (a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,023,225 |  |  |  | — |  |  |  | 1,023,225 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (2,977,365 | ) |  |  | — |  |  |  | (2,977,365 | )
Swaps |  |  | — |  |  |  | 795,465 |  |  |  | — |  |  |  | — |  |  |  | 1,465,301 |  |  |  | — |  |  |  | 2,260,766 |
|  | $ | — |  |  | $ | 795,465 |  |  | $ | — |  |  | $ | 1,018,540 |  |  | $ | 4,591,983 |  |  | $ | — |  |  | $ | 6,405,988 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 340,235 |  |  | $ | — |  |  | $ | 340,235 |
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 343,390 |  |  |  | — |  |  |  | — |  |  |  | 343,390 |
Options purchased (b) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 214,358 |  |  |  | — |  |  |  | 214,358 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 416,433 |  |  |  | — |  |  |  | 416,433 |
Swaps |  |  | — |  |  |  | (567,526 | ) |  |  | — |  |  |  | — |  |  |  | 1,006,454 |  |  |  | — |  |  |  | 438,928 |
|  | $ | — |  |  | $ | (567,526 | ) |  | $ | — |  |  | $ | 343,390 |  |  | $ | 1,977,480 |  |  | $ | — |  |  | $ | 1,753,344 |

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

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

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts: |  |  |  |
Average notional value of contracts — long |  | $ | 56,842,938 |
Average notional value of contracts — short |  | $ | 64,202,811 |
Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 15,282,621 |
Average amounts sold — in USD |  | $ | 597,437 |
Options: |  |  |  |
Average value of option contracts purchased |  | $ | 4,578 |
Average value of option contracts written |  | $ | 727 |
Average notional value of swaption contracts purchased |  | $ | 24,642,500 |
Average notional value of swaption contracts written |  | $ | 128,536,250 |
Credit default swaps: |  |  |  |
Average notional value — buy protection |  | $ | 20,988,625 |
Average notional value — sell protection |  | $ | 18,707,121 |
Interest rate swaps: |  |  |  |
Average notional value — pays fixed rate |  | $ | 199,035,000 |
Average notional value — receives fixed rate |  | $ | 151,744,500 |

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments — Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Futures contracts |  | $ | 233,489 |  |  | $ | 429,711 |
Forward foreign currency exchange contracts |  |  | 144,805 |  |  |  | 2,424 |
Swaps — centrally cleared |  |  | — |  |  |  | 222,168 |
Swaps — OTC (a) |  |  | 10,866 |  |  |  | 3,219,779 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 389,160 |  |  |  | 3,874,082 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (233,489 | ) |  |  | (651,879 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 155,671 |  |  | $ | 3,222,203 |

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

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

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

Counterparty |  |  | Derivative Assets Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Net Amount of Derivative Assets | (b)(c)
Bank of America N.A. |  | $ | 59 |  |  | $ | (59 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
Barclays Bank PLC |  |  | 464 |  |  |  | (464 | ) |  |  | — |  |  |  | — |  |  |  | — |
BNP Paribas S.A. |  |  | 34,326 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 34,326 |
Credit Suisse International |  |  | 2,629 |  |  |  | (2,629 | ) |  |  | — |  |  |  | — |  |  |  | — |
Deutsche Bank AG |  |  | 106,646 |  |  |  | (154 | ) |  |  | — |  |  |  | — |  |  |  | 106,492 |
JPMorgan Chase Bank N.A. |  |  | 6,549 |  |  |  | (6,549 | ) |  |  | — |  |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 1,224 |  |  |  | (1,224 | ) |  |  | — |  |  |  | — |  |  |  | — |
State Street Bank and Trust Co. |  |  | 3,774 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,774 |
|  | $ | 155,671 |  |  | $ | (11,079 | ) |  | $ | — |  |  | $ | — |  |  | $ | 144,592 |
Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged | (d) |  |  | Net Amount of Derivative Liabilities | (b)(e)
Bank of America N.A. |  | $ | 3,251 |  |  | $ | (59 | ) |  | $ | — |  |  | $ | — |  |  | $ | 3,192 |
Barclays Bank PLC |  |  | 863,223 |  |  |  | (464 | ) |  |  | — |  |  |  | (640,000 | ) |  |  | 222,759 |
Citibank N.A. |  |  | 1,161 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,161 |
Credit Suisse International |  |  | 1,291,597 |  |  |  | (2,629 | ) |  |  | — |  |  |  | (1,200,000 | ) |  |  | 88,968 |
Deutsche Bank AG |  |  | 154 |  |  |  | (154 | ) |  |  | — |  |  |  | — |  |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 28,626 |  |  |  | (6,549 | ) |  |  | — |  |  |  | — |  |  |  | 22,077 |
Morgan Stanley & Co. International PLC |  |  | 1,033,945 |  |  |  | (1,224 | ) |  |  | — |  |  |  | (640,000 | ) |  |  | 392,721 |
Standard Chartered Bank |  |  | 246 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 246 |
|  | $ | 3,222,203 |  |  | $ | (11,079 | ) |  | $ | — |  |  | $ | (2,480,000 | ) |  | $ | 731,124 |

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

| (b) | Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |

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

| (d) | Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |

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

Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  | $ | — |  |  | $ | 21,620,266 |  |  | $ | 955,190 |  |  | $ | 22,575,456 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  |  | 27,267 |  |  |  | — |  |  |  | — |  |  |  | 27,267 |
Diversified Financial Services |  |  | — |  |  |  | — |  |  |  | 5,467 |  |  |  | 5,467 |
Diversified Telecommunication Services |  |  | 4,063 |  |  |  | — |  |  |  | — |  |  |  | 4,063 |
Household Durables |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Metals & Mining |  |  | — |  |  |  | 801 |  |  |  | 476 |  |  |  | 1,277 |
Software |  |  | 43 |  |  |  | — |  |  |  | — |  |  |  | 43 |
Specialty Retail |  |  | — |  |  |  | 231,420 |  |  |  | — |  |  |  | 231,420 |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Advertising Agencies |  |  | — |  |  |  | 194,885 |  |  |  | — |  |  |  | 194,885 |
Aerospace & Defense |  |  | — |  |  |  | 12,253,033 |  |  |  | — |  |  |  | 12,253,033 |

S C H E D U L E O F I N V E S T M E N T S |  | 107

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Corporate Bonds (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Airlines |  | $ | — |  |  | $ | 9,101,441 |  |  | $ | — |  |  | $ | 9,101,441 |
Auto Components |  |  | — |  |  |  | 5,723,774 |  |  |  | — |  |  |  | 5,723,774 |
Automobiles |  |  | — |  |  |  | 9,358,616 |  |  |  | — |  |  |  | 9,358,616 |
Banks |  |  | — |  |  |  | 6,206,066 |  |  |  | 15,195 |  |  |  | 6,221,261 |
Beverages |  |  | — |  |  |  | 7,131,721 |  |  |  | — |  |  |  | 7,131,721 |
Biotechnology |  |  | — |  |  |  | 87,049 |  |  |  | — |  |  |  | 87,049 |
Building Materials |  |  | — |  |  |  | 2,434,231 |  |  |  | — |  |  |  | 2,434,231 |
Building Products |  |  | — |  |  |  | 3,496,076 |  |  |  | — |  |  |  | 3,496,076 |
Capital Markets |  |  | — |  |  |  | 5,162,804 |  |  |  | — |  |  |  | 5,162,804 |
Chemicals |  |  | — |  |  |  | 8,410,640 |  |  |  | — |  |  |  | 8,410,640 |
Commercial Services & Supplies |  |  | — |  |  |  | 3,909,206 |  |  |  | — |  |  |  | 3,909,206 |
Communications Equipment |  |  | — |  |  |  | 2,253,272 |  |  |  | — |  |  |  | 2,253,272 |
Construction Materials |  |  | — |  |  |  | 1,934,186 |  |  |  | — |  |  |  | 1,934,186 |
Consumer Discretionary |  |  | — |  |  |  | 5,795,400 |  |  |  | — |  |  |  | 5,795,400 |
Consumer Finance |  |  | — |  |  |  | 6,678,441 |  |  |  | — |  |  |  | 6,678,441 |
Containers & Packaging |  |  | — |  |  |  | 2,674,542 |  |  |  | — |  |  |  | 2,674,542 |
Diversified Consumer Services |  |  | — |  |  |  | 6,773,568 |  |  |  | — |  |  |  | 6,773,568 |
Diversified Financial Services |  |  | — |  |  |  | 13,428,548 |  |  |  | — |  |  |  | 13,428,548 |
Diversified Telecommunication Services |  |  | — |  |  |  | 15,976,431 |  |  |  | — |  |  |  | 15,976,431 |
Electric Utilities |  |  | — |  |  |  | 2,959,273 |  |  |  | — |  |  |  | 2,959,273 |
Electrical Equipment |  |  | — |  |  |  | 495,931 |  |  |  | — |  |  |  | 495,931 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 1,948,963 |  |  |  | — |  |  |  | 1,948,963 |
Energy Equipment & Services |  |  | — |  |  |  | 1,880,607 |  |  |  | — |  |  |  | 1,880,607 |
Entertainment |  |  | — |  |  |  | 580,115 |  |  |  | — |  |  |  | 580,115 |
Environmental, Maintenance & Security Service |  |  | — |  |  |  | 3,060,197 |  |  |  | — |  |  |  | 3,060,197 |
Equity Real Estate Investment Trusts (REITs) |  |  | — |  |  |  | 5,579,421 |  |  |  | — |  |  |  | 5,579,421 |
Food & Staples Retailing |  |  | — |  |  |  | 5,312,726 |  |  |  | — |  |  |  | 5,312,726 |
Food Products |  |  | — |  |  |  | 2,765,375 |  |  |  | — |  |  |  | 2,765,375 |
Gas Utilities |  |  | — |  |  |  | 77,384 |  |  |  | — |  |  |  | 77,384 |
Health Care Equipment & Supplies |  |  | — |  |  |  | 1,159,205 |  |  |  | — |  |  |  | 1,159,205 |
Health Care Providers & Services |  |  | — |  |  |  | 16,808,931 |  |  |  | — |  |  |  | 16,808,931 |
Health Care Technology |  |  | — |  |  |  | 3,980,827 |  |  |  | — |  |  |  | 3,980,827 |
Hotels, Restaurants & Leisure |  |  | 13,579 |  |  |  | 19,324,687 |  |  |  | — |  |  |  | 19,338,266 |
Household Durables |  |  | — |  |  |  | 2,634,374 |  |  |  | — |  |  |  | 2,634,374 |
Household Products |  |  | — |  |  |  | 102,521 |  |  |  | — |  |  |  | 102,521 |
Independent Power and Renewable Electricity Producers |  |  | — |  |  |  | 5,283,940 |  |  |  | — |  |  |  | 5,283,940 |
Insurance |  |  | — |  |  |  | 10,433,660 |  |  |  | — |  |  |  | 10,433,660 |
Interactive Media & Services |  |  | — |  |  |  | 1,826,902 |  |  |  | — |  |  |  | 1,826,902 |
Internet & Direct Marketing Retail |  |  | — |  |  |  | 92,310 |  |  |  | — |  |  |  | 92,310 |
Internet Software & Services |  |  | — |  |  |  | 5,466,807 |  |  |  | — |  |  |  | 5,466,807 |
IT Services |  |  | — |  |  |  | 5,508,228 |  |  |  | — |  |  |  | 5,508,228 |
Leisure Products |  |  | — |  |  |  | 545,716 |  |  |  | — |  |  |  | 545,716 |
Machinery |  |  | — |  |  |  | 3,610,864 |  |  |  | — |  |  |  | 3,610,864 |
Media |  |  | — |  |  |  | 45,481,150 |  |  |  | — |  |  |  | 45,481,150 |
Metals & Mining |  |  | — |  |  |  | 8,360,011 |  |  |  | — |  |  |  | 8,360,011 |
Multiline Retail |  |  | — |  |  |  | 661,426 |  |  |  | — |  |  |  | 661,426 |
Offshore Drilling & Other Services |  |  | — |  |  |  | 537,324 |  |  |  | — |  |  |  | 537,324 |
Oil, Gas & Consumable Fuels |  |  | 142,734 |  |  |  | 43,070,244 |  |  |  | 1,223,330 |  |  |  | 44,436,308 |
Personal Products |  |  | — |  |  |  | 92,419 |  |  |  | — |  |  |  | 92,419 |
Pharmaceuticals |  |  | — |  |  |  | 7,057,245 |  |  |  | — |  |  |  | 7,057,245 |
Real Estate Management & Development |  |  | — |  |  |  | 3,500,230 |  |  |  | 72,960 |  |  |  | 3,573,190 |
Road & Rail |  |  | — |  |  |  | 2,303,336 |  |  |  | — |  |  |  | 2,303,336 |
Semiconductors & Semiconductor Equipment |  |  | — |  |  |  | 6,650,240 |  |  |  | — |  |  |  | 6,650,240 |
Software |  |  | — |  |  |  | 7,505,934 |  |  |  | — |  |  |  | 7,505,934 |
Specialty Retail |  |  | — |  |  |  | 1,880,341 |  |  |  | — |  |  |  | 1,880,341 |
Technology Hardware, Storage & Peripherals |  |  | — |  |  |  | 375,175 |  |  |  | — |  |  |  | 375,175 |
Textiles, Apparel & Luxury Goods |  |  | — |  |  |  | 453,785 |  |  |  | — |  |  |  | 453,785 |
Thrifts & Mortgage Finance |  |  | — |  |  |  | 915,648 |  |  |  | — |  |  |  | 915,648 |
Transportation |  |  | — |  |  |  | 85,412 |  |  |  | — |  |  |  | 85,412 |
Transportation Infrastructure |  |  | — |  |  |  | 1,171,403 |  |  |  | — |  |  |  | 1,171,403 |
Utilities |  |  | — |  |  |  | 3,308,073 |  |  |  | — |  |  |  | 3,308,073 |
Wireless Telecommunication Services |  |  | — |  |  |  | 7,288,848 |  |  |  | — |  |  |  | 7,288,848 |
Floating Rate Loan Interests |  |  | — |  |  |  | 250,136,482 |  |  |  | 17,475,829 |  |  |  | 267,612,311 |

