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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, 50 Hudson Yards, New York, NY 10001
Registrant’s telephone number, including area code: (800) 882‑0052, Option 4
Date of fiscal year end: 12/31/2023
Date of reporting period: 06/30/2023

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

|  | JUNE 30, 2023

|  | 2023 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 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, 2023

|  |  |  | 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 |  | $ | 0.469843 |  |  | $ | — |  |  | $ | — |  |  | $ | 0.022607 |  |  | $ | 0.492450 |  |  |  | 95 | % |  |  | — | % |  |  | — | % |  |  | 5 | % |  |  | 100 | % |  |  |  |
|  | FRA |  |  | 0.609537 |  |  |  | — |  |  |  | — |  |  |  | 0.003083 |  |  |  | 0.612620 |  |  |  | 99 |  |  |  | — |  |  |  | — |  |  |  | 1 |  |  |  | 100 |  |  |  |  |
|  | BKT |  |  | 0.210531 |  |  |  | — |  |  |  | — |  |  |  | 0.318669 |  |  |  | 0.529200 |  |  |  | 40 |  |  |  | — |  |  |  | — |  |  |  | 60 |  |  |  | 100 |  |  |  |  |
|  | BLW |  |  | 0.494695 |  |  |  | — |  |  |  | — |  |  |  | 0.093905 |  |  |  | 0.588600 |  |  |  | 84 |  |  |  | — |  |  |  | — |  |  |  | 16 |  |  |  | 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 has 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:

Fund Name |  | Amount Per Common Share |
DSU |  | $ | 0.091050 |
FRA |  |  | 0.117020 |
BLW |  |  | 0.098100 |

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 a 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 DSU’s and BLW’s prospectus for a more complete description of each 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 $0.088200 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 3 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,
Despite an uncertain economic landscape during the 12-month reporting period ended June 30, 2023, the resilience of the U.S. economy in the face of ever tighter financial conditions provided an encouraging backdrop for investors. Inflation remained elevated as labor costs grew rapidly and unemployment rates reached the lowest levels in decades. However, inflation moderated substantially as the period continued, while ongoing strength in consumer spending backstopped the economy.
Equity returns were strong, as continued job growth eased investors’ concerns about the economy’s durability. The U.S. economy resumed growth in the third quarter of 2022 and continued to expand thereafter. Most major classes of equities advanced significantly, including large- and small-capitalization U.S. stocks and international equities from developed markets. Emerging market equities also gained, although at a substantially slower pace, pressured by high interest rates and falling commodities prices.
The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market also faced inflationary headwinds, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates seven times. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. However, the Fed declined to raise interest rates at its June 2023 meeting, which made it the first meeting without a rate increase since the tightening cycle began in early 2022.
Supply constraints have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population exacerbate these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and most recently opted for a pause, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period to keep inflation under control. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt.
While we favor an overweight to developed market equities in the long term, we prefer an underweight stance in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with macroeconomic constraints. Nevertheless, we are overweight on emerging market stocks in the near-term as growth trends for emerging markets appear brighter. We also believe that stocks with an A.I. tilt should benefit from an investment cycle that is set to support revenues and margins. We are neutral on credit overall amid tightening credit and financial conditions, however there are selective opportunities in the near term. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. inflation-linked bonds, U.S. mortgage-backed securities, and emerging market bonds denominated in local currency.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, 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, 2023 |
|  | 6-Month |  |  | 12-Month |
U.S. large cap equities (S&P 500® Index) |  |  | 16.89% |  |  |  | 19.59% |
U.S. small cap equities (Russell 2000® Index) |  |  | 8.09 |  |  |  | 12.31 |
International equities (MSCI Europe, Australasia, Far East Index) |  |  | 11.67 |  |  |  | 18.77 |
Emerging market equities (MSCI Emerging Markets Index) |  |  | 4.89 |  |  |  | 1.75 |
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |  |  | 2.25 |  |  |  | 3.60 |
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |  |  | 1.70 |  |  |  | (3.97) |
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |  |  | 2.09 |  |  |  | (0.94) |
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |  |  | 2.67 |  |  |  | 3.19 |
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |  |  | 5.38 |  |  |  | 9.07 |
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 borrow money (including through the use of TOB Trusts) or issue debt securities 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.
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. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Funds must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. 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, 2023 |  | 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 senior and subordinated corporate loans, both secured and unsecured, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings (“S&P”) 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. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to seek 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, 2023 ($9.79)(a) |  | 11.16%
Current Monthly Distribution per Common Share(b) |  | $0.091050
Current Annualized Distribution per Common Share(b) |  | $1.092600
Leverage as of June 30, 2023(c) |  | 22%

| (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

|  | 06/30/23 |  |  | 12/31/22 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 9.79 |  |  | $ | 9.20 |  |  |  | 6.41 | % |  | $ | 9.96 |  |  | $ | 9.20 |
Net Asset Value |  |  | 10.72 |  |  |  | 10.44 |  |  |  | 2.68 |  |  |  | 10.81 |  |  |  | 10.44 |

Performance
Returns for the period ended June 30, 2023 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV(a)(b) |  |  | 8.00 | % |  |  | 15.12 | % |  |  | 4.93 | % |  |  | 5.94 | %
Fund at Market Price(a)(b) |  |  | 11.92 |  |  |  | 17.43 |  |  |  | 5.30 |  |  |  | 5.08 |
Reference Benchmark(c) |  |  | 5.94 |  |  |  | 9.94 |  |  |  | 3.77 |  |  |  | 4.27 |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) |  |  | 5.38 |  |  |  | 9.07 |  |  |  | 3.34 |  |  |  | 4.43 |
Morningstar LSTA Leveraged Loan Index(e) |  |  | 6.48 |  |  |  | 10.71 |  |  |  | 4.13 |  |  |  | 4.07 |

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

| (b) | The Fund’s discount to NAV narrowed 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 Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index) (50%). The Reference Benchmark’s index content and weightings may have varied over past periods. |

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

| (e) | Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), 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.

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

Fund Summary as of June 30, 2023 (continued) |  | BlackRock Debt Strategies Fund, Inc. (DSU)

The following discussion relates to the Fund’s absolute performance based on NAV:
What factors influenced performance?
Bank loans and high yield bonds performed well in the first half of 2023, as the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.
The Fund’s allocation to bank loans made the largest contribution to performance, followed by its position in high yield bonds.
From a sector perspective, technology, consumer cyclical services, and healthcare were the three largest contributors. On the other hand, allocations to health insurance, metals & mining, and natural gas detracted.
By credit rating, B, BB and CCC rated securities were additive, while C rated issues were modest 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 weighting in bank loans while modestly adding to high yield bonds and collateralized loan obligations (“CLOs”). The Fund reduced its allocation to B rated securities and added to those rated CCC.
Describe portfolio positioning at period end.
Bank loans remained the largest allocation in the portfolio. The Fund also had weightings of approximately 3% in high yield bonds and 1% allocation in CLOs. The Fund’s largest sector positions were in technology, consumer cyclical services and healthcare. From a credit rating perspective, the Fund’s core positioning remained in BB-rated and B-rated issues, with a higher allocation to the B-rated credit tier. The Fund also had an allocation to CCC rated debt.
The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future results.
Overview of the Fund’s Total Investments
PORTFOLIO COMPOSITION

Asset Type |  | Percentage of Total Investments |
Floating Rate Loan Interests |  |  | 84.4 | %
Corporate Bonds |  |  | 14.0 |
Other* |  | 1.6 |

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b) |  | Percentage of Total Investments |
A |  |  | 0.1 | %
BBB/Baa |  |  | 7.1 |
BB/Ba |  |  | 29.0 |
B |  |  | 54.6 |
CCC/Caa |  |  | 6.7 |
N/R(c) |  |  | 2.5 |

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

(b) | Excludes short-term securities.

(c) | 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, 2023, 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.

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Fund Summary as of June 30, 2023 |  | 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, 2023 ($12.21)(a) |  | 11.50%
Current Monthly Distribution per Common Share(b) |  | $0.117020
Current Annualized Distribution per Common Share(b) |  | $1.404240
Leverage as of June 30, 2023(c) |  | 23%

| (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

|  | 06/30/23 |  |  | 12/31/22 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 12.21 |  |  | $ | 11.26 |  |  |  | 8.44 | % |  | $ | 12.30 |  |  | $ | 11.18 |
Net Asset Value |  |  | 13.14 |  |  |  | 12.81 |  |  |  | 2.58 |  |  |  | 13.24 |  |  |  | 12.80 |

Performance
Returns for the period ended June 30, 2023 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV(a)(b) |  |  | 7.93 | % |  |  | 15.22 | % |  |  | 4.92 | % |  |  | 5.12 | %
Fund at Market Price(a)(b) |  |  | 14.10 |  |  |  | 17.12 |  |  |  | 4.74 |  |  |  | 4.20 |
Morningstar LSTA Leveraged Loan Index(c) |  |  | 6.48 |  |  |  | 10.71 |  |  |  | 4.13 |  |  |  | 4.07 |

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

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

| (c) | Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), 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?
Bank loans performed well in the first half of 2023, as the backdrop of falling inflation and continued economic growth fueled positive returns for the credit-sensitive areas of the fixed-income market.

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

Fund Summary as of June 30, 2023 (continued) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

From a sector perspective, healthcare, consumer cyclical services and leisure were the largest contributors to absolute performance. In terms of credit ties, B, BB and CCC rated issues contributed to returns, while CC and C rated securities detracted.
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 overweight in CCCs given market pricing and security-specific opportunities. It also maintained an overweight in B rated debt, but it was underweight in B2s and B3s since yield spreads did not reflect the fundamental headwinds for these cohorts. BBs remained a slight overweight.
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.
The Fund remained predominately invested in bank loans, with a weighting of over 95% of assets held in the category. The rest of the portfolio was allocated to high yield bonds and cash.
The Fund was overweight in B and CCC rated issues. In the CCC space, it focused on avoiding the lowest-quality and most distressed segments of the market.
The Fund’s sector positioning continued to be largely informed by bottom-up security selection. With that said, top-down considerations have become an increasingly important factor in the current market environment. The investment adviser is particularly cautious on sectors and issuers that have high fixed operating costs, above-average economic sensitivity, limited pricing power, and outsized exposure to wage pressures. The Fund maintained its underweights in the healthcare, transportation services and packaging sectors.
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 |  | Percentage of Total Investments |
Floating Rate Loan Interests |  |  | 96.6 | %
Corporate Bonds |  |  | 1.3 |
Investment Companies |  |  | 1.2 |
Other* |  |  | 0.9 |

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b) |  | Percentage of Total Investments |
BBB/Baa |  |  | 7.0 | %
BB/Ba |  |  | 26.7 |
B |  |  | 56.9 |
CCC/Caa |  |  | 5.9 |
C |  |  | — | (c)
N/R(d) |  |  | 3.5 |

(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.

(d) | 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, 2023, 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.

10 |  | 2 0 2 3 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, 2023 |  | 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 (“S&P”) or Aaa by Moody’s Investors Service, Inc (“Moody’s”). 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, 2023 ($ 12.17)(a) |  | 8.70%
Current Monthly Distribution per Common Share(b) |  | $0.088200
Current Annualized Distribution per Common Share(b) |  | $1.058400
Leverage as of June 30, 2023(c) |  | 31%

| (a) | Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance 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

|  | 06/30/23 |  |  | 12/31/22 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 12.17 |  |  | $ | 12.34 |  |  |  | (1.38 | )% |  | $ | 13.27 |  |  | $ | 12.12 |
Net Asset Value |  |  | 12.74 |  |  |  | 13.10 |  |  |  | (2.75 | ) |  |  | 13.74 |  |  |  | 12.72 |

Performance
Returns for the period ended June 30, 2023 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV(a)(b) |  |  | 1.40 | % |  |  | (4.89 | )% |  |  | (0.80 | )% |  |  | 0.93 | %
Fund at Market Price(a)(b) |  |  | 2.83 |  |  |  | (2.94 | ) |  |  | (0.01 | ) |  |  | 1.26 |
FTSE Mortgage Index(c) |  |  | 1.54 |  |  |  | (1.63 | ) |  |  | (0.01 | ) |  |  | 1.10 |

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

| (b) | The Fund’s discount to NAV narrowed 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?
Performance of the Fund benefited over the period from a substantial allocation to agency mortgage-backed security (“MBS”) derivatives, most notably interest-only positions which have provided a strong source of income. The Fund’s overweight to middle coupons within agency MBS also proved additive.
The Fund’s significant allocation to agency collateralized mortgage obligations (“CMOs”) detracted from performance, as spreads widened for these instruments in the wake of bank failures in March 2023. The negative impact was partially offset by the income generated by this position.
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. The distribution policy resulted in return of capital for the period. Refer to the financial highlights in this report for further information about the distributions.

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

Fund Summary as of June 30, 2023 (continued) |  | BlackRock Income Trust, Inc. (BKT)

Describe recent portfolio activity.
The Fund held a substantial allocation to agency MBS derivatives and agency CMOs during the reporting period as high quality sources of income. Exposure to agency MBS interest-only instruments was increased based on attractive valuations. The Fund has also continued to hold a substantial allocation to agency MBS pass-throughs, with a focus on specified pool collateral types that offer protection against both extension and call risks under different interest rate scenarios. The Fund also executed a significant rotation into higher coupons within its MBS position to boost income.
The Fund held derivatives during the period as a part of its investment strategy and can sometimes have notional derivative exposure greater than 20%. Derivatives are used by the investment adviser as a means to hedge and/or take outright views on interest rates and/or credit risk positions in the portfolio. Specifically, the portfolio used Treasury futures to express duration bias and curve bias. The Fund also tactically allocated to mortgage derivatives to gain market exposure to specific collateral stories when relative value opportunities present themselves.
Describe portfolio positioning at period end.
At the end of the period, the Fund held a modest allocation to AAA-rated, floating-rate non-agency commercial mortgage-backed securities (“CMBS”) to enhance income. This allocation is focused on single-asset, single-borrower CMBS, which enables the Fund to be more discerning with respect to the underlying collateral. The Fund continues to hold a substantial allocation to agency CMOs and Agency MBS pass-throughs, with a focus on middle coupons.
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) |  | Percentage of Total Investments |
U.S. Government Sponsored Agency Securities |  |  | 89.4 | %
Non-Agency Mortgage-Backed Securities |  |  | 10.6 |
Asset-Backed Securities |  |  | — | (b)

CREDIT QUALITY ALLOCATION

Credit Rating(a)(c) |  | Percentage of Total Investments |
AAA/Aaa(d) |  |  | 22.4 | %
AA/Aa |  |  | 77.2 |
CCC/Caa |  |  | — | (b)
N/R |  |  | 0.4 |

(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 3 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, 2023 |  | 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, 2023 ($12.88)(a) |  | 9.14%
Current Monthly Distribution per Common Share(b) |  | $0.098100
Current Annualized Distribution per Common Share(b) |  | $1.177200
Leverage as of June 30, 2023(c) |  | 33%

| (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

|  | 06/30/23 |  |  | 12/31/22 |  |  | Change |  |  | High |  |  | Low |
Closing Market Price |  | $ | 12.88 |  |  | $ | 13.07 |  |  |  | (1.45 | )% |  | $ | 14.10 |  |  | $ | 12.46 |
Net Asset Value |  |  | 13.64 |  |  |  | 13.51 |  |  |  | 0.96 |  |  |  | 14.26 |  |  |  | 13.36 |

Performance
Returns for the period ended June 30, 2023 were as follows:

|  |  |  |  | Average Annual Total Returns |
|  | 6-month |  |  | 1 Year |  |  | 5 Years |  |  | 10 Years |
Fund at NAV(a)(b) |  |  | 5.54 | % |  |  | 10.54 | % |  |  | 3.75 | % |  |  | 5.32 | %
Fund at Market Price(a)(b) |  |  | 3.01 |  |  |  | 11.32 |  |  |  | 4.84 |  |  |  | 4.63 |
Reference Benchmark(c) |  |  | 4.43 |  |  |  | 6.81 |  |  |  | 3.04 |  |  |  | 3.37 |
Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d) |  |  | 5.38 |  |  |  | 9.07 |  |  |  | 3.34 |  |  |  | 4.43 |
Morningstar LSTA Leveraged Loan Index(e) |  |  | 6.48 |  |  |  | 10.71 |  |  |  | 4.13 |  |  |  | 4.07 |
BATS S Benchmark(f) |  |  | 1.44 |  |  |  | 0.72 |  |  |  | 1.44 |  |  |  | 1.48 |

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

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

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

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

| (e) | Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), 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 Yr. Index, Bloomberg MBS 15 Yr Index and Bloomberg Credit Ex-Corporate 1-5 Yr Index. |

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

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

Fund Summary as of June 30, 2023 (continued) |  | BlackRock Limited Duration Income Trust (BLW)

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?
Exposure to a range of credit-oriented sectors including bank loans, high yield corporate bonds, investment grade corporate bonds and emerging market bonds led contributions to the Fund’s performance. Holdings of securitized assets that trade at a yield spread relative to U.S. Treasuries including mortgage-backed securities (“MBS”), asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”) also proved additive.
The Fund utilized 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 detracted from performance during the period.
Describe recent portfolio activity.
Over the reporting period, the Fund reduced exposure to riskier assets such as high yield corporate and emerging market bonds in anticipation of a potential economic slowdown. The increased focus on quality was also reflected in increased allocations to investment grade corporate bonds and agency MBS. As interest rate volatility declined late in the reporting period, MBS became more attractive. The Fund continued to favor agency MBS as a high-quality source of income as well as due to more attractive valuations driven by the spike in interest rate volatility in March 2023 and MBS selling by regional banks. The Fund remained cautious on credit risk but opportunistically added senior debt from larger, well-capitalized banks.
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 portfolio positioning at period end.
At period end, the Fund maintained diversified exposure to non-government spread sectors including high yield and investment grade corporate bonds, bank loans, CMBS, ABS, agency and non-agency residential MBS, emerging market debt and foreign sovereign debt. The Fund was positioned with an overweight to duration and corresponding interest rate sensitivity versus the benchmark on the belief that with inflation moderating the Fed is poised to pause its tightening of monetary policy.
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 |  | Percentage of Total Investments |
Corporate Bonds |  |  | 47.4 | %
Floating Rate Loan Interests |  |  | 37.8 |
Asset-Backed Securities |  |  | 4.5 |
U.S. Government Sponsored Agency Securities |  |  | 3.7 |
Preferred Securities |  |  | 3.3 |
Non-Agency Mortgage-Backed Securities |  |  | 2.1 |
Other* |  |  | 1.2 |

CREDIT QUALITY ALLOCATION

Credit Rating(a)(b) |  | Percentage of Total Investments |
AAA/Aaa(c) |  |  | 5.6 | %
AA/Aa |  |  | 0.6 |
A |  |  | 1.5 |
BBB/Baa |  |  | 11.9 |
BB/Ba |  |  | 31.6 |
B |  |  | 39.7 |
CCC/Caa |  |  | 5.9 |
CC |  |  | 0.4 |
C |  |  | — | (d)
N/R(e) |  |  | 2.8 |

(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.

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

(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, 2023, 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 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities |
Golub Capital Partners CLO 66B Ltd., Series 2023-66, Class D, (3-mo. CME Term SOFR + 5.50%), 10.48%, 04/25/36(a)(b) |  | USD |  |  | 1,000 |  |  | $ | 998,106 |
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.51%, 04/20/36(a)(b) |  |  |  |  | 1,000 |  |  |  | 1,000,956 |
Symphony CLO 38 Ltd., Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.02%, 04/24/36(a)(b) |  |  |  |  | 1,000 |  |  |  | 983,157 |
Unique Pub Finance Co. PLC(c) |  |  |  |  |  |  |  |  |  |
Series A4, 5.66%, 06/30/27 |  | GBP |  |  | 32 |  |  |  | 40,449 |
Series N, 6.46%, 03/30/32 |  |  |  |  | 100 |  |  |  | 121,685 |
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 9.93%, 04/20/36(a)(b) |  | USD |  |  | 1,000 |  |  |  | 1,000,292 |
Total Asset-Backed Securities — 0.8% (Cost: $4,189,153) |  |  |  |  |  |  | 4,144,645 |
|  |  |  | Shares |  |  |  |
Common Stocks |
Construction & Engineering — 0.0% |  |  |  |  |  |  |  |
McDermott International Ltd.(d) |  |  |  |  | 141,483 |  |  |  | 25,467 |
Electrical Equipment — 0.0% |  |  |  |  |  |  |  |
SunPower Corp.(d) |  |  |  |  | 1,707 |  |  |  | 16,728 |
Energy Equipment & Services — 0.0% |  |  |  |  |  |  |  |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(e)(f) |  |  |  |  | 7,288 |  |  |  | — |
Financial Services — 0.1% |  |  |  |  |  |  |  |
NMG Parent LLC |  |  |  |  | 1,477 |  |  |  | 182,163 |
Industrial Conglomerates — 0.0% |  |  |  |  |  |  |  |
Ameriforge Group, Inc. |  |  |  |  | 1,664 |  |  |  | 17 |
Oil, Gas & Consumable Fuels — 0.0% |  |  |  |  |  |  |  |
Kcad Holdings I Ltd.(e) |  |  |  |  | 1,075,282,733 |  |  |  | 10,752 |
Semiconductors & Semiconductor Equipment — 0.0% |  |  |  |
Maxeon Solar Technologies Ltd.(d) |  |  |  |  | 213 |  |  |  | 5,998 |
Total Common Stocks — 0.1% (Cost: $13,610,630) |  |  |  |  |  |  | 241,125 |
|  |  |  | Par (000) |  |  |  |
Corporate Bonds |
Aerospace & Defense — 0.6% |  |  |  |  |  |  |  |
Bombardier, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 03/15/25 |  | USD |  |  | 5 |  |  |  | 5,009 |
7.13%, 06/15/26 |  |  |  |  | 380 |  |  |  | 377,440 |
7.88%, 04/15/27 |  |  |  |  | 130 |  |  |  | 129,665 |
6.00%, 02/15/28 |  |  |  |  | 206 |  |  |  | 194,691 |
7.50%, 02/01/29 |  |  |  |  | 119 |  |  |  | 117,613 |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b) |  |  |  |  | 200 |  |  |  | 181,000 |
Rolls-Royce PLC, 5.75%, 10/15/27(b) |  |  |  |  | 200 |  |  |  | 195,551 |

Security |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |  |  |  |  |  |  |  |
Spirit AeroSystems, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  | USD |  |  | 10 |  |  | $ | 9,881 |
9.38%, 11/30/29 |  |  |  |  | 161 |  |  |  | 172,362 |
TransDigm, Inc. |  |  |  |  |  |  |  |  |  |
6.25%, 03/15/26(b) |  |  |  |  | 929 |  |  |  | 924,460 |
6.38%, 06/15/26 |  |  |  |  | 15 |  |  |  | 14,805 |
7.50%, 03/15/27 |  |  |  |  | 33 |  |  |  | 33,047 |
6.75%, 08/15/28(b) |  |  |  |  | 603 |  |  |  | 605,285 |
Triumph Group, Inc., 9.00%, 03/15/28(b) |  |  |  |  | 221 |  |  |  | 225,650 |
|  |  |  |  |  |  |  |  | 3,186,459 |
Air Freight & Logistics — 0.0% |  |  |  |  |  |  |  |
XPO, Inc., 6.25%, 06/01/28(b) |  |  |  |  | 36 |  |  |  | 35,396 |
Automobile Components — 0.4% |  |  |  |  |  |  |  |
Clarios Global LP, 6.75%, 05/15/25(b) |  |  |  |  | 618 |  |  |  | 618,378 |
Clarios Global LP/Clarios U.S. Finance Co. |  |  |  |  |  |  |  |  |  |
6.25%, 05/15/26(b) |  |  |  |  | 271 |  |  |  | 269,255 |
8.50%, 05/15/27(b) |  |  |  |  | 613 |  |  |  | 614,003 |
6.75%, 05/15/28 |  |  |  |  | 200 |  |  |  | 199,301 |
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(c) |  | EUR |  |  | 100 |  |  |  | 112,557 |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b) |  | USD |  |  | 12 |  |  |  | 10,932 |
Forvia, 3.75%, 06/15/28(c) |  | EUR |  |  | 100 |  |  |  | 98,794 |
Goodyear Tire & Rubber Co. |  |  |  |  |  |  |  |  |  |
9.50%, 05/31/25 |  | USD |  |  | 22 |  |  |  | 22,497 |
5.00%, 07/15/29 |  |  |  |  | 26 |  |  |  | 23,445 |
5.63%, 04/30/33 |  |  |  |  | 30 |  |  |  | 26,117 |
Titan International, Inc., 7.00%, 04/30/28 |  |  |  |  | 18 |  |  |  | 16,829 |
ZF Finance GmbH, 5.75%, 08/03/26(c) |  | EUR |  |  | 100 |  |  |  | 109,375 |
|  |  |  |  |  |  |  |  | 2,121,483 |
Automobiles — 0.3% |  |  |  |  |  |  |  |
Asbury Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |
4.50%, 03/01/28 |  | USD |  |  | 35 |  |  |  | 32,088 |
5.00%, 02/15/32(b) |  |  |  |  | 73 |  |  |  | 63,561 |
Ford Motor Co. |  |  |  |  |  |  |  |  |  |
4.35%, 12/08/26 |  |  |  |  | 9 |  |  |  | 8,698 |
3.25%, 02/12/32 |  |  |  |  | 115 |  |  |  | 90,469 |
6.10%, 08/19/32 |  |  |  |  | 180 |  |  |  | 174,448 |
Ford Motor Credit Co. LLC |  |  |  |  |  |  |  |  |  |
3.81%, 01/09/24 |  |  |  |  | 200 |  |  |  | 197,150 |
4.95%, 05/28/27 |  |  |  |  | 255 |  |  |  | 240,538 |
4.87%, 08/03/27 |  | EUR |  |  | 100 |  |  |  | 106,960 |
6.80%, 05/12/28 |  | USD |  |  | 208 |  |  |  | 208,191 |
7.35%, 03/06/30 |  |  |  |  | 200 |  |  |  | 204,248 |
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) |  |  |  |  | 39 |  |  |  | 34,301 |
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) |  |  |  |  | 90 |  |  |  | 77,017 |
Lithia Motors, Inc., 3.88%, 06/01/29(b) |  |  |  |  | 42 |  |  |  | 36,492 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) |  |  |  |  | 59 |  |  |  | 46,847 |
NM Holdings Co. LLC(d)(e)(g) |  |  |  |  |  |  |  |  |  |
12.00%, 06/01/09 |  |  |  |  | 5,150 |  |  |  | — |
Series B, 9.50%, 07/01/05 |  |  |  |  | 5,125 |  |  |  | 1 |
RCI Banque SA, (5-year EUR Swap + 2.85%), 2.63%, 02/18/30(a)(c) |  | EUR |  |  | 100 |  |  |  | 101,272 |
Wabash National Corp., 4.50%, 10/15/28(b) |  | USD |  |  | 70 |  |  |  | 60,698 |
|  |  |  |  |  |  |  |  | 1,682,979 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Banks — 0.1% |  |  |  |  |  |  |  |
Banco BPM SpA, (3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28 |  | EUR |  |  | 150 |  |  | $ | 162,540 |
Banco Espirito Santo SA(d)(g) 2.63%, 05/08/17(c) |  |  |  |  | 100 |  |  |  | 25,098 |
4.75%, 01/15/18(a) |  |  |  |  | 200 |  |  |  | 50,195 |
4.00%, 01/21/19 |  |  |  |  | 100 |  |  |  | 25,097 |
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34 |  | USD |  |  | 105 |  |  |  | 105,915 |
|  |  |  |  |  |  |  |  | 368,845 |
Beverages — 0.4% |  |  |  |  |  |  |  |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h) |  |  |  |  | 200 |  |  |  | 162,029 |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) 6.00%, 06/15/27 |  |  |  |  | 200 |  |  |  | 196,473 |
4.00%, 09/01/29 |  |  |  |  | 285 |  |  |  | 225,718 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 2.13%, 08/15/26(c) |  | EUR |  |  | 100 |  |  |  | 96,855 |
Ball Corp. 6.00%, 06/15/29 |  | USD |  |  | 49 |  |  |  | 48,633 |
3.13%, 09/15/31 |  |  |  |  | 95 |  |  |  | 78,144 |
Mauser Packaging Solutions Holding Co.(b) 7.88%, 08/15/26 |  |  |  |  | 724 |  |  |  | 719,300 |
9.25%, 04/15/27 |  |  |  |  | 22 |  |  |  | 20,306 |
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/27(b) |  |  |  |  | 10 |  |  |  | 9,902 |
Trivium Packaging Finance BV, 8.50%, 08/15/27(b) |  |  |  |  | 247 |  |  |  | 237,766 |
|  |  |  |  |  |  |  |  | 1,795,126 |
Broadline Retail — 0.0% |  |  |  |  |  |  |  |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b) |  |  |  |  | 38 |  |  |  | 35,370 |
Building Materials — 0.3% |  |  |  |  |  |  |  |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) |  |  |  |  | 67 |  |  |  | 63,315 |
Emerald Debt Merger Sub LLC 6.38%, 12/15/30(c) |  | EUR |  |  | 100 |  |  |  | 108,711 |
6.63%, 12/15/30(b) |  | USD |  |  | 647 |  |  |  | 641,339 |
Jeld-Wen, Inc., 4.63%, 12/15/25(b) |  |  |  |  | 41 |  |  |  | 39,719 |
Masonite International Corp.(b) Class C, 5.38%, 02/01/28 |  |  |  |  | 45 |  |  |  | 42,895 |
Class C, 3.50%, 02/15/30 |  |  |  |  | 69 |  |  |  | 57,959 |
New Enterprise Stone & Lime Co., Inc.(b) 5.25%, 07/15/28 |  |  |  |  | 26 |  |  |  | 23,661 |
9.75%, 07/15/28 |  |  |  |  | 38 |  |  |  | 36,658 |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b) |  |  |  |  | 126 |  |  |  | 118,823 |
Standard Industries, Inc. |  |  |  |  |  |  |  |  |  |
2.25%, 11/21/26(c) |  | EUR |  |  | 100 |  |  |  | 96,732 |
5.00%, 02/15/27(b) |  | USD |  |  | 45 |  |  |  | 42,887 |
4.75%, 01/15/28(b) |  |  |  |  | 12 |  |  |  | 11,175 |
4.38%, 07/15/30(b) |  |  |  |  | 182 |  |  |  | 157,630 |
3.38%, 01/15/31(b) |  |  |  |  | 31 |  |  |  | 24,956 |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) |  |  |  |  | 124 |  |  |  | 117,151 |
|  |  |  |  |  |  |  |  | 1,583,611 |
Building Products(b) — 0.3% |  |  |  |  |  |  |  |
Advanced Drainage Systems, Inc. |  |  |  |  |  |  |  |  |  |
5.00%, 09/30/27 |  |  |  |  | 29 |  |  |  | 27,446 |

Security |  |  |  | Par (000) |  |  | Value |
Building Products (continued) |
Advanced Drainage Systems, Inc. (continued) |
6.38%, 06/15/30 |  | USD |  |  | 95 |  |  | $ | 93,981 |
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 |  |  |  |  | 39 |  |  |  | 34,515 |
Foundation Building Materials, Inc., 6.00%, 03/01/29 |  |  |  |  | 24 |  |  |  | 20,040 |
GYP Holdings III Corp., 4.63%, 05/01/29 |  |  |  |  | 109 |  |  |  | 95,920 |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |  |  |  |  | 27 |  |  |  | 25,510 |
SRS Distribution, Inc. |  |  |  |  |  |  |  |  |  |
4.63%, 07/01/28 |  |  |  |  | 207 |  |  |  | 184,804 |
6.13%, 07/01/29 |  |  |  |  | 116 |  |  |  | 100,181 |
6.00%, 12/01/29 |  |  |  |  | 168 |  |  |  | 144,992 |
White Cap Buyer LLC, 6.88%, 10/15/28 |  |  |  |  | 546 |  |  |  | 494,813 |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(h) |  |  |  |  | 75 |  |  |  | 71,845 |
|  |  |  |  |  |  |  |  | 1,294,047 |
Capital Markets — 0.3% |  |  |  |  |  |  |  |
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b. |  |  |  |  | 150 |  |  |  | 153,745 |
Blackstone Private Credit Fund |  |  |  |  |  |  |  |  |  |
7.05%, 09/29/25 |  |  |  |  | 25 |  |  |  | 24,935 |
3.25%, 03/15/27 |  |  |  |  | 24 |  |  |  | 20,739 |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b) |  |  |  |  | 65 |  |  |  | 56,974 |
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32 |  |  |  |  | 160 |  |  |  | 129,186 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |  |  |  |  |  |  |  |
4.75%, 09/15/24 |  |  |  |  | 101 |  |  |  | 96,502 |
6.25%, 05/15/26 |  |  |  |  | 19 |  |  |  | 17,292 |
5.25%, 05/15/27 |  |  |  |  | 110 |  |  |  | 94,864 |
4.38%, 02/01/29 |  |  |  |  | 87 |  |  |  | 68,356 |
Morgan Stanley, (5-year CMT + 2.43%), 5.95%, 01/19/38(a) |  |  |  |  | 30 |  |  |  | 29,611 |
NFP Corp.(b) |  |  |  |  |  |  |  |  |  |
4.88%, 08/15/28 |  |  |  |  | 158 |  |  |  | 141,123 |
6.88%, 08/15/28 |  |  |  |  | 427 |  |  |  | 370,645 |
7.50%, 10/01/30 |  |  |  |  | 34 |  |  |  | 32,919 |
Northern Trust Corp., 6.13%, 11/02/32 |  |  |  |  | 52 |  |  |  | 53,911 |
Owl Rock Capital Corp., 3.40%, 07/15/26 |  |  |  |  | 21 |  |  |  | 18,601 |
Owl Rock Core Income Corp. |  |  |  |  |  |  |  |  |  |
5.50%, 03/21/25 |  |  |  |  | 55 |  |  |  | 52,925 |
3.13%, 09/23/26 |  |  |  |  | 12 |  |  |  | 10,340 |
7.75%, 09/16/27(b) |  |  |  |  | 58 |  |  |  | 57,707 |
|  |  |  |  |  |  |  |  | 1,430,375 |
Chemicals — 0.5% |  |  |  |  |  |  |  |
Ashland LLC, 3.38%, 09/01/31(b) |  |  |  |  | 48 |  |  |  | 38,340 |
Avient Corp., 7.13%, 08/01/30(b) |  |  |  |  | 39 |  |  |  | 39,446 |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b) |  |  |  |  | 150 |  |  |  | 127,688 |
Chemours Co.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 11/15/28 |  |  |  |  | 50 |  |  |  | 45,944 |
4.63%, 11/15/29 |  |  |  |  | 24 |  |  |  | 20,283 |
Element Solutions, Inc., 3.88%, 09/01/28(b) |  |  |  |  | 498 |  |  |  | 434,443 |
HB Fuller Co., 4.25%, 10/15/28 |  |  |  |  | 35 |  |  |  | 31,151 |
Herens Holdco SARL, 4.75%, 05/15/28(b) |  |  |  |  | 200 |  |  |  | 155,000 |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b) |  |  |  |  | 184 |  |  |  | 160,330 |
Ingevity Corp., 3.88%, 11/01/28(b) |  |  |  |  | 23 |  |  |  | 19,637 |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(h) |  |  |  |  | 82 |  |  |  | 54,120 |

16 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) |  | USD |  |  | 42 |  |  | $ | 35,078 |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) |  |  |  |  | 55 |  |  |  | 50,050 |
Olympus Water U.S. Holding Corp., 9.63%, 11/15/28(c) |  | EUR |  |  | 100 |  |  |  | 104,755 |
Scotts Miracle-Gro Co., 4.38%, 02/01/32 |  | USD |  |  | 65 |  |  |  | 51,180 |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b) |  |  |  |  | 154 |  |  |  | 122,373 |
WESCO Distribution, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/25 |  |  |  |  | 49 |  |  |  | 49,516 |
7.25%, 06/15/28 |  |  |  |  | 153 |  |  |  | 156,069 |
WR Grace Holdings LLC(b) |  |  |  |  |  |  |  |  |  |
4.88%, 06/15/27 |  |  |  |  | 55 |  |  |  | 51,009 |
5.63%, 08/15/29 |  |  |  |  | 974 |  |  |  | 797,998 |
7.38%, 03/01/31 |  |  |  |  | 48 |  |  |  | 47,039 |
|  |  |  |  |  |  |  |  | 2,591,449 |
Commercial Services & Supplies(b) — 0.4% |  |  |  |
ADT Security Corp. |  |  |  |  |  |  |  |  |  |
4.13%, 08/01/29 |  |  |  |  | 9 |  |  |  | 7,774 |
4.88%, 07/15/32 |  |  |  |  | 11 |  |  |  | 9,405 |
AMN Healthcare, Inc., 4.00%, 04/15/29 |  |  |  |  | 28 |  |  |  | 24,418 |
APX Group, Inc. |  |  |  |  |  |  |  |  |  |
6.75%, 02/15/27 |  |  |  |  | 64 |  |  |  | 62,719 |
5.75%, 07/15/29 |  |  |  |  | 86 |  |  |  | 74,640 |
Fortress Transportation and Infrastructure Investors LLC |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25 |  |  |  |  | 146 |  |  |  | 143,834 |
9.75%, 08/01/27 |  |  |  |  | 51 |  |  |  | 52,671 |
5.50%, 05/01/28 |  |  |  |  | 215 |  |  |  | 196,726 |
Garda World Security Corp., 9.50%, 11/01/27 |  |  |  |  | 16 |  |  |  | 15,457 |
Herc Holdings, Inc., 5.50%, 07/15/27 |  |  |  |  | 119 |  |  |  | 114,019 |
Hertz Corp., 5.00%, 12/01/29 |  |  |  |  | 76 |  |  |  | 62,824 |
LABL, Inc., 9.50%, 11/01/28 |  |  |  |  | 117 |  |  |  | 119,034 |
Metis Merger Sub LLC, 6.50%, 05/15/29 |  |  |  |  | 39 |  |  |  | 33,642 |
NESCO Holdings II, Inc., 5.50%, 04/15/29 |  |  |  |  | 74 |  |  |  | 66,230 |
Prime Security Services Borrower LLC/Prime Finance, Inc. |  |  |  |  |  |  |  |  |  |
5.75%, 04/15/26 |  |  |  |  | 40 |  |  |  | 39,265 |
6.25%, 01/15/28 |  |  |  |  | 353 |  |  |  | 330,691 |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29 |  |  |  |  | 202 |  |  |  | 157,055 |
United Rentals North America, Inc., 6.00%, 12/15/29 |  |  |  |  | 383 |  |  |  | 382,058 |
Williams Scotsman International, Inc. |  |  |  |  |  |  |  |  |  |
6.13%, 06/15/25 |  |  |  |  | 49 |  |  |  | 48,636 |
4.63%, 08/15/28 |  |  |  |  | 74 |  |  |  | 67,641 |
|  |  |  |  |  |  |  |  | 2,008,739 |
Communications Equipment(b) — 0.1% |  |  |  |
CommScope Technologies LLC, 6.00%, 06/15/25 |  |  |  |  | 153 |  |  |  | 142,607 |
CommScope, Inc. |  |  |  |  |  |  |  |  |  |
8.25%, 03/01/27 |  |  |  |  | 35 |  |  |  | 27,999 |
7.13%, 07/01/28 |  |  |  |  | 58 |  |  |  | 41,180 |
4.75%, 09/01/29 |  |  |  |  | 161 |  |  |  | 126,932 |
Viasat, Inc. |  |  |  |  |  |  |  |  |  |
5.63%, 09/15/25 |  |  |  |  | 132 |  |  |  | 127,907 |
5.63%, 04/15/27 |  |  |  |  | 21 |  |  |  | 19,607 |
Viavi Solutions, Inc., 3.75%, 10/01/29 |  |  |  |  | 81 |  |  |  | 68,826 |
|  |  |  |  |  |  |  |  | 555,058 |
Construction Materials(b) — 0.0% |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 3.88%, 11/15/29 |  |  |  |  | 10 |  |  |  | 8,537 |

Security |  |  |  | Par (000) |  |  | Value |
Construction Materials (continued) |  |  |  |  |  |  |  |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27 |  | USD |  |  | 82 |  |  | $ | 76,260 |
H&E Equipment Services, Inc., 3.88%, 12/15/28 |  |  |  |  | 20 |  |  |  | 17,316 |
Resideo Funding, Inc., 4.00%, 09/01/29 |  |  |  |  | 18 |  |  |  | 14,933 |
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28 |  |  |  |  | 20 |  |  |  | 20,158 |
|  |  |  |  |  |  |  |  | 137,204 |
Consumer Discretionary(b) — 0.6% |  |  |  |  |  |  |  |
APi Group DE, Inc. |  |  |  |  |  |  |  |  |  |
4.13%, 07/15/29 |  |  |  |  | 67 |  |  |  | 57,787 |
4.75%, 10/15/29 |  |  |  |  | 32 |  |  |  | 28,819 |
Carnival Corp. |  |  |  |  |  |  |  |  |  |
10.50%, 02/01/26 |  |  |  |  | 171 |  |  |  | 179,757 |
7.63%, 03/01/26 |  |  |  |  | 49 |  |  |  | 47,991 |
5.75%, 03/01/27 |  |  |  |  | 356 |  |  |  | 327,730 |
9.88%, 08/01/27 |  |  |  |  | 99 |  |  |  | 103,122 |
4.00%, 08/01/28 |  |  |  |  | 91 |  |  |  | 80,673 |
6.00%, 05/01/29 |  |  |  |  | 154 |  |  |  | 137,496 |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28 |  |  |  |  | 488 |  |  |  | 533,740 |
CoreLogic, Inc., 4.50%, 05/01/28 |  |  |  |  | 185 |  |  |  | 149,156 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26 |  |  |  |  | 52 |  |  |  | 46,800 |
Life Time, Inc. |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/26 |  |  |  |  | 101 |  |  |  | 98,428 |
8.00%, 04/15/26 |  |  |  |  | 81 |  |  |  | 79,978 |
Lindblad Expeditions LLC, 6.75%, 02/15/27 |  |  |  |  | 100 |  |  |  | 95,250 |
NCL Corp. Ltd. |  |  |  |  |  |  |  |  |  |
5.88%, 03/15/26 |  |  |  |  | 110 |  |  |  | 102,912 |
8.38%, 02/01/28 |  |  |  |  | 37 |  |  |  | 38,663 |
7.75%, 02/15/29 |  |  |  |  | 14 |  |  |  | 13,297 |
NCL Finance Ltd., 6.13%, 03/15/28 |  |  |  |  | 46 |  |  |  | 41,401 |
Neptune Bidco U.S., Inc., 9.29%, 04/15/29 |  |  |  |  | 88 |  |  |  | 80,785 |
Royal Caribbean Cruises Ltd. |  |  |  |  |  |  |  |  |  |
11.50%, 06/01/25 |  |  |  |  | 70 |  |  |  | 74,270 |
4.25%, 07/01/26 |  |  |  |  | 24 |  |  |  | 22,031 |
5.50%, 08/31/26 |  |  |  |  | 40 |  |  |  | 37,924 |
5.38%, 07/15/27 |  |  |  |  | 43 |  |  |  | 40,207 |
11.63%, 08/15/27 |  |  |  |  | 56 |  |  |  | 60,897 |
5.50%, 04/01/28 |  |  |  |  | 58 |  |  |  | 54,087 |
8.25%, 01/15/29 |  |  |  |  | 62 |  |  |  | 65,100 |
9.25%, 01/15/29 |  |  |  |  | 113 |  |  |  | 120,392 |
7.25%, 01/15/30 |  |  |  |  | 67 |  |  |  | 67,861 |
Viking Cruises Ltd. |  |  |  |  |  |  |  |  |  |
5.88%, 09/15/27 |  |  |  |  | 58 |  |  |  | 53,309 |
9.13%, 07/15/31 |  |  |  |  | 153 |  |  |  | 154,530 |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29 |  |  |  |  | 45 |  |  |  | 41,175 |
|  |  |  |  |  |  |  |  | 3,035,568 |
Consumer Finance — 0.4% |  |  |  |  |  |  |  |
Block, Inc. |  |  |  |  |  |  |  |  |  |
2.75%, 06/01/26 |  |  |  |  | 175 |  |  |  | 159,336 |
3.50%, 06/01/31 |  |  |  |  | 208 |  |  |  | 172,270 |
Capital One Financial Corp.(a) |  |  |  |  |  |  |  |  |  |
(1-day SOFR + 2.64%), 6.31%, 06/08/29 |  |  |  |  | 35 |  |  |  | 34,764 |
(1-day SOFR + 2.86%), 6.38%, 06/08/34 |  |  |  |  | 25 |  |  |  | 24,821 |
Discover Financial Services, 6.70%, 11/29/32 |  |  |  |  | 30 |  |  |  | 30,907 |
Global Payments, Inc. |  |  |  |  |  |  |  |  |  |
3.20%, 08/15/29 |  |  |  |  | 181 |  |  |  | 157,322 |
5.40%, 08/15/32 |  |  |  |  | 28 |  |  |  | 27,284 |
Navient Corp. |  |  |  |  |  |  |  |  |  |
7.25%, 09/25/23 |  |  |  |  | 3 |  |  |  | 3,000 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Consumer Finance (continued) |  |  |  |  |  |  |  |
Navient Corp. (continued) |  |  |  |  |  |  |  |  |  |
5.88%, 10/25/24 |  | USD |  |  | 77 |  |  | $ | 75,673 |
5.50%, 03/15/29 |  |  |  |  | 66 |  |  |  | 56,270 |
9.38%, 07/25/30 |  |  |  |  | 38 |  |  |  | 37,797 |
OneMain Finance Corp. |  |  |  |  |  |  |  |  |  |
6.88%, 03/15/25 |  |  |  |  | 20 |  |  |  | 19,803 |
7.13%, 03/15/26 |  |  |  |  | 7 |  |  |  | 6,877 |
6.63%, 01/15/28 |  |  |  |  | 8 |  |  |  | 7,546 |
5.38%, 11/15/29 |  |  |  |  | 139 |  |  |  | 118,171 |
4.00%, 09/15/30 |  |  |  |  | 76 |  |  |  | 58,520 |
Sabre Global, Inc.(b) |  |  |  |  |  |  |  |  |  |
9.25%, 04/15/25 |  |  |  |  | 10 |  |  |  | 9,326 |
7.38%, 09/01/25 |  |  |  |  | 63 |  |  |  | 55,919 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b) |  |  |  |  | 167 |  |  |  | 156,608 |
SLM Corp., 3.13%, 11/02/26 |  |  |  |  | 56 |  |  |  | 48,440 |
Verscend Escrow Corp., 9.75%, 08/15/26(b) |  |  |  |  | 741 |  |  |  | 743,291 |
|  |  |  |  |  |  |  |  | 2,003,945 |
Consumer Staples Distribution & Retail(b) — 0.2% |  |  |  |
Albertsons Cos., Inc./Safeway, Inc./New |  |  |  |  |  |  |  |  |  |
Albertsons LP/Albertsons LLC |  |  |  |  |  |  |  |  |  |
3.25%, 03/15/26 |  |  |  |  | 12 |  |  |  | 11,083 |
4.63%, 01/15/27 |  |  |  |  | 21 |  |  |  | 19,898 |
5.88%, 02/15/28 |  |  |  |  | 107 |  |  |  | 103,976 |
6.50%, 02/15/28 |  |  |  |  | 38 |  |  |  | 38,063 |
3.50%, 03/15/29 |  |  |  |  | 35 |  |  |  | 30,297 |
4.88%, 02/15/30 |  |  |  |  | 122 |  |  |  | 112,633 |
Darling Ingredients, Inc., 6.00%, 06/15/30 |  |  |  |  | 94 |  |  |  | 91,806 |
Lamb Weston Holdings, Inc. |  |  |  |  |  |  |  |  |  |
4.88%, 05/15/28 |  |  |  |  | 7 |  |  |  | 6,704 |
4.13%, 01/31/30 |  |  |  |  | 113 |  |  |  | 100,990 |
4.38%, 01/31/32 |  |  |  |  | 90 |  |  |  | 80,395 |
Performance Food Group, Inc., 4.25%, 08/01/29 |  |  |  |  | 146 |  |  |  | 129,985 |
Post Holdings, Inc. |  |  |  |  |  |  |  |  |  |
5.50%, 12/15/29 |  |  |  |  | 11 |  |  |  | 10,150 |
4.63%, 04/15/30 |  |  |  |  | 36 |  |  |  | 31,549 |
4.50%, 09/15/31 |  |  |  |  | 24 |  |  |  | 20,497 |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |
6.25%, 04/15/25 |  |  |  |  | 51 |  |  |  | 50,979 |
4.75%, 02/15/29 |  |  |  |  | 73 |  |  |  | 66,835 |
4.63%, 06/01/30 |  |  |  |  | 13 |  |  |  | 11,651 |
United Natural Foods, Inc., 6.75%, 10/15/28 |  |  |  |  | 26 |  |  |  | 21,551 |
|  |  |  |  |  |  |  |  | 939,042 |
Containers & Packaging — 0.1% |  |  |  |  |  |  |  |
Clydesdale Acquisition Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.63%, 04/15/29 |  |  |  |  | 137 |  |  |  | 130,657 |
8.75%, 04/15/30 |  |  |  |  | 178 |  |  |  | 157,125 |
Crown European Holdings SA, 5.00%, 05/15/28 |  | EUR |  |  | 100 |  |  |  | 110,075 |
LABL, Inc., 5.88%, 11/01/28(b) |  | USD |  |  | 68 |  |  |  | 61,845 |
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/31 |  |  |  |  | 59 |  |  |  | 59,737 |
Sealed Air Corp., 4.00%, 12/01/27(b) |  |  |  |  | 61 |  |  |  | 55,677 |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) |  |  |  |  | 44 |  |  |  | 43,676 |
Trident TPI Holdings, Inc., 12.75%, 12/31/28 |  |  |  |  | 27 |  |  |  | 27,999 |
|  |  |  |  |  |  |  |  | 646,791 |

Security |  |  |  | Par (000) |  |  | Value |
Diversified Consumer Services — 0.4% |  |  |  |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/26 |  | USD |  |  | 305 |  |  | $ | 289,428 |
9.75%, 07/15/27 |  |  |  |  | 118 |  |  |  | 104,307 |
6.00%, 06/01/29 |  |  |  |  | 323 |  |  |  | 238,343 |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b) |  |  |  |  | 400 |  |  |  | 337,544 |
Brink’s Co., 5.50%, 07/15/25(b) |  |  |  |  | 15 |  |  |  | 14,822 |
Clarivate Science Holdings Corp.(b) |  |  |  |  |  |  |  |  |  |
3.88%, 07/01/28 |  |  |  |  | 342 |  |  |  | 303,164 |
4.88%, 07/01/29 |  |  |  |  | 153 |  |  |  | 135,727 |
Garda World Security Corp.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 02/15/27 |  |  |  |  | 44 |  |  |  | 40,260 |
7.75%, 02/15/28 |  |  |  |  | 140 |  |  |  | 138,967 |
Macquarie Airfinance Holdings Ltd., 8.38%, 05/01/28 |  |  |  |  | 28 |  |  |  | 28,390 |
Rekeep SpA, 7.25%, 02/01/26(c) |  | EUR |  |  | 100 |  |  |  | 102,004 |
Service Corp. International, 3.38%, 08/15/30 |  | USD |  |  | 144 |  |  |  | 120,427 |
Sotheby’s, 7.38%, 10/15/27(b) |  |  |  |  | 200 |  |  |  | 179,879 |
|  |  |  |  |  |  |  |  | 2,033,262 |
Diversified REITs — 0.2% |  |  |  |  |  |  |  |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) |  |  |  |  | 51 |  |  |  | 42,950 |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b) |  |  |  |  | 35 |  |  |  | 25,676 |
HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26(b) |  |  |  |  | 59 |  |  |  | 52,878 |
Iron Mountain, Inc., 5.63%, 07/15/32(b) |  |  |  |  | 44 |  |  |  | 39,361 |
MPT Operating Partnership LP/MPT Finance Corp. |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  | 178 |  |  |  | 134,561 |
3.50%, 03/15/31 |  |  |  |  | 232 |  |  |  | 159,852 |
RHP Hotel Properties LP/RHP Finance Corp. |  |  |  |  |  |  |  |  |  |
4.75%, 10/15/27 |  |  |  |  | 23 |  |  |  | 21,413 |
7.25%, 07/15/28 |  |  |  |  | 86 |  |  |  | 86,880 |
4.50%, 02/15/29(b) |  |  |  |  | 140 |  |  |  | 123,900 |
RLJ Lodging Trust LP, 4.00%, 09/15/29(b) |  |  |  |  | 74 |  |  |  | 61,974 |
Service Properties Trust, 7.50%, 09/15/25 |  |  |  |  | 25 |  |  |  | 24,550 |
VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29(b) |  |  |  |  | 16 |  |  |  | 14,041 |
|  |  |  |  |  |  |  |  | 788,036 |
Diversified Telecommunication Services — 0.4% |
British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83 |  | GBP |  |  | 100 |  |  |  | 124,672 |
Level 3 Financing, Inc.(b) |  |  |  |  |  |  |  |  |  |
3.40%, 03/01/27 |  | USD |  |  | 235 |  |  |  | 199,398 |
10.50%, 05/15/30 |  |  |  |  | 258 |  |  |  | 261,775 |
Lumen Technologies, Inc., 4.00%, 02/15/27(b) |  |  |  |  | 276 |  |  |  | 205,678 |
SoftBank Group Corp., 3.13%, 09/19/25(c) |  | EUR |  |  | 100 |  |  |  | 102,300 |
Telecom Italia Capital SA |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/33 |  | USD |  |  | 53 |  |  |  | 44,961 |
6.00%, 09/30/34 |  |  |  |  | 132 |  |  |  | 106,452 |
7.20%, 07/18/36 |  |  |  |  | 10 |  |  |  | 8,595 |
7.72%, 06/04/38 |  |  |  |  | 19 |  |  |  | 16,800 |

18 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |  |  |  |
Zayo Group Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  | USD |  |  | 890 |  |  | $ | 628,566 |
6.13%, 03/01/28 |  |  |  |  | 372 |  |  |  | 232,451 |
|  |  |  |  |  |  |  |  | 1,931,648 |
Electric Utilities — 0.1% |  |  |  |  |  |  |  |
Edison International, Series A, (5-year CMT + 4.70%), 5.38%(a)(i) |  |  |  |  | 100 |  |  |  | 87,390 |
FirstEnergy Transmission LLC(b) |  |  |  |  |  |  |  |  |  |
5.45%, 07/15/44 |  |  |  |  | 115 |  |  |  | 106,341 |
4.55%, 04/01/49 |  |  |  |  | 21 |  |  |  | 17,519 |
Pacific Gas and Electric Co. |  |  |  |  |  |  |  |  |  |
6.10%, 01/15/29 |  |  |  |  | 65 |  |  |  | 63,954 |
6.40%, 06/15/33 |  |  |  |  | 90 |  |  |  | 89,507 |
6.75%, 01/15/53 |  |  |  |  | 45 |  |  |  | 44,410 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b) |  |  |  |  | 32 |  |  |  | 29,227 |
Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(d)(e)(g) |  |  |  |  | 2,375 |  |  |  | — |
Vistra Operations Co. LLC(b) |  |  |  |  |  |  |  |  |  |
5.50%, 09/01/26 |  |  |  |  | 5 |  |  |  | 4,811 |
5.63%, 02/15/27 |  |  |  |  | 41 |  |  |  | 39,298 |
5.00%, 07/31/27 |  |  |  |  | 5 |  |  |  | 4,680 |
|  |  |  |  |  |  |  |  | 487,137 |
Electrical Equipment(b) — 0.1% |  |  |  |  |  |  |  |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26 |  |  |  |  | 263 |  |  |  | 258,793 |
GrafTech Finance, Inc., 4.63%, 12/15/28 |  |  |  |  | 33 |  |  |  | 26,813 |
Regal Rexnord Corp. |  |  |  |  |  |  |  |  |  |
6.05%, 02/15/26 |  |  |  |  | 30 |  |  |  | 30,038 |
6.05%, 04/15/28 |  |  |  |  | 184 |  |  |  | 182,658 |
6.30%, 02/15/30 |  |  |  |  | 70 |  |  |  | 69,793 |
6.40%, 04/15/33 |  |  |  |  | 70 |  |  |  | 69,941 |
|  |  |  |  |  |  |  |  | 638,036 |
Electronic Equipment, Instruments & Components — 0.2% |
BWX Technologies, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.13%, 06/30/28 |  |  |  |  | 86 |  |  |  | 78,462 |
4.13%, 04/15/29 |  |  |  |  | 57 |  |  |  | 51,443 |
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 |  |  |  |  | 32 |  |  |  | 27,419 |
Imola Merger Corp., 4.75%, 05/15/29(b) |  |  |  |  | 186 |  |  |  | 161,765 |
Vertiv Group Corp., 4.13%, 11/15/28(b) |  |  |  |  | 980 |  |  |  | 882,954 |
|  |  |  |  |  |  |  |  | 1,202,043 |
Energy Equipment & Services — 0.2% |  |  |  |  |  |
Archrock Partners LP/Archrock Partners Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 |  |  |  |  | 225 |  |  |  | 216,000 |
6.25%, 04/01/28 |  |  |  |  | 37 |  |  |  | 34,738 |
Enerflex Ltd., 9.00%, 10/15/27(b) |  |  |  |  | 83 |  |  |  | 80,756 |
Noble Finance II LLC, 8.00%, 04/15/30 |  |  |  |  | 85 |  |  |  | 86,418 |
USA Compression Partners LP/USA Compression Finance Corp. |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/26 |  |  |  |  | 111 |  |  |  | 108,735 |
6.88%, 09/01/27 |  |  |  |  | 183 |  |  |  | 174,746 |
Valaris Ltd., 8.38%, 04/30/30 |  |  |  |  | 136 |  |  |  | 136,457 |
Vallourec SA, 8.50%, 06/30/26(c) |  | EUR |  |  | 9 |  |  |  | 9,811 |
Weatherford International Ltd.(b) |  |  |  |  |  |  |  |  |  |
6.50%, 09/15/28 |  | USD |  |  | 57 |  |  |  | 57,245 |
8.63%, 04/30/30 |  |  |  |  | 61 |  |  |  | 61,930 |
|  |  |  |  |  |  |  |  | 966,836 |

Security |  |  |  | Par (000) |  |  | Value |
Environmental, Maintenance & Security Service — 0.2% |  |  |  |
Clean Harbors, Inc., 6.38%, 02/01/31(b) |  | USD |  |  | 30 |  |  | $ | 30,188 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |
4.88%, 12/01/29(b) |  |  |  |  | 43 |  |  |  | 37,195 |
5.00%, 09/01/30 |  |  |  |  | 21 |  |  |  | 17,811 |
GFL Environmental, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.25%, 06/01/25 |  |  |  |  | 4 |  |  |  | 3,860 |
3.75%, 08/01/25 |  |  |  |  | 45 |  |  |  | 42,812 |
5.13%, 12/15/26 |  |  |  |  | 113 |  |  |  | 109,021 |
4.00%, 08/01/28 |  |  |  |  | 8 |  |  |  | 7,152 |
3.50%, 09/01/28 |  |  |  |  | 53 |  |  |  | 47,169 |
4.75%, 06/15/29 |  |  |  |  | 199 |  |  |  | 181,809 |
4.38%, 08/15/29 |  |  |  |  | 44 |  |  |  | 39,175 |
Stericycle, Inc., 3.88%, 01/15/29(b) |  |  |  |  | 49 |  |  |  | 43,507 |
Tervita Corp., 11.00%, 12/01/25(b) |  |  |  |  | 25 |  |  |  | 26,521 |
Waste Pro USA, Inc., 5.50%, 02/15/26(b) |  |  |  |  | 189 |  |  |  | 175,203 |
|  |  |  |  |  |  |  |  | 761,423 |
Financial Services — 0.3% |  |  |  |  |  |  |  |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b) |  |  |  |  | 200 |  |  |  | 154,797 |
Bank of America Corp., (1-day SOFR + 1.99%), 6.20%, 11/10/28(a) |  |  |  |  | 113 |  |  |  | 116,147 |
Citigroup, Inc., Series Y, (5-year CMT + 3.00%), 4.15%(a)(i) |  |  |  |  | 10 |  |  |  | 8,045 |
Enact Holdings, Inc., 6.50%, 08/15/25(b) |  |  |  |  | 129 |  |  |  | 126,720 |
GGAM Finance Ltd.(b) |  |  |  |  |  |  |  |  |  |
7.75%, 05/15/26 |  |  |  |  | 11 |  |  |  | 11,041 |
8.00%, 06/15/28 |  |  |  |  | 11 |  |  |  | 11,006 |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(h) |  |  |  |  | 26 |  |  |  | 23,320 |
Home Point Capital, Inc., 5.00%, 02/01/26(b) |  |  |  |  | 199 |  |  |  | 178,420 |
Intrum AB, 4.88%, 08/15/25(c) |  | EUR |  |  | 100 |  |  |  | 90,098 |
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) |  | USD |  |  | 200 |  |  |  | 163,963 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 10/01/25 |  |  |  |  | 12 |  |  |  | 11,332 |
4.75%, 06/15/29 |  |  |  |  | 22 |  |  |  | 17,905 |
MGIC Investment Corp., 5.25%, 08/15/28 |  |  |  |  | 47 |  |  |  | 44,333 |
Nationstar Mortgage Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  |  |  |  | 54 |  |  |  | 50,235 |
5.75%, 11/15/31 |  |  |  |  | 70 |  |  |  | 57,501 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b) |  |  |  |  | 184 |  |  |  | 162,840 |
Spectrum Brands, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/29 |  |  |  |  | 8 |  |  |  | 7,141 |
5.50%, 07/15/30 |  |  |  |  | 50 |  |  |  | 45,625 |
|  |  |  |  |  |  |  |  | 1,280,469 |
Food Products — 0.2% |  |  |  |  |  |  |  |
Aramark International Finance SARL, 3.13%, 04/01/25(c) |  | EUR |  |  | 100 |  |  |  | 104,630 |
Aramark Services, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 04/01/25 |  | USD |  |  | 15 |  |  |  | 14,780 |
6.38%, 05/01/25 |  |  |  |  | 69 |  |  |  | 68,936 |
5.00%, 02/01/28 |  |  |  |  | 124 |  |  |  | 116,875 |
Chobani LLC/Chobani Finance Corp., Inc.(b) 7.50%, 04/15/25 |  |  |  |  | 326 |  |  |  | 324,374 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Food Products (continued) |  |  |  |  |  |  |  |
Chobani LLC/Chobani Finance Corp., Inc.(b) (continued) |  |  |  |  |  |  |  |  |  |
4.63%, 11/15/28 |  | USD |  |  | 264 |  |  | $ | 240,240 |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) |  |  |  |  | 60 |  |  |  | 48,073 |
|  |  |  |  |  |  |  |  | 917,908 |
Gas Utilities — 0.0% |  |  |  |
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28 |  |  |  |  | 67 |  |  |  | 67,335 |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(b) |  |  |  |  | 29 |  |  |  | 24,277 |
|  |  |  |  |  |  |  |  | 91,612 |
Health Care Equipment & Supplies(b) — 0.0% |  |  |  |
Avantor Funding, Inc. |  |  |  |  |  |  |  |  |  |
4.63%, 07/15/28 |  |  |  |  | 114 |  |  |  | 105,669 |
3.88%, 11/01/29 |  |  |  |  | 61 |  |  |  | 53,407 |
Embecta Corp., 6.75%, 02/15/30 |  |  |  |  | 24 |  |  |  | 21,508 |
Garden Spinco Corp., 8.63%, 07/20/30 |  |  |  |  | 64 |  |  |  | 68,784 |
|  |  |  |  |  |  |  |  | 249,368 |
Health Care Providers & Services — 0.6% |  |  |  |  |  |
Acadia Healthcare Co., Inc., 5.00%, 04/15/29(b) |  |  |  |  | 64 |  |  |  | 59,014 |
AdaptHealth LLC(b) |  |  |  |  |  |  |  |  |  |
6.13%, 08/01/28 |  |  |  |  | 24 |  |  |  | 20,789 |
5.13%, 03/01/30 |  |  |  |  | 9 |  |  |  | 7,290 |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) |  |  |  |  | 105 |  |  |  | 90,534 |
Cano Health LLC, 6.25%, 10/01/28(b) |  |  |  |  | 25 |  |  |  | 15,625 |
Centene Corp. |  |  |  |  |  |  |  |  |  |
2.45%, 07/15/28 |  |  |  |  | 57 |  |  |  | 48,721 |
3.00%, 10/15/30 |  |  |  |  | 160 |  |  |  | 133,328 |
2.50%, 03/01/31 |  |  |  |  | 68 |  |  |  | 54,228 |
2.63%, 08/01/31 |  |  |  |  | 2 |  |  |  | 1,594 |
CHS/Community Health Systems, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/29 |  |  |  |  | 164 |  |  |  | 137,965 |
5.25%, 05/15/30 |  |  |  |  | 162 |  |  |  | 127,612 |
4.75%, 02/15/31 |  |  |  |  | 41 |  |  |  | 30,987 |
Encompass Health Corp. |  |  |  |  |  |  |  |  |  |
4.50%, 02/01/28 |  |  |  |  | 5 |  |  |  | 4,652 |
4.75%, 02/01/30 |  |  |  |  | 137 |  |  |  | 124,739 |
4.63%, 04/01/31 |  |  |  |  | 81 |  |  |  | 71,803 |
HealthEquity, Inc., 4.50%, 10/01/29(b) |  |  |  |  | 171 |  |  |  | 150,708 |
Legacy LifePoint Health LLC(b) |  |  |  |  |  |  |  |  |  |
6.75%, 04/15/25 |  |  |  |  | 163 |  |  |  | 151,398 |
4.38%, 02/15/27 |  |  |  |  | 47 |  |  |  | 36,367 |
Medline Borrower LP(b) |  |  |  |  |  |  |  |  |  |
3.88%, 04/01/29 |  |  |  |  | 116 |  |  |  | 100,811 |
5.25%, 10/01/29 |  |  |  |  | 712 |  |  |  | 617,802 |
ModivCare, Inc., 5.88%, 11/15/25(b) |  |  |  |  | 81 |  |  |  | 75,017 |
Molina Healthcare, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.38%, 06/15/28 |  |  |  |  | 24 |  |  |  | 22,124 |
3.88%, 11/15/30 |  |  |  |  | 39 |  |  |  | 33,507 |
3.88%, 05/15/32 |  |  |  |  | 53 |  |  |  | 44,433 |
Surgery Center Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.75%, 07/01/25 |  |  |  |  | 73 |  |  |  | 72,740 |
10.00%, 04/15/27 |  |  |  |  | 111 |  |  |  | 113,498 |
Teleflex, Inc. |  |  |  |  |  |  |  |  |  |
4.63%, 11/15/27 |  |  |  |  | 6 |  |  |  | 5,655 |
4.25%, 06/01/28(b) |  |  |  |  | 31 |  |  |  | 28,326 |