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

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Foreign Agency Obligations |  | $ | — |  |  | $ | 7,197,101 |  |  | $ | — |  |  | $ | 7,197,101 |
Investment Companies |  |  | 2,442,555 |  |  |  | — |  |  |  | — |  |  |  | 2,442,555 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 7,464,256 |  |  |  | — |  |  |  | 7,464,256 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts |  |  | — |  |  |  | 24,148,273 |  |  |  | — |  |  |  | 24,148,273 |
Preferred Stocks |  |  | 9,357,882 |  |  |  | — |  |  |  | — |  |  |  | 9,357,882 |
U.S. Government Sponsored Agency Securities |  |  | — |  |  |  | 42,792,585 |  |  |  | — |  |  |  | 42,792,585 |
Warrants |  |  | 3,543 |  |  |  | — |  |  |  | — |  |  |  | 3,543 |
Short-Term Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Money Market Funds |  |  | 4,320,231 |  |  |  | — |  |  |  | — |  |  |  | 4,320,231 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
TBA Sale Commitments |  |  | — |  |  |  | (6,409,482 | ) |  |  | — |  |  |  | (6,409,482 | )
Unfunded Floating Rate Loan Interests (a) |  |  | — |  |  |  | (42,176 | ) |  |  | (5,017 | ) |  |  | (47,193 | )
|  | $ | 16,311,897 |  |  | $ | 718,260,664 |  |  | $ | 19,743,430 |  |  |  | 754,315,991 |
Investments Valued at NAV (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 2,542 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 754,318,533 |
Derivative Financial Instruments (c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  | $ | — |  |  | $ | 369,192 |  |  | $ | — |  |  | $ | 369,192 |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | 144,805 |  |  |  | — |  |  |  | 144,805 |
Interest Rate Contracts |  |  | 301,425 |  |  |  | 2,203,005 |  |  |  | — |  |  |  | 2,504,430 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  |  | — |  |  |  | (1,238,155 | ) |  |  | — |  |  |  | (1,238,155 | )
Foreign Currency Exchange Contracts |  |  | — |  |  |  | (2,424 | ) |  |  | — |  |  |  | (2,424 | )
Interest Rate Contracts |  |  | (362,558 | ) |  |  | (543,067 | ) |  |  | — |  |  |  | (905,625 | )
|  | $ | (61,133 | ) |  | $ | 933,356 |  |  | $ | — |  |  | $ | 872,223 |

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

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

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

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $292,269,603 are categorized as Level 2 within the fair value hierarchy.
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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 |  |  | Common Stocks |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Unfunded Floating Rate Loan Interests |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2021 |  | $ | 1,084,298 |  |  | $ | 5,841 |  |  | $ | 1,347,279 |  |  | $ | 6,516,371 |  |  | $ | — | (a) |  | $ | (127 | ) |  | $ | 8,953,662 |
Transfers into Level 3 (b) |  |  | — |  |  |  | — |  |  |  | 101,934 |  |  |  | 12,629,905 |  |  |  | — |  |  |  | (348 | ) |  |  | 12,731,491 |
Transfers out of Level 3 (c) |  |  | (87,594 | ) |  |  | — |  |  |  | — |  |  |  | (2,064,598 | ) |  |  | — |  |  |  | 127 |  |  |  | (2,152,065 | )
Accrued discounts/premiums |  |  | (39,013 | ) |  |  | — |  |  |  | — |  |  |  | 84,898 |  |  |  | — |  |  |  | — |  |  |  | 45,885 |
Net realized gain (loss) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (7,474 | ) |  |  | — |  |  |  | — |  |  |  | (7,474 | )
Net change in unrealized appreciation (depreciation) (d)(e) |  |  | (2,501 | ) |  |  | 102 |  |  |  | (119,106 | ) |  |  | (1,399,531 | ) |  |  | — |  |  |  | (4,669 | ) |  |  | (1,525,705 | )

S C H E D U L E O F I N V E S T M E N T S |  | 109

Schedule of Investments (unaudited) (continued) June 30, 2022 |  | BlackRock Limited Duration Income Trust (BLW)

|  | Asset-Backed Securities |  |  | Common Stocks |  |  | Corporate Bonds |  |  | Floating Rate Loan Interests |  |  | Other Interests |  |  | Unfunded Floating Rate Loan Interests |  |  | Total |
Purchases |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,759,267 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,759,267 |
Sales |  |  | — |  |  |  | — |  |  |  | (18,622 | ) |  |  | (2,043,009 | ) |  |  | — |  |  |  | — |  |  |  | (2,061,631 | )
Closing balance, as of June 30, 2022 |  | $ | 955,190 |  |  | $ | 5,943 |  |  | $ | 1,311,485 |  |  | $ | 17,475,829 |  |  | $ | — | (a) |  | $ | (5,017 | ) |  | $ | 19,743,430 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 (d) |  | $ | (2,501 | ) |  | $ | 102 |  |  | $ | (119,106 | ) |  | $ | (1,370,278 | ) |  | $ | — |  |  | $ | (4,669 | ) |  | $ | (1,496,452 | )

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

| (b) | As of December 31, 2021, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy. |

| (c) | As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2022, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy. |

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

| (e) | Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2022 is generally due to investments no longer held or categorized as Level 3 at period end. |

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

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

Statements of Assets and Liabilities
(unaudited)
June 30, 2022

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at value — unaffiliated (a) |  | $ | 690,414,413 |  |  | $ | 639,804,413 |  |  | $ | 471,447,653 |  |  | $ | 756,454,977 |
Investments, at value — affiliated (b) |  |  | 2,322,065 |  |  |  | — |  |  |  | 9,872,958 |  |  |  | 4,320,231 |
Cash |  |  | 2,491,274 |  |  |  | 1,828,647 |  |  |  | — |  |  |  | 278,525 |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 22,962,040 |
Collateral — OTC derivatives |  |  | 30,000 |  |  |  | — |  |  |  | — |  |  |  | 2,480,000 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | 792,260 |  |  |  | 858,761 |
Centrally cleared swaps |  |  | 470,000 |  |  |  | 526,000 |  |  |  | 771,000 |  |  |  | 1,307,000 |
Foreign currency, at value (c) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 171,105 |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments sold |  |  | 5,936,002 |  |  |  | 5,326,437 |  |  |  | 29 |  |  |  | 7,465,851 |
Reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 632,361 |
Swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 7,064 |
TBA sale commitments |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 6,361,494 |
Dividends — unaffiliated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 71,033 |
Dividends — affiliated |  |  | 2,353 |  |  |  | 198 |  |  |  | 9,916 |  |  |  | 5,129 |
Interest — unaffiliated |  |  | 5,262,271 |  |  |  | 3,749,433 |  |  |  | 2,847,207 |  |  |  | 8,419,409 |
Principal paydowns |  |  | 1,316 |  |  |  | — |  |  |  | — |  |  |  | 1,600 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 415,728 |  |  |  | 233,489 |
Swap premiums paid |  |  | 2,659 |  |  |  | — |  |  |  | — |  |  |  | 10,448 |
Unrealized appreciation on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  | 82,198 |  |  |  | 82,200 |  |  |  | — |  |  |  | 144,805 |
OTC swaps |  |  | — |  |  |  | — |  |  |  | 225,194 |  |  |  | 418 |
Deferred offering costs |  |  | — |  |  |  | — |  |  |  | 104,818 |  |  |  | 110,250 |
Prepaid expenses |  |  | — |  |  |  | 2,519 |  |  |  | — |  |  |  | — |
Total assets |  |  | 707,014,551 |  |  |  | 651,319,847 |  |  |  | 486,486,763 |  |  |  | 812,295,990 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank overdraft |  |  | — |  |  |  | — |  |  |  | 559 |  |  |  | — |
Foreign bank overdraft (d) |  |  | 125,838 |  |  |  | 152,721 |  |  |  | — |  |  |  | — |
Cash received: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | 220,000 |  |  |  | — |
Collateral — TBA commitments |  |  | — |  |  |  | — |  |  |  | 149,000 |  |  |  | — |
Borrowed bonds, at value (e) |  |  | — |  |  |  | — |  |  |  | 821,109 |  |  |  | — |
TBA sale commitments, at value (f) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 6,409,482 |
Reverse repurchase agreements, at value |  |  | — |  |  |  | — |  |  |  | 130,620,516 |  |  |  | 292,269,603 |
Payables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments purchased |  |  | 7,410,948 |  |  |  | 7,829,112 |  |  |  | 42,229,561 |  |  |  | 25,897,088 |
Reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 690,310 |
Accounting services fees |  |  | 90,546 |  |  |  | 70,345 |  |  |  | 52,447 |  |  |  | 83,267 |
Administration fees |  |  | — |  |  |  | — |  |  |  | 38,109 |  |  |  | — |
Bank borrowings |  |  | 222,000,000 |  |  |  | 203,000,000 |  |  |  | — |  |  |  | — |
Custodian fees |  |  | 26,445 |  |  |  | 33,652 |  |  |  | 22,410 |  |  |  | 82,813 |
Income dividend distributions |  |  | 59,422 |  |  |  | 84,809 |  |  |  | 77,929 |  |  |  | 114,933 |
Interest expense |  |  | 418,517 |  |  |  | 371,919 |  |  |  | 1,198 |  |  |  | — |
Investment advisory fees |  |  | 324,763 |  |  |  | 407,871 |  |  |  | 164,419 |  |  |  | 365,213 |
Offering costs |  |  | — |  |  |  | — |  |  |  | 89,414 |  |  |  | 37,147 |
Directors’ and Officer’s fees |  |  | 298,596 |  |  |  | 8,078 |  |  |  | 169,804 |  |  |  | 371,928 |
Other accrued expenses |  |  | 58,053 |  |  |  | 19,666 |  |  |  | 19,233 |  |  |  | 63,575 |
Principal payups |  |  | — |  |  |  | — |  |  |  | 934,094 |  |  |  | — |
Professional fees |  |  | 68,432 |  |  |  | 105,086 |  |  |  | 68,197 |  |  |  | 94,022 |
Transfer agent fees |  |  | 77,141 |  |  |  | 24,886 |  |  |  | 28,958 |  |  |  | 31,398 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 470,321 |  |  |  | 429,711 |
Variation margin on centrally cleared swaps |  |  | 4,109 |  |  |  | 4,469 |  |  |  | 140,608 |  |  |  | 222,168 |
Swap premiums received |  |  | 19,891 |  |  |  | — |  |  |  | — |  |  |  | 1,981,624 |
Unrealized depreciation on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  | — |  |  |  | 12,165 |  |  |  | — |  |  |  | 2,424 |
OTC swaps |  |  | 25,440 |  |  |  | — |  |  |  | — |  |  |  | 1,238,155 |
Unfunded floating rate loan interests |  |  | 72,129 |  |  |  | 88,011 |  |  |  | — |  |  |  | 47,193 |
Total liabilities |  |  | 231,080,270 |  |  |  | 212,212,790 |  |  |  | 176,317,886 |  |  |  | 330,432,054 |
NET ASSETS |  | $ | 475,934,281 |  |  | $ | 439,107,057 |  |  | $ | 310,168,877 |  |  | $ | 481,863,936 |

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

Statements of Assets and Liabilities
(unaudited) (continued)
June 30, 2022

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
NET ASSETS CONSIST OF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Paid-in capital (g)(h)(i) |  | $ | 653,139,226 |  |  | $ | 538,835,342 |  |  | $ | 454,334,448 |  |  | $ | 623,725,400 |
Accumulated loss |  |  | (177,204,945 | ) |  |  | (99,728,285 | ) |  |  | (144,165,571 | ) |  |  | (141,861,464 | )
NET ASSETS |  | $ | 475,934,281 |  |  | $ | 439,107,057 |  |  | $ | 310,168,877 |  |  | $ | 481,863,936 |
Net asset value (g)(h)(i) |  | $ | 10.21 |  |  | $ | 12.46 |  |  | $ | 4.85 |  |  | $ | 13.49 |
(a) Investments, at cost — unaffiliated |  | $ | 769,685,734 |  |  | $ | 690,282,690 |  |  | $ | 512,036,356 |  |  | $ | 845,670,304 |
(b) Investments, at cost — affiliated |  | $ | 2,322,065 |  |  | $ | — |  |  | $ | 9,872,958 |  |  | $ | 4,320,231 |
(c) Foreign currency, at cost |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 168,551 |
(d) Foreign bank overdraft, at cost |  | $ | 118,842 |  |  | $ | 154,456 |  |  | $ | — |  |  | $ | — |
(e) Proceeds received from borrowed bonds |  | $ | — |  |  | $ | — |  |  | $ | 842,347 |  |  | $ | — |
(f) Proceeds from TBA sale commitments |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6,361,494 |
(g) Shares outstanding |  |  | 46,610,312 |  |  |  | 35,232,197 |  |  |  | 63,912,834 |  |  |  | 35,711,253 |
(h) Shares authorized |  |  | 400 million |  |  |  | 200 million |  |  |  | 200 million |  |  |  | Unlimited |
(i) Par value |  | $ | 0.10 |  |  | $ | 0.10 |  |  | $ | 0.010 |  |  | $ | 0.001 |

See notes to financial statements.

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

Statements of Operations
(unaudited)
Six Months Ended June 30, 2022

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
INVESTMENT INCOME |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — unaffiliated |  | $ | 42,425 |  |  | $ | 26,431 |  |  | $ | — |  |  | $ | 321,873 |
Dividends — affiliated |  |  | 5,041 |  |  |  | 463 |  |  |  | 19,286 |  |  |  | 11,898 |
Interest — unaffiliated |  |  | 17,926,542 |  |  |  | 15,817,290 |  |  |  | 6,264,957 |  |  |  | 20,438,092 |
Other income — unaffiliated |  |  | 187,723 |  |  |  | 189,061 |  |  |  | — |  |  |  | 102,729 |
Foreign taxes withheld |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (242 | )
Total investment income |  |  | 18,161,731 |  |  |  | 16,033,245 |  |  |  | 6,284,243 |  |  |  | 20,874,350 |
EXPENSES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory |  |  | 2,067,519 |  |  |  | 2,570,503 |  |  |  | 1,070,455 |  |  |  | 2,354,584 |
Commitment costs |  |  | 76,829 |  |  |  | 44,083 |  |  |  | — |  |  |  | — |
Accounting services |  |  | 41,241 |  |  |  | 52,525 |  |  |  | 38,238 |  |  |  | 61,198 |
Custodian |  |  | 20,608 |  |  |  | 27,323 |  |  |  | 19,992 |  |  |  | 68,963 |
Registration |  |  | 7,026 |  |  |  | 5,595 |  |  |  | 10,277 |  |  |  | 5,716 |
Transfer agent |  |  | 2,934 |  |  |  | 31,335 |  |  |  | 40,190 |  |  |  | 35,880 |
Administration |  |  | — |  |  |  | — |  |  |  | 247,028 |  |  |  | — |
Directors and Officer |  |  | — |  |  |  | 13,364 |  |  |  | — |  |  |  | — |
Miscellaneous |  |  | 51,153 |  |  |  | 67,106 |  |  |  | 43,548 |  |  |  | 45,909 |
Total expenses excluding interest expense |  |  | 2,267,310 |  |  |  | 2,811,834 |  |  |  | 1,469,728 |  |  |  | 2,572,250 |
Interest expense |  |  | 1,484,223 |  |  |  | 1,346,391 |  |  |  | 324,850 |  |  |  | 1,026,748 |
Total expenses |  |  | 3,751,533 |  |  |  | 4,158,225 |  |  |  | 1,794,578 |  |  |  | 3,598,998 |
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fees waived and/or reimbursed by the Manager |  |  | (688 | ) |  |  | (91 | ) |  |  | (2,365 | ) |  |  | (1,378 | )
Total expenses after fees waived and/or reimbursed |  |  | 3,750,845 |  |  |  | 4,158,134 |  |  |  | 1,792,213 |  |  |  | 3,597,620 |
Net investment income |  |  | 14,410,886 |  |  |  | 11,875,111 |  |  |  | 4,492,030 |  |  |  | 17,276,730 |
REALIZED AND UNREALIZED GAIN (LOSS) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments — unaffiliated. |  |  | (3,580,179 | ) |  |  | (3,200,982 | ) |  |  | (4,484,239 | ) |  |  | (18,888,427 | )
Forward foreign currency exchange contracts |  |  | 488,751 |  |  |  | 240,641 |  |  |  | — |  |  |  | 1,018,540 |
Foreign currency transactions |  |  | 23,749 |  |  |  | 20,570 |  |  |  | — |  |  |  | (43,991 | )
Futures contracts |  |  | — |  |  |  | — |  |  |  | 1,740,023 |  |  |  | 5,080,822 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (2,977,365 | )
Swaps |  |  | 81,784 |  |  |  | 81,308 |  |  |  | (135,524 | ) |  |  | 2,260,766 |
|  |  | (2,985,895 | ) |  |  | (2,858,463 | ) |  |  | (2,879,740 | ) |  |  | (13,549,655 | )
Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments — unaffiliated |  |  | (59,644,969 | ) |  |  | (45,493,505 | ) |  |  | (43,905,265 | ) |  |  | (92,911,845 | )
Borrowed bonds |  |  | — |  |  |  | — |  |  |  | 223,985 |  |  |  | — |
Forward foreign currency exchange contracts |  |  | 170,267 |  |  |  | 144,484 |  |  |  | — |  |  |  | 343,390 |
Foreign currency translations |  |  | (37,641 | ) |  |  | (5,172 | ) |  |  | — |  |  |  | (72,620 | )
Futures contracts |  |  | — |  |  |  | — |  |  |  | (235,506 | ) |  |  | 340,235 |
Options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 416,433 |
Swaps |  |  | (532,005 | ) |  |  | (551,776 | ) |  |  | 2,329,770 |  |  |  | 438,928 |
Unfunded floating rate loan interests |  |  | (70,871 | ) |  |  | (86,641 | ) |  |  | — |  |  |  | (47,295 | )
|  |  | (60,115,219 | ) |  |  | (45,992,610 | ) |  |  | (41,587,016 | ) |  |  | (91,492,774 | )
Net realized and unrealized loss |  |  | (63,101,114 | ) |  |  | (48,851,073 | ) |  |  | (44,466,756 | ) |  |  | (105,042,429 | )
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |  | $ | (48,690,228 | ) |  | $ | (36,975,962 | ) |  | $ | (39,974,726 | ) |  | $ | (87,765,699 | )

See notes to financial statements.

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

Statements of Changes in Net Assets

|  | DSU |  |  | FRA |
|  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended 12/31/21 |  |  |  |  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended 12/31/21 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  |  | $ | 14,410,886 |  |  | $ | 28,307,179 |  |  |  |  |  |  |  |  | $ | 11,875,111 |  |  | $ | 23,442,141 |
Net realized gain (loss) |  |  |  |  | (2,985,895 | ) |  |  | 8,095,408 |  |  |  |  |  |  |  |  |  | (2,858,463 | ) |  |  | 6,531,134 |
Net change in unrealized appreciation (depreciation) |  |  |  |  | (60,115,219 | ) |  |  | (2,024,097 | ) |  |  |  |  |  |  |  |  | (45,992,610 | ) |  |  | (741,676 | )
Net increase (decrease) in net assets resulting from operations |  |  |  |  | (48,690,228 | ) |  |  | 34,378,490 |  |  |  |  |  |  |  |  |  | (36,975,962 | ) |  |  | 29,231,599 |
DISTRIBUTIONS TO SHAREHOLDERS (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  | (14,099,627 | ) (b) |  |  | (28,723,773 | ) |  |  |  |  |  |  |  |  | (11,749,938 | ) (b) |  |  | (23,507,568 | )
Return of capital |  |  |  |  | — |  |  |  | (5,103,734 | ) |  |  |  |  |  |  |  |  | — |  |  |  | (4,692,282 | )
Decrease in net assets resulting from distributions to shareholders |  |  |  |  | (14,099,627 | ) |  |  | (33,827,507 | ) |  |  |  |  |  |  |  |  | (11,749,938 | ) |  |  | (28,199,850 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reinvestment of distributions |  |  |  |  | 43,132 |  |  |  | 171,418 |  |  |  |  |  |  |  |  |  | — |  |  |  | — |
Redemption of shares resulting from share repurchase program (including transaction costs) |  |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  |  |  | — |  |  |  | (1,250,043 | )
Net increase (decrease) in net assets derived from capital share transactions |  |  |  |  | 43,132 |  |  |  | 171,418 |  |  |  |  |  |  |  |  |  | — |  |  |  | (1,250,043 | )
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  |  |  | (62,746,723 | ) |  |  | 722,401 |  |  |  |  |  |  |  |  |  | (48,725,900 | ) |  |  | (218,294 | )
Beginning of period |  |  |  |  | 538,681,004 |  |  |  | 537,958,603 |  |  |  |  |  |  |  |  |  | 487,832,957 |  |  |  | 488,051,251 |
End of period |  |  |  | $ | 475,934,281 |  |  | $ | 538,681,004 |  |  |  |  |  |  |  |  | $ | 439,107,057 |  |  | $ | 487,832,957 |

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

(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

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

Statements of Changes in Net Assets
(continued)

|  | BKT |  |  |  |  |  |  |  |  | BLW
|  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended 12/31/21 |  |  |  |  |  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended 12/31/21 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  |  |  |  | $ | 4,492,030 |  |  |  |  |  |  | $ | 14,986,442 |  |  |  |  |  |  |  |  |  |  | $ | 17,276,730 |  |  |  |  |  |  | $ | 35,675,687 |
Net realized gain (loss) |  |  |  |  |  |  | (2,879,740 | ) |  |  |  |  |  |  | 3,553,479 |  |  |  |  |  |  |  |  |  |  |  | (13,549,655 | ) |  |  |  |  |  |  | 12,937,429 |
Net change in unrealized appreciation (depreciation) |  |  |  |  |  |  | (41,587,016 | ) |  |  |  |  |  |  | (26,249,597 | ) |  |  |  |  |  |  |  |  |  |  | (91,492,774 | ) |  |  |  |  |  |  | (24,223,210 | )
Net increase (decrease) in net assets resulting from operations |  |  |  |  |  |  | (39,974,726 | ) |  |  |  |  |  |  | (7,709,676 | ) |  |  |  |  |  |  |  |  |  |  | (87,765,699 | ) |  |  |  |  |  |  | 24,389,906 |
DISTRIBUTIONS TO SHAREHOLDERS (a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (10,673,445 | ) (b) |  |  |  |  |  |  | (18,883,406 | ) |  |  |  |  |  |  |  |  |  |  | (17,516,380 | ) (b) |  |  |  |  |  |  | (36,216,307 | )
Return of capital |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (7,473,844 | ) |  |  |  |  |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (5,785,872 | )
Decrease in net assets resulting from distributions to shareholders |  |  |  |  |  |  | (10,673,445 | ) |  |  |  |  |  |  | (26,357,250 | ) |  |  |  |  |  |  |  |  |  |  | (17,516,380 | ) |  |  |  |  |  |  | (42,002,179 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reinvestment of distributions |  |  |  |  |  |  | 64,960 |  |  |  |  |  |  |  | 623,562 |  |  |  |  |  |  |  |  |  |  |  | — |  |  |  |  |  |  |  | 825,681 |
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total decrease in net assets |  |  |  |  |  |  | (50,583,211 | ) |  |  |  |  |  |  | (33,443,364 | ) |  |  |  |  |  |  |  |  |  |  | (105,282,079 | ) |  |  |  |  |  |  | (16,786,592 | )
Beginning of period |  |  |  |  |  |  | 360,752,088 |  |  |  |  |  |  |  | 394,195,452 |  |  |  |  |  |  |  |  |  |  |  | 587,146,015 |  |  |  |  |  |  |  | 603,932,607 |
End of period |  |  |  |  |  | $ | 310,168,877 |  |  |  |  |  |  | $ | 360,752,088 |  |  |  |  |  |  |  |  |  |  | $ | 481,863,936 |  |  |  |  |  |  | $ | 587,146,015 |