Security |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |  |  |  |
Tenet Healthcare Corp. |  |  |  |  |  |  |  |  |  |
4.88%, 01/01/26 |  | USD |  |  | 244 |  |  | $ | 237,653 |
6.25%, 02/01/27 |  |  |  |  | 89 |  |  |  | 88,089 |
5.13%, 11/01/27 |  |  |  |  | 8 |  |  |  | 7,637 |
6.13%, 10/01/28 |  |  |  |  | 55 |  |  |  | 52,949 |
6.13%, 06/15/30 |  |  |  |  | 59 |  |  |  | 58,156 |
6.75%, 05/15/31 |  |  |  |  | 376 |  |  |  | 376,916 |
|  |  |  |  |  |  |  |  | 3,202,667 |
Health Care Technology(b) — 0.1% |  |  |  |  |  |  |  |
AthenaHealth Group, Inc., 6.50%, 02/15/30 |  |  |  |  | 464 |  |  |  | 390,521 |
Catalent Pharma Solutions, Inc. |  |  |  |  |  |  |  |  |  |
5.00%, 07/15/27 |  |  |  |  | 85 |  |  |  | 77,978 |
3.13%, 02/15/29 |  |  |  |  | 4 |  |  |  | 3,252 |
3.50%, 04/01/30 |  |  |  |  | 49 |  |  |  | 39,690 |
Charles River Laboratories International, Inc. |  |  |  |  |  |  |  |  |  |
4.25%, 05/01/28 |  |  |  |  | 46 |  |  |  | 42,116 |
4.00%, 03/15/31 |  |  |  |  | 11 |  |  |  | 9,554 |
Fortrea Holdings, Inc., 7.50%, 07/01/30 |  |  |  |  | 50 |  |  |  | 51,199 |
|  |  |  |  |  |  |  |  | 614,310 |
Hotels, Restaurants & Leisure — 1.0% |  |  |  |  |  |  |  |
Boyd Gaming Corp. |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/27 |  |  |  |  | 46 |  |  |  | 43,584 |
4.75%, 06/15/31(b) |  |  |  |  | 39 |  |  |  | 34,841 |
Boyne USA, Inc., 4.75%, 05/15/29(b) |  |  |  |  | 109 |  |  |  | 98,226 |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |
3.88%, 01/15/28 |  |  |  |  | 41 |  |  |  | 37,481 |
4.38%, 01/15/28 |  |  |  |  | 77 |  |  |  | 71,084 |
4.00%, 10/15/30 |  |  |  |  | 35 |  |  |  | 29,954 |
Caesars Entertainment, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.25%, 07/01/25 |  |  |  |  | 366 |  |  |  | 364,305 |
8.13%, 07/01/27 |  |  |  |  | 304 |  |  |  | 311,135 |
4.63%, 10/15/29 |  |  |  |  | 438 |  |  |  | 382,466 |
7.00%, 02/15/30 |  |  |  |  | 395 |  |  |  | 396,675 |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b) |  |  |  |  | 45 |  |  |  | 45,532 |
CCM Merger, Inc., 6.38%, 05/01/26(b) |  |  |  |  | 26 |  |  |  | 25,220 |
CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b) |  |  |  |  | 183 |  |  |  | 170,340 |
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op |  |  |  |  |  |  |  |  |  |
5.50%, 05/01/25(b) |  |  |  |  | 89 |  |  |  | 88,329 |
6.50%, 10/01/28 |  |  |  |  | 19 |  |  |  | 18,529 |
Churchill Downs, Inc. |  |  |  |  |  |  |  |  |  |
5.50%, 04/01/27(b) |  |  |  |  | 155 |  |  |  | 149,022 |
4.75%, 01/15/28(b) |  |  |  |  | 73 |  |  |  | 67,700 |
6.75%, 05/01/31 |  |  |  |  | 105 |  |  |  | 103,819 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 01/15/29 |  |  |  |  | 113 |  |  |  | 99,158 |
6.75%, 01/15/30 |  |  |  |  | 570 |  |  |  | 485,091 |
Hilton Domestic Operating Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 05/01/28 |  |  |  |  | 103 |  |  |  | 101,426 |
3.75%, 05/01/29 |  |  |  |  | 46 |  |  |  | 40,830 |
4.00%, 05/01/31 |  |  |  |  | 94 |  |  |  | 81,637 |
3.63%, 02/15/32 |  |  |  |  | 40 |  |  |  | 33,349 |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28 |  |  |  |  | 62 |  |  |  | 62,907 |
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.13%), 7.59%, 06/01/28(a)(c) |  | EUR |  |  | 100 |  |  |  | 109,529 |

20 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |  |  |  |
Melco Resorts Finance Ltd., 5.38%, 12/04/29(b) |  | USD |  |  | 200 |  |  | $ | 164,750 |
MGM Resorts International, 5.75%, 06/15/25 |  |  |  |  | 73 |  |  |  | 72,346 |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) |  |  |  |  | 71 |  |  |  | 62,696 |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 09/01/29 |  |  |  |  | 34 |  |  |  | 25,753 |
5.88%, 09/01/31 |  |  |  |  | 37 |  |  |  | 27,297 |
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b) |  |  |  |  | 57 |  |  |  | 53,723 |
Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.63%, 03/01/30(b) |  |  |  |  | 18 |  |  |  | 15,840 |
Scientific Games International, Inc., 8.63%, 07/01/25(b) |  |  |  |  | 65 |  |  |  | 66,381 |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b) |  |  |  |  | 98 |  |  |  | 95,447 |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b) |  |  |  |  | 96 |  |  |  | 96,480 |
Station Casinos LLC(b) |  |  |  |  |  |  |  |  |  |
4.50%, 02/15/28 |  |  |  |  | 69 |  |  |  | 61,932 |
4.63%, 12/01/31 |  |  |  |  | 35 |  |  |  | 29,488 |
Vail Resorts, Inc., 6.25%, 05/15/25(b) |  |  |  |  | 89 |  |  |  | 89,106 |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) |  |  |  |  | 44 |  |  |  | 40,181 |
Wynn Macau Ltd., 5.63%, 08/26/28(b) |  |  |  |  | 200 |  |  |  | 172,500 |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b) |  |  |  |  |  |  |  |  |  |
5.13%, 10/01/29 |  |  |  |  | 202 |  |  |  | 181,031 |
7.13%, 02/15/31 |  |  |  |  | 93 |  |  |  | 92,437 |
|  |  |  |  |  |  |  |  | 4,799,557 |
Household Durables — 0.2% |  |  |  |  |  |  |  |
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  | 32 |  |  |  | 27,271 |
4.63%, 04/01/30 |  |  |  |  | 46 |  |  |  | 39,266 |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) |  |  |  |  |  |  |  |  |  |
5.00%, 06/15/29 |  |  |  |  | 67 |  |  |  | 53,649 |
4.88%, 02/15/30 |  |  |  |  | 56 |  |  |  | 43,931 |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) |  |  |  |  | 104 |  |  |  | 96,271 |
KB Home, 7.25%, 07/15/30 |  |  |  |  | 21 |  |  |  | 21,265 |
Mattamy Group Corp., 4.63%, 03/01/30(b) |  |  |  |  | 72 |  |  |  | 62,244 |
NCR Corp.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/28 |  |  |  |  | 57 |  |  |  | 50,868 |
5.13%, 04/15/29 |  |  |  |  | 69 |  |  |  | 61,083 |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b) |  |  |  |  | 389 |  |  |  | 233,411 |
Taylor Morrison Communities, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.88%, 06/15/27 |  |  |  |  | 2 |  |  |  | 1,964 |
5.13%, 08/01/30 |  |  |  |  | 20 |  |  |  | 18,466 |
Tempur Sealy International, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.00%, 04/15/29 |  |  |  |  | 67 |  |  |  | 58,002 |
3.88%, 10/15/31 |  |  |  |  | 44 |  |  |  | 35,845 |
Tri Pointe Homes, Inc., 5.70%, 06/15/28 |  |  |  |  | 18 |  |  |  | 17,388 |
|  |  |  |  |  |  |  |  | 820,924 |
Household Products — 0.0% |  |  |  |  |  |  |  |
Central Garden & Pet Co. |  |  |  |  |  |  |  |  |  |
5.13%, 02/01/28 |  |  |  |  | 15 |  |  |  | 14,092 |

Security |  |  |  | Par (000) |  |  | Value |
Household Products (continued) |  |  |  |  |  |
Central Garden & Pet Co. (continued) |  |  |  |  |  |  |  |  |  |
4.13%, 10/15/30 |  | USD |  |  | 59 |  |  | $ | 49,424 |
4.13%, 04/30/31(b) |  |  |  |  | 55 |  |  |  | 45,345 |
|  |  |  |  |  |  |  |  | 108,861 |
Independent Power and Renewable Electricity Producers — 0.1% |
Calpine Corp.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/26 |  |  |  |  | 28 |  |  |  | 27,040 |
4.63%, 02/01/29 |  |  |  |  | 99 |  |  |  | 83,525 |
5.00%, 02/01/31 |  |  |  |  | 14 |  |  |  | 11,579 |
Clearway Energy Operating LLC(b) |  |  |  |  |  |  |  |  |  |
4.75%, 03/15/28 |  |  |  |  | 47 |  |  |  | 43,363 |
3.75%, 01/15/32 |  |  |  |  | 82 |  |  |  | 66,740 |
NRG Energy, Inc. |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/28 |  |  |  |  | 22 |  |  |  | 20,848 |
3.88%, 02/15/32(b) |  |  |  |  | 18 |  |  |  | 13,869 |
7.00%, 03/15/33(b) |  |  |  |  | 50 |  |  |  | 50,414 |
Talen Energy Supply LLC, 8.63%, 06/01/30 |  |  |  |  | 34 |  |  |  | 35,190 |
TerraForm Power Operating LLC, 4.75%, |  |  |  |  |  |  |  |  |  |
01/15/30(b) |  |  |  |  | 74 |  |  |  | 65,305 |
TransAlta Corp., 7.75%, 11/15/29 |  |  |  |  | 35 |  |  |  | 36,033 |
|  |  |  |  |  |  |  |  | 453,906 |
Insurance(b) — 0.5% |  |  |  |  |  |  |  |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29 |  |  |  |  | 43 |  |  |  | 37,230 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer |  |  |  |  |  |  |  |  |  |
4.25%, 10/15/27 |  |  |  |  | 285 |  |  |  | 255,757 |
6.75%, 10/15/27 |  |  |  |  | 792 |  |  |  | 744,480 |
6.75%, 04/15/28 |  |  |  |  | 140 |  |  |  | 138,843 |
5.88%, 11/01/29 |  |  |  |  | 453 |  |  |  | 394,074 |
AmWINS Group, Inc., 4.88%, 06/30/29 |  |  |  |  | 89 |  |  |  | 80,366 |
GTCR AP Finance, Inc., 8.00%, 05/15/27 |  |  |  |  | 4 |  |  |  | 3,921 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |
7.00%, 05/01/26 |  |  |  |  | 345 |  |  |  | 344,087 |
7.25%, 06/15/30 |  |  |  |  | 371 |  |  |  | 383,095 |
Jones Deslauriers Insurance Management, Inc. |  |  |  |  |  |  |  |  |  |
8.50%, 03/15/30 |  |  |  |  | 126 |  |  |  | 128,546 |
10.50%, 12/15/30 |  |  |  |  | 83 |  |  |  | 83,256 |
Ryan Specialty Group LLC, 4.38%, 02/01/30 |  |  |  |  | 49 |  |  |  | 43,375 |
|  |  |  |  |  |  |  |  | 2,637,030 |
Interactive Media & Services — 0.1% |  |  |  |  |  |  |  |
Arches Buyer, Inc., 4.25%, 06/01/28(b) iliad SA(c) |  |  |  |  | 36 |  |  |  | 31,327 |
5.38%, 06/14/27 |  | EUR |  |  | 100 |  |  |  | 107,581 |
5.63%, 02/15/30 |  |  |  |  | 100 |  |  |  | 105,465 |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) |  | USD |  |  | 92 |  |  |  | 81,254 |
|  |  |  |  |  |  |  |  | 325,627 |
Internet Software & Services(b) — 0.3% |  |  |  |  |  |  |  |
ANGI Group LLC, 3.88%, 08/15/28 |  |  |  |  | 80 |  |  |  | 65,320 |
Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29 |  |  |  |  | 71 |  |  |  | 60,836 |
Match Group Holdings II LLC |  |  |  |  |  |  |  |  |  |
4.63%, 06/01/28 |  |  |  |  | 81 |  |  |  | 74,407 |
3.63%, 10/01/31 |  |  |  |  | 53 |  |  |  | 43,563 |
Uber Technologies, Inc. |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25 |  |  |  |  | 108 |  |  |  | 109,292 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Internet Software & Services (continued) |  |  |  |
Uber Technologies, Inc. (continued) |  |  |  |  |  |  |  |  |  |
8.00%, 11/01/26 |  | USD |  |  | 308 |  |  | $ | 313,886 |
7.50%, 09/15/27 |  |  |  |  | 282 |  |  |  | 288,444 |
6.25%, 01/15/28 |  |  |  |  | 260 |  |  |  | 258,716 |
4.50%, 08/15/29 |  |  |  |  | 547 |  |  |  | 503,458 |
|  |  |  |  |  |  |  |  | 1,717,922 |
IT Services — 0.5% |  |  |  |  |  |  |  |
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) |  |  |  |  | 50 |  |  |  | 40,664 |
Booz Allen Hamilton, Inc.(b) |  |  |  |  |  |  |  |  |  |
3.88%, 09/01/28 |  |  |  |  | 75 |  |  |  | 67,835 |
4.00%, 07/01/29 |  |  |  |  | 93 |  |  |  | 83,305 |
CA Magnum Holdings, 5.38%, 10/31/26(b) |  |  |  |  | 201 |  |  |  | 179,525 |
Camelot Finance SA, 4.50%, 11/01/26(b) |  |  |  |  | 136 |  |  |  | 128,117 |
Dun & Bradstreet Corp., 5.00%, 12/15/29(b) |  |  |  |  | 143 |  |  |  | 126,087 |
Fair Isaac Corp., 4.00%, 06/15/28(b) |  |  |  |  | 63 |  |  |  | 57,797 |
Fiserv, Inc., 2.25%, 06/01/27 |  |  |  |  | 1,385 |  |  |  | 1,243,759 |
Gartner, Inc., 4.50%, 07/01/28(b) |  |  |  |  | 85 |  |  |  | 79,408 |
KBR, Inc., 4.75%, 09/30/28(b) |  |  |  |  | 68 |  |  |  | 61,712 |
McAfee Corp., 7.38%, 02/15/30(b) |  |  |  |  | 211 |  |  |  | 183,469 |
Presidio Holdings, Inc., 4.88%, 02/01/27(b) |  |  |  |  | 12 |  |  |  | 11,257 |
Tempo Acquisition LLC/Tempo |  |  |  |  |  |  |  |  |  |
Acquisition Finance Corp., 5.75%, 06/01/25(b) |  |  |  |  | 123 |  |  |  | 122,867 |
Twilio, Inc. |  |  |  |  |  |  |  |  |  |
3.63%, 03/15/29 |  |  |  |  | 52 |  |  |  | 44,239 |
3.88%, 03/15/31 |  |  |  |  | 129 |  |  |  | 107,407 |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b) |  |  |  |  | 186 |  |  |  | 159,977 |
|  |  |  |  |  |  |  |  | 2,697,425 |
Leisure Products — 0.0% |  |  |  |  |  |  |  |
Mattel, Inc. |  |  |  |  |  |  |  |  |  |
6.20%, 10/01/40 |  |  |  |  | 60 |  |  |  | 53,643 |
5.45%, 11/01/41 |  |  |  |  | 119 |  |  |  | 98,655 |
|  |  |  |  |  |  |  |  | 152,298 |
Machinery — 0.4% |  |  |  |  |  |  |  |
ATS Corp., 4.13%, 12/15/28(b) |  |  |  |  | 35 |  |  |  | 31,326 |
Chart Industries, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 01/01/30 |  |  |  |  | 206 |  |  |  | 210,173 |
9.50%, 01/01/31 |  |  |  |  | 30 |  |  |  | 31,830 |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28 |  |  |  |  | 72 |  |  |  | 71,460 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h) |  |  |  |  | 126 |  |  |  | 114,660 |
Madison IAQ LLC, 5.88%, 06/30/29(b) |  |  |  |  | 1,139 |  |  |  | 922,486 |
Mueller Water Products, Inc., 4.00%, 06/15/29(b) |  |  |  |  | 24 |  |  |  | 21,295 |
OT Merger Corp., 7.88%, 10/15/29(b) |  |  |  |  | 37 |  |  |  | 23,126 |
Terex Corp., 5.00%, 05/15/29(b) |  |  |  |  | 102 |  |  |  | 94,827 |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b) |  |  |  |  | 171 |  |  |  | 155,183 |
TK Elevator Holdco GmbH, 7.63%, 07/15/28(b) |  |  |  |  | 200 |  |  |  | 181,417 |
TK Elevator Midco GmbH, 4.38%, 07/15/27(c) |  | EUR |  |  | 100 |  |  |  | 97,393 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b) . |  | USD |  |  | 312 |  |  |  | 288,248 |
|  |  |  |  |  |  |  |  | 2,243,424 |
Marine Transportation — 0.0% |  |  |  |  |  |  |  |
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30 |  |  |  |  | 57 |  |  |  | 52,814 |

Security |  |  |  | Par (000) |  |  | Value |
Media — 1.6% |  |  |  |  |  |  |  |
Adelphia Communications Corp., 10.50%, 12/31/49(d)(e)(g) |  | USD |  |  | 400 |  |  | $ | — |
Altice Financing SA |  |  |  |  |  |  |  |  |  |
2.25%, 01/15/25(c) |  | EUR |  |  | 100 |  |  |  | 101,482 |
5.75%, 08/15/29(b) |  | USD |  |  | 436 |  |  |  | 337,752 |
Altice France Holding SA, 10.50%, 05/15/27(b) |  |  |  |  | 342 |  |  |  | 207,091 |
AMC Networks, Inc., 4.25%, 02/15/29 |  |  |  |  | 39 |  |  |  | 20,965 |
Cable One, Inc. |  |  |  |  |  |  |  |  |  |
0.00%, 03/15/26(j)(k) |  |  |  |  | 28 |  |  |  | 22,890 |
1.13%, 03/15/28(j) |  |  |  |  | 66 |  |  |  | 49,665 |
4.00%, 11/15/30(b) |  |  |  |  | 38 |  |  |  | 29,688 |
CCO Holdings LLC/CCO Holdings Capital Corp.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 02/01/28 |  |  |  |  | 28 |  |  |  | 25,511 |
6.38%, 09/01/29 |  |  |  |  | 385 |  |  |  | 362,731 |
4.50%, 08/15/30 |  |  |  |  | 22 |  |  |  | 18,319 |
7.38%, 03/01/31 |  |  |  |  | 790 |  |  |  | 769,801 |
4.25%, 01/15/34 |  |  |  |  | 181 |  |  |  | 136,794 |
Clear Channel International BV, 6.63%, 08/01/25(b) |  |  |  |  | 200 |  |  |  | 198,998 |
Clear Channel Outdoor Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.13%, 08/15/27 |  |  |  |  | 397 |  |  |  | 360,433 |
7.75%, 04/15/28 |  |  |  |  | 168 |  |  |  | 131,880 |
7.50%, 06/01/29 |  |  |  |  | 63 |  |  |  | 46,619 |
CMG Media Corp., 8.88%, 12/15/27(b) |  |  |  |  | 79 |  |  |  | 55,367 |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b) |  |  |  |  | 338 |  |  |  | 328,305 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/24 |  |  |  |  | 398 |  |  |  | 370,157 |
5.50%, 04/15/27(b) |  |  |  |  | 200 |  |  |  | 166,398 |
4.50%, 11/15/31(b) |  |  |  |  | 216 |  |  |  | 150,599 |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b) |  |  |  |  | 104 |  |  |  | 94,186 |
DISH DBS Corp. |  |  |  |  |  |  |  |  |  |
7.75%, 07/01/26 |  |  |  |  | 85 |  |  |  | 52,102 |
5.25%, 12/01/26(b) |  |  |  |  | 205 |  |  |  | 164,445 |
DISH Network Corp., 11.75%, 11/15/27(b) |  |  |  |  | 201 |  |  |  | 196,158 |
Frontier Communications Holdings LLC(b) |  |  |  |  |  |  |  |  |  |
5.00%, 05/01/28 |  |  |  |  | 21 |  |  |  | 18,119 |
8.75%, 05/15/30 |  |  |  |  | 523 |  |  |  | 511,166 |
GCI LLC, 4.75%, 10/15/28(b) |  |  |  |  | 35 |  |  |  | 29,841 |
Iliad Holding SASU(b) |  |  |  |  |  |  |  |  |  |
6.50%, 10/15/26 |  |  |  |  | 220 |  |  |  | 207,641 |
7.00%, 10/15/28 |  |  |  |  | 200 |  |  |  | 184,329 |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b) |  |  |  |  | 180 |  |  |  | 168,705 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(h) |  |  |  |  | 84 |  |  |  | 31,836 |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) |  |  |  |  | 54 |  |  |  | 39,107 |
Live Nation Entertainment, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.88%, 11/01/24 |  |  |  |  | 9 |  |  |  | 8,860 |
5.63%, 03/15/26 |  |  |  |  | 4 |  |  |  | 3,907 |
6.50%, 05/15/27 |  |  |  |  | 380 |  |  |  | 382,023 |
4.75%, 10/15/27 |  |  |  |  | 80 |  |  |  | 74,600 |
3.75%, 01/15/28 |  |  |  |  | 35 |  |  |  | 31,237 |
Odeon Finco PLC, 12.75%, 11/01/27(b) |  |  |  |  | 519 |  |  |  | 508,506 |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) 5.00%, 08/15/27 |  |  |  |  | 108 |  |  |  | 98,032 |

22 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) (continued) |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/29 |  | USD |  |  | 71 |  |  | $ | 59,666 |
4.63%, 03/15/30 |  |  |  |  | 17 |  |  |  | 14,163 |
Radiate Holdco LLC/Radiate Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.50%, 09/15/26 |  |  |  |  | 728 |  |  |  | 580,409 |
6.50%, 09/15/28 |  |  |  |  | 288 |  |  |  | 168,067 |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b) |  |  |  |  | 171 |  |  |  | 112,005 |
Sirius XM Radio, Inc., 5.00%, 08/01/27(b) |  |  |  |  | 74 |  |  |  | 68,656 |
Stagwell Global LLC, 5.63%, 08/15/29(b) |  |  |  |  | 32 |  |  |  | 27,383 |
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(c)(h) |  | EUR |  |  | 118 |  |  |  | 108,191 |
TEGNA, Inc., 4.75%, 03/15/26(b) |  | USD |  |  | 11 |  |  |  | 10,503 |
Univision Communications, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.63%, 06/01/27 |  |  |  |  | 78 |  |  |  | 75,391 |
7.38%, 06/30/30 |  |  |  |  | 35 |  |  |  | 33,324 |
|  |  |  |  |  |  |  |  | 7,954,003 |
Metals & Mining — 0.4% |  |  |  |  |  |  |  |
Arconic Corp.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 05/15/25 |  |  |  |  | 13 |  |  |  | 13,103 |
6.13%, 02/15/28 |  |  |  |  | 111 |  |  |  | 112,377 |
ATI, Inc. |  |  |  |  |  |  |  |  |  |
5.88%, 12/01/27 |  |  |  |  | 48 |  |  |  | 46,453 |
4.88%, 10/01/29 |  |  |  |  | 32 |  |  |  | 28,806 |
5.13%, 10/01/31 |  |  |  |  | 88 |  |  |  | 78,400 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b) |  |  |  |  | 285 |  |  |  | 281,527 |
Carpenter Technology Corp. |  |  |  |  |  |  |  |  |  |
6.38%, 07/15/28 |  |  |  |  | 24 |  |  |  | 23,520 |
7.63%, 03/15/30 |  |  |  |  | 72 |  |  |  | 72,814 |
Constellium SE |  |  |  |  |  |  |  |  |  |
4.25%, 02/15/26(c) |  | EUR |  |  | 100 |  |  |  | 106,401 |
3.75%, 04/15/29(b) |  | USD |  |  | 250 |  |  |  | 212,689 |
ERO Copper Corp., 6.50%, 02/15/30(b) |  |  |  |  | 64 |  |  |  | 55,055 |
Kaiser Aluminum Corp.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 03/01/28 |  |  |  |  | 42 |  |  |  | 36,732 |
4.50%, 06/01/31 |  |  |  |  | 144 |  |  |  | 114,794 |
New Gold, Inc., 7.50%, 07/15/27(b) |  |  |  |  | 125 |  |  |  | 116,723 |
Novelis Corp.(b) |  |  |  |  |  |  |  |  |  |
3.25%, 11/15/26 |  |  |  |  | 110 |  |  |  | 99,568 |
4.75%, 01/30/30 |  |  |  |  | 366 |  |  |  | 325,267 |
3.88%, 08/15/31 |  |  |  |  | 68 |  |  |  | 55,938 |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(c) |  | EUR |  |  | 100 |  |  |  | 95,542 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) |  | USD |  |  | 39 |  |  |  | 34,940 |
|  |  |  |  |  |  |  |  | 1,910,649 |
Mortgage Real Estate Investment Trusts (REITs) — 0.0% |
Starwood Property Trust, Inc., 5.50%, 11/01/23(b) |  |  |  |  | 9 |  |  |  | 8,922 |
Multi-Utilities — 0.0% |
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b) |  |  |  |  | 69 |  |  |  | 70,078 |
Offshore Drilling & Other Services(b) — 0.1% |
Entegris Escrow Corp., 4.75%, 04/15/29 |  |  |  |  | 542 |  |  |  | 503,153 |
Entegris, Inc., 4.38%, 04/15/28 |  |  |  |  | 74 |  |  |  | 66,968 |
|  |  |  |  |  |  |  |  | 570,121 |

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels — 2.2% |  |  |  |  |  |  |  |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b) |  | USD |  |  | 132 |  |  | $ | 129,690 |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  |  |  | 34 |  |  |  | 32,791 |
5.75%, 01/15/28 |  |  |  |  | 15 |  |  |  | 14,299 |
5.38%, 06/15/29 |  |  |  |  | 66 |  |  |  | 61,326 |
Antero Resources Corp., 7.63%, 02/01/29(b) |  |  |  |  | 23 |  |  |  | 23,336 |
Apache Corp. |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/30 |  |  |  |  | 21 |  |  |  | 18,705 |
5.10%, 09/01/40 |  |  |  |  | 28 |  |  |  | 22,750 |
5.35%, 07/01/49 |  |  |  |  | 41 |  |  |  | 31,878 |
Arcosa, Inc., 4.38%, 04/15/29(b) |  |  |  |  | 117 |  |  |  | 104,832 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
9.00%, 11/01/27 |  |  |  |  | 217 |  |  |  | 269,779 |
8.25%, 12/31/28 |  |  |  |  | 220 |  |  |  | 216,349 |
5.88%, 06/30/29 |  |  |  |  | 113 |  |  |  | 100,812 |
Baytex Energy Corp., 8.50%, 04/30/30 |  |  |  |  | 35 |  |  |  | 34,180 |
Buckeye Partners LP |  |  |  |  |  |  |  |  |  |
5.85%, 11/15/43 |  |  |  |  | 16 |  |  |  | 11,840 |
5.60%, 10/15/44 |  |  |  |  | 1 |  |  |  | 720 |
Callon Petroleum Co. |  |  |  |  |  |  |  |  |  |
8.25%, 07/15/25 |  |  |  |  | 6 |  |  |  | 5,955 |
6.38%, 07/01/26 |  |  |  |  | 49 |  |  |  | 47,696 |
8.00%, 08/01/28(b) |  |  |  |  | 163 |  |  |  | 161,192 |
7.50%, 06/15/30(b) |  |  |  |  | 276 |  |  |  | 260,509 |
Cellnex Finance Co. SA, 2.00%, 02/15/33(c) |  | EUR |  |  | 100 |  |  |  | 84,730 |
Cheniere Energy Partners LP |  |  |  |  |  |  |  |  |  |
4.50%, 10/01/29 |  | USD |  |  | 185 |  |  |  | 169,785 |
3.25%, 01/31/32 |  |  |  |  | 122 |  |  |  | 100,363 |
Chesapeake Energy Corp., 6.75%, 04/15/29(b) |  |  |  |  | 132 |  |  |  | 130,975 |
CITGO Petroleum Corp., 7.00%, 06/15/25(b) |  |  |  |  | 163 |  |  |  | 159,944 |
Civitas Resources, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 10/15/26 |  |  |  |  | 11 |  |  |  | 10,372 |
8.38%, 07/01/28 |  |  |  |  | 195 |  |  |  | 197,203 |
8.75%, 07/01/31 |  |  |  |  | 162 |  |  |  | 164,236 |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) |  |  |  |  | 32 |  |  |  | 27,142 |
CNX Resources Corp., 7.38%, 01/15/31(b) |  |  |  |  | 32 |  |  |  | 31,134 |
Comstock Resources, Inc., 6.75%, 03/01/29(b) |  |  |  |  | 319 |  |  |  | 291,868 |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b) |  |  |  |  | 250 |  |  |  | 222,978 |
Crescent Energy Finance LLC(b) |  |  |  |  |  |  |  |  |  |
7.25%, 05/01/26 |  |  |  |  | 180 |  |  |  | 168,932 |
9.25%, 02/15/28 |  |  |  |  | 69 |  |  |  | 66,947 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 02/01/29 |  |  |  |  | 71 |  |  |  | 66,296 |
8.00%, 04/01/29 |  |  |  |  | 28 |  |  |  | 28,348 |
7.38%, 02/01/31 |  |  |  |  | 27 |  |  |  | 26,613 |
CrownRock LP/CrownRock Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 10/15/25 |  |  |  |  | 171 |  |  |  | 168,469 |
5.00%, 05/01/29 |  |  |  |  | 20 |  |  |  | 18,725 |
DCP Midstream Operating LP(b) |  |  |  |  |  |  |  |  |  |
6.45%, 11/03/36 |  |  |  |  | 140 |  |  |  | 143,759 |
6.75%, 09/15/37 |  |  |  |  | 6 |  |  |  | 6,368 |
Diamondback Energy, Inc., 6.25%, 03/15/33 |  |  |  |  | 167 |  |  |  | 172,756 |
DT Midstream, Inc.(b) 4.13%, 06/15/29 |  |  |  |  | 110 |  |  |  | 96,533 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
DT Midstream, Inc.(b) (continued) |  |  |  |  |  |  |  |  |  |
4.38%, 06/15/31 |  | USD |  |  | 79 |  |  | $ | 68,039 |
Dycom Industries, Inc., 4.50%, 04/15/29(b) |  |  |  |  | 37 |  |  |  | 33,603 |
Earthstone Energy Holdings LLC |  |  |  |  |  |  |  |  |  |
8.00%, 04/15/27(b) |  |  |  |  | 88 |  |  |  | 84,991 |
9.88%, 07/15/31 |  |  |  |  | 85 |  |  |  | 84,018 |
Energy Transfer LP, Series H, (5-year CMT + 5.69%), 6.50%(a)(i) |  |  |  |  | 144 |  |  |  | 130,798 |
EnLink Midstream LLC |  |  |  |  |  |  |  |  |  |
5.63%, 01/15/28(b) |  |  |  |  | 103 |  |  |  | 99,671 |
5.38%, 06/01/29 |  |  |  |  | 41 |  |  |  | 39,061 |
6.50%, 09/01/30(b) |  |  |  |  | 76 |  |  |  | 75,907 |
EnLink Midstream Partners LP |  |  |  |  |  |  |  |  |  |
4.85%, 07/15/26 |  |  |  |  | 39 |  |  |  | 37,635 |
5.60%, 04/01/44 |  |  |  |  | 82 |  |  |  | 68,652 |
5.45%, 06/01/47 |  |  |  |  | 18 |  |  |  | 14,796 |
EQM Midstream Partners LP |  |  |  |  |  |  |  |  |  |
6.00%, 07/01/25(b) |  |  |  |  | 11 |  |  |  | 10,879 |
4.13%, 12/01/26 |  |  |  |  | 17 |  |  |  | 15,811 |
6.50%, 07/01/27(b) |  |  |  |  | 132 |  |  |  | 130,188 |
7.50%, 06/01/30(b) |  |  |  |  | 67 |  |  |  | 67,800 |
FTAI Infra Escrow Holdings LLC, 10.50%, 06/01/27(b) |  |  |  |  | 26 |  |  |  | 25,535 |
Genesis Energy LP/Genesis Energy Finance Corp. |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25 |  |  |  |  | 30 |  |  |  | 29,544 |
7.75%, 02/01/28 |  |  |  |  | 15 |  |  |  | 14,267 |
8.88%, 04/15/30 |  |  |  |  | 43 |  |  |  | 42,011 |
Gulfport Energy Corp., 8.00%, 05/17/26(b) |  |  |  |  | 11 |  |  |  | 11,554 |
Harvest Midstream I LP, 7.50%, 09/01/28(b) |  |  |  |  | 20 |  |  |  | 19,829 |
Hess Midstream Operations LP, 4.25%, 02/15/30(b) |  |  |  |  | 77 |  |  |  | 67,183 |
Hilcorp Energy I LP/Hilcorp Finance Co.(b) |  |  |  |  |  |  |  |  |  |
6.25%, 11/01/28 |  |  |  |  | 21 |  |  |  | 19,767 |
5.75%, 02/01/29 |  |  |  |  | 66 |  |  |  | 59,762 |
6.00%, 04/15/30 |  |  |  |  | 5 |  |  |  | 4,553 |
ITT Holdings LLC, 6.50%, 08/01/29(b) |  |  |  |  | 109 |  |  |  | 91,830 |
Kinetik Holdings LP, 5.88%, 06/15/30(b) |  |  |  |  | 155 |  |  |  | 147,326 |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) |  |  |  |  | 10 |  |  |  | 9,672 |
MasTec, Inc., 4.50%, 08/15/28(b) |  |  |  |  | 56 |  |  |  | 51,667 |
Matador Resources Co. |  |  |  |  |  |  |  |  |  |
5.88%, 09/15/26 |  |  |  |  | 54 |  |  |  | 52,328 |
6.88%, 04/15/28 |  |  |  |  | 74 |  |  |  | 73,245 |
Murphy Oil Corp. |  |  |  |  |  |  |  |  |  |
5.75%, 08/15/25 |  |  |  |  | 8 |  |  |  | 7,895 |
5.88%, 12/01/27 |  |  |  |  | 20 |  |  |  | 19,430 |
Murphy Oil USA, Inc., 4.75%, 09/15/29 |  |  |  |  | 109 |  |  |  | 100,070 |
Nabors Industries Ltd.(b) |  |  |  |  |  |  |  |  |  |
7.25%, 01/15/26 |  |  |  |  | 66 |  |  |  | 61,612 |
7.50%, 01/15/28 |  |  |  |  | 90 |  |  |  | 78,755 |
Nabors Industries, Inc. |  |  |  |  |  |  |  |  |  |
5.75%, 02/01/25 |  |  |  |  | 329 |  |  |  | 318,380 |
7.38%, 05/15/27(b) |  |  |  |  | 116 |  |  |  | 110,377 |
New Fortress Energy, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.75%, 09/15/25 |  |  |  |  | 300 |  |  |  | 281,410 |
6.50%, 09/30/26 |  |  |  |  | 321 |  |  |  | 287,198 |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b) |  |  |  |  | 98 |  |  |  | 96,517 |

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
NGPL PipeCo LLC, 7.77%, 12/15/37(b) |  | USD |  |  | 84 |  |  | $ | 89,546 |
Northern Oil and Gas, Inc. |  |  |  |  |  |  |  |  |  |
8.13%, 03/01/28(b) |  |  |  |  | 228 |  |  |  | 223,440 |
8.75%, 06/15/31 |  |  |  |  | 79 |  |  |  | 77,617 |
NuStar Logistics LP |  |  |  |  |  |  |  |  |  |
6.00%, 06/01/26 |  |  |  |  | 123 |  |  |  | 119,815 |
6.38%, 10/01/30 |  |  |  |  | 2 |  |  |  | 1,908 |
Occidental Petroleum Corp. |  |  |  |  |  |  |  |  |  |
6.45%, 09/15/36 |  |  |  |  | 66 |  |  |  | 67,736 |
6.20%, 03/15/40 |  |  |  |  | 72 |  |  |  | 70,962 |
4.63%, 06/15/45 |  |  |  |  | 7 |  |  |  | 5,416 |
PDC Energy, Inc. |  |  |  |  |  |  |  |  |  |
6.13%, 09/15/24 |  |  |  |  | 68 |  |  |  | 67,966 |
5.75%, 05/15/26 |  |  |  |  | 6 |  |  |  | 5,976 |
Permian Resources Operating LLC(b) |  |  |  |  |  |  |  |  |  |
5.38%, 01/15/26 |  |  |  |  | 32 |  |  |  | 30,423 |
7.75%, 02/15/26 |  |  |  |  | 82 |  |  |  | 82,349 |
6.88%, 04/01/27 |  |  |  |  | 37 |  |  |  | 36,445 |
5.88%, 07/01/29 |  |  |  |  | 140 |  |  |  | 131,882 |
Precision Drilling Corp., 6.88%, 01/15/29(b) |  |  |  |  | 4 |  |  |  | 3,614 |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b) |  |  |  |  | 103 |  |  |  | 95,013 |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) |  |  |  |  | 14 |  |  |  | 12,810 |
SM Energy Co. |  |  |  |  |  |  |  |  |  |
5.63%, 06/01/25 |  |  |  |  | 44 |  |  |  | 42,996 |
6.75%, 09/15/26 |  |  |  |  | 36 |  |  |  | 35,090 |
6.63%, 01/15/27 |  |  |  |  | 7 |  |  |  | 6,799 |
6.50%, 07/15/28 |  |  |  |  | 62 |  |  |  | 59,520 |
Southwestern Energy Co. |  |  |  |  |  |  |  |  |  |
5.38%, 02/01/29 |  |  |  |  | 85 |  |  |  | 80,041 |
4.75%, 02/01/32 |  |  |  |  | 2 |  |  |  | 1,763 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 10/01/25 |  |  |  |  | 3 |  |  |  | 2,994 |
6.00%, 03/01/27 |  |  |  |  | 14 |  |  |  | 13,138 |
5.50%, 01/15/28 |  |  |  |  | 11 |  |  |  | 10,054 |
6.00%, 12/31/30 |  |  |  |  | 10 |  |  |  | 8,810 |
6.00%, 09/01/31 |  |  |  |  | 41 |  |  |  | 35,278 |
Tap Rock Resources LLC, 7.00%, 10/01/26(b) |  |  |  |  | 202 |  |  |  | 208,060 |
Transocean Titan Financing Ltd., 8.38%, |  |  |  |  |  |  |  |  |  |
02/01/28(b) |  |  |  |  | 57 |  |  |  | 58,211 |
Transocean, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 01/15/26 |  |  |  |  | 212 |  |  |  | 201,400 |
8.75%, 02/15/30 |  |  |  |  | 245 |  |  |  | 248,675 |
Venture Global Calcasieu Pass LLC(b) |  |  |  |  |  |  |  |  |  |
3.88%, 08/15/29 |  |  |  |  | 292 |  |  |  | 255,088 |
4.13%, 08/15/31 |  |  |  |  | 114 |  |  |  | 98,036 |
3.88%, 11/01/33 |  |  |  |  | 233 |  |  |  | 190,800 |
Venture Global LNG, Inc.(b) |  |  |  |  |  |  |  |  |  |
8.13%, 06/01/28 |  |  |  |  | 332 |  |  |  | 337,191 |
8.38%, 06/01/31 |  |  |  |  | 506 |  |  |  | 510,133 |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) |  |  |  |  | 51 |  |  |  | 47,006 |
Western Midstream Operating LP |  |  |  |  |  |  |  |  |  |
6.15%, 04/01/33 |  |  |  |  | 20 |  |  |  | 20,158 |
5.45%, 04/01/44 |  |  |  |  | 105 |  |  |  | 88,702 |
5.30%, 03/01/48 |  |  |  |  | 39 |  |  |  | 32,554 |

24 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Western Midstream Operating LP (continued) |  |  |  |  |  |  |  |  |  |
5.50%, 08/15/48 |  | USD |  |  | 17 |  |  | $ | 14,216 |
5.50%, 02/01/50 |  |  |  |  | 92 |  |  |  | 75,354 |
|  |  |  |  |  |  |  |  | 10,951,666 |
Passenger Airlines — 0.6% |  |  |  |  |  |  |  |
Air Canada, 3.88%, 08/15/26(b) |  |  |  |  | 116 |  |  |  | 107,515 |
Allegiant Travel Co.(b) |  |  |  |  |  |  |  |  |  |
8.50%, 02/05/24 |  |  |  |  | 1,065 |  |  |  | 1,062,338 |
7.25%, 08/15/27 |  |  |  |  | 37 |  |  |  | 36,863 |
American Airlines, Inc.(b) |  |  |  |  |  |  |  |  |  |
11.75%, 07/15/25 |  |  |  |  | 400 |  |  |  | 438,611 |
7.25%, 02/15/28 |  |  |  |  | 8 |  |  |  | 7,952 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) |  |  |  |  |  |  |  |  |  |
5.50%, 04/20/26 |  |  |  |  | 190 |  |  |  | 188,237 |
5.75%, 04/20/29 |  |  |  |  | 108 |  |  |  | 105,164 |
Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b) |  |  |  |  | 73 |  |  |  | 70,746 |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b) |  |  |  |  | 90 |  |  |  | 85,188 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b) |  |  |  |  | 219 |  |  |  | 219,002 |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(b) |  |  |  |  | 70 |  |  |  | 70,877 |
United Airlines Pass-Through Trust |  |  |  |  |  |  |  |  |  |
Series 2020-1, Class A, 5.88%, 04/15/29 |  |  |  |  | 161 |  |  |  | 159,603 |
Series 2020-1, Class B, 4.88%, 07/15/27 |  |  |  |  | 14 |  |  |  | 13,076 |
United Airlines, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.38%, 04/15/26 |  |  |  |  | 57 |  |  |  | 54,156 |
4.63%, 04/15/29 |  |  |  |  | 203 |  |  |  | 184,967 |
VistaJet Malta Finance PLC/Vista Management Holding, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.88%, 05/01/27 |  |  |  |  | 33 |  |  |  | 29,649 |
6.38%, 02/01/30 |  |  |  |  | 52 |  |  |  | 41,872 |
|  |  |  |  |  |  |  |  | 2,875,816 |
Personal Care Products — 0.0% |  |  |  |  |  |  |  |
Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 4.75%, 01/15/29(b) |  |  |  |  | 5 |  |  |  | 4,610 |
Pharmaceuticals — 0.2% |  |  |  |  |  |  |  |
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(c) |  | EUR |  |  | 100 |  |  |  | 99,785 |
Gruenenthal GmbH, 4.13%, 05/15/28(c) |  |  |  |  | 100 |  |  |  | 100,970 |
Option Care Health, Inc., 4.38%, 10/31/29(b) |  | USD |  |  | 79 |  |  |  | 69,532 |
Organon & Co./Organon Foreign Debt Co-Issuer BV, 4.13%, 04/30/28(b) |  |  |  |  | 200 |  |  |  | 177,506 |
PRA Health Sciences, Inc., 2.88%, 07/15/26(b) |  |  |  |  | 200 |  |  |  | 181,087 |
Prestige Brands, Inc., 3.75%, 04/01/31(b) |  |  |  |  | 56 |  |  |  | 46,362 |
Teva Pharmaceutical Finance Netherlands II BV, 3.75%, 05/09/27 |  | EUR |  |  | 100 |  |  |  | 98,402 |
Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 |  | USD |  |  | 203 |  |  |  | 180,797 |
|  |  |  |  |  |  |  |  | 954,441 |

Security |  |  |  | Par (000) |  |  | Value |
Real Estate — 0.0% |  |  |  |  |  |  |  |
VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28(b) |  | USD |  |  | 30 |  |  | $ | 27,564 |
Real Estate Management & Development — 0.2% |  |  |  |
Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28(b) |  |  |  |  | 101 |  |  |  | 91,405 |
Howard Hughes Corp.(b) |  |  |  |  |  |  |  |  |  |
5.38%, 08/01/28 |  |  |  |  | 46 |  |  |  | 40,944 |
4.38%, 02/01/31 |  |  |  |  | 53 |  |  |  | 42,296 |
Realogy Group LLC/Realogy Co.-Issuer Corp.(b) |  |  |  |  |  |  |  |
5.75%, 01/15/29 |  |  |  |  | 531 |  |  |  | 397,301 |
5.25%, 04/15/30 |  |  |  |  | 43 |  |  |  | 30,559 |
Starwood Property Trust, Inc., 4.38%, 01/15/27(b) |  |  | 21 |  |  |  | 18,086 |
VICI Properties LP, 5.13%, 05/15/32 |  |  |  |  | 182 |  |  |  | 170,287 |
|  |  |  |  |  |  |  |  | 790,878 |
Semiconductors & Semiconductor Equipment(b) — 0.1% |
Sensata Technologies BV, 4.00%, 04/15/29 |  |  |  |  | 36 |  |  |  | 32,050 |
Sensata Technologies, Inc. |  |  |  |  |  |  |  |  |  |
4.38%, 02/15/30 |  |  |  |  | 169 |  |  |  | 151,128 |
3.75%, 02/15/31 |  |  |  |  | 30 |  |  |  | 25,665 |
Synaptics, Inc., 4.00%, 06/15/29 |  |  |  |  | 84 |  |  |  | 70,423 |
|  |  |  |  |  |  |  |  | 279,266 |
Software — 0.7% |  |  |  |  |  |  |  |
Alteryx, Inc., 8.75%, 03/15/28(b) |  |  |  |  | 61 |  |  |  | 59,919 |
Black Knight InfoServ LLC, 3.63%, 09/01/28(b) |  |  |  |  | 122 |  |  |  | 109,190 |
Boxer Parent Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
7.13%, 10/02/25 |  |  |  |  | 148 |  |  |  | 148,131 |
9.13%, 03/01/26 |  |  |  |  | 149 |  |  |  | 148,255 |
Capstone Borrower, Inc., 8.00%, 06/15/30 |  |  |  |  | 78 |  |  |  | 77,026 |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b) |  |  |  |  | 173 |  |  |  | 171,061 |
Cloud Software Group, Inc. |  |  |  |  |  |  |  |  |  |
6.50%, 03/31/29(b) |  |  |  |  | 834 |  |  |  | 742,578 |
9.00%, 09/30/29 |  |  |  |  | 928 |  |  |  | 810,547 |
Consensus Cloud Solutions, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 10/15/26 |  |  |  |  | 23 |  |  |  | 20,873 |
6.50%, 10/15/28 |  |  |  |  | 20 |  |  |  | 17,100 |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 |  |  |  |  | 16 |  |  |  | 13,797 |
Elastic NV, 4.13%, 07/15/29(b) |  |  |  |  | 120 |  |  |  | 103,521 |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b) |  |  |  |  | 39 |  |  |  | 33,666 |
MicroStrategy, Inc., 6.13%, 06/15/28(b) |  |  |  |  | 144 |  |  |  | 129,110 |
MSCI, Inc.(b) |  |  |  |  |  |  |  |  |  |
3.63%, 09/01/30 |  |  |  |  | 7 |  |  |  | 6,037 |
3.88%, 02/15/31 |  |  |  |  | 11 |  |  |  | 9,532 |
3.25%, 08/15/33 |  |  |  |  | 34 |  |  |  | 27,382 |
Open Text Corp., 6.90%, 12/01/27(b) |  |  |  |  | 214 |  |  |  | 217,858 |
PTC, Inc., 4.00%, 02/15/28(b) |  |  |  |  | 32 |  |  |  | 29,459 |
SS&C Technologies, Inc., 5.50%, 09/30/27(b) |  |  |  |  | 245 |  |  |  | 234,545 |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b) |  |  |  |  | 188 |  |  |  | 152,546 |
|  |  |  |  |  |  |  |  | 3,262,133 |
Specialized REITs — 0.1% |  |  |  |  |  |  |  |
Iron Mountain, Inc., 7.00%, 02/15/29 |  |  |  |  | 136 |  |  |  | 136,229 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(b) |  |  |  |  | 120 |  |  |  | 119,047 |
|  |  |  |  |  |  |  |  | 255,276 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Specialty Retail(b) — 0.1% |  |  |  |  |  |  |  |
Arko Corp., 5.13%, 11/15/29 |  | USD |  |  | 58 |  |  | $ | 47,135 |
PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29 |  |  |  |  | 253 |  |  |  | 251,375 |
Staples, Inc., 7.50%, 04/15/26 |  |  |  |  | 54 |  |  |  | 44,599 |
|  |  |  |  |  |  |  |  | 343,109 |
Technology Hardware, Storage & Peripherals(b) — 0.1% |
Coherent Corp., 5.00%, 12/15/29 |  |  |  |  | 126 |  |  |  | 113,729 |
Seagate HDD Cayman |  |  |  |  |  |  |  |  |  |
8.25%, 12/15/29 |  |  |  |  | 92 |  |  |  | 96,091 |
8.50%, 07/15/31 |  |  |  |  | 115 |  |  |  | 120,599 |
|  |  |  |  |  |  |  |  | 330,419 |
Textiles, Apparel & Luxury Goods(b) — 0.0% |  |  |  |
Crocs, Inc. |  |  |  |  |  |  |  |  |  |
4.25%, 03/15/29 |  |  |  |  | 57 |  |  |  | 48,461 |
4.13%, 08/15/31 |  |  |  |  | 13 |  |  |  | 10,498 |
Hanesbrands, Inc. |  |  |  |  |  |  |  |  |  |
4.88%, 05/15/26 |  |  |  |  | 24 |  |  |  | 22,405 |
9.00%, 02/15/31 |  |  |  |  | 71 |  |  |  | 71,558 |
Kontoor Brands, Inc., 4.13%, 11/15/29 |  |  |  |  | 32 |  |  |  | 26,721 |
Levi Strauss & Co., 3.50%, 03/01/31 |  |  |  |  | 82 |  |  |  | 67,855 |
|  |  |  |  |  |  |  |  | 247,498 |
Transportation Infrastructure — 0.0% |  |  |  |
Azzurra Aeroporti SpA, 2.63%, 05/30/27(c) |  | EUR |  |  | 100 |  |  |  | 97,778 |
XPO Escrow Sub LLC, 7.50%, 11/15/27(b) |  | USD |  |  | 27 |  |  |  | 27,589 |
|  |  |  |  |  |  |  |  | 125,367 |
Wireless Telecommunication Services — 0.3% |  |  |  |
Altice France SA/France, 8.13%, 02/01/27(b) |  |  |  |  | 334 |  |  |  | 289,218 |
SBA Communications Corp. |  |  |  |  |  |  |  |  |  |
3.13%, 02/01/29 |  |  |  |  | 283 |  |  |  | 239,887 |
3.88%, 02/15/27 |  |  |  |  | 7 |  |  |  | 6,449 |
T-Mobile U.S., Inc. |  |  |  |  |  |  |  |  |  |
3.38%, 04/15/29 |  |  |  |  | 67 |  |  |  | 60,504 |
3.50%, 04/15/31 |  |  |  |  | 26 |  |  |  | 22,942 |
VICI Properties LP/VICI Note Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 05/01/24 |  |  |  |  | 18 |  |  |  | 17,889 |
3.50%, 02/15/25 |  |  |  |  | 34 |  |  |  | 32,487 |
4.63%, 06/15/25 |  |  |  |  | 147 |  |  |  | 142,038 |
4.25%, 12/01/26 |  |  |  |  | 34 |  |  |  | 31,806 |
4.63%, 12/01/29 |  |  |  |  | 133 |  |  |  | 120,747 |
4.13%, 08/15/30 |  |  |  |  | 124 |  |  |  | 109,173 |
Vmed O2 U.K. Financing I PLC, 4.75%, 07/15/31(b) |  |  |  |  | 200 |  |  |  | 166,300 |
Vodafone Group PLC, (5-year EUR Swap + 3.49%), 6.50%, 08/30/84(a)(c) |  | EUR |  |  | 100 |  |  |  | 109,634 |
|  |  |  |  |  |  |  |  | 1,349,074 |
Total Corporate Bonds — 17.8% (Cost: $103,281,315) |  |  |  |  |  |  |  |  | 88,936,920 |
Floating Rate Loan Interests(a) |
Aerospace & Defense — 3.6% |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. |  |  |  |  |  |  |  |  |  |
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 |  | USD |  |  | 2,538 |  |  |  | 2,196,995 |

Security |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. (continued) |  |  |  |  |  |  |  |  |  |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 |  | USD |  |  | 516 |  |  | $ | 446,873 |
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26 |  |  |  |  | 804 |  |  |  | 802,339 |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29 |  |  |  |  | 324 |  |  |  | 317,190 |
Dynasty Acquisition Co., Inc. |  |  |  |  |  |  |  |  |  |
2020 CAD Term Loan B2, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 |  |  |  |  | 1,165 |  |  |  | 1,154,299 |
2020 Term Loan B1, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 |  |  |  |  | 2,168 |  |  |  | 2,147,258 |
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.70%, 04/09/26 |  |  |  |  | 758 |  |  |  | 644,589 |
Peraton Corp. |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29 |  |  |  |  | 1,474 |  |  |  | 1,426,227 |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28 |  |  |  |  | 5,022 |  |  |  | 4,924,131 |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28 |  |  |  |  | 1,175 |  |  |  | 1,173,743 |
TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28 |  |  |  |  | 2,790 |  |  |  | 2,787,654 |
|  |  |  |  |  |  |  |  | 18,021,298 |
Automobile Components — 0.5% |  |  |  |  |  |  |  |
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28 |  |  |  |  | 461 |  |  |  | 460,741 |
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30 |  |  |  |  | 2,046 |  |  |  | 2,038,962 |
|  |  |  |  |  |  |  |  | 2,499,703 |
Automobiles — 0.5% |  |  |  |  |  |  |  |
Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27 |  |  |  |  | 2,646 |  |  |  | 2,633,256 |
Beverages — 0.9% |  |  |  |  |  |  |  |
Naked Juice LLC |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30 |  |  |  |  | 1,565 |  |  |  | 1,232,246 |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29 |  |  |  |  | 3,507 |  |  |  | 3,255,601 |
|  |  |  |  |  |  |  |  | 4,487,847 |
Broadline Retail — 1.6% |  |  |  |  |  |  |  |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28 |  |  |  |  | 1,367 |  |  |  | 1,362,786 |
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(h) |  |  |  |  | 2,502 |  |  |  | 2,164,135 |

26 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Broadline Retail (continued) |  |  |  |  |  |  |  |
PUG LLC |  |  |  |  |  |  |  |  |  |
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(e) |  | USD |  |  | 321 |  |  | $ | 289,150 |
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 3,363 |  |  |  | 2,980,860 |
Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(e). |  |  |  |  | 575 |  |  |  | 573,842 |
Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(e) |  |  |  |  | 480 |  |  |  | 469,153 |
|  |  |  |  |  |  |  |  | 7,839,926 |
Building Products — 1.6% |  |  |  |  |  |  |  |
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29 |  |  |  |  | 227 |  |  |  | 226,585 |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28 |  |  |  |  | 311 |  |  |  | 297,432 |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27 |  |  |  |  | 1,268 |  |  |  | 1,190,397 |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29 |  |  |  |  | 702 |  |  |  | 697,894 |
IPS Corp. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.20%, 10/01/29(e) |  |  |  |  | 919 |  |  |  | 716,820 |
2021 Delayed Draw Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.00%, 10/02/28 |  |  |  |  | 91 |  |  |  | 2,740 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28 |  |  |  |  | 524 |  |  |  | 482,462 |
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.47%, 07/28/28 |  |  |  |  | 716 |  |  |  | 711,085 |
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 3.93%), 7.52%, 04/12/28 |  | EUR |  |  | 853 |  |  |  | 792,775 |
Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26 |  | USD |  |  | 3,007 |  |  |  | 2,959,047 |
|  |  |  |  |  |  |  |  | 8,077,237 |
Capital Markets — 2.9% |  |  |  |  |  |  |  |
Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26 |  |  |  |  | 909 |  |  |  | 909,338 |
Ascensus Holdings, Inc. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29 |  |  |  |  | 2,373 |  |  |  | 2,111,614 |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28 |  |  |  |  | 2,467 |  |  |  | 2,422,167 |
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29 |  |  |  |  | 985 |  |  |  | 986,462 |
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26 |  |  |  |  | 840 |  |  |  | 815,275 |
Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26 |  |  |  |  | 1,354 |  |  |  | 1,345,947 |

Security |  |  |  | Par (000) |  |  | Value |
Capital Markets (continued) |  |  |  |  |  |  |  |
Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27 |  | USD |  |  | 650 |  |  | $ | 645,947 |
Focus Financial Partners LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28 |  |  |  |  | 1,286 |  |  |  | 1,269,527 |
2023 Term Loan B6, 06/30/28(l) |  |  |  |  | 714 |  |  |  | 708,823 |
Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24 |  |  |  |  | 517 |  |  |  | 516,166 |
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28 |  |  |  |  | 592 |  |  |  | 579,448 |
Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26 |  |  |  |  | 2,299 |  |  |  | 2,218,859 |
|  |  |  |  |  |  |  |  | 14,529,573 |
Chemicals — 4.9% |  |  |  |  |  |  |  |
Arc Falcon I, Inc., 2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 7.00%), 12.20%, 09/30/29 |  |  |  |  | 815 |  |  |  | 696,825 |
Aruba Investments Holdings LLC |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 7.75%), 12.94%, 11/24/28 |  |  |  |  | 1,275 |  |  |  | 1,122,000 |
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27 |  |  |  |  | 675 |  |  |  | 649,800 |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. LIBOR US + 4.75%), 9.99%, 08/27/26 |  |  |  |  | 2,885 |  |  |  | 2,821,953 |
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27 |  |  |  |  | 569 |  |  |  | 429,634 |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29 |  |  |  |  | 863 |  |  |  | 823,873 |
Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26 |  |  |  |  | 1,737 |  |  |  | 1,735,269 |
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30 |  |  |  |  | 264 |  |  |  | 265,046 |
Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27 |  |  |  |  | 1,220 |  |  |  | 1,208,112 |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30 |  |  |  |  | 615 |  |  |  | 610,935 |
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28 |  |  |  |  | 939 |  |  |  | 791,529 |
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28 |  |  |  |  | 1,644 |  |  |  | 1,619,022 |
Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26 |  |  |  |  | 2,397 |  |  |  | 2,394,025 |
Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28 |  |  |  |  | 1,846 |  |  |  | 1,797,130 |
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28 |  |  |  |  | 664 |  |  |  | 656,736 |
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(l) |  |  |  |  | 612 |  |  |  | 590,451 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |
OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24 |  | USD |  |  | 1,507 |  |  | $ | 1,477,659 |
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28 |  |  |  |  | 1,515 |  |  |  | 1,506,792 |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27 |  |  |  |  | 925 |  |  |  | 910,322 |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28 |  |  |  |  | 1,429 |  |  |  | 1,416,462 |
Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25 |  |  |  |  | 322 |  |  |  | 326,077 |
W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28 |  |  |  |  | 836 |  |  |  | 829,143 |
|  |  |  |  |  |  |  |  | 24,678,795 |
Commercial Services & Supplies — 3.5% |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28 |  |  |  |  | 2,292 |  |  |  | 2,224,926 |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(e) |  |  |  |  | 682 |  |  |  | 665,057 |
Aramark Services, Inc., 2023 Term Loan B6, 06/22/30(e)(l) |  |  |  |  | 595 |  |  |  | 594,244 |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27 |  |  |  |  | 1,726 |  |  |  | 1,720,802 |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28 |  |  |  |  | 609 |  |  |  | 607,817 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 |  |  |  |  | 75 |  |  |  | 74,120 |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 |  |  |  |  | 987 |  |  |  | 977,136 |
EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25 |  |  |  |  | 410 |  |  |  | 402,435 |
GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27 |  |  |  |  | 646 |  |  |  | 645,719 |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28 |  |  |  |  | 1,398 |  |  |  | 1,382,144 |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28 |  |  |  |  | 684 |  |  |  | 557,946 |
Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26 |  |  |  |  | 1,472 |  |  |  | 1,470,364 |
Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28 |  |  |  |  | 4,188 |  |  |  | 4,187,876 |

Security |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (continued) |  |  |  |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27 |  | USD |  |  | 1,453 |  |  | $ | 1,333,928 |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28 |  |  |  |  | 684 |  |  |  | 663,305 |
|  |  |  |  |  |  |  |  | 17,507,819 |
Communications Equipment — 0.2% |  |  |  |  |  |  |  |
Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30 |  |  |  |  | 189 |  |  |  | 188,527 |
ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29 |  |  |  |  | 861 |  |  |  | 831,314 |
|  |  |  |  |  |  |  |  | 1,019,841 |
Construction & Engineering — 0.7% |  |  |  |  |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24 |  |  |  |  | 883 |  |  |  | 872,918 |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28 |  |  |  |  | 925 |  |  |  | 920,070 |
USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28 |  |  |  |  | 1,538 |  |  |  | 1,453,133 |
|  |  |  |  |  |  |  |  | 3,246,121 |
Construction Materials — 0.8% |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27 |  |  |  |  | 1,051 |  |  |  | 1,046,175 |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29 |  |  |  |  | 731 |  |  |  | 614,110 |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29 |  |  |  |  | 954 |  |  |  | 930,740 |
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28 |  |  |  |  | 1,404 |  |  |  | 1,401,735 |
|  |  |  |  |  |  |  |  | 3,992,760 |
Consumer Staples Distribution & Retail — 0.3% |  |  |  |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26 |  |  |  |  | 597 |  |  |  | 595,917 |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28 |  |  |  |  | 779 |  |  |  | 777,863 |
|  |  |  |  |  |  |  |  | 1,373,780 |
Containers & Packaging — 1.5% |  |  |  |  |  |  |  |
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27 |  |  |  |  | 2,962 |  |  |  | 2,936,159 |
Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26 |  |  |  |  | 1,144 |  |  |  | 1,139,390 |
Pregis TopCo Corp. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26 |  |  |  |  | 537 |  |  |  | 533,404 |
2021 Incremental Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.75%), 8.94%, 07/31/26 |  |  |  |  | 614 |  |  |  | 606,540 |

28 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Containers & Packaging (continued) |  |  |  |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26 |  | USD |  |  | 1,275 |  |  | $ | 1,273,725 |
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28 |  |  |  |  | 1,005 |  |  |  | 987,576 |
|  |  |  |  |  |  |  |  | 7,476,794 |
Distributors — 0.2% |  |  |  |  |  |  |  |
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27 |  |  |  |  | 867 |  |  |  | 801,376 |
Diversified Consumer Services — 2.7% |
2U, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.32%, 12/28/26 |  |  |  |  | 839 |  |  |  | 804,202 |
Ascend Learning LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29 |  |  |  |  | 681 |  |  |  | 576,010 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28 |  |  |  |  | 1,679 |  |  |  | 1,575,250 |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28 |  |  |  |  | 808 |  |  |  | 804,001 |
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30 |  |  |  |  | 1,271 |  |  |  | 1,256,701 |
Sotheby’s |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27 |  |  |  |  | 1,650 |  |  |  | 1,605,972 |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.76%, 01/15/27 |  |  |  |  | 360 |  |  |  | 350,100 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25 |  |  |  |  | 911 |  |  |  | 902,857 |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25 |  |  |  |  | 2,670 |  |  |  | 2,171,146 |
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26 |  |  |  |  | 2,267 |  |  |  | 2,245,029 |
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27 |  |  |  |  | 1,043 |  |  |  | 1,022,384 |
|  |  |  |  |  |  |  |  | 13,313,652 |
Diversified REITs — 0.2% |  |  |  |  |  |  |  |
RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30 |  |  |  |  | 750 |  |  |  | 749,025 |
Diversified Telecommunication Services — 5.2% |
Altice Financing SA |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(e) |  |  |  |  | 643 |  |  |  | 629,793 |
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26 |  |  |  |  | 1,714 |  |  |  | 1,681,488 |
Cablevision Lightpath LLC, Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 11/30/27 |  |  |  |  | 198 |  |  |  | 190,060 |