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

(b) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

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

Statements of Cash Flows
(unaudited)
Six Months Ended June 30, 2022

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |
Net decrease in net assets resulting from operations. |  | $ | (48,690,228 | ) |  | $ | (36,975,962 | ) |  | $ | (39,974,726 | ) |  | $ | (87,765,699 | )
Adjustments to reconcile net decrease in net assets resulting from operations to net cash provided by (used for) operating activities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from sales of long-term investments and principal paydowns/payups |  |  | 128,443,652 |  |  |  | 111,471,145 |  |  |  | 796,873,779 |  |  |  | 407,984,289 |
Purchases of long-term investments |  |  | (97,002,815 | ) |  |  | (86,823,165 | ) |  |  | (818,030,094 | ) |  |  | (374,354,408 | )
Net proceeds from sales (purchases) of short-term securities |  |  | (1,886,073 | ) |  |  | — |  |  |  | 2,851,123 |  |  |  | 929,659 |
Amortization of premium and accretion of discount on investments and other fees |  |  | (484,447 | ) |  |  | (515,566 | ) |  |  | 7,955,888 |  |  |  | 37,005 |
Paid-in-kind income |  |  | — |  |  |  | (202,758 | ) |  |  | — |  |  |  | (239,659 | )
Premiums paid on closing options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (7,978,624 | )
Premiums received from options written |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,523,485 |
Net realized loss on investments and options written |  |  | 3,591,154 |  |  |  | 3,209,573 |  |  |  | 4,534,065 |  |  |  | 21,865,792 |
Net unrealized depreciation on investments, options written, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests |  |  | 59,584,920 |  |  |  | 45,435,662 |  |  |  | 43,951,646 |  |  |  | 93,273,718 |
(Increase) Decrease in Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receivables |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — affiliated |  |  | (2,343 | ) |  |  | (196 | ) |  |  | (9,055 | ) |  |  | (5,090 | )
Dividends — unaffiliated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1 |
Interest — unaffiliated |  |  | (1,884,492 | ) |  |  | (1,657,178 | ) |  |  | (804,302 | ) |  |  | 82,492 |
Swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (7,064 | )
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | (403,156 | ) |  |  | (193,290 | )
Variation margin on centrally cleared swaps |  |  | 9,062 |  |  |  | 10,152 |  |  |  | — |  |  |  | — |
Swap premiums paid |  |  | (2,519 | ) |  |  | — |  |  |  | — |  |  |  | (6,039 | )
Prepaid expenses |  |  | 2,789 |  |  |  | 772 |  |  |  | 2,261 |  |  |  | 4,252 |
Deferred offering costs |  |  | — |  |  |  | — |  |  |  | (104,818 | ) |  |  | (110,250 | )
Increase (Decrease) in Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (264,465 | )
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | (280,000 | ) |  |  | — |
Collateral — TBA commitments |  |  | — |  |  |  | — |  |  |  | 149,000 |  |  |  | — |
Payables |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Accounting services fees |  |  | 52,207 |  |  |  | 34,893 |  |  |  | 25,185 |  |  |  | 40,167 |
Administration fees |  |  | — |  |  |  | — |  |  |  | (8,402 | ) |  |  | — |
Custodian fees |  |  | 13,135 |  |  |  | 18,128 |  |  |  | 15,349 |  |  |  | 50,404 |
Interest expense |  |  | 192,626 |  |  |  | 180,360 |  |  |  | 62,680 |  |  |  | 159,280 |
Investment advisory fees |  |  | (41,787 | ) |  |  | (42,213 | ) |  |  | (36,881 | ) |  |  | (55,553 | )
Directors’ and Officer’s fees |  |  | (140,911 | ) |  |  | 6,043 |  |  |  | (133,430 | ) |  |  | (178,538 | )
Other accrued expenses |  |  | 9,971 |  |  |  | (5,967 | ) |  |  | (7,197 | ) |  |  | 14,123 |
Professional fees |  |  | (40,300 | ) |  |  | (42,305 | ) |  |  | (22,438 | ) |  |  | (44,359 | )
Transfer agent fees |  |  | (47,743 | ) |  |  | 16,663 |  |  |  | 16,472 |  |  |  | 18,513 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 397,919 |  |  |  | 371,740 |
Variation margin on centrally cleared swaps |  |  | 4,109 |  |  |  | 4,469 |  |  |  | 136,376 |  |  |  | 195,744 |
Swap premiums received |  |  | (3,336 | ) |  |  | — |  |  |  | — |  |  |  | (92,775 | )
Net cash provided by (used for) operating activities |  |  | 41,676,631 |  |  |  | 34,122,550 |  |  |  | (2,842,756 | ) |  |  | 55,254,851 |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |
Cash dividends paid to shareholders |  |  | (16,816,772 | ) |  |  | (14,015,117 | ) |  |  | (12,728,756 | ) |  |  | (20,904,721 | )
Payments for offering costs |  |  | — |  |  |  | — |  |  |  | 89,414 |  |  |  | 37,147 |
Payments for bank borrowings |  |  | (75,000,000 | ) |  |  | (77,000,000 | ) |  |  | — |  |  |  | — |
Proceeds from bank borrowings |  |  | 49,000,000 |  |  |  | 57,000,000 |  |  |  | — |  |  |  | — |
Increase in bank overdraft |  |  | 125,838 |  |  |  | 152,721 |  |  |  | 559 |  |  |  | — |
Net borrowing of reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 15,356,539 |  |  |  | (20,197,536 | )
Net cash provided by (used for) for financing activities |  |  | (42,690,934 | ) |  |  | (33,862,396 | ) |  |  | 2,717,756 |  |  |  | (41,065,110 | )
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |
Cash impact from foreign exchange fluctuations |  |  | (7,135 | ) |  |  | 1,731 |  |  |  | — |  |  |  | 8,283 |

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

Statements of Cash Flows
(unaudited) (continued)
Six Months Ended June 30, 2022

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
CASH AND FOREIGN CURRENCY |
Net increase (decrease) in restricted and unrestricted cash and foreign currency |  | $ | (1,021,438 | ) |  | $ | 261,885 |  |  | $ | (125,000 | ) |  | $ | 14,198,024 |
Restricted and unrestricted cash and foreign currency at beginning of period |  |  | 4,012,712 |  |  |  | 2,092,762 |  |  |  | 1,688,260 |  |  |  | 13,859,407 |
Restricted and unrestricted cash and foreign currency at end of period |  | $ | 2,991,274 |  |  | $ | 2,354,647 |  |  | $ | 1,563,260 |  |  | $ | 28,057,431 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |
Cash paid during the period for interest expense |  | $ | 1,291,597 |  |  | $ | 1,166,031 |  |  | $ | 262,170 |  |  | $ | 867,468 |
NON-CASH FINANCING ACTIVITIES |
Reinvestment of distributions |  | $ | 43,132 |  |  | $ | — |  |  | $ | 64,960 |  |  | $ | — |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  | $ | 2,491,274 |  |  | $ | 1,828,647 |  |  | $ | — |  |  | $ | 278,525 |
Cash pledged |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 22,962,040 |
Collateral — OTC derivatives |  |  | 30,000 |  |  |  | — |  |  |  | — |  |  |  | 2,480,000 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | 792,260 |  |  |  | 858,761 |
Centrally cleared swaps |  |  | 470,000 |  |  |  | 526,000 |  |  |  | 771,000 |  |  |  | 1,307,000 |
Foreign currency at value |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 171,105 |
|  | $ | 2,991,274 |  |  | $ | 2,354,647 |  |  | $ | 1,563,260 |  |  | $ | 28,057,431 |

See notes to financial statements.

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

Financial Highlights
(For a share outstanding throughout each period)

|  | DSU
|  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended December 31, |  |  | Period from 03/01/19 to 12/31/19 |  |  | Year Ended February 28, |
|  |  | 2021 |  |  |  | 2020 |  |  |  | 2019 |  |  |  | 2018 | (a) |  |  | 2017 | (a)
Net asset value, beginning of period |  |  |  | $ | 11.56 |  |  | $ | 11.55 |  |  | $ | 12.25 |  |  | $ | 12.16 |  |  | $ | 12.62 |  |  | $ | 12.70 |  |  | $ | 11.38 |
Net investment income (b) |  |  |  |  | 0.31 |  |  |  | 0.61 |  |  |  | 0.63 |  |  |  | 0.64 |  |  |  | 0.79 |  |  |  | 0.78 |  |  |  | 0.73 |
Net realized and unrealized gain (loss) |  |  |  |  | (1.36 | ) |  |  | 0.13 |  |  |  | (0.50 | ) |  |  | 0.21 |  |  |  | (0.43 | ) |  |  | (0.04 | ) |  |  | 1.34 |
Net increase (decrease) from investment operations |  |  |  |  | (1.05 | ) |  |  | 0.74 |  |  |  | 0.13 |  |  |  | 0.85 |  |  |  | 0.36 |  |  |  | 0.74 |  |  |  | 2.07 |
Distributions (c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  | (0.30 | ) (d) |  |  | (0.62 | ) |  |  | (0.61 | ) |  |  | (0.73 | ) |  |  | (0.82 | ) |  |  | (0.82 | ) |  |  | (0.75 | )
Return of capital |  |  |  |  | — |  |  |  | (0.11 | ) |  |  | (0.22 | ) |  |  | (0.03 | ) |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  |  |  | (0.30 | ) |  |  | (0.73 | ) |  |  | (0.83 | ) |  |  | (0.76 | ) |  |  | (0.82 | ) |  |  | (0.82 | ) |  |  | (0.75 | )
Net asset value, end of period |  |  |  | $ | 10.21 |  |  | $ | 11.56 |  |  | $ | 11.55 |  |  | $ | 12.25 |  |  | $ | 12.16 |  |  | $ | 12.62 |  |  | $ | 12.70 |
Market price, end of period |  |  |  | $ | 9.14 |  |  | $ | 11.70 |  |  | $ | 10.45 |  |  | $ | 11.20 |  |  | $ | 10.78 |  |  | $ | 11.47 |  |  | $ | 11.68 |
Total Return (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  | (8.97 | )% (f) |  |  | 6.67 | % |  |  | 2.57 | % |  |  | 8.03 | % (f) |  |  | 3.86 | % |  |  | 6.60 | % (g) |  |  | 19.57 | %
Based on market price |  |  |  |  | (19.48 | )% (f) |  |  | 19.33 | % |  |  | 1.50 | % |  |  | 11.42 | % (f) |  |  | 1.30 | % |  |  | 5.35 | % |  |  | 25.53 | %
Ratios to Average Net Assets (h) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  | 1.46 | % (i) |  |  | 1.34 | % |  |  | 1.48 | % |  |  | 2.21 | % (i)(j) |  |  | 2.23 | % |  |  | 1.86 | % |  |  | 1.36 | %
Total expenses after fees waived and/or reimbursed |  |  |  |  | 1.46 | % (i) |  |  | 1.34 | % |  |  | 1.47 | % |  |  | 2.21 | % (i)(j) |  |  | 2.23 | % |  |  | 1.85 | % |  |  | 1.35 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  |  |  | 0.88 | % (i) |  |  | 0.92 | % |  |  | 0.91 | % |  |  | 0.92 | % (i) |  |  | 0.96 | % |  |  | 0.94 | % |  |  | 0.87 | %
Net investment income |  |  |  |  | 5.59 | % (i) |  |  | 5.21 | % |  |  | 5.65 | % |  |  | 6.25 | % (i) |  |  | 6.40 | % |  |  | 6.12 | % |  |  | 6.04 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  | $ | 475,934 |  |  | $ | 538,681 |  |  | $ | 537,959 |  |  | $ | 605,240 |  |  | $ | 641,220 |  |  | $ | 742,204 |  |  | $ | 780,810 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 222,000 |  |  | $ | 248,000 |  |  | $ | 229,000 |  |  | $ | 262,000 |  |  | $ | 278,000 |  |  | $ | 338,000 |  |  | $ | 318,000 |
Asset coverage, end of period per $1,000 of bank borrowings |  |  |  | $ | 3,144 |  |  | $ | 3,172 |  |  | $ | 3,349 |  |  | $ | 3,310 |  |  | $ | 3,308 |  |  | $ | 3,196 |  |  | $ | 3,455 |
Portfolio turnover rate |  |  |  |  | 11 | % |  |  | 47 | % |  |  | 67 | % |  |  | 53 | % |  |  | 62 | % |  |  | 59 | % |  |  | 55 | %

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

(b) | Based on average shares outstanding.