Security |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26 |  | USD |  |  | 7,168 |  |  | $ | 7,148,178 |
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27 |  |  |  |  | 712 |  |  |  | 627,324 |
Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26 |  |  |  |  | 1,575 |  |  |  | 1,574,300 |
Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27 |  |  |  |  | 1,544 |  |  |  | 1,435,060 |
Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27 |  |  |  |  | 1,616 |  |  |  | 1,240,197 |
Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28 |  |  |  |  | 759 |  |  |  | 607,547 |
Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26 |  |  |  |  | 2,388 |  |  |  | 1,985,821 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29 |  |  |  |  | 1,212 |  |  |  | 1,205,504 |
USD Term Loan N, (1-mo. LIBOR US + 2.50%), 7.69%, 01/31/28 |  |  |  |  | 2,578 |  |  |  | 2,553,096 |
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1-mo. SONIA + 3.25%), 7.68%, 01/15/27 |  | GBP |  |  | 1,400 |  |  |  | 1,695,998 |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27 |  | USD |  |  | 4,386 |  |  |  | 3,432,557 |
|  |  |  |  |  |  |  |  | 26,006,923 |
Electric Utilities — 0.1% |  |  |  |  |  |  |  |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25 |  |  |  |  | 651 |  |  |  | 650,457 |
Electrical Equipment — 0.3% |  |  |  |  |  |  |  |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(e) |  |  |  |  | 1,330 |  |  |  | 1,293,722 |
Electronic Equipment, Instruments & Components — 0.3% |
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29 |  |  |  |  | 1,392 |  |  |  | 1,387,173 |
Energy Equipment & Services — 0.6% |  |  |  |
Lealand Finance Co. BV |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24 |  |  |  |  | 46 |  |  |  | 34,517 |
2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(h) |  |  |  |  | 347 |  |  |  | 194,298 |
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28 |  |  |  |  | 2,674 |  |  |  | 2,665,294 |
|  |  |  |  |  |  |  |  | 2,894,109 |
Entertainment — 4.0% |  |  |  |  |  |  |  |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26 |  |  |  |  | 1,306 |  |  |  | 1,016,890 |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29 |  |  |  |  | 87 |  |  |  | 87,719 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Entertainment (continued) |  |  |  |  |  |  |  |
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30 |  | USD |  |  | 813 |  |  | $ | 805,345 |
City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28 |  |  |  |  | 1,465 |  |  |  | 1,435,985 |
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28 |  |  |  |  | 1,411 |  |  |  | 1,406,875 |
Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30 |  |  |  |  | 1,104 |  |  |  | 1,103,448 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24 |  |  |  |  | 3,449 |  |  |  | 3,194,151 |
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26 |  |  |  |  | 2,239 |  |  |  | 2,231,274 |
Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28 |  |  |  |  | 1,497 |  |  |  | 1,490,182 |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25 |  |  |  |  | 1,691 |  |  |  | 1,685,018 |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26 |  |  |  |  | 765 |  |  |  | 763,207 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25 |  |  |  |  | 2,567 |  |  |  | 2,557,578 |
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28 |  |  |  |  | 2,416 |  |  |  | 2,407,419 |
|  |  |  |  |  |  |  |  | 20,185,091 |
Financial Services — 4.4% |  |  |  |  |  |  |  |
ABG Intermediate Holdings 2 LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.20%, 12/20/29 |  |  |  |  | 181 |  |  |  | 167,425 |
2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28 |  |  |  |  | 718 |  |  |  | 714,057 |
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28 |  |  |  |  | 1,726 |  |  |  | 1,530,452 |
Belron Finance U.S. LLC |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25 |  |  |  |  | 1,957 |  |  |  | 1,955,973 |
2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26 |  |  |  |  | 1,122 |  |  |  | 1,120,421 |
2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28 |  |  |  |  | 1,702 |  |  |  | 1,698,722 |
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29 |  |  |  |  | 426 |  |  |  | 425,736 |
Deerfield Dakota Holding LLC |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27 |  |  |  |  | 5,607 |  |  |  | 5,430,808 |

Security |  |  |  | Par (000) |  |  | Value |
Financial Services (continued) |  |  |  |  |  |  |  |
Deerfield Dakota Holding LLC (continued) |  |  |  |  |  |  |  |  |  |
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28 |  | USD |  |  | 1,594 |  |  | $ | 1,476,442 |
FinCo I LLC, 2020 Term Loan B, (6-mo. LIBOR US + 2.50%), 8.08%, 06/27/25 |  |  |  |  | — | (m) |  |  | 184 |
LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27 |  |  |  |  | 435 |  |  |  | 416,594 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25 |  |  |  |  | 1,503 |  |  |  | 1,496,285 |
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26 |  |  |  |  | 2,247 |  |  |  | 2,209,093 |
Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(e)(l) |  |  |  |  | 1,288 |  |  |  | 783,426 |
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29 |  |  |  |  | 672 |  |  |  | 656,775 |
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28 |  |  |  |  | 854 |  |  |  | 852,866 |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27 |  |  |  |  | 1,083 |  |  |  | 1,072,261 |
|  |  |  |  |  |  |  |  | 22,007,520 |
Food Products — 3.0% |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc. |  |  |  |  |  |  |  |  |  |
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25 |  |  |  |  | 1,172 |  |  |  | 1,073,343 |
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.97%, 10/01/25 |  |  |  |  | 1,328 |  |  |  | 1,230,426 |
Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27 |  |  |  |  | 2,900 |  |  |  | 2,880,557 |
Froneri International Ltd., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27 |  |  |  |  | 3,238 |  |  |  | 3,216,540 |
H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25 |  |  |  |  | 453 |  |  |  | 396,860 |
Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30 |  |  |  |  | 918 |  |  |  | 914,896 |
Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29 |  |  |  |  | 911 |  |  |  | 910,150 |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28 |  |  |  |  | 1,660 |  |  |  | 1,639,084 |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28 |  |  |  |  | 2,055 |  |  |  | 1,983,016 |
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28 |  |  |  |  | 600 |  |  |  | 598,328 |
|  |  |  |  |  |  |  |  | 14,843,200 |

30 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Ground Transportation — 0.7% |  |  |  |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28 |  | USD |  |  | 507 |  |  | $ | 489,987 |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27 |  |  |  |  | 566 |  |  |  | 558,099 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.80%, 08/04/25 |  |  |  |  | 1,318 |  |  |  | 1,178,349 |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30 |  |  |  |  | 1,452 |  |  |  | 1,454,188 |
|  |  |  |  |  |  |  |  | 3,680,623 |
Health Care Equipment & Supplies — 1.4% |  |  |  |
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28 |  |  |  |  | 2,139 |  |  |  | 2,088,609 |
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26 |  |  |  |  | 624 |  |  |  | 571,833 |
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28 |  |  |  |  | 671 |  |  |  | 670,461 |
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28 |  |  |  |  | 3,734 |  |  |  | 3,688,004 |
|  |  |  |  |  |  |  |  | 7,018,907 |
Health Care Providers & Services — 2.3% |  |  |  |
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28 |  |  |  |  | 894 |  |  |  | 888,934 |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27 |  |  |  |  | 1,604 |  |  |  | 1,596,394 |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28 |  |  |  |  | 1,909 |  |  |  | 1,898,917 |
Envision Healthcare Corp. |  |  |  |  |  |  |  |  |  |
2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27 |  |  |  |  | — | (m) |  |  | 495 |
2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27 |  |  |  |  | 1,390 |  |  |  | 293,818 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27 |  |  |  |  | 1,925 |  |  |  | 1,410,533 |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29 |  |  |  |  | 508 |  |  |  | 337,082 |
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28 |  |  |  |  | 465 |  |  |  | 332,218 |
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.97%, 03/06/28 |  |  |  |  | 1,391 |  |  |  | 1,335,312 |
MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26 |  |  |  |  | 1,182 |  |  |  | 1,093,502 |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29 |  |  |  |  | 536 |  |  |  | 473,690 |

Security |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |  |  |  |
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28 |  | USD |  |  | 605 |  |  | $ | 603,485 |
PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25 |  |  |  |  | 46 |  |  |  | 44,768 |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28 |  |  |  |  | 550 |  |  |  | 515,281 |
Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26 |  |  |  |  | 509 |  |  |  | 508,338 |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29 |  |  |  |  | 291 |  |  |  | 290,618 |
|  |  |  |  |  |  |  |  | 11,623,385 |
Health Care Technology — 2.4% |  |  |  |  |  |  |  |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29 |  |  |  |  | 2,605 |  |  |  | 2,504,226 |
Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28 |  |  |  |  | 4,092 |  |  |  | 3,757,905 |
Verscend Holding Corp. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 7.00%), 12.22%, 04/02/29(e) |  |  |  |  | 2,740 |  |  |  | 2,740,000 |
2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25 |  |  |  |  | 3,214 |  |  |  | 3,209,047 |
|  |  |  |  |  |  |  |  | 12,211,178 |
Hotels, Restaurants & Leisure — 5.2% |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.75%), 8.94%, 02/02/26 |  |  |  |  | 1,194 |  |  |  | 1,154,076 |
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(e) |  |  |  |  | 140 |  |  |  | 139,650 |
Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28 |  |  |  |  | 785 |  |  |  | 765,835 |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26 |  |  |  |  | 2,694 |  |  |  | 2,672,804 |
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30 |  |  |  |  | 1,128 |  |  |  | 1,127,146 |
Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25 |  |  |  |  | 1,550 |  |  |  | 1,546,958 |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28 |  |  |  |  | 1,309 |  |  |  | 1,295,646 |
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29 |  |  |  |  | 3,245 |  |  |  | 3,198,997 |
Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28 |  |  |  |  | 1,008 |  |  |  | 1,009,066 |
Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29 |  |  |  |  | 2,367 |  |  |  | 2,369,936 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |  |  |  |
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27 |  | USD |  |  | 2,127 |  |  | $ | 2,104,798 |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28 |  |  |  |  | 818 |  |  |  | 564,048 |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29 |  |  |  |  | 1,275 |  |  |  | 1,269,548 |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29 |  |  |  |  | 409 |  |  |  | 407,452 |
Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29 |  |  |  |  | 704 |  |  |  | 702,018 |
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28 |  |  |  |  | 587 |  |  |  | 584,629 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26 |  |  |  |  | 1,040 |  |  |  | 1,038,738 |
Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27 |  |  |  |  | 1,948 |  |  |  | 1,940,129 |
Whatabrands LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.47%, 08/03/28 |  |  |  |  | 1,976 |  |  |  | 1,961,703 |
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30 |  |  |  |  | 172 |  |  |  | 172,496 |
|  |  |  |  |  |  |  |  | 26,025,673 |
Household Durables — 1.2% |  |  |  |  |  |  |  |
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28 |  |  |  |  | 1,419 |  |  |  | 1,189,349 |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29 |  |  |  |  | 2,077 |  |  |  | 1,965,065 |
Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(l) |  |  |  |  | 412 |  |  |  | 411,775 |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28 |  |  |  |  | 720 |  |  |  | 580,589 |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27 |  |  |  |  | 2,072 |  |  |  | 1,814,488 |
|  |  |  |  |  |  |  |  | 5,961,266 |
Household Products — 0.4% |  |  |  |  |  |  |  |
Diamond BC BV, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28 |  |  |  |  | 1,512 |  |  |  | 1,509,329 |
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.38%, 12/22/26 |  |  |  |  | 353 |  |  |  | 346,979 |
|  |  |  |  |  |  |  |  | 1,856,308 |

Security |  |  |  | Par (000) |  |  | Value |
Independent Power and Renewable Electricity Producers — 0.8% |
Calpine Corp. |  |  |  |  |  |  |  |  |  |
2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26 |  | USD |  |  | 1,035 |  |  | $ | 1,032,981 |
Term Loan B9, (1-mo. LIBOR US + 2.00%), 7.20%, 04/05/26 |  |  |  |  | 1,874 |  |  |  | 1,871,071 |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27 |  |  |  |  | 1,046 |  |  |  | 1,038,833 |
|  |  |  |  |  |  |  |  | 3,942,885 |
Industrial Conglomerates — 0.1% |  |  |  |  |  |  |  |
Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28 |  |  |  |  | 951 |  |  |  | 703,784 |
Insurance — 4.1% |  |  |  |  |  |  |  |
Alliant Holdings Intermediate LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27 |  |  |  |  | 3,266 |  |  |  | 3,243,782 |
2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27 |  |  |  |  | 3,526 |  |  |  | 3,500,870 |
AmWINS Group, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28 |  |  |  |  | 2,327 |  |  |  | 2,303,917 |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28 |  |  |  |  | 447 |  |  |  | 445,173 |
AssuredPartners, Inc. |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 1,275 |  |  |  | 1,262,892 |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 760 |  |  |  | 751,675 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29 |  |  |  |  | 396 |  |  |  | 395,400 |
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30 |  |  |  |  | 4,422 |  |  |  | 4,431,890 |
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27 |  |  |  |  | 1,165 |  |  |  | 1,162,419 |
USI, Inc. |  |  |  |  |  |  |  |  |  |
2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26 |  |  |  |  | 244 |  |  |  | 243,811 |
2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29 |  |  |  |  | 2,917 |  |  |  | 2,909,482 |
|  |  |  |  |  |  |  |  | 20,651,311 |
Interactive Media & Services — 1.3% |  |  |  |  |  |  |  |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28 |  |  |  |  | 380 |  |  |  | 374,869 |
Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28 |  |  |  |  | 1,143 |  |  |  | 1,143,051 |
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26 |  |  |  |  | 1,769 |  |  |  | 1,765,675 |

32 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Interactive Media & Services (continued) |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26 |  | USD |  |  | 1,921 |  |  | $ | 1,916,654 |
GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25 |  |  |  |  | 618 |  |  |  | 616,718 |
Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26 |  |  |  |  | 895 |  |  |  | 892,895 |
|  |  |  |  |  |  |  |  | 6,709,862 |
IT Services — 2.9% |  |  |  |  |  |  |  |
Asurion LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26 |  |  |  |  | 251 |  |  |  | 241,344 |
2021 2nd Lien Term Loan B3, (1-mo. LIBOR US + 5.25%), 10.51%, 01/31/28 |  |  |  |  | 985 |  |  |  | 835,734 |
2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29 |  |  |  |  | 1,402 |  |  |  | 1,172,423 |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28 |  |  |  |  | 1,095 |  |  |  | 1,039,526 |
Epicor Software Corp., 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28 |  |  |  |  | 1,886 |  |  |  | 1,881,681 |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27 |  |  |  |  | 2,807 |  |  |  | 2,761,786 |
Go Daddy Operating Co. LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27 |  |  |  |  | 1,678 |  |  |  | 1,674,861 |
2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29 |  |  |  |  | 1,269 |  |  |  | 1,270,338 |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28 |  |  |  |  | 3,326 |  |  |  | 3,302,946 |
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29 |  |  |  |  | 566 |  |  |  | 541,678 |
|  |  |  |  |  |  |  |  | 14,722,317 |
Leisure Products — 0.4% |  |  |  |  |  |  |  |
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(e) |  |  |  |  | 849 |  |  |  | 808,570 |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27 |  |  |  |  | 296 |  |  |  | 294,530 |
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30 |  |  |  |  | 1,039 |  |  |  | 1,037,659 |
|  |  |  |  |  |  |  |  | 2,140,759 |
Life Sciences Tools & Services — 2.3% |
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27 |  |  |  |  | 1,342 |  |  |  | 1,340,202 |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28 |  |  |  |  | 1,842 |  |  |  | 1,799,002 |
Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26 |  |  |  |  | 119 |  |  |  | 102,180 |

Security |  |  |  | Par (000) |  |  | Value |
Life Sciences Tools & Services (continued) |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27 |  | USD |  |  | 1,701 |  |  | $ | 1,632,577 |
Fortrea Holdings, Inc., Term Loan B, 06/12/30(l) |  |  |  |  | 381 |  |  |  | 380,810 |
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 |  |  |  |  | 2,010 |  |  |  | 2,008,871 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27 |  |  |  |  | 1,287 |  |  |  | 1,285,669 |
Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28 |  |  |  |  | 2,668 |  |  |  | 2,644,350 |
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 |  |  |  |  | 501 |  |  |  | 500,513 |
|  |  |  |  |  |  |  |  | 11,694,174 |
Machinery — 5.0% |  |  |  |  |  |  |  |
Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(e) |  |  |  |  | 1,724 |  |  |  | 1,710,899 |
Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29 |  |  |  |  | 262 |  |  |  | 261,525 |
Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28 |  |  |  |  | 330 |  |  |  | 328,420 |
Filtration Group Corp. |  |  |  |  |  |  |  |  |  |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28 |  |  |  |  | 1,021 |  |  |  | 1,016,081 |
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28 |  |  |  |  | 2,088 |  |  |  | 2,085,714 |
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27 |  |  |  |  | 2,124 |  |  |  | 2,111,330 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 |  |  |  |  | 2,464 |  |  |  | 2,459,105 |
Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28 |  |  |  |  | 3,245 |  |  |  | 3,174,454 |
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29 |  |  |  |  | 1,948 |  |  |  | 1,938,377 |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29 |  |  |  |  | 1,728 |  |  |  | 1,704,523 |
Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25 |  |  |  |  | 4,184 |  |  |  | 4,077,137 |
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27 |  |  |  |  | 1,989 |  |  |  | 1,969,250 |
Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27 |  |  |  |  | 2,126 |  |  |  | 2,116,233 |
Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28 |  |  |  |  | 110 |  |  |  | 110,044 |
|  |  |  |  |  |  |  |  | 25,063,092 |
Media — 4.0% |  |  |  |  |  |  |  |
AVSC Holding Corp.(l) |  |  |  |  |  |  |  |  |  |
2020 Term Loan B1, 03/03/25 |  |  |  |  | 865 |  |  |  | 842,354 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |
AVSC Holding Corp.(l) (continued) |  |  |  |  |  |  |  |  |  |
2020 Term Loan B3, 10/15/26 |  | USD |  |  | 812 |  |  | $ | 843,774 |
Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28 |  |  |  |  | 428 |  |  |  | 419,267 |
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25 |  |  |  |  | 2,554 |  |  |  | 2,550,974 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 08/21/26 |  |  |  |  | 3,087 |  |  |  | 2,941,846 |
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.84%, 12/17/26 |  |  |  |  | — | (m) |  |  | 183 |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28 |  |  |  |  | 1,377 |  |  |  | 1,364,825 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25 |  |  |  |  | 872 |  |  |  | 838,782 |
2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27 |  |  |  |  | 1,826 |  |  |  | 1,590,918 |
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27 |  |  |  |  | 1,954 |  |  |  | 1,907,678 |
E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28 |  |  |  |  | 467 |  |  |  | 453,188 |
ECL Entertainment LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.50%), 12.72%, 05/01/28 |  |  |  |  | 804 |  |  |  | 805,609 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23 |  |  |  |  | 745 |  |  |  | 576,508 |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.72%, 09/18/26 |  |  |  |  | 912 |  |  |  | 910,188 |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(e) |  |  |  |  | 1,565 |  |  |  | 1,177,806 |
Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(e) |  |  |  |  | 876 |  |  |  | 871,769 |
Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28 |  |  |  |  | 1,876 |  |  |  | 1,845,177 |
|  |  |  |  |  |  |  |  | 19,940,846 |
Oil, Gas & Consumable Fuels — 1.1% |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28 |  |  |  |  | 3,251 |  |  |  | 3,180,134 |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29 |  |  |  |  | 228 |  |  |  | 226,136 |

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |
Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28 |  | USD |  |  | 1,664 |  |  | $ | 1,648,494 |
Murphy USA, Inc., Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 1.75%), 6.92%, 01/31/28 |  |  |  |  | 563 |  |  |  | 562,756 |
|  |  |  |  |  |  |  |  | 5,617,520 |
Passenger Airlines — 2.3% |  |  |  |  |  |  |  |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28 |  |  |  |  | 1,434 |  |  |  | 1,462,417 |
Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28 |  |  |  |  | 1,784 |  |  |  | 1,781,824 |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.00%, 01/29/27 |  |  |  |  | 146 |  |  |  | 141,891 |
2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28 |  |  |  |  | 2,190 |  |  |  | 2,147,711 |
Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26 |  |  |  |  | 741 |  |  |  | 717,914 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27 |  |  |  |  | 2,335 |  |  |  | 2,423,305 |
United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28 |  |  |  |  | 2,583 |  |  |  | 2,577,983 |
|  |  |  |  |  |  |  |  | 11,253,045 |
Personal Care Products — 1.1% |  |  |  |  |  |  |  |
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26 |  |  |  |  | 5,278 |  |  |  | 5,242,694 |
Pharmaceuticals — 1.6% |  |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25 |  |  |  |  | 1,059 |  |  |  | 1,018,561 |
Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28 |  |  |  |  | 774 |  |  |  | 751,268 |
Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27 |  |  |  |  | 954 |  |  |  | 717,457 |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27 |  |  |  |  | 1,273 |  |  |  | 1,248,406 |
Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28 |  |  |  |  | 1,904 |  |  |  | 1,900,990 |
Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28 |  |  |  |  | 1,238 |  |  |  | 1,236,266 |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(e) |  |  |  |  | 1,086 |  |  |  | 1,039,496 |
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 07/03/28 |  |  |  |  | 133 |  |  |  | 133,022 |
|  |  |  |  |  |  |  |  | 8,045,466 |

34 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Professional Services — 3.8% |  |  |  |  |  |  |  |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28 |  | USD |  |  | 1,516 |  |  | $ | 1,511,521 |
CoreLogic, Inc. |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.75%, 06/04/29 |  |  |  |  | 1,248 |  |  |  | 1,001,520 |
Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28 |  |  |  |  | 3,061 |  |  |  | 2,759,091 |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29 |  |  |  |  | 617 |  |  |  | 614,873 |
Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26 |  |  |  |  | 2,010 |  |  |  | 2,010,740 |
Element Materials Technology Group U.S. Holdings, Inc. |  |  |  |  |  |  |  |  |  |
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 |  |  |  |  | 527 |  |  |  | 514,599 |
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 |  |  |  |  | 1,141 |  |  |  | 1,114,966 |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28 |  |  |  |  | 1,931 |  |  |  | 1,913,887 |
Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(e) |  |  |  |  | 1,736 |  |  |  | 1,627,390 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25 |  |  |  |  | 829 |  |  |  | 827,320 |
Trans Union LLC |  |  |  |  |  |  |  |  |  |
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26 |  |  |  |  | 1,626 |  |  |  | 1,620,564 |
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28 |  |  |  |  | 1,963 |  |  |  | 1,956,835 |
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27 |  |  |  |  | 1,451 |  |  |  | 1,421,822 |
|  |  |  |  |  |  |  |  | 18,895,128 |
Real Estate Management & Development — 0.4% |  |  |  |
Cushman & Wakefield U.S. Borrower LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25 |  |  |  |  | 641 |  |  |  | 635,117 |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(e) |  |  |  |  | 1,617 |  |  |  | 1,564,138 |
|  |  |  |  |  |  |  |  | 2,199,255 |
Semiconductors & Semiconductor Equipment — 0.3% |
MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29 |  |  |  |  | 988 |  |  |  | 987,537 |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28 |  |  |  |  | 545 |  |  |  | 537,381 |
|  |  |  |  |  |  |  |  | 1,524,918 |
Software — 11.4% |  |  |  |  |  |  |  |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 11.99%, 09/17/27 |  |  |  |  | 630 |  |  |  | 629,609 |

Security |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |
Applied Systems, Inc. (continued) |  |  |  |  |  |  |  |  |  |
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26 |  | USD |  |  | 680 |  |  | $ | 680,718 |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29 |  |  |  |  | 658 |  |  |  | 633,525 |
Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25 |  |  |  |  | 1,757 |  |  |  | 1,740,666 |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28 |  |  |  |  | 1,470 |  |  |  | 1,464,109 |
Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29 |  |  |  |  | 1,218 |  |  |  | 1,213,666 |
Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29 |  |  |  |  | 3,878 |  |  |  | 3,621,344 |
Cloudera, Inc. |  |  |  |  |  |  |  |  |  |
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(e) |  |  |  |  | 676 |  |  |  | 608,400 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28 |  |  |  |  | 739 |  |  |  | 719,517 |
Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28 |  |  |  |  | 1,045 |  |  |  | 972,299 |
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28 |  |  |  |  | 330 |  |  |  | 300,026 |
E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28 |  |  |  |  | 249 |  |  |  | 247,119 |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27 |  |  |  |  | 2,777 |  |  |  | 2,766,713 |
Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28 |  |  |  |  | 2,660 |  |  |  | 2,650,616 |
Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28 |  |  |  |  | 636 |  |  |  | 635,556 |
Magenta Buyer LLC |  |  |  |  |  |  |  |  |  |
2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28 |  |  |  |  | 2,084 |  |  |  | 1,561,915 |
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29 |  |  |  |  | 1,907 |  |  |  | 1,229,952 |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29 |  |  |  |  | 3,019 |  |  |  | 2,882,354 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29 |  |  |  |  | 1,724 |  |  |  | 1,494,737 |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28 |  |  |  |  | 6,856 |  |  |  | 6,568,165 |
NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29 |  |  |  |  | 1,469 |  |  |  | 1,461,218 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.59%, 12/18/28 |  | USD |  |  | 824 |  |  | $ | 725,120 |
Proofpoint, Inc. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28 |  |  |  |  | 2,456 |  |  |  | 2,401,177 |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.47%, 08/31/29 |  |  |  |  | 1,281 |  |  |  | 1,239,367 |
RealPage, Inc. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28 |  |  |  |  | 5,401 |  |  |  | 5,278,407 |
2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29 |  |  |  |  | 2,629 |  |  |  | 2,539,249 |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25 |  |  |  |  | 1,123 |  |  |  | 1,121,737 |
Sophia LP |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.20%, 10/09/28 |  |  |  |  | 2,509 |  |  |  | 2,496,455 |
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27 |  |  |  |  | 1,953 |  |  |  | 1,930,324 |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 |  |  |  |  | 346 |  |  |  | 345,142 |
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 |  |  |  |  | 308 |  |  |  | 308,048 |
2018 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 |  |  |  |  | 1,630 |  |  |  | 1,628,087 |
UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27 |  |  |  |  | 1,216 |  |  |  | 1,176,252 |
Ultimate Software Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26 |  |  |  |  | 1,473 |  |  |  | 1,451,524 |
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28 |  |  |  |  | 287 |  |  |  | 282,752 |
ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30 |  |  |  |  | 191 |  |  |  | 190,683 |
|  |  |  |  |  |  |  |  | 57,196,548 |
Specialty Retail — 1.9% |  |  |  |  |  |  |  |
EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25 |  |  |  |  | 1,220 |  |  |  | 1,197,376 |
EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26 |  |  |  |  | 499 |  |  |  | 495,040 |
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28 |  |  |  |  | 2,630 |  |  |  | 2,604,017 |
PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28 |  |  |  |  | 3,238 |  |  |  | 3,227,643 |

Security |  |  |  | Par (000) |  |  | Value |
Specialty Retail (continued) |  |  |  |  |  |  |  |
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28 |  | USD |  |  | 965 |  |  | $ | 962,714 |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28 |  |  |  |  | 747 |  |  |  | 720,261 |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28 |  |  |  |  | 205 |  |  |  | 190,383 |
|  |  |  |  |  |  |  |  | 9,397,434 |
Technology Hardware, Storage & Peripherals — 0.1% |
Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26 |  |  |  |  | 683 |  |  |  | 461,255 |
Vericast Corp., 2022 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.75%), 13.25%, 06/16/26 |  |  |  |  | — | (m) |  |  | 1 |
|  |  |  |  |  |  |  |  | 461,256 |
Textiles, Apparel & Luxury Goods — 0.3% |  |  |  |
Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29 |  |  |  |  | 831 |  |  |  | 832,011 |
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(e) |  |  |  |  | 470 |  |  |  | 470,997 |
|  |  |  |  |  |  |  |  | 1,303,008 |
Trading Companies & Distributors — 2.2% |  |  |  |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28 |  |  |  |  | 1,209 |  |  |  | 1,204,028 |
Core & Main LP, 2021 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28 |  |  |  |  | 3,541 |  |  |  | 3,518,108 |
SRS Distribution, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28 |  |  |  |  | 2,397 |  |  |  | 2,324,732 |
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28 |  |  |  |  | 860 |  |  |  | 837,496 |
TMK Hawk Parent Corp.(e) |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24 |  |  |  |  | 1,014 |  |  |  | 999,112 |
2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24 |  |  |  |  | 3,197 |  |  |  | 1,933,912 |
|  |  |  |  |  |  |  |  | 10,817,388 |
Transportation Infrastructure — 0.5% |  |  |  |
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28 |  |  |  |  | 671 |  |  |  | 667,117 |
KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28 |  |  |  |  | 825 |  |  |  | 816,527 |

36 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Transportation Infrastructure (continued) |  |  |  |
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26 |  | USD |  |  | 737 |  |  | $ | 689,371 |
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30 |  |  |  |  | 222 |  |  |  | 207,605 |
|  |  |  |  |  |  |  |  | 2,380,620 |
Wireless Telecommunication Services — 0.9% |  |  |  |
Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24 |  |  |  |  | 494 |  |  |  | 452,072 |
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28 |  |  |  |  | 824 |  |  |  | 821,667 |
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25 |  |  |  |  | 3,283 |  |  |  | 3,281,908 |
|  |  |  |  |  |  |  |  | 4,555,647 |
Total Floating Rate Loan Interests — 106.9% (Cost: $549,868,047) |  |  |  | 534,353,295 |
|  |  |  | Shares |  |  |  |
Investment Companies |  |  |  |  |  |  |  |  |  |
Equity Funds — 0.1% |  |  |  |  |  |  |  |
Janus Henderson AAA CLO ETF |  |  |  |  | 10,000 |  |  |  | 498,500 |
Fixed Income Funds — 0.8% |  |  |  |  |  |  |  |
Invesco Senior Loan ETF |  |  |  |  | 116,200 |  |  |  | 2,444,848 |
iShares iBoxx $ High Yield Corporate Bond ETF(n) |  |  |  |  | 20,000 |  |  |  | 1,501,400 |
|  |  |  |  |  |  |  |  | 3,946,248 |
Total Investment Companies — 0.9% (Cost: $4,445,634) |  |  |  | 4,444,748 |
|  |  |  | Benefical Interest (000) |  |  |  |
Other Interests |  |  |  |  |  |  |  |  |  |
Capital Markets — 0.0% |  |  |  |  |  |  |  |
Millennium Lender Claim Trust(e)(o) |  | USD |  |  | 1,156 |  |  |  | — |
Industrial Conglomerates — 0.0% |  |  |  |  |  |  |  |
Millennium Corp. Claim(e)(o) |  |  |  |  | 1,084 |  |  |  | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  |  | — |
|  |  |  | Par (000) |  |  |  |
Preferred Securities |  |  |  |  |  |  |  |  |  |
Capital Trusts — 0.3%(a) |  |  |  |  |  |  |  |
Automobiles — 0.0% |  |  |  |  |  |  |  |
General Motors Financial Co., Inc., Series C, 5.70%(i) |  | USD |  |  | 50 |  |  |  | 43,892 |
Banks(i) — 0.1% |  |  |  |  |  |  |  |
AIB Group PLC, 5.25%(c) |  | EUR |  |  | 200 |  |  |  | 203,574 |

Security |  |  |  | Par (000) |  |  | Value |
Banks (continued) |  |  |  |
Citigroup, Inc., Series P, 5.95% |  | USD |  |  | 220 |  |  | $ | 210,986 |
Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 5.46% |  |  |  |  | 10 |  |  |  | 9,941 |
PNC Financial Services Group, Inc. |  |  |  |  |  |  |  |  |  |
6.25%, 12/31/99 |  |  |  |  | 72 |  |  |  | 64,638 |
Series V, 6.20% |  |  |  |  | 67 |  |  |  | 62,454 |
|  |  |  |  |  |  |  |  | 551,593 |
Diversified Telecommunication Services — 0.0% |
Telefonica Europe BV, 6.14%(c)(i) |  | EUR |  |  | 100 |  |  |  | 105,164 |
Electric Utilities — 0.1% |  |  |  |  |  |  |  |
Edison International, Series B, 5.00%(i) |  | USD |  |  | 55 |  |  |  | 47,515 |
EDP - Energias de Portugal SA, 5.94%, 04/23/83(c) |  | EUR |  |  | 100 |  |  |  | 108,030 |
Electricite de France SA, 3.38%(c)(i) |  |  |  |  | 200 |  |  |  | 167,124 |
|  |  |  |  |  |  |  |  | 322,669 |
Financial Services — 0.0% |  |  |  |
Barclays PLC, 4.38%(i) |  | USD |  |  | 200 |  |  |  | 135,880 |
Independent Power and Renewable Electricity Producers(b)(i) — 0.1% |
NRG Energy, Inc., 10.25% |  |  |  |  | 112 |  |  |  | 105,613 |
Vistra Corp., 7.00% |  |  |  |  | 77 |  |  |  | 67,182 |
|  |  |  |  |  |  |  |  | 172,795 |
|  |  |  |  |  |  |  |  | 1,331,993 |
|  |  |  | Shares |  |  |  |
Preferred Stocks — 0.0% |  |  |  |  |  |  |  |
Financial Services — 0.0% |  |  |  |  |  |  |  |
Alliant Holdings, Inc.(e) |  |  |  |  | 83 |  |  |  | 78,858 |
|  |  |  |  |  |  |  |  | 78,858 |
Total Preferred Securities — 0.3% (Cost: $1,589,000) |  |  |  | 1,410,851 |
Warrants |  |  |  |  |  |  |  |  |  |
Consumer Discretionary — 0.0% |  |  |  |  |  |  |  |
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(d) |  |  |  |  | 3,030 |  |  |  | — |
Energy Equipment & Services — 0.0% |  |  |  |
Turbo Cayman Ltd.(d)(e) |  |  |  |  | 1 |  |  |  | — |
Oil, Gas & Consumable Fuels — 0.0% |  |  |  |
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(d) |  |  |  |  | 1,152 |  |  |  | 13,663 |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  | 13,663 |
Total Investments — 126.8% (Cost: $676,983,779) |  |  |  | 633,545,247 |
Liabilities in Excess of Other Assets — (26.8)% |  |  |  | (133,795,867 | )
Net Assets — 100.0% |  |  | $ | 499,749,380 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

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

(d) | Non-income producing security.

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

(f) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $0, representing 0.00% of its net assets as of period end, and an original cost of $0.

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

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

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

(j) | Convertible security.

(k) | Zero-coupon bond.

(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) | Affiliate of the Fund.

(o) | 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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/22 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/23 |  |  | Shares Held at 06/30/23 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) |  | $ | 482,274 |  |  | $ | — |  |  | $ | (482,274 | )(b) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | — |  |  | $ | 21,554 |  |  | $ | — |
iShares iBoxx $ High Yield Corporate Bond ETF |  |  | — |  |  |  | 4,175,600 |  |  |  | (2,611,534 | ) |  |  | (45,666 | ) |  |  | (17,000 | ) |  |  | 1,501,400 |  |  |  | 20,000 |  |  |  | 38,397 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (45,666 | ) |  | $ | (17,000 | ) |  | $ | 1,501,400 |  |  |  |  |  |  | $ | 59,951 |  |  | $ | — |

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

| (b) | 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 |  |  | 104,394 |  |  | EUR |  |  | 95,000 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  |  | $ | 334 |
USD |  |  | 520,854 |  |  | EUR |  |  | 474,635 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  |  |  | 952 |
USD |  |  | 3,365,658 |  |  | EUR |  |  | 3,067,000 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  |  |  | 6,150 |
USD |  |  | 295,633 |  |  | EUR |  |  | 269,365 |  |  | Toronto-Dominion Bank |  |  | 09/20/23 |  |  |  |  |  |  |  | 578 |
USD |  |  | 1,696,470 |  |  | GBP |  |  | 1,323,000 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  |  |  | 15,903 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 23,917 |
USD |  |  | 100,805 |  |  | EUR |  |  | 93,000 |  |  | Bank of America N.A. |  |  | 09/20/23 |  |  |  |  |  |  |  | (1,065 | )
USD |  |  | 162,197 |  |  | EUR |  |  | 150,000 |  |  | Bank of America N.A. |  |  | 09/20/23 |  |  |  |  |  |  |  | (2,109 | )
USD |  |  | 5,379 |  |  | EUR |  |  | 5,000 |  |  | Barclays Bank PLC |  |  | 09/20/23 |  |  |  |  |  |  |  | (98 | )
USD |  |  | 126,629 |  |  | GBP |  |  | 100,000 |  |  | Barclays Bank PLC |  |  | 09/20/23 |  |  |  |  |  |  |  | (398 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (3,670 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 20,247 |

38 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

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.39.V2 |  |  | 5.00 | % |  |  | Quarterly |  |  |  | 12/20/27 |  |  |  | B |  |  |  | USD 4,049 |  |  | $ | 136,225 |  |  | $ | (57,122 | ) |  | $ | 193,347 |

| (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) |
Casino, Guichard-Perrachon S.A. |  |  | 5.00 | % |  |  | Quarterly |  |  | BNP Paribas SA |  |  | 12/20/23 |  |  | CC |  | EUR |  |  | 6 |  |  | $ | (6,042 | ) |  | $ | (298 | ) |  | $ | (5,744 | )
Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 06/20/26 |  |  | BB- |  | EUR |  |  | 4 |  |  |  | 50 |  |  |  | (104 | ) |  |  | 154 |
Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 12/20/26 |  |  | BB- |  | EUR |  |  | 1 |  |  |  | (7 | ) |  |  | 49 |  |  |  | (56 | )
Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 12/20/26 |  |  | BB- |  | EUR |  |  | 10 |  |  |  | (43 | ) |  |  | 306 |  |  |  | (349 | )
CMA CGM SA |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 06/20/27 |  |  | NR |  | EUR |  |  | 8 |  |  |  | 774 |  |  |  | 297 |  |  |  | 477 |
Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 12/20/27 |  |  | CCC+ |  | EUR |  |  | 15 |  |  |  | (3,733 | ) |  |  | (3,166 | ) |  |  | (567 | )
United Group B.V. |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 12/20/27 |  |  | B |  | EUR |  |  | 5 |  |  |  | (446 | ) |  |  | (636 | ) |  |  | 190 |
United Group B.V. |  |  | 5.00 |  |  |  | Quarterly |  |  | Morgan Stanley & Co. International PLC |  |  | 12/20/27 |  |  | B |  | EUR |  |  | 5 |  |  |  | (540 | ) |  |  | (832 | ) |  |  | 292 |
K&S AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Morgan Stanley & Co. International PLC |  |  | 06/20/28 |  |  | BBB- |  | EUR |  |  | 5 |  |  |  | 676 |  |  |  | 529 |  |  |  | 147 |
Ladbrokes Coral Group Ltd. |  |  | 1.00 |  |  |  | Quarterly |  |  | Morgan Stanley & Co. International PLC |  |  | 06/20/28 |  |  | BB |  | EUR |  |  | 14 |  |  |  | (497 | ) |  |  | (995 | ) |  |  | 498 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (9,808 | ) |  | $ | (4,850 | ) |  | $ | (4,958 | )

| (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) |  | $ | — |  |  | $ | (57,122 | ) |  | $ | 193,347 |  |  | $ | — |
OTC Swaps |  |  | 1,181 |  |  |  | (6,031 | ) |  |  | 1,758 |  |  |  | (6,716 | )

| (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. |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

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

|  | Commodity Contracts |  |  | Credit Contracts |  |  | Equity Contracts |  |  | Foreign Currency Exchange Contracts |  |  | Interest Rate Contracts |  |  | Other Contracts |  |  | Total |
Assets — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 23,917 |  |  | $ | — |  |  | $ | — |  |  | $ | 23,917 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on centrally cleared swaps(a) |  |  | — |  |  |  | 193,347 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 193,347 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | 2,939 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,939 |
|  | $ | — |  |  | $ | 196,286 |  |  | $ | — |  |  | $ | 23,917 |  |  | $ | — |  |  | $ | — |  |  | $ | 220,203 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 3,670 |  |  | $ | — |  |  | $ | — |  |  | $ | 3,670 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  |  | 12,747 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 12,747 |
|  | $ | — |  |  | $ | 12,747 |  |  | $ | — |  |  | $ | 3,670 |  |  | $ | — |  |  | $ | — |  |  | $ | 16,417 |

| (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, 2023, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (53,804 | ) |  | $ | — |  |  | $ | — |  |  | $ | (53,804 | )
Swaps |  |  | — |  |  |  | 99,148 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 99,148 |
|  | $ | — |  |  | $ | 99,148 |  |  | $ | — |  |  | $ | (53,804 | ) |  | $ | — |  |  | $ | — |  |  | $ | 45,344 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 18,089 |  |  | $ | — |  |  | $ | — |  |  | $ | 18,089 |
Swaps |  |  | — |  |  |  | 134,250 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 134,250 |
|  | $ | — |  |  | $ | 134,250 |  |  | $ | — |  |  | $ | 18,089 |  |  | $ | — |  |  | $ | — |  |  | $ | 152,339 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 6,049,542 |
Average amounts sold — in USD |  | $ | 280,340 |
Credit default swaps: |  |  |  |
Average notional value — sell protection |  | $ | 4,164,004 |

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

40 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

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

|  | Assets |  |  | Liabilities |
Derivative Financial Instruments |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | 23,917 |  |  | $ | 3,670 |
Swaps — centrally cleared |  |  | 29,406 |  |  |  | — |
Swaps — OTC(a) |  |  | 2,939 |  |  |  | 12,747 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 56,262 |  |  |  | 16,417 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (29,406 | ) |  |  | — |
Total derivative assets and liabilities subject to an MNA |  | $ | 26,856 |  |  | $ | 16,417 |

| (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. |  | $ | 344 |  |  | $ | (344 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
BNP Paribas SA |  |  | 23,339 |  |  |  | (6,042 | ) |  |  | — |  |  |  | — |  |  |  | 17,297 |
Credit Suisse International |  |  | 1,129 |  |  |  | (405 | ) |  |  | — |  |  |  | — |  |  |  | 724 |
Morgan Stanley & Co. International PLC |  |  | 1,466 |  |  |  | (1,466 | ) |  |  | — |  |  |  | — |  |  |  | — |
Toronto-Dominion Bank |  |  | 578 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 578 |
|  | $ | 26,856 |  |  | $ | (8,257 | ) |  | $ | — |  |  | $ | — |  |  | $ | 18,599 |

Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged |  |  |  | Net Amount of Derivative Liabilities | (b)(d)
Bank of America N.A. |  | $ | 7,647 |  |  | $ | (344 | ) |  | $ | — |  |  | $ | — |  |  | $ | 7,303 |
Barclays Bank PLC |  |  | 496 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 496 |
BNP Paribas SA |  |  | 6,042 |  |  |  | (6,042 | ) |  |  | — |  |  |  | — |  |  |  | — |
Credit Suisse International |  |  | 405 |  |  |  | (405 | ) |  |  | — |  |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 1,827 |  |  |  | (1,466 | ) |  |  | — |  |  |  | — |  |  |  | 361 |
|  | $ | 16,417 |  |  | $ | (8,257 | ) |  | $ | — |  |  | $ | — |  |  | $ | 8,160 |

| (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) | 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 |  | $ | — |  |  | $ | 4,144,645 |  |  | $ | — |  |  | $ | 4,144,645 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  |  | — |  |  |  | 25,467 |  |  |  | — |  |  |  | 25,467 |

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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Common Stocks (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Electrical Equipment |  | $ | 16,728 |  |  | $ | — |  |  | $ | — |  |  | $ | 16,728 |
Energy Equipment & Services |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Financial Services |  |  | — |  |  |  | 182,163 |  |  |  | — |  |  |  | 182,163 |
Industrial Conglomerates |  |  | — |  |  |  | 17 |  |  |  | — |  |  |  | 17 |
Oil, Gas & Consumable Fuels |  |  | — |  |  |  | — |  |  |  | 10,752 |  |  |  | 10,752 |
Semiconductors & Semiconductor Equipment |  |  | 5,998 |  |  |  | — |  |  |  | — |  |  |  | 5,998 |
Corporate Bonds |  |  | — |  |  |  | 88,936,919 |  |  |  | 1 |  |  |  | 88,936,920 |
Floating Rate Loan Interests |  |  | — |  |  |  | 512,645,949 |  |  |  | 21,707,346 |  |  |  | 534,353,295 |
Investment Companies |  |  | 4,444,748 |  |  |  | — |  |  |  | — |  |  |  | 4,444,748 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts |  |  | — |  |  |  | 1,331,993 |  |  |  | — |  |  |  | 1,331,993 |
Preferred Stocks |  |  | — |  |  |  | — |  |  |  | 78,858 |  |  |  | 78,858 |
Warrants |  |  | 13,663 |  |  |  | — |  |  |  | — |  |  |  | 13,663 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | (19,097 | ) |  |  | — |  |  |  | (19,097 | )
|  | $ | 4,481,137 |  |  | $ | 607,248,056 |  |  | $ | 21,796,957 |  |  | $ | 633,526,150 |
Derivative Financial Instruments(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  | $ | — |  |  | $ | 195,105 |  |  | $ | — |  |  | $ | 195,105 |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | 23,917 |  |  |  | — |  |  |  | 23,917 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  |  | — |  |  |  | (6,716 | ) |  |  | — |  |  |  | (6,716 | )
Foreign Currency Exchange Contracts |  |  | — |  |  |  | (3,670 | ) |  |  | — |  |  |  | (3,670 | )
|  | $ | — |  |  | $ | 208,636 |  |  | $ | — |  |  | $ | 208,636 |

| (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 $137,000,000 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 and derivative financial instruments 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 |  |  | Warrants |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2022 |  | $ | 12,356 |  |  | $ | 1 |  |  | $ | 11,366,161 |  |  | $ | — | (a) |  | $ | 75,612 |  |  | $ | — | (a) |  | $ | 11,454,130 |
Transfers into Level 3(b) |  |  | — |  |  |  | — |  |  |  | 9,798,043 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 9,798,043 |
Transfers out of Level 3(c) |  |  | — |  |  |  | — |  |  |  | (2,186,294 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (2,186,294 | )
Accrued discounts/premiums |  |  | — |  |  |  | — |  |  |  | 231,453 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 231,453 |
Net realized gain (loss) |  |  | (254,730 | ) |  |  | — |  |  |  | (38,174 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (292,904 | )
Net change in unrealized appreciation (depreciation)(d)(e) |  |  | 254,111 |  |  |  | — |  |  |  | 337,684 |  |  |  | — |  |  |  | 3,246 |  |  |  | — |  |  |  | 595,041 |
Purchases |  |  | — |  |  |  | — |  |  |  | 4,368,028 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,368,028 |
Sales |  |  | (985 | ) |  |  | — |  |  |  | (2,169,555 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (2,170,540 | )
Closing balance, as of June 30, 2023 |  | $ | 10,752 |  |  | $ | 1 |  |  | $ | 21,707,346 |  |  | $ | — | (a) |  | $ | 78,858 |  |  | $ | — | (a) |  | $ | 21,796,957 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e) |  | $ | — |  |  | $ | — |  |  | $ | 294,504 |  |  | $ | — |  |  | $ | 3,245 |  |  | $ | — |  |  | $ | 297,749 |

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

| (b) | As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2023 is generally due to investments no longer held or categorized as Level 3 at period end. |

42 |  | 2 0 2 3 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, 2023 |  | BlackRock Debt Strategies Fund, Inc. (DSU)

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

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

Schedule of Investments (unaudited) June 30, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities |
Golub Capital Partners CLO 66B Ltd., Series 2023- 66, Class D, (3-mo. CME Term SOFR + 5.50%), 10.48%, 04/25/36(a)(b) |  | USD |  |  | 1,000 |  |  | $ | 998,106 |
Palmer Square CLO Ltd., (3-mo. Term SOFR + 5.00%), 6.80%, 04/20/36 |  |  |  |  | 1,000 |  |  |  | 1,000,646 |
Pikes Peak CLO Ltd., Series 2023-14, Class D, (3-mo. CME Term SOFR + 5.45%), 10.51%, 04/20/36(a)(b) |  |  |  |  | 1,000 |  |  |  | 1,000,956 |
Symphony CLO 38 Ltd., Series 2023-38, Class D, (3-mo. CME Term SOFR + 5.20%), 10.02%, 04/24/36(a)(b) |  |  |  |  | 1,000 |  |  |  | 983,157 |
Whitebox CLO IV Ltd., Series 2023-4A, Class D, (3-mo. CME Term SOFR + 5.15%), 9.93%, 04/20/36(a)(b) |  |  |  |  | 1,000 |  |  |  | 1,000,292 |
Total Asset-Backed Securities — 1.1% (Cost: $5,000,000) |  |  |  | 4,983,157 |
|  |  |  | Shares |  |  |  |
Common Stocks |
Construction & Engineering — 0.0% |  |  |  |  |  |
McDermott International Ltd.(c) |  |  |  |  | 123,933 |  |  |  | 22,308 |
Electrical Equipment — 0.0% |  |  |  |  |  |  |  |
SunPower Corp.(c) |  |  |  |  | 1,860 |  |  |  | 18,228 |
Energy Equipment & Services — 0.0% |  |  |  |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(e) |  |  |  |  | 6,099 |  |  |  | — |
Financial Services — 0.1% |  |  |  |  |  |  |  |
NMG Parent LLC |  |  |  |  | 3,613 |  |  |  | 445,602 |
Oil, Gas & Consumable Fuels — 0.0% |
Kcad Holdings I Ltd.(d) |  |  |  |  | 309,827,230 |  |  |  | 3,099 |
Semiconductors & Semiconductor Equipment — 0.0% |
Maxeon Solar Technologies Ltd.(c) |  |  |  |  | 232 |  |  |  | 6,533 |
Total Common Stocks — 0.1% (Cost: $5,514,227) |  |  |  |  |  |  | 495,770 |
|  |  |  | Par (000) |  |  |  |
Corporate Bonds |
Automobile Components — 0.1% |
Clarios Global LP, 6.75%, 05/15/25(b) |  | USD |  |  | 446 |  |  |  | 446,273 |
Building Materials — 0.0% |  |  |  |  |  |  |  |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) |  |  |  |  | 118 |  |  |  | 111,483 |
Building Products — 0.1% |  |  |  |  |  |  |  |
White Cap Buyer LLC, 6.88%, 10/15/28(b) |  |  |  |  | 250 |  |  |  | 226,562 |
Capital Markets — 0.0% |  |  |  |  |  |  |  |
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b) |  |  |  |  | 119 |  |  |  | 121,971 |
Chemicals(b) — 0.1% |  |  |  |  |  |  |  |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28 |  |  |  |  | 51 |  |  |  | 44,439 |
WR Grace Holdings LLC, 5.63%, 08/15/29 |  |  |  |  | 388 |  |  |  | 317,889 |
|  |  |  |  |  |  |  |  | 362,328 |

Security |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies — 0.0% |
Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, 01/15/28(b) |  | USD |  |  | 207 |  |  | $ | 193,918 |
Construction Materials — 0.0% |
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26(b) |  |  |  |  | 1,013 |  |  |  | 96,235 |
Diversified Telecommunication Services — 0.0% |
Zayo Group Holdings, Inc., 6.13%, 03/01/28(b) |  |  |  |  | 251 |  |  |  | 156,842 |
Electric Utilities — 0.0% |  |  |  |
Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(c)(d)(f) |  |  |  |  | 1,710 |  |  |  | — |
Electronic Equipment, Instruments & Components — 0.2% |
Vertiv Group Corp., 4.13%, 11/15/28(b) |  |  |  |  | 901 |  |  |  | 811,777 |
Health Care Providers & Services — 0.1% |  |  |  |
Medline Borrower LP, 5.25%, 10/01/29(b) |  |  |  |  | 384 |  |  |  | 333,196 |
Hotels, Restaurants & Leisure(b) — 0.2% |  |  |  |
Caesars Entertainment, Inc., 4.63%, 10/15/29 |  |  |  |  | 390 |  |  |  | 340,552 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc., 6.75%, 01/15/30 |  |  |  |  | 641 |  |  |  | 545,515 |
|  |  |  |  |  |  |  |  | 886,067 |
Insurance — 0.1% |  |  |  |  |  |  |  |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27(b) |  |  |  |  | 357 |  |  |  | 335,580 |
Internet Software & Services(b) — 0.1% |  |  |  |
Expedia Group, Inc., 6.25%, 05/01/25 |  |  |  |  | 337 |  |  |  | 338,096 |
Uber Technologies, Inc., 4.50%, 08/15/29 |  |  |  |  | 381 |  |  |  | 350,672 |
|  |  |  |  |  |  |  |  | 688,768 |
Media(b) — 0.2% |  |  |  |  |  |  |  |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(g) |  |  |  |  | 263 |  |  |  | 99,751 |
Odeon Finco PLC, 12.75%, 11/01/27 |  |  |  |  | 607 |  |  |  | 594,728 |
Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26 |  |  |  |  | 573 |  |  |  | 456,833 |
|  |  |  |  |  |  |  |  | 1,151,312 |
Passenger Airlines — 0.3% |  |  |  |
Allegiant Travel Co., 8.50%, 02/05/24(b) |  |  |  |  | 1,195 |  |  |  | 1,192,012 |
Real Estate Management & Development — 0.1% |
Realogy Group LLC/Realogy Co.-Issuer Corp., 5.75%, 01/15/29(b) |  |  |  |  | 510 |  |  |  | 381,588 |
Wireless Telecommunication Services — 0.0% |  |  |  |
VICI Properties LP/VICI Note Co., Inc., 4.63%, 06/15/25(b) |  |  |  |  | 138 |  |  |  | 133,342 |
Total Corporate Bonds — 1.6% (Cost: $8,950,480) |  |  |  |  |  |  |  |  | 7,629,254 |
Floating Rate Loan Interests(a) |
Aerospace & Defense — 3.5% |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. |  |  |  |  |  |  |  |  |  |
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 |  |  |  |  | 2,832 |  |  |  | 2,451,898 |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 |  |  |  |  | 576 |  |  |  | 498,691 |
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26 |  |  |  |  | 704 |  |  |  | 702,579 |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29 |  |  |  |  | 371 |  |  |  | 363,893 |

44 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Aerospace & Defense (continued) |  |  |  |  |  |  |  |
NORDAM Group, Inc., Term Loan B, (1-mo. CME Term SOFR + 5.60%), 10.70%, 04/09/26 |  | USD |  |  | 758 |  |  | $ | 644,589 |
Peraton Corp. |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29 |  |  |  |  | 1,699 |  |  |  | 1,644,132 |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28 |  |  |  |  | 5,671 |  |  |  | 5,560,235 |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28 |  |  |  |  | 1,340 |  |  |  | 1,338,566 |
TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28 |  |  |  |  | 3,001 |  |  |  | 2,998,425 |
|  |  |  |  |  |  |  |  | 16,203,008 |
Automobile Components — 0.6% |  |  |  |  |  |  |  |
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28 |  |  |  |  | 523 |  |  |  | 522,131 |
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30 |  |  |  |  | 2,264 |  |  |  | 2,256,212 |
|  |  |  |  |  |  |  |  | 2,778,343 |
Automobiles — 0.5% |  |  |  |  |  |  |  |
Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27 |  |  |  |  | 2,532 |  |  |  | 2,519,247 |
Beverages — 1.1% |  |  |  |  |  |  |  |
Naked Juice LLC |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30 |  |  |  |  | 1,804 |  |  |  | 1,420,596 |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29 |  |  |  |  | 3,875 |  |  |  | 3,597,221 |
|  |  |  |  |  |  |  |  | 5,017,817 |
Broadline Retail — 1.7% |  |  |  |  |  |  |  |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28 |  |  |  |  | 1,605 |  |  |  | 1,599,430 |
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(g) |  |  |  |  | 1,724 |  |  |  | 1,493,451 |
PUG LLC |  |  |  |  |  |  |  |  |  |
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(d) |  |  |  |  | 366 |  |  |  | 328,941 |
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 3,765 |  |  |  | 3,337,081 |
Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(d) |  |  |  |  | 632 |  |  |  | 631,624 |
Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(d) |  |  |  |  | 543 |  |  |  | 530,306 |
|  |  |  |  |  |  |  |  | 7,920,833 |
Building Products — 1.9% |  |  |  |  |  |  |  |
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29 |  |  |  |  | 261 |  |  |  | 261,444 |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28 |  |  |  |  | 265 |  |  |  | 252,957 |

Security |  |  |  | Par (000) |  |  | Value |
Building Products (continued) |  |  |  |  |  |  |  |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27 |  | USD |  |  | 1,459 |  |  | $ | 1,369,658 |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29 |  |  |  |  | 794 |  |  |  | 789,696 |
IPS Corp. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.20%, 10/01/29(d) |  |  |  |  | 1,046 |  |  |  | 815,880 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28 |  |  |  |  | 596 |  |  |  | 549,581 |
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 07/28/28 |  |  |  |  | 815 |  |  |  | 809,156 |
LSF10 XL Bidco SCA, 2021 EUR Term Loan B4, (3-mo. EURIBOR + 3.93%), 7.52%, 04/12/28 |  | EUR |  |  | 853 |  |  |  | 792,775 |
Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26 |  | USD |  |  | 3,156 |  |  |  | 3,104,949 |
|  |  |  |  |  |  |  |  | 8,746,096 |
Capital Markets — 3.5% |  |  |  |  |  |  |  |
Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26 |  |  |  |  | 1,016 |  |  |  | 1,015,915 |
Ascensus Holdings, Inc. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29 |  |  |  |  | 2,699 |  |  |  | 2,401,649 |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28 |  |  |  |  | 2,821 |  |  |  | 2,769,746 |
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29 |  |  |  |  | 1,155 |  |  |  | 1,156,414 |
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26 |  |  |  |  | 963 |  |  |  | 934,254 |
Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26 |  |  |  |  | 1,590 |  |  |  | 1,580,857 |
Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27 |  |  |  |  | 716 |  |  |  | 712,224 |
Focus Financial Partners LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28 |  |  |  |  | 1,463 |  |  |  | 1,443,178 |
2023 Term Loan B6, 06/30/28(h) |  |  |  |  | 788 |  |  |  | 782,287 |
Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24 |  |  |  |  | 1,162 |  |  |  | 1,160,221 |
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28 |  |  |  |  | 670 |  |  |  | 656,196 |
Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26 |  |  |  |  | 1,680 |  |  |  | 1,622,106 |
|  |  |  |  |  |  |  |  | 16,235,047 |
Chemicals — 5.5% |  |  |  |  |  |  |  |
Aruba Investments Holdings LLC |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 7.75%), 12.94%, 11/24/28 |  |  |  |  | 1,440 |  |  |  | 1,267,200 |
2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27 |  |  |  |  | 762 |  |  |  | 733,615 |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.99%, 08/27/26 |  |  |  |  | 2,502 |  |  |  | 2,447,135 |

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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27 |  | USD |  |  | 644 |  |  | $ | 486,044 |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29 |  |  |  |  | 952 |  |  |  | 909,139 |
Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26 |  |  |  |  | 1,972 |  |  |  | 1,970,316 |
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30 |  |  |  |  | 292 |  |  |  | 293,051 |
Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27 |  |  |  |  | 1,384 |  |  |  | 1,371,063 |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30 |  |  |  |  | 678 |  |  |  | 673,518 |
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28 |  |  |  |  | 1,069 |  |  |  | 900,603 |
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28 |  |  |  |  | 1,815 |  |  |  | 1,787,589 |
Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26 |  |  |  |  | 2,082 |  |  |  | 2,079,283 |
Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28 |  |  |  |  | 2,039 |  |  |  | 1,984,513 |
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28 |  |  |  |  | 734 |  |  |  | 725,970 |
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(h) |  |  |  |  | 677 |  |  |  | 653,163 |
OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24 |  |  |  |  | 1,709 |  |  |  | 1,676,230 |
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28 |  |  |  |  | 1,721 |  |  |  | 1,711,467 |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27 |  |  |  |  | 1,047 |  |  |  | 1,030,642 |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28 |  |  |  |  | 1,640 |  |  |  | 1,625,540 |
Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25 |  |  |  |  | 159 |  |  |  | 158,232 |
W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28 |  |  |  |  | 926 |  |  |  | 918,288 |
|  |  |  |  |  |  |  |  | 25,402,601 |
Commercial Services & Supplies — 4.4% |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28 |  |  |  |  | 2,609 |  |  |  | 2,532,489 |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(d) |  |  |  |  | 783 |  |  |  | 763,513 |
Aramark Services, Inc., 2023 Term Loan B6, 06/22/30(d)(h) |  |  |  |  | 761 |  |  |  | 759,975 |

Security |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (continued) |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27 |  | USD |  |  | 1,958 |  |  | $ | 1,951,535 |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28 |  |  |  |  | 694 |  |  |  | 692,400 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 |  |  |  |  | 86 |  |  |  | 84,792 |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 |  |  |  |  | 1,129 |  |  |  | 1,117,826 |
EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25 |  |  |  |  | 490 |  |  |  | 480,617 |
GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27 |  |  |  |  | 728 |  |  |  | 727,849 |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28 |  |  |  |  | 1,597 |  |  |  | 1,578,898 |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28 |  |  |  |  | 802 |  |  |  | 653,644 |
Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26 |  |  |  |  | 1,918 |  |  |  | 1,916,196 |
Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28 |  |  |  |  | 4,779 |  |  |  | 4,779,363 |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27 |  |  |  |  | 1,643 |  |  |  | 1,508,452 |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28 |  |  |  |  | 778 |  |  |  | 754,796 |
|  |  |  |  |  |  |  |  | 20,302,345 |
Communications Equipment — 0.2% |  |  |  |  |  |  |  |
Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30 |  |  |  |  | 212 |  |  |  | 212,467 |
ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29 |  |  |  |  | 949 |  |  |  | 915,864 |
|  |  |  |  |  |  |  |  | 1,128,331 |
Construction & Engineering — 0.8% |  |  |  |  |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24 |  |  |  |  | 978 |  |  |  | 966,712 |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28 |  |  |  |  | 1,045 |  |  |  | 1,039,502 |
USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28 |  |  |  |  | 1,742 |  |  |  | 1,646,682 |
|  |  |  |  |  |  |  |  | 3,652,896 |
Construction Materials — 1.0% |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27 |  |  |  |  | 1,188 |  |  |  | 1,182,776 |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29 |  |  |  |  | 842 |  |  |  | 706,793 |

46 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Construction Materials (continued) |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29 |  | USD |  |  | 1,100 |  |  | $ | 1,073,111 |
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28 |  |  |  |  | 1,598 |  |  |  | 1,595,918 |
|  |  |  |  |  |  |  |  | 4,558,598 |
Consumer Staples Distribution & Retail — 0.3% |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26 |  |  |  |  | 675 |  |  |  | 673,852 |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28 |  |  |  |  | 891 |  |  |  | 889,627 |
|  |  |  |  |  |  |  |  | 1,563,479 |
Containers & Packaging — 1.9% |
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27 |  |  |  |  | 3,470 |  |  |  | 3,439,770 |
Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26 |  |  |  |  | 1,262 |  |  |  | 1,256,914 |
Pregis TopCo Corp. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26 |  |  |  |  | 612 |  |  |  | 607,623 |
2021 Incremental Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.75%), 8.94%, 07/31/26 |  |  |  |  | 697 |  |  |  | 689,262 |
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 02/04/27 |  |  |  |  | 1,483 |  |  |  | 1,480,680 |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26 |  |  |  |  | 307 |  |  |  | 306,451 |
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28 |  |  |  |  | 1,142 |  |  |  | 1,114,879 |
|  |  |  |  |  |  |  |  | 8,895,579 |
Distributors — 0.2% |
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27 |  |  |  |  | 1,016 |  |  |  | 938,721 |
Diversified Consumer Services — 3.1% |
2U, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 6.50%), 11.32%, 12/28/26 |  |  |  |  | 951 |  |  |  | 911,261 |
Ascend Learning LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29 |  |  |  |  | 781 |  |  |  | 660,593 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28 |  |  |  |  | 1,915 |  |  |  | 1,796,062 |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28 |  |  |  |  | 923 |  |  |  | 918,718 |
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30 |  |  |  |  | 1,408 |  |  |  | 1,392,160 |

Security |  |  |  | Par (000) |  |  | Value |
Diversified Consumer Services (continued) |
Sotheby’s |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27 |  | USD |  |  | 1,771 |  |  | $ | 1,723,798 |
2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.76%, 01/15/27 |  |  |  |  | 395 |  |  |  | 384,137 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25 |  |  |  |  | 223 |  |  |  | 221,443 |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25 |  |  |  |  | 2,959 |  |  |  | 2,406,166 |
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26 |  |  |  |  | 2,559 |  |  |  | 2,534,685 |
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27 |  |  |  |  | 1,225 |  |  |  | 1,200,976 |
|  |  |  |  |  |  |  |  | 14,149,999 |
Diversified REITs — 0.2% |
RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30 |  |  |  |  | 829 |  |  |  | 827,712 |
Diversified Telecommunication Services — 5.4% |
Altice Financing SA |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(d) |  |  |  |  | 1,078 |  |  |  | 1,056,730 |
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26 |  |  |  |  | 1,547 |  |  |  | 1,517,839 |
Cablevision Lightpath LLC, Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 11/30/27 |  |  |  |  | 232 |  |  |  | 223,177 |
Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26 |  |  |  |  | 6,623 |  |  |  | 6,613,056 |
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27 |  |  |  |  | 808 |  |  |  | 710,925 |
Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26 |  |  |  |  | 1,794 |  |  |  | 1,792,945 |
Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27 |  |  |  |  | 1,766 |  |  |  | 1,641,583 |
Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27 |  |  |  |  | 1,790 |  |  |  | 1,373,755 |
Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28 |  |  |  |  | 868 |  |  |  | 694,081 |
Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26 |  |  |  |  | 2,547 |  |  |  | 2,118,660 |
Virgin Media Bristol LLC |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29 |  |  |  |  | 1,335 |  |  |  | 1,327,844 |
USD Term Loan N, (1-mo. LIBOR US + 2.50%), 7.69%, 01/31/28 |  |  |  |  | 988 |  |  |  | 978,580 |

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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |
Virgin Media SFA Finance Ltd., GBP Term Loan L, (1-mo. SONIA + 3.25%), 7.71%, 01/15/27 |  | GBP |  |  | 1,000 |  |  | $ | 1,211,427 |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27 |  | USD |  |  | 5,045 |  |  |  | 3,948,536 |
|  |  |  |  |  |  |  |  | 25,209,138 |
Electric Utilities — 0.1% |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25 |  |  |  |  | 498 |  |  |  | 497,759 |
Electrical Equipment — 0.3% |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(d) |  |  |  |  | 1,521 |  |  |  | 1,479,085 |
Electronic Equipment, Instruments & Components — 0.3% |
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29 |  |  |  |  | 1,591 |  |  |  | 1,585,340 |
Energy Equipment & Services — 0.7% |
Lealand Finance Co. BV |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24 |  |  |  |  | 40 |  |  |  | 30,182 |
2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(g) |  |  |  |  | 305 |  |  |  | 170,663 |
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28 |  |  |  |  | 3,077 |  |  |  | 3,067,477 |
|  |  |  |  |  |  |  |  | 3,268,322 |
Entertainment — 4.5% |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26 |  |  |  |  | 1,499 |  |  |  | 1,167,120 |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29 |  |  |  |  | 101 |  |  |  | 101,252 |
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30 |  |  |  |  | 905 |  |  |  | 896,255 |
City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28 |  |  |  |  | 1,575 |  |  |  | 1,543,515 |
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28 |  |  |  |  | 1,560 |  |  |  | 1,555,020 |
Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30 |  |  |  |  | 1,291 |  |  |  | 1,290,354 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24 |  |  |  |  | 3,851 |  |  |  | 3,567,004 |
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26 |  |  |  |  | 2,518 |  |  |  | 2,509,210 |
Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28 |  |  |  |  | 1,492 |  |  |  | 1,484,928 |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25 |  |  |  |  | 416 |  |  |  | 414,896 |

Security |  |  |  | Par (000) |  |  | Value |
Entertainment (continued) |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26 |  | USD |  |  | 896 |  |  | $ | 894,460 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25 |  |  |  |  | 2,709 |  |  |  | 2,699,019 |
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28 |  |  |  |  | 2,700 |  |  |  | 2,690,457 |
|  |  |  |  |  |  |  |  | 20,813,490 |
Financial Services — 5.1% |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28 |  |  |  |  | 796 |  |  |  | 791,414 |
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28 |  |  |  |  | 1,905 |  |  |  | 1,689,264 |
Belron Finance U.S. LLC |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25 |  |  |  |  | 433 |  |  |  | 432,433 |
2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26 |  |  |  |  | 862 |  |  |  | 860,306 |
2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28 |  |  |  |  | 2,982 |  |  |  | 2,976,121 |
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29 |  |  |  |  | 471 |  |  |  | 470,708 |
Deerfield Dakota Holding LLC |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27 |  |  |  |  | 6,147 |  |  |  | 5,953,664 |
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28 |  |  |  |  | 1,806 |  |  |  | 1,672,808 |
FinCo I LLC, 2020 Term Loan B, (6-mo. LIBOR US + 2.50%), 8.08%, 06/27/25 |  |  |  |  | 614 |  |  |  | 613,748 |
LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27 |  |  |  |  | 506 |  |  |  | 485,374 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25 |  |  |  |  | 1,306 |  |  |  | 1,300,151 |
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26 |  |  |  |  | 2,539 |  |  |  | 2,496,167 |
Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(d)(h) |  |  |  |  | 1,509 |  |  |  | 917,710 |
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29 |  |  |  |  | 768 |  |  |  | 750,433 |
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28 |  |  |  |  | 968 |  |  |  | 966,061 |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27 |  |  |  |  | 1,223 |  |  |  | 1,210,275 |
|  |  |  |  |  |  |  |  | 23,586,637 |
Food Products — 3.5% |
8th Avenue Food & Provisions, Inc. |
2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25 |  |  |  |  | 1,183 |  |  |  | 1,083,644 |

48 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Food Products (continued) |
8th Avenue Food & Provisions, Inc. (continued) |  |  |  |  |
2021 Incremental Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.97%, 10/01/25 |  | USD |  |  | 1,516 |  |  | $ | 1,404,177 |
Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27 |  |  |  |  | 3,212 |  |  |  | 3,190,945 |
Froneri International Ltd., 2020 USD Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27 |  |  |  |  | 3,533 |  |  |  | 3,508,738 |
H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25 |  |  |  |  | 497 |  |  |  | 436,110 |
Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30 |  |  |  |  | 1,019 |  |  |  | 1,015,554 |
Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29 |  |  |  |  | 1,012 |  |  |  | 1,011,065 |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28 |  |  |  |  | 1,873 |  |  |  | 1,849,487 |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28 |  |  |  |  | 2,272 |  |  |  | 2,191,824 |
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28 |  |  |  |  | 680 |  |  |  | 678,107 |
|  |  |  |  |  |  |  |  | 16,369,651 |
Ground Transportation — 0.8% |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28 |  |  |  |  | 576 |  |  |  | 556,457 |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27 |  |  |  |  | 655 |  |  |  | 646,511 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.66%, 08/04/25 |  |  |  |  | 1,168 |  |  |  | 1,044,380 |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30 |  |  |  |  | 1,604 |  |  |  | 1,606,684 |
|  |  |  |  |  |  |  |  | 3,854,032 |
Health Care Equipment & Supplies — 1.7% |
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28 |  |  |  |  | 2,445 |  |  |  | 2,386,707 |
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26 |  |  |  |  | 686 |  |  |  | 628,388 |
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28 |  |  |  |  | 761 |  |  |  | 760,508 |
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28 |  |  |  |  | 4,326 |  |  |  | 4,272,826 |
|  |  |  |  |  |  |  |  | 8,048,429 |
Health Care Providers & Services — 2.9% |
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28 |  |  |  |  | 1,018 |  |  |  | 1,012,017 |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27 |  |  |  |  | 1,828 |  |  |  | 1,819,563 |

Security |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28 |  | USD |  |  | 2,180 |  |  | $ | 2,167,828 |
Envision Healthcare Corp. |  |  |  |  |  |  |  |  |  |
2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27 |  |  |  |  | — | (i) |  |  | 417 |
2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27 |  |  |  |  | 1,170 |  |  |  | 247,330 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27 |  |  |  |  | 1,660 |  |  |  | 1,216,449 |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29 |  |  |  |  | 581 |  |  |  | 385,706 |
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28 |  |  |  |  | 532 |  |  |  | 380,199 |
Ingenovis Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.97%, 03/06/28 |  |  |  |  | 1,612 |  |  |  | 1,547,499 |
MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26 |  |  |  |  | 1,334 |  |  |  | 1,235,109 |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29 |  |  |  |  | 611 |  |  |  | 539,971 |
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28 |  |  |  |  | 697 |  |  |  | 695,690 |
PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25 |  |  |  |  | 52 |  |  |  | 50,483 |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28 |  |  |  |  | 1,102 |  |  |  | 1,032,742 |
Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26 |  |  |  |  | 595 |  |  |  | 593,811 |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29 |  |  |  |  | 335 |  |  |  | 334,111 |
|  |  |  |  |  |  |  |  | 13,258,925 |
Health Care Technology — 2.9% |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29 |  |  |  |  | 2,984 |  |  |  | 2,868,887 |
Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28 |  |  |  |  | 4,532 |  |  |  | 4,162,078 |
Verscend Holding Corp. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 7.00%), 12.22%, 04/02/29(d) |  |  |  |  | 3,092 |  |  |  | 3,092,000 |
2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25 |  |  |  |  | 3,101 |  |  |  | 3,096,312 |
|  |  |  |  |  |  |  |  | 13,219,277 |
Hotels, Restaurants & Leisure — 6.2% |  |  |  |  |  |  |  |
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(d) |  |  |  |  | 155 |  |  |  | 154,613 |
Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28 |  |  |  |  | 894 |  |  |  | 872,741 |

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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26 |  | USD |  |  | 2,418 |  |  | $ | 2,398,452 |
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30 |  |  |  |  | 1,244 |  |  |  | 1,242,751 |
Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25 |  |  |  |  | 1,809 |  |  |  | 1,805,060 |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28 |  |  |  |  | 1,462 |  |  |  | 1,447,894 |
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29 |  |  |  |  | 4,103 |  |  |  | 4,044,120 |
Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28 |  |  |  |  | 1,176 |  |  |  | 1,176,912 |
Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29 |  |  |  |  | 3,050 |  |  |  | 3,053,622 |
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27 |  |  |  |  | 2,391 |  |  |  | 2,372,117 |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28 |  |  |  |  | 905 |  |  |  | 624,301 |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29 |  |  |  |  | 1,475 |  |  |  | 1,469,219 |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29 |  |  |  |  | 477 |  |  |  | 474,865 |
Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29 |  |  |  |  | 810 |  |  |  | 807,666 |
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28 |  |  |  |  | 686 |  |  |  | 683,719 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26 |  |  |  |  | 1,104 |  |  |  | 1,103,379 |
Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27 |  |  |  |  | 2,039 |  |  |  | 2,030,554 |
Whatabrands LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.47%, 08/03/28 |  |  |  |  | 2,251 |  |  |  | 2,234,542 |
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30 |  |  |  |  | 534 |  |  |  | 533,679 |
|  |  |  |  |  |  |  |  | 28,530,206 |
Household Durables — 1.4% |
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28 |  |  |  |  | 1,636 |  |  |  | 1,371,546 |

Security |  |  |  | Par (000) |  |  | Value |
Household Durables (continued) |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29 |  | USD |  |  | 2,396 |  |  | $ | 2,266,659 |
Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(h) |  |  |  |  | 464 |  |  |  | 463,737 |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28 |  |  |  |  | 821 |  |  |  | 661,824 |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27 |  |  |  |  | 2,018 |  |  |  | 1,767,481 |
|  |  |  |  |  |  |  |  | 6,531,247 |
Household Products — 0.5% |
Diamond BC BV, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28 |  |  |  |  | 1,722 |  |  |  | 1,719,542 |
Kronos Acquisition Holdings, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 6.00%), 11.38%, 12/22/26 |  |  |  |  | 405 |  |  |  | 397,238 |
|  |  |  |  |  |  |  |  | 2,116,780 |
Independent Power and Renewable Electricity Producers — 0.7% |
Calpine Corp. |  |  |  |  |  |  |  |  |  |
2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26 |  |  |  |  | 699 |  |  |  | 697,853 |
Term Loan B9, (1-mo. LIBOR US + 2.00%), 7.20%, 04/05/26 |  |  |  |  | 1,496 |  |  |  | 1,493,529 |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27 |  |  |  |  | 1,184 |  |  |  | 1,175,271 |
|  |  |  |  |  |  |  |  | 3,366,653 |
Industrial Conglomerates — 0.2% |
Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28 |  |  |  |  | 1,081 |  |  |  | 799,755 |
Insurance — 4.9% |
Alliant Holdings Intermediate LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27 |  |  |  |  | 3,769 |  |  |  | 3,743,101 |
2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27 |  |  |  |  | 3,876 |  |  |  | 3,848,175 |
AmWINS Group, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28 |  |  |  |  | 2,574 |  |  |  | 2,548,259 |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28 |  |  |  |  | 494 |  |  |  | 492,764 |
AssuredPartners, Inc. |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 1,397 |  |  |  | 1,383,974 |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 876 |  |  |  | 866,038 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29 |  |  |  |  | 465 |  |  |  | 463,949 |
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30 |  |  |  |  | 4,591 |  |  |  | 4,599,658 |

50 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Insurance (continued) |  |  |  |  |  |  |  |
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27 |  | USD |  |  | 1,352 |  |  | $ | 1,349,527 |
USI, Inc. |  |  |  |  |  |  |  |  |  |
2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26 |  |  |  |  | 212 |  |  |  | 212,010 |
2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29 |  |  |  |  | 3,219 |  |  |  | 3,211,144 |
|  |  |  |  |  |  |  |  | 22,718,599 |
Interactive Media & Services — 1.6% |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28 |  |  |  |  | 428 |  |  |  | 422,617 |
Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28 |  |  |  |  | 1,295 |  |  |  | 1,295,016 |
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26 |  |  |  |  | 1,831 |  |  |  | 1,827,445 |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26 |  |  |  |  | 2,198 |  |  |  | 2,193,085 |
GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25 |  |  |  |  | 716 |  |  |  | 714,406 |
Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26 |  |  |  |  | 1,049 |  |  |  | 1,046,445 |
|  |  |  |  |  |  |  |  | 7,499,014 |
IT Services — 3.5% |
Asurion LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26 |  |  |  |  | 294 |  |  |  | 283,191 |
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.25%), 10.51%, 01/31/28 |  |  |  |  | 1,117 |  |  |  | 947,139 |
2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29 |  |  |  |  | 1,596 |  |  |  | 1,334,655 |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28 |  |  |  |  | 1,334 |  |  |  | 1,266,053 |
Epicor Software Corp., 2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28 |  |  |  |  | 2,141 |  |  |  | 2,136,097 |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27 |  |  |  |  | 3,245 |  |  |  | 3,192,663 |
Go Daddy Operating Co. LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27 |  |  |  |  | 728 |  |  |  | 727,035 |
2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29 |  |  |  |  | 1,482 |  |  |  | 1,483,555 |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28 |  |  |  |  | 4,009 |  |  |  | 3,980,537 |
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29 |  |  |  |  | 646 |  |  |  | 618,713 |
|  |  |  |  |  |  |  |  | 15,969,638 |

Security |  |  |  | Par (000) |  |  | Value |
Leisure Products — 0.5% |
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(d) |  | USD |  |  | 971 |  |  | $ | 922,820 |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27 |  |  |  |  | 343 |  |  |  | 340,827 |
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30 |  |  |  |  | 1,148 |  |  |  | 1,146,205 |
|  |  |  |  |  |  |  |  | 2,409,852 |
Life Sciences Tools & Services — 2.8% |
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27 |  |  |  |  | 1,524 |  |  |  | 1,521,811 |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28 |  |  |  |  | 1,584 |  |  |  | 1,546,472 |
Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26 |  |  |  |  | 140 |  |  |  | 119,959 |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27 |  |  |  |  | 1,978 |  |  |  | 1,899,151 |
Fortrea Holdings, Inc., Term Loan B, 06/12/30(h) |  |  |  |  | 422 |  |  |  | 421,789 |
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 |  |  |  |  | 2,293 |  |  |  | 2,292,158 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27 |  |  |  |  | 1,483 |  |  |  | 1,481,611 |
Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28 |  |  |  |  | 3,053 |  |  |  | 3,025,247 |
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 |  |  |  |  | 571 |  |  |  | 571,095 |
|  |  |  |  |  |  |  |  | 12,879,293 |
Machinery — 5.8% |
Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(d) |  |  |  |  | 1,966 |  |  |  | 1,951,102 |
Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29 |  |  |  |  | 301 |  |  |  | 301,001 |
Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28 |  |  |  |  | 373 |  |  |  | 371,407 |
Filtration Group Corp. |  |  |  |  |  |  |  |  |  |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28 |  |  |  |  | 1,167 |  |  |  | 1,161,794 |
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28 |  |  |  |  | 2,365 |  |  |  | 2,362,300 |
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27 |  |  |  |  | 2,406 |  |  |  | 2,391,512 |

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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Machinery (continued) |  |  |  |  |  |  |  |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 |  | USD |  |  | 2,213 |  |  | $ | 2,208,535 |
Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28 |  |  |  |  | 3,692 |  |  |  | 3,611,464 |
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29 |  |  |  |  | 2,148 |  |  |  | 2,136,879 |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29 |  |  |  |  | 1,940 |  |  |  | 1,912,976 |
Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25 |  |  |  |  | 3,854 |  |  |  | 3,756,051 |
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27 |  |  |  |  | 2,265 |  |  |  | 2,242,784 |
Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27 |  |  |  |  | 2,417 |  |  |  | 2,405,741 |
Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28 |  |  |  |  | 125 |  |  |  | 124,782 |
|  |  |  |  |  |  |  |  | 26,938,328 |
Media — 4.7% |  |  |  |  |  |  |  |
AVSC Holding Corp. |  |  |  |  |  |  |  |  |  |
2020 Term Loan B1, (1-mo. LIBOR US at 1.00% Floor + 3.25%), 8.68%, 03/03/25 |  |  |  |  | 1,000 |  |  |  | 974,441 |
2020 Term Loan B3, 10/15/26(h) |  |  |  |  | 941 |  |  |  | 977,329 |
Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28 |  |  |  |  | 1,025 |  |  |  | 1,003,553 |
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25 |  |  |  |  | 2,591 |  |  |  | 2,588,431 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.81%, 08/21/26 |  |  |  |  | 3,413 |  |  |  | 3,253,215 |
CMG Media Corp., 2021 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.84%, 12/17/26 |  |  |  |  | — | (i) |  |  | 277 |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28 |  |  |  |  | 1,588 |  |  |  | 1,574,379 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25 |  |  |  |  | 1,178 |  |  |  | 1,133,277 |
2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27 |  |  |  |  | 1,561 |  |  |  | 1,359,904 |
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27 |  |  |  |  | 2,252 |  |  |  | 2,199,583 |
E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28 |  |  |  |  | 547 |  |  |  | 530,171 |
ECL Entertainment LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 7.50%), 12.72%, 05/01/28 |  |  |  |  | 569 |  |  |  | 570,803 |
Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23 |  |  |  |  | 868 |  |  |  | 670,887 |

Security |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |
Nexstar Broadcasting, Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.72%, 09/18/26 |  | USD |  |  | 794 |  |  | $ | 792,219 |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(d) |  |  |  |  | 1,804 |  |  |  | 1,357,344 |
Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(d) |  |  |  |  | 1,008 |  |  |  | 1,002,781 |
Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28 |  |  |  |  | 1,617 |  |  |  | 1,590,433 |
|  |  |  |  |  |  |  |  | 21,579,027 |
Oil, Gas & Consumable Fuels — 1.4% |  |  |  |  |  |  |  |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28 |  |  |  |  | 3,671 |  |  |  | 3,590,802 |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29 |  |  |  |  | 265 |  |  |  | 262,514 |
Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28 |  |  |  |  | 1,915 |  |  |  | 1,896,991 |
Murphy USA, Inc., Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 1.75%), 6.92%, 01/31/28 |  |  |  |  | 636 |  |  |  | 636,287 |
|  |  |  |  |  |  |  |  | 6,386,594 |
Passenger Airlines — 2.8% |  |  |  |  |  |  |  |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28 |  |  |  |  | 1,636 |  |  |  | 1,668,444 |
Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28 |  |  |  |  | 2,027 |  |  |  | 2,024,126 |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (6-mo. LIBOR US + 3.50%), 7.00%, 01/29/27 |  |  |  |  | 273 |  |  |  | 265,981 |
2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28 |  |  |  |  | 2,415 |  |  |  | 2,368,366 |
Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26 |  |  |  |  | 822 |  |  |  | 795,747 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27 |  |  |  |  | 2,580 |  |  |  | 2,677,582 |
United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28 |  |  |  |  | 2,921 |  |  |  | 2,914,984 |
|  |  |  |  |  |  |  |  | 12,715,230 |
Personal Care Products — 1.3% |  |  |  |  |  |  |  |
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26 |  |  |  |  | 6,029 |  |  |  | 5,988,881 |
Pharmaceuticals — 2.0% |  |  |  |  |  |  |  |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25 |  |  |  |  | 1,207 |  |  |  | 1,161,029 |
Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28 |  |  |  |  | 855 |  |  |  | 829,888 |

52 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Pharmaceuticals (continued) |  |  |  |  |  |  |  |
Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27 |  | USD |  |  | 1,108 |  |  | $ | 833,468 |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27 |  |  |  |  | 1,462 |  |  |  | 1,433,939 |
Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28 |  |  |  |  | 2,175 |  |  |  | 2,171,357 |
Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28 |  |  |  |  | 1,404 |  |  |  | 1,402,117 |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(d) |  |  |  |  | 1,228 |  |  |  | 1,175,469 |
Prestige Brands, Inc., 2021 Term Loan B5, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 07/03/28 |  |  |  |  | 154 |  |  |  | 153,609 |
|  |  |  |  |  |  |  |  | 9,160,876 |
Professional Services — 4.6% |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28 |  |  |  |  | 1,723 |  |  |  | 1,717,484 |
CoreLogic, Inc. |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.75%, 06/04/29 |  |  |  |  | 1,416 |  |  |  | 1,135,939 |
Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28 |  |  |  |  | 3,356 |  |  |  | 3,025,869 |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29 |  |  |  |  | 708 |  |  |  | 705,382 |
Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26 |  |  |  |  | 2,321 |  |  |  | 2,321,182 |
Element Materials Technology Group U.S. Holdings, Inc. |  |  |  |  |  |  |  |  |  |
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 |  |  |  |  | 605 |  |  |  | 591,451 |
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 |  |  |  |  | 1,311 |  |  |  | 1,281,476 |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28 |  |  |  |  | 2,033 |  |  |  | 2,015,694 |
Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(d) |  |  |  |  | 2,001 |  |  |  | 1,875,825 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25 |  |  |  |  | 972 |  |  |  | 969,486 |
Trans Union LLC 2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26 |  |  |  |  | 1,843 |  |  |  | 1,836,221 |

Security |  |  |  | Par (000) |  |  | Value |
Professional Services (continued) |
Trans Union LLC (continued) 2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28 |  | USD |  |  | 2,244 |  |  | $ | 2,236,807 |
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27 |  |  |  |  | 1,651 |  |  |  | 1,622,330 |
|  |  |  |  |  |  |  |  | 21,335,146 |
Real Estate Management & Development — 0.5% |  |  |  |
Cushman & Wakefield U.S. Borrower LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25 |  |  |  |  | 744 |  |  |  | 736,749 |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(d) |  |  |  |  | 1,825 |  |  |  | 1,765,162 |
|  |  |  |  |  |  |  |  | 2,501,911 |
Semiconductors & Semiconductor Equipment — 0.4% |
MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29 |  |  |  |  | 1,151 |  |  |  | 1,151,300 |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28 |  |  |  |  | 623 |  |  |  | 613,873 |
|  |  |  |  |  |  |  |  | 1,765,173 |
Software — 13.4% |  |  |  |  |  |  |  |
Applied Systems, Inc., 2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26 |  |  |  |  | 981 |  |  |  | 981,997 |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29 |  |  |  |  | 762 |  |  |  | 734,160 |
Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25 |  |  |  |  | 2,024 |  |  |  | 2,006,211 |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28 |  |  |  |  | 1,674 |  |  |  | 1,668,221 |
Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29 |  |  |  |  | 1,376 |  |  |  | 1,371,324 |
Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29 |  |  |  |  | 4,530 |  |  |  | 4,229,558 |
Cloudera, Inc. |  |  |  |  |  |  |  |  |  |
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(d) |  |  |  |  | 780 |  |  |  | 702,000 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28 |  |  |  |  | 861 |  |  |  | 838,932 |
Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28 |  |  |  |  | 1,190 |  |  |  | 1,107,392 |
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28 |  |  |  |  | 385 |  |  |  | 350,030 |

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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |
E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28 |  | USD |  |  | 283 |  |  | $ | 281,306 |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27 |  |  |  |  | 3,267 |  |  |  | 3,254,964 |
Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28 |  |  |  |  | 3,054 |  |  |  | 3,043,165 |
Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28 |  |  |  |  | 726 |  |  |  | 725,363 |
Magenta Buyer LLC |  |  |  |  |  |  |  |  |  |
2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28 |  |  |  |  | 2,408 |  |  |  | 1,805,017 |
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29 |  |  |  |  | 2,204 |  |  |  | 1,421,390 |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29 |  |  |  |  | 3,458 |  |  |  | 3,301,004 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29 |  |  |  |  | 2,021 |  |  |  | 1,752,075 |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28 |  |  |  |  | 7,577 |  |  |  | 7,258,417 |
NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29 |  |  |  |  | 1,627 |  |  |  | 1,617,719 |
Planview Parent, Inc., 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.59%, 12/18/28 |  |  |  |  | 930 |  |  |  | 818,400 |
Proofpoint, Inc. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28 |  |  |  |  | 2,789 |  |  |  | 2,725,869 |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.25%), 11.47%, 08/31/29 |  |  |  |  | 1,451 |  |  |  | 1,403,843 |
RealPage, Inc. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28 |  |  |  |  | 6,193 |  |  |  | 6,051,864 |
2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29 |  |  |  |  | 2,965 |  |  |  | 2,863,833 |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25 |  |  |  |  | 1,239 |  |  |  | 1,238,319 |
Sophia LP |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 8.00%), 13.20%, 10/09/28 |  |  |  |  | 2,779 |  |  |  | 2,765,105 |
2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27 |  |  |  |  | 2,292 |  |  |  | 2,264,925 |
UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27 |  |  |  |  | 1,402 |  |  |  | 1,355,965 |
Ultimate Software Group, Inc., Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26 |  |  |  |  | 1,629 |  |  |  | 1,604,874 |

Security |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28 |  | USD |  |  | 325 |  |  | $ | 320,939 |
ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30 |  |  |  |  | 217 |  |  |  | 216,504 |
|  |  |  |  |  |  |  |  | 62,080,685 |
Specialty Retail — 2.6% |  |  |  |  |  |  |  |
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (1-day SONIA + 6.00%), 10.28%, 06/21/28 |  | GBP |  |  | 1,000 |  |  |  | 1,226,667 |
EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25 |  | USD |  |  | 1,431 |  |  |  | 1,405,199 |
EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26 |  |  |  |  | 565 |  |  |  | 561,567 |
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28 |  |  |  |  | 2,979 |  |  |  | 2,949,408 |
PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28 |  |  |  |  | 3,664 |  |  |  | 3,651,336 |
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28 |  |  |  |  | 1,133 |  |  |  | 1,130,572 |
Restoration Hardware, Inc., 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28 |  |  |  |  | 862 |  |  |  | 830,261 |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28 |  |  |  |  | 243 |  |  |  | 225,408 |
|  |  |  |  |  |  |  |  | 11,980,418 |
Technology Hardware, Storage & Peripherals — 0.1% |
Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26 |  |  |  |  | 797 |  |  |  | 538,274 |
Textiles, Apparel & Luxury Goods — 0.3% |  |  |  |
Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29 |  |  |  |  | 967 |  |  |  | 969,127 |
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(d) |  |  |  |  | 520 |  |  |  | 520,997 |
|  |  |  |  |  |  |  |  | 1,490,124 |
Trading Companies & Distributors — 2.6% |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28 |  |  |  |  | 1,368 |  |  |  | 1,362,725 |
Core & Main LP, 2021 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28 |  |  |  |  | 4,078 |  |  |  | 4,051,387 |
SRS Distribution, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28 |  |  |  |  | 2,757 |  |  |  | 2,674,183 |
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28 |  |  |  |  | 985 |  |  |  | 959,477 |
TMK Hawk Parent Corp.(d) |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24 |  |  |  |  | 963 |  |  |  | 948,162 |
2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24 |  |  |  |  | 3,034 |  |  |  | 1,835,387 |
|  |  |  |  |  |  |  |  | 11,831,321 |

54 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Transportation Infrastructure — 0.6% |
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28 |  | USD |  |  | 743 |  |  | $ | 738,488 |
KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28 |  |  |  |  | 927 |  |  |  | 918,275 |
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26 |  |  |  |  | 844 |  |  |  | 789,136 |
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30 |  |  |  |  | 246 |  |  |  | 230,049 |
|  |  |  |  |  |  |  |  | 2,675,948 |
Wireless Telecommunication Services — 1.1% |
Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24 |  |  |  |  | 819 |  |  |  | 749,499 |
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28 |  |  |  |  | 935 |  |  |  | 932,567 |
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25 |  |  |  |  | 3,325 |  |  |  | 3,323,656 |
|  |  |  |  |  |  |  |  | 5,005,722 |
Total Floating Rate Loan Interests — 125.1% (Cost: $595,403,288) |  |  |  | 578,825,432 |
|  |  |  | Shares |  |  |  |
Investment Companies |
Equity Funds — 0.1% |  |  |  |  |  |  |  |
Janus Henderson AAA CLO ETF |  |  |  |  | 10,000 |  |  |  | 498,500 |
Fixed Income Funds — 1.4% |  |  |  |  |  |  |  |
Invesco Senior Loan ETF |  |  |  |  | 64,300 |  |  |  | 1,352,872 |
iShares iBoxx $ High Yield Corporate Bond ETF(j) |  |  |  |  | 70,000 |  |  |  | 5,254,900 |
|  |  |  |  |  |  |  |  | 6,607,772 |
Total Investment Companies — 1.5% (Cost: $7,176,265) |  |  |  | 7,106,272 |
|  | Benefical Interest (000) |  |  |  |
Other Interests |
Capital Markets — 0.0% |  |  |  |  |  |  |  |
Millennium Lender Claim Trust(d)(k) |  | USD |  |  | 1,607 |  |  |  | — |

Security |  |  |  | Benefical Interest (000) |  |  | Value |
Industrial Conglomerates — 0.0% |
Millennium Corp. Claim(d)(k) |  | USD |  |  | 1,508 |  |  | $ | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  |  | — |
|  |  |  | Shares |  |  |  |
Warrants |  |  |  |  |  |  |  |  |  |
Consumer Discretionary — 0.0% |  |  |  |  |  |  |  |
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(c) |  |  |  |  | 1,895 |  |  |  | — |
Oil, Gas & Consumable Fuels — 0.0% |
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(c) |  |  |  |  | 999 |  |  |  | 11,848 |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  | 11,848 |
Total Investments — 129.4% (Cost: $622,044,260) |  |  |  | 599,051,733 |
Liabilities in Excess of Other Assets — (29.4)% |  |  |  | (136,188,621 | )
Net Assets — 100.0% |  |  | $ | 462,863,112 |

(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) | Non-income producing security.

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

(e) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $0, representing 0.00% of its net assets as of period end, and an original cost of $0.

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

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

(h) | 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) | Affiliate of the Fund.

(k) | 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.

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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/22 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/23 |  |  | Shares Held at 06/30/23 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) |  | $ | — |  |  | $ | 16,323,678 |  |  |  | $ (16,323,678 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | — |  |  | $ | 5,158 |  |  | $ | — |
iShares iBoxx $ High Yield Corporate Bond ETF |  |  | 736,300 |  |  |  | 7,972,560 |  |  |  | (3,380,993 | ) |  |  | (37,207 | ) |  |  | (35,760 | ) |  |  | 5,254,900 |  |  |  | 70,000 |  |  |  | 129,929 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (37,207 | ) |  | $ | (35,760 | ) |  | $ | 5,254,900 |  |  |  |  |  |  | $ | 135,087 |  |  | $ | — |

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

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

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 539,755 |  |  | EUR |  |  | 491,859 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  | $ | 986 |
USD |  |  | 306,363 |  |  | EUR |  |  | 279,141 |  |  | Toronto-Dominion Bank |  |  | 09/20/23 |  |  |  |  |  | 599 |
USD |  |  | 2,374,801 |  |  | GBP |  |  | 1,852,000 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  | 22,262 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 23,847 |

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.39.V2 |  |  | 5.00 | % |  |  | Quarterly |  |  |  | 12/20/27 |  |  | B |  | USD |  |  | 4,480 |  |  | $ | 150,713 |  |  | $ | (63,197 | ) |  | $ | 213,910 |

| (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) |  | $ | — |  |  | $ | (63,197 | ) |  | $ | 213,910 |  |  | $ | — |

| (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. |

56 |  | 2 0 2 3 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, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 23,847 |  |  | $ | — |  |  | $ | — |  |  | $ | 23,847 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on centrally cleared swaps(a) |  |  | — |  |  |  | 213,910 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 213,910 |
|  | $ | — |  |  | $ | 213,910 |  |  | $ | — |  |  | $ | 23,847 |  |  | $ | — |  |  | $ | — |  |  | $ | 237,757 |

| (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, 2023, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (98,893 | ) |  | $ | — |  |  | $ | — |  |  | $ | (98,893 | )
Swaps |  |  | — |  |  |  | 120,142 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 120,142 |
|  | $ | — |  |  | $ | 120,142 |  |  | $ | — |  |  | $ | (98,893 | ) |  | $ | — |  |  | $ | — |  |  | $ | 21,249 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6,962 |  |  | $ | — |  |  | $ | — |  |  | $ | 6,962 |
Swaps |  |  | — |  |  |  | 143,402 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 143,402 |
|  | $ | — |  |  | $ | 143,402 |  |  | $ | — |  |  | $ | 6,962 |  |  | $ | — |  |  | $ | — |  |  | $ | 150,364 |

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 3,190,931 |
Credit default swaps: |  |  |  |
Average notional value — sell protection |  | $ | 4,502,375 |

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 |  | $ | 23,847 |  |  | $ | — |
Swaps — centrally cleared |  |  | 32,533 |  |  |  | — |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 56,380 |  |  |  | — |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (32,533 | ) |  |  | — |
Total derivative assets and liabilities subject to an MNA |  | $ | 23,847 |  |  | $ | — |

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) (continued) June 30, 2023 |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

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)(b)
BNP Paribas SA |  | $ | 23,248 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 23,248 |
Toronto-Dominion Bank |  |  | 599 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 599 |
|  | $ | 23,847 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 23,847 |

| (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.

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 |  | $ | — |  |  | $ | 4,983,157 |  |  | $ | — |  |  | $ | 4,983,157 |
Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Construction & Engineering |  |  | — |  |  |  | 22,308 |  |  |  | — |  |  |  | 22,308 |
Electrical Equipment |  |  | 18,228 |  |  |  | — |  |  |  | — |  |  |  | 18,228 |
Energy Equipment & Services |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Financial Services |  |  | — |  |  |  | 445,602 |  |  |  | — |  |  |  | 445,602 |
Oil, Gas & Consumable Fuels |  |  | — |  |  |  | — |  |  |  | 3,099 |  |  |  | 3,099 |
Semiconductors & Semiconductor Equipment |  |  | 6,533 |  |  |  | — |  |  |  | — |  |  |  | 6,533 |
Corporate Bonds |  |  | — |  |  |  | 7,629,254 |  |  |  | — |  |  |  | 7,629,254 |
Floating Rate Loan Interests |  |  | — |  |  |  | 554,238,006 |  |  |  | 24,587,426 |  |  |  | 578,825,432 |
Investment Companies |  |  | 7,106,272 |  |  |  | — |  |  |  | — |  |  |  | 7,106,272 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Warrants |  |  | 11,848 |  |  |  | — |  |  |  | — |  |  |  | 11,848 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | (21,575 | ) |  |  | — |  |  |  | (21,575 | )
|  | $ | 7,142,881 |  |  | $ | 567,296,752 |  |  | $ | 24,590,525 |  |  | $ | 599,030,158 |
Derivative Financial Instruments(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  | $ | — |  |  | $ | 213,910 |  |  | $ | — |  |  | $ | 213,910 |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | 23,847 |  |  |  | — |  |  |  | 23,847 |
|  | $ | — |  |  | $ | 237,757 |  |  | $ | — |  |  | $ | 237,757 |

| (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 $138,000,000 are categorized as Level 2 within the fair value hierarchy.

58 |  | 2 0 2 3 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, 2023 |  | 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 and derivative financial instruments 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 |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2022 |  | $ | 4,440 |  |  |  |  |  |  | $ | — | (a) |  | $ | 12,129,451 |  |  |  |  |  |  | $ | — | (a) |  | $ | 12,133,891 |
Transfers into Level 3(b) |  |  | — |  |  |  |  |  |  |  | — |  |  |  | 11,247,218 |  |  |  |  |  |  |  | — |  |  |  | 11,247,218 |
Transfers out of Level 3(c) |  |  | — |  |  |  |  |  |  |  | — |  |  |  | (1,692,162 | ) |  |  |  |  |  |  | — |  |  |  | (1,692,162 | )
Accrued discounts/premiums |  |  | — |  |  |  |  |  |  |  | — |  |  |  | 228,810 |  |  |  |  |  |  |  | — |  |  |  | 228,810 |
Net realized gain (loss) |  |  | (213,184 | ) |  |  |  |  |  |  | — |  |  |  | (43,592 | ) |  |  |  |  |  |  | — |  |  |  | (256,776 | )
Net change in unrealized appreciation (depreciation)(d)(e) |  |  | 212,665 |  |  |  |  |  |  |  | — |  |  |  | 338,425 |  |  |  |  |  |  |  | — |  |  |  | 551,090 |
Purchases |  |  | — |  |  |  |  |  |  |  | — |  |  |  | 5,041,133 |  |  |  |  |  |  |  | — |  |  |  | 5,041,133 |
Sales |  |  | (822 | ) |  |  |  |  |  |  | — |  |  |  | (2,661,857 | ) |  |  |  |  |  |  | — |  |  |  | (2,662,679 | )
Closing balance, as of June 30, 2023 |  | $ | 3,099 |  |  |  |  |  |  | $ | — | (a) |  | $ | 24,587,426 |  |  |  |  |  |  | $ | — | (a) |  | $ | 24,590,525 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e) |  | $ | — |  |  |  |  |  |  | $ | — |  |  | $ | 289,540 |  |  |  |  |  |  | $ | — |  |  | $ | 289,540 |

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

| (b) | As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2023 is generally due to investments no longer held or categorized as Level 3 at period end.

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

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

Schedule of Investments (unaudited) June 30, 2023 |  | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets)

Security |  | Par (000) |  |  | Value |
Asset-Backed Securities |  |  |  |  |
Sterling COOFS Trust(a) |  |  |  |  |  |  |  |
Series 2004-1, Class A, 2.36%, 04/15/29 |  | $ | 537 |  |  | $ | 5,371 |
Series 2004-2, Class Note, 2.08%, 03/30/30(b)(c) |  |  | 324 |  |  |  | 3,322 |
Total Asset-Backed Securities — 0.0% (Cost: $79,485) |  |  |  |  | 8,693 |
Non-Agency Mortgage-Backed Securities |
Collateralized Mortgage Obligations — 7.8% |
Fannie Mae, Series 2020-57, Class LI, 2.00%, 08/25/50 |  |  | 5,500 |  |  |  | 4,001,101 |
Freddie Mac REMICS |  |  |  |  |  |  |  |
Series 3745, Class LK, 4.00%, 10/15/40 |  |  | 3,500 |  |  |  | 3,335,806 |
Series 5249, Class LB, 4.00%, 08/25/52 |  |  | 6,295 |  |  |  | 5,741,495 |
Ginnie Mae Mortgage-Backed Securities, Series 2022-63, Class ZM, 3.50%, 10/20/50 |  |  | 4,338 |  |  |  | 3,526,535 |
Seasoned Credit Risk Transfer Trust |  |  |  |  |  |  |  |
Series 2018-2, Class MA, 3.50%, 11/25/57 |  |  | 541 |  |  |  | 508,750 |
Series 2018-4, Class MA, 3.50%, 03/25/58 |  |  | 3,108 |  |  |  | 2,914,738 |
Series 2019-1, Class MA, 3.50%, 07/25/58 |  |  | 979 |  |  |  | 916,326 |
Series 2019-2, Class MA, 3.50%, 08/25/58 |  |  | 392 |  |  |  | 366,535 |
Small Business Administration, Series 2000-1, 1.00%, 03/15/21(a) |  |  | 4 |  |  |  | — |
|  |  |  |  |  |  | 21,311,286 |
Commercial Mortgage-Backed Securities — 1.9% |  |  |  |
BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, (1-mo. LIBOR US + 0.85%), 6.04%, 09/15/34(b)(c) |  |  | 607 |  |  |  | 602,983 |
Beast Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. Term SOFR + 0.86%), 6.01%, 04/15/36(b)(c) |  |  | 250 |  |  |  | 240,662 |
BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. Term SOFR + 1.69%), 6.84%, 03/15/40(b)(c) |  |  | 500 |  |  |  | 492,545 |
BX Trust, Series 2022-GPA, Class A, (1-mo. Term SOFR + 2.17%), 7.31%, 10/15/39(b)(c) |  |  | 750 |  |  |  | 748,824 |
Citigroup Commercial Mortgage CGCMT, 6.01%, 06/10/28 |  |  | 340 |  |  |  | 339,352 |
CSAIL Commercial Mortgage Trust(b) |  |  |  |  |  |  |  |
Series 2018-C14, Class XA, 0.70%, 11/15/51 |  |  | 1,995 |  |  |  | 47,702 |
Series 2019-C16, Class XA, 1.71%, 06/15/52 |  |  | 6,356 |  |  |  | 425,624 |
GS Mortgage Securities Corp. Trust, Series 2022-ECI, Class A, (1-mo. Term SOFR + 2.19%), 7.34%, 08/15/39(b)(c) |  |  | 560 |  |  |  | 560,175 |
GS Mortgage Securities Trust, Series 2023-FUN, Class A, (1-mo. Term SOFR + 2.09%), 7.24%, 03/15/28(b)(c) |  |  | 280 |  |  |  | 275,439 |
Natixis Commercial Mortgage Securities Trust, Series 2018-FL1, Class A, (1-mo. LIBOR US + 0.95%), 6.14%, 06/15/35(b)(c) |  |  | 100 |  |  |  | 95,013 |
RMBS Miravet Mira 2023 Mile, 6.75%, 06/10/28 |  |  | 569 |  |  |  | 567,293 |
Wells Fargo Commercial Mortgage Trust(b) |  |  |  |  |  |  |  |
Series 2018-AUS, Class A, 4.19%, 08/17/36(c) |  |  | 583 |  |  |  | 525,408 |
Series 2018-C44, Class XA, 0.87%, 05/15/51 |  |  | 4,810 |  |  |  | 128,202 |
|  |  |  |  |  |  | 5,049,222 |
Interest Only Collateralized Mortgage Obligations — 4.7% |
CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37 |  |  | 133 |  |  |  | 23,270 |
Fannie Mae REMICS, Series 2021-26, Class AI, 3.50%, 05/25/50 |  |  | 27,161 |  |  |  | 4,117,559 |

Security |  | Par (000) |  |  | Value |
Interest Only Collateralized Mortgage Obligations (continued) |
Freddie Mac, Series 3744, Class CI, 3.00%, 06/25/51 |  | $ | 19,505 |  |  | $ | 2,748,636 |
Freddie Mac REMICS |  |  |  |  |  |  |  |
Series 5083, Class IN, 4.50%, 07/25/32 |  |  | 13,084 |  |  |  | 1,279,944 |
Series 5138, Class IP, 3.00%, 04/25/51 |  |  | 18,114 |  |  |  | 2,726,593 |
Ginnie Mae, Series 2022-10, Class IT, 3.50%, 01/20/52 |  |  | 11,830 |  |  |  | 1,827,230 |
IndyMac INDX Mortgage Loan Trust, Series 2006-AR33, Class 4AX, 0.17%, 01/25/37(a) |  |  | 18,826 |  |  |  | 2 |
Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29(a)(b) |  |  | 5,746 |  |  |  | 6 |
|  |  |  |  |  |  | 12,723,240 |
Principal Only Collateralized Mortgage Obligations — 2.3% |
CHL Mortgage Pass-Through Trust, Series 2003-J8, Class PO, 4.00%, 09/25/23 |  |  | 7 |  |  |  | 7,268 |
Fannie Mae, Series 2011-90, Class AO, 4.41%, 09/25/41 |  |  | 3,646 |  |  |  | 2,754,595 |
Fannie Mae Strip |  |  |  |  |  |  |  |
4.98%, 07/25/33 |  |  | 1,912 |  |  |  | 1,590,994 |
4.68%, 09/25/39 |  |  | 2,232 |  |  |  | 1,717,709 |
Residential Asset Securitization Trust, Series 2005-A15, Class 1A8, 2.58%, 02/25/36 |  |  | 91 |  |  |  | 63,344 |
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9, Class CP, 5.00%, 11/25/35 |  |  | 45 |  |  |  | 24,560 |
|  |  |  |  |  |  | 6,158,470 |
Total Non-Agency Mortgage-Backed Securities — 16.7% (Cost: $46,414,394) |  |  | 45,242,218 |
U.S. Government Sponsored Agency Securities |
Agency Obligations — 3.5% |  |  |  |  |  |
Federal Housing Administration, 7.43%, 05/15/23(a) |  |  | — | (d) |  |  | — |
Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(e) |  |  | 13,000 |  |  |  | 9,637,803 |
|  |  |  |  |  |  | 9,637,803 |
Collateralized Mortgage Obligations — 60.5% |  |  |  |
Fannie Mae, Series 0040, Class K, 6.50%, 08/17/24 |  |  | 2 |  |  |  | 1,803 |
Fannie Mae REMICS |  |  |  |  |  |  |  |
Series 1993-247, Class SN, (12-mo. LIBOR US + 63.85%), 10.00%, 12/25/23(b) |  |  | 1 |  |  |  | 1,354 |
Series 2004-31, Class ZG, 7.50%, 05/25/34 |  |  | 1,976 |  |  |  | 2,115,013 |
Series 2004-84, Class SD, (1-mo. LIBOR US + 12.75%), 3.99%, 04/25/34(b) |  |  | 134 |  |  |  | 132,138 |
Series 2005-73, Class DS, (1-mo. LIBOR US + 17.55%), 4.16%, 08/25/35(b) |  |  | 41 |  |  |  | 38,049 |
Series 2010-134, Class DB, 4.50%, 12/25/40 |  |  | 6,394 |  |  |  | 6,201,481 |
Series 2010-136, Class CY, 4.00%, 12/25/40 |  |  | 3,060 |  |  |  | 2,914,017 |
Series 2010-47, Class JB, 5.00%, 05/25/30 |  |  | 1,977 |  |  |  | 1,936,335 |
Series 2011-117, Class CP, 4.00%, 11/25/41 |  |  | 14,350 |  |  |  | 13,592,763 |
Series 2011-8, Class ZA, 4.00%, 02/25/41 |  |  | 3,821 |  |  |  | 3,611,198 |
Series 2011-99, Class CB, 4.50%, 10/25/41 |  |  | 31,036 |  |  |  | 30,232,814 |
Series 2012-104, Class QD, 4.00%, 09/25/42 |  |  | 1,639 |  |  |  | 1,505,987 |
Series 2013-81, Class YK, 4.00%, 08/25/43 |  |  | 7,000 |  |  |  | 6,505,637 |
Series 2018-32, Class PS, (1-mo. LIBOR US + 7.23%), 1.22%, 05/25/48(b) |  |  | 4,380 |  |  |  | 3,718,430 |
Series 2018-50, Class EB, 4.00%, 07/25/48 |  |  | 2,001 |  |  |  | 1,912,314 |
Freddie Mac REMICS |  |  |  |  |  |  |  |
Series 2218, Class Z, 8.50%, 03/15/30 |  |  | 336 |  |  |  | 351,919 |
Series 2731, Class ZA, 4.50%, 01/15/34 |  |  | 1,537 |  |  |  | 1,483,231 |

60 |  | 2 0 2 3 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, 2023 |  | 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 2927, Class BZ, 5.50%, 02/15/35 |  | $ 1,538 |  | $ | 1,527,733 |
Series 3745, Class ZA, 4.00%, 10/15/40 |  | 1,242 |  |  | 1,176,969 |
Series 3762, Class LN, 4.00%, 11/15/40 |  | 2,000 |  |  | 1,895,384 |
Series 3780, Class ZA, 4.00%, 12/15/40 |  | 3,260 |  |  | 3,101,250 |
Series 3856, Class PB, 5.00%, 05/15/41 |  | 6,568 |  |  | 6,559,273 |
Series 3960, Class PL, 4.00%, 11/15/41 |  | 2,859 |  |  | 2,718,084 |
Series 3963, Class JB, 4.50%, 11/15/41 |  | 551 |  |  | 532,532 |
Series 4016, Class BX, 4.00%, 09/15/41 |  | 15,408 |  |  | 14,650,986 |
Series 4269, Class PM, 4.00%, 08/15/41 |  | 8,884 |  |  | 8,276,851 |
Series 4299, Class JY, 4.00%, 01/15/44 |  | 1,000 |  |  | 935,086 |
Series 4384, Class LB, 3.50%, 08/15/43 |  | 4,030 |  |  | 3,812,801 |
Series 4615, Class LB, 4.50%, 09/15/41 |  | 7,281 |  |  | 7,135,590 |
Series 4748, Class BM, 3.50%, 11/15/47 |  | 3,351 |  |  | 2,884,592 |
Series 4774, Class L, 4.50%, 03/15/48 |  | 5,500 |  |  | 5,358,062 |
Series 4830, Class AV, 4.00%, 10/15/33 |  | 1,069 |  |  | 993,388 |
Freddie Mac Structured Pass-Through Certificates, Series T-11, Class A9, 0.13%, 01/25/28(b) |  | 74 |  |  | 72,833 |
Ginnie Mae |  |  |  |  |  |
Series 2011-88, Class PY, 4.00%, 06/20/41 |  | 7,829 |  |  | 7,456,318 |
Series 2012-16, Class HJ, 4.00%, 09/20/40 |  | 5,467 |  |  | 5,264,314 |
Series 2015-96, Class ZM, 4.00%, 07/20/45 |  | 8,611 |  |  | 7,900,865 |
Series 2018-91, Class ZL, 4.00%, 07/20/48 |  | 6,255 |  |  | 5,674,412 |
|  |  |  |  | 164,181,806 |
Commercial Mortgage-Backed Securities(b) — 0.6% |
Freddie Mac Multifamily Structured Pass-Through Certificates |  |  |  |  |  |
Series K094, Class X1, 1.01%, 06/25/29 |  | 1,401 |  |  | 59,618 |
Series K104, Class X1, 1.25%, 01/25/30 |  | 1,349 |  |  | 77,278 |
Series K105, Class X1, 1.64%, 01/25/30 |  | 1,818 |  |  | 143,045 |
Series K107, Class X1, 1.71%, 01/25/30 |  | 1,229 |  |  | 101,533 |
Series K109, Class X1, 1.70%, 04/25/30 |  | 938 |  |  | 77,692 |
Series K110, Class X1, 1.81%, 04/25/30 |  | 393 |  |  | 34,239 |
Series K113, Class X1, 1.48%, 06/25/30 |  | 1,591 |  |  | 117,747 |
Series K115, Class X1, 1.43%, 06/25/30 |  | 1,951 |  |  | 140,665 |
Series K120, Class X1, 1.13%, 10/25/30 |  | 3,887 |  |  | 219,946 |
Series K122, Class X1, 0.97%, 11/25/30 |  | 1,668 |  |  | 82,787 |
Ginnie Mae |  |  |  |  |  |
Series 2013-63, Class IO, 0.75%, 09/16/51 |  | 3,503 |  |  | 74,098 |
Series 2014-169, Class IO, 0.62%, 10/16/56 |  | 12,757 |  |  | 272,658 |
Series 2016-113, Class IO, 1.18%, 02/16/58 |  | 3,419 |  |  | 175,291 |
|  |  |  |  | 1,576,597 |
Interest Only Collateralized Mortgage Obligations — 7.5% |
Fannie Mae REMIC Trust, Series 1999-W4, Class IO, 6.50%, 12/25/28 |  | 32 |  |  | 1,526 |
Fannie Mae REMICS |  |  |  |  |  |
Series 1997-90, Class M, 6.00%, 01/25/28 |  | 29 |  |  | 336 |
Series 2006-36, Class PS, (1-mo. LIBOR US + 6.60%), 1.45%, 05/25/36(b) |  | 2,176 |  |  | 166,742 |
Series 2011-134, Class ST, (1-mo. LIBOR US + 6.00%), 0.85%, 12/25/41(b) |  | 12,577 |  |  | 1,269,899 |
Series 2013-10, Class PI, 3.00%, 02/25/43 |  | 3,723 |  |  | 439,784 |
Series 2013-45, Class EI, 4.00%, 04/25/43 |  | 1,338 |  |  | 120,531 |
Series 2015-66, Class AS, (1-mo. LIBOR US + 6.25%), 1.10%, 09/25/45(b) |  | 10,993 |  |  | 696,524 |
Series 2017-70, Class SA, (1-mo. LIBOR US + 6.15%), 1.00%, 09/25/47(b) |  | 16,982 |  |  | 1,782,644 |
Series 2020-12, Class JI, 4.50%, 03/25/50 |  | 7,567 |  |  | 1,512,527 |

Security |  | Par (000) |  |  | Value |
Interest Only Collateralized Mortgage Obligations (continued) |
Fannie Mae REMICS (continued) |  |  |  |  |  |  |  |
Series 2021-23, Class CI, 3.50%, 07/25/46 |  | $ | 18,941 |  |  | $ | 3,147,265 |
Freddie Mac REMICS |  |  |  |  |  |  |  |
Series 3744, Class PI, 4.00%, 06/15/39 |  |  | 1,078 |  |  |  | 41,907 |
Series 3796, Class WS, (1-mo. LIBOR US + 6.55%), 1.36%, 02/15/40(b) |  |  | 189 |  |  |  | 430 |
Series 3923, Class SD, (1-mo. LIBOR US + 6.00%), 0.81%, 09/15/41(b) |  |  | 16,227 |  |  |  | 1,328,423 |
Series 3954, Class SL, (1-mo. LIBOR US + 6.00%), 0.81%, 11/15/41(b) |  |  | 9,786 |  |  |  | 881,062 |
Series 4026, Class IO, 4.50%, 04/15/32 |  |  | 580 |  |  |  | 46,905 |
Series 4119, Class SC, (1-mo. LIBOR US + 6.15%), 0.96%, 10/15/42(b) |  |  | 222 |  |  |  | 21,663 |
Series 4706, Class IG, 4.00%, 07/15/47 |  |  | 8,064 |  |  |  | 1,338,676 |
Series 5013, Class JI, 4.00%, 09/25/50 |  |  | 19,777 |  |  |  | 2,886,269 |
Ginnie Mae |  |  |  |  |  |  |  |
Series 2009-116, Class KS, (1-mo. LIBOR US + 6.47%), 1.31%, 12/16/39(b) |  |  | 360 |  |  |  | 24,317 |
Series 2011-52, Class MJ, (1-mo. LIBOR US + 6.65%), 1.50%, 04/20/41(b) |  |  | 2,686 |  |  |  | 116,531 |
Series 2011-52, Class NS, (1-mo. LIBOR US + 6.67%), 1.51%, 04/16/41(b) |  |  | 3,389 |  |  |  | 210,113 |
Series 2012-97, Class JS, (1-mo. LIBOR US + 6.25%), 1.09%, 08/16/42(b) |  |  | 4,503 |  |  |  | 109,168 |
Series 2017-101, Class SL, (1-mo. LIBOR US + 6.20%), 1.04%, 07/20/47(b) |  |  | 8,716 |  |  |  | 931,982 |
Series 2022-60, Class IH, 2.50%, 02/20/51 |  |  | 24,207 |  |  |  | 3,282,640 |
|  |  |  |  |  |  | 20,357,864 |
Mortgage-Backed Securities — 67.8% |  |  |  |  |  |
Fannie Mae Mortgage-Backed Securities, 4.00%, 02/01/56 - 01/01/57(f) |  |  | 31,620 |  |  |  | 30,317,078 |
Freddie Mac Mortgage-Backed Securities, 5.50%, 01/01/39(f) |  |  | 4,446 |  |  |  | 4,556,123 |
Ginnie Mae Mortgage-Backed Securities |  |  |  |  |  |  |  |
7.50%, 09/15/23 - 11/15/23 |  |  | — | (d) |  |  | 41 |
8.00%, 05/15/26 - 06/15/27 |  |  | 8 |  |  |  | 7,860 |
5.00%, 10/20/39 |  |  | 999 |  |  |  | 1,014,428 |
Uniform Mortgage-Backed Securities |  |  |  |  |  |  |  |
4.50%, 09/01/25 - 10/01/52(f) |  |  | 36,725 |  |  |  | 35,738,216 |
5.50%, 02/01/33 - 10/01/39(f) |  |  | 3,326 |  |  |  | 3,409,812 |
5.00%, 06/01/33 - 07/13/53(f)(g)(h) |  |  | 29,462 |  |  |  | 29,107,511 |
2.50%, 07/18/38(g) |  |  | 180 |  |  |  | 163,864 |
6.50%, 10/01/38 - 10/01/39 |  |  | 1,130 |  |  |  | 1,183,065 |
4.00%, 01/01/41 - 10/01/52(f) |  |  | 40,574 |  |  |  | 38,373,041 |
3.00%, 07/13/53(g) |  |  | 41,900 |  |  |  | 36,873,637 |
3.50%, 07/13/53(g) |  |  | 3,664 |  |  |  | 3,338,677 |
|  |  |  |  |  |  | 184,083,353 |
Principal Only Collateralized Mortgage Obligations — 0.0% |
Fannie Mae REMIC Trust, Series 1999-W4, Class PO, 7.00%, 02/25/29 |  |  | 16 |  |  |  | 14,512 |

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, 2023 |  | BlackRock Income Trust, Inc. (BKT) (Percentages shown are based on Net Assets)

Security |  | Par (000) |  |  | Value |
Principal Only Collateralized Mortgage Obligations (continued) |
Fannie Mae REMICS, Series 2002-13, Class PR, 4.00%, 03/25/32 |  | $ | 21 |  |  | $ | 19,090 |
Freddie Mac REMICS, Series 1691, Class B, 4.00%, 03/15/24 |  |  | 5 |  |  |  | 5,032 |
|  |  |  |  |  |  | 38,634 |
Total U.S. Government Sponsored Agency Securities — 139.9% (Cost: $428,128,155) |  |  | 379,876,057 |
Total Long-Term Investments — 156.6% (Cost: $474,622,034) |  |  |  |  | 425,126,968 |
Short-Term Securities |  |  |  |  |  |  |  |
Borrowed Bond Agreement(i) — 0.3% |  |  |  |  |  |
BNP Paribas SA, 5.10%, open(j) (Purchased 03/15/2023 to be repurchased at $784,133, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $754,268, respectively) |  |  | 784 |  |  |  | 784,035 |
|  | Shares |  |  |  |
Money Market Funds — 2.2% |  |  |  |  |  |
BlackRock Liquidity Funds, T-Fund, Institutional Class, 4.98%(k)(l) |  |  | 6,098,856 |  |  |  | 6,098,856 |
Total Short-Term Securities — 2.5% (Cost: $6,882,891) |  |  | 6,882,891 |
Options Purchased — 0.1% (Cost: $228,000) |  |  | 140,398 |
Total Investments Before Borrowed Bonds — 159.2% (Cost: $481,732,925) |  |  | 432,150,257 |

Security |  | Par (000) |  |  | Value |
Borrowed Bonds |  |  |  |  |  |  |  |
U.S. Governments Obligations — (0.3)% |
U.S. Treasury Bonds, 2.75%, 11/15/42(m) |  |  | $ (917) |  |  | $ | (754,268 | )
Total Borrowed Bonds — (0.3)% (Proceeds: $(842,347)) |  |  |  | (754,268 | )
Total Investments, Net of Borrowed Bonds — 158.9% (Cost: $480,890,578) |  |  | 431,395,989 |
Liabilities in Excess of Other Assets — (58.9)% |  |  |  | (159,833,794 | )
Net Assets — 100.0% |  |  |  |  | $ 271,562,195 |

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

(b) | 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.

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

(d) | 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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/22 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/23 |  |  | Shares Held at 06/30/23 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T‑Fund, Institutional Class |  | $ | 5,814,963 |  |  | $ | 283,893 | (a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 6,098,856 |  |  |  | 6,098,856 |  |  | $ | 141,813 |  |  | $ | — |

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

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
Cantor Fitzgerald & Co. |  |  | 5.21 | % |  |  | 05/09/23 |  |  |  | 07/13/23 |  |  | $ | 6,077,087 |  |  | $ | 6,121,942 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Cantor Fitzgerald & Co. |  |  | 5.21 |  |  |  | 05/09/23 |  |  |  | 07/13/23 |  |  |  | 6,200,926 |  |  |  | 6,246,694 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days
Cantor Fitzgerald & Co. |  |  | 5.21 |  |  |  | 05/09/23 |  |  |  | 07/13/23 |  |  |  | 2,088,700 |  |  |  | 2,106,138 |  |  | U.S. Government Sponsored Agency Securities |  | Up to 30 Days

62 |  | 2 0 2 3 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, 2023 |  | BlackRock Income Trust, Inc. (BKT)

Reverse Repurchase Agreements (continued)

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 |
Cantor Fitzgerald & Co. |  |  | 5.21 | % |  |  | 05/09/23 |  |  |  | 07/13/23 |  |  | $ | 6,076,566 |  |  | $ | 6,121,416 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 5,971,883 |  |  |  | 5,987,649 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 5,811,506 |  |  |  | 5,826,848 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 5,937,336 |  |  |  | 5,953,011 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 2,091,422 |  |  |  | 2,096,944 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 4,438,561 |  |  |  | 4,450,279 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 5,854,456 |  |  |  | 5,869,911 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 2,765,289 |  |  |  | 2,772,589 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 1,448,255 |  |  |  | 1,452,079 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 3,749,852 |  |  |  | 3,759,751 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 3,050,508 |  |  |  | 3,058,561 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 1,277,320 |  |  |  | 1,280,693 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 2,348,677 |  |  |  | 2,354,877 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 2,614,745 |  |  |  | 2,621,647 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 5,815,536 |  |  |  | 5,830,889 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 3,053,692 |  |  |  | 3,061,754 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 5,891,182 |  |  |  | 5,906,735 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 1,194,543 |  |  |  | 1,197,697 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 4,620,473 |  |  |  | 4,632,671 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 1,279,740 |  |  |  | 1,283,119 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 991,366 |  |  |  | 993,983 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 20,661,266 |  |  |  | 20,715,812 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
HSBC Securities (USA), Inc. |  |  | 5.28 |  |  |  | 06/08/23 |  |  |  | 07/13/23 |  |  |  | 8,863,547 |  |  |  | 8,886,947 |  |  | U.S. Government Sponsored Agency Securities |  |  | Up to 30 Days |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 120,174,434 |  |  | $ | 120,590,636 |  |  |  |  |  |  |

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, 2023 |  | 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 |  |  | 369 |  |  |  | 09/20/23 |  |  | $ | 41,443 |  |  | $ | (1,009,760 | )
Short Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year U.S. Ultra Long Treasury Note |  |  | 167 |  |  |  | 09/20/23 |  |  |  | 19,795 |  |  |  | 227,740 |
U.S. Long Bond |  |  | 130 |  |  |  | 09/20/23 |  |  |  | 16,526 |  |  |  | 70,485 |
2-Year U.S. Treasury Note |  |  | 172 |  |  |  | 09/29/23 |  |  |  | 34,983 |  |  |  | 591,305 |
5-Year U.S. Treasury Note |  |  | 62 |  |  |  | 09/29/23 |  |  |  | 6,643 |  |  |  | 128,796 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,018,326 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 8,566 |

OTC Interest Rate Swaptions Purchased

|  | Paid by the Fund |  |  | Received by the Fund |  |  |  |  |  | Expiration |  |  | Exercise |  |  | Notional |  |  |  |
Description |  | Rate |  |  | Frequency |  |  | Rate |  |  | Frequency |  |  | Counterparty |  |  | Date |  |  | Rate |  |  | Amount (000) |  |  | Value |
Call |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year Interest Rate Swap, 12/13/33 |  |  | 1-Day SOFR, 1.09% |  |  |  | Quarterly |  |  |  | 3.00 | % |  |  | Semi‑Annual |  |  |  | Deutsche Bank AG |  |  |  | 12/11/23 |  |  |  | 3.00 | % |  |  | USD 15,000 |  |  | $ | 140,398 |

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, 1.09% |  |  | Quarterly |  |  |  | 0.17% |  |  |  | Quarterly |  |  |  | N/A |  |  |  | 10/21/25 |  |  |  | USD 137 |  |  | $ | (14,575 | ) |  | $ | (16 | ) |  | $ | (14,559 | )
0.18% |  |  | Quarterly |  |  |  | 1‑Day FEDL, 5.08% |  |  |  | Quarterly |  |  |  | N/A |  |  |  | 10/21/25 |  |  |  | USD 137 |  |  |  | 14,608 |  |  |  | 13 |  |  |  | 14,595 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 33 |  |  | $ | (3 | ) |  | $ | 36 |

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) |  | $ | 13 |  |  | $ | (16 | ) |  | $ | 14,595 |  |  | $ | (14,559 | )

| (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.

64 |  | 2 0 2 3 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, 2023 |  | 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) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,018,326 |  |  | $ | — |  |  | $ | 1,018,326 |
Options purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments at value — unaffiliated(b) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 140,398 |  |  |  | — |  |  |  | 140,398 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on centrally cleared swaps(a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 14,595 |  |  |  | — |  |  |  | 14,595 |
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,173,319 |  |  | $ | — |  |  | $ | 1,173,319 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on futures contracts(a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,009,760 |  |  | $ | — |  |  | $ | 1,009,760 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps(a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 14,559 |  |  |  | — |  |  |  | 14,559 |
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 1,024,319 |  |  | $ | — |  |  | $ | 1,024,319 |

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

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

For the period ended June 30, 2023, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 682,998 |  |  | $ | — |  |  | $ | 682,998 |
Swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (16 | ) |  |  | — |  |  |  | (16 | )
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 682,982 |  |  | $ | — |  |  | $ | 682,982 |
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (55,430 | ) |  | $ | — |  |  | $ | (55,430 | )
Options purchased(a) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (87,602 | ) |  |  | — |  |  |  | (87,602 | )
Swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 43 |  |  |  | — |  |  |  | 43 |
|  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (142,989 | ) |  | $ | — |  |  | $ | (142,989 | )

| (a) | 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 |  | $ | 43,561,563 |
Average notional value of contracts — short |  | $ | 87,549,532 |
Options: |  |  |  |
Average notional value of swaption contracts purchased |  | $ | 15,000,000 |
Interest rate swaps: |  |  |  |
Average notional value — pays fixed rate |  | $ | 136,615 |
Average notional value — receives fixed rate |  | $ | 136,615 |

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 |  | 65

Schedule of Investments (unaudited) (continued) June 30, 2023 |  | 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 |  | $ | — |  |  | $ | 127,542 |
Options |  |  | 140,398 |  |  |  | — |
Swaps — centrally cleared |  |  | 71 |  |  |  | — |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 140,469 |  |  |  | 127,542 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (71 | ) |  |  | (127,542 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 140,398 |  |  | $ | — |

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)
Deutsche Bank AG |  | $ | 140,398 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 140,398 |

| (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 |  | $ | — |  |  | $ | — |  |  | $ | 8,693 |  |  | $ | 8,693 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 45,242,210 |  |  |  | 8 |  |  |  | 45,242,218 |
U.S. Government Sponsored Agency Securities |  |  | — |  |  |  | 379,876,057 |  |  |  | — |  |  |  | 379,876,057 |
Short-Term Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowed Bond Agreement |  |  | — |  |  |  | 784,035 |  |  |  | — |  |  |  | 784,035 |
Money Market Funds |  |  | 6,098,856 |  |  |  | — |  |  |  | — |  |  |  | 6,098,856 |
Options Purchased |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | — |  |  |  | 140,398 |  |  |  | — |  |  |  | 140,398 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Borrowed Bonds |  |  | — |  |  |  | (754,268 | ) |  |  | — |  |  |  | (754,268 | )
|  | $ | 6,098,856 |  |  | $ | 425,288,432 |  |  | $ | 8,701 |  |  | $ | 431,395,989 |
Derivative Financial Instruments(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  | $ | 1,018,326 |  |  | $ | 14,595 |  |  | $ | — |  |  | $ | 1,032,921 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest Rate Contracts |  |  | (1,009,760 | ) |  |  | (14,559 | ) |  |  | — |  |  |  | (1,024,319 | )
|  | $ | 8,566 |  |  | $ | 36 |  |  | $ | — |  |  | $ | 8,602 |

| (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 $120,590,636 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.