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

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

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

(f) | Aggregate total return.

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

(h) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(i) | Annualized.

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

See notes to financial statements.

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

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

|  | FRA
|  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended December 31, |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended August 31, |
|  |  | 2021 |  |  |  | 2020 |  |  |  | 2019 |  |  |  | 2018 | (a) |  |  | 2017 | (a)
Net asset value, beginning of period |  |  |  | $ | 13.85 |  |  | $ | 13.81 |  |  | $ | 14.55 |  |  | $ | 14.49 |  |  | $ | 14.92 |  |  | $ | 14.93 |  |  | $ | 14.78 |
Net investment income (b) |  |  |  |  | 0.34 |  |  |  | 0.67 |  |  |  | 0.69 |  |  |  | 0.25 |  |  |  | 0.84 |  |  |  | 0.79 |  |  |  | 0.76 |
Net realized and unrealized gain (loss) |  |  |  |  | (1.40 | ) |  |  | 0.17 |  |  |  | (0.51 | ) |  |  | 0.19 |  |  |  | (0.40 | ) |  |  | (0.06 | ) |  |  | 0.20 |
Net increase (decrease) from investment operations |  |  |  |  | (1.06 | ) |  |  | 0.84 |  |  |  | 0.18 |  |  |  | 0.44 |  |  |  | 0.44 |  |  |  | 0.73 |  |  |  | 0.96 |
Distributions (c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  | (0.33 | ) (d) |  |  | (0.67 | ) |  |  | (0.70 | ) |  |  | (0.38 | ) |  |  | (0.87 | ) |  |  | (0.74 | ) |  |  | (0.81 | )
Return of capital |  |  |  |  | — |  |  |  | (0.13 | ) |  |  | (0.22 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  |  |  | (0.33 | ) |  |  | (0.80 | ) |  |  | (0.92 | ) |  |  | (0.38 | ) |  |  | (0.87 | ) |  |  | (0.74 | ) |  |  | (0.81 | )
Net asset value, end of period |  |  |  | $ | 12.46 |  |  | $ | 13.85 |  |  | $ | 13.81 |  |  | $ | 14.55 |  |  | $ | 14.49 |  |  | $ | 14.92 |  |  | $ | 14.93 |
Market price, end of period |  |  |  | $ | 11.39 |  |  | $ | 13.43 |  |  | $ | 12.11 |  |  | $ | 13.44 |  |  | $ | 12.46 |  |  | $ | 13.80 |  |  | $ | 14.10 |
Total Return (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  | (7.58 | )% (f) |  |  | 6.48 | % |  |  | 2.76 | % |  |  | 3.41 | % (f) |  |  | 3.94 | % |  |  | 5.28 | % |  |  | 6.93 | %
Based on market price |  |  |  |  | (12.88 | )% (f) |  |  | 17.74 | % |  |  | (2.45 | )% |  |  | 11.08 | % (f) |  |  | (3.37 | )% |  |  | 3.11 | % |  |  | 8.95 | %
Ratios to Average Net Assets (g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  | 1.76 | % (h) |  |  | 1.55 | % |  |  | 1.69 | % |  |  | 2.20 | % (h)(i) |  |  | 2.45 | % |  |  | 2.23 | % |  |  | 1.88 | %
Total expenses after fees waived and/or reimbursed |  |  |  |  | 1.76 | % (h) |  |  | 1.54 | % |  |  | 1.67 | % |  |  | 2.20 | % (h)(i) |  |  | 2.45 | % |  |  | 2.22 | % |  |  | 1.88 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  |  |  | 1.17 | % (h) |  |  | 1.14 | % |  |  | 1.13 | % |  |  | 1.19 | % (h) |  |  | 1.16 | % |  |  | 1.20 | % |  |  | 1.21 | %
Net investment income |  |  |  |  | 5.04 | % (h) |  |  | 4.76 | % |  |  | 5.15 | % |  |  | 5.26 | % (h) |  |  | 5.74 | % |  |  | 5.27 | % |  |  | 5.08 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  | $ | 439,107 |  |  | $ | 487,833 |  |  | $ | 488,051 |  |  | $ | 522,545 |  |  | $ | 526,447 |  |  | $ | 555,370 |  |  | $ | 555,972 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 203,000 |  |  | $ | 223,000 |  |  | $ | 208,000 |  |  | $ | 214,000 |  |  | $ | 204,000 |  |  | $ | 233,000 |  |  | $ | 237,000 |
Asset coverage, end of period per $1,000 of bank borrowings |  |  |  | $ | 3,163 |  |  | $ | 3,188 |  |  | $ | 3,346 |  |  | $ | 3,442 |  |  | $ | 3,582 |  |  | $ | 3,385 |  |  | $ | 3,346 |
Portfolio turnover rate |  |  |  |  | 10 | % |  |  | 49 | % |  |  | 65 | % |  |  | 16 | % |  |  | 53 | % |  |  | 57 | % |  |  | 64 | %

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

(b) | Based on average shares outstanding.

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

(d) | A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

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

(f) | Aggregate total return.

(g) | Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) | Annualized.

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

See notes to financial statements.

F I N A N C I A L H I G H L I G H T S |  | 119

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

|  |  |  | BKT |
|  |  |  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended December 31, |  |  | Period from 09/01/18 to 12/31/18 |  |  | Year Ended August 31, |
|  |  |  | 2021 |  |  | 2020 |  |  | 2019 |  |  | 2018 |  |  | 2017 |
Net asset value, beginning of period |  |  |  | $ | 5.65 |  |  | $ | 6.18 |  |  | $ | 6.30 |  |  | $ | 6.25 |  |  | $ | 6.31 |  |  | $ | 6.74 |  |  | $ | 6.96 |
Net investment income (a) |  |  |  |  | 0.07 |  |  |  | 0.23 |  |  |  | 0.29 |  |  |  | 0.25 |  |  |  | 0.08 |  |  |  | 0.24 |  |  |  | 0.25 |
Net realized and unrealized gain (loss) |  |  |  |  | (0.70 | ) |  |  | (0.35 | ) |  |  | (0.00 | ) (b) |  |  | 0.21 |  |  |  | 0.03 |  |  |  | (0.34 | ) |  |  | (0.15 | )
Net increase (decrease) from investment operations |  |  |  |  | (0.63 | ) |  |  | (0.12 | ) |  |  | 0.29 |  |  |  | 0.46 |  |  |  | 0.11 |  |  |  | (0.10 | ) |  |  | 0.10 |
Distributions (c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  | (0.17 | ) (d) |  |  | (0.29 | ) |  |  | (0.33 | ) |  |  | (0.29 | ) |  |  | (0.13 | ) |  |  | (0.30 | ) |  |  | (0.32 | )
Return of capital |  |  |  |  | — |  |  |  | (0.12 | ) |  |  | (0.08 | ) |  |  | (0.12 | ) |  |  | (0.04 | ) |  |  | (0.03 | ) |  |  | — |
Total distributions |  |  |  |  | (0.17 | ) |  |  | (0.41 | ) |  |  | (0.41 | ) |  |  | (0.41 | ) |  |  | (0.17 | ) |  |  | (0.33 | ) |  |  | (0.32 | )
Net asset value, end of period |  |  |  | $ | 4.85 |  |  | $ | 5.65 |  |  | $ | 6.18 |  |  | $ | 6.30 |  |  | $ | 6.25 |  |  | $ | 6.31 |  |  | $ | 6.74 |
Market price, end of period |  |  |  | $ | 4.54 |  |  | $ | 5.65 |  |  | $ | 6.07 |  |  | $ | 6.05 |  |  | $ | 5.64 |  |  | $ | 5.77 |  |  | $ | 6.31 |
Total Return (e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  | (11.15 | )% (f) |  |  | (2.01 | )% |  |  | 4.92 | % |  |  | 7.91 | % |  |  | 2.06 | % (f) |  |  | (1.14 | )% |  |  | 1.82 | %
Based on market price |  |  |  |  | (16.83 | )% (f) |  |  | (0.23 | )% |  |  | 7.31 | % |  |  | 14.83 | % |  |  | 0.72 | % (f) |  |  | (3.44 | )% |  |  | 0.53 | %
Ratios to Average Net Assets (g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  | 1.09 | % (h) |  |  | 0.94 | % |  |  | 1.18 | % |  |  | 2.06 | % |  |  | 2.08 | % (h)(i) |  |  | 1.79 | % |  |  | 1.29 | %
Total expenses after fees waived and/or reimbursed |  |  |  |  | 1.09 | % (h) |  |  | 0.94 | % |  |  | 1.18 | % |  |  | 2.06 | % |  |  | 2.08 | % (h) |  |  | 1.79 | % |  |  | 1.28 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  |  |  | 0.89 | % (h) |  |  | 0.90 | % |  |  | 0.89 | % |  |  | 0.94 | % |  |  | 0.99 | % (h) |  |  | 1.04 | % |  |  | 0.90 | %
Net investment income |  |  |  |  | 2.73 | % (h) |  |  | 3.91 | % |  |  | 4.55 | % |  |  | 3.95 | % |  |  | 4.04 | % (h) |  |  | 3.72 | % |  |  | 3.63 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  | $ | 310,169 |  |  | $ | 360,752 |  |  | $ | 394,195 |  |  | $ | 401,715 |  |  | $ | 398,629 |  |  | $ | 402,763 |  |  | $ | 430,830 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 130,621 |  |  | $ | 115,184 |  |  | $ | 156,936 |  |  | $ | 175,655 |  |  | $ | 186,799 |  |  | $ | 186,441 |  |  | $ | 185,769 |
Portfolio turnover rate (j) |  |  |  |  | 137 | % |  |  | 248 | % |  |  | 69 | % |  |  | 255 | % |  |  | 95 | % |  |  | 373 | % |  |  | 346 | %
(a) Based on average shares outstanding. (b) Amount is less than $0.005 per share. (c) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. (d) A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. (e) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. (f) Aggregate total return. (g) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. (h) Annualized. (i) Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the total expenses would have been 2.11%. (j) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
|  |  |  | Six Months Ended 06/30/22 |  |  | Year Ended December 31, |  |  | Period from 09/01/18 |  |  | Year Ended August 31, |
|  |  |  | (unaudited) |  |  | 2021 |  |  | 2020 |  |  | 2019 |  |  | to 12/31/18 |  |  | 2018 |  |  | 2017 |
|  | Portfolio turnover rate (excluding MDRs) |  |  |  |  | 78 | % |  |  | 119 | % |  |  | 31 | % |  |  | 136 | % |  |  | 45 | % |  |  | 181 | % |  |  | 161 | %

See notes to financial statements.