66 |  | 2 0 2 3 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, 2023 |  | 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%), 7.35%, 04/20/34(a)(b) |  | USD |  |  | 1,000 |  |  | $ | 966,017 |
Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3-mo. LIBOR US + 3.00%), 8.26%, 10/21/28(a)(b) |  |  |  |  | 1,000 |  |  |  | 945,126 |
ALM Ltd., Series 2020-1A, Class D, (3-mo. LIBOR US + 6.00%), 11.26%, 10/15/29(a)(b) |  |  |  |  | 285 |  |  |  | 259,176 |
Anchorage Capital CLO 3-R Ltd., Series 2014-3RA, Class E, (3-mo. LIBOR US + 5.50%), 10.77%, 01/28/31(a)(b) |  |  |  |  | 850 |  |  |  | 698,475 |
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class D, (3-mo. LIBOR US + 2.60%), 7.87%, 01/28/31(a)(b) |  |  |  |  | 250 |  |  |  | 227,476 |
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class D1R2, (3-mo. LIBOR US + 3.50%), 8.77%, 01/28/31(a)(b) |  |  |  |  | 1,000 |  |  |  | 943,555 |
Apidos CLO XXVI, Series 2017-26A, Class A1AR, (3-mo. LIBOR US + 0.90%), 6.16%, 07/18/29(a)(b) |  |  |  |  | 445 |  |  |  | 442,102 |
Argent Securities Trust, Series 2006-W5, Class A1A, (1-mo. LIBOR US + 0.30%), 5.45%, 06/25/36(a) |  |  |  |  | 4,114 |  |  |  | 2,662,409 |
Bain Capital Credit CLO Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |
Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.30%), 8.57%, 07/19/34 |  |  |  |  | 300 |  |  |  | 265,017 |
Series 2021-3A, Class D, (3-mo. LIBOR US + 3.10%), 8.37%, 07/24/34 |  |  |  |  | 250 |  |  |  | 224,075 |
Barings CLO Ltd., Series 2017-1A, Class D, (3-mo. LIBOR US + 3.60%), 8.86%, 07/18/29(a)(b) |  |  |  |  | 250 |  |  |  | 244,959 |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1R2, (3-mo. LIBOR US + 0.87%), 6.13%, 07/15/29(a)(b) |  |  |  |  | 160 |  |  |  | 159,346 |
Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3-mo. LIBOR US + 2.05%), 7.31%, 07/15/34(a)(b) |  |  |  |  | 250 |  |  |  | 238,375 |
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class D, (3-mo. LIBOR US + 2.90%), 8.16%, 04/15/34(a)(b) |  |  |  |  | 500 |  |  |  | 454,549 |
Carlyle U.S. CLO Ltd., Series 2018-1A, Class A1, (3-mo. LIBOR US + 1.02%), 6.27%, 04/20/31(a)(b) |  |  |  |  | 250 |  |  |  | 247,825 |
CarVal CLO II Ltd., Series 2019-1A, Class CR, (3-mo. LIBOR US + 2.00%), 7.25%, 04/20/32(a)(b) |  |  |  |  | 250 |  |  |  | 243,581 |
CarVal CLO III Ltd., Series 2019-2A, Class E, (3-mo. LIBOR US + 6.44%), 11.69%, 07/20/32(a)(b) |  |  |  |  | 500 |  |  |  | 446,067 |
Cayuga Park CLO Ltd., Series 2020-1A, Class B1R, (3-mo. LIBOR US + 1.65%), 6.91%, 07/17/34(a)(b) |  |  |  |  | 250 |  |  |  | 246,935 |
Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. LIBOR US + 1.60%), 6.86%, 07/15/33(a)(b) |  |  |  |  | 500 |  |  |  | 491,308 |
Cedar Funding XV CLO Ltd., Series 2022-15A, Class B, (3-mo. CME Term SOFR + 1.80%), 6.85%, 04/20/35(a)(b) |  |  |  |  | 450 |  |  |  | 432,616 |
CIFC Funding I Ltd., Series 2019-1A, Class DR, (3-mo. LIBOR US + 3.10%), 8.35%, 04/20/32(a)(b) |  |  |  |  | 500 |  |  |  | 483,132 |
CIFC Funding Ltd., Series 2013-4A, Class DRR, (3-mo. LIBOR US + 2.80%), 8.09%, 04/27/31(a)(b) |  |  |  |  | 250 |  |  |  | 236,118 |

Security |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |  |  |  |
CIFC Funding VII Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |
Series 2022-7A, Class D, (3-mo. CME Term SOFR + 5.35%), 10.42%, 10/22/35 |  | USD |  |  | 250 |  |  | $ | 250,140 |
Series 2022-7A, Class E, (3-mo. CME Term SOFR + 8.94%), 14.01%, 10/22/35 |  |  |  |  | 500 |  |  |  | 496,972 |
Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36(c) |  |  |  |  | 334 |  |  |  | 217,607 |
Clear Creek CLO, Series 2015-1A, Class DR, (3‑mo. LIBOR US + 2.95%), 8.20%, 10/20/30(a)(b) |  |  |  |  | 250 |  |  |  | 234,463 |
Countrywide Asset-Backed Certificates Trust, Series 2006-26, Class 1A, (1-mo. LIBOR US + 0.14%), 5.29%, 06/25/37(a) |  |  |  |  | 518 |  |  |  | 475,803 |
Dryden 106 CLO Ltd., Series 2022-106A, Class E, (3-mo. CME Term SOFR + 8.87%), 13.43%, 10/15/35(a)(b) |  |  |  |  | 500 |  |  |  | 500,090 |
Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3-mo. LIBOR US + 2.65%), 7.91%, 04/18/31(a)(b) |  |  |  |  | 250 |  |  |  | 228,468 |
Elmwood CLO I Ltd., Series 2019-1A, Class ER, (3-mo. LIBOR US + 7.71%), 12.96%, 10/20/33(a)(b) |  |  |  |  | 250 |  |  |  | 245,216 |
Elmwood CLO II Ltd., Series 2019-2A, Class ER, (3-mo. LIBOR US + 6.80%), 12.05%, 04/20/34(a)(b) |  |  |  |  | 250 |  |  |  | 244,434 |
Elmwood CLO IV Ltd., Series 2020-1A, Class B, (3-mo. LIBOR US + 1.70%), 6.96%, 04/15/33(a)(b) |  |  |  |  | 500 |  |  |  | 491,179 |
Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3-mo. LIBOR US + 2.00%), 7.25%, 10/20/34(a)(b) |  |  |  |  | 436 |  |  |  | 425,898 |
Generate CLO 3 Ltd., Series 3A, Class DR, (3-mo. LIBOR US + 3.60%), 8.85%, 10/20/29(a)(b) |  |  |  |  | 250 |  |  |  | 245,910 |
Generate CLO 4 Ltd., Series 4A, Class ER, (3-mo. LIBOR US + 6.75%), 12.00%, 04/20/32(a)(b) |  |  |  |  | 1,000 |  |  |  | 932,751 |
Generate CLO 6 Ltd., Series DR, Class 6A, (3-mo. LIBOR US + 3.50%), 8.77%, 01/22/35(a)(b) |  |  |  |  | 750 |  |  |  | 701,248 |
Golub Capital Partners CLO 55B Ltd., Series 2021- 55A, Class E, (3-mo. LIBOR US + 6.56%), 11.81%, 07/20/34(a)(b) |  |  |  |  | 250 |  |  |  | 235,826 |
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E, (3-mo. LIBOR US + 6.45%), 11.71%, 04/15/33(a)(b) |  |  |  |  | 250 |  |  |  | 218,946 |
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class A2, (3-mo. LIBOR US + 1.80%), 7.06%, 07/15/34(a)(b) |  |  |  |  | 250 |  |  |  | 248,715 |
Jay Park CLO Ltd., Series 2016-1A, Class CR, (3-mo. LIBOR US + 2.65%), 7.90%, 10/20/27(a)(b) |  |  |  |  | 250 |  |  |  | 245,055 |
LCM XIII LP, Series 13A, Class AR3, (3-mo. LIBOR US + 0.87%), 6.14%, 07/19/27(a)(b) |  |  |  |  | 389 |  |  |  | 386,514 |
Madison Park Funding XLV Ltd., (3-mo. LIBOR US + 1.70%), 7.27%, 07/15/34(a)(b) |  |  |  |  | 300 |  |  |  | 291,750 |
Madison Park Funding XVII Ltd., Series 2015-17A, Class DR, (3-mo. LIBOR US + 3.60%), 8.86%, 07/21/30(a)(b) |  |  |  |  | 500 |  |  |  | 487,875 |
Madison Park Funding XVIII Ltd., Series 2015-18A, Class ARR, (3-mo. LIBOR US + 0.94%), 6.20%, 10/21/30(a)(b) |  |  |  |  | 496 |  |  |  | 491,009 |
Madison Park Funding XXIX Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |
Series 2018-29A, Class D, (3-mo. LIBOR US + 3.00%), 8.26%, 10/18/30 |  |  |  |  | 510 |  |  |  | 491,375 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |
Madison Park Funding XXIX Ltd.(a)(b) (continued) |  |  |  |  |
Series 2018-29A, Class E, (3-mo. LIBOR US + 5.70%), 10.96%, 10/18/30 |  | USD |  |  | 250 |  |  | $ | 233,243 |
Madison Park Funding XXV Ltd., Series 2017-25A, Class A1R, (3-mo. LIBOR US + 0.97%), 6.23%, 04/25/29(a)(b) |  |  |  |  | 975 |  |  |  | 968,992 |
Madison Park Funding XXVI Ltd., Series 2007-4A, Class DR, (3-mo. LIBOR US + 3.00%), 8.30%, 07/29/30(a)(b) |  |  |  |  | 250 |  |  |  | 235,195 |
Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class BR, (3-mo. LIBOR US + 1.65%), 6.91%, 07/15/33(a)(b) |  |  |  |  | 800 |  |  |  | 788,494 |
Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class B, (3-mo. LIBOR US + 1.65%), 6.91%, 07/17/34(a)(b) |  |  |  |  | 250 |  |  |  | 243,750 |
Neuberger Berman CLO XX Ltd., Series 2015-20A, Class ERR, (3-mo. LIBOR US + 6.50%), 11.76%, 07/15/34(a)(b) |  |  |  |  | 790 |  |  |  | 718,953 |
Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class ER, (3-mo. LIBOR US + 6.10%), 11.37%, 01/20/32(a)(b) |  |  |  |  | 425 |  |  |  | 391,304 |
Neuberger Berman Loan Advisers NBLA CLO 52 Ltd., Series 2022-52A, Class D, (3-mo. CME Term SOFR + 5.75%), 10.82%, 10/24/35(a)(b) |  |  |  |  | 500 |  |  |  | 500,151 |
OCP CLO Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |
Series 2017-14A, Class A2, (3-mo. LIBOR US + 1.50%), 6.88%, 11/20/30 |  |  |  |  | 300 |  |  |  | 294,280 |
Series 2019-16A, Class DR, (3-mo. LIBOR US + 3.15%), 8.36%, 04/10/33 |  |  |  |  | 250 |  |  |  | 231,747 |
Octagon 54 Ltd., Series 2021-1A, Class D, (3-mo. LIBOR US + 3.05%), 8.31%, 07/15/34(a)(b) |  |  |  |  | 250 |  |  |  | 231,769 |
Octagon Investment Partners 31 Ltd., Series 2017-1A, Class E, (3-mo. LIBOR US + 6.30%), 11.55%, 07/20/30(a)(b) |  |  |  |  | 500 |  |  |  | 433,047 |
Octagon Investment Partners XV Ltd., Series 2013-1A, Class A1RR, (3-mo. LIBOR US + 0.97%), 6.24%, 07/19/30(a)(b) |  |  |  |  | 1,697 |  |  |  | 1,686,054 |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class BR2, (3-mo. LIBOR US + 1.40%), 6.66%, 01/25/31(a)(b) |  |  |  |  | 250 |  |  |  | 243,278 |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class BR, (3-mo. LIBOR US + 1.70%), 6.96%, 10/25/34(a)(b) |  |  |  |  | 250 |  |  |  | 244,303 |
OZLM VIII Ltd., Series 2014-8A, Class CRR, (3-mo. LIBOR US + 3.15%), 8.41%, 10/17/29(a)(b) |  |  |  |  | 250 |  |  |  | 243,369 |
OZLM XXI Ltd., Series 2017-21A, Class D, (3-mo. LIBOR US + 5.54%), 10.79%, 01/20/31(a)(b) |  |  |  |  | 250 |  |  |  | 206,592 |
Rad CLO Ltd., Series 2022-17A, Class E, (3-mo. CME Term SOFR + 8.30%), 13.35%, 10/20/35(a)(b) |  |  |  |  | 250 |  |  |  | 240,676 |
Regatta IX Funding Ltd., Series 2022-1A, Class D, (3-mo. LIBOR US + 3.90%), 9.16%, 04/17/30(a)(b) |  |  |  |  | 500 |  |  |  | 486,546 |
Regatta XVIII Funding Ltd., Series 2021-1A, Class B, (3-mo. LIBOR US + 1.45%), 6.71%, 01/15/34(a)(b) |  |  |  |  | 300 |  |  |  | 293,360 |
Regatta XXIV Funding Ltd., Series 2021-5A, Class D, (3-mo. LIBOR US + 3.10%), 8.35%, 01/20/35(a)(b) |  |  |  |  | 250 |  |  |  | 241,535 |

Security |  |  |  | Par (000) |  |  | Value |
Asset-Backed Securities (continued) |
Regatta XXV Funding Ltd., (3-mo. Term SOFR + 8.41%), 13.65%, 07/15/36(a)(b) |  | USD |  |  | 500 |  |  | $ | 490,000 |
Regional Management Issuance Trust, 3.88%, 10/17/33(d) |  |  |  |  | 980 |  |  |  | 846,524 |
Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3-mo. LIBOR US + 2.85%), 8.11%, 10/15/29(a)(b) |  |  |  |  | 500 |  |  |  | 470,124 |
Sterling COOFS Trust(b)(d) |  |  |  |  |  |  |  |  |  |
Series 2004-1, Class A, 2.36%, 04/15/29(a) |  |  |  |  | 637 |  |  |  | 6,375 |
Series 2004-2, Class Note, 2.08%, 03/30/30 |  |  |  |  | 878 |  |  |  | 5,520 |
Symphony CLO XXXII Ltd., Series 2022-32A, Class B, (3-mo. CME Term SOFR + 1.85%), 6.92%, 04/23/35(a)(b) |  |  |  |  | 300 |  |  |  | 294,546 |
Trimaran CAVU Ltd.(a)(b) |  |  |  |  |  |  |  |  |  |
Series 2021-1A, Class D, (3-mo. LIBOR US + 3.45%), 8.72%, 04/23/32 |  |  |  |  | 250 |  |  |  | 240,991 |
Series 2021-2A, Class D1, (3-mo. LIBOR US + 3.25%), 8.51%, 10/25/34 |  |  |  |  | 500 |  |  |  | 478,488 |
Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27(e) |  | GBP |  |  | 32 |  |  |  | 40,449 |
Voya CLO Ltd., Series 2019-3A, Class BR, (3-mo. LIBOR US + 1.65%), 6.91%, 10/17/32(a)(b) |  | USD |  |  | 500 |  |  |  | 494,125 |
Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3-mo. LIBOR US + 3.35%), 8.62%, 10/24/34(a)(b) |  |  |  |  | 500 |  |  |  | 478,425 |
Whitebox CLO III Ltd., Series 2021-3A, Class D, (3-mo. LIBOR US + 3.35%), 8.61%, 10/15/34(a)(b) |  |  |  |  | 250 |  |  |  | 238,807 |
Total Asset-Backed Securities — 6.9% (Cost: $34,738,867) |  |  |  | 33,586,495 |
|  |  |  | Shares |  |  |  |
Common Stocks |  |  |  |  |  |  |  |  |  |
Construction & Engineering — 0.0% |  |  |  |  |  |
McDermott International Ltd.(f) |  |  |  |  | 47,837 |  |  |  | 8,611 |
Energy Equipment & Services — 0.0% |  |  |  |  |  |
Project Investor Holdings LLC, (Acquired 02/12/19, Cost: $0)(d)(g) |  |  |  |  | 2,869 |  |  |  | — |
Financial Services — 0.0% |  |  |  |  |  |  |  |
NMG Parent LLC |  |  |  |  | 1,330 |  |  |  | 164,033 |
Household Products — 0.0% |  |  |  |  |  |  |  |
Berkline Benchcraft Equity LLC(d) |  |  |  |  | 3,155 |  |  |  | — |
Industrial Conglomerates — 0.0% |  |  |  |  |  |  |  |
Ameriforge Group, Inc. |  |  |  |  | 801 |  |  |  | 8 |
Oil, Gas & Consumable Fuels — 0.0% |  |  |  |  |  |
Kcad Holdings I Ltd.(d) |  |  |  |  | 546,753,936 |  |  |  | 5,467 |
Total Common Stocks — 0.0% (Cost: $6,822,812) |  |  |  |  |  |  |  |  | 178,119 |

68 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Corporate Bonds |  |  |  |  |  |  |  |  |  |
Aerospace & Defense — 3.1% |  |  |  |  |  |  |  |
Amsted Industries, Inc., 5.63%, 07/01/27(b) |  | USD |  |  | 156 |  |  | $ | 150,882 |
Bombardier, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 03/15/25 |  |  |  |  | 17 |  |  |  | 17,029 |
7.13%, 06/15/26(h) |  |  |  |  | 1,191 |  |  |  | 1,182,976 |
7.88%, 04/15/27(h) |  |  |  |  | 605 |  |  |  | 603,442 |
6.00%, 02/15/28(h) |  |  |  |  | 539 |  |  |  | 509,411 |
7.50%, 02/01/29(h) |  |  |  |  | 660 |  |  |  | 652,308 |
7.45%, 05/01/34 |  |  |  |  | 100 |  |  |  | 114,000 |
F-Brasile SpA/F-Brasile U.S. LLC, Series XR, 7.38%, 08/15/26(b)(h) |  |  |  |  | 423 |  |  |  | 382,815 |
Howmet Aerospace, Inc., 5.13%, 10/01/24 |  |  |  |  | 4 |  |  |  | 3,955 |
Northrop Grumman Corp., 3.85%, 04/15/45(h) |  |  |  |  | 600 |  |  |  | 488,947 |
Rolls-Royce PLC, 5.75%, 10/15/27(b)(h) |  |  |  |  | 1,018 |  |  |  | 995,354 |
Spirit AeroSystems, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  |  |  |  | 32 |  |  |  | 31,620 |
9.38%, 11/30/29(h) |  |  |  |  | 607 |  |  |  | 649,839 |
TransDigm, Inc. |  |  |  |  |  |  |  |  |  |
6.25%, 03/15/26(b)(h) |  |  |  |  | 5,693 |  |  |  | 5,665,177 |
6.38%, 06/15/26 |  |  |  |  | 46 |  |  |  | 45,402 |
7.50%, 03/15/27 |  |  |  |  | 105 |  |  |  | 105,149 |
6.75%, 08/15/28(b) |  |  |  |  | 2,352 |  |  |  | 2,360,914 |
Triumph Group, Inc., 9.00%, 03/15/28(b)(h) |  |  |  |  | 881 |  |  |  | 899,535 |
|  |  |  |  |  |  |  |  | 14,858,755 |
Automobile Components — 1.3% |  |  |  |  |  |  |  |
Aptiv PLC, 4.40%, 10/01/46(h) |  |  |  |  | 240 |  |  |  | 185,824 |
Clarios Global LP, 6.75%, 05/15/25(b) |  |  |  |  | 528 |  |  |  | 528,323 |
Clarios Global LP/Clarios U.S. Finance Co. |  |  |  |  |  |  |  |  |  |
4.38%, 05/15/26(e) |  | EUR |  |  | 200 |  |  |  | 207,676 |
6.25%, 05/15/26(b)(h) |  | USD |  |  | 1,409 |  |  |  | 1,399,926 |
8.50%, 05/15/27(b)(h) |  |  |  |  | 2,555 |  |  |  | 2,559,180 |
6.75%, 05/15/28(b)(h) |  |  |  |  | 798 |  |  |  | 795,209 |
Dana Financing Luxembourg SARL, 8.50%, 07/15/31(e) |  | EUR |  |  | 100 |  |  |  | 112,557 |
Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b). |  | USD |  |  | 174 |  |  |  | 158,508 |
Forvia, 3.75%, 06/15/28(e) |  | EUR |  |  | 100 |  |  |  | 98,794 |
Goodyear Tire & Rubber Co. |  |  |  |  |  |  |  |  |  |
5.00%, 07/15/29(h) |  | USD |  |  | 104 |  |  |  | 93,781 |
5.63%, 04/30/33 |  |  |  |  | 109 |  |  |  | 94,892 |
ZF Finance GmbH, 2.00%, 05/06/27(e) |  | EUR |  |  | 100 |  |  |  | 94,798 |
|  |  |  |  |  |  |  |  | 6,329,468 |
Automobiles — 1.5% |  |  |  |  |  |  |  |
Asbury Automotive Group, Inc. |  |  |  |  |  |  |  |  |  |
4.50%, 03/01/28 |  | USD |  |  | 129 |  |  |  | 118,268 |
4.75%, 03/01/30 |  |  |  |  | 124 |  |  |  | 110,186 |
5.00%, 02/15/32(b) |  |  |  |  | 130 |  |  |  | 113,190 |
Ford Motor Co. |  |  |  |  |  |  |  |  |  |
4.35%, 12/08/26 |  |  |  |  | 11 |  |  |  | 10,631 |
3.25%, 02/12/32(h) |  |  |  |  | 469 |  |  |  | 368,955 |
6.10%, 08/19/32(h) |  |  |  |  | 179 |  |  |  | 173,479 |
Ford Motor Credit Co. LLC |  |  |  |  |  |  |  |  |  |
3.81%, 01/09/24(h) |  |  |  |  | 629 |  |  |  | 620,036 |
2.75%, 06/14/24 |  | GBP |  |  | 100 |  |  |  | 121,240 |
4.69%, 06/09/25 |  | USD |  |  | 200 |  |  |  | 192,653 |
5.13%, 06/16/25(h) |  |  |  |  | 490 |  |  |  | 476,540 |
3.38%, 11/13/25 |  |  |  |  | 200 |  |  |  | 185,975 |
4.39%, 01/08/26(h) |  |  |  |  | 400 |  |  |  | 378,561 |
6.86%, 06/05/26 |  | GBP |  |  | 108 |  |  |  | 133,664 |

Security |  |  |  | Par (000) |  |  | Value |
Automobiles (continued) |  |  |  |  |  |  |  |
Ford Motor Credit Co. LLC (continued) |  |  |  |  |  |  |  |
2.70%, 08/10/26 |  | USD |  |  | 295 |  |  | $ | 263,369 |
4.95%, 05/28/27(h) |  |  |  |  | 200 |  |  |  | 188,657 |
6.80%, 05/12/28(h) |  |  |  |  | 582 |  |  |  | 582,534 |
7.35%, 03/06/30(h) |  |  |  |  | 600 |  |  |  | 612,745 |
3.63%, 06/17/31(h) |  |  |  |  | 400 |  |  |  | 327,850 |
General Motors Financial Co., Inc., 6.00%, 01/09/28(h) |  |  |  |  | 1,000 |  |  |  | 1,008,014 |
Ken Garff Automotive LLC, 4.88%, 09/15/28(b) |  |  |  |  | 122 |  |  |  | 107,302 |
LCM Investments Holdings II LLC, 4.88%, 05/01/29(b) |  |  |  |  | 292 |  |  |  | 249,876 |
Lithia Motors, Inc., 3.88%, 06/01/29(b) |  |  |  |  | 131 |  |  |  | 113,820 |
MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b) |  |  |  |  | 178 |  |  |  | 141,336 |
Renault SA, 2.38%, 05/25/26(e) |  | EUR |  |  | 100 |  |  |  | 100,771 |
TML Holdings Pte. Ltd., 4.35%, 06/09/26(e)(h) |  | USD |  |  | 200 |  |  |  | 186,282 |
Wabash National Corp., 4.50%, 10/15/28(b) |  |  |  |  | 220 |  |  |  | 190,766 |
|  |  |  |  |  |  |  |  | 7,076,700 |
Banks — 0.6% |  |  |  |  |  |  |  |
Banco BPM SpA(a)(e) |  |  |  |  |  |  |  |  |  |
(3-mo. EURIBOR + 2.80%), 6.00%, 06/14/28 |  | EUR |  |  | 150 |  |  |  | 162,540 |
(5-year EUR Swap + 3.17%), 2.88%, 06/29/31 |  |  |  |  | 100 |  |  |  | 95,226 |
Banco Espirito Santo SA(e)(f)(i) |  |  |  |  |  |  |  |  |  |
4.75%, 01/15/18 |  |  |  |  | 100 |  |  |  | 25,098 |
4.00%, 01/21/19 |  |  |  |  | 100 |  |  |  | 25,098 |
Bangkok Bank PCL, (5-year CMT + 4.73%), 5.00%(a)(e)(j) |  | USD |  |  | 201 |  |  |  | 190,625 |
Bank of Communications Co. Ltd., (5-year CMT + 3.35%), 3.80%(a)(e)(j) |  |  |  |  | 200 |  |  |  | 191,872 |
Chong Hing Bank Ltd., (5-year CMT + 3.86%), 5.70%(a)(e)(j) |  |  |  |  | 250 |  |  |  | 242,565 |
Citigroup, Inc., (1-day SOFR + 2.66%), 6.17%, 05/25/34(a)(h) |  |  |  |  | 430 |  |  |  | 433,746 |
Credit Suisse AG/New York, 5.00%, 07/09/27(h) |  |  |  |  | 1,200 |  |  |  | 1,158,469 |
Intesa Sanpaolo SpA, 5.71%, 01/15/26(b)(h) |  |  |  |  | 200 |  |  |  | 190,406 |
Krung Thai Bank PCL, (5-year CMT + 3.53%), 4.40%(a)(e)(h)(j) |  |  |  |  | 202 |  |  |  | 185,357 |
|  |  |  |  |  |  |  |  | 2,901,002 |
Beverages — 2.1% |  |  |  |  |  |  |  |
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(h) |  |  |  |  | 800 |  |  |  | 764,633 |
ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h)(k) |  |  |  |  | 834 |  |  |  | 675,244 |
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC(b) |  |  |  |  |  |  |  |  |  |
6.00%, 06/15/27(h) |  |  |  |  | 400 |  |  |  | 392,946 |
3.25%, 09/01/28 |  |  |  |  | 200 |  |  |  | 171,794 |
4.00%, 09/01/29(h) |  |  |  |  | 2,234 |  |  |  | 1,769,314 |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |  |  |  |  |  |  |  |  |  |
5.25%, 04/30/25(b) |  |  |  |  | 200 |  |  |  | 195,619 |
2.13%, 08/15/26(e) |  | EUR |  |  | 200 |  |  |  | 193,709 |
5.25%, 08/15/27(b) |  | USD |  |  | 202 |  |  |  | 171,110 |
Ball Corp., 6.00%, 06/15/29(h) |  |  |  |  | 193 |  |  |  | 191,553 |
Canpack SA/Canpack U.S. LLC, 3.13%, 11/01/25(b)(h) |  |  |  |  | 211 |  |  |  | 192,537 |
Mauser Packaging Solutions Holding Co.(b) |  |  |  |  |  |  |  |  |  |
7.88%, 08/15/26(h) |  |  |  |  | 3,282 |  |  |  | 3,260,695 |
9.25%, 04/15/27 |  |  |  |  | 92 |  |  |  | 84,916 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Beverages (continued) |  |  |  |  |  |  |  |
Owens-Brockway Glass Container, Inc., 6.63%, 05/13/27(b) |  | USD |  |  | 39 |  |  | $ | 38,617 |
Trivium Packaging Finance BV(b)(h) |  |  |  |  |  |  |  |  |  |
5.50%, 08/15/26 |  |  |  |  | 1,004 |  |  |  | 963,995 |
8.50%, 08/15/27 |  |  |  |  | 965 |  |  |  | 928,925 |
|  |  |  |  |  |  |  |  | 9,995,607 |
Biotechnology — 0.0% |  |  |  |  |  |  |  |
Cidron Aida Finco SARL, 5.00%, 04/01/28(e) |  | EUR |  |  | 100 |  |  |  | 98,632 |
Broadline Retail — 0.0% |  |  |  |  |  |  |  |
NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b)(h) |  | USD |  |  | 123 |  |  |  | 114,487 |
Building Materials — 1.1% |  |  |  |  |  |  |  |
Camelot Return Merger Sub, Inc., 8.75%, 08/01/28(b) |  |  |  |  | 207 |  |  |  | 195,614 |
Emerald Debt Merger Sub LLC |  |  |  |  |  |  |  |  |  |
6.38%, 12/15/30(e) |  | EUR |  |  | 100 |  |  |  | 108,711 |
6.63%, 12/15/30(b)(h) |  | USD |  |  | 2,594 |  |  |  | 2,571,303 |
James Hardie International Finance DAC, 5.00%, 01/15/28(b) |  |  |  |  | 200 |  |  |  | 187,382 |
Jeld-Wen, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.25%, 05/15/25 |  |  |  |  | 146 |  |  |  | 147,278 |
4.63%, 12/15/25 |  |  |  |  | 171 |  |  |  | 165,656 |
Masonite International Corp., Class C, 5.38%, 02/01/28(b) |  |  |  |  | 101 |  |  |  | 96,275 |
New Enterprise Stone & Lime Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 07/15/28 |  |  |  |  | 81 |  |  |  | 73,712 |
9.75%, 07/15/28 |  |  |  |  | 205 |  |  |  | 197,759 |
Smyrna Ready Mix Concrete LLC, 6.00%, 11/01/28(b)(h) |  |  |  |  | 552 |  |  |  | 520,560 |
Standard Industries, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 02/15/27 |  |  |  |  | 209 |  |  |  | 199,187 |
4.75%, 01/15/28 |  |  |  |  | 80 |  |  |  | 74,499 |
4.38%, 07/15/30(h) |  |  |  |  | 697 |  |  |  | 603,670 |
3.38%, 01/15/31 |  |  |  |  | 326 |  |  |  | 262,444 |
Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b) |  |  |  |  | 92 |  |  |  | 86,919 |
|  |  |  |  |  |  |  |  | 5,490,969 |
Building Products(b) — 0.9% |  |  |  |  |  |  |  |
Advanced Drainage Systems, Inc. |  |  |  |  |  |  |  |  |  |
5.00%, 09/30/27 |  |  |  |  | 306 |  |  |  | 289,603 |
6.38%, 06/15/30(h) |  |  |  |  | 412 |  |  |  | 407,579 |
Beacon Roofing Supply, Inc., 4.13%, 05/15/29 |  |  |  |  | 123 |  |  |  | 108,855 |
Foundation Building Materials, Inc., 6.00%, 03/01/29 |  |  |  |  | 83 |  |  |  | 69,305 |
GYP Holdings III Corp., 4.63%, 05/01/29 |  |  |  |  | 371 |  |  |  | 326,480 |
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 |  |  |  |  | 87 |  |  |  | 82,198 |
SRS Distribution, Inc.(h) |  |  |  |  |  |  |  |  |  |
4.63%, 07/01/28 |  |  |  |  | 492 |  |  |  | 439,245 |
6.13%, 07/01/29 |  |  |  |  | 499 |  |  |  | 430,952 |
6.00%, 12/01/29 |  |  |  |  | 685 |  |  |  | 591,189 |
White Cap Buyer LLC, 6.88%, 10/15/28(h) |  |  |  |  | 1,482 |  |  |  | 1,343,063 |
White Cap Parent LLC, (8.25% Cash or 9.00% PIK), 8.25%, 03/15/26(k) |  |  |  |  | 235 |  |  |  | 225,114 |
|  |  |  |  |  |  |  |  | 4,313,583 |
Capital Markets — 1.2% |  |  |  |  |  |  |  |
AG TTMT Escrow Issuer LLC, 8.63%, 09/30/27(b) |  |  |  |  | 77 |  |  |  | 78,922 |

Security |  |  |  | Par (000) |  |  | Value |
Capital Markets (continued) |  |  |  |  |  |  |  |
Blackstone Private Credit Fund |  |  |  |  |  |  |  |  |  |
7.05%, 09/29/25 |  | USD |  |  | 79 |  |  | $ | 78,795 |
3.25%, 03/15/27 |  |  |  |  | 75 |  |  |  | 64,809 |
Charles Schwab Corp., Series H, (10-year CMT + 3.08%), 4.00%(a)(h)(j) |  |  |  |  | 2,000 |  |  |  | 1,459,500 |
Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)(h) |  |  |  |  | 214 |  |  |  | 187,575 |
GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32(h) |  |  |  |  | 498 |  |  |  | 402,092 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. |  |  |  |  |  |  |  |  |  |
6.25%, 05/15/26(h) |  |  |  |  | 432 |  |  |  | 393,170 |
5.25%, 05/15/27(h) |  |  |  |  | 674 |  |  |  | 581,258 |
4.38%, 02/01/29 |  |  |  |  | 323 |  |  |  | 253,781 |
Morgan Stanley, (5-year CMT + 2.43%), 5.95%, 01/19/38(a)(h) |  |  |  |  | 100 |  |  |  | 98,704 |
NFP Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
4.88%, 08/15/28 |  |  |  |  | 550 |  |  |  | 491,252 |
6.88%, 08/15/28 |  |  |  |  | 1,386 |  |  |  | 1,203,076 |
7.50%, 10/01/30 |  |  |  |  | 105 |  |  |  | 101,662 |
Northern Trust Corp., 6.13%, 11/02/32(h) |  |  |  |  | 219 |  |  |  | 227,047 |
Owl Rock Capital Corp., 3.40%, 07/15/26 |  |  |  |  | 63 |  |  |  | 55,803 |
Owl Rock Core Income Corp. |  |  |  |  |  |  |  |  |  |
3.13%, 09/23/26 |  |  |  |  | 43 |  |  |  | 37,053 |
7.75%, 09/16/27(b)(h) |  |  |  |  | 302 |  |  |  | 300,471 |
|  |  |  |  |  |  |  |  | 6,014,970 |
Chemicals — 1.6% |  |  |  |  |  |  |  |
Ashland LLC, 3.38%, 09/01/31(b) |  |  |  |  | 164 |  |  |  | 130,993 |
Avient Corp., 7.13%, 08/01/30(b) |  |  |  |  | 106 |  |  |  | 107,211 |
Axalta Coating Systems LLC, 3.38%, 02/15/29(b)(h) |  |  |  |  | 447 |  |  |  | 380,509 |
Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b)(h) |  |  |  |  | 170 |  |  |  | 160,233 |
Chemours Co.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 11/15/28 |  |  |  |  | 46 |  |  |  | 42,269 |
4.63%, 11/15/29 |  |  |  |  | 175 |  |  |  | 147,895 |
Element Solutions, Inc., 3.88%, 09/01/28(b)(h) |  |  |  |  | 1,508 |  |  |  | 1,315,543 |
HB Fuller Co., 4.25%, 10/15/28 |  |  |  |  | 110 |  |  |  | 97,904 |
Herens Holdco SARL, 4.75%, 05/15/28(b)(h) |  |  |  |  | 612 |  |  |  | 474,300 |
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)(h) |  |  |  |  | 352 |  |  |  | 306,719 |
INEOS Quattro Finance 2 PLC, 2.50%, 01/15/26(e) |  | EUR |  |  | 100 |  |  |  | 97,494 |
Ingevity Corp., 3.88%, 11/01/28(b) |  | USD |  |  | 84 |  |  |  | 71,717 |
Kobe U.S. Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(k) |  |  |  |  | 259 |  |  |  | 170,940 |
LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b) |  |  |  |  | 133 |  |  |  | 111,081 |
Minerals Technologies, Inc., 5.00%, 07/01/28(b) |  |  |  |  | 169 |  |  |  | 153,790 |
NOVA Chemicals Corp., 4.88%, 06/01/24(b) |  |  |  |  | 67 |  |  |  | 65,458 |
Olympus Water U.S. Holding Corp. |  |  |  |  |  |  |  |  |  |
9.63%, 11/15/28(e) |  | EUR |  |  | 100 |  |  |  | 104,755 |
9.75%, 11/15/28(b)(h) |  | USD |  |  | 538 |  |  |  | 524,711 |
Sasol Financing USA LLC, 5.50%, 03/18/31 |  |  |  |  | 200 |  |  |  | 156,968 |
SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b)(h) |  |  |  |  | 439 |  |  |  | 400,211 |
SK Invictus Intermediate II SARL, 5.00%, 10/30/29(b)(h) |  |  |  |  | 460 |  |  |  | 365,530 |
WESCO Distribution, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
7.13%, 06/15/25 |  |  |  |  | 676 |  |  |  | 683,122 |
7.25%, 06/15/28 |  |  |  |  | 636 |  |  |  | 648,756 |

70 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |  |  |  |  |  |  |  |
WR Grace Holdings LLC(b) |  |  |  |  |  |  |  |  |  |
4.88%, 06/15/27 |  | USD |  |  | 122 |  |  | $ | 113,147 |
5.63%, 08/15/29(h) |  |  |  |  | 1,131 |  |  |  | 926,628 |
7.38%, 03/01/31 |  |  |  |  | 197 |  |  |  | 193,056 |
|  |  |  |  |  |  |  |  | 7,950,940 |
Commercial Services & Supplies — 1.5% |  |  |  |
ADT Security Corp.(b) |  |  |  |  |  |  |  |  |  |
4.13%, 08/01/29 |  |  |  |  | 27 |  |  |  | 23,321 |
4.88%, 07/15/32 |  |  |  |  | 39 |  |  |  | 33,345 |
Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b) |  |  |  |  | 200 |  |  |  | 188,000 |
APX Group, Inc., 5.75%, 07/15/29(b)(h) |  |  |  |  | 268 |  |  |  | 232,598 |
Cablevision Lightpath LLC, 3.88%, 09/15/27(b) |  |  |  |  | 200 |  |  |  | 167,500 |
Fortress Transportation and Infrastructure Investors LLC(b) |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25(h) |  |  |  |  | 545 |  |  |  | 536,914 |
9.75%, 08/01/27 |  |  |  |  | 227 |  |  |  | 234,439 |
5.50%, 05/01/28(h) |  |  |  |  | 663 |  |  |  | 606,647 |
Garda World Security Corp., 9.50%, 11/01/27(b) |  |  |  |  | 68 |  |  |  | 65,694 |
Herc Holdings, Inc., 5.50%, 07/15/27(b)(h) |  |  |  |  | 626 |  |  |  | 599,800 |
Hertz Corp.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 12/01/26 |  |  |  |  | 126 |  |  |  | 113,715 |
5.00%, 12/01/29(h) |  |  |  |  | 101 |  |  |  | 83,490 |
LABL, Inc., 9.50%, 11/01/28(b) |  |  |  |  | 439 |  |  |  | 446,632 |
Metis Merger Sub LLC, 6.50%, 05/15/29(b) |  |  |  |  | 125 |  |  |  | 107,826 |
NESCO Holdings II, Inc., 5.50%, 04/15/29(b) |  |  |  |  | 239 |  |  |  | 213,905 |
Prime Security Services Borrower LLC/Prime Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 04/15/24 |  |  |  |  | 113 |  |  |  | 112,068 |
5.75%, 04/15/26 |  |  |  |  | 608 |  |  |  | 596,830 |
6.25%, 01/15/28(h) |  |  |  |  | 180 |  |  |  | 168,624 |
Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(h) |  |  |  |  | 653 |  |  |  | 507,708 |
United Rentals North America, Inc., 6.00%, 12/15/29(b)(h) |  |  |  |  | 1,720 |  |  |  | 1,715,770 |
Verisure Holding AB, 9.25%, 10/15/27(e) |  | EUR |  |  | 100 |  |  |  | 115,940 |
Williams Scotsman International, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.13%, 06/15/25(h) |  | USD |  |  | 403 |  |  |  | 400,010 |
4.63%, 08/15/28 |  |  |  |  | 243 |  |  |  | 222,119 |
|  |  |  |  |  |  |  |  | 7,492,895 |
Communications Equipment(b) — 0.5% |  |  |  |
CommScope Technologies LLC, 6.00%, 06/15/25(h) . |  |  |  |  | 713 |  |  |  | 664,565 |
CommScope, Inc.(h) |  |  |  |  |  |  |  |  |  |
6.00%, 03/01/26 |  |  |  |  | 301 |  |  |  | 280,524 |
8.25%, 03/01/27 |  |  |  |  | 158 |  |  |  | 126,397 |
7.13%, 07/01/28 |  |  |  |  | 138 |  |  |  | 97,980 |
4.75%, 09/01/29 |  |  |  |  | 416 |  |  |  | 327,975 |
Viasat, Inc. |  |  |  |  |  |  |  |  |  |
5.63%, 09/15/25(h) |  |  |  |  | 484 |  |  |  | 468,991 |
5.63%, 04/15/27 |  |  |  |  | 67 |  |  |  | 62,555 |
Viavi Solutions, Inc., 3.75%, 10/01/29(h) |  |  |  |  | 261 |  |  |  | 221,773 |
|  |  |  |  |  |  |  |  | 2,250,760 |
Construction Materials(b) — 0.1% |  |  |  |  |  |  |  |
BCPE Empire Holdings, Inc., 7.63%, 05/01/27(h) |  |  |  |  | 331 |  |  |  | 307,831 |
Resideo Funding, Inc., 4.00%, 09/01/29 |  |  |  |  | 59 |  |  |  | 48,947 |

Security |  |  |  | Par (000) |  |  | Value |
Construction Materials (continued) |  |  |  |  |  |  |  |
Ritchie Bros Holdings, Inc., 6.75%, 03/15/28 |  | USD |  |  | 77 |  |  | $ | 77,610 |
Wesco Aircraft Holdings, Inc., 9.00%, 11/15/26 |  |  |  |  | 662 |  |  |  | 62,890 |
|  |  |  |  |  |  |  |  | 497,278 |
Consumer Discretionary — 2.2% |  |  |  |  |  |  |  |
APi Group DE, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.13%, 07/15/29 |  |  |  |  | 132 |  |  |  | 113,849 |
4.75%, 10/15/29 |  |  |  |  | 100 |  |  |  | 90,060 |
Carnival Corp. |  |  |  |  |  |  |  |  |  |
10.13%, 02/01/26(e) |  | EUR |  |  | 100 |  |  |  | 114,412 |
10.50%, 02/01/26(b)(h) |  | USD |  |  | 668 |  |  |  | 702,210 |
7.63%, 03/01/26(b)(h) |  |  |  |  | 152 |  |  |  | 148,869 |
5.75%, 03/01/27(b)(h) |  |  |  |  | 1,028 |  |  |  | 946,367 |
9.88%, 08/01/27(b) |  |  |  |  | 262 |  |  |  | 272,908 |
4.00%, 08/01/28(b)(h) |  |  |  |  | 477 |  |  |  | 422,870 |
6.00%, 05/01/29(b)(h) |  |  |  |  | 518 |  |  |  | 462,488 |
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28(b) |  |  |  |  | 2,122 |  |  |  | 2,320,892 |
CoreLogic, Inc., 4.50%, 05/01/28(b)(h) |  |  |  |  | 700 |  |  |  | 564,375 |
Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer, Inc., 5.00%, 02/01/26(b) |  |  |  |  | 91 |  |  |  | 81,900 |
Life Time, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/26 |  |  |  |  | 340 |  |  |  | 331,341 |
8.00%, 04/15/26 |  |  |  |  | 257 |  |  |  | 253,757 |
Lindblad Expeditions LLC, 6.75%, 02/15/27(b)(h) |  |  |  |  | 305 |  |  |  | 290,513 |
NCL Corp. Ltd.(b) |  |  |  |  |  |  |  |  |  |
5.88%, 03/15/26(h) |  |  |  |  | 333 |  |  |  | 311,543 |
8.38%, 02/01/28(h) |  |  |  |  | 132 |  |  |  | 137,933 |
7.75%, 02/15/29 |  |  |  |  | 42 |  |  |  | 39,892 |
NCL Finance Ltd., 6.13%, 03/15/28(b)(h) |  |  |  |  | 261 |  |  |  | 234,905 |
Neptune Bidco U.S., Inc., 9.29%, 04/15/29(b) |  |  |  |  | 255 |  |  |  | 234,093 |
Royal Caribbean Cruises Ltd.(b) |  |  |  |  |  |  |  |  |  |
11.50%, 06/01/25 |  |  |  |  | 86 |  |  |  | 91,246 |
4.25%, 07/01/26 |  |  |  |  | 72 |  |  |  | 66,093 |
5.50%, 08/31/26 |  |  |  |  | 136 |  |  |  | 128,943 |
5.38%, 07/15/27 |  |  |  |  | 134 |  |  |  | 125,297 |
11.63%, 08/15/27 |  |  |  |  | 176 |  |  |  | 191,389 |
5.50%, 04/01/28(h) |  |  |  |  | 118 |  |  |  | 110,040 |
8.25%, 01/15/29 |  |  |  |  | 191 |  |  |  | 200,550 |
9.25%, 01/15/29(h) |  |  |  |  | 345 |  |  |  | 367,567 |
7.25%, 01/15/30 |  |  |  |  | 267 |  |  |  | 270,429 |
Viking Cruises Ltd.(b) |  |  |  |  |  |  |  |  |  |
5.88%, 09/15/27 |  |  |  |  | 236 |  |  |  | 216,912 |
9.13%, 07/15/31 |  |  |  |  | 606 |  |  |  | 612,060 |
Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b) |  |  |  |  | 162 |  |  |  | 148,230 |
|  |  |  |  |  |  |  |  | 10,603,933 |
Consumer Finance — 1.7% |  |  |  |  |  |  |  |
Block, Inc.(h) |  |  |  |  |  |  |  |  |  |
2.75%, 06/01/26 |  |  |  |  | 698 |  |  |  | 635,524 |
3.50%, 06/01/31 |  |  |  |  | 1,133 |  |  |  | 938,376 |
Capital One Financial Corp.(a)(h) |  |  |  |  |  |  |  |  |  |
(1-day SOFR + 2.60%), 5.82%, 02/01/34 |  |  |  |  | 440 |  |  |  | 419,793 |
(1-day SOFR + 2.64%), 6.31%, 06/08/29 |  |  |  |  | 140 |  |  |  | 139,057 |
(1-day SOFR + 2.86%), 6.38%, 06/08/34 |  |  |  |  | 100 |  |  |  | 99,284 |
Discover Financial Services, 6.70%, 11/29/32 |  |  |  |  | 85 |  |  |  | 87,570 |
Equifax, Inc., 2.60%, 12/15/25 |  |  |  |  | 59 |  |  |  | 54,887 |
Ford Motor Credit Co. LLC, 7.20%, 06/10/30(h) |  |  |  |  | 576 |  |  |  | 581,305 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Consumer Finance (continued) |  |  |  |  |  |  |  |
Global Payments, Inc. |  |  |  |  |  |  |  |  |  |
3.20%, 08/15/29(h) |  | USD |  |  | 564 |  |  | $ | 490,220 |
5.40%, 08/15/32 |  |  |  |  | 86 |  |  |  | 83,802 |
Navient Corp. |  |  |  |  |  |  |  |  |  |
7.25%, 09/25/23 |  |  |  |  | 77 |  |  |  | 77,000 |
6.13%, 03/25/24 |  |  |  |  | 86 |  |  |  | 85,327 |
5.88%, 10/25/24 |  |  |  |  | 82 |  |  |  | 80,587 |
5.50%, 03/15/29 |  |  |  |  | 211 |  |  |  | 179,892 |
9.38%, 07/25/30 |  |  |  |  | 150 |  |  |  | 149,197 |
OneMain Finance Corp. |  |  |  |  |  |  |  |  |  |
6.88%, 03/15/25 |  |  |  |  | 303 |  |  |  | 300,010 |
7.13%, 03/15/26(h) |  |  |  |  | 331 |  |  |  | 325,205 |
3.50%, 01/15/27 |  |  |  |  | 304 |  |  |  | 260,814 |
6.63%, 01/15/28(h) |  |  |  |  | 240 |  |  |  | 226,385 |
5.38%, 11/15/29(h) |  |  |  |  | 105 |  |  |  | 89,265 |
4.00%, 09/15/30 |  |  |  |  | 110 |  |  |  | 84,700 |
Sabre Global, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
9.25%, 04/15/25 |  |  |  |  | 211 |  |  |  | 196,779 |
7.38%, 09/01/25 |  |  |  |  | 379 |  |  |  | 336,404 |
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b)(h) |  |  |  |  | 550 |  |  |  | 515,773 |
Shift4 Payments, Inc., 0.00%, 12/15/25(l)(m) |  |  |  |  | 174 |  |  |  | 188,964 |
Verscend Escrow Corp., 9.75%, 08/15/26(b)(h) |  |  |  |  | 1,817 |  |  |  | 1,822,618 |
|  |  |  |  |  |  |  |  | 8,448,738 |
Consumer Staples Distribution & Retail — 0.8% |  |  |  |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b) |  |  |  |  |  |  |  |  |  |
3.25%, 03/15/26 |  |  |  |  | 642 |  |  |  | 592,932 |
7.50%, 03/15/26 |  |  |  |  | 107 |  |  |  | 108,814 |
4.63%, 01/15/27 |  |  |  |  | 477 |  |  |  | 451,960 |
5.88%, 02/15/28(h) |  |  |  |  | 320 |  |  |  | 310,957 |
6.50%, 02/15/28 |  |  |  |  | 152 |  |  |  | 152,252 |
3.50%, 03/15/29 |  |  |  |  | 30 |  |  |  | 25,969 |
4.88%, 02/15/30(h) |  |  |  |  | 214 |  |  |  | 197,569 |
Bellis Acquisition Co. PLC, 3.25%, 02/16/26(e) |  | GBP |  |  | 100 |  |  |  | 106,046 |
Darling Ingredients, Inc., 6.00%, 06/15/30(b)(h) |  | USD |  |  | 434 |  |  |  | 423,868 |
Lamb Weston Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.88%, 05/15/28 |  |  |  |  | 257 |  |  |  | 246,138 |
4.13%, 01/31/30(h) |  |  |  |  | 312 |  |  |  | 278,839 |
4.38%, 01/31/32(h) |  |  |  |  | 355 |  |  |  | 317,113 |
Performance Food Group, Inc., 4.25%, 08/01/29(b)(h) |  |  |  |  | 299 |  |  |  | 266,203 |
Post Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  |  |  | 89 |  |  |  | 86,875 |
4.63%, 04/15/30(h) |  |  |  |  | 118 |  |  |  | 103,410 |
4.50%, 09/15/31 |  |  |  |  | 13 |  |  |  | 11,102 |
U.S. Foods, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.75%, 02/15/29(h) |  |  |  |  | 335 |  |  |  | 306,709 |
4.63%, 06/01/30 |  |  |  |  | 39 |  |  |  | 34,953 |
United Natural Foods, Inc., 6.75%, 10/15/28(b) |  |  |  |  | 34 |  |  |  | 28,182 |
|  |  |  |  |  |  |  |  | 4,049,891 |
Containers & Packaging — 0.5% |  |  |  |  |  |  |  |
Clydesdale Acquisition Holdings, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
6.63%, 04/15/29 |  |  |  |  | 558 |  |  |  | 532,164 |
8.75%, 04/15/30 |  |  |  |  | 584 |  |  |  | 515,511 |
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 |  |  |  |  | 196 |  |  |  | 185,610 |
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26(h) |  |  |  |  | 424 |  |  |  | 410,926 |

Security |  |  |  | Par (000) |  |  | Value |
Containers & Packaging (continued) |  |  |  |  |  |  |  |
Crown European Holdings SA, 5.00%, 05/15/28(e) |  | EUR |  |  | 100 |  |  | $ | 110,075 |
Graham Packaging Co., Inc., 7.13%, 08/15/28(b) |  | USD |  |  | 60 |  |  |  | 51,225 |
Graphic Packaging International LLC(b) |  |  |  |  |  |  |  |  |  |
4.75%, 07/15/27 |  |  |  |  | 89 |  |  |  | 84,618 |
3.50%, 03/15/28 |  |  |  |  | 9 |  |  |  | 8,048 |
LABL, Inc., 5.88%, 11/01/28(b)(h) |  |  |  |  | 220 |  |  |  | 200,086 |
OI European Group BV, 6.25%, 05/15/28(b) |  | EUR |  |  | 115 |  |  |  | 128,128 |
Owens-Brockway Glass Container, Inc., 7.25%, 05/15/31(b) |  | USD |  |  | 235 |  |  |  | 237,938 |
Sealed Air Corp., 5.13%, 12/01/24(b) |  |  |  |  | 46 |  |  |  | 45,457 |
Sealed Air Corp./Sealed Air Corp. U.S., 6.13%, 02/01/28(b) |  |  |  |  | 158 |  |  |  | 156,835 |
|  |  |  |  |  |  |  |  | 2,666,621 |
Diversified Consumer Services — 1.8% |  |  |  |
Allied Universal Holdco LLC/Allied Universal Finance Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
6.63%, 07/15/26 |  |  |  |  | 1,737 |  |  |  | 1,648,315 |
9.75%, 07/15/27 |  |  |  |  | 676 |  |  |  | 597,552 |
6.00%, 06/01/29 |  |  |  |  | 1,356 |  |  |  | 1,000,600 |
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 SARL, 4.63%, 06/01/28(b)(h) |  |  |  |  | 1,963 |  |  |  | 1,655,284 |
Clarivate Science Holdings Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
3.88%, 07/01/28 |  |  |  |  | 757 |  |  |  | 671,039 |
4.88%, 07/01/29 |  |  |  |  | 735 |  |  |  | 652,023 |
Garda World Security Corp.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 02/15/27 |  |  |  |  | 261 |  |  |  | 238,815 |
7.75%, 02/15/28 |  |  |  |  | 520 |  |  |  | 516,163 |
Graham Holdings Co., 5.75%, 06/01/26(b) |  |  |  |  | 140 |  |  |  | 137,200 |
Rekeep SpA, 7.25%, 02/01/26(e) |  | EUR |  |  | 100 |  |  |  | 102,004 |
Service Corp. International(h) |  |  |  |  |  |  |  |  |  |
5.13%, 06/01/29 |  | USD |  |  | 238 |  |  |  | 224,248 |
3.38%, 08/15/30 |  |  |  |  | 263 |  |  |  | 219,947 |
4.00%, 05/15/31 |  |  |  |  | 333 |  |  |  | 285,058 |
Sotheby’s, 7.38%, 10/15/27(b)(h) |  |  |  |  | 1,046 |  |  |  | 940,765 |
|  |  |  |  |  |  |  |  | 8,889,013 |
Diversified REITs — 0.9% |  |  |  |  |  |  |  |
Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50(h) |  |  |  |  | 450 |  |  |  | 335,615 |
Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LLC, 4.50%, 04/01/27(b) |  |  |  |  | 160 |  |  |  | 134,744 |
Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b)(h) |  |  |  |  | 108 |  |  |  | 79,229 |
Healthpeak OP LLC, 2.88%, 01/15/31(h) |  |  |  |  | 1,000 |  |  |  | 844,504 |
Iron Mountain, Inc., 5.63%, 07/15/32(b) |  |  |  |  | 19 |  |  |  | 16,997 |
MPT Operating Partnership LP/MPT Finance Corp. |  |  |  |  |  |  |  |  |  |
2.55%, 12/05/23 |  | GBP |  |  | 104 |  |  |  | 126,945 |
4.63%, 08/01/29 |  | USD |  |  | 304 |  |  |  | 229,812 |
3.50%, 03/15/31(h) |  |  |  |  | 1,154 |  |  |  | 795,126 |
RHP Hotel Properties LP/RHP Finance Corp. |  |  |  |  |  |  |  |  |  |
4.75%, 10/15/27(h) |  |  |  |  | 704 |  |  |  | 655,424 |
7.25%, 07/15/28(b) |  |  |  |  | 327 |  |  |  | 330,345 |
4.50%, 02/15/29(b) |  |  |  |  | 256 |  |  |  | 226,560 |
Service Properties Trust, 7.50%, 09/15/25 |  |  |  |  | 96 |  |  |  | 94,272 |

72 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Diversified REITs (continued) |  |  |  |  |  |  |  |
Ventas Realty LP, 4.13%, 01/15/26(h) |  | USD |  |  | 650 |  |  | $ | 621,698 |
VICI Properties LP/VICI Note Co., Inc., 3.88%, 02/15/29(b) |  |  |  |  | 50 |  |  |  | 43,878 |
|  |  |  |  |  |  |  |  | 4,535,149 |
Diversified Telecommunication Services — 2.0% |  |  |  |
AT&T, Inc., 4.30%, 02/15/30(h) |  |  |  |  | 1,350 |  |  |  | 1,281,453 |
British Telecommunications PLC, (5-year UK Government Bond + 3.82%), 8.38%, 12/20/83(a)(e) |  | GBP |  |  | 100 |  |  |  | 124,672 |
Level 3 Financing, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
3.40%, 03/01/27 |  | USD |  |  | 1,094 |  |  |  | 928,259 |
10.50%, 05/15/30 |  |  |  |  | 1,214 |  |  |  | 1,231,764 |
Lumen Technologies, Inc., 4.00%, 02/15/27(b)(h) |  |  |  |  | 1,135 |  |  |  | 845,813 |
SoftBank Group Corp., 3.88%, 07/06/32(e) |  | EUR |  |  | 100 |  |  |  | 82,522 |
Telecom Italia Capital SA |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/33 |  | USD |  |  | 205 |  |  |  | 173,904 |
6.00%, 09/30/34(h) |  |  |  |  | 424 |  |  |  | 341,936 |
7.20%, 07/18/36 |  |  |  |  | 81 |  |  |  | 69,623 |
7.72%, 06/04/38 |  |  |  |  | 28 |  |  |  | 24,758 |
Telecom Italia SpA |  |  |  |  |  |  |  |  |  |
4.00%, 04/11/24(e) |  | EUR |  |  | 150 |  |  |  | 161,356 |
5.30%, 05/30/24(b)(h) |  | USD |  |  | 200 |  |  |  | 194,391 |
Verizon Communications, Inc., 3.70%, 03/22/61(h) |  |  |  |  | 1,000 |  |  |  | 727,220 |
Zayo Group Holdings, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
4.00%, 03/01/27 |  |  |  |  | 3,882 |  |  |  | 2,741,679 |
6.13%, 03/01/28 |  |  |  |  | 946 |  |  |  | 591,126 |
|  |  |  |  |  |  |  |  | 9,520,476 |
Electric Utilities — 0.8% |  |  |  |  |  |  |  |
Black Hills Corp., 3.15%, 01/15/27(h) |  |  |  |  | 305 |  |  |  | 282,618 |
Comision Federal de Electricidad, 4.88%, 01/15/24(e) |  |  |  |  | 200 |  |  |  | 197,654 |
Electricite de France SA, (5-year CMT + 5.41%), 9.13%(a)(b)(j) |  |  |  |  | 205 |  |  |  | 210,223 |
Enel Finance International NV, 3.63%, 05/25/27(b)(h) |  |  |  |  | 900 |  |  |  | 847,387 |
FirstEnergy Transmission LLC, 5.45%, 07/15/44(b)(h) |  |  |  |  | 381 |  |  |  | 352,312 |
Mong Duong Finance Holdings BV, 5.13%, 05/07/29(e) |  |  |  |  | 250 |  |  |  | 218,965 |
NextEra Energy Operating Partners LP(b) |  |  |  |  |  |  |  |  |  |
4.25%, 07/15/24 |  |  |  |  | 170 |  |  |  | 166,266 |
4.25%, 09/15/24 |  |  |  |  | 9 |  |  |  | 8,595 |
Pacific Gas and Electric Co.(h) |  |  |  |  |  |  |  |  |  |
6.10%, 01/15/29 |  |  |  |  | 245 |  |  |  | 241,059 |
6.40%, 06/15/33 |  |  |  |  | 355 |  |  |  | 353,057 |
6.75%, 01/15/53 |  |  |  |  | 175 |  |  |  | 172,707 |
Palomino Funding Trust I, 7.23%, 05/17/28(b)(h) |  |  |  |  | 250 |  |  |  | 250,123 |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(h) |  |  |  |  | 319 |  |  |  | 291,353 |
Star Energy Geothermal Wayang Windu Ltd., 6.75%, 04/24/33(e)(h) |  |  |  |  | 162 |  |  |  | 159,001 |
Texas Competitive Electric Holdings, 1.00%, 10/10/19(a)(d)(f)(i) |  |  |  |  | 780 |  |  |  | — |
Tierra Mojada Luxembourg II SARL, 5.75%, 12/01/40(e) |  |  |  |  | 183 |  |  |  | 155,641 |
|  |  |  |  |  |  |  |  | 3,906,961 |
Electrical Equipment(b) — 0.3% |  |  |  |  |  |  |  |
Gates Global LLC/Gates Corp., 6.25%, 01/15/26(h) |  |  |  |  | 416 |  |  |  | 409,346 |
GrafTech Finance, Inc., 4.63%, 12/15/28 |  |  |  |  | 104 |  |  |  | 84,502 |

Security |  |  |  | Par (000) |  |  | Value |
Electrical Equipment (continued) |  |  |  |  |  |  |  |
Regal Rexnord Corp. |  |  |  |  |  |  |  |  |  |
6.05%, 02/15/26 |  | USD |  |  | 90 |  |  | $ | 90,114 |
6.05%, 04/15/28(h) |  |  |  |  | 590 |  |  |  | 585,698 |
6.30%, 02/15/30(h) |  |  |  |  | 200 |  |  |  | 199,408 |
6.40%, 04/15/33(h) |  |  |  |  | 205 |  |  |  | 204,827 |
|  |  |  |  |  |  |  |  | 1,573,895 |
Electronic Equipment, Instruments & Components — 0.3% |
CDW LLC/CDW Finance Corp., 3.25%, 02/15/29 |  |  |  |  | 212 |  |  |  | 181,649 |
Imola Merger Corp., 4.75%, 05/15/29(b)(h) |  |  |  |  | 510 |  |  |  | 443,550 |
Vertiv Group Corp., 4.13%, 11/15/28(b)(h) |  |  |  |  | 920 |  |  |  | 828,895 |
|  |  |  |  |  |  |  |  | 1,454,094 |
Energy Equipment & Services — 0.7% |  |  |  |
Archrock Partners LP/Archrock Partners Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/27 |  |  |  |  | 304 |  |  |  | 291,840 |
6.25%, 04/01/28(h) |  |  |  |  | 729 |  |  |  | 684,429 |
Halliburton Co., 3.80%, 11/15/25(h) |  |  |  |  | 3 |  |  |  | 2,897 |
Noble Finance II LLC, 8.00%, 04/15/30(b) |  |  |  |  | 337 |  |  |  | 342,621 |
USA Compression Partners LP/USA Compression Finance Corp.(h) |  |  |  |  |  |  |  |  |  |
6.88%, 04/01/26 |  |  |  |  | 510 |  |  |  | 499,593 |
6.88%, 09/01/27 |  |  |  |  | 452 |  |  |  | 431,612 |
Valaris Ltd., 8.38%, 04/30/30(b)(h) |  |  |  |  | 543 |  |  |  | 544,825 |
Vallourec SA, 8.50%, 06/30/26(e) |  | EUR |  |  | 34 |  |  |  | 37,066 |
Weatherford International Ltd.(b) |  |  |  |  |  |  |  |  |  |
6.50%, 09/15/28 |  | USD |  |  | 167 |  |  |  | 167,718 |
8.63%, 04/30/30(h) |  |  |  |  | 314 |  |  |  | 318,786 |
|  |  |  |  |  |  |  |  | 3,321,387 |
Environmental, Maintenance & Security Service — 0.9% |
Clean Harbors, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.88%, 07/15/27(h) |  |  |  |  | 250 |  |  |  | 239,382 |
5.13%, 07/15/29(h) |  |  |  |  | 129 |  |  |  | 122,047 |
6.38%, 02/01/31 |  |  |  |  | 108 |  |  |  | 108,676 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |
4.88%, 12/01/29(b) |  |  |  |  | 142 |  |  |  | 122,830 |
5.00%, 09/01/30 |  |  |  |  | 70 |  |  |  | 59,369 |
GFL Environmental, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.25%, 06/01/25 |  |  |  |  | 103 |  |  |  | 99,396 |
3.75%, 08/01/25(h) |  |  |  |  | 312 |  |  |  | 296,827 |
5.13%, 12/15/26 |  |  |  |  | 243 |  |  |  | 234,443 |
4.00%, 08/01/28(h) |  |  |  |  | 431 |  |  |  | 385,336 |
3.50%, 09/01/28 |  |  |  |  | 160 |  |  |  | 142,398 |
4.75%, 06/15/29(h) |  |  |  |  | 378 |  |  |  | 345,345 |
4.38%, 08/15/29(h) |  |  |  |  | 317 |  |  |  | 282,240 |
Republic Services, Inc., 3.38%, 11/15/27(h) |  |  |  |  | 750 |  |  |  | 705,392 |
Tervita Corp., 11.00%, 12/01/25(b) |  |  |  |  | 114 |  |  |  | 120,938 |
Waste Pro USA, Inc., 5.50%, 02/15/26(b)(h) |  |  |  |  | 1,132 |  |  |  | 1,049,362 |
|  |  |  |  |  |  |  |  | 4,313,981 |
Financial Services — 1.8% |  |  |  |  |  |  |  |
Acuris Finance U.S., Inc./Acuris Finance SARL, 5.00%, 05/01/28(b)(h) |  |  |  |  | 403 |  |  |  | 311,916 |
ASG Finance Designated Activity Co., 7.88%, 12/03/24(b) |  |  |  |  | 200 |  |  |  | 192,750 |
Bank of America Corp., (1-day SOFR + 1.99%), 6.20%, 11/10/28(a)(h) |  |  |  |  | 346 |  |  |  | 355,636 |
Barclays PLC, 5.20%, 05/12/26(h) |  |  |  |  | 200 |  |  |  | 192,950 |
BNP Paribas SA, (5-year CMT + 3.34%), 4.63%(a)(b)(h)(j) |  |  |  |  | 1,500 |  |  |  | 1,070,625 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Financial Services (continued) |  |  |  |  |  |  |  |
Deutsche Bank AG, (1-day SOFR + 3.18%), 6.72%, 01/18/29(a)(h) |  | USD |  |  | 1,100 |  |  | $ | 1,101,568 |
GGAM Finance Ltd.(b) |  |  |  |  |  |  |  |  |  |
7.75%, 05/15/26 |  |  |  |  | 45 |  |  |  | 45,169 |
8.00%, 06/15/28 |  |  |  |  | 45 |  |  |  | 45,023 |
Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%, 09/15/24(b)(k) |  |  |  |  | 231 |  |  |  | 210,908 |
Goldman Sachs Group, Inc., Series R, (5-year CMT + 3.22%), 4.95%(a)(h)(j) |  |  |  |  | 730 |  |  |  | 688,193 |
Home Point Capital, Inc., 5.00%, 02/01/26(b)(h) |  |  |  |  | 841 |  |  |  | 754,027 |
HSBC Holdings PLC(h) |  |  |  |  |  |  |  |  |  |
4.38%, 11/23/26 |  |  |  |  | 395 |  |  |  | 373,321 |
(5-year USD ICE Swap + 4.37%), 6.38%(a)(j) |  |  |  |  | 500 |  |  |  | 478,825 |
(1-day SOFR + 3.35%), 7.39%, 11/03/28(a) |  |  |  |  | 265 |  |  |  | 279,677 |
ION Trading Technologies SARL, 5.75%, 05/15/28(b) |  |  |  |  | 200 |  |  |  | 172,642 |
Jefferies Finance LLC/JFIN Co.-Issuer Corp., 5.00%, 08/15/28(b) |  |  |  |  | 325 |  |  |  | 266,440 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 10/01/25 |  |  |  |  | 43 |  |  |  | 40,604 |
4.25%, 02/01/27 |  |  |  |  | 170 |  |  |  | 147,715 |
4.75%, 06/15/29 |  |  |  |  | 67 |  |  |  | 54,527 |
Lloyds Banking Group PLC, (5-year CMT + 4.82%), 6.75%(a)(h)(j) |  |  |  |  | 450 |  |  |  | 411,845 |
MGIC Investment Corp., 5.25%, 08/15/28(h) |  |  |  |  | 167 |  |  |  | 157,524 |
Nationstar Mortgage Holdings, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27(h) |  |  |  |  | 147 |  |  |  | 136,752 |
5.13%, 12/15/30 |  |  |  |  | 104 |  |  |  | 84,365 |
5.75%, 11/15/31 |  |  |  |  | 114 |  |  |  | 93,645 |
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b)(h) |  |  |  |  | 811 |  |  |  | 717,735 |
Spectrum Brands, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 10/01/29 |  |  |  |  | 141 |  |  |  | 125,853 |
5.50%, 07/15/30 |  |  |  |  | 154 |  |  |  | 140,525 |
|  |  |  |  |  |  |  |  | 8,650,760 |
Food Products — 0.7% |  |  |  |  |  |  |  |
Aramark International Finance SARL, 3.13%, 04/01/25(e) |  | EUR |  |  | 138 |  |  |  | 144,389 |
Aramark Services, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
5.00%, 04/01/25 |  | USD |  |  | 495 |  |  |  | 487,748 |
6.38%, 05/01/25 |  |  |  |  | 188 |  |  |  | 187,827 |
5.00%, 02/01/28 |  |  |  |  | 436 |  |  |  | 410,948 |
BRF SA, 4.88%, 01/24/30(e) |  |  |  |  | 200 |  |  |  | 161,250 |
Chobani LLC/Chobani Finance Corp., Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
7.50%, 04/15/25 |  |  |  |  | 1,178 |  |  |  | 1,172,123 |
4.63%, 11/15/28 |  |  |  |  | 608 |  |  |  | 553,280 |
Darling Global Finance BV, 3.63%, 05/15/26(e) |  | EUR |  |  | 120 |  |  |  | 127,670 |
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29(b) |  | USD |  |  | 129 |  |  |  | 103,357 |
|  |  |  |  |  |  |  |  | 3,348,592 |
Gas Utilities(b) — 0.1% |  |  |  |  |  |  |  |
Howard Midstream Energy Partners LLC, 8.88%, 07/15/28 |  |  |  |  | 263 |  |  |  | 264,315 |
Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31 |  |  |  |  | 91 |  |  |  | 76,181 |
|  |  |  |  |  |  |  |  | 340,496 |

Security |  |  |  | Par (000) |  |  | Value |
Ground Transportation — 0.4% |  |  |  |  |  |  |  |
Danaos Corp., 8.50%, 03/01/28(b) |  | USD |  |  | 100 |  |  | $ | 100,320 |
Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(b)(h) |  |  |  |  | 1,377 |  |  |  | 1,342,231 |
Union Pacific Corp., 3.20%, 05/20/41(h) |  |  |  |  | 600 |  |  |  | 471,528 |
|  |  |  |  |  |  |  |  | 1,914,079 |
Health Care Equipment & Supplies — 0.2% |
Avantor Funding, Inc. |  |  |  |  |  |  |  |  |  |
2.63%, 11/01/25(e) |  | EUR |  |  | 100 |  |  |  | 104,544 |
4.63%, 07/15/28(b)(h) |  | USD |  |  | 665 |  |  |  | 616,404 |
3.88%, 11/01/29(b) |  |  |  |  | 209 |  |  |  | 182,985 |
Embecta Corp., 6.75%, 02/15/30(b) |  |  |  |  | 75 |  |  |  | 67,212 |
Garden Spinco Corp., 8.63%, 07/20/30(b) |  |  |  |  | 199 |  |  |  | 213,875 |
|  |  |  |  |  |  |  |  | 1,185,020 |
Health Care Providers & Services — 2.7% |
Acadia Healthcare Co., Inc., 5.50%, 07/01/28(b) |  |  |  |  | 115 |  |  |  | 109,980 |
AdaptHealth LLC(b) |  |  |  |  |  |  |  |  |  |
6.13%, 08/01/28 |  |  |  |  | 73 |  |  |  | 63,234 |
5.13%, 03/01/30 |  |  |  |  | 26 |  |  |  | 21,060 |
AHP Health Partners, Inc., 5.75%, 07/15/29(b) |  |  |  |  | 324 |  |  |  | 279,363 |
Cano Health LLC, 6.25%, 10/01/28(b) |  |  |  |  | 78 |  |  |  | 48,750 |
CHS/Community Health Systems, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 03/15/27 |  |  |  |  | 185 |  |  |  | 163,029 |
6.00%, 01/15/29(h) |  |  |  |  | 525 |  |  |  | 441,656 |
5.25%, 05/15/30(h) |  |  |  |  | 540 |  |  |  | 425,373 |
4.75%, 02/15/31(h) |  |  |  |  | 242 |  |  |  | 182,900 |
Elevance Health, Inc., 3.65%, 12/01/27(h) |  |  |  |  | 1,000 |  |  |  | 944,116 |
Encompass Health Corp. |  |  |  |  |  |  |  |  |  |
4.50%, 02/01/28 |  |  |  |  | 15 |  |  |  | 13,955 |
4.75%, 02/01/30(h) |  |  |  |  | 390 |  |  |  | 355,096 |
4.63%, 04/01/31 |  |  |  |  | 255 |  |  |  | 226,047 |
HCA, Inc., 5.50%, 06/15/47(h) |  |  |  |  | 650 |  |  |  | 612,228 |
HealthEquity, Inc., 4.50%, 10/01/29(b)(h) |  |  |  |  | 738 |  |  |  | 650,423 |
IQVIA, Inc., 6.50%, 05/15/30(b) |  |  |  |  | 211 |  |  |  | 213,083 |
Legacy LifePoint Health LLC(b)(h) |  |  |  |  |  |  |  |  |  |
6.75%, 04/15/25 |  |  |  |  | 351 |  |  |  | 326,016 |
4.38%, 02/15/27 |  |  |  |  | 253 |  |  |  | 195,763 |
Medline Borrower LP(b)(h) |  |  |  |  |  |  |  |  |  |
3.88%, 04/01/29 |  |  |  |  | 581 |  |  |  | 504,926 |
5.25%, 10/01/29 |  |  |  |  | 1,339 |  |  |  | 1,161,849 |
ModivCare, Inc., 5.88%, 11/15/25(b)(h) |  |  |  |  | 236 |  |  |  | 218,569 |
Molina Healthcare, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.38%, 06/15/28 |  |  |  |  | 46 |  |  |  | 42,405 |
3.88%, 11/15/30 |  |  |  |  | 80 |  |  |  | 68,733 |
3.88%, 05/15/32(h) |  |  |  |  | 141 |  |  |  | 118,207 |
Surgery Center Holdings, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
6.75%, 07/01/25 |  |  |  |  | 305 |  |  |  | 303,913 |
10.00%, 04/15/27 |  |  |  |  | 621 |  |  |  | 634,973 |
Teleflex, Inc. |  |  |  |  |  |  |  |  |  |
4.63%, 11/15/27 |  |  |  |  | 80 |  |  |  | 75,400 |
4.25%, 06/01/28(b)(h) |  |  |  |  | 331 |  |  |  | 302,449 |
Tenet Healthcare Corp. |  |  |  |  |  |  |  |  |  |
4.88%, 01/01/26(h) |  |  |  |  | 1,077 |  |  |  | 1,048,987 |
6.25%, 02/01/27 |  |  |  |  | 179 |  |  |  | 177,169 |
5.13%, 11/01/27(h) |  |  |  |  | 216 |  |  |  | 206,210 |
4.63%, 06/15/28 |  |  |  |  | 81 |  |  |  | 75,653 |
6.13%, 10/01/28(h) |  |  |  |  | 183 |  |  |  | 176,174 |
6.13%, 06/15/30 |  |  |  |  | 250 |  |  |  | 246,425 |

74 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Health Care Providers & Services (continued) |  |  |  |
Tenet Healthcare Corp. (continued) |  |  |  |  |  |  |  |  |  |
6.75%, 05/15/31(b)(h) |  | USD |  |  | 856 |  |  | $ | 858,085 |
UnitedHealth Group, Inc., 3.75%, 07/15/25(h) |  |  |  |  | 1,470 |  |  |  | 1,430,924 |
|  |  |  |  |  |  |  |  | 12,923,123 |
Health Care Technology(b) — 0.7% |  |  |  |  |  |  |  |
AthenaHealth Group, Inc., 6.50%, 02/15/30(h) |  |  |  |  | 1,674 |  |  |  | 1,408,906 |
Catalent Pharma Solutions, Inc. |  |  |  |  |  |  |  |  |  |
5.00%, 07/15/27(h) |  |  |  |  | 365 |  |  |  | 334,847 |
3.13%, 02/15/29 |  |  |  |  | 157 |  |  |  | 127,652 |
3.50%, 04/01/30(h) |  |  |  |  | 50 |  |  |  | 40,500 |
Charles River Laboratories International, Inc. |  |  |  |  |  |  |  |  |  |
4.25%, 05/01/28 |  |  |  |  | 159 |  |  |  | 145,576 |
4.00%, 03/15/31 |  |  |  |  | 42 |  |  |  | 36,479 |
Fortrea Holdings, Inc., 7.50%, 07/01/30 |  |  |  |  | 196 |  |  |  | 200,698 |
IQVIA, Inc.(h) |  |  |  |  |  |  |  |  |  |
5.00%, 10/15/26 |  |  |  |  | 463 |  |  |  | 447,060 |
5.00%, 05/15/27 |  |  |  |  | 437 |  |  |  | 420,335 |
|  |  |  |  |  |  |  |  | 3,162,053 |
Hotels, Restaurants & Leisure — 3.4% |
Boyd Gaming Corp. |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/27 |  |  |  |  | 133 |  |  |  | 126,015 |
4.75%, 06/15/31(b)(h) |  |  |  |  | 333 |  |  |  | 297,487 |
Boyne USA, Inc., 4.75%, 05/15/29(b)(h) |  |  |  |  | 344 |  |  |  | 309,999 |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 04/15/25 |  |  |  |  | 207 |  |  |  | 206,688 |
3.88%, 01/15/28(h) |  |  |  |  | 208 |  |  |  | 190,148 |
4.38%, 01/15/28(h) |  |  |  |  | 134 |  |  |  | 123,705 |
4.00%, 10/15/30 |  |  |  |  | 103 |  |  |  | 88,151 |
Caesars Entertainment, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
6.25%, 07/01/25 |  |  |  |  | 1,144 |  |  |  | 1,138,702 |
8.13%, 07/01/27 |  |  |  |  | 1,508 |  |  |  | 1,543,391 |
4.63%, 10/15/29 |  |  |  |  | 184 |  |  |  | 160,671 |
7.00%, 02/15/30 |  |  |  |  | 1,527 |  |  |  | 1,533,474 |
Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)(h) |  |  |  |  | 478 |  |  |  | 483,652 |
CDI Escrow Issuer, Inc., 5.75%, 04/01/30(b)(h) |  |  |  |  | 731 |  |  |  | 680,428 |
Champion Path Holdings Ltd., 4.50%, 01/27/26(e) |  |  |  |  | 232 |  |  |  | 203,309 |
Churchill Downs, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.50%, 04/01/27(h) |  |  |  |  | 695 |  |  |  | 668,195 |
4.75%, 01/15/28 |  |  |  |  | 137 |  |  |  | 127,054 |
6.75%, 05/01/31 |  |  |  |  | 417 |  |  |  | 412,309 |
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 01/15/29(h) |  |  |  |  | 483 |  |  |  | 423,832 |
6.75%, 01/15/30 |  |  |  |  | 68 |  |  |  | 57,871 |
Fortune Star BVI Ltd., 6.75%, 07/02/23(e) |  |  |  |  | 200 |  |  |  | 199,880 |
Hilton Domestic Operating Co., Inc. |  |  |  |  |  |  |  |  |  |
5.38%, 05/01/25(b) |  |  |  |  | 145 |  |  |  | 143,148 |
5.75%, 05/01/28(b) |  |  |  |  | 200 |  |  |  | 196,943 |
3.75%, 05/01/29(b) |  |  |  |  | 146 |  |  |  | 129,591 |
4.88%, 01/15/30(h) |  |  |  |  | 501 |  |  |  | 467,142 |
4.00%, 05/01/31(b) |  |  |  |  | 189 |  |  |  | 164,143 |
3.63%, 02/15/32(b) |  |  |  |  | 15 |  |  |  | 12,506 |
Lindblad Expeditions Holdings, Inc., 9.00%, 05/15/28(b) |  |  |  |  | 246 |  |  |  | 249,598 |
Lottomatica SpA/Roma, (3-mo. EURIBOR + 4.13%), 7.59%, 06/01/28(a)(e) |  | EUR |  |  | 100 |  |  |  | 109,529 |

Security |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Melco Resorts Finance Ltd. |  |  |  |  |  |  |  |  |  |
4.88%, 06/06/25(b) |  | USD |  |  | 200 |  |  | $ | 188,790 |
5.25%, 04/26/26(e) |  |  |  |  | 250 |  |  |  | 232,010 |
5.38%, 12/04/29(b)(h) |  |  |  |  | 600 |  |  |  | 494,250 |
Merlin Entertainments Ltd., 5.75%, 06/15/26(b)(h) |  |  |  |  | 600 |  |  |  | 578,246 |
MGM China Holdings Ltd. |  |  |  |  |  |  |  |  |  |
5.88%, 05/15/26(e)(h) |  |  |  |  | 250 |  |  |  | 238,040 |
4.75%, 02/01/27(b) |  |  |  |  | 200 |  |  |  | 180,250 |
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(b) |  |  |  |  | 235 |  |  |  | 207,516 |
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 09/01/29 |  |  |  |  | 116 |  |  |  | 87,864 |
5.88%, 09/01/31 |  |  |  |  | 116 |  |  |  | 85,579 |
Raptor Acquisition Corp./Raptor Co.-Issuer LLC, 4.88%, 11/01/26(b) |  |  |  |  | 177 |  |  |  | 166,822 |
Scientific Games Holdings LP/Scientific Games US FinCo, Inc., 6.63%, 03/01/30(b) |  |  |  |  | 70 |  |  |  | 61,600 |
Scientific Games International, Inc.(b) |  |  |  |  |  |  |  |  |  |
8.63%, 07/01/25 |  |  |  |  | 203 |  |  |  | 207,314 |
7.00%, 05/15/28(h) |  |  |  |  | 174 |  |  |  | 173,071 |
7.25%, 11/15/29(h) |  |  |  |  | 51 |  |  |  | 51,064 |
Six Flags Entertainment Corp., 7.25%, 05/15/31(b)(h) |  |  |  |  | 402 |  |  |  | 391,528 |
Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(h) |  |  |  |  | 269 |  |  |  | 270,344 |
Station Casinos LLC, 4.63%, 12/01/31(b) |  |  |  |  | 277 |  |  |  | 233,372 |
Vail Resorts, Inc., 6.25%, 05/15/25(b) |  |  |  |  | 154 |  |  |  | 154,184 |
Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b) |  |  |  |  | 158 |  |  |  | 144,286 |
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)(h) |  |  |  |  | 192 |  |  |  | 181,873 |
Wynn Macau Ltd. |  |  |  |  |  |  |  |  |  |
5.50%, 01/15/26(e) |  |  |  |  | 347 |  |  |  | 321,626 |
5.63%, 08/26/28(b)(h) |  |  |  |  | 600 |  |  |  | 517,500 |
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
5.13%, 10/01/29 |  |  |  |  | 773 |  |  |  | 692,757 |
7.13%, 02/15/31 |  |  |  |  | 318 |  |  |  | 316,073 |
|  |  |  |  |  |  |  |  | 16,623,520 |
Household Durables — 0.6% |  |  |  |  |  |  |  |
Ashton Woods USA LLC/Ashton Woods Finance Co.(b) |  |  |  |  |  |  |  |  |  |
4.63%, 08/01/29 |  |  |  |  | 100 |  |  |  | 85,223 |
4.63%, 04/01/30 |  |  |  |  | 145 |  |  |  | 123,772 |
Brookfield Residential Properties, Inc./Brookfield Residential U.S. LLC(b) |  |  |  |  |  |  |  |  |  |
5.00%, 06/15/29 |  |  |  |  | 208 |  |  |  | 166,552 |
4.88%, 02/15/30(h) |  |  |  |  | 364 |  |  |  | 285,554 |
CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b) |  |  |  |  | 253 |  |  |  | 234,199 |
K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b) |  |  |  |  | 131 |  |  |  | 128,380 |
Mattamy Group Corp., 4.63%, 03/01/30(b)(h) |  |  |  |  | 199 |  |  |  | 172,034 |
Meritage Homes Corp., 5.13%, 06/06/27 |  |  |  |  | 50 |  |  |  | 48,040 |
NCR Corp.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 09/01/27 |  |  |  |  | 220 |  |  |  | 219,942 |
5.00%, 10/01/28 |  |  |  |  | 110 |  |  |  | 98,167 |
5.13%, 04/15/29(h) |  |  |  |  | 145 |  |  |  | 128,363 |
6.13%, 09/01/29 |  |  |  |  | 92 |  |  |  | 92,077 |
SWF Escrow Issuer Corp., 6.50%, 10/01/29(b)(h) |  |  |  |  | 539 |  |  |  | 323,415 |
Taylor Morrison Communities, Inc.(b) 5.88%, 06/15/27 |  |  |  |  | 255 |  |  |  | 250,459 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Household Durables (continued) |  |  |  |  |  |  |  |
Taylor Morrison Communities, Inc.(b) (continued) |  |  |  |  |  |  |  |  |  |
5.13%, 08/01/30 |  | USD |  |  | 54 |  |  | $ | 49,858 |
Tempur Sealy International, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.00%, 04/15/29 |  |  |  |  | 204 |  |  |  | 176,602 |
3.88%, 10/15/31 |  |  |  |  | 97 |  |  |  | 79,021 |
Tri Pointe Group, Inc./Tri Pointe Homes, Inc., 5.88%, 06/15/24 |  |  |  |  | 11 |  |  |  | 10,918 |
Tri Pointe Homes, Inc., 5.25%, 06/01/27 |  |  |  |  | 15 |  |  |  | 14,189 |
|  |  |  |  |  |  |  |  | 2,686,765 |
Household Products — 0.0% |  |  |  |  |  |  |  |
Berkline Benchcraft LLC, 4.50%, 05/03/12(d)(f)(i) |  |  |  |  | 200 |  |  |  | — |
Central Garden & Pet Co. |  |  |  |  |  |  |  |  |  |
5.13%, 02/01/28 |  |  |  |  | 15 |  |  |  | 14,092 |
4.13%, 10/15/30(h) |  |  |  |  | 194 |  |  |  | 162,513 |
|  |  |  |  |  |  |  |  | 176,605 |
Independent Power and Renewable Electricity Producers — 0.7% |
Calpine Corp.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/26 |  |  |  |  | 221 |  |  |  | 213,420 |
5.13%, 03/15/28(h) |  |  |  |  | 1,060 |  |  |  | 945,946 |
4.63%, 02/01/29 |  |  |  |  | 106 |  |  |  | 89,430 |
5.00%, 02/01/31 |  |  |  |  | 43 |  |  |  | 35,564 |
Clearway Energy Operating LLC(b) |  |  |  |  |  |  |  |  |  |
4.75%, 03/15/28(h) |  |  |  |  | 336 |  |  |  | 310,000 |
3.75%, 01/15/32 |  |  |  |  | 262 |  |  |  | 213,244 |
Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(e)(h) |  |  |  |  | 200 |  |  |  | 186,484 |
NRG Energy, Inc. |  |  |  |  |  |  |  |  |  |
6.63%, 01/15/27(h) |  |  |  |  | 720 |  |  |  | 714,730 |
5.75%, 01/15/28 |  |  |  |  | 63 |  |  |  | 59,702 |
3.88%, 02/15/32(b) |  |  |  |  | 10 |  |  |  | 7,705 |
7.00%, 03/15/33(b)(h) |  |  |  |  | 205 |  |  |  | 206,698 |
Talen Energy Supply LLC, 8.63%, 06/01/30(b) |  |  |  |  | 134 |  |  |  | 138,690 |
TerraForm Power Operating LLC(b) |  |  |  |  |  |  |  |  |  |
5.00%, 01/31/28 |  |  |  |  | 96 |  |  |  | 88,383 |
4.75%, 01/15/30 |  |  |  |  | 186 |  |  |  | 164,145 |
TransAlta Corp., 7.75%, 11/15/29 |  |  |  |  | 109 |  |  |  | 112,216 |
|  |  |  |  |  |  |  |  | 3,486,357 |
Industrial Conglomerates — 0.0% |  |  |  |  |  |  |  |
Emerald Debt Merger Sub LLC, 6.38%, 12/15/30(b) |  | EUR |  |  | 160 |  |  |  | 173,937 |
Insurance — 2.0% |  |  |  |  |  |  |  |
Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b) |  | USD |  |  | 136 |  |  |  | 117,751 |
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(h) |  |  |  |  |  |  |  |  |  |
4.25%, 10/15/27 |  |  |  |  | 1,317 |  |  |  | 1,181,866 |
6.75%, 10/15/27 |  |  |  |  | 2,364 |  |  |  | 2,222,160 |
6.75%, 04/15/28 |  |  |  |  | 558 |  |  |  | 553,390 |
5.88%, 11/01/29 |  |  |  |  | 1,128 |  |  |  | 981,270 |
Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(h) |  |  |  |  | 360 |  |  |  | 341,820 |
AmWINS Group, Inc., 4.88%, 06/30/29(b) |  |  |  |  | 285 |  |  |  | 257,350 |
GTCR AP Finance, Inc., 8.00%, 05/15/27(b)(h) |  |  |  |  | 304 |  |  |  | 297,994 |
HUB International Ltd.(b) |  |  |  |  |  |  |  |  |  |
7.00%, 05/01/26(h) |  |  |  |  | 1,280 |  |  |  | 1,276,614 |
7.25%, 06/15/30 |  |  |  |  | 1,472 |  |  |  | 1,519,987 |
Jones Deslauriers Insurance Management, Inc.(b) |  |  |  |  |  |  |  |  |  |
8.50%, 03/15/30 |  |  |  |  | 506 |  |  |  | 516,226 |

Security |  |  |  | Par (000) |  |  | Value |
Insurance (continued) |  |  |  |  |  |  |  |
Jones Deslauriers Insurance Management, Inc.(b) (continued) |  |  |  |  |  |  |  |  |  |
10.50%, 12/15/30 |  | USD |  |  | 256 |  |  | $ | 256,788 |
Ryan Specialty Group LLC, 4.38%, 02/01/30(b) |  |  |  |  | 183 |  |  |  | 161,992 |
|  |  |  |  |  |  |  |  | 9,685,208 |
Interactive Media & Services — 0.2% |  |  |  |  |  |  |  |
Arches Buyer, Inc., 4.25%, 06/01/28(b) |  |  |  |  | 110 |  |  |  | 95,721 |
Cablevision Lightpath LLC, 5.63%, 09/15/28(b)(h) |  |  |  |  | 400 |  |  |  | 296,321 |
iliad SA(e) |  |  |  |  |  |  |  |  |  |
5.38%, 06/14/27 |  | EUR |  |  | 100 |  |  |  | 107,581 |
5.63%, 02/15/30 |  |  |  |  | 100 |  |  |  | 105,465 |
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc., 4.75%, 04/30/27(b) |  | USD |  |  | 264 |  |  |  | 233,165 |
|  |  |  |  |  |  |  |  | 838,253 |
Internet Software & Services — 1.0% |  |  |  |  |  |  |  |
Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
5.25%, 12/01/27 |  |  |  |  | 303 |  |  |  | 287,850 |
3.50%, 03/01/29 |  |  |  |  | 204 |  |  |  | 174,796 |
Match Group Holdings II LLC(b) |  |  |  |  |  |  |  |  |  |
4.63%, 06/01/28 |  |  |  |  | 157 |  |  |  | 144,220 |
5.63%, 02/15/29 |  |  |  |  | 177 |  |  |  | 165,957 |
4.13%, 08/01/30 |  |  |  |  | 198 |  |  |  | 169,587 |
3.63%, 10/01/31(h) |  |  |  |  | 153 |  |  |  | 125,757 |
Uber Technologies, Inc. |  |  |  |  |  |  |  |  |  |
7.50%, 05/15/25(b)(h) |  |  |  |  | 667 |  |  |  | 674,977 |
0.00%, 12/15/25(h)(l)(m) |  |  |  |  | 916 |  |  |  | 835,416 |
8.00%, 11/01/26(b) |  |  |  |  | 419 |  |  |  | 427,008 |
7.50%, 09/15/27(b)(h) |  |  |  |  | 622 |  |  |  | 636,215 |
6.25%, 01/15/28(b) |  |  |  |  | 402 |  |  |  | 400,014 |
4.50%, 08/15/29(b)(h) |  |  |  |  | 972 |  |  |  | 894,627 |
|  |  |  |  |  |  |  |  | 4,936,424 |
IT Services — 0.9% |  |  |  |  |  |  |  |
Ahead DB Holdings LLC, 6.63%, 05/01/28(b) |  |  |  |  | 150 |  |  |  | 121,990 |
CA Magnum Holdings, 5.38%, 10/31/26(b)(h) |  |  |  |  | 382 |  |  |  | 341,187 |
Camelot Finance SA, 4.50%, 11/01/26(b)(h) |  |  |  |  | 624 |  |  |  | 587,833 |
Dun & Bradstreet Corp., 5.00%, 12/15/29(b)(h) |  |  |  |  | 615 |  |  |  | 542,264 |
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28(e) |  | EUR |  |  | 100 |  |  |  | 109,456 |
Fair Isaac Corp., 4.00%, 06/15/28(b)(h) |  | USD |  |  | 366 |  |  |  | 335,771 |
Gartner, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.50%, 07/01/28 |  |  |  |  | 23 |  |  |  | 21,487 |
3.63%, 06/15/29 |  |  |  |  | 57 |  |  |  | 50,178 |
KBR, Inc., 4.75%, 09/30/28(b) |  |  |  |  | 209 |  |  |  | 189,673 |
La Financiere Atalian SASU, 5.13%, 05/15/25(e) |  | EUR |  |  | 100 |  |  |  | 74,872 |
McAfee Corp., 7.38%, 02/15/30(b)(h) |  | USD |  |  | 786 |  |  |  | 683,445 |
Presidio Holdings, Inc., 4.88%, 02/01/27(b) |  |  |  |  | 47 |  |  |  | 44,091 |
Science Applications International Corp., 4.88%, 04/01/28(b)(h) |  |  |  |  | 289 |  |  |  | 268,780 |
Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b) |  |  |  |  | 163 |  |  |  | 162,824 |
Twilio, Inc. |  |  |  |  |  |  |  |  |  |
3.63%, 03/15/29 |  |  |  |  | 142 |  |  |  | 120,807 |
3.88%, 03/15/31(h) |  |  |  |  | 319 |  |  |  | 265,604 |
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)(h) |  |  |  |  | 692 |  |  |  | 595,183 |
|  |  |  |  |  |  |  |  | 4,515,445 |

76 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Leisure Products(h) — 0.1% |  |  |  |  |  |  |  |
Mattel, Inc. |  |  |  |  |  |  |  |  |  |
6.20%, 10/01/40 |  | USD |  |  | 219 |  |  | $ | 195,798 |
5.45%, 11/01/41 |  |  |  |  | 278 |  |  |  | 230,470 |
|  |  |  |  |  |  |  |  | 426,268 |
Machinery — 1.1% |  |  |  |  |  |  |  |
ATS Corp., 4.13%, 12/15/28(b) |  |  |  |  | 108 |  |  |  | 96,664 |
Chart Industries, Inc.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 01/01/30(h) |  |  |  |  | 623 |  |  |  | 635,619 |
9.50%, 01/01/31 |  |  |  |  | 92 |  |  |  | 97,613 |
GrafTech Global Enterprises, Inc., 9.88%, 12/15/28(b) |  |  |  |  | 283 |  |  |  | 280,877 |
Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(h)(k) |  |  |  |  | 240 |  |  |  | 218,400 |
Madison IAQ LLC, 5.88%, 06/30/29(b)(h) |  |  |  |  | 696 |  |  |  | 563,697 |
OT Merger Corp., 7.88%, 10/15/29(b) |  |  |  |  | 115 |  |  |  | 71,877 |
Terex Corp., 5.00%, 05/15/29(b)(h) |  |  |  |  | 333 |  |  |  | 309,583 |
Titan Acquisition Ltd./Titan Co.-Borrower LLC, 7.75%, 04/15/26(b)(h) |  |  |  |  | 852 |  |  |  | 773,190 |
TK Elevator Holdco GmbH, 7.63%, 07/15/28(b)(h) |  |  |  |  | 400 |  |  |  | 362,834 |
TK Elevator Midco GmbH, 4.38%, 07/15/27(e) |  | EUR |  |  | 205 |  |  |  | 199,655 |
TK Elevator U.S. Newco, Inc., 5.25%, 07/15/27(b)(h) |  | USD |  |  | 1,633 |  |  |  | 1,508,684 |
|  |  |  |  |  |  |  |  | 5,118,693 |
Marine Transportation — 0.0% |  |  |  |  |  |  |  |
Huntington Ingalls Industries, Inc., 4.20%, 05/01/30(h) |  |  |  |  | 178 |  |  |  | 164,929 |
Media — 6.8% |  |  |  |  |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |
3.00%, 01/15/28(e) |  | EUR |  |  | 100 |  |  |  | 84,079 |
5.00%, 01/15/28(b)(h) |  | USD |  |  | 378 |  |  |  | 302,084 |
5.75%, 08/15/29(b)(h) |  |  |  |  | 1,324 |  |  |  | 1,025,651 |
AMC Networks, Inc. |  |  |  |  |  |  |  |  |  |
4.75%, 08/01/25 |  |  |  |  | 189 |  |  |  | 165,313 |
4.25%, 02/15/29 |  |  |  |  | 123 |  |  |  | 66,121 |
Block Communications, Inc., 4.88%, 03/01/28(b) |  |  |  |  | 92 |  |  |  | 76,130 |
Cable One, Inc. |  |  |  |  |  |  |  |  |  |
0.00%, 03/15/26(l)(m) |  |  |  |  | 88 |  |  |  | 71,940 |
1.13%, 03/15/28(h)(l) |  |  |  |  | 620 |  |  |  | 466,550 |
4.00%, 11/15/30(b)(h) |  |  |  |  | 151 |  |  |  | 117,969 |
CCO Holdings LLC/CCO Holdings Capital Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
5.13%, 05/01/27 |  |  |  |  | 565 |  |  |  | 526,153 |
5.00%, 02/01/28 |  |  |  |  | 701 |  |  |  | 638,674 |
6.38%, 09/01/29 |  |  |  |  | 734 |  |  |  | 691,545 |
4.75%, 03/01/30 |  |  |  |  | 246 |  |  |  | 210,351 |
4.25%, 02/01/31 |  |  |  |  | 764 |  |  |  | 618,053 |
7.38%, 03/01/31 |  |  |  |  | 1,419 |  |  |  | 1,382,718 |
4.75%, 02/01/32 |  |  |  |  | 260 |  |  |  | 212,025 |
4.25%, 01/15/34 |  |  |  |  | 442 |  |  |  | 334,049 |
Charter Communications Operating LLC/Charter Communications Operating Capital(h) |  |  |  |  |  |  |  |  |  |
4.91%, 07/23/25 |  |  |  |  | 2,425 |  |  |  | 2,378,069 |
5.38%, 05/01/47 |  |  |  |  | 425 |  |  |  | 351,286 |
Clear Channel International BV, 6.63%, 08/01/25(b)(h) |  |  |  |  | 384 |  |  |  | 382,075 |
Clear Channel Outdoor Holdings, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
5.13%, 08/15/27 |  |  |  |  | 2,109 |  |  |  | 1,914,746 |
7.75%, 04/15/28 |  |  |  |  | 330 |  |  |  | 259,050 |
7.50%, 06/01/29 |  |  |  |  | 731 |  |  |  | 540,923 |
CMG Media Corp., 8.88%, 12/15/27(b)(h) |  |  |  |  | 315 |  |  |  | 220,766 |

Security |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/01/26(b)(h) |  | USD |  |  | 1,866 |  |  | $ | 1,812,476 |
CSC Holdings LLC(h) |  |  |  |  |  |  |  |  |  |
5.25%, 06/01/24 |  |  |  |  | 164 |  |  |  | 152,527 |
5.50%, 04/15/27(b) |  |  |  |  | 200 |  |  |  | 166,398 |
11.25%, 05/15/28(b) |  |  |  |  | 900 |  |  |  | 872,757 |
6.50%, 02/01/29(b) |  |  |  |  | 865 |  |  |  | 698,951 |
4.13%, 12/01/30(b) |  |  |  |  | 330 |  |  |  | 230,844 |
4.50%, 11/15/31(b) |  |  |  |  | 469 |  |  |  | 326,994 |
Directv Financing LLC/Directv Financing Co-Obligor, Inc., 5.88%, 08/15/27(b)(h) |  |  |  |  | 429 |  |  |  | 388,518 |
Discovery Communications LLC, 3.45%, 03/15/25(h) |  |  |  |  | 170 |  |  |  | 162,742 |
DISH DBS Corp. |  |  |  |  |  |  |  |  |  |
7.75%, 07/01/26(h) |  |  |  |  | 601 |  |  |  | 368,392 |
5.25%, 12/01/26(b)(h) |  |  |  |  | 1,000 |  |  |  | 802,173 |
5.75%, 12/01/28(b) |  |  |  |  | 174 |  |  |  | 129,418 |
DISH Network Corp., 11.75%, 11/15/27(b)(h) |  |  |  |  | 179 |  |  |  | 174,688 |
Frontier Communications Holdings LLC(b)(h) |  |  |  |  |  |  |  |  |  |
5.88%, 10/15/27 |  |  |  |  | 267 |  |  |  | 245,042 |
5.00%, 05/01/28 |  |  |  |  | 753 |  |  |  | 649,696 |
8.75%, 05/15/30 |  |  |  |  | 1,028 |  |  |  | 1,004,740 |
GCI LLC, 4.75%, 10/15/28(b) |  |  |  |  | 107 |  |  |  | 91,228 |
Iliad Holding SASU(b)(h) |  |  |  |  |  |  |  |  |  |
6.50%, 10/15/26 |  |  |  |  | 1,423 |  |  |  | 1,343,060 |
7.00%, 10/15/28 |  |  |  |  | 743 |  |  |  | 684,782 |
Interpublic Group of Cos., Inc., 5.40%, 10/01/48(h) |  |  |  |  | 200 |  |  |  | 186,141 |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(b)(h) |  |  |  |  | 360 |  |  |  | 337,411 |
Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(k) |  |  |  |  | 419 |  |  |  | 147,998 |
Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b) |  |  |  |  | 232 |  |  |  | 168,014 |
Live Nation Entertainment, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.88%, 11/01/24 |  |  |  |  | 31 |  |  |  | 30,519 |
5.63%, 03/15/26 |  |  |  |  | 16 |  |  |  | 15,629 |
6.50%, 05/15/27(h) |  |  |  |  | 1,582 |  |  |  | 1,590,421 |
4.75%, 10/15/27(h) |  |  |  |  | 288 |  |  |  | 268,560 |
3.75%, 01/15/28 |  |  |  |  | 196 |  |  |  | 174,930 |
Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b) |  |  |  |  | 177 |  |  |  | 165,798 |
Network i2i Ltd., (5-year CMT + 4.27%), 5.65%(a)(e)(h)(j) |  |  |  |  | 300 |  |  |  | 290,598 |
Outfront Media Capital LLC/Outfront Media Capital Corp.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 08/15/27(h) |  |  |  |  | 558 |  |  |  | 506,497 |
4.25%, 01/15/29(h) |  |  |  |  | 256 |  |  |  | 215,132 |
4.63%, 03/15/30 |  |  |  |  | 55 |  |  |  | 45,821 |
Radiate Holdco LLC/Radiate Finance, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
4.50%, 09/15/26 |  |  |  |  | 894 |  |  |  | 712,755 |
6.50%, 09/15/28 |  |  |  |  | 1,482 |  |  |  | 864,843 |
Sable International Finance Ltd., 5.75%, 09/07/27(b) |  |  |  |  | 200 |  |  |  | 183,856 |
Sinclair Television Group, Inc., 4.13%, 12/01/30(b)(h) |  |  |  |  | 468 |  |  |  | 306,540 |
Sirius XM Radio, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
3.13%, 09/01/26 |  |  |  |  | 491 |  |  |  | 439,566 |
5.00%, 08/01/27 |  |  |  |  | 812 |  |  |  | 753,365 |
Stagwell Global LLC, 5.63%, 08/15/29(b) |  |  |  |  | 101 |  |  |  | 86,429 |
Summer BidCo BV, (9.00% Cash or 9.75% PIK), 9.00%, 11/15/25(e)(k) |  | EUR |  |  | 118 |  |  |  | 108,191 |
TEGNA, Inc., 4.75%, 03/15/26(b) |  | USD |  |  | 45 |  |  |  | 42,966 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |
Telenet Finance Luxembourg Notes SARL, 5.50%, 03/01/28(b) |  | USD |  |  | 200 |  |  | $ | 183,400 |
Univision Communications, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.13%, 02/15/25 |  |  |  |  | 133 |  |  |  | 130,174 |
6.63%, 06/01/27 |  |  |  |  | 188 |  |  |  | 181,711 |
7.38%, 06/30/30(h) |  |  |  |  | 174 |  |  |  | 165,668 |
UPC Broadband Finco BV, 4.88%, 07/15/31(b)(h) |  |  |  |  | 449 |  |  |  | 369,567 |
Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b)(h) |  |  |  |  | 754 |  |  |  | 659,549 |
VZ Secured Financing BV, 3.50%, 01/15/32(e) |  | EUR |  |  | 100 |  |  |  | 83,883 |
Ziggo Bond Co. BV(b)(h) |  |  |  |  |  |  |  |  |  |
6.00%, 01/15/27 |  | USD |  |  | 199 |  |  |  | 182,646 |
5.13%, 02/28/30 |  |  |  |  | 225 |  |  |  | 170,377 |
Ziggo BV, 4.88%, 01/15/30(b) |  |  |  |  | 200 |  |  |  | 165,986 |
|  |  |  |  |  |  |  |  | 33,276,687 |
Metals & Mining — 1.9% |  |  |  |  |  |  |  |
ABJA Investment Co. Pte. Ltd., 5.95%, 07/31/24(e) |  |  |  |  | 250 |  |  |  | 248,430 |
Arconic Corp.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 05/15/25 |  |  |  |  | 83 |  |  |  | 83,660 |
6.13%, 02/15/28(h) |  |  |  |  | 378 |  |  |  | 382,689 |
ATI, Inc. |  |  |  |  |  |  |  |  |  |
5.88%, 12/01/27 |  |  |  |  | 171 |  |  |  | 165,488 |
4.88%, 10/01/29 |  |  |  |  | 101 |  |  |  | 90,919 |
5.13%, 10/01/31 |  |  |  |  | 273 |  |  |  | 243,219 |
Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(h) |  |  |  |  | 1,143 |  |  |  | 1,129,071 |
Carpenter Technology Corp. |  |  |  |  |  |  |  |  |  |
6.38%, 07/15/28 |  |  |  |  | 81 |  |  |  | 79,380 |
7.63%, 03/15/30(h) |  |  |  |  | 326 |  |  |  | 329,684 |
Constellium SE |  |  |  |  |  |  |  |  |  |
4.25%, 02/15/26(e) |  | EUR |  |  | 100 |  |  |  | 106,401 |
5.88%, 02/15/26(b)(h) |  | USD |  |  | 588 |  |  |  | 576,082 |
5.63%, 06/15/28(b)(h) |  |  |  |  | 500 |  |  |  | 470,464 |
3.75%, 04/15/29(b)(h) |  |  |  |  | 756 |  |  |  | 643,172 |
First Quantum Minerals Ltd., 8.63%, 06/01/31(b) |  |  |  |  | 331 |  |  |  | 337,620 |
JSW Steel Ltd., 5.95%, 04/18/24(e) |  |  |  |  | 200 |  |  |  | 198,348 |
Kaiser Aluminum Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
4.63%, 03/01/28 |  |  |  |  | 163 |  |  |  | 142,553 |
4.50%, 06/01/31 |  |  |  |  | 347 |  |  |  | 276,622 |
New Gold, Inc., 7.50%, 07/15/27(b)(h) |  |  |  |  | 545 |  |  |  | 508,910 |
Novelis Corp.(b)(h) |  |  |  |  |  |  |  |  |  |
3.25%, 11/15/26 |  |  |  |  | 809 |  |  |  | 732,281 |
4.75%, 01/30/30 |  |  |  |  | 951 |  |  |  | 845,160 |
3.88%, 08/15/31 |  |  |  |  | 1,030 |  |  |  | 847,290 |
Novelis Sheet Ingot GmbH, 3.38%, 04/15/29(e) |  | EUR |  |  | 200 |  |  |  | 191,084 |
Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b) |  | USD |  |  | 122 |  |  |  | 109,301 |
Stillwater Mining Co., 4.00%, 11/16/26(e)(h) |  |  |  |  | 200 |  |  |  | 177,512 |
Vedanta Resources Finance II PLC, 13.88%, 01/21/24(e) |  |  |  |  | 200 |  |  |  | 182,074 |
|  |  |  |  |  |  |  |  | 9,097,414 |
Multi-Utilities — 0.2% |  |  |  |  |  |  |  |
American Water Capital Corp., 4.45%, 06/01/32(h) |  |  |  |  | 900 |  |  |  | 871,361 |
AmeriGas Partners LP/AmeriGas Finance Corp., 9.38%, 06/01/28(b) |  |  |  |  | 272 |  |  |  | 276,248 |
|  |  |  |  |  |  |  |  | 1,147,609 |

Security |  |  |  | Par (000) |  |  | Value |
Offshore Drilling & Other Services(b) — 0.4% |
Entegris Escrow Corp., 4.75%, 04/15/29(h) |  | USD |  |  | 2,108 |  |  | $ | 1,956,911 |
Entegris, Inc., 4.38%, 04/15/28 |  |  |  |  | 169 |  |  |  | 152,942 |
|  |  |  |  |  |  |  |  | 2,109,853 |
Oil, Gas & Consumable Fuels — 9.3% |
Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)(h) |  |  |  |  | 591 |  |  |  | 580,657 |
Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 03/01/27 |  |  |  |  | 298 |  |  |  | 287,402 |
5.75%, 01/15/28 |  |  |  |  | 59 |  |  |  | 56,244 |
5.38%, 06/15/29(h) |  |  |  |  | 206 |  |  |  | 191,411 |
Apache Corp. |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/30(h) |  |  |  |  | 61 |  |  |  | 54,333 |
5.10%, 09/01/40(h) |  |  |  |  | 157 |  |  |  | 127,562 |
5.35%, 07/01/49 |  |  |  |  | 137 |  |  |  | 106,517 |
Arcosa, Inc., 4.38%, 04/15/29(b)(h) |  |  |  |  | 374 |  |  |  | 335,105 |
Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
9.00%, 11/01/27(h) |  |  |  |  | 580 |  |  |  | 721,068 |
8.25%, 12/31/28(h) |  |  |  |  | 880 |  |  |  | 865,396 |
5.88%, 06/30/29 |  |  |  |  | 134 |  |  |  | 119,547 |
Baytex Energy Corp., 8.50%, 04/30/30(b) |  |  |  |  | 139 |  |  |  | 135,743 |
Buckeye Partners LP |  |  |  |  |  |  |  |  |  |
4.13%, 03/01/25(b) |  |  |  |  | 262 |  |  |  | 248,900 |
5.85%, 11/15/43 |  |  |  |  | 145 |  |  |  | 107,300 |
5.60%, 10/15/44 |  |  |  |  | 86 |  |  |  | 61,920 |
Callon Petroleum Co. |  |  |  |  |  |  |  |  |  |
8.25%, 07/15/25 |  |  |  |  | 44 |  |  |  | 43,670 |
6.38%, 07/01/26 |  |  |  |  | 162 |  |  |  | 157,690 |
8.00%, 08/01/28(b)(h) |  |  |  |  | 1,033 |  |  |  | 1,021,543 |
7.50%, 06/15/30(b)(h) |  |  |  |  | 530 |  |  |  | 500,252 |
Cellnex Finance Co. SA, 1.25%, 01/15/29(e) |  | EUR |  |  | 100 |  |  |  | 90,392 |
Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(e)(l) |  |  |  |  | 100 |  |  |  | 87,028 |
Cheniere Energy Partners LP(h) |  |  |  |  |  |  |  |  |  |
4.50%, 10/01/29 |  | USD |  |  | 630 |  |  |  | 578,186 |
3.25%, 01/31/32 |  |  |  |  | 380 |  |  |  | 312,607 |
Chesapeake Energy Corp.(b) |  |  |  |  |  |  |  |  |  |
5.88%, 02/01/29 |  |  |  |  | 41 |  |  |  | 38,945 |
6.75%, 04/15/29(h) |  |  |  |  | 436 |  |  |  | 432,615 |
Civitas Resources, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.00%, 10/15/26 |  |  |  |  | 36 |  |  |  | 33,943 |
8.38%, 07/01/28(h) |  |  |  |  | 772 |  |  |  | 780,724 |
8.75%, 07/01/31 |  |  |  |  | 638 |  |  |  | 646,804 |
CNX Midstream Partners LP, 4.75%, 04/15/30(b) |  |  |  |  | 96 |  |  |  | 81,426 |
CNX Resources Corp., 7.38%, 01/15/31(b) |  |  |  |  | 97 |  |  |  | 94,375 |
Comstock Resources, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
6.75%, 03/01/29 |  |  |  |  | 468 |  |  |  | 428,195 |
5.88%, 01/15/30 |  |  |  |  | 353 |  |  |  | 306,464 |
CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)(h) |  |  |  |  | 1,617 |  |  |  | 1,442,223 |
Crescent Energy Finance LLC(b)(h) |  |  |  |  |  |  |  |  |  |
7.25%, 05/01/26 |  |  |  |  | 708 |  |  |  | 664,465 |
9.25%, 02/15/28 |  |  |  |  | 254 |  |  |  | 246,441 |
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 05/01/27 |  |  |  |  | 52 |  |  |  | 49,296 |
6.00%, 02/01/29(h) |  |  |  |  | 326 |  |  |  | 304,402 |
8.00%, 04/01/29 |  |  |  |  | 45 |  |  |  | 45,558 |
7.38%, 02/01/31 |  |  |  |  | 96 |  |  |  | 94,623 |

78 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
CrownRock LP/CrownRock Finance, Inc.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 10/15/25(h) |  | USD |  |  | 670 |  |  | $ | 660,084 |
5.00%, 05/01/29 |  |  |  |  | 59 |  |  |  | 55,239 |
DCP Midstream Operating LP(b)(h) |  |  |  |  |  |  |  |  |  |
6.45%, 11/03/36 |  |  |  |  | 162 |  |  |  | 166,349 |
6.75%, 09/15/37 |  |  |  |  | 295 |  |  |  | 313,078 |
Diamondback Energy, Inc., 6.25%, 03/15/33(h) |  |  |  |  | 602 |  |  |  | 622,750 |
DT Midstream, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
4.13%, 06/15/29 |  |  |  |  | 328 |  |  |  | 287,845 |
4.38%, 06/15/31 |  |  |  |  | 418 |  |  |  | 360,004 |
Dycom Industries, Inc., 4.50%, 04/15/29(b) |  |  |  |  | 119 |  |  |  | 108,076 |
Earthstone Energy Holdings LLC(b) |  |  |  |  |  |  |  |  |  |
8.00%, 04/15/27(h) |  |  |  |  | 272 |  |  |  | 262,700 |
9.88%, 07/15/31 |  |  |  |  | 329 |  |  |  | 325,200 |
Ecopetrol SA |  |  |  |  |  |  |  |  |  |
8.88%, 01/13/33 |  |  |  |  | 122 |  |  |  | 120,265 |
5.88%, 05/28/45 |  |  |  |  | 78 |  |  |  | 52,935 |
eG Global Finance PLC(b)(h) |  |  |  |  |  |  |  |  |  |
6.75%, 02/07/25 |  |  |  |  | 396 |  |  |  | 384,615 |
8.50%, 10/30/25 |  |  |  |  | 252 |  |  |  | 244,507 |
Enbridge, Inc., (3-mo. LIBOR US + 3.64%), 6.25%, 03/01/78(a)(h) |  |  |  |  | 1,565 |  |  |  | 1,440,010 |
Endeavor Energy Resources LP/EER Finance, Inc., 5.75%, 01/30/28(b)(h) |  |  |  |  | 386 |  |  |  | 377,577 |
Energean Israel Finance Ltd., 8.50%, 09/30/33(b)(e) |  |  |  |  | 74 |  |  |  | 73,809 |
Energy Transfer LP(h) |  |  |  |  |  |  |  |  |  |
3.90%, 07/15/26 |  |  |  |  | 235 |  |  |  | 223,330 |
Series H, (5-year CMT + 5.69%), 6.50%(a)(j) |  |  |  |  | 456 |  |  |  | 414,194 |
EnLink Midstream LLC(h) |  |  |  |  |  |  |  |  |  |
5.63%, 01/15/28(b) |  |  |  |  | 348 |  |  |  | 336,754 |
5.38%, 06/01/29 |  |  |  |  | 272 |  |  |  | 259,137 |
6.50%, 09/01/30(b) |  |  |  |  | 231 |  |  |  | 230,719 |
EnLink Midstream Partners LP |  |  |  |  |  |  |  |  |  |
4.15%, 06/01/25 |  |  |  |  | 7 |  |  |  | 6,791 |
4.85%, 07/15/26 |  |  |  |  | 115 |  |  |  | 110,975 |
5.60%, 04/01/44 |  |  |  |  | 226 |  |  |  | 189,213 |
5.45%, 06/01/47 |  |  |  |  | 60 |  |  |  | 49,320 |
EQM Midstream Partners LP |  |  |  |  |  |  |  |  |  |
6.00%, 07/01/25(b) |  |  |  |  | 128 |  |  |  | 126,587 |
4.13%, 12/01/26 |  |  |  |  | 100 |  |  |  | 93,003 |
6.50%, 07/01/27(b)(h) |  |  |  |  | 364 |  |  |  | 359,003 |
4.50%, 01/15/29(b) |  |  |  |  | 21 |  |  |  | 18,730 |
7.50%, 06/01/30(b) |  |  |  |  | 84 |  |  |  | 85,003 |
4.75%, 01/15/31(b)(h) |  |  |  |  | 506 |  |  |  | 443,248 |
Genesis Energy LP/Genesis Energy Finance Corp. |  |  |  |  |  |  |  |  |  |
6.50%, 10/01/25 |  |  |  |  | 112 |  |  |  | 110,297 |
7.75%, 02/01/28(h) |  |  |  |  | 164 |  |  |  | 155,985 |
8.88%, 04/15/30 |  |  |  |  | 153 |  |  |  | 149,480 |
Gulfport Energy Corp., 8.00%, 05/17/26(b) |  |  |  |  | 37 |  |  |  | 37,174 |
Harvest Midstream I LP, 7.50%, 09/01/28(b) |  |  |  |  | 60 |  |  |  | 59,486 |
Hess Corp., 4.30%, 04/01/27 |  |  |  |  | 50 |  |  |  | 47,955 |
Hess Midstream Operations LP, 4.25%, 02/15/30(b)(h) |  |  |  |  | 240 |  |  |  | 209,400 |
Hilcorp Energy I LP/Hilcorp Finance Co.(b) |  |  |  |  |  |  |  |  |  |
6.25%, 11/01/28 |  |  |  |  | 145 |  |  |  | 136,489 |
5.75%, 02/01/29 |  |  |  |  | 186 |  |  |  | 168,421 |
6.00%, 04/15/30 |  |  |  |  | 21 |  |  |  | 19,122 |
HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(e)(h) |  |  |  |  | 200 |  |  |  | 192,412 |
HTA Group Ltd., 7.00%, 12/18/25(b)(h) |  |  |  |  | 200 |  |  |  | 188,962 |
IHS Holding Ltd., 6.25%, 11/29/28(b) |  |  |  |  | 200 |  |  |  | 163,912 |
Impulsora Pipeline LLC, 6.05%, 01/01/43(d) |  |  |  |  | 1,345 |  |  |  | 1,159,163 |

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
ITT Holdings LLC, 6.50%, 08/01/29(b)(h) |  | USD |  |  | 343 |  |  | $ | 288,971 |
Kinetik Holdings LP, 5.88%, 06/15/30(b)(h) |  |  |  |  | 471 |  |  |  | 447,681 |
Leviathan Bond Ltd., 6.75%, 06/30/30(b)(e) |  |  |  |  | 61 |  |  |  | 56,598 |
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26(b) |  |  |  |  | 32 |  |  |  | 30,949 |
Matador Resources Co.(h) |  |  |  |  |  |  |  |  |  |
5.88%, 09/15/26 |  |  |  |  | 436 |  |  |  | 422,504 |
6.88%, 04/15/28(b) |  |  |  |  | 248 |  |  |  | 245,469 |
Medco Bell Pte. Ltd., 6.38%, 01/30/27(e) |  |  |  |  | 250 |  |  |  | 234,867 |
MPLX LP, 4.25%, 12/01/27(h) |  |  |  |  | 185 |  |  |  | 175,690 |
Murphy Oil Corp. |  |  |  |  |  |  |  |  |  |
5.75%, 08/15/25 |  |  |  |  | 14 |  |  |  | 13,817 |
5.88%, 12/01/27 |  |  |  |  | 56 |  |  |  | 54,403 |
5.88%, 12/01/42 |  |  |  |  | 29 |  |  |  | 24,099 |
Murphy Oil USA, Inc., 4.75%, 09/15/29 |  |  |  |  | 146 |  |  |  | 134,038 |
Nabors Industries Ltd.(b) |  |  |  |  |  |  |  |  |  |
7.25%, 01/15/26 |  |  |  |  | 199 |  |  |  | 185,770 |
7.50%, 01/15/28(h) |  |  |  |  | 296 |  |  |  | 259,018 |
Nabors Industries, Inc.(h) |  |  |  |  |  |  |  |  |  |
5.75%, 02/01/25 |  |  |  |  | 1,057 |  |  |  | 1,022,880 |
7.38%, 05/15/27(b) |  |  |  |  | 377 |  |  |  | 358,727 |
New Fortress Energy, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
6.75%, 09/15/25 |  |  |  |  | 854 |  |  |  | 801,082 |
6.50%, 09/30/26 |  |  |  |  | 1,366 |  |  |  | 1,222,155 |
NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)(h) |  |  |  |  | 241 |  |  |  | 237,354 |
NGPL PipeCo LLC, 7.77%, 12/15/37(b)(h) |  |  |  |  | 227 |  |  |  | 241,988 |
Northern Oil and Gas, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
8.13%, 03/01/28 |  |  |  |  | 1,102 |  |  |  | 1,079,960 |
8.75%, 06/15/31 |  |  |  |  | 323 |  |  |  | 317,347 |
NuStar Logistics LP |  |  |  |  |  |  |  |  |  |
6.00%, 06/01/26 |  |  |  |  | 163 |  |  |  | 158,780 |
6.38%, 10/01/30 |  |  |  |  | 25 |  |  |  | 23,851 |
Occidental Petroleum Corp. |  |  |  |  |  |  |  |  |  |
6.45%, 09/15/36(h) |  |  |  |  | 132 |  |  |  | 135,472 |
6.20%, 03/15/40(h) |  |  |  |  | 428 |  |  |  | 421,832 |
4.63%, 06/15/45 |  |  |  |  | 28 |  |  |  | 21,664 |
PDC Energy, Inc. |  |  |  |  |  |  |  |  |  |
6.13%, 09/15/24 |  |  |  |  | 75 |  |  |  | 74,962 |
5.75%, 05/15/26(h) |  |  |  |  | 235 |  |  |  | 234,059 |
Permian Resources Operating LLC(b) |  |  |  |  |  |  |  |  |  |
5.38%, 01/15/26 |  |  |  |  | 52 |  |  |  | 49,438 |
7.75%, 02/15/26(h) |  |  |  |  | 607 |  |  |  | 609,582 |
6.88%, 04/01/27 |  |  |  |  | 143 |  |  |  | 140,855 |
5.88%, 07/01/29(h) |  |  |  |  | 392 |  |  |  | 369,268 |
Petroleos Mexicanos |  |  |  |  |  |  |  |  |  |
4.25%, 01/15/25 |  |  |  |  | 37 |  |  |  | 34,865 |
6.50%, 03/13/27 |  |  |  |  | 130 |  |  |  | 115,375 |
8.75%, 06/02/29 |  |  |  |  | 130 |  |  |  | 116,369 |
5.95%, 01/28/31(h) |  |  |  |  | 158 |  |  |  | 115,124 |
6.70%, 02/16/32 |  |  |  |  | 97 |  |  |  | 73,618 |
Precision Drilling Corp., 6.88%, 01/15/29(b) |  |  |  |  | 12 |  |  |  | 10,842 |
Puma International Financing SA, 5.13%, 10/06/24(b) |  |  |  |  | 200 |  |  |  | 194,000 |
Rockcliff Energy II LLC, 5.50%, 10/15/29(b)(h) |  |  |  |  | 196 |  |  |  | 180,801 |
Rockies Express Pipeline LLC, 4.95%, 07/15/29(b) |  |  |  |  | 51 |  |  |  | 46,665 |
SM Energy Co. |  |  |  |  |  |  |  |  |  |
5.63%, 06/01/25 |  |  |  |  | 175 |  |  |  | 171,008 |
6.75%, 09/15/26(h) |  |  |  |  | 156 |  |  |  | 152,055 |
6.63%, 01/15/27 |  |  |  |  | 21 |  |  |  | 20,396 |
6.50%, 07/15/28(h) |  |  |  |  | 198 |  |  |  | 190,080 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Oil, Gas & Consumable Fuels (continued) |  |  |  |
Southwestern Energy Co. |  |  |  |  |  |  |  |  |  |
5.70%, 01/23/25 |  | USD |  |  | 18 |  |  | $ | 17,905 |
5.38%, 02/01/29(h) |  |  |  |  | 252 |  |  |  | 237,299 |
4.75%, 02/01/32 |  |  |  |  | 5 |  |  |  | 4,407 |
Sunoco LP/Sunoco Finance Corp. |  |  |  |  |  |  |  |  |  |
6.00%, 04/15/27 |  |  |  |  | 63 |  |  |  | 62,070 |
5.88%, 03/15/28 |  |  |  |  | 124 |  |  |  | 119,242 |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.(b) |  |  |  |  |  |  |  |  |  |
7.50%, 10/01/25 |  |  |  |  | 13 |  |  |  | 12,975 |
6.00%, 03/01/27 |  |  |  |  | 41 |  |  |  | 38,475 |
5.50%, 01/15/28 |  |  |  |  | 72 |  |  |  | 65,807 |
6.00%, 12/31/30 |  |  |  |  | 28 |  |  |  | 24,668 |
6.00%, 09/01/31 |  |  |  |  | 131 |  |  |  | 112,717 |
Tap Rock Resources LLC, 7.00%, 10/01/26(b)(h) |  |  |  |  | 764 |  |  |  | 786,920 |
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28(h) |  |  |  |  | 280 |  |  |  | 263,537 |
Transocean Titan Financing Ltd., 8.38%, 02/01/28(b)(h) |  |  |  |  | 175 |  |  |  | 178,719 |
Transocean, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
7.50%, 01/15/26 |  |  |  |  | 235 |  |  |  | 223,250 |
11.50%, 01/30/27 |  |  |  |  | 206 |  |  |  | 213,467 |
8.75%, 02/15/30 |  |  |  |  | 972 |  |  |  | 986,580 |
Venture Global Calcasieu Pass LLC(b)(h) |  |  |  |  |  |  |  |  |  |
3.88%, 08/15/29 |  |  |  |  | 830 |  |  |  | 725,080 |
4.13%, 08/15/31 |  |  |  |  | 421 |  |  |  | 362,046 |
3.88%, 11/01/33 |  |  |  |  | 888 |  |  |  | 727,171 |
Venture Global LNG, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
8.13%, 06/01/28 |  |  |  |  | 1,319 |  |  |  | 1,339,622 |
8.38%, 06/01/31 |  |  |  |  | 2,022 |  |  |  | 2,038,514 |
Vermilion Energy, Inc., 6.88%, 05/01/30(b) |  |  |  |  | 159 |  |  |  | 146,549 |
Vivo Energy Investments BV, 5.13%, 09/24/27(b) |  |  |  |  | 200 |  |  |  | 180,192 |
Western Midstream Operating LP |  |  |  |  |  |  |  |  |  |
6.15%, 04/01/33 |  |  |  |  | 75 |  |  |  | 75,592 |
5.45%, 04/01/44(h) |  |  |  |  | 209 |  |  |  | 176,558 |
5.30%, 03/01/48(h) |  |  |  |  | 199 |  |  |  | 166,110 |
5.50%, 08/15/48 |  |  |  |  | 99 |  |  |  | 82,790 |
5.50%, 02/01/50(h) |  |  |  |  | 620 |  |  |  | 507,823 |
|  |  |  |  |  |  |  |  | 45,472,693 |
Passenger Airlines — 1.3% |  |  |  |  |  |  |  |
ABRA Global Finance, (6.00% Cash & 5.50% PIK), 11.50%, 03/02/28(b)(k) |  |  |  |  | 188 |  |  |  | 153,230 |
Air Canada, 3.88%, 08/15/26(b)(h) |  |  |  |  | 464 |  |  |  | 430,060 |
Allegiant Travel Co., 7.25%, 08/15/27(b) |  |  |  |  | 113 |  |  |  | 112,583 |
American Airlines, Inc.(b) |  |  |  |  |  |  |  |  |  |
11.75%, 07/15/25(h) |  |  |  |  | 955 |  |  |  | 1,047,184 |
7.25%, 02/15/28 |  |  |  |  | 84 |  |  |  | 83,500 |
American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b) |  |  |  |  |  |  |  |  |  |
5.50%, 04/20/26 |  |  |  |  | 288 |  |  |  | 285,475 |
5.75%, 04/20/29 |  |  |  |  | 1,085 |  |  |  | 1,053,435 |
Avianca Midco 2 PLC, 9.00%, 12/01/28(b) |  |  |  |  | 152 |  |  |  | 126,447 |
Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b)(h) |  |  |  |  | 205 |  |  |  | 194,040 |
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(b)(h) |  |  |  |  | 857 |  |  |  | 858,595 |
Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(b) |  |  |  |  | 256 |  |  |  | 257,914 |
United Airlines Pass-Through Trust(h) |  |  |  |  |  |  |  |  |  |
Series 2020-1, Class A, 5.88%, 04/15/29 |  |  |  |  | 505 |  |  |  | 500,896 |

Security |  |  |  | Par (000) |  |  | Value |
Passenger Airlines (continued) |  |  |  |  |  |  |  |
United Airlines Pass-Through Trust(h) (continued) |  |  |  |  |
Series 2020-1, Class B, 4.88%, 07/15/27 |  | USD |  |  | 34 |  |  | $ | 32,690 |
United Airlines, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.38%, 04/15/26 |  |  |  |  | 514 |  |  |  | 488,354 |
4.63%, 04/15/29(h) |  |  |  |  | 690 |  |  |  | 628,706 |
VistaJet Malta Finance PLC/Vista Management Holding, Inc., 7.88%, 05/01/27(b) |  |  |  |  | 127 |  |  |  | 114,103 |
|  |  |  |  |  |  |  |  | 6,367,212 |
Pharmaceuticals — 1.1% |  |  |  |  |  |  |  |
AbbVie, Inc., 4.25%, 11/14/28(h) |  |  |  |  | 1,000 |  |  |  | 969,962 |
Bayer AG, (5-year EUR Swap + 3.75%), 4.50%, 03/25/82(a)(e) |  | EUR |  |  | 100 |  |  |  | 102,901 |
Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(e) |  |  |  |  | 100 |  |  |  | 99,785 |
CVS Health Corp., 3.75%, 04/01/30(h) |  | USD |  |  | 1,000 |  |  |  | 917,277 |
Gruenenthal GmbH, 4.13%, 05/15/28(e) |  | EUR |  |  | 100 |  |  |  | 100,970 |
Jazz Securities DAC, 4.38%, 01/15/29(b)(h) |  | USD |  |  | 200 |  |  |  | 178,438 |
Option Care Health, Inc., 4.38%, 10/31/29(b)(h) |  |  |  |  | 245 |  |  |  | 215,639 |
Organon & Co./Organon Foreign Debt Co-Issuer BV(b)(h) |  |  |  |  |  |  |  |  |  |
4.13%, 04/30/28 |  |  |  |  | 428 |  |  |  | 379,863 |
5.13%, 04/30/31 |  |  |  |  | 398 |  |  |  | 328,360 |
PRA Health Sciences, Inc., 2.88%, 07/15/26(b)(h) |  |  |  |  | 484 |  |  |  | 438,230 |
Teva Pharmaceutical Finance Netherlands II BV, 7.38%, 09/15/29 |  | EUR |  |  | 100 |  |  |  | 111,327 |
Teva Pharmaceutical Finance Netherlands III BV(h) |  |  |  |  |  |  |  |  |  |
3.15%, 10/01/26 |  | USD |  |  | 570 |  |  |  | 507,656 |
4.75%, 05/09/27 |  |  |  |  | 400 |  |  |  | 367,554 |
7.88%, 09/15/29 |  |  |  |  | 200 |  |  |  | 205,218 |
8.13%, 09/15/31 |  |  |  |  | 200 |  |  |  | 208,350 |
|  |  |  |  |  |  |  |  | 5,131,530 |
Real Estate — 0.0% |  |  |  |  |  |  |  |
VICI Properties LP/VICI Note Co., Inc., 4.50%, 01/15/28(b) |  |  |  |  | 98 |  |  |  | 90,042 |
Real Estate Management & Development — 0.5% |  |  |  |
Agps Bondco PLC, 5.50%, 11/13/26(e)(f)(i) |  | EUR |  |  | 100 |  |  |  | 41,466 |
CIFI Holdings Group Co. Ltd., 6.00%, 07/16/25(e)(f)(i) |  | USD |  |  | 200 |  |  |  | 21,500 |
Country Garden Holdings Co. Ltd., 6.50%, 04/08/24(e)(h) |  |  |  |  | 200 |  |  |  | 117,528 |
Easy Tactic Ltd., (6.50% Cash or 7.50% PIK), 7.50%, 07/11/27(k) |  |  |  |  | 218 |  |  |  | 16,440 |
Fantasia Holdings Group Co. Ltd.(e)(f)(i) |  |  |  |  |  |  |  |  |  |
11.75%, 04/17/22 |  |  |  |  | 400 |  |  |  | 24,000 |
11.88%, 06/01/23 |  |  |  |  | 200 |  |  |  | 12,000 |
9.25%, 07/28/23 |  |  |  |  | 200 |  |  |  | 12,000 |
9.88%, 10/19/23 |  |  |  |  | 200 |  |  |  | 12,000 |
Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b) |  |  |  |  | 100 |  |  |  | 97,651 |
Howard Hughes Corp.(b) |  |  |  |  |  |  |  |  |  |
5.38%, 08/01/28 |  |  |  |  | 65 |  |  |  | 57,855 |
4.13%, 02/01/29 |  |  |  |  | 149 |  |  |  | 123,259 |
4.38%, 02/01/31 |  |  |  |  | 100 |  |  |  | 79,804 |
Jingrui Holdings Ltd., 12.00%, 07/25/22(e)(f)(i) |  |  |  |  | 200 |  |  |  | 12,157 |
Modern Land China Co. Ltd.(e)(f)(i)(k) |  |  |  |  |  |  |  |  |  |
(2.00% Cash or 2.00% PIK), 7.00%, 12/30/23 |  |  |  |  | 162 |  |  |  | 8,907 |
(9.00% Cash or 9.00% PIK), 9.00%, 12/30/27 |  |  |  |  | 324 |  |  |  | 17,815 |
Realogy Group LLC/Realogy Co.-Issuer Corp.(b) |  |  |  |  |  |  |  |  |  |
5.75%, 01/15/29 |  |  |  |  | 456 |  |  |  | 341,185 |
5.25%, 04/15/30 |  |  |  |  | 135 |  |  |  | 95,942 |