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

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

|  |  |  | BLW |
|  |  |  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended December 31, |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended August 31, |
|  |  |  | 2021 |  |  | 2020 |  |  | 2019 |  |  | 2018 |  |  | 2017 |
Net asset value, beginning of period |  |  |  | $ | 16.44 |  |  | $ | 16.93 |  |  | $ | 17.05 |  |  | $ | 17.03 |  |  | $ | 16.71 |  |  | $ | 17.02 |  |  | $ | 16.84 |
Net investment income (a) |  |  |  |  | 0.48 |  |  |  | 1.00 |  |  |  | 0.98 |  |  |  | 0.31 |  |  |  | 0.94 |  |  |  | 0.95 |  |  |  | 1.01 |
Net realized and unrealized gain (loss) |  |  |  |  | (2.94 | ) |  |  | (0.31 | ) |  |  | 0.08 |  |  |  | 0.18 |  |  |  | 0.33 |  |  |  | (0.31 | ) |  |  | 0.44 |
Net increase (decrease) from investment operations |  |  |  |  | (2.46 | ) |  |  | 0.69 |  |  |  | 1.06 |  |  |  | 0.49 |  |  |  | 1.27 |  |  |  | 0.64 |  |  |  | 1.45 |
Distributions (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  | (0.49 | ) (c) |  |  | (1.02 | ) |  |  | (1.03 | ) |  |  | (0.47 | ) |  |  | (0.95 | ) |  |  | (0.95 | ) |  |  | (1.27 | )
Return of capital |  |  |  |  | — |  |  |  | (0.16 | ) |  |  | (0.15 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  |  |  | (0.49 | ) |  |  | (1.18 | ) |  |  | (1.18 | ) |  |  | (0.47 | ) |  |  | (0.95 | ) |  |  | (0.95 | ) |  |  | (1.27 | )
Net asset value, end of period |  |  |  | $ | 13.49 |  |  | $ | 16.44 |  |  | $ | 16.93 |  |  | $ | 17.05 |  |  | $ | 17.03 |  |  | $ | 16.71 |  |  | $ | 17.02 |
Market price, end of period |  |  |  | $ | 12.65 |  |  | $ | 16.85 |  |  | $ | 15.92 |  |  | $ | 16.39 |  |  | $ | 15.44 |  |  | $ | 15.06 |  |  | $ | 15.99 |
Total Return (d) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  | (15.00 | )% (e) |  |  | 4.18 | % (f) |  |  | 7.58 | % |  |  | 3.11 | % (e) |  |  | 8.77 | % |  |  | 4.42 | % |  |  | 9.62 | %
Based on market price |  |  |  |  | (22.23 | )% (e) |  |  | 13.55 | % |  |  | 5.24 | % |  |  | 9.32 | % (e) |  |  | 9.41 | % |  |  | 0.18 | % |  |  | 10.18 | %
Ratios to Average Net Assets (g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  | 1.34 | % (h) |  |  | 1.18 | % |  |  | 1.39 | % |  |  | 1.64 | % (h)(i) |  |  | 1.81 | % |  |  | 1.73 | % |  |  | 1.45 | %
Total expenses after fees waived and/or reimbursed |  |  |  |  | 1.34 | % (h) |  |  | 1.18 | % |  |  | 1.39 | % |  |  | 1.64 | % (h)(i) |  |  | 1.81 | % |  |  | 1.73 | % |  |  | 1.45 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  |  |  | 0.95 | % (h) |  |  | 0.92 | % |  |  | 0.90 | % |  |  | 0.89 | % (h) |  |  | 0.84 | % |  |  | 0.89 | % |  |  | 0.89 | %
Net investment income |  |  |  |  | 6.41 | % (h) |  |  | 5.90 | % |  |  | 6.07 | % |  |  | 5.32 | % (h) |  |  | 5.69 | % |  |  | 5.60 | % |  |  | 6.00 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  | $ | 481,864 |  |  | $ | 587,146 |  |  | $ | 603,933 |  |  | $ | 611,068 |  |  | $ | 610,251 |  |  | $ | 612,048 |  |  | $ | 629,728 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 292,270 |  |  | $ | 312,356 |  |  | $ | 275,105 |  |  | $ | 213,399 |  |  | $ | 202,539 |  |  | $ | 234,622 |  |  | $ | 252,280 |
Portfolio turnover rate (j) |  |  |  |  | 41 | % |  |  | 66 | % |  |  | 65 | % |  |  | 14 | % |  |  | 50 | % |  |  | 50 | % |  |  | 55 | %
(a) Based on average shares outstanding. (b) Distributions for annual periods determined in accordance with U.S. federal income tax regulations. (c) A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. (d) Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices. (e) Aggregate total return. (f) Includes payment from an affiliate, which had no impact on the Fund’s total return. (g) Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. (h) Annualized. (i) Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%. (j) Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
|  |  |  | Six Months Ended 06/30/22 (unaudited) |  |  | Year Ended December 31, |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended August 31, |
|  |  |  | 2021 |  |  | 2020 |  |  | 2019 |  |  | 2018 |  |  | 2017 |
|  | Portfolio turnover rate (excluding MDRs) |  |  |  |  | 30 | % |  |  | 52 | % |  |  | 58 | % |  |  | 14 | % |  |  | 50 | % |  |  | 50 | % |  |  | 55 | %

See notes to financial statements.

F I N A N C I A L H I G H L I G H T S |  | 121

Notes to Financial Statements
(unaudited)

1. | ORGANIZATION

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

Fund Name |  | Herein Referred To As |  |  | Organized |  |  | Diversification Classification |
BlackRock Debt Strategies Fund, Inc. |  |  | DSU |  |  |  | Maryland |  |  |  | Diversified |
BlackRock Floating Rate Income Strategies Fund, Inc. |  |  | FRA |  |  |  | Maryland |  |  |  | Diversified |
BlackRock Income Trust, Inc. |  |  | BKT |  |  |  | Maryland |  |  |  | Diversified |
BlackRock Limited Duration Income Trust |  |  | BLW |  |  |  | Delaware |  |  |  | Diversified |

The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.
The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of
open-end
non-index
fixed-income funds and all BlackRock-advised
closed-end
funds referred to as the BlackRock Fixed-Income Complex.

2. | SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition:
For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method.
Dividend income and capital gain distributions, if any, are recorded on the
ex-dividend
dates.
Non-cash
dividends, if any, are recorded on the
ex-dividend
dates at fair value.
Dividends from foreign securities where the
ex-dividend
dates may have passed are subsequently recorded when the Funds are informed of the
ex-dividend
dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest.
Interest income, including amortization and accretion of premiums and discounts on debt securities, and
payment-in-kind
interest are recognized daily on an accrual basis.
For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.
Foreign Currency Translation:
Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments.
Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes:
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Foreign taxes withheld”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2022, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations include tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization:
In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under

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(unaudited) (continued)
such investments or borrowings. Doing so allows the investments or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Distributions:
Distributions paid by the Funds are recorded on the
ex-dividend
dates. Subject to the Funds’ managed distribution plan, the Funds intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a
non-taxable
return of capital.
Deferred Compensation Plan:
Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Directors’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the Fixed-Income Complex and reflected as Directors and Officer expense on the Statements of Operations. The Directors and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Indemnifications:
In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other:
Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

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

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

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

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

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

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

| • |  | 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

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Notes to Financial Statements
(unaudited) (continued)

| be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

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

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an
arm’s-length
transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third-party pricing services utilize one or a combination of, but not limited to, the following inputs.

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

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.
Fair Value Hierarchy:
Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

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

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

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

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Notes to Financial Statements
(unaudited) (continued)
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors.
The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
As of June 30, 2022, certain investments of BLW were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

4. | SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities:
Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency
mortgage-backed securities are securities issued by
non-governmental
issuers and have no direct or indirect government guarantees of payment and are subject to various risks.
Non-agency
mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations:
Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class
Pass-Through Securities:
Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities:
Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds:
Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities:
Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities,

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Notes to Financial Statements
(unaudited) (continued)
generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
Preferred Stocks:
Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Warrants:
Warrants entitle a fund to purchase a specified number of shares of common stock and are
non-income
producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.
Floating Rate Loan Interests:
Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally
non-investment
grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are
marked-to-market
daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

Fund Name |  | Borrower |  | Par |  |  | Commitment Amount |  |  | Value |  |  | Unrealized Appreciation (Depreciation) |
DSU |  | Athenahealth, Inc. |  | $ | 427,753 |  |  | $ | 427,753 |  |  | $ | 392,733 |  |  | $ | (35,020) |
|  | CP Iris Holdco I, Inc. |  |  | 103,475 |  |  |  | 103,475 |  |  |  | 94,809 |  |  |  | (8,666) |
|  | Precision Medicine Group LLC |  |  | 70,375 |  |  |  | 70,375 |  |  |  | 64,921 |  |  |  | (5,454) |
|  | Reverb Buyer, Inc. |  |  | 336,748 |  |  |  | 335,077 |  |  |  | 315,112 |  |  |  | (19,965) |
|  | Trident TPI Holdings, Inc. |  |  | 47,249 |  |  |  | 47,249 |  |  |  | 44,225 |  |  |  | (3,024) |
FRA |  | Athenahealth, Inc. |  |  | 490,008 |  |  |  | 490,008 |  |  |  | 449,891 |  |  |  | (40,117) |
|  | CP Iris Holdco I, Inc. |  |  | 117,872 |  |  |  | 117,872 |  |  |  | 108,000 |  |  |  | (9,872) |
|  | Precision Medicine Group LLC |  |  | 79,851 |  |  |  | 79,851 |  |  |  | 73,663 |  |  |  | (6,188) |
|  | Reverb Buyer, Inc. |  |  | 469,568 |  |  |  | 467,797 |  |  |  | 439,398 |  |  |  | (28,399) |
|  | Trident TPI Holdings, Inc. |  |  | 53,674 |  |  |  | 53,674 |  |  |  | 50,239 |  |  |  | (3,435) |

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Notes to Financial Statements
(unaudited) (continued)

Fund Name |  | Borrower |  | Par |  |  | Commitment Amount |  |  | Value |  |  | Unrealized Appreciation (Depreciation) |
BLW |  | Athenahealth, Inc. |  | $ | 222,425 |  |  | $ | 222,425 |  |  | $ | 204,215 |  |  | $ | (18,210) |
|  | CP Iris Holdco I, Inc. |  |  | 50,902 |  |  |  | 50,902 |  |  |  | 46,639 |  |  |  | (4,263) |
|  | New Arclin U.S. Holding Corp. |  |  | 75,553 |  |  |  | 75,176 |  |  |  | 69,547 |  |  |  | (5,629) |
|  | Precision Medicine Group LLC |  |  | 64,734 |  |  |  | 64,733 |  |  |  | 59,717 |  |  |  | (5,017) |
|  | Reverb Buyer, Inc. |  |  | 207,051 |  |  |  | 206,277 |  |  |  | 193,748 |  |  |  | (12,529) |
|  | Trident TPI Holdings, Inc. |  |  | 24,144 |  |  |  | 24,144 |  |  |  | 22,598 |  |  |  | (1,545) |

TBA Commitments:
TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. 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 the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively.
Non-cash
collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell,
re-pledge
or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty
non-performance.
Mortgage Dollar Roll Transactions:
The Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Borrowed Bond Agreements:
Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.
Reverse Repurchase Agreements:
Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.
Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.
For the six months ended June 30, 2022, the average daily amount of reverse repurchase agreements outstanding and the weighted average interest rate for the Funds were as follows:

Fund Name |  | Average Amount Outstanding |  |  | Weighted Average Interest Rate
BKT |  | $ | 138,813,748 |  |  | 0.45%
BLW |  |  | 319,787,316 |  |  | 0.65

Borrowed bond agreements and reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or

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Notes to Financial Statements
(unaudited) (continued)
posted to the counterparty and create one single net payment due to or from a fund. With borrowed bond agreements and reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell,
re-pledge,
or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.
As of period end, the following table is a summary of BKT’s open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

|  | BKT |  |  |
|  | Counterparty |  |  | Borrowed Bonds Agreements | (a) |  |  | Reverse Repurchase Agreements |  |  |  | Borrowed Bonds at Value including Accrued Interest | (b) |  |  | Net Amount before Collateral |  |  |  | Non-Cash Collateral Received |  |  |  | Cash Collateral Received |  |  |  | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest | (c) |  |  | Cash Collateral Pledged |  |  |  | Net Collateral (Received)/ Pledged |  |  |  | Net Exposure Due (to)/ from Counterparty | (d) |  |
|  | Credit Suissie AG |  | $ | 866,565 |  |  | $ | — |  |  | $ | (822,307 | ) |  | $ | 44,258 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 44,258 |  |  |
|  | Deutsche Bank Securities, Inc. |  |  | — |  |  |  | (35,385,427) |  |  |  | — |  |  |  | (35,385,427 | ) |  |  | — |  |  |  | — |  |  |  | 35,385,427 |  |  |  | — |  |  |  | 35,385,427 |  |  |  | — |  |  |
|  | HSBC Securities (USA), Inc. |  |  | — |  |  |  | (95,235,089) |  |  |  | — |  |  |  | (95,235,089 | ) |  |  | — |  |  |  | — |  |  |  | 95,235,089 |  |  |  | — |  |  |  | 95,235,089 |  |  |  | — |  |  |
|  |  |  | $ | 866,565 |  |  | $ | (130,620,516 | ) |  | $ | (822,307 | ) |  | $ | (130,576,258 | ) |  | $ | — |  |  | $ | — |  |  | $ | 130,620,516 |  |  | $ | — |  |  | $ | 130,620,516 |  |  | $ | 44,258 |  |  |

| (a) | Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities. |

| (b) | Includes accrued interest on borrowed bonds in the amount of $1,198 which is included in interest expense payable in the Statements of Assets and Liabilities. |