80 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Real Estate Management & Development (continued) |  |  |  |
Ronshine China Holdings Ltd., 6.75%, 08/05/24(e)(f)(i) |  | USD |  |  | 200 |  |  | $ | 9,000 |
Sinic Holdings Group Co. Ltd., 10.50%, 12/31/79(e)(f)(i) |  |  |  |  | 200 |  |  |  | 2,000 |
Theta Capital Pte. Ltd., 8.13%, 01/22/25(e) |  |  |  |  | 200 |  |  |  | 166,246 |
VICI Properties LP, 5.13%, 05/15/32(h) |  |  |  |  | 851 |  |  |  | 796,233 |
Yanlord Land HK Co. Ltd., 6.80%, 02/27/24(e)(h) |  |  |  |  | 200 |  |  |  | 194,000 |
Yuzhou Group Holdings Co. Ltd.(e)(f)(i) |  |  |  |  |  |  |  |  |  |
7.70%, 02/20/25 |  |  |  |  | 200 |  |  |  | 11,000 |
8.30%, 05/27/25 |  |  |  |  | 200 |  |  |  | 11,000 |
|  |  |  |  |  |  |  |  | 2,280,988 |
Semiconductors & Semiconductor Equipment — 0.9% |  |  |  |
Broadcom, Inc., 4.11%, 09/15/28(h) |  |  |  |  | 1,594 |  |  |  | 1,505,992 |
NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25 |  |  |  |  | 33 |  |  |  | 31,302 |
QUALCOMM, Inc., 1.65%, 05/20/32(h) |  |  |  |  | 1,779 |  |  |  | 1,403,902 |
Sensata Technologies BV(b) |  |  |  |  |  |  |  |  |  |
5.63%, 11/01/24 |  |  |  |  | 229 |  |  |  | 227,272 |
5.00%, 10/01/25 |  |  |  |  | 324 |  |  |  | 317,204 |
4.00%, 04/15/29 |  |  |  |  | 168 |  |  |  | 149,568 |
5.88%, 09/01/30 |  |  |  |  | 237 |  |  |  | 230,432 |
Sensata Technologies, Inc.(b) |  |  |  |  |  |  |  |  |  |
4.38%, 02/15/30(h) |  |  |  |  | 584 |  |  |  | 522,240 |
3.75%, 02/15/31 |  |  |  |  | 34 |  |  |  | 29,087 |
Synaptics, Inc., 4.00%, 06/15/29(b)(h) |  |  |  |  | 172 |  |  |  | 144,199 |
|  |  |  |  |  |  |  |  | 4,561,198 |
Software — 2.4% |  |  |  |  |  |  |  |
ACI Worldwide, Inc., 5.75%, 08/15/26(b)(h) |  |  |  |  | 444 |  |  |  | 432,900 |
Alteryx, Inc., 8.75%, 03/15/28(b)(h) |  |  |  |  | 244 |  |  |  | 239,678 |
Black Knight InfoServ LLC, 3.63%, 09/01/28(b)(h) |  |  |  |  | 386 |  |  |  | 345,470 |
Boxer Parent Co., Inc. |  |  |  |  |  |  |  |  |  |
6.50%, 10/02/25(e) |  | EUR |  |  | 100 |  |  |  | 107,610 |
7.13%, 10/02/25(b)(h) |  | USD |  |  | 398 |  |  |  | 398,352 |
9.13%, 03/01/26(b)(h) |  |  |  |  | 696 |  |  |  | 692,520 |
Capstone Borrower, Inc., 8.00%, 06/15/30(b) |  |  |  |  | 304 |  |  |  | 300,203 |
Central Parent, Inc./CDK Global, Inc., 7.25%, 06/15/29(b)(h) |  |  |  |  | 517 |  |  |  | 511,205 |
Cloud Software Group, Inc.(b)(h) |  |  |  |  |  |  |  |  |  |
6.50%, 03/31/29 |  |  |  |  | 3,405 |  |  |  | 3,031,747 |
9.00%, 09/30/29 |  |  |  |  | 1,874 |  |  |  | 1,636,816 |
Consensus Cloud Solutions, Inc.(b) |  |  |  |  |  |  |  |  |  |
6.00%, 10/15/26 |  |  |  |  | 71 |  |  |  | 64,432 |
6.50%, 10/15/28 |  |  |  |  | 64 |  |  |  | 54,720 |
Crowdstrike Holdings, Inc., 3.00%, 02/15/29 |  |  |  |  | 41 |  |  |  | 35,356 |
Elastic NV, 4.13%, 07/15/29(b)(h) |  |  |  |  | 376 |  |  |  | 324,366 |
Helios Software Holdings, Inc./ION Corporate Solutions Finance SARL, 4.63%, 05/01/28(b) |  |  |  |  | 200 |  |  |  | 170,000 |
Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b)(h) |  |  |  |  | 169 |  |  |  | 145,885 |
MicroStrategy, Inc., 6.13%, 06/15/28(b)(h) |  |  |  |  | 451 |  |  |  | 404,364 |
Open Text Corp., 6.90%, 12/01/27(b)(h) |  |  |  |  | 871 |  |  |  | 886,704 |
Oracle Corp., 3.60%, 04/01/50(h) |  |  |  |  | 785 |  |  |  | 560,929 |

Security |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |
SS&C Technologies, Inc., 5.50%, 09/30/27(b)(h) |  | USD |  |  | 1,017 |  |  | $ | 973,602 |
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(b)(h) |  |  |  |  | 609 |  |  |  | 494,152 |
|  |  |  |  |  |  |  |  | 11,811,011 |
Specialized REITs(b) — 0.2% |  |  |  |  |  |  |  |
Iron Mountain, Inc., 7.00%, 02/15/29 |  |  |  |  | 601 |  |  |  | 602,011 |
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 10.50%, 02/15/28(h) |  |  |  |  | 480 |  |  |  | 476,190 |
|  |  |  |  |  |  |  |  | 1,078,201 |
Specialty Retail(b) — 0.3% |  |  |  |  |  |  |  |
Arko Corp., 5.13%, 11/15/29(h) |  |  |  |  | 181 |  |  |  | 147,093 |
PetSmart, Inc./PetSmart Finance Corp. |  |  |  |  |  |  |  |  |  |
4.75%, 02/15/28 |  |  |  |  | 343 |  |  |  | 316,971 |
7.75%, 02/15/29(h) |  |  |  |  | 587 |  |  |  | 583,230 |
Staples, Inc., 7.50%, 04/15/26 |  |  |  |  | 214 |  |  |  | 176,746 |
|  |  |  |  |  |  |  |  | 1,224,040 |
Technology Hardware, Storage & Peripherals(b) — 0.3% |
Coherent Corp., 5.00%, 12/15/29(h) |  |  |  |  | 422 |  |  |  | 380,901 |
Seagate HDD Cayman |  |  |  |  |  |  |  |  |  |
8.25%, 12/15/29 |  |  |  |  | 359 |  |  |  | 374,965 |
8.50%, 07/15/31 |  |  |  |  | 455 |  |  |  | 477,154 |
|  |  |  |  |  |  |  |  | 1,233,020 |
Textiles, Apparel & Luxury Goods(b) — 0.1% |
Crocs, Inc., 4.25%, 03/15/29 |  |  |  |  | 25 |  |  |  | 21,255 |
Hanesbrands, Inc. |  |  |  |  |  |  |  |  |  |
4.88%, 05/15/26 |  |  |  |  | 95 |  |  |  | 88,686 |
9.00%, 02/15/31(h) |  |  |  |  | 283 |  |  |  | 285,226 |
Kontoor Brands, Inc., 4.13%, 11/15/29 |  |  |  |  | 98 |  |  |  | 81,834 |
Levi Strauss & Co., 3.50%, 03/01/31 |  |  |  |  | 16 |  |  |  | 13,240 |
William Carter Co., 5.63%, 03/15/27 |  |  |  |  | 160 |  |  |  | 155,252 |
|  |  |  |  |  |  |  |  | 645,493 |
Transportation Infrastructure — 0.2% |
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b) |  |  |  |  | 200 |  |  |  | 192,478 |
Azzurra Aeroporti SpA(e) |  |  |  |  |  |  |  |  |  |
2.13%, 05/30/24 |  | EUR |  |  | 100 |  |  |  | 105,507 |
2.63%, 05/30/27 |  |  |  |  | 100 |  |  |  | 97,778 |
GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(e) |  | USD |  |  | 200 |  |  |  | 176,988 |
Heathrow Finance PLC, 4.13%, 09/01/29(c)(e) |  | GBP |  |  | 100 |  |  |  | 102,711 |
Transurban Finance Co. Pty. Ltd., 4.13%, 02/02/26(b)(h) |  | USD |  |  | 435 |  |  |  | 418,440 |
XPO Escrow Sub LLC, 7.50%, 11/15/27(b)(h) |  |  |  |  | 85 |  |  |  | 86,856 |
|  |  |  |  |  |  |  |  | 1,180,758 |
Wireless Telecommunication Services — 1.0% |
Altice France SA/France |  |  |  |  |  |  |  |  |  |
5.88%, 02/01/27(e) |  | EUR |  |  | 100 |  |  |  | 90,570 |
8.13%, 02/01/27(b)(h) |  | USD |  |  | 507 |  |  |  | 439,022 |
5.50%, 01/15/28(b)(h) |  |  |  |  | 381 |  |  |  | 287,696 |
5.13%, 07/15/29(b)(h) |  |  |  |  | 702 |  |  |  | 498,331 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Wireless Telecommunication Services (continued) |  |  |  |
Altice France SA/France (continued) 5.50%, 10/15/29(b)(h) |  | USD |  |  | 372 |  |  | $ | 266,033 |
Kenbourne Invest SA, 6.88%, 11/26/24(b) |  |  |  |  | 275 |  |  |  | 238,694 |
Rogers Communications, Inc., 5.00%, 03/15/44(h) |  |  |  |  | 545 |  |  |  | 479,213 |
SBA Communications Corp., 3.13%, 02/01/29(h) |  |  |  |  | 721 |  |  |  | 611,159 |
VICI Properties LP/VICI Note Co., Inc.(b) |  |  |  |  |  |  |  |  |  |
5.63%, 05/01/24 |  |  |  |  | 54 |  |  |  | 53,667 |
3.50%, 02/15/25 |  |  |  |  | 108 |  |  |  | 103,194 |
4.63%, 06/15/25 |  |  |  |  | 75 |  |  |  | 72,468 |
4.25%, 12/01/26 |  |  |  |  | 104 |  |  |  | 97,290 |
4.63%, 12/01/29(h) |  |  |  |  | 414 |  |  |  | 375,858 |
4.13%, 08/15/30(h) |  |  |  |  | 378 |  |  |  | 332,803 |
Vmed O2 U.K. Financing I PLC |  |  |  |  |  |  |  |  |  |
4.00%, 01/31/29(e) |  | GBP |  |  | 100 |  |  |  | 100,381 |
4.50%, 07/15/31(e) |  |  |  |  | 100 |  |  |  | 96,026 |
4.75%, 07/15/31(b)(h) |  | USD |  |  | 597 |  |  |  | 496,405 |
|  |  |  |  |  |  |  |  | 4,638,810 |
Total Corporate Bonds — 71.9% (Cost: $375,900,421) |  |  |  |  |  |  |  |  | 350,373,271 |
Floating Rate Loan Interests(a) |  |  |  |  |
Aerospace & Defense — 1.6% |  |  |  |  |  |  |  |
Atlas CC Acquisition Corp. |  |  |  |  |  |  |  |  |  |
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 |  |  |  |  | 1,459 |  |  |  | 1,263,028 |
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.78%, 05/25/28 |  |  |  |  | 297 |  |  |  | 256,964 |
Bleriot U.S. Bidco, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.50%, 10/31/26 |  |  |  |  | 282 |  |  |  | 281,557 |
Cobham Ultra SeniorCo SARL, USD Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.56%, 08/03/29 |  |  |  |  | 154 |  |  |  | 150,811 |
Dynasty Acquisition Co., Inc. |  |  |  |  |  |  |  |  |  |
2020 CAD Term Loan B2, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 |  |  |  |  | 594 |  |  |  | 588,455 |
2020 Term Loan B1, (1-mo. CME Term SOFR + 3.50%), 8.70%, 04/06/26 |  |  |  |  | 1,105 |  |  |  | 1,094,645 |
Peraton Corp. |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.75%), 12.98%, 02/01/29 |  |  |  |  | 455 |  |  |  | 440,270 |
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/01/28 |  |  |  |  | 1,844 |  |  |  | 1,807,741 |
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. LIBOR US + 2.00%), 7.54%, 11/05/28 |  |  |  |  | 591 |  |  |  | 590,368 |
TransDigm, Inc., 2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.49%, 08/24/28 |  |  |  |  | 1,091 |  |  |  | 1,090,083 |
|  |  |  |  |  |  |  |  | 7,563,922 |
Automobile Components — 0.3% |  |  |  |  |  |  |  |
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 04/10/28 |  |  |  |  | 216 |  |  |  | 215,814 |
Clarios Global LP, 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.85%, 05/06/30 |  |  |  |  | 1,221 |  |  |  | 1,216,800 |
|  |  |  |  |  |  |  |  | 1,432,614 |

Security |  |  |  | Par (000) |  |  | Value |
Automobiles — 0.2% |  |  |  |  |  |  |  |
Dealer Tire Financial LLC, Term Loan B2, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 12/14/27 |  | USD |  |  | 825 |  |  | $ | 821,268 |
Beverages — 0.6% |
Naked Juice LLC |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.34%, 01/24/30 |  |  |  |  | 861 |  |  |  | 678,088 |
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.59%, 01/24/29 |  |  |  |  | 2,208 |  |  |  | 2,049,413 |
|  |  |  |  |  |  |  |  | 2,727,501 |
Broadline Retail — 0.8% |
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/24/28 |  |  |  |  | 761 |  |  |  | 758,364 |
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 5.96%, 06/30/27(k) |  |  |  |  | 1,238 |  |  |  | 1,068,722 |
PUG LLC |  |  |  |  |  |  |  |  |  |
2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.45%, 02/12/27(d) |  |  |  |  | 110 |  |  |  | 99,036 |
USD Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 1,880 |  |  |  | 1,666,377 |
Sally Holdings LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.60%, 02/28/30(d) |  |  |  |  | 290 |  |  |  | 289,910 |
Woof Holdings, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 12/21/27(d) |  |  |  |  | 225 |  |  |  | 219,766 |
|  |  |  |  |  |  |  |  | 4,102,175 |
Building Products — 0.7% |
AZZ, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.41%, 05/13/29 |  |  |  |  | 109 |  |  |  | 109,331 |
Cornerstone Building Brands, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.50%, 04/12/28 |  |  |  |  | 76 |  |  |  | 72,273 |
CP Atlas Buyer, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 11/23/27 |  |  |  |  | 796 |  |  |  | 747,686 |
CPG International LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.70%, 04/28/29 |  |  |  |  | 357 |  |  |  | 355,363 |
IPS Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/02/28 |  |  |  |  | 257 |  |  |  | 237,240 |
Jeld-Wen, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 07/28/28 |  |  |  |  | 333 |  |  |  | 330,272 |
Wilsonart LLC, 2021 Term Loan E, (6-mo. LIBOR US at 1.00% Floor + 3.50%), 8.71%, 12/31/26 |  |  |  |  | 1,459 |  |  |  | 1,435,151 |
|  |  |  |  |  |  |  |  | 3,287,316 |
Capital Markets — 1.4% |
Advisor Group, Inc., 2021 Term Loan, (1-mo. LIBOR US + 4.50%), 9.69%, 07/31/26 |  |  |  |  | 910 |  |  |  | 910,179 |
Ascensus Holdings, Inc. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 6.50%), 11.69%, 08/02/29 |  |  |  |  | 380 |  |  |  | 337,860 |
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 08/02/28 |  |  |  |  | 1,494 |  |  |  | 1,467,209 |

82 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Capital Markets (continued) |
Axalta Coating Systems U.S. Holdings, Inc., 2022 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.24%, 12/20/29 |  | USD |  |  | 533 |  |  | $ | 533,872 |
Azalea Topco, Inc., Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 07/24/26 |  |  |  |  | 803 |  |  |  | 778,597 |
Castlelake Aviation Ltd., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.30%, 10/22/26 |  |  |  |  | 754 |  |  |  | 749,183 |
Castlelake Aviation One DAC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.00%, 10/22/27 |  |  |  |  | 322 |  |  |  | 320,501 |
Focus Financial Partners LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 06/30/28 |  |  |  |  | 622 |  |  |  | 613,662 |
2023 Term Loan B6, 06/30/28(n) |  |  |  |  | 402 |  |  |  | 399,085 |
Greenhill & Co., Inc., Term Loan B, (3-mo. LIBOR US + 3.25%), 8.73%, 04/12/24 |  |  |  |  | 220 |  |  |  | 219,995 |
ION Trading Finance Ltd., 2021 USD Term Loan, (3-mo. LIBOR US + 4.75%), 10.09%, 04/03/28 |  |  |  |  | 297 |  |  |  | 290,683 |
Press Ganey Holdings, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 07/24/26 |  |  |  |  | 268 |  |  |  | 258,511 |
|  |  |  |  |  |  |  |  | 6,879,337 |
Chemicals — 2.3% |
Arc Falcon I, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 09/30/28 |  |  |  |  | 585 |  |  |  | 544,983 |
Aruba Investments Holdings LLC, 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.20%, 11/24/27 |  |  |  |  | 333 |  |  |  | 321,133 |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 9.99%, 08/27/26 |  |  |  |  | 1,025 |  |  |  | 1,002,728 |
CPC Acquisition Corp., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 12/29/27 |  |  |  |  | 251 |  |  |  | 189,564 |
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.38%), 9.62%, 10/04/29 |  |  |  |  | 473 |  |  |  | 451,934 |
Element Solutions, Inc., 2019 Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.10%, 01/31/26 |  |  |  |  | 840 |  |  |  | 837,575 |
HB Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 02/15/30 |  |  |  |  | 150 |  |  |  | 150,026 |
Illuminate Buyer LLC, 2021 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 06/30/27 |  |  |  |  | 409 |  |  |  | 405,082 |
INEOS U.S. Finance LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 3.50%), 8.70%, 02/18/30 |  |  |  |  | 298 |  |  |  | 296,030 |
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 3.93%), 9.27%, 07/03/28 |  |  |  |  | 395 |  |  |  | 332,975 |
LSF11 A5 Holdco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 10/15/28 |  |  |  |  | 888 |  |  |  | 875,174 |
Messer Industries GmbH, 2018 USD Term Loan, (3-mo. CME Term SOFR + 2.50%), 8.00%, 03/02/26 |  |  |  |  | 579 |  |  |  | 578,622 |

Security |  |  |  | Par (000) |  |  | Value |
Chemicals (continued) |
Momentive Performance Materials USA LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.60%, 03/29/28 |  | USD |  |  | 973 |  |  | $ | 946,624 |
Nouryon USA LLC, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.32%, 04/03/28 |  |  |  |  | 362 |  |  |  | 358,040 |
Olympus Water U.S. Holding Corp., 2023 Incremental Term Loan, 11/09/28(n) |  |  |  |  | 346 |  |  |  | 333,817 |
OQ Chemicals Corp., 2017 USD Term Loan B2, (1-mo. CME Term SOFR + 3.60%), 8.74%, 10/14/24 |  |  |  |  | 947 |  |  |  | 928,464 |
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.65%, 06/09/28 |  |  |  |  | 663 |  |  |  | 659,831 |
SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 4.00%), 9.19%, 03/16/27 |  |  |  |  | 428 |  |  |  | 421,123 |
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.54%, 08/02/28 |  |  |  |  | 797 |  |  |  | 789,985 |
Starfruit Finco BV, 2018 USD Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.07%, 10/01/25 |  |  |  |  | 90 |  |  |  | 89,766 |
W.R. Grace Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.75%), 9.31%, 09/22/28 |  |  |  |  | 448 |  |  |  | 443,834 |
|  |  |  |  |  |  |  |  | 10,957,310 |
Commercial Services & Supplies — 2.2% |
Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 05/12/28 |  |  |  |  | 1,584 |  |  |  | 1,537,326 |
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.15%, 02/15/29(d) |  |  |  |  | 325 |  |  |  | 316,602 |
Aramark Services, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.72%, 04/06/28 |  |  |  |  | 383 |  |  |  | 382,229 |
2023 Term Loan B6, 06/22/30(d)(n) |  |  |  |  | 516 |  |  |  | 515,094 |
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.95%, 09/07/27 |  |  |  |  | 1,044 |  |  |  | 1,041,021 |
Clean Harbors, Inc., 2021 Incremental Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 10/08/28 |  |  |  |  | 419 |  |  |  | 418,981 |
Covanta Holding Corp. |  |  |  |  |  |  |  |  |  |
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 |  |  |  |  | 36 |  |  |  | 36,116 |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.60%, 11/30/28 |  |  |  |  | 481 |  |  |  | 476,128 |
EnergySolutions LLC, 2018 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.75%), 9.29%, 05/09/25 |  |  |  |  | 162 |  |  |  | 158,834 |
GFL Environmental, Inc., 2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.15%, 05/28/27 |  |  |  |  | 345 |  |  |  | 344,817 |
LABL, Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.20%, 10/29/28 |  |  |  |  | 605 |  |  |  | 598,053 |
PECF USS Intermediate Holding III Corp., Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.25%), 9.52%, 12/15/28 |  |  |  |  | 530 |  |  |  | 431,659 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Commercial Services & Supplies (continued) |
Prime Security Services Borrower LLC, 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 2.75%), 7.94%, 09/23/26 |  | USD |  |  | 755 |  |  | $ | 753,997 |
Tempo Acquisition LLC, 2022 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.10%, 08/31/28 |  |  |  |  | 2,272 |  |  |  | 2,272,108 |
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.20%, 11/02/27 |  |  |  |  | 973 |  |  |  | 893,769 |
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR + 5.00%), 10.22%, 07/30/28 |  |  |  |  | 549 |  |  |  | 532,295 |
|  |  |  |  |  |  |  |  | 10,709,029 |
Communications Equipment — 0.1% |  |  |  |
Ciena Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.59%, 01/18/30 |  |  |  |  | 113 |  |  |  | 112,718 |
ViaSat, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.60%, 03/02/29 |  |  |  |  | 478 |  |  |  | 461,317 |
|  |  |  |  |  |  |  |  | 574,035 |
Construction & Engineering — 0.4% |  |  |  |
Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (1-mo. LIBOR US at 1.00% Floor + 4.25%), 9.41%, 06/21/24 |  |  |  |  | 649 |  |  |  | 641,062 |
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/21/28 |  |  |  |  | 424 |  |  |  | 421,883 |
USIC Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 05/12/28 |  |  |  |  | 703 |  |  |  | 664,570 |
|  |  |  |  |  |  |  |  | 1,727,515 |
Construction Materials — 0.5% |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.20%, 01/15/27 |  |  |  |  | 765 |  |  |  | 761,636 |
New AMI I LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.10%, 03/08/29 |  |  |  |  | 392 |  |  |  | 328,988 |
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 04/29/29 |  |  |  |  | 493 |  |  |  | 481,350 |
Standard Industries, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 09/22/28 |  |  |  |  | 665 |  |  |  | 664,341 |
|  |  |  |  |  |  |  |  | 2,236,315 |
Consumer Finance — 0.0% |  |  |  |  |  |  |  |
Credo Technology Group Holding Ltd., Term Loan B, (Defaulted), 0.00%, 02/17/24(d)(f)(i) |  |  |  |  | 24 |  |  |  | 3,185 |
Consumer Staples Distribution & Retail — 0.2% |  |  |  |
U.S. Foods, Inc. |  |  |  |  |  |  |  |  |  |
2019 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.22%, 09/13/26 |  |  |  |  | 618 |  |  |  | 616,876 |
2021 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 11/22/28 |  |  |  |  | 376 |  |  |  | 376,013 |
|  |  |  |  |  |  |  |  | 992,889 |
Containers & Packaging — 0.6% |  |  |  |  |  |  |  |
Charter Next Generation, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 12/01/27 |  |  |  |  | 1,619 |  |  |  | 1,605,254 |
Mauser Packaging Solutions Holding Co., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.16%, 08/14/26 |  |  |  |  | 507 |  |  |  | 504,957 |

Security |  |  |  | Par (000) |  |  | Value |
Containers & Packaging (continued) |
Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 07/31/26 |  | USD |  |  | 135 |  |  | $ | 133,684 |
Reynolds Consumer Products LLC, Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 02/04/27 |  |  |  |  | 137 |  |  |  | 136,739 |
Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.47%, 02/05/26 |  |  |  |  | 193 |  |  |  | 192,718 |
Trident TPI Holdings, Inc., 2021 Incremental Term Loan, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 09/15/28 |  |  |  |  | 514 |  |  |  | 504,650 |
|  |  |  |  |  |  |  |  | 3,078,002 |
Distributors — 0.1% |  |  |  |  |  |  |  |
PAI Holdco, Inc., 2020 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.02%, 10/28/27 |  |  |  |  | 670 |  |  |  | 619,680 |
Diversified Consumer Services — 1.4% |  |  |  |
Ascend Learning LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.75%), 10.95%, 12/10/29 |  |  |  |  | 299 |  |  |  | 252,903 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/11/28 |  |  |  |  | 864 |  |  |  | 810,714 |
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 11/24/28 |  |  |  |  | 751 |  |  |  | 747,876 |
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.24%, 06/12/30 |  |  |  |  | 682 |  |  |  | 674,328 |
Sotheby’s, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.50%), 9.76%, 01/15/27 |  |  |  |  | 1,201 |  |  |  | 1,169,063 |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3-mo. LIBOR US + 4.00%), 9.54%, 07/30/25 |  |  |  |  | 307 |  |  |  | 303,686 |
Veritas U.S., Inc., 2021 USD Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 5.00%), 10.22%, 09/01/25 |  |  |  |  | 1,370 |  |  |  | 1,114,534 |
Wand NewCo 3, Inc., 2020 Term Loan, (1-mo. LIBOR US + 2.75%), 7.41%, 02/05/26 |  |  |  |  | 1,225 |  |  |  | 1,212,714 |
WCG Intermediate Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.00%), 9.22%, 01/08/27 |  |  |  |  | 629 |  |  |  | 615,440 |
|  |  |  |  |  |  |  |  | 6,901,258 |
Diversified REITs — 0.1% |  |  |  |  |  |  |  |
RHP Hotel Properties, LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.85%, 05/18/30 |  |  |  |  | 422 |  |  |  | 421,326 |
Diversified Telecommunication Services — 2.2% |  |  |  |
Altice Financing SA |  |  |  |  |  |  |  |  |  |
2017 USD Term Loan B, (3-mo. LIBOR US + 2.75%), 8.01%, 07/15/25(d) |  |  |  |  | 434 |  |  |  | 424,982 |
USD 2017 1st Lien Term Loan, (3-mo. LIBOR US + 2.75%), 8.01%, 01/31/26 |  |  |  |  | 522 |  |  |  | 512,291 |
Connect Finco SARL, 2021 Term Loan B, (1-mo. LIBOR US + 3.50%), 8.70%, 12/11/26 |  |  |  |  | 3,070 |  |  |  | 3,065,087 |
Consolidated Communications, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.72%, 10/02/27 |  |  |  |  | 349 |  |  |  | 307,376 |

84 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Diversified Telecommunication Services (continued) |  |  |  |
Iridium Satellite LLC, 2021 Term Loan B2, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 11/04/26 |  | USD |  |  | 676 |  |  | $ | 676,147 |
Level 3 Financing, Inc., 2019 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 03/01/27 |  |  |  |  | 889 |  |  |  | 826,027 |
Lumen Technologies, Inc., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/15/27 |  |  |  |  | 994 |  |  |  | 763,068 |
Orbcomm, Inc., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 4.25%), 9.58%, 09/01/28 |  |  |  |  | 384 |  |  |  | 307,158 |
Radiate Holdco LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 09/25/26 |  |  |  |  | 1,445 |  |  |  | 1,201,606 |
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. LIBOR US + 3.25%), 8.44%, 01/31/29 |  |  |  |  | 607 |  |  |  | 603,746 |
Zayo Group Holdings, Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.22%, 03/09/27 |  |  |  |  | 2,342 |  |  |  | 1,832,764 |
|  |  |  |  |  |  |  |  | 10,520,252 |
Electric Utilities — 0.2% |  |  |  |  |  |  |  |
Calpine Construction Finance Co. LP, 2017 Term Loan B, (1-mo. LIBOR US + 2.00%), 7.19%, 01/15/25 |  |  |  |  | 869 |  |  |  | 867,993 |
Electrical Equipment — 0.1% |  |  |  |  |  |  |  |
Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.25%, 06/23/28(d) |  |  |  |  | 625 |  |  |  | 607,686 |
Electronic Equipment, Instruments & Components — 0.1% |
Coherent Corp., 2022 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 07/02/29 |  |  |  |  | 607 |  |  |  | 604,548 |
Energy Equipment & Services — 0.3% |  |  |  |
Lealand Finance Co. BV |  |  |  |  |  |  |  |  |  |
2020 Make Whole Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.22%, 06/28/24 |  |  |  |  | 16 |  |  |  | 11,832 |
2020 Take Back Term Loan, (1-mo. LIBOR US + 1.00%, 3.00% PIK), 6.19%, 06/30/25(k) |  |  |  |  | 117 |  |  |  | 65,694 |
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.54%, 10/05/28 |  |  |  |  | 1,479 |  |  |  | 1,474,267 |
|  |  |  |  |  |  |  |  | 1,551,793 |
Entertainment — 2.3% |  |  |  |  |  |  |  |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.00%), 8.22%, 04/22/26 |  |  |  |  | 663 |  |  |  | 516,470 |
Aristocrat Technologies, Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.59%, 05/24/29 |  |  |  |  | 46 |  |  |  | 45,614 |
Cirque Du Soleil Holding USA Newco, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 03/08/30 |  |  |  |  | 484 |  |  |  | 479,254 |
City Football Group Ltd., Term Loan, (3-mo. LIBOR US at 0.50% Floor + 3.00%), 8.27%, 07/21/28 |  |  |  |  | 931 |  |  |  | 912,535 |
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.60%, 11/27/28 |  |  |  |  | 733 |  |  |  | 730,780 |

Security |  |  |  | Par (000) |  |  | Value |
Entertainment (continued) |  |  |  |  |  |  |  |
Delta 2 Lux SARL, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.10%, 01/15/30 |  | USD |  |  | 609 |  |  | $ | 608,695 |
Equinox Holdings, Inc., 2017 1st Lien Term Loan, (6-mo. LIBOR US at 1.00% Floor + 3.00%), 8.73%, 03/08/24 |  |  |  |  | 2,184 |  |  |  | 2,022,814 |
Live Nation Entertainment, Inc., Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.93%, 10/17/26 |  |  |  |  | 1,067 |  |  |  | 1,063,688 |
Playtika Holding Corp., 2021 Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 03/13/28 |  |  |  |  | 716 |  |  |  | 711,979 |
SMG U.S. Midco 2, Inc., 2020 Term Loan, (3-mo. LIBOR US + 2.50%), 7.77%, 01/23/25 |  |  |  |  | 523 |  |  |  | 521,658 |
UFC Holdings LLC, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.05%, 04/29/26 |  |  |  |  | 589 |  |  |  | 588,204 |
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.95%, 05/18/25 |  |  |  |  | 1,587 |  |  |  | 1,581,226 |
WMG Acquisition Corp., 2021 Term Loan G, (1-mo. CME Term SOFR + 2.13%), 7.33%, 01/20/28 |  |  |  |  | 1,432 |  |  |  | 1,426,600 |
|  |  |  |  |  |  |  |  | 11,209,517 |
Financial Services — 2.2% |  |  |  |  |  |  |  |
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 12/21/28 |  |  |  |  | 366 |  |  |  | 364,138 |
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.49%, 08/15/28 |  |  |  |  | 856 |  |  |  | 758,572 |
Belron Finance U.S. LLC |  |  |  |  |  |  |  |  |  |
2018 Term Loan B, (3-mo. LIBOR US + 2.25%), 7.63%, 11/13/25 |  |  |  |  | 178 |  |  |  | 177,555 |
2019 USD Term Loan B3, (3-mo. LIBOR US + 2.25%), 7.56%, 10/30/26 |  |  |  |  | 405 |  |  |  | 404,623 |
2021 USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.43%), 7.80%, 04/13/28 |  |  |  |  | 918 |  |  |  | 916,018 |
Belron Luxembourg SARL, 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.83%, 04/18/29 |  |  |  |  | 220 |  |  |  | 219,864 |
Deerfield Dakota Holding LLC |  |  |  |  |  |  |  |  |  |
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 8.99%, 04/09/27 |  |  |  |  | 2,788 |  |  |  | 2,700,245 |
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 04/07/28 |  |  |  |  | 792 |  |  |  | 733,590 |
LBM Acquisition LLC, Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.94%, 12/17/27 |  |  |  |  | 390 |  |  |  | 373,632 |
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 03/24/25 |  |  |  |  | 1,044 |  |  |  | 1,038,906 |
Sotera Health Holdings LLC, 2021 Term Loan, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 8.02%, 12/11/26 |  |  |  |  | 1,090 |  |  |  | 1,071,836 |
Travelport Finance SARL, 2023 Consented Term Loan, 05/29/26(d)(n) |  |  |  |  | 512 |  |  |  | 316,885 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Financial Services (continued) |  |  |  |  |  |  |  |
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. LIBOR US + 2.93%), 8.12%, 01/31/29 |  | USD |  |  | 341 |  |  | $ | 333,741 |
WEX, Inc., 2021 Term Loan, (1-mo. CME Term SOFR + 2.25%), 7.47%, 03/31/28 |  |  |  |  | 427 |  |  |  | 426,433 |
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 10/19/27 |  |  |  |  | 776 |  |  |  | 767,616 |
|  |  |  |  |  |  |  |  | 10,603,654 |
Food Products — 1.9% |  |  |  |  |  |  |  |
8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/01/25 |  |  |  |  | 647 |  |  |  | 593,111 |
B&G Foods, Inc., 2019 Term Loan B4, (1-mo. LIBOR US + 2.50%), 7.65%, 10/10/26 |  |  |  |  | 134 |  |  |  | 130,563 |
Chobani LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.72%, 10/25/27 |  |  |  |  | 1,884 |  |  |  | 1,871,725 |
Froneri International Ltd., 2020 USD Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.45%, 01/29/27 |  |  |  |  | 1,982 |  |  |  | 1,968,972 |
H-Food Holdings LLC, 2018 Term Loan B, (6-mo. LIBOR US + 3.69%), 9.27%, 05/23/25 |  |  |  |  | 234 |  |  |  | 204,971 |
Hostess Brands LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.75%, 06/21/30 |  |  |  |  | 744 |  |  |  | 743,540 |
Nomad Foods U.S. LLC, 2022 Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.56%, 11/12/29 |  |  |  |  | 426 |  |  |  | 425,557 |
Sovos Brands Intermediate, Inc., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.77%, 06/08/28 |  |  |  |  | 1,097 |  |  |  | 1,082,886 |
Triton Water Holdings, Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor), 5.24%, 03/31/28 |  |  |  |  | 1,118 |  |  |  | 1,079,542 |
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 01/20/28 |  |  |  |  | 1,377 |  |  |  | 1,373,073 |
|  |  |  |  |  |  |  |  | 9,473,940 |
Ground Transportation — 0.3% |  |  |  |  |  |  |  |
AIT Worldwide Logistics Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 4.75%), 9.93%, 04/06/28 |  |  |  |  | 272 |  |  |  | 263,035 |
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.75%), 6.97%, 08/06/27 |  |  |  |  | 286 |  |  |  | 281,813 |
SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 5.50%), 10.76%, 08/04/25 |  |  |  |  | 368 |  |  |  | 329,193 |
Uber Technologies, Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.01%, 03/03/30 |  |  |  |  | 816 |  |  |  | 817,296 |
|  |  |  |  |  |  |  |  | 1,691,337 |
Health Care Equipment & Supplies — 1.0% |  |  |  |
Chariot Buyer LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/03/28. |  |  |  |  | 1,583 |  |  |  | 1,544,820 |
Femur Buyer, Inc., 1st Lien Term Loan, (3-mo. LIBOR US + 4.50%), 10.00%, 03/05/26 |  |  |  |  | 437 |  |  |  | 400,451 |

Security |  |  |  | Par (000) |  |  | Value |
Health Care Equipment & Supplies (continued) |
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 05/04/28 |  | USD |  |  | 282 |  |  | $ | 281,887 |
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 10/23/28 |  |  |  |  | 2,603 |  |  |  | 2,571,624 |
|  |  |  |  |  |  |  |  | 4,798,782 |
Health Care Providers & Services — 1.2% |  |  |  |
CHG Healthcare Services, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.44%, 09/29/28 |  |  |  |  | 462 |  |  |  | 459,120 |
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.46%, 11/08/27 |  |  |  |  | 766 |  |  |  | 762,679 |
Electron BidCo, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 11/01/28 |  |  |  |  | 1,230 |  |  |  | 1,223,623 |
Envision Healthcare Corp. |  |  |  |  |  |  |  |  |  |
2022 First Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 7.88%), 13.27%, 03/31/27 |  |  |  |  | — | (o) |  |  | 218 |
2022 Second Out Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 4.25%), 9.49%, 03/31/27 |  |  |  |  | 607 |  |  |  | 128,385 |
EyeCare Partners LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan, (3-mo. CME Term SOFR + 3.75%), 9.25%, 02/18/27 |  |  |  |  | 850 |  |  |  | 623,004 |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.75%), 12.25%, 11/15/29 |  |  |  |  | 176 |  |  |  | 116,831 |
2021 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 11/15/28 |  |  |  |  | 194 |  |  |  | 138,331 |
MED ParentCo LP, 1st Lien Term Loan, (1-mo. LIBOR US + 4.25%), 9.47%, 08/31/26 |  |  |  |  | 816 |  |  |  | 755,069 |
Medical Solutions Holdings, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 7.00%), 12.36%, 11/01/29 |  |  |  |  | 247 |  |  |  | 218,286 |
Option Care Health, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 10/27/28 |  |  |  |  | 610 |  |  |  | 609,037 |
PetVet Care Centers LLC, 2021 Term Loan B3, (1-mo. LIBOR US at 0.75% Floor + 3.50%), 8.69%, 02/14/25 |  |  |  |  | 21 |  |  |  | 20,003 |
Reverb Buyer, Inc., 2021 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.61%, 11/01/28 |  |  |  |  | 617 |  |  |  | 578,149 |
Surgery Center Holdings, Inc., 2021 Term Loan, (1-mo. LIBOR US at 0.75% Floor + 3.75%), 8.90%, 08/31/26 |  |  |  |  | 279 |  |  |  | 278,911 |
Vizient, Inc., 2022 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.44%, 05/16/29 |  |  |  |  | 126 |  |  |  | 125,539 |
|  |  |  |  |  |  |  |  | 6,037,185 |
Health Care Technology — 1.0% |  |  |  |  |  |  |  |
AthenaHealth Group, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.59%, 02/15/29 |  |  |  |  | 1,593 |  |  |  | 1,531,938 |

86 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Health Care Technology (continued) |
Polaris Newco LLC, USD Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 4.00%), 9.54%, 06/02/28 |  | USD |  |  | 2,189 |  |  | $ | 2,010,469 |
Verscend Holding Corp., 2021 Term Loan B, (1-mo. LIBOR US + 4.00%), 9.22%, 08/27/25 |  |  |  |  | 1,255 |  |  |  | 1,252,980 |
|  |  |  |  |  |  |  |  | 4,795,387 |
Hotels, Restaurants & Leisure — 3.4% |
Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1-mo. LIBOR US + 3.75%), 8.94%, 02/02/26 |  |  |  |  | 868 |  |  |  | 838,701 |
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.95%, 05/31/30(d) |  |  |  |  | 78 |  |  |  | 77,805 |
Bally’s Corp., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.40%, 10/02/28 |  |  |  |  | 297 |  |  |  | 290,144 |
Burger King (Restaurant Brands International, Inc.)/New Red Finance, Inc., Term Loan B4, (1-mo. LIBOR US + 1.75%), 6.94%, 11/19/26 |  |  |  |  | 1,368 |  |  |  | 1,357,569 |
Caesars Entertainment, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 02/06/30 |  |  |  |  | 590 |  |  |  | 588,986 |
Carnival Corp., USD Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.22%, 06/30/25 |  |  |  |  | 1,093 |  |  |  | 1,091,024 |
Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1-mo. CME Term SOFR + 2.00%), 7.20%, 03/17/28 |  |  |  |  | 756 |  |  |  | 748,845 |
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 01/27/29 |  |  |  |  | 2,168 |  |  |  | 2,137,072 |
Flutter Financing BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.75%, 07/22/28 |  |  |  |  | 619 |  |  |  | 619,741 |
Four Seasons Hotels Ltd., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 11/30/29 |  |  |  |  | 1,357 |  |  |  | 1,358,361 |
Hilton Worldwide Finance LLC, 2019 Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 6.94%, 06/22/26 |  |  |  |  | 1,057 |  |  |  | 1,055,756 |
IRB Holding Corp., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 12/15/27 |  |  |  |  | 1,403 |  |  |  | 1,391,940 |
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.44%, 03/09/28 |  |  |  |  | 493 |  |  |  | 340,062 |
Penn Entertainment, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.95%, 05/03/29 |  |  |  |  | 612 |  |  |  | 609,605 |
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.34%, 01/05/29 |  |  |  |  | 225 |  |  |  | 224,049 |
Scientific Games International, Inc., 2022 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.25%, 04/14/29 |  |  |  |  | 611 |  |  |  | 609,533 |
SeaWorld Parks & Entertainment, Inc., 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 08/25/28 |  |  |  |  | 304 |  |  |  | 302,224 |
Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3-mo. CME Term SOFR + 2.25%), 7.75%, 07/21/26 |  |  |  |  | 557 |  |  |  | 556,602 |

Security |  |  |  | Par (000) |  |  | Value |
Hotels, Restaurants & Leisure (continued) |
Station Casinos LLC, 2020 Term Loan B, (1-mo. LIBOR US at 0.25% Floor + 2.25%), 7.45%, 02/08/27 |  | USD |  |  | 1,023 |  |  | $ | 1,018,516 |
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.47%, 08/03/28 |  |  |  |  | 1,241 |  |  |  | 1,231,769 |
Wyndham Hotels & Resorts, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.45%, 05/24/30 |  |  |  |  | 199 |  |  |  | 199,104 |
|  |  |  |  |  |  |  |  | 16,647,408 |
Household Durables — 0.8% |
ACProducts Holdings, Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.75%, 05/17/28 |  |  |  |  | 689 |  |  |  | 577,690 |
Hunter Douglas, Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.67%, 02/26/29 |  |  |  |  | 1,398 |  |  |  | 1,322,726 |
Serta Simmons Bedding LLC, 2023 Take Back Term Loan, 01/28/23(n) |  |  |  |  | 185 |  |  |  | 185,299 |
Sunset Debt Merger Sub, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 10/06/28 |  |  |  |  | 449 |  |  |  | 361,954 |
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 10/30/27 |  |  |  |  | 1,430 |  |  |  | 1,251,713 |
|  |  |  |  |  |  |  |  | 3,699,382 |
Household Products — 0.3% |
Diamond BC BV, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.06%, 09/29/28 |  |  |  |  | 1,361 |  |  |  | 1,359,207 |
Independent Power and Renewable Electricity Producers — 0.2% |
Calpine Corp., 2019 Term Loan B10, (1-mo. LIBOR US + 2.00%), 7.19%, 08/12/26 |  |  |  |  | 283 |  |  |  | 282,332 |
Constellation Renewables LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.50%), 8.03%, 12/15/27 |  |  |  |  | 632 |  |  |  | 627,488 |
|  |  |  |  |  |  |  |  | 909,820 |
Industrial Conglomerates — 0.0% |
Stitch Aquisition Corp., Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 6.75%), 12.29%, 07/28/28 |  |  |  |  | 259 |  |  |  | 191,941 |
Insurance — 2.0% |
Alliant Holdings Intermediate LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.65%, 11/06/27 |  |  |  |  | 2,447 |  |  |  | 2,430,049 |
2023 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.65%, 11/05/27 |  |  |  |  | 1,289 |  |  |  | 1,280,278 |
AmWINS Group, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. LIBOR US at 0.75% Floor + 2.25%), 7.44%, 02/19/28 |  |  |  |  | 1,109 |  |  |  | 1,097,707 |
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.83%, 02/19/28 |  |  |  |  | 224 |  |  |  | 223,083 |
AssuredPartners, Inc. |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 1,083 |  |  |  | 1,073,128 |
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.72%, 02/12/27 |  |  |  |  | 281 |  |  |  | 278,105 |
HUB International Ltd. |  |  |  |  |  |  |  |  |  |
2022 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.07%, 11/10/29 |  |  |  |  | 304 |  |  |  | 304,001 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Insurance (continued) |
HUB International Ltd. (continued) |  |  |  |  |  |  |  |  |  |
2023 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.25%), 9.34%, 06/20/30 |  | USD |  |  | 1,473 |  |  | $ | 1,475,397 |
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.20%, 09/01/27 |  |  |  |  | 647 |  |  |  | 645,269 |
USI, Inc. |  |  |  |  |  |  |  |  |  |
2019 Incremental Term Loan B, (3-mo. LIBOR US + 3.25%), 8.79%, 12/02/26 |  |  |  |  | 82 |  |  |  | 81,913 |
2022 Incremental Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.99%, 11/22/29 |  |  |  |  | 1,088 |  |  |  | 1,085,042 |
|  |  |  |  |  |  |  |  | 9,973,972 |
Interactive Media & Services — 0.8% |
Acuris Finance U.S., Inc., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.39%, 02/16/28 |  |  |  |  | 207 |  |  |  | 203,644 |
Adevinta ASA, USD Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 2.75%), 8.29%, 06/26/28 |  |  |  |  | 562 |  |  |  | 561,757 |
Camelot Finance SA, Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.22%, 10/30/26 |  |  |  |  | 989 |  |  |  | 987,467 |
Camelot U.S. Acquisition LLC, 2020 Incremental Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.22%, 10/30/26 |  |  |  |  | 1,130 |  |  |  | 1,127,195 |
GoodRx, Inc., 1st Lien Term Loan, (1-mo. LIBOR US + 2.75%), 7.94%, 10/10/25 |  |  |  |  | 307 |  |  |  | 306,794 |
Grab Holdings, Inc., Term Loan B, (1-mo. LIBOR US at 1.00% Floor + 4.50%), 9.70%, 01/29/26 |  |  |  |  | 483 |  |  |  | 481,891 |
|  |  |  |  |  |  |  |  | 3,668,748 |
IT Services — 1.5% |
Asurion LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan B8, (3-mo. LIBOR US + 3.25%), 8.79%, 12/23/26 |  |  |  |  | 747 |  |  |  | 718,415 |
2021 2nd Lien Term Loan B3, (1-mo. LIBOR US + 5.25%), 10.51%, 01/31/28 |  |  |  |  | 364 |  |  |  | 308,719 |
2021 Second Lien Term Loan B4, (1-mo. LIBOR US + 5.25%), 10.51%, 01/20/29 |  |  |  |  | 646 |  |  |  | 540,218 |
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.25%), 9.45%, 08/19/28 |  |  |  |  | 469 |  |  |  | 445,434 |
Epicor Software Corp. |  |  |  |  |  |  |  |  |  |
2020 2nd Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 7.75%), 12.95%, 07/31/28 |  |  |  |  | 296 |  |  |  | 295,322 |
2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.47%, 07/30/27 |  |  |  |  | 285 |  |  |  | 281,696 |
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.34%, 10/01/27 |  |  |  |  | 1,312 |  |  |  | 1,290,670 |
Go Daddy Operating Co. LLC |  |  |  |  |  |  |  |  |  |
2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 08/10/27 |  |  |  |  | 819 |  |  |  | 817,100 |
2022 Term Loan B5, (1-mo. CME Term SOFR + 3.00%), 8.10%, 11/09/29 |  |  |  |  | 652 |  |  |  | 652,605 |

Security |  |  |  | Par (000) |  |  | Value |
IT Services (continued) |
Sedgwick Claims Management Services, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 8.85%, 02/17/28 |  | USD |  |  | 1,767 |  |  | $ | 1,754,530 |
Venga Finance SARL, 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.28%, 06/28/29 |  |  |  |  | 261 |  |  |  | 249,756 |
|  |  |  |  |  |  |  |  | 7,354,465 |
Leisure Products — 0.2% |
Fender Musical Instruments Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.19%, 12/01/28(d) |  |  |  |  | 296 |  |  |  | 281,732 |
Peloton Interactive, Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 6.50%), 12.26%, 05/25/27 |  |  |  |  | 308 |  |  |  | 307,068 |
Topgolf Callaway Brands Corp., Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.70%, 03/15/30 |  |  |  |  | 529 |  |  |  | 527,792 |
|  |  |  |  |  |  |  |  | 1,116,592 |
Life Sciences Tools & Services — 1.4% |
Avantor Funding, Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.45%, 11/08/27 |  |  |  |  | 1,031 |  |  |  | 1,030,007 |
Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 02/22/28 |  |  |  |  | 1,032 |  |  |  | 1,007,904 |
Curia Global, Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.90%, 08/30/26 |  |  |  |  | 93 |  |  |  | 79,659 |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.50%), 9.72%, 02/04/27 |  |  |  |  | 631 |  |  |  | 605,743 |
Fortrea Holdings, Inc., Term Loan B, 06/12/30(n) |  |  |  |  | 212 |  |  |  | 211,894 |
ICON Luxembourg SARL, LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 |  |  |  |  | 1,044 |  |  |  | 1,043,332 |
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.03%, 10/19/27 |  |  |  |  | 959 |  |  |  | 958,156 |
Parexel International Corp., 2021 1st Lien Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.25%), 8.35%, 11/15/28 |  |  |  |  | 1,507 |  |  |  | 1,493,226 |
PRA Health Sciences, Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.75%, 07/03/28 |  |  |  |  | 260 |  |  |  | 259,947 |
|  |  |  |  |  |  |  |  | 6,689,868 |
Machinery — 2.8% |
Albion Financing 3 SARL, USD Term Loan, (3-mo. LIBOR US at 0.50% Floor + 5.25%), 10.52%, 08/17/26(d) |  |  |  |  | 921 |  |  |  | 914,274 |
Clark Equipment Co., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 04/20/29 |  |  |  |  | 164 |  |  |  | 163,823 |
Columbus McKinnon Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.23%, 05/14/28 |  |  |  |  | 148 |  |  |  | 147,016 |
Filtration Group Corp. |  |  |  |  |  |  |  |  |  |
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.72%, 10/21/28 |  |  |  |  | 490 |  |  |  | 487,993 |

88 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Machinery (continued) |
Filtration Group Corp. (continued) |  |  |  |  |  |  |  |  |  |
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.33%, 10/21/28 |  | USD |  |  | 1,104 |  |  | $ | 1,102,791 |
Gardner Denver, Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 |  |  |  |  | 600 |  |  |  | 599,224 |
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.70%, 03/31/27 |  |  |  |  | 1,202 |  |  |  | 1,194,143 |
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.75%), 6.95%, 03/01/27 |  |  |  |  | 562 |  |  |  | 560,610 |
Madison IAQ LLC, Term Loan, (6-mo. LIBOR US at 0.50% Floor + 3.25%), 8.30%, 06/21/28 |  |  |  |  | 1,826 |  |  |  | 1,786,650 |
Roper Industrial Products Investment Co., USD Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.74%, 11/22/29 |  |  |  |  | 1,065 |  |  |  | 1,060,003 |
SPX Flow, Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.70%, 04/05/29 |  |  |  |  | 1,015 |  |  |  | 1,001,201 |
Titan Acquisition Ltd., 2018 Term Loan B, (3-mo. LIBOR US + 3.00%), 8.73%, 03/28/25 |  |  |  |  | 1,804 |  |  |  | 1,757,631 |
Vertical U.S. Newco, Inc., Term Loan B, (6-mo. LIBOR US at 0.50% Floor + 3.50%), 8.60%, 07/30/27 |  |  |  |  | 1,401 |  |  |  | 1,389,654 |
Vertiv Group Corp., 2021 Term Loan B, (1-mo. LIBOR US + 2.75%), 7.94%, 03/02/27 |  |  |  |  | 1,223 |  |  |  | 1,217,264 |
Zurn LLC, 2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 2.00%), 7.19%, 10/04/28 |  |  |  |  | 439 |  |  |  | 438,123 |
|  |  |  |  |  |  |  |  | 13,820,400 |
Media — 1.8% |
AVSC Holding Corp. |  |  |  |  |  |  |  |  |  |
2020 Term Loan B1, (1-mo. LIBOR US at 1.00% Floor + 3.25%), 8.68%, 03/03/25 |  |  |  |  | 652 |  |  |  | 632,778 |
2020 Term Loan B3, 10/15/26(n) |  |  |  |  | 363 |  |  |  | 376,949 |
Cable One, Inc., 2021 Term Loan B4, (1-mo. LIBOR US + 2.00%), 7.19%, 05/03/28 |  |  |  |  | 404 |  |  |  | 395,281 |
Charter Communications Operating LLC, Class A, 2019 Term Loan B1, (3-mo. CME Term SOFR + 1.75%), 6.80%, 04/30/25 |  |  |  |  | 601 |  |  |  | 600,419 |
Clear Channel Outdoor Holdings, Inc., Term Loan B, (3-mo. LIBOR US + 3.50%), 8.81%, 08/21/26 |  |  |  |  | 1,603 |  |  |  | 1,527,805 |
Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 09/01/28 |  |  |  |  | 668 |  |  |  | 662,501 |
CSC Holdings LLC |  |  |  |  |  |  |  |  |  |
2017 Term Loan B1, (1-mo. LIBOR US + 2.25%), 7.44%, 07/17/25 |  |  |  |  | 471 |  |  |  | 453,158 |
2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.69%, 04/15/27 |  |  |  |  | 861 |  |  |  | 750,094 |
DirecTV Financing LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.22%, 08/02/27 |  |  |  |  | 1,144 |  |  |  | 1,117,172 |
E.W. Scripps Co., 2020 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 7.97%, 01/07/28 |  |  |  |  | 300 |  |  |  | 290,568 |

Security |  |  |  | Par (000) |  |  | Value |
Media (continued) |  |  |  |  |  |  |  |
Learfield Communications LLC, 2016 1st Lien Term Loan, (3-mo. LIBOR US at 1.00% Floor + 3.25%), 8.77%, 12/01/23 |  | USD |  |  | 368 |  |  | $ | 284,870 |
Sinclair Television Group, Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.75%), 8.95%, 04/21/29(d) |  |  |  |  | 798 |  |  |  | 600,450 |
Voyage Digital Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.36%, 05/11/29(d) |  |  |  |  | 426 |  |  |  | 424,557 |
Ziggo Financing Partnership, USD Term Loan I, (1-mo. LIBOR US + 2.50%), 7.69%, 04/30/28 |  |  |  |  | 510 |  |  |  | 501,621 |
|  |  |  |  |  |  |  |  | 8,618,223 |
Oil, Gas & Consumable Fuels — 0.6% |
Freeport LNG Investments LLLP, Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 12/21/28 |  |  |  |  | 1,776 |  |  |  | 1,737,706 |
M6 ETX Holdings II Midco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.68%, 09/19/29 |  |  |  |  | 102 |  |  |  | 101,270 |
Medallion Midland Acquisition LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.25%, 10/18/28 |  |  |  |  | 892 |  |  |  | 883,436 |
|  |  |  |  |  |  |  |  | 2,722,412 |
Passenger Airlines — 1.7% |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.00%, 04/20/28 |  |  |  |  | 1,502 |  |  |  | 1,532,447 |
Air Canada, 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.50%), 8.84%, 08/11/28 |  |  |  |  | 1,166 |  |  |  | 1,164,750 |
American Airlines, Inc. |  |  |  |  |  |  |  |  |  |
2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.75%), 7.00%, 01/29/27 |  |  |  |  | 1,572 |  |  |  | 1,530,499 |
2023 Term Loan B, (6-mo. CME Term SOFR + 2.75%), 8.15%, 02/15/28 |  |  |  |  | 1,160 |  |  |  | 1,137,600 |
Kestrel Bidco, Inc., Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.00%), 8.25%, 12/11/26 |  |  |  |  | 475 |  |  |  | 459,586 |
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 5.25%), 10.76%, 06/21/27 |  |  |  |  | 1,233 |  |  |  | 1,279,317 |
United Airlines, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.75% Floor + 3.75%), 9.29%, 04/21/28 |  |  |  |  | 1,321 |  |  |  | 1,318,498 |
|  |  |  |  |  |  |  |  | 8,422,697 |
Personal Care Products — 0.8% |
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.09%, 10/01/26 |  |  |  |  | 3,907 |  |  |  | 3,880,718 |
Pharmaceuticals — 1.0% |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.72%, 05/04/25 |  |  |  |  | 671 |  |  |  | 645,188 |
Amynta Agency Borrower, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 5.00%), 10.20%, 02/28/28 |  |  |  |  | 410 |  |  |  | 397,958 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Pharmaceuticals (continued) |
Bausch Health Cos., Inc., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.43%, 02/01/27 |  | USD |  |  | 578 |  |  | $ | 434,817 |
Elanco Animal Health, Inc., Term Loan B, (1-mo. CME Term SOFR + 1.75%), 7.01%, 08/01/27 |  |  |  |  | 1,088 |  |  |  | 1,067,384 |
Jazz Financing Lux SARL, USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 05/05/28 |  |  |  |  | 1,072 |  |  |  | 1,070,190 |
Organon & Co., USD Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.00%), 8.25%, 06/02/28 |  |  |  |  | 826 |  |  |  | 824,134 |
Precision Medicine Group LLC, 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 11/18/27(d) |  |  |  |  | 625 |  |  |  | 598,705 |
|  |  |  |  |  |  |  |  | 5,038,376 |
Professional Services — 2.3% |  |  |  |  |  |  |  |
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.72%, 02/04/28 |  |  |  |  | 764 |  |  |  | 761,805 |
CoreLogic, Inc., Term Loan, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.75%, 06/02/28 |  |  |  |  | 1,996 |  |  |  | 1,799,610 |
Dun & Bradstreet Corp. |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan B2, (1-mo. CME Term SOFR + 3.25%), 8.33%, 01/18/29 |  |  |  |  | 302 |  |  |  | 301,042 |
Term Loan, (1-mo. CME Term SOFR + 3.25%), 8.43%, 02/06/26 |  |  |  |  | 1,947 |  |  |  | 1,947,138 |
Element Materials Technology Group U.S. Holdings, Inc. |  |  |  |  |  |  |  |  |  |
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 |  |  |  |  | 308 |  |  |  | 301,192 |
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/06/29 |  |  |  |  | 668 |  |  |  | 652,582 |
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.95%, 04/28/28 |  |  |  |  | 942 |  |  |  | 934,135 |
Galaxy U.S. Opco, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 9.85%, 04/29/29(d) |  |  |  |  | 1,081 |  |  |  | 1,013,280 |
Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1-mo. LIBOR US + 3.75%), 8.94%, 07/11/25 |  |  |  |  | 299 |  |  |  | 298,770 |
Trans Union LLC |  |  |  |  |  |  |  |  |  |
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 6.95%, 11/16/26 |  |  |  |  | 748 |  |  |  | 745,002 |
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.47%, 12/01/28 |  |  |  |  | 1,296 |  |  |  | 1,291,813 |
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.52%, 02/28/27 |  |  |  |  | 1,059 |  |  |  | 1,037,582 |
|  |  |  |  |  |  |  |  | 11,083,951 |

Security |  |  |  | Par (000) |  |  | Value |
Real Estate Management & Development — 0.3% |
Cushman & Wakefield U.S. Borrower LLC |  |  |  |  |  |  |  |  |  |
2020 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.97%, 08/21/25 |  | USD |  |  | 380 |  |  | $ | 376,423 |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 01/31/30(d) |  |  |  |  | 979 |  |  |  | 946,590 |
|  |  |  |  |  |  |  |  | 1,323,013 |
Semiconductors & Semiconductor Equipment — 0.2% |
MKS Instruments, Inc., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.94%, 08/17/29 |  |  |  |  | 755 |  |  |  | 755,046 |
Synaptics, Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.74%, 12/02/28 |  |  |  |  | 252 |  |  |  | 247,873 |
|  |  |  |  |  |  |  |  | 1,002,919 |
Software — 5.6% |  |  |  |  |  |  |  |
Applied Systems, Inc. |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 11.99%, 09/17/27 |  |  |  |  | 90 |  |  |  | 89,944 |
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.74%, 09/18/26 |  |  |  |  | 245 |  |  |  | 245,145 |
Barracuda Networks, Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.55%, 08/15/29 |  |  |  |  | 331 |  |  |  | 319,158 |
Boxer Parent Co., Inc., 2021 USD Term Loan, (1-mo. CME Term SOFR + 3.75%), 8.97%, 10/02/25 |  |  |  |  | 746 |  |  |  | 739,406 |
CCC Intelligent Solutions, Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.33%, 09/21/28 |  |  |  |  | 723 |  |  |  | 720,279 |
Central Parent, Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.49%, 07/06/29 |  |  |  |  | 1,201 |  |  |  | 1,196,810 |
Cloud Software Group, Inc., 2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.84%, 03/30/29 |  |  |  |  | 2,563 |  |  |  | 2,393,245 |
Cloudera, Inc. |  |  |  |  |  |  |  |  |  |
2021 Second Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.00%), 11.08%, 10/08/29(d) |  |  |  |  | 457 |  |  |  | 411,300 |
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.95%, 10/08/28 |  |  |  |  | 378 |  |  |  | 368,320 |
Cornerstone OnDemand, Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.25%, 10/16/28 |  |  |  |  | 513 |  |  |  | 477,878 |
Delta TopCo, Inc., 2020 2nd Lien Term Loan, (6-mo. CME Term SOFR at 0.75% Floor + 7.25%), 12.57%, 12/01/28 |  |  |  |  | 186 |  |  |  | 169,106 |
E2open LLC, 2020 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 8.76%, 02/04/28 |  |  |  |  | 112 |  |  |  | 111,350 |
Genesys Cloud Services Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.19%, 12/01/27 |  |  |  |  | 1,550 |  |  |  | 1,544,196 |

90 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Software (continued) |  |  |  |  |  |  |  |
Informatica LLC, 2021 USD Term Loan B, (1-mo. LIBOR US + 2.75%), 8.00%, 10/27/28 |  | USD |  |  | 1,227 |  |  | $ | 1,222,756 |
Instructure Holdings, Inc., 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 2.75%), 7.85%, 10/30/28 |  |  |  |  | 308 |  |  |  | 307,909 |
Magenta Buyer LLC |  |  |  |  |  |  |  |  |  |
2021 USD 1st Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 4.75%), 10.03%, 07/27/28 |  |  |  |  | 1,012 |  |  |  | 758,723 |
2021 USD 2nd Lien Term Loan, (3-mo. LIBOR US at 0.75% Floor + 8.25%), 13.53%, 07/27/29 |  |  |  |  | 936 |  |  |  | 603,550 |
McAfee Corp., 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.01%, 03/01/29 |  |  |  |  | 1,626 |  |  |  | 1,551,746 |
MH Sub I LLC |  |  |  |  |  |  |  |  |  |
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.35%, 02/23/29 |  |  |  |  | 1,005 |  |  |  | 870,882 |
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.35%, 05/03/28 |  |  |  |  | 3,346 |  |  |  | 3,205,171 |
NortonLifeLock, Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.00%), 7.20%, 09/12/29 |  |  |  |  | 764 |  |  |  | 759,271 |
Proofpoint, Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.47%, 08/31/28 |  |  |  |  | 1,751 |  |  |  | 1,711,910 |
RealPage, Inc. |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.22%, 04/24/28 |  |  |  |  | 3,436 |  |  |  | 3,357,436 |
2nd Lien Term Loan, (1-mo. LIBOR US at 0.75% Floor + 6.50%), 11.69%, 04/23/29 |  |  |  |  | 480 |  |  |  | 463,598 |
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.05%, 08/01/25 |  |  |  |  | 604 |  |  |  | 603,141 |
Sophia LP, 2021 Term Loan B, (3-mo. LIBOR US at 0.50% Floor + 3.50%), 9.04%, 10/07/27 |  |  |  |  | 743 |  |  |  | 733,768 |
SS&C Technologies, Inc. |  |  |  |  |  |  |  |  |  |
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 |  |  |  |  | 496 |  |  |  | 495,012 |
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.75%), 6.97%, 04/16/25 |  |  |  |  | 442 |  |  |  | 441,850 |
UKG, Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.25%), 10.27%, 05/03/27 |  |  |  |  | 453 |  |  |  | 438,229 |
Ultimate Software Group, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.27%, 05/04/26 |  |  |  |  | 58 |  |  |  | 56,710 |
Term Loan B, (3-mo. CME Term SOFR + 3.75%), 8.90%, 05/04/26 |  |  |  |  | 763 |  |  |  | 752,387 |
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.81%, 07/20/28 |  |  |  |  | 134 |  |  |  | 132,152 |
ZoomInfo LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 7.95%, 02/28/30 |  |  |  |  | 88 |  |  |  | 88,389 |
|  |  |  |  |  |  |  |  | 27,340,727 |
Specialty Retail — 1.4% |
CD&R Firefly Bidco Ltd., 2023 GBP Term Loan B5, (1-day SONIA + 6.00%), 10.28%, 06/21/28 |  | GBP |  |  | 1,000 |  |  |  | 1,226,667 |