| (c) | Collateral, if any, with a value of $136,054,638 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

| (d) | Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |

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

Counterparty |  |  | Reverse Repurchase Agreements |  |  |  | Fair Value of Non-Cash Collateral Pledged Including Accrued Interest | (a) |  |  | Cash Collateral Pledged/Received | (a) |  |  | Net Amount |
Barclays Bank PLC |  | $ | (25,350,576 | ) |  | $ | 25,350,576 |  |  | $ | — |  |  | $ | — |
Barclays Capital, Inc. |  |  | (58,389,696 | ) |  |  | 58,389,696 |  |  |  | — |  |  |  | — |
BNP Paribas S.A. |  |  | (113,626,846 | ) |  |  | 113,626,846 |  |  |  | — |  |  |  | — |
Credit Agricole Corporate and Investment Bank |  |  | (25,151,772 | ) |  |  | 25,151,772 |  |  |  | — |  |  |  | — |
Credit Suisse Securities (USA) LLC |  |  | (5,265,259 | ) |  |  | 5,265,259 |  |  |  | — |  |  |  | — |
HSBC Securities (USA), Inc. |  |  | (22,294,341 | ) |  |  | 22,294,341 |  |  |  | — |  |  |  | — |
Nomura Securities International, Inc. |  |  | (773,851 | ) |  |  | 773,851 |  |  |  | — |  |  |  | — |
RBC Capital Markets LLC |  |  | (40,190,872 | ) |  |  | 40,190,872 |  |  |  | — |  |  |  | — |
TD Securities (USA) LLC |  |  | (1,226,390 | ) |  |  | 1,226,390 |  |  |  | — |  |  |  | — |
|  | $ | (292,269,603 | ) |  | $ | 292,269,603 |  |  | $ | — |  |  | $ | — |

| (a) | Collateral, if any, with a value of $327,758,189 has been pledged in connection with open reverse repurchase agreements. Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes. |

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.
Short Sale Transactions:
In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the fixed-income security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a fund 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. A fund is required to repay the counterparty interest on the security sold short, which, if applicable, is included in interest expense in the Statements of Operations. A fund is 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 an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a fund sold the security

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short. A realized gain or loss is 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 a fund 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 their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts:
Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts
: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is
marked-to-market
daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed.
Non-deliverable
forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Options:
The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value –unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

| • |  | Swaptions — The Funds may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

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

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Swaps:
Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

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

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

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

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements:
In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements:
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the
mark-to-market
amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements
of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively.
Non-cash
collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell,
re-pledge
or use cash and
non-cash
collateral it receives. A Fund generally agrees not to use
non-cash
collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty
non-performance.
Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of

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their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

6. | INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory:
Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.
For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:

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

For purposes of calculating these fees, “net assets” mean the total assets of each Fund minus the sum of its accrued liabilities.
For such services, BKT pays the Manager a monthly fee at an annual rate equal to 0.65% of the average weekly value of the Fund’s net assets. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).
For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” are determined as total assets of the Fund (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).
With respect to each Fund, the Manager entered into separate
sub-advisory
agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. With respect to BLW, the Manager also entered into a separate
sub-advisory
agreement with BlackRock (Singapore) Limited (“BSL”), an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BSL for services they provide for that portion of each Fund for which BIL, and, with respect to BLW, BSL acts as
sub-adviser,
a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.
Administration:
BKT has an Administration Agreement with the Manager. The administration fee paid monthly to the Manager is computed at an annual rate of 0.15% of the Fund’s average weekly net assets. For BKT, the Manager may reduce or discontinue this arrangement at any time without notice.
Distribution Fees:
BKT and BLW has entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of BKT and BLW common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”). Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of BKT’s and BLW’s common shares and a portion of such commission is
re-allowed
to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended June 30, 2022 amounted to $0.
Expense Waivers and Reimbursements:
With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2022, the amounts waived were as follows:

Fund Name |  | Fees Waived and/or Reimbursed by the Manager |
DSU |  | $ | 688 |
FRA |  |  | 91 |
BKT |  |  | 2,365 |
BLW |  |  | 1,378 |

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Notes to Financial Statements
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The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. For the six months ended June 30, 2022, there were no fees waived by the Manager pursuant to this arrangement.
Directors and Officers:
Certain directors and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.
Other Transactions:
The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the six months ended June 30, 2022, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule
17a-7
under the 1940 Act were as follows:

Fund Name |  | Purchases |  |  | Sales |  |  | Net Realized Gain (Loss) |
DSU |  | $ | 456,617 |  |  | $ | 125,692 |  |  | $ | 4,655 |
BLW |  |  | 2,750,638 |  |  |  | 600,425 |  |  |  | (202,676 | )

7. | PURCHASES AND SALES

For the six months ended June 30, 2022, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term investments, were as follows:

|  | U.S. Government Securities |  |  | Other Securities |
Fund Name |  | Purchases |  |  | Sales |  |  | Purchases |  |  | Sales |
DSU |  | $ | — |  |  | $ | — |  |  | $ | 85,246,297 |  |  | $ | 130,978,800 |
FRA |  |  | — |  |  |  | — |  |  |  | 69,415,248 |  |  |  | 110,938,902 |
BKT |  |  | — |  |  |  | — |  |  |  | 691,915,959 |  |  |  | 699,089,318 |
BLW |  |  | — |  |  |  | 30,008,004 |  |  |  | 348,843,702 |  |  |  | 372,840,391 |

For the six months ended June 30, 2022, purchases and sales related to mortgage dollar rolls were as follows:

Fund Name |  | Purchases |  |  | Sales |
BKT |  | $ | 300,994,273 |  |  | $ | 301,428,859 |
BLW |  |  | 93,596,040 |  |  |  | 93,722,896 |

8. | INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of June 30, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
As of December 31, 2021, the Funds had
non-expiring
capital loss carryforwards available to offset future realized capital gains as follows:

Fund Name |  | Non-Expiring |
DSU |  | $ | 91,035,096 |
FRA |  |  | 43,416,429 |
BKT |  |  | 93,655,659 |
BLW |  |  | 35,107,732 |

As of June 30, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

Fund Name |  | Tax Cost |  |  | Gross Unrealized Appreciation |  |  | Gross Unrealized Depreciation |  |  | Net Unrealized Appreciation (Depreciation) |
DSU |  | $ | 772,580,917 |  |  | $ | 824,354 |  |  | $ | (81,006,494 | ) |  |  | $ (80,182,140 | )
FRA |  |  | 690,593,576 |  |  |  | 501,403 |  |  |  | (51,662,325 | ) |  |  | (51,160,922 | )
BKT |  |  | 522,054,386 |  |  |  | 10,076,205 |  |  |  | (48,870,255 | ) |  |  | (38,794,050 | )
BLW |  |  | 851,190,543 |  |  |  | 5,363,566 |  |  |  | (94,954,666 | ) |  |  | (89,591,100 | )

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Notes to Financial Statements
(unaudited) (continued)

9. | BANK BORROWINGS

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

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

Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above
7-day,
30-day,
60-day
or
90-day
LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.
In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.
DSU and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.
For the six months ended June 30, 2022, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:

Fund Name |  | Maximum Amount Borrowed |  |  | Average Amount Outstanding |  |  | Daily Weighted Average Interest Rate |
DSU |  | $ | 255,000,000 |  |  | $ | 238,127,072 |  |  |  | 1.26% |
FRA |  |  | 233,000,000 |  |  |  | 215,546,961 |  |  |  | 1.26 |

10. | PRINCIPAL RISKS

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.
Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.
Market Risk:
Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk:
The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

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Notes to Financial Statements
(unaudited) (continued)
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.​​​​​​​
Counterparty Credit Risk:
The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a
mark-to-market
loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.
With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Concentration Risk:
A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
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 their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. 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. Investment percentages in these securities are presented in the Schedules of Investments.
LIBOR Transition Risk:
The United Kingdom’s Financial Conduct Authority announced a phase out of the LIBOR. Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

11. | CAPITAL SHARE TRANSACTIONS

DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares.​​​​​​​ The par value for DSU’s, FRA’s, BKT’s and BLW’s shares is $0.10, $0.10, $0.010 and $0.001, respectively. The Board for DSU, FRA and BLW are each authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

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Notes to Financial Statements
(unaudited) (continued)
Common Shares
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

Fund Name |  | Six Months Ended 06/30/22 |  |  | Year Ended 12/31/21 |
DSU |  |  | 3,721 |  |  |  | 14,784 |
BKT |  |  | 11,662 |  |  |  | 104,060 |
BLW |  |  | — |  |  |  | 49,148 |

The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2021 through November 30, 2022, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2021, subject to certain conditions. The Repurchase Program has an accretive effect as shares are purchased at a discount to the Fund’s NAV. There is no assurance that the Funds will purchase shares in any particular amounts.
The total cost of the shares repurchased is reflected in Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

|  | FRA |
|  | Shares |  |  | Amounts |
Six Months Ended June 30, 2022 |  |  | — |  |  | $ | — |
Year Ended December 31, 2021 |  |  | 102,939 |  |  |  | 1,250,043 |

BKT and BLW have filed a prospectus with the SEC allowing it to issue an additional 25,000,000 and 10,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offering, BKT and BLW, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above each Fund’s NAV per Common Share (calculated within 48 hours of pricing).
As of period end, 25,000,000 and 10,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. For the period ended June 30, 2022, BKT and BLW did not issue any Common Shares. See Additional Information - Shelf Offering Program for additional information.

12. | SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:
The Funds declared and paid or will pay distributions to Common Shareholders as follows:

Fund Name |  | Declaration Date |  |  | Record Date |  |  | Payable/ Paid Date |  |  | Dividend Per Common Share |
DSU |  |  | 07/01/22 |  |  |  | 07/15/22 |  |  |  | 07/29/22 |  |  | $ | 0.060500 |
|  |  | 08/01/22 |  |  |  | 08/15/22 |  |  |  | 08/31/22 |  |  |  | 0.060500 |
FRA |  |  | 07/01/22 |  |  |  | 07/15/22 |  |  |  | 07/29/22 |  |  |  | 0.066700 |
|  |  | 08/01/22 |  |  |  | 08/15/22 |  |  |  | 08/31/22 |  |  |  | 0.066700 |
BKT |  |  | 07/01/22 |  |  |  | 07/15/22 |  |  |  | 07/29/22 |  |  |  | 0.029400 |
|  |  | 08/01/22 |  |  |  | 08/15/22 |  |  |  | 08/31/22 |  |  |  | 0.029400 |
BLW |  |  | 07/01/22 |  |  |  | 07/15/22 |  |  |  | 07/29/22 |  |  |  | 0.098100 |
|  |  | 08/01/22 |  |  |  | 08/15/22 |  |  |  | 08/31/22 |  |  |  | 0.098100 |

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
The Boards of Directors/Trustees, as applicable (collectively, the “Board,” the members of which are referred to as “Board Members”) of BlackRock Debt Strategies Fund, Inc. (“DSU”), BlackRock Floating Rate Income Strategies Fund, Inc. (“FRA”), BlackRock Income Trust, Inc. (“BKT”), and BlackRock Limited Duration Income Trust (“BLW” and collectively with the DSU, FRA, and BKT, the “Funds” and each, a “Fund”) met on April 14, 2022 (the “April Meeting”) and May
19-20,
2022 (the “May Meeting”) to consider the approval to continue the investment advisory agreements (the “Advisory Agreements”) between each Fund and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the
sub-advisory
agreements (the
“Sub-Advisory
Agreements”) between (1) the Manager, BlackRock International Limited (“BIL”) and each Fund and (2) the Manager, BlackRock (Singapore) Limited (“BRS” and together with BIL, the
“Sub-Advisors”)
and BLW. The Manager and the
Sub-Advisors
are referred to herein as “BlackRock.” The Advisory Agreements and the
Sub-Advisory
Agreements are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of each Fund, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each typically extending for two days, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional
one-day
meeting to consider specific information surrounding the renewal of the Agreements. In particular, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for
one-year,
three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ analyses of the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) leverage management, as applicable; (c) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (d) Fund operating expenses and how BlackRock allocates expenses to each Fund; (e) the resources devoted to risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (f) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (g) the nature, character and scope of
non-investment
management services provided by BlackRock and its affiliates and the estimated cost of such services, as available; (h) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (i) BlackRock’s implementation of the proxy voting policies approved by the Board; (j) execution quality of portfolio transactions; (k) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (l) an analysis of management fees paid to BlackRock for products with similar investment mandates across the
open-end
fund,
closed-end
fund,
sub-advised
mutual fund, collective investment trust and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (m) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; (n) periodic updates on BlackRock’s business; and (o) each Fund’s market discount/premium compared to peer funds.
Prior to and in preparation for the April Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members are continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the April Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on Lipper classifications, regarding each Fund’s fees and expenses as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of each Fund as compared with a peer group of funds (“Performance Peers”); (b) information on the composition of the Expense Peers and Performance Peers and a description of Broadridge’s methodology; (c) information on the estimated profits realized by BlackRock and its affiliates pursuant to the Agreements and a discussion of
fall-out
benefits to BlackRock and its affiliates; (d) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts,
sub-advised
mutual funds,
closed-end
funds, and
open-end
funds, under similar investment mandates, as applicable; (e) a review of
non-management
fees; (f) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (g) a summary of aggregate amounts paid by each Fund to BlackRock; and (h) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any
fall-out
benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board Members evaluated the information available to it on a
fund-by-fund
basis. The following paragraphs provide

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
(continued)
more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of
closed-end
funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and each Fund’s portfolio management team; 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 Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other
non-investment
advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, registration statements in connection with BKT’s and BLW’s equity shelf program and periodic shareholder reports; (ii) preparing communications with analysts to support secondary market trading of each Fund; (iii) oversight of daily accounting and pricing; (iv) responsibility for periodic filings with regulators and stock exchanges; (v) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (vi) organizing Board meetings and preparing the materials for such Board meetings; (vii) providing legal and compliance support; (viii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain
closed-end
funds; and (ix) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans, including in light of the ongoing
COVID-19
pandemic.
B. The Investment Performance of each Fund and BlackRock
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the April Meeting. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2021, as compared to its Performance Peers. The performance information is based on net asset value (NAV), and utilizes Lipper data. Lipper’s methodology calculates a fund’s total return assuming distributions are reinvested on the
ex-date
at a fund’s
ex-date
NAV. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund as compared to its Performance Peers and certain performance metrics (“Performance Metrics”). The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board reviewed and considered DSU’s performance relative to DSU’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, DSU generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for DSU, and that BlackRock has explained its rationale for this belief to the Board.
The Board reviewed and considered FRA’s performance relative to FRA’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, FRA generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for FRA, and that BlackRock has explained its rationale for this belief to the Board.
The Board reviewed and considered BKT’s performance relative to BKT’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BKT generally performed in line with expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BKT, and that BlackRock has explained its rationale for this belief to the Board. The Board also considered alternative measures of performance when evaluating the BKT’s performance, including a set of peer funds selected by BlackRock.
The Board reviewed and considered the BLW’s performance relative to BLW’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BLW generally performed above expectations. The Board noted that BlackRock believes that the Performance Metrics are an appropriate performance comparison for BLW, and that BlackRock has explained its rationale for this belief to the Board.

D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T S A N D S U B - A D V I S O R Y A G R E E M E N T S |  | 137

Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
(continued)
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund
The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate compared with those of its Expense Peers. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board also compared each Fund’s total expense ratio, as well as its actual management fee rate as a percentage of managed assets, which is the total assets of each Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of each Fund’s accrued liabilities (other than money borrowed for investment purposes) to those of its Expense Peers. The total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The total expense ratio gives effect to any expense reimbursements or fee waivers, and the actual management fee rate gives effect to any management fee reimbursements or waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and
sub-advised
mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with an estimated profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to each Fund. The Board reviewed BlackRock’s estimated profitability with respect to each Fund and other funds the Board currently oversees for the year ended December 31, 2021 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the
open-end
fund,
closed-end
fund,
sub-advised
mutual fund, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that DSU’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in first quartile, relative to the Expense Peers.
The Board noted that FRA’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.
The Board noted that BKT’s contractual management fee rate ranked in the third quartile, and that the actual management fee rate and total expense ratio ranked in the second and first quartiles, respectively, relative to the Expense Peers.
The Board noted that BLW’s contractual management fee rate ranked in the first quartile, and that the actual management fee rate and total expense ratio each ranked in the first quartile, relative to the Expense Peers.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of each Fund increase. The Board also considered the extent to which each Fund benefits from such economies of scale in a variety of ways, and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable each Fund to more fully participate in these economies of scale. The Board considered each Fund’s asset levels and whether the current fee was appropriate.
Based on the Board’s review and consideration of the issue, the Board concluded that most
closed-end
funds do not have fund level breakpoints because
closed-end
funds generally do not experience substantial growth after the initial public offering.
Closed-end
funds are typically priced at scale at a fund’s inception. The Board noted that although BKT and BLW may from time to time make additional share offerings pursuant to its equity shelf program, the growth of BKT and BLW’s assets will occur primarily through the appreciation of its investment portfolio.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or
“fall-out”
benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its 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 each Fund, including for administrative, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
(continued)
The Board noted the competitive nature of the
closed-end
fund marketplace, and that shareholders are able to sell their Fund shares in the secondary market if they believe that each Fund’s fees and expenses are too high or if they are dissatisfied with the performance of each Fund.
The Board also considered the various notable initiatives and projects BlackRock performed in connection with its
closed-end
fund product line. These initiatives included developing equity shelf programs; efforts to eliminate product overlap with fund mergers; ongoing services to manage leverage that has become increasingly complex; periodic evaluation of share repurchases and other support initiatives for certain BlackRock funds; and continued communication efforts with shareholders, fund analysts and financial advisers. With respect to the latter, the Independent Board Members noted BlackRock’s continued commitment to supporting the secondary market for the common shares of its
closed-end
funds through a comprehensive secondary market communication program designed to raise investor and analyst awareness and understanding of
closed-end
funds. BlackRock’s support services included, among other things: sponsoring and participating in conferences; communicating with
closed-end
fund analysts covering the BlackRock funds throughout the year; providing marketing and product updates for the
closed-end
funds; and maintaining and enhancing its
closed-end
fund website.
Conclusion
At the May Meeting, as a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, approved, by unanimous vote of those present, the continuation of the Advisory Agreements between the Manager and each Fund for a
one-year
term ending June 30, 2023 , and the
Sub-Advisory
Agreements among (1) the Manager, BIL and each Fund and (2) the Manager, BRS and BLW for a
one-year
term ending June 30, 2023. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, 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.

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Additional Information
Fund Certification
The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule
18f-4”).
The Funds will be required to implement and comply with Rule
18f-4
by August 19, 2022. Once implemented, Rule
18f-4
will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Environmental, Social and Governance (“ESG”) Integration
Although a Fund does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Fund management will consider ESG characteristics as part of the investment process for actively managed Funds. These considerations will vary depending on a Fund’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Fund management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Fund. The ESG characteristics utilized in a Fund’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Fund. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Fund may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Fund’s exposure to certain companies or industries and a Fund may forego certain investment opportunities. While Fund management views ESG considerations as having the potential to contribute to a Fund’s long-term performance, there is no guarantee that such results will be achieved.
Dividend Policy
Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.
The distributions paid by a Fund for any particular month may be more or less than the amount of net investment income earned by a Fund during such month. Furthermore, the final tax characterization of distributions is determined after the
year-end
of a Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a
non-taxable
return of capital.
A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.
Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Fund’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Fund’s expense ratio and reducing the amount of assets the Fund has available for long term investment.
General Information
The Funds, other than BKT and BLW, do not make available copies of their Statements of Additional Information because the Funds’ shares, other than BKT and BLW, are not continuously offered, which means that the Statement of Additional Information of each Fund, other than BKT and BLW, has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.
BKT’s and BLW’s Statement of Additional Information includes additional information about its Board and is available, without charge upon request by calling
(800)-882-0052.
The following information is a summary of certain changes since December 31, 2021. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.
Except if noted otherwise herein, there were no changes to the Funds’ charters or
by-laws
that would delay or prevent a change of control of the Funds that were not approved by the shareholders.
In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.

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Additional Information
(continued)
General Information (continued)
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at
blackrock.com
. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Electronic Delivery
Shareholders can sign up for
e-mail
notifications of quarterly statements, annual and semi-annual shareholder reports and, for BKT and BLW only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for BKT and BLW only, prospectuses, are available on BlackRock’s website.
To enroll in electronic delivery:
Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:
Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.
Householding
The Funds will mail only one copy of shareholder documents, including for BKT and BLW only, prospectuses, annual and semi-annual reports, Rule
30e-3
notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800)
882-0052.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form
N-PORT.
The Funds’ Forms
N-PORT
are available on the SEC’s website at
sec.gov
. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at
blackrock.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and 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 without charge, upon request (1) by calling (800)
882-0052;
(2) on the BlackRock website at
blackrock.com
; and (3) on the SEC’s website at
sec.gov
.
Availability of Fund Updates
BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the
“Closed-end
Funds” section of
blackrock.com
as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Shelf Offering Program
From
time-to-time,
BKT and BLW may seek to raise additional equity capital through a Shelf Offering. In a Shelf Offering, BKT and BLW 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 BKT and BLW net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow BKT and BLW 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.
On June 23, 2022, BKT filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BKT are not offers to sell BKT Common Shares or solicitations of an offer to buy BKT Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BKT contains important information about BKT, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BKT carefully and in its entirety before investing. Copies of the final prospectus for can be obtained from BlackRock at
blackrock.com
.
On May 17, 2022, BLW filed a final prospectus with the SEC in connection with its Shelf Offering. This report and the prospectus of BLW are not offers to sell BLW Common Shares or solicitations of an offer to buy BLW Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectus of BLW contains important information about BLW, including its investment objective, risks, charges and expenses. Investors are urged to read the prospectus of BLW carefully and in its entirety before investing. Copies of the final prospectus for can be obtained from BlackRock at
blackrock.com
.

A D D I T I O N A L I N F O R M A T I O N |  | 141

Additional Information
(continued)
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.
Fund and Service Providers
Investment Adviser
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Adviser
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
BlackRock (Singapore) Limited
(a)
079912 Singapore
Accounting Agent and Custodian
State Street Bank and Trust Company
Boston, MA 02111

(a) | For BLW.

Transfer Agent
Computershare Trust Company, N.A.
Canton, MA 02021
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02116
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Funds
100 Bellevue Parkway
Wilmington, DE 19809

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Glossary of Terms Used in this Report

Currency Abbreviation
EUR |  | Euro
GBP |  | British Pound
USD |  | United States Dollar

Portfolio Abbreviation
ABS |  | Asset-Backed Security
CDI |  | CREST Depository Interest
CLO |  | Collateralized Loan Obligation
CMT |  | Constant Maturity Treasury
DAC |  | Designated Activity Company
DIP |  | Debtor-In-Possession
ETF |  | Exchange-Traded Fund
EURIBOR |  | Euro Interbank Offered Rate
FEDL |  | Fed Funds Effective Rate
IO |  | Interest Only
LIBOR |  | London Interbank Offered Rate
PCL |  | Public Company Limited
PIK |  | Payment-in-Kind
PO |  | Principal Only
REIT |  | Real Estate Investment Trust
REMIC |  | Real Estate Mortgage Investment Conduit
SAB |  | Special Assessment Bonds
SCA |  | Societe en Commandite par Actions
SOFR |  | Secured Overnight Financing Rate
SONIA |  | Sterling Overnight Interbank Average Rate
TBA |  | To-Be-Announced

G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |  | 143

Want to know more?
blackrock.com |
800-882-0052
This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.
CEFT-BK3-06/22-SAR

(b) Not Applicable

Item 2 – | Code of Ethics – Not Applicable to this semi-annual report

Item 3 – | Audit Committee Financial Expert – Not Applicable to this semi-annual report

Item 4 – | Principal Accountant Fees and Services – Not Applicable to this semi-annual report

Item 5 – | Audit Committee of Listed Registrants – Not Applicable to this semi-annual report

Item 6 – | Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

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

Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

Item 8 – | Portfolio Managers of Closed-End Management Investment Companies

(a) Not Applicable to this semi-annual report.

(b) As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

Item 9 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable 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 period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable to this semi-annual report

Item 13 – | Exhibits attached hereto

2

(a)(1) Code of Ethics – Not Applicable to this semi-annual report

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

(c) Notices to the registrant’s common shareholders in accordance with the order under Section 6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

(101) Inline Interactive Data File – the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the inline XBRL document.

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

3

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: August 19, 2022

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: August 19, 2022

|  | By: |  | /s/ Trent Walker
|  |  |  | Trent Walker
|  |  |  | Chief Financial Officer (principal financial officer) of
|  |  |  | BlackRock Limited Duration Income Trust

Date: August 19, 2022

4