Security |  |  |  | Par (000) |  |  | Value |
Specialty Retail (continued) |
EG America LLC, 2018 USD Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.16%, 02/07/25 |  | USD |  |  | 1,107 |  |  | $ | 1,086,377 |
EG Group Ltd., 2021 Term Loan, (1-mo. CME Term SOFR + 4.25%), 9.41%, 03/31/26 |  |  |  |  | 232 |  |  |  | 230,888 |
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.00%), 9.22%, 05/04/28 |  |  |  |  | 1,261 |  |  |  | 1,248,647 |
PetSmart, Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.95%, 02/11/28 |  |  |  |  | 1,610 |  |  |  | 1,604,187 |
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.20%, 08/04/28 |  |  |  |  | 755 |  |  |  | 752,978 |
Restoration Hardware, Inc. |  |  |  |  |  |  |  |  |  |
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.45%, 10/20/28 |  |  |  |  | 361 |  |  |  | 348,174 |
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.69%, 10/20/28 |  |  |  |  | 313 |  |  |  | 301,960 |
RVR Dealership Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 02/08/28 |  |  |  |  | 97 |  |  |  | 89,699 |
|  |  |  |  |  |  |  |  | 6,889,577 |
Technology Hardware, Storage & Peripherals — 0.0% |
Electronics for Imaging, Inc., Term Loan, (1-mo. LIBOR US + 5.00%), 10.21%, 07/23/26 |  |  |  |  | 277 |  |  |  | 186,674 |
Textiles, Apparel & Luxury Goods — 0.1% |
Crocs, Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.70%, 02/20/29 |  |  |  |  | 432 |  |  |  | 432,519 |
Hanesbrands, Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 8.85%, 03/08/30(d) |  |  |  |  | 238 |  |  |  | 238,999 |
|  |  |  |  |  |  |  |  | 671,518 |
Trading Companies & Distributors — 1.1% |
Beacon Roofing Supply, Inc., 2021 Term Loan B, (1-mo. LIBOR US + 2.25%), 7.44%, 05/19/28 |  |  |  |  | 609 |  |  |  | 607,189 |
Core & Main LP, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.50%), 7.69%, 07/27/28 |  |  |  |  | 1,801 |  |  |  | 1,788,739 |
SRS Distribution, Inc. |  |  |  |  |  |  |  |  |  |
2021 Term Loan B, (1-mo. LIBOR US at 0.50% Floor + 3.50%), 8.69%, 06/02/28 |  |  |  |  | 1,810 |  |  |  | 1,755,564 |
2022 Incremental Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.70%, 06/02/28 |  |  |  |  | 405 |  |  |  | 394,407 |
TMK Hawk Parent Corp.(d) |  |  |  |  |  |  |  |  |  |
2020 Super Priority First Out Term Loan A, (3-mo. LIBOR US at 1.00% Floor + 9.50%), 15.00%, 05/30/24 |  |  |  |  | 163 |  |  |  | 165,826 |
2020 Super Priority Second Out Term Loan B, (3-mo. LIBOR US at 1.00% Floor + 3.50%), 9.00%, 08/28/24 |  |  |  |  | 1,297 |  |  |  | 786,743 |
|  |  |  |  |  |  |  |  | 5,498,468 |
Transportation Infrastructure — 0.3% |
Apple Bidco LLC, 2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.10%, 09/22/28 |  |  |  |  | 358 |  |  |  | 355,862 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Transportation Infrastructure (continued) |
KKR Apple Bidco LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 7.97%, 09/23/28 |  | USD |  |  | 242 |  |  | $ | 239,974 |
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.25%), 11.43%, 12/15/26 |  |  |  |  | 628 |  |  |  | 587,343 |
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.49%, 03/17/30 |  |  |  |  | 161 |  |  |  | 150,560 |
|  |  |  |  |  |  |  |  | 1,333,739 |
Wireless Telecommunication Services — 0.4% |
Digicel International Finance Ltd., 2017 Term Loan B, (1-mo. LIBOR US + 3.25%), 8.98%, 05/28/24 |  |  |  |  | 419 |  |  |  | 383,717 |
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 8.97%, 04/30/28 |  |  |  |  | 368 |  |  |  | 367,146 |
SBA Senior Finance II LLC, 2018 Term Loan B, (1-mo. LIBOR US + 1.75%), 6.95%, 04/11/25 |  |  |  |  | 1,047 |  |  |  | 1,046,494 |
|  |  |  |  |  |  |  |  | 1,797,357 |
Total Floating Rate Loan Interests — 57.3% (Cost: $285,076,466) |  |  |  | 279,038,923 |
Foreign Agency Obligations |
Bahrain — 0.1% |
Bahrain Government International Bond, 6.75%, 09/20/29(e) |  |  |  |  | 200 |  |  |  | 197,962 |
Chile — 0.0% |
Chile Government International Bond, 4.34%, 03/07/42(h) |  |  |  |  | 200 |  |  |  | 177,440 |
Colombia — 0.1% |
Colombia Government International Bond(h) |  |  |  |  |  |  |  |  |  |
3.13%, 04/15/31 |  |  |  |  | 430 |  |  |  | 324,766 |
8.00%, 04/20/33 |  |  |  |  | 200 |  |  |  | 203,350 |
|  |  |  |  |  |  |  |  | 528,116 |
Dominican Republic — 0.1% |
Dominican Republic International Bond(b) |  |  |  |  |  |  |  |  |  |
4.50%, 01/30/30 |  |  |  |  | 200 |  |  |  | 174,796 |
7.05%, 02/03/31 |  |  |  |  | 150 |  |  |  | 149,418 |
4.88%, 09/23/32(h) |  |  |  |  | 300 |  |  |  | 255,303 |
|  |  |  |  |  |  |  |  | 579,517 |
Egypt — 0.0% |
Egypt Government International Bond, 7.50%, 02/16/61(b) |  |  |  |  | 200 |  |  |  | 99,694 |
Guatemala — 0.0% |  |  |  |  |  |  |  |
Guatemala Government Bond, 4.65%, 10/07/41(b) |  |  |  |  | 200 |  |  |  | 159,654 |
Ivory Coast — 0.1% |
Ivory Coast Government International Bond, 6.38%, 03/03/28(e)(h) |  |  |  |  | 200 |  |  |  | 192,302 |
Morocco — 0.0% |
Morocco Government International Bond, 2.38%, 12/15/27(b) |  |  |  |  | 200 |  |  |  | 174,420 |

Security |  |  |  | Par (000) |  |  | Value |
Nigeria — 0.1% |
Nigeria Government International Bond, 8.38%, 03/24/29(b) |  | USD |  |  | 200 |  |  | $ | 179,616 |
Oman — 0.1% |
Oman Government International Bond, 6.50%, 03/08/47(e) |  |  |  |  | 308 |  |  |  | 286,193 |
Paraguay — 0.0% |
Paraguay Government International Bond, 5.40%, 03/30/50(e) |  |  |  |  | 200 |  |  |  | 171,318 |
Romania — 0.1% |
Romanian Government International Bond |  |  |  |  |  |  |  |  |  |
5.25%, 11/25/27(b) |  |  |  |  | 122 |  |  |  | 118,954 |
2.50%, 02/08/30(e) |  | EUR |  |  | 138 |  |  |  | 123,835 |
2.12%, 07/16/31(e) |  |  |  |  | 156 |  |  |  | 128,561 |
|  |  |  |  |  |  |  |  | 371,350 |
South Africa — 0.1% |
Republic of South Africa Government International Bond |  |  |  |  |  |  |  |  |  |
4.85%, 09/30/29 |  | USD |  |  | 200 |  |  |  | 175,668 |
5.00%, 10/12/46 |  |  |  |  | 230 |  |  |  | 152,557 |
|  |  |  |  |  |  |  |  | 328,225 |
Sri Lanka — 0.0% |
Sri Lanka Government International Bond(e)(f)(i) |  |  |  |  |  |  |  |  |  |
6.85%, 03/14/24(h) |  |  |  |  | 200 |  |  |  | 87,568 |
6.35%, 06/28/24 |  |  |  |  | 200 |  |  |  | 88,352 |
|  |  |  |  |  |  |  |  | 175,920 |
Ukraine — 0.0% |
Ukraine Government International Bond(f)(i) |  |  |  |  |  |  |  |  |  |
9.75%, 11/01/30(e) |  |  |  |  | 236 |  |  |  | 58,174 |
7.25%, 03/15/35(b) |  |  |  |  | 200 |  |  |  | 45,754 |
|  |  |  |  |  |  |  |  | 103,928 |
Total Foreign Agency Obligations — 0.8% (Cost: $4,527,533) |  |  |  | 3,725,655 |
|  |  |  | Shares |  |  |  |
Investment Companies |
Fixed Income Funds — 1.0% |
Invesco Senior Loan ETF |  |  |  |  | 230,501 |  |  |  | 4,849,741 |
Total Investment Companies — 1.0% (Cost: $4,877,550) |  |  |  | 4,849,741 |
|  |  |  | Par (000) |  |  |  |
Non-Agency Mortgage-Backed Securities |
Collateralized Mortgage Obligations — 2.2% |
Alternative Loan Trust |  |  |  |  |  |  |  |  |  |
Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |  | USD |  |  | 995 |  |  |  | 571,953 |
Series 2006-J8, Class A5, 6.00%, 02/25/37 |  |  |  |  | 1,762 |  |  |  | 796,078 |
Series 2007-19, Class 1A1, 6.00%, 08/25/37 |  |  |  |  | 545 |  |  |  | 279,576 |

92 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Collateralized Mortgage Obligations (continued) |
CHL Mortgage Pass-Through Trust |  |  |  |  |  |  |  |  |  |
Series 2005-17, Class 1A6, 5.50%, 09/25/35 |  | USD |  |  | 94 |  |  | $ | 85,231 |
Series 2006-17, Class A2, 6.00%, 12/25/36 |  |  |  |  | 612 |  |  |  | 261,634 |
Series 2007-HY5, Class 3A1, 4.03%, 09/25/37(a) . |  |  |  |  | 243 |  |  |  | 213,265 |
COLT Mortgage Loan Trust(b)(c) |  |  |  |  |  |  |  |  |  |
Series 2022-7, Class A1, 5.16%, 04/25/67 |  |  |  |  | 2,211 |  |  |  | 2,151,785 |
Series 2022-9, Class A1, 6.79%, 12/25/67 |  |  |  |  | 291 |  |  |  | 291,107 |
Ellington Financial Mortgage Trust, Series 2021-2, Class A1, 0.93%, 06/25/66(a)(b) |  |  |  |  | 212 |  |  |  | 167,715 |
GCAT Trust, Series 2022-NQM3, Class A1, 4.35%, 04/25/67(a)(b) |  |  |  |  | 1,462 |  |  |  | 1,381,948 |
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 4.00%, 10/25/35(a) |  |  |  |  | 307 |  |  |  | 171,838 |
JP Morgan Mortgage Trust, Series 2022-DSC1, Class A1, 4.75%, 01/25/63(a)(b) |  |  |  |  | 390 |  |  |  | 364,178 |
OBX Trust, Series 2022-NQM9, Class A1A, 6.45%, 09/25/62(b)(c) |  |  |  |  | 94 |  |  |  | 93,743 |
Spruce Hill Mortgage Loan Trust, Series 2022-SH1, Class A1A, 4.10%, 07/25/57(b)(c) |  |  |  |  | 587 |  |  |  | 553,629 |
Verus Securitization Trust(b)(c) |  |  |  |  |  |  |  |  |  |
Series 2022-3, Class A1, 4.13%, 02/25/67 |  |  |  |  | 1,439 |  |  |  | 1,314,304 |
Series 2022-7, Class A1, 5.15%, 07/25/67 |  |  |  |  | 1,703 |  |  |  | 1,637,941 |
Series 2022-INV2, Class A1, 6.79%, 10/25/67 |  |  |  |  | 442 |  |  |  | 442,023 |
|  |  |  |  |  |  |  |  | 10,777,948 |
Commercial Mortgage-Backed Securities(b) — 0.9% |
BX Commercial Mortgage Trust(a) |  |  |  |  |  |  |  |  |  |
Series 2019-XL, Class A, (1-mo. Term SOFR + 1.03%), 6.18%, 10/15/36 |  |  |  |  | 1,096 |  |  |  | 1,089,350 |
Series 2021-CIP, Class A, (1-mo. LIBOR US + 0.92%), 6.11%, 12/15/38 |  |  |  |  | 1,000 |  |  |  | 974,912 |
Series 2021-XL2, Class A, (1-mo. LIBOR US + 0.69%), 5.88%, 10/15/38 |  |  |  |  | 454 |  |  |  | 440,702 |
BX Trust, Series 2022 VAMF, Class A, (1-mo. Term SOFR + 0.85%), 6.00%, 01/15/39(a) |  |  |  |  | 1,200 |  |  |  | 1,166,135 |
Citigroup Commercial Mortgage Trust, Series 2019- SMRT, Class A, 4.15%, 01/10/36 |  |  |  |  | 800 |  |  |  | 794,589 |
|  |  |  |  |  |  |  |  | 4,465,688 |
Total Non-Agency Mortgage-Backed Securities — 3.1% (Cost: $16,311,226) |  |  |  | 15,243,636 |
|  |  |  | Benefical Interest (000) |  |  |  |
Other Interests |
Capital Markets — 0.0% |  |  |  |  |  |  |  |
Millennium Lender Claim Trust(d)(p) |  | USD |  |  | 918 |  |  |  | — |

Security |  |  |  | Benefical Interest (000) |  |  | Value |
Industrial Conglomerates — 0.0% |
Millennium Corp. Claim(d)(p) |  | USD |  |  | 861 |  |  | $ | — |
Total Other Interests — 0.0% (Cost: $ — ) |  |  |  |  |  |  |  |  | — |
|  |  |  | Par (000) |  |  |  |
Preferred Securities |
Capital Trusts — 3.7%(a) |
Automobiles — 0.1% |
General Motors Financial Co., Inc., Series C, 5.70%(h)(j) |  | USD |  |  | 365 |  |  |  | 320,413 |
Banks(j) — 1.0% |
AIB Group PLC, 5.25%(e) |  | EUR |  |  | 200 |  |  |  | 203,574 |
Bank of East Asia Ltd., 5.88%(e) |  | USD |  |  | 250 |  |  |  | 227,828 |
Citigroup, Inc., Series P, 5.95% |  |  |  |  | 65 |  |  |  | 62,337 |
Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 5.46% |  |  |  |  | 35 |  |  |  | 34,792 |
Industrial & Commercial Bank of China Ltd., 3.20%(e) |  |  |  |  | 200 |  |  |  | 186,154 |
ING Groep NV, 3.88%(h) |  |  |  |  | 1,750 |  |  |  | 1,245,627 |
Kasikornbank PCL, 5.28%(e)(h) |  |  |  |  | 200 |  |  |  | 188,092 |
Nordea Bank Abp, 3.75%(b)(h) |  |  |  |  | 560 |  |  |  | 414,344 |
PNC Financial Services Group, Inc.(h) 6.25%, 12/31/99 |  |  |  |  | 289 |  |  |  | 259,450 |
Series V, 6.20% |  |  |  |  | 290 |  |  |  | 270,323 |
Rizal Commercial Banking Corp., 6.50%(e) |  |  |  |  | 200 |  |  |  | 176,712 |
Wells Fargo & Co., Series S, 5.90%(h) |  |  |  |  | 1,500 |  |  |  | 1,479,375 |
|  |  |  |  |  |  |  |  | 4,748,608 |
Diversified Telecommunication Services — 0.1% |
Telefonica Europe BV, 6.14%(e)(j) |  | EUR |  |  | 200 |  |  |  | 210,329 |
Electric Utilities — 0.4% |  |  |  |  |  |  |  |
Edison International, Series B, 5.00%(j) |  | USD |  |  | 175 |  |  |  | 151,183 |
EDP - Energias de Portugal SA, 5.94%, 04/23/83(e) |  | EUR |  |  | 100 |  |  |  | 108,030 |
Electricite de France SA, 3.00%(e)(j) |  |  |  |  | 200 |  |  |  | 184,369 |
NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(h) |  | USD |  |  | 1,750 |  |  |  | 1,618,702 |
|  |  |  |  |  |  |  |  | 2,062,284 |
Financial Services(j) — 2.0% |
Bank of America Corp.(h) |  |  |  |  |  |  |  |  |  |
Series DD, 6.30% |  |  |  |  | 215 |  |  |  | 214,409 |
Series X, 6.25% |  |  |  |  | 1,929 |  |  |  | 1,904,888 |
Series Z, 6.50% |  |  |  |  | 143 |  |  |  | 142,602 |
Barclays PLC |  |  |  |  |  |  |  |  |  |
4.38%(h) |  |  |  |  | 455 |  |  |  | 309,127 |
8.00% |  |  |  |  | 210 |  |  |  | 187,614 |
BNP Paribas SA, 6.88%(e) |  | EUR |  |  | 200 |  |  |  | 208,923 |
Credit Agricole SA, 4.75%(b)(h) |  | USD |  |  | 200 |  |  |  | 159,000 |
HSBC Holdings PLC, 6.00%(h) |  |  |  |  | 415 |  |  |  | 370,906 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Security |  |  |  | Par (000) |  |  | Value |
Financial Services (continued) |
JPMorgan Chase & Co., Series FF, 5.00%(h) |  | USD |  |  | 2,000 |  |  | $ | 1,953,750 |
Lloyds Banking Group PLC |  |  |  |  |  |  |  |  |  |
8.00% |  |  |  |  | 265 |  |  |  | 242,117 |
7.50%(h) |  |  |  |  | 1,250 |  |  |  | 1,168,938 |
NatWest Group PLC, 6.00%(h) |  |  |  |  | 1,185 |  |  |  | 1,096,125 |
Societe Generale SA, 5.38%(b)(h) |  |  |  |  | 2,250 |  |  |  | 1,669,453 |
Woori Bank, 4.25%(e) |  |  |  |  | 250 |  |  |  | 240,135 |
|  |  |  |  |  |  |  |  | 9,867,987 |
Independent Power and Renewable Electricity Producers(b)(j) — 0.1% |
NRG Energy, Inc., 10.25% |  |  |  |  | 452 |  |  |  | 426,222 |
Vistra Corp., 7.00% |  |  |  |  | 240 |  |  |  | 209,400 |
|  |  |  |  |  |  |  |  | 635,622 |
Media — 0.0% |
SES SA, 2.88%(e)(j) |  | EUR |  |  | 100 |  |  |  | 92,343 |
Oil, Gas & Consumable Fuels — 0.0% |
Abertis Infraestructuras Finance BV, 3.25%(e)(j) |  |  |  |  | 100 |  |  |  | 97,821 |
Wireless Telecommunication Services — 0.0% |
Vodafone Group PLC, 2.63%, 08/27/80(e) |  |  |  |  | 100 |  |  |  | 98,194 |
|  |  |  |  |  |  |  |  | 18,133,601 |
|  |  |  | Shares |  |  |  |
Preferred Stocks — 1.3% |
Capital Markets(a)(j) — 1.3% |
Goldman Sachs Group, Inc., Series J, 5.50% |  |  |  |  | 140,000 |  |  |  | 3,571,400 |
Morgan Stanley |  |  |  |  |  |  |  |  |  |
Series F, 6.88% |  |  |  |  | 55,000 |  |  |  | 1,392,600 |
Series K, 5.90% |  |  |  |  | 53,253 |  |  |  | 1,251,978 |
|  |  |  |  |  |  |  |  | 6,215,978 |
Wireless Telecommunication Services — 0.0% |
CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $136,229)(g) |  |  |  |  | 139,135 |  |  |  | 1,392 |
|  |  |  |  |  |  |  |  | 6,217,370 |
Total Preferred Securities — 5.0% (Cost: $27,083,574) |  |  |  | 24,350,971 |
|  |  |  | Par (000) |  |  |  |
U.S. Government Sponsored Agency Securities |
Commercial Mortgage-Backed Securities — 0.1% |  |  |  |  |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K042, Class X1, 1.15%, 12/25/24(a) |  | USD |  |  | 31,670 |  |  |  | 386,122 |
Mortgage-Backed Securities(q) — 5.5% |  |  |  |  |  |  |  |
Uniform Mortgage-Backed Securities |  |  |  |  |  |  |  |  |  |
3.50%, 07/13/53 |  |  |  |  | 9,000 |  |  |  | 8,200,899 |
5.00%, 07/13/53 |  |  |  |  | 9,600 |  |  |  | 9,406,500 |
5.50%, 07/13/53 |  |  |  |  | 9,500 |  |  |  | 9,453,984 |
|  |  |  |  |  |  |  |  | 27,061,383 |
Total U.S. Government Sponsored Agency Securities — 5.6% (Cost: $27,501,297) |  |  |  | 27,447,505 |

Security |  |  |  | Shares |  |  | Value |
Warrants |  |  |  |  |  |  |  |  |  |
Consumer Discretionary — 0.0% |  |  |  |  |  |
Service King (Carnelian Point), (Expires 06/30/27, Strike Price USD 10.00)(f) |  |  |  |  | 1,720 |  |  | $ | — |
Oil, Gas & Consumable Fuels — 0.0% |  |  |  |  |  |
California Resources Corp., (Issued/Exercisable 11/03/20, 1 Share for 1 Warrant, Expires 10/27/24, Strike Price USD 36.00)(f) |  |  |  |  | 345 |  |  |  | 4,092 |
Total Warrants — 0.0% (Cost: $ — ) |  |  |  | 4,092 |
Total Investments — 151.6% (Cost: $782,839,746) |  |  |  | 738,798,408 |
Liabilities in Excess of Other Assets — (51.6)% |  |  |  | (251,621,547 | )
Net Assets — 100.0% |  |  |  |  |  |  | $ 487,176,861 |

(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) | 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.

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

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

(f) | Non-income producing security.

(g) | Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,392, representing less than 0.05% of its net assets as of period end, and an original cost of $136,229.

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

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

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

(k) | 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.

(l) | Convertible security.

(m) | Zero-coupon bond.

(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) | Rounds to less than 1,000.

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

(q) | Represents or includes a TBA transaction.

94 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW)

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, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Affiliated Issuer |  | Value at 12/31/22 |  |  | Purchases at Cost |  |  | Proceeds from Sales |  |  | Net Realized Gain (Loss) |  |  | Change in Unrealized Appreciation (Depreciation) |  |  | Value at 06/30/23 |  |  | Shares Held at 06/30/23 |  |  | Income |  |  | Capital Gain Distributions from Underlying Funds |
BlackRock Liquidity Funds, T-Fund, Institutional Class(a) |  | $ | 1,474,663 |  |  | $ | — |  |  |  | $ (1,474,663) | (b) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  |  | — |  |  | $ | 59,588 |  |  | $ | — |

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

| (b) | 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) |
HSBC Securities (USA), Inc. |  |  | 5.25 | %(b) |  |  | 11/29/22 |  |  |  | Open |  |  | $ | 811,250 |  |  | $ | 833,723 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 5.25 | (b) |  |  | 12/28/22 |  |  |  | Open |  |  |  | 670,312 |  |  |  | 686,730 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 5.25 | (b) |  |  | 12/28/22 |  |  |  | Open |  |  |  | 900,000 |  |  |  | 922,044 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 4.75 | (b) |  |  | 12/30/22 |  |  |  | Open |  |  |  | 191,595 |  |  |  | 196,221 |  |  | Corporate Bonds |  |  | Open/Demand |
HSBC Securities (USA), Inc. |  |  | 5.25 | (b) |  |  | 01/12/23 |  |  |  | Open |  |  |  | 479,400 |  |  |  | 490,327 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 321,630 |  |  |  | 324,969 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.24 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 468,022 |  |  |  | 472,823 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 269,625 |  |  |  | 272,385 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 227,500 |  |  |  | 229,829 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.25 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 1,105,500 |  |  |  | 1,117,016 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 499,356 |  |  |  | 504,714 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 04/17/23 |  |  |  | Open |  |  |  | 477,750 |  |  |  | 482,876 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 453,750 |  |  |  | 458,287 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 453,750 |  |  |  | 458,287 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 825,750 |  |  |  | 834,007 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 390,600 |  |  |  | 394,545 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 443,125 |  |  |  | 447,601 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,810,000 |  |  |  | 1,828,281 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,211,875 |  |  |  | 1,224,115 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.35 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 2,385,000 |  |  |  | 2,409,327 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,050,000 |  |  |  | 1,061,025 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,077,894 |  |  |  | 1,089,261 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 315,563 |  |  |  | 318,876 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Bank PLC |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 893,194 |  |  |  | 902,572 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | (1.75 | )(b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 248,775 |  |  |  | 247,904 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 140,000 |  |  |  | 141,400 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 29,095 |  |  |  | 29,389 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 199,681 |  |  |  | 201,698 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 135,850 |  |  |  | 137,222 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 286,869 |  |  |  | 289,766 |  |  | Capital Trusts |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 564,800 |  |  |  | 570,504 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 782,325 |  |  |  | 790,226 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 386,000 |  |  |  | 390,014 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 292,230 |  |  |  | 295,269 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 294,058 |  |  |  | 297,145 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,406,497 |  |  |  | 1,421,266 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 385,447 |  |  |  | 389,495 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 563,622 |  |  |  | 569,541 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 775,149 |  |  |  | 783,288 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,009,917 |  |  |  | 1,020,522 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 502,567 |  |  |  | 507,844 |  |  | 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, 2023 |  | 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. |  |  | 5.50 | %(b) |  |  | 04/19/23 |  |  |  | Open |  |  | $ | 304,395 |  |  | $ | 307,591 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 517,440 |  |  |  | 522,873 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 343,865 |  |  |  | 347,476 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.07 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 830,000 |  |  |  | 838,001 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.14 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 981,250 |  |  |  | 990,847 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.20 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,442,500 |  |  |  | 1,456,781 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.24 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 92,040 |  |  |  | 92,959 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.24 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 265,350 |  |  |  | 267,934 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,252,125 |  |  |  | 1,264,321 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.31 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 511,231 |  |  |  | 516,405 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 626,580 |  |  |  | 633,034 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.43 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 349,777 |  |  |  | 353,401 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.43 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 348,365 |  |  |  | 351,974 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 168,750 |  |  |  | 170,505 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 452,760 |  |  |  | 457,469 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 252,350 |  |  |  | 254,974 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 2,182,500 |  |  |  | 2,205,198 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 455,756 |  |  |  | 460,496 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.48 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 448,496 |  |  |  | 453,187 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 661,250 |  |  |  | 667,862 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.27 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 176,000 |  |  |  | 177,767 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.27 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 331,500 |  |  |  | 334,828 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.27 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 174,300 |  |  |  | 176,050 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.30 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 454,195 |  |  |  | 458,782 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.32 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 286,130 |  |  |  | 289,031 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.33 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 372,427 |  |  |  | 376,211 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.34 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 253,500 |  |  |  | 256,081 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.34 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 361,387 |  |  |  | 365,066 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.34 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 256,165 |  |  |  | 258,773 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.10 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 752,917 |  |  |  | 760,221 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 896,250 |  |  |  | 905,177 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 656,851 |  |  |  | 663,393 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,458,750 |  |  |  | 1,473,279 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 289,294 |  |  |  | 292,175 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 546,159 |  |  |  | 551,598 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 255,000 |  |  |  | 257,540 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 116,149 |  |  |  | 117,306 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 191,499 |  |  |  | 193,406 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 191,648 |  |  |  | 193,556 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 694,444 |  |  |  | 701,360 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 162,256 |  |  |  | 163,878 |  |  | Foreign Agency Obligations |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 333,900 |  |  |  | 337,239 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 154,275 |  |  |  | 155,818 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 887,500 |  |  |  | 896,375 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 270,688 |  |  |  | 273,394 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.28 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,438,585 |  |  |  | 1,453,057 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.28 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 1,372,612 |  |  |  | 1,386,421 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.28 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 213,850 |  |  |  | 216,001 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.28 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 598,000 |  |  |  | 604,016 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.28 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 2,801 |  |  |  | 2,829 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.28 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 321,188 |  |  |  | 324,419 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.38 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 354,134 |  |  |  | 357,767 |  |  | Corporate Bonds |  |  | Open/Demand |

96 |  | 2 0 2 3 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, 2023 |  | 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 |  |  | 5.38 | %(b) |  |  | 04/19/23 |  |  |  | Open |  |  | $ | 339,911 |  |  | $ | 343,399 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 498,482 |  |  |  | 503,617 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 513,585 |  |  |  | 518,875 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 285,525 |  |  |  | 288,466 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 193,965 |  |  |  | 195,963 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 415,471 |  |  |  | 419,751 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 274,050 |  |  |  | 276,873 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 195,625 |  |  |  | 197,640 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 356,310 |  |  |  | 359,980 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 437,100 |  |  |  | 441,602 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 469,665 |  |  |  | 474,503 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 466,665 |  |  |  | 471,472 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 312,570 |  |  |  | 315,789 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 99,814 |  |  |  | 100,842 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 245,745 |  |  |  | 248,276 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 387,500 |  |  |  | 391,491 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 317,106 |  |  |  | 320,372 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 303,500 |  |  |  | 306,626 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 254,806 |  |  |  | 257,431 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 269,798 |  |  |  | 272,576 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 160,000 |  |  |  | 161,648 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.42 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 310,853 |  |  |  | 314,067 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 282,370 |  |  |  | 285,188 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.35 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 147,169 |  |  |  | 148,670 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.42 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 258,515 |  |  |  | 261,188 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.42 | (b) |  |  | 04/19/23 |  |  |  | Open |  |  |  | 294,120 |  |  |  | 297,161 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 04/28/23 |  |  |  | Open |  |  |  | 493,537 |  |  |  | 498,100 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.43 | (b) |  |  | 04/28/23 |  |  |  | Open |  |  |  | 1,155,787 |  |  |  | 1,166,431 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.20 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 165,408 |  |  |  | 166,772 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.32 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 921,531 |  |  |  | 929,318 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.34 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 425,340 |  |  |  | 428,948 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 245,745 |  |  |  | 247,785 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 218,730 |  |  |  | 220,545 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.38 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 236,570 |  |  |  | 238,593 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 141,855 |  |  |  | 143,073 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 850,314 |  |  |  | 857,612 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 05/01/23 |  |  |  | Open |  |  |  | 691,976 |  |  |  | 697,916 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.45 | (b) |  |  | 05/02/23 |  |  |  | Open |  |  |  | 284,606 |  |  |  | 287,032 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 05/03/23 |  |  |  | Open |  |  |  | 238,851 |  |  |  | 240,872 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 05/04/23 |  |  |  | Open |  |  |  | 176,175 |  |  |  | 177,612 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.12 | (b) |  |  | 05/05/23 |  |  |  | Open |  |  |  | 145,290 |  |  |  | 146,406 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 05/05/23 |  |  |  | Open |  |  |  | 1,008,330 |  |  |  | 1,016,497 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.05 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 464,446 |  |  |  | 467,769 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.43 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 368,740 |  |  |  | 371,577 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 118,384 |  |  |  | 119,261 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 193,050 |  |  |  | 194,527 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.38 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 1,520,697 |  |  |  | 1,532,288 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.38 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 1,114,511 |  |  |  | 1,123,006 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.38 | (b) |  |  | 05/10/23 |  |  |  | Open |  |  |  | 1,452,559 |  |  |  | 1,463,630 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 05/12/23 |  |  |  | Open |  |  |  | 115,159 |  |  |  | 115,971 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 05/17/23 |  |  |  | Open |  |  |  | 725,000 |  |  |  | 729,785 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.29 | (b) |  |  | 05/22/23 |  |  |  | Open |  |  |  | 1,740,922 |  |  |  | 1,751,155 |  |  | Capital Trusts |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 05/22/23 |  |  |  | Open |  |  |  | 1,653,109 |  |  |  | 1,662,752 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 05/22/23 |  |  |  | Open |  |  |  | 198,338 |  |  |  | 199,492 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 05/22/23 |  |  |  | Open |  |  |  | 192,173 |  |  |  | 193,291 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 05/22/23 |  |  |  | Open |  |  |  | 224,485 |  |  |  | 225,792 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.42 | (b) |  |  | 05/22/23 |  |  |  | Open |  |  |  | 188,250 |  |  |  | 189,384 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 05/23/23 |  |  |  | Open |  |  |  | 751,494 |  |  |  | 755,857 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.43 | (b) |  |  | 05/25/23 |  |  |  | Open |  |  |  | 322,575 |  |  |  | 324,327 |  |  | 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, 2023 |  | 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 |  |  | 5.34 | %(b) |  |  | 05/25/23 |  |  |  | Open |  |  | $ | 292,539 |  |  | $ | 294,101 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.39 | (b) |  |  | 05/25/23 |  |  |  | Open |  |  |  | 234,825 |  |  |  | 236,091 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 4.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 205,265 |  |  |  | 206,016 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 4.90 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 162,525 |  |  |  | 163,211 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.05 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 873,410 |  |  |  | 877,208 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.10 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 931,250 |  |  |  | 935,340 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.20 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 262,681 |  |  |  | 263,857 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.20 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 570,500 |  |  |  | 573,055 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 340,377 |  |  |  | 341,872 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.35 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 145,438 |  |  |  | 146,108 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.40 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 384,975 |  |  |  | 386,666 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.43 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 649,600 |  |  |  | 652,637 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 1,293,750 |  |  |  | 1,299,822 |  |  | Capital Trusts |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 982,187 |  |  |  | 986,797 |  |  | Capital Trusts |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 850,860 |  |  |  | 854,707 |  |  | Corporate Bonds |  |  | Open/Demand |
Credit Agricole Corporate and Investment Bank |  |  | 5.36 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 854,352 |  |  |  | 858,296 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 407,550 |  |  |  | 409,410 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 269,100 |  |  |  | 270,312 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 621,719 |  |  |  | 624,519 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 222,500 |  |  |  | 223,502 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 156,413 |  |  |  | 157,117 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 323,500 |  |  |  | 324,957 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 285,500 |  |  |  | 286,786 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 754,861 |  |  |  | 758,274 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 156,863 |  |  |  | 157,572 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 269,306 |  |  |  | 270,524 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 412,500 |  |  |  | 414,365 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 163,231 |  |  |  | 163,990 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.28 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 184,500 |  |  |  | 185,339 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.38 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 541,500 |  |  |  | 544,009 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.38 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 502,275 |  |  |  | 504,602 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 489,137 |  |  |  | 491,412 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.45 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 375,990 |  |  |  | 377,755 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.45 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 442,200 |  |  |  | 444,275 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.45 | (b) |  |  | 05/30/23 |  |  |  | Open |  |  |  | 813,435 |  |  |  | 817,252 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/01/23 |  |  |  | Open |  |  |  | 299,250 |  |  |  | 300,511 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/01/23 |  |  |  | Open |  |  |  | 140,814 |  |  |  | 141,426 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.42 | (b) |  |  | 06/01/23 |  |  |  | Open |  |  |  | 124,740 |  |  |  | 125,285 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/02/23 |  |  |  | Open |  |  |  | 342,805 |  |  |  | 344,092 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/02/23 |  |  |  | Open |  |  |  | 198,400 |  |  |  | 199,145 |  |  | Corporate Bonds |  |  | Open/Demand |
BofA Securities, Inc. |  |  | 0.00 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 380,625 |  |  |  | 380,625 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 3.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 369,076 |  |  |  | 369,876 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 3.90 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 136,800 |  |  |  | 137,156 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 4.75 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 1,893,750 |  |  |  | 1,899,747 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 4.90 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 486,019 |  |  |  | 487,606 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 4.90 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 750,885 |  |  |  | 753,338 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 4.95 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 201,960 |  |  |  | 202,626 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.00 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 361,972 |  |  |  | 363,179 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.00 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 297,510 |  |  |  | 298,502 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.05 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 241,313 |  |  |  | 242,125 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.08 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 393,750 |  |  |  | 395,083 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 130,500 |  |  |  | 130,944 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 1,157,389 |  |  |  | 1,161,324 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 181,560 |  |  |  | 182,177 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 474,375 |  |  |  | 475,988 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 457,444 |  |  |  | 458,999 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 1,195,090 |  |  |  | 1,199,153 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 147,960 |  |  |  | 148,468 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 93,130 |  |  |  | 93,450 |  |  | Corporate Bonds |  |  | Up to 30 Days |

98 |  | 2 0 2 3 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, 2023 |  | 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) |
BofA Securities, Inc. |  |  | 5.15 | % |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  | $ | 148,063 |  |  | $ | 148,571 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 337,500 |  |  |  | 338,659 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 128,678 |  |  |  | 129,119 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 489,047 |  |  |  | 490,727 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 230,108 |  |  |  | 230,898 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 292,793 |  |  |  | 293,798 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 193,125 |  |  |  | 193,788 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 141,250 |  |  |  | 141,735 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 122,351 |  |  |  | 122,771 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 814,714 |  |  |  | 817,511 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 421,740 |  |  |  | 423,188 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 651,435 |  |  |  | 653,672 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 146,319 |  |  |  | 146,821 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 129,150 |  |  |  | 129,593 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 61,484 |  |  |  | 61,697 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 276,925 |  |  |  | 277,885 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 452,897 |  |  |  | 454,468 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 285,180 |  |  |  | 286,178 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 238,248 |  |  |  | 239,081 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 334,687 |  |  |  | 335,859 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 256,869 |  |  |  | 257,768 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 437,062 |  |  |  | 438,592 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 1,650,825 |  |  |  | 1,656,603 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 389,812 |  |  |  | 391,177 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 152,235 |  |  |  | 152,768 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 1,178,451 |  |  |  | 1,182,576 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 146,250 |  |  |  | 146,762 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 301,388 |  |  |  | 302,442 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 66,019 |  |  |  | 66,250 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 115,635 |  |  |  | 116,040 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 394,212 |  |  |  | 395,592 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 141,788 |  |  |  | 142,284 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 139,440 |  |  |  | 139,928 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.28 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 137,335 |  |  |  | 137,818 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.28 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 249,000 |  |  |  | 249,876 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 238,800 |  |  |  | 239,644 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 150,700 |  |  |  | 151,232 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 250,040 |  |  |  | 250,923 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 399,309 |  |  |  | 400,720 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 492,000 |  |  |  | 493,738 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 201,273 |  |  |  | 201,984 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 165,573 |  |  |  | 166,158 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 1,020,250 |  |  |  | 1,023,855 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 115,210 |  |  |  | 115,620 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 884,972 |  |  |  | 888,123 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 541,325 |  |  |  | 543,252 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 217,500 |  |  |  | 218,274 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 292,388 |  |  |  | 293,428 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 303,240 |  |  |  | 304,320 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 169,494 |  |  |  | 170,097 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 330,925 |  |  |  | 332,103 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.35 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 492,429 |  |  |  | 494,185 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.40 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 682,830 |  |  |  | 685,288 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 289,000 |  |  |  | 290,050 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 486,750 |  |  |  | 488,519 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 500,425 |  |  |  | 502,243 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 98,238 |  |  |  | 98,594 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 508,587 |  |  |  | 510,435 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 106,718 |  |  |  | 107,105 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 131,091 |  |  |  | 131,568 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 138,000 |  |  |  | 138,501 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 284,525 |  |  |  | 285,559 |  |  | Corporate Bonds |  |  | Up to 30 Days |

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, 2023 |  | 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) |
BofA Securities, Inc. |  |  | 5.45 | % |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  | $ | 141,470 |  |  | $ | 141,984 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 160,800 |  |  |  | 161,384 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 129,775 |  |  |  | 130,247 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 499,625 |  |  |  | 501,440 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 292,000 |  |  |  | 293,061 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 142,578 |  |  |  | 143,096 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 336,600 |  |  |  | 337,823 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 321,535 |  |  |  | 322,703 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 743,750 |  |  |  | 746,452 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 90,034 |  |  |  | 90,361 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 382,007 |  |  |  | 383,395 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 317,200 |  |  |  | 318,352 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 192,750 |  |  |  | 193,450 |  |  | Foreign Agency Obligations |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.50 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 346,756 |  |  |  | 348,028 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.50 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 198,690 |  |  |  | 199,419 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Merrill Lynch International |  |  | 5.15 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 98,405 |  |  |  | 98,743 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Merrill Lynch International |  |  | 5.20 |  |  |  | 06/06/23 |  |  |  | 07/19/23 |  |  |  | 181,500 |  |  |  | 182,129 |  |  | Foreign Agency Obligations |  |  | Up to 30 Days |
BNP Paribas SA |  |  | 5.20 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 330,059 |  |  |  | 331,155 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 781,250 |  |  |  | 783,845 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 292,033 |  |  |  | 293,003 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 205,188 |  |  |  | 205,873 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.37 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 2,464,300 |  |  |  | 2,472,755 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 491,597 |  |  |  | 493,293 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 06/07/23 |  |  |  | Open |  |  |  | 430,125 |  |  |  | 431,609 |  |  | Corporate Bonds |  |  | Open/Demand |
BofA Securities, Inc. |  |  | 5.00 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 157,750 |  |  |  | 158,232 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 529,505 |  |  |  | 531,204 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 725,254 |  |  |  | 727,581 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 403,750 |  |  |  | 405,045 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 492,949 |  |  |  | 494,545 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.34 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 328,280 |  |  |  | 329,351 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.35 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 295,470 |  |  |  | 296,436 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.35 |  |  |  | 06/08/23 |  |  |  | 07/19/23 |  |  |  | 235,943 |  |  |  | 236,714 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 2.00 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 380,625 |  |  |  | 381,090 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 4.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 192,225 |  |  |  | 192,724 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 132,446 |  |  |  | 132,863 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 251,561 |  |  |  | 252,353 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 359,016 |  |  |  | 360,146 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 225,908 |  |  |  | 226,618 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 293,220 |  |  |  | 294,143 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 109,650 |  |  |  | 109,995 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 482,827 |  |  |  | 484,347 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 596,250 |  |  |  | 598,127 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 41,375 |  |  |  | 41,505 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 153,239 |  |  |  | 153,721 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 188,625 |  |  |  | 189,219 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.20 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 214,125 |  |  |  | 214,805 |  |  | Capital Trusts |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.20 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 194,355 |  |  |  | 194,973 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.20 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 549,450 |  |  |  | 551,196 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.20 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 322,479 |  |  |  | 323,503 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.20 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 135,000 |  |  |  | 135,429 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 108,599 |  |  |  | 108,947 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 371,047 |  |  |  | 372,238 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 353,220 |  |  |  | 354,353 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 347,951 |  |  |  | 349,068 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 224,640 |  |  |  | 225,361 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 252,243 |  |  |  | 253,052 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 548,437 |  |  |  | 550,247 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 973,350 |  |  |  | 976,562 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 202,875 |  |  |  | 203,544 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 258,825 |  |  |  | 259,679 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 735,430 |  |  |  | 737,857 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 436,000 |  |  |  | 437,439 |  |  | Corporate Bonds |  |  | Up to 30 Days |

100 |  | 2 0 2 3 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, 2023 |  | 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) |
J.P. Morgan Securities LLC |  |  | 5.40 | % |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  | $ | 222,744 |  |  | $ | 223,479 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 183,438 |  |  |  | 184,043 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 304,000 |  |  |  | 305,003 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 446,489 |  |  |  | 447,962 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 462,875 |  |  |  | 464,402 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 171,300 |  |  |  | 171,865 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 430,025 |  |  |  | 431,444 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 518,300 |  |  |  | 520,010 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 334,688 |  |  |  | 335,792 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 379,312 |  |  |  | 380,564 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 238,560 |  |  |  | 239,347 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 560,000 |  |  |  | 561,848 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 338,125 |  |  |  | 339,241 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 209,148 |  |  |  | 209,838 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 265,545 |  |  |  | 266,421 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 147,689 |  |  |  | 148,176 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 245,875 |  |  |  | 246,686 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 488,565 |  |  |  | 490,177 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 382,075 |  |  |  | 383,336 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 468,750 |  |  |  | 470,297 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 554,400 |  |  |  | 556,229 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 244,000 |  |  |  | 244,805 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 225,420 |  |  |  | 226,164 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/08/23 |  |  |  | 07/21/23 |  |  |  | 446,511 |  |  |  | 447,985 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 06/08/23 |  |  |  | Open |  |  |  | 503,089 |  |  |  | 504,780 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/08/23 |  |  |  | Open |  |  |  | 919,320 |  |  |  | 922,258 |  |  | Corporate Bonds |  |  | Open/Demand |
Merrill Lynch International |  |  | 5.35 |  |  |  | 06/12/23 |  |  |  | 07/19/23 |  |  |  | 1,167,315 |  |  |  | 1,170,438 |  |  | Corporate Bonds |  |  | Up to 30 Days |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/12/23 |  |  |  | Open |  |  |  | 235,856 |  |  |  | 236,493 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 06/14/23 |  |  |  | Open |  |  |  | 517,545 |  |  |  | 518,787 |  |  | Corporate Bonds |  |  | Open/Demand |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/15/23 |  |  |  | 07/19/23 |  |  |  | 374,687 |  |  |  | 375,507 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.45 |  |  |  | 06/15/23 |  |  |  | 07/19/23 |  |  |  | 648,369 |  |  |  | 649,841 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BNP Paribas SA |  |  | 5.19 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 237,735 |  |  |  | 238,249 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.19 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 212,381 |  |  |  | 212,841 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 1,186,474 |  |  |  | 1,189,044 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 246,269 |  |  |  | 246,813 |  |  | Capital Trusts |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 924,401 |  |  |  | 926,443 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 307,625 |  |  |  | 308,304 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 648,375 |  |  |  | 649,807 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 435,240 |  |  |  | 436,201 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 542,969 |  |  |  | 544,168 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 531,812 |  |  |  | 532,987 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.38 | (b) |  |  | 06/15/23 |  |  |  | Open |  |  |  | 819,500 |  |  |  | 821,337 |  |  | Corporate Bonds |  |  | Open/Demand |
BofA Securities, Inc. |  |  | 3.00 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 408,870 |  |  |  | 409,245 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.00 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 71,890 |  |  |  | 72,000 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 596,732 |  |  |  | 597,672 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.15 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 315,555 |  |  |  | 316,052 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 38,505 |  |  |  | 38,567 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 169,873 |  |  |  | 170,145 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 104,186 |  |  |  | 104,353 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 178,459 |  |  |  | 178,745 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 122,795 |  |  |  | 122,992 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 288,585 |  |  |  | 289,048 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 399,031 |  |  |  | 399,671 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 2,531,242 |  |  |  | 2,535,303 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 138,250 |  |  |  | 138,474 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 110,636 |  |  |  | 110,815 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 106,755 |  |  |  | 106,928 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 144,271 |  |  |  | 144,505 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 110,061 |  |  |  | 110,239 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 195,500 |  |  |  | 195,817 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 77,175 |  |  |  | 77,300 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 551,950 |  |  |  | 552,844 |  |  | Corporate Bonds |  |  | Up to 30 Days |

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, 2023 |  | 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) |
BofA Securities, Inc. |  |  | 5.30 | % |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  | $ | 164,315 |  |  | $ | 164,581 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 676,125 |  |  |  | 677,220 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 218,601 |  |  |  | 218,955 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 78,488 |  |  |  | 78,615 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/16/23 |  |  |  | 07/19/23 |  |  |  | 159,750 |  |  |  | 160,009 |  |  | Corporate Bonds |  |  | Up to 30 Days |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 06/20/23 |  |  |  | Open |  |  |  | 533,444 |  |  |  | 534,244 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 06/20/23 |  |  |  | Open |  |  |  | 392,947 |  |  |  | 393,537 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | (3.75 | ) |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 92,625 |  |  |  | 92,577 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 4.50 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 56,445 |  |  |  | 56,508 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 4.50 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 310,000 |  |  |  | 310,349 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.20 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 165,000 |  |  |  | 165,214 |  |  | Capital Trusts |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.20 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 726,000 |  |  |  | 726,944 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 251,180 |  |  |  | 251,513 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 1,446,052 |  |  |  | 1,447,968 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 245,279 |  |  |  | 245,604 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 265,488 |  |  |  | 265,839 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 562,650 |  |  |  | 563,395 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 250,100 |  |  |  | 250,431 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 290,734 |  |  |  | 291,119 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 339,527 |  |  |  | 339,977 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 601,735 |  |  |  | 602,532 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.30 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 883,125 |  |  |  | 884,295 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.35 |  |  |  | 06/21/23 |  |  |  | 07/18/23 |  |  |  | 160,250 |  |  |  | 160,464 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Barclays Capital, Inc. |  |  | 5.25 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 708,755 |  |  |  | 709,685 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.45 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 72,765 |  |  |  | 72,864 |  |  | Corporate Bonds |  |  | Open/Demand |
Barclays Capital, Inc. |  |  | 5.50 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 408,292 |  |  |  | 408,854 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.14 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 109,311 |  |  |  | 109,452 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.14 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 280,033 |  |  |  | 280,392 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.23 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 380,736 |  |  |  | 381,234 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.24 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 273,075 |  |  |  | 273,433 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 407,415 |  |  |  | 407,965 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.43 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 59,221 |  |  |  | 59,302 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.45 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 585,570 |  |  |  | 586,368 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.10 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 840,756 |  |  |  | 841,828 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 152,950 |  |  |  | 153,150 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 213,519 |  |  |  | 213,798 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 341,250 |  |  |  | 341,696 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 272,219 |  |  |  | 272,575 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 190,193 |  |  |  | 190,441 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.32 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 1,340,921 |  |  |  | 1,342,705 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 219,821 |  |  |  | 220,110 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 400,744 |  |  |  | 401,270 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 798,750 |  |  |  | 799,798 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.25 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 352,537 |  |  |  | 353,000 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.38 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 587,536 |  |  |  | 588,326 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 615,020 |  |  |  | 615,850 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 427,511 |  |  |  | 428,088 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 1,088,595 |  |  |  | 1,090,065 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 270,143 |  |  |  | 270,507 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 424,860 |  |  |  | 425,434 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 860,320 |  |  |  | 861,481 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 184,800 |  |  |  | 185,049 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.39 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 542,715 |  |  |  | 543,446 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.39 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 600,231 |  |  |  | 601,040 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.40 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 87,763 |  |  |  | 87,881 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.45 | (b) |  |  | 06/21/23 |  |  |  | Open |  |  |  | 506,920 |  |  |  | 507,611 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.16 | (b) |  |  | 06/22/23 |  |  |  | Open |  |  |  | 351,067 |  |  |  | 351,470 |  |  | Corporate Bonds |  |  | Open/Demand |
BNP Paribas SA |  |  | 5.16 | (b) |  |  | 06/22/23 |  |  |  | Open |  |  |  | 388,040 |  |  |  | 388,485 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 1,127,200 |  |  |  | 1,128,503 |  |  | Corporate Bonds |  |  | Open/Demand |
Goldman Sachs & Co. LLC |  |  | 5.20 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 4,589,981 |  |  |  | 4,595,285 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 171,275 |  |  |  | 171,323 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 230,606 |  |  |  | 230,875 |  |  | Corporate Bonds |  |  | Open/Demand |

102 |  | 2 0 2 3 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, 2023 |  | 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) |
TD Securities (USA) LLC |  |  | 5.24 | %(b) |  |  | 06/23/23 |  |  |  | Open |  |  | $ | 334,588 |  |  | $ | 334,977 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 239,375 |  |  |  | 239,654 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 96,250 |  |  |  | 96,362 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 168,656 |  |  |  | 168,853 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 413,875 |  |  |  | 414,357 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 94,250 |  |  |  | 94,360 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 132,475 |  |  |  | 132,629 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 157,343 |  |  |  | 157,526 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.24 | (b) |  |  | 06/23/23 |  |  |  | Open |  |  |  | 167,888 |  |  |  | 168,083 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/26/23 |  |  |  | Open |  |  |  | 226,100 |  |  |  | 226,297 |  |  | Corporate Bonds |  |  | Open/Demand |
BofA Securities, Inc. |  |  | 4.45 |  |  |  | 06/27/23 |  |  |  | 07/19/23 |  |  |  | 408,750 |  |  |  | 408,902 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.07 |  |  |  | 06/27/23 |  |  |  | 07/19/23 |  |  |  | 597,500 |  |  |  | 597,752 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.10 |  |  |  | 06/27/23 |  |  |  | 07/19/23 |  |  |  | 253,045 |  |  |  | 253,153 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.35 |  |  |  | 06/27/23 |  |  |  | 07/19/23 |  |  |  | 469,500 |  |  |  | 469,709 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 4.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 107,250 |  |  |  | 107,288 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 4.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 132,250 |  |  |  | 132,297 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 4.75 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 156,750 |  |  |  | 156,812 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.05 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 163,750 |  |  |  | 163,819 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.05 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 196,875 |  |  |  | 196,958 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.15 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 154,421 |  |  |  | 154,487 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 290,250 |  |  |  | 290,377 |  |  | Foreign Agency Obligations |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 153,500 |  |  |  | 153,567 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 241,875 |  |  |  | 241,981 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 160,750 |  |  |  | 160,820 |  |  | Foreign Agency Obligations |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 155,750 |  |  |  | 155,818 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 155,952 |  |  |  | 156,020 |  |  | Capital Trusts |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.25 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 147,500 |  |  |  | 147,565 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/27/23 |  |  |  | 07/21/23 |  |  |  | 64,250 |  |  |  | 64,279 |  |  | Foreign Agency Obligations |  |  | Up to 30 Days |
Nomura Securities International, Inc. |  |  | 5.23 | (b) |  |  | 06/27/23 |  |  |  | Open |  |  |  | 199,260 |  |  |  | 199,347 |  |  | Corporate Bonds |  |  | Open/Demand |
BofA Securities, Inc. |  |  | 3.00 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 121,338 |  |  |  | 121,358 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 3.50 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 221,448 |  |  |  | 221,491 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 454,984 |  |  |  | 455,115 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 735,051 |  |  |  | 735,264 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 471,902 |  |  |  | 472,040 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 269,555 |  |  |  | 269,634 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 485,940 |  |  |  | 486,082 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 97,763 |  |  |  | 97,791 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 313,230 |  |  |  | 313,321 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 921,690 |  |  |  | 921,959 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 202,946 |  |  |  | 203,005 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 1,058,929 |  |  |  | 1,059,238 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 176,138 |  |  |  | 176,189 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 755,580 |  |  |  | 755,800 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 239,020 |  |  |  | 239,090 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 126,500 |  |  |  | 126,537 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 460,892 |  |  |  | 461,027 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/28/23 |  |  |  | 07/19/23 |  |  |  | 1,110,000 |  |  |  | 1,110,327 |  |  | Capital Trusts |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/28/23 |  |  |  | Open |  |  |  | 648,420 |  |  |  | 648,609 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 934,780 |  |  |  | 935,050 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.20 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 434,730 |  |  |  | 434,793 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.25 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 335,887 |  |  |  | 335,985 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.28 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 259,170 |  |  |  | 259,208 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.28 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 805,057 |  |  |  | 805,294 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.30 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 1,422,900 |  |  |  | 1,419,487 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.35 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 375,570 |  |  |  | 375,682 |  |  | Corporate Bonds |  |  | Up to 30 Days |
BofA Securities, Inc. |  |  | 5.35 |  |  |  | 06/29/23 |  |  |  | 07/19/23 |  |  |  | 2,315,400 |  |  |  | 2,315,744 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/29/23 |  |  |  | 07/21/23 |  |  |  | 515,456 |  |  |  | 515,611 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/29/23 |  |  |  | 07/21/23 |  |  |  | 411,920 |  |  |  | 412,044 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/29/23 |  |  |  | 07/21/23 |  |  |  | 294,158 |  |  |  | 294,246 |  |  | Corporate Bonds |  |  | Up to 30 Days |
J.P. Morgan Securities LLC |  |  | 5.40 |  |  |  | 06/29/23 |  |  |  | 07/21/23 |  |  |  | 276,281 |  |  |  | 276,364 |  |  | Corporate Bonds |  |  | Up to 30 Days |
Goldman Sachs & Co. LLC |  |  | 5.30 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 940,940 |  |  |  | 941,217 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.37 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 573,495 |  |  |  | 573,581 |  |  | 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 |  | 103

Schedule of Investments (unaudited) (continued) June 30, 2023 |  | 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)
Nomura Securities International, Inc. |  |  | 5.37 | %(b) |  |  | 06/29/23 |  |  |  | Open |  |  | $ | 554,400 |  |  | $ | 554,483 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.37 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 731,670 |  |  |  | 731,779 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.37 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 760,197 |  |  |  | 760,311 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.37 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 740,155 |  |  |  | 740,265 |  |  | Corporate Bonds |  |  | Open/Demand |
Nomura Securities International, Inc. |  |  | 5.37 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 598,785 |  |  |  | 598,874 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.38 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 762,005 |  |  |  | 762,233 |  |  | Corporate Bonds |  |  | Open/Demand |
RBC Capital Markets, LLC |  |  | 5.40 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 156,420 |  |  |  | 156,467 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.30 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 1,936,065 |  |  |  | 1,936,635 |  |  | Corporate Bonds |  |  | Open/Demand |
TD Securities (USA) LLC |  |  | 5.42 | (b) |  |  | 06/29/23 |  |  |  | Open |  |  |  | 842,380 |  |  |  | 842,634 |  |  | Corporate Bonds |  |  | Open/Demand |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 238,091,391 |  |  | $ | 239,262,253 |  |  |  |  |  |  |

| (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 |  |  | 54 |  |  |  | 09/20/23 |  |  | $ | 6,401 |  |  | $ | (50,476 | )
2-Year U.S. Treasury Note |  |  | 222 |  |  |  | 09/29/23 |  |  |  | 45,153 |  |  |  | (625,381 | )
5-Year U.S. Treasury Note |  |  | 1,042 |  |  |  | 09/29/23 |  |  |  | 111,641 |  |  |  | (1,837,716 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | (2,513,573 | )
Short Contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
10-Year Japanese Government Treasury Bonds |  |  | 16 |  |  |  | 09/12/23 |  |  |  | 16,472 |  |  |  | (72,932 | )
10-Year U.S. Treasury Note |  |  | 239 |  |  |  | 09/20/23 |  |  |  | 26,843 |  |  |  | 452,824 |
U.S. Long Bond |  |  | 135 |  |  |  | 09/20/23 |  |  |  | 17,162 |  |  |  | (65,724 | )
Ultra U.S. Treasury Bond |  |  | 39 |  |  |  | 09/20/23 |  |  |  | 5,313 |  |  |  | (45,569 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | 268,599 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (2,244,974 | )

Forward Foreign Currency Exchange Contracts

Currency Purchased |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  |  |  |  | Unrealized Appreciation (Depreciation) |
USD |  |  | 6,275,905 |  |  | EUR |  |  | 5,719,000 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  |  | $ | 11,468 |
USD |  |  | 899,827 |  |  | EUR |  |  | 820,000 |  |  | State Street Bank and Trust Co. |  |  | 09/20/23 |  |  |  |  |  |  |  | 1,622 |
USD |  |  | 698,848 |  |  | GBP |  |  | 545,000 |  |  | BNP Paribas SA |  |  | 09/20/23 |  |  |  |  |  |  |  | 6,551 |
USD |  |  | 1,057,821 |  |  | GBP |  |  | 825,000 |  |  | State Street Bank and Trust Co. |  |  | 09/20/23 |  |  |  |  |  |  |  | 9,849 |
USD |  |  | 180,471 |  |  | JPY |  |  | 25,170,000 |  |  | The Bank of New York Mellon |  |  | 09/20/23 |  |  |  |  |  |  |  | 3,945 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 33,435 |
USD |  |  | 272,217 |  |  | EUR |  |  | 251,524 |  |  | Toronto-Dominion Bank |  |  | 09/14/23 |  |  |  |  |  |  |  | (3,211 | )
JPY |  |  | 25,170,940 |  |  | USD |  |  | 178,551 |  |  | Toronto-Dominion Bank |  |  | 09/20/23 |  |  |  |  |  |  |  | (2,019 | )
USD |  |  | 107,573 |  |  | EUR |  |  | 100,000 |  |  | Morgan Stanley & Co. International PLC |  |  | 09/20/23 |  |  |  |  |  |  |  | (1,965 | )
USD |  |  | 120,659 |  |  | GBP |  |  | 96,000 |  |  | Bank of America N.A. |  |  | 09/20/23 |  |  |  |  |  |  |  | (1,286 | )
USD |  |  | 122,830 |  |  | GBP |  |  | 97,000 |  |  | State Street Bank and Trust Co. |  |  | 09/20/23 |  |  |  |  |  |  |  | (386 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (8,867 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 24,568 |

104 |  | 2 0 2 3 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, 2023 |  | 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.40.V1 |  |  | 5.00 | % |  |  | Quarterly |  |  |  | 06/20/28 |  |  |  | USD 3,650 |  |  | $ | (108,536 | ) |  | $ | 3,555 |  |  | $ | (112,091 | )
CDX.NA.IG.40.V1 |  |  | 1.00 |  |  |  | Quarterly |  |  |  | 06/20/28 |  |  |  | USD 21,170 |  |  |  | (324,363 | ) |  |  | (140,920 | ) |  |  | (183,443 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (432,899 | ) |  | $ | (137,365 | ) |  | $ | (295,534 | )

Centrally Cleared Interest Rate Swaps

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Upfront Premium |  |  | Unrealized |
Paid by the Fund |  |  |  | Received by the Fund |  | Effective |  |  | Termination |  |  | Notional |  |  |  |  |  | Paid |  |  | Appreciation |
Rate |  | Frequency |  |  |  | Rate |  | Frequency |  | Date |  |  | Date |  |  | Amount (000) |  |  | Value |  |  | (Received) |  |  | (Depreciation) |
1‑Day SOFR, 1.09% |  | Annual |  |  |  | 3.32% |  | Annual |  |  | N/A |  |  |  | 11/28/42 |  |  |  | USD |  |  |  | 4,800 |  |  | $ | (114,096 | ) |  | $ | 113 |  |  | $ | (114,209 | )
1‑Day SOFR, 1.09% |  | Annual |  |  |  | 3.31% |  | Annual |  |  | N/A |  |  |  | 12/01/42 |  |  |  | USD |  |  |  | 1,600 |  |  |  | (39,912 | ) |  |  | 38 |  |  |  | (39,950 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (154,008 | ) |  | $ | 151 |  |  | $ | (154,159 | )

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 |  |  | BNP Paribas SA |  |  | 12/20/23 |  |  |  | CC |  |  | EUR | 6 |  |  | $ | (6,042 | ) |  | $ | (297 | ) |  | $ | (5,745 | ) |  |  |  |
|  | Thyssenkrupp AG |  |  | 1.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 12/20/23 |  |  |  | BB |  |  | EUR | 20 |  |  |  | 43 |  |  |  | (196 | ) |  |  | 239 |  |  |  |  |
|  | Virgin Media Finance PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 12/20/25 |  |  |  | B |  |  | EUR | 10 |  |  |  | 557 |  |  |  | 720 |  |  |  | (163 | ) |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 06/20/26 |  |  |  | BB- |  |  | EUR | 15 |  |  |  | 185 |  |  |  | (394 | ) |  |  | 579 |  |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 12/20/26 |  |  |  | BB- |  |  | EUR | 20 |  |  |  | (86 | ) |  |  | (617 | ) |  |  | 531 |  |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 12/20/26 |  |  |  | BB- |  |  | EUR | 10 |  |  |  | (44 | ) |  |  | 316 |  |  |  | (360 | ) |  |  |  |
|  | Jaguar Land Rover Automotive PLC |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 12/20/26 |  |  |  | BB- |  |  | EUR | 10 |  |  |  | (43 | ) |  |  | 325 |  |  |  | (368 | ) |  |  |  |
|  | K&S AG |  |  | 5.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 12/20/26 |  |  |  | BBB- |  |  | EUR | 10 |  |  |  | 1,198 |  |  |  | 636 |  |  |  | 562 |  |  |  |  |
|  | CMA CGM SA |  |  | 5.00 |  |  |  | Quarterly |  |  | Credit Suisse International |  |  | 06/20/27 |  |  |  | NR |  |  | EUR | 30 |  |  |  | 2,901 |  |  |  | 1,112 |  |  |  | 1,789 |  |  |  |  |
|  | Ladbrokes Coral Group Ltd. |  |  | 1.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 06/20/27 |  |  |  | BB |  |  | EUR | 10 |  |  |  | (188 | ) |  |  | (898 | ) |  |  | 710 |  |  |  |  |
|  | Ladbrokes Coral Group Ltd. |  |  | 1.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 06/20/27 |  |  |  | BB |  |  | EUR | 40 |  |  |  | (752 | ) |  |  | (5,728 | ) |  |  | 4,976 |  |  |  |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Bank of America N.A. |  |  | 12/20/27 |  |  |  | CCC+ |  |  | EUR | 7 |  |  |  | (1,798 | ) |  |  | (1,525 | ) |  |  | (273 | ) |  |  |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 12/20/27 |  |  |  | CCC+ |  |  | EUR | 4 |  |  |  | (1,081 | ) |  |  | (902 | ) |  |  | (179 | ) |  |  |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Barclays Bank PLC |  |  | 12/20/27 |  |  |  | CCC+ |  |  | EUR | 12 |  |  |  | (3,036 | ) |  |  | (2,532 | ) |  |  | (504 | ) |  |  |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | Citibank N.A. |  |  | 12/20/27 |  |  |  | CCC+ |  |  | EUR | 4 |  |  |  | (881 | ) |  |  | (755 | ) |  |  | (126 | ) |  |  |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 12/20/27 |  |  |  | CCC+ |  |  | EUR | 8 |  |  |  | (1,845 | ) |  |  | (1,572 | ) |  |  | (273 | ) |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  | Morgan Stanley & Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Adler Real Estate AG |  |  | 5.00 |  |  |  | Quarterly |  |  | International PLC |  |  | 12/20/27 |  |  |  | CCC+ |  |  | EUR | 5 |  |  |  | (1,337 | ) |  |  | (1,123 | ) |  |  | (214 | ) |  |  |  |
|  | United Group B.V. |  |  | 5.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 12/20/27 |  |  |  | B |  |  | EUR | 22 |  |  |  | (2,163 | ) |  |  | (3,301 | ) |  |  | 1,138 |  |  |  |  |
|  | Casino, Guichard-Perrachon S.A. |  |  | 5.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 06/20/28 |  |  |  | CC |  |  | EUR | 6 |  |  |  | (6,123 | ) |  |  | (4,527 | ) |  |  | (1,596 | ) |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  | Morgan Stanley & Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | K&S AG |  |  | 5.00 |  |  |  | Quarterly |  |  | International PLC |  |  | 06/20/28 |  |  |  | BBB- |  |  | EUR | 10 |  |  |  | 1,352 |  |  |  | 1,058 |  |  |  | 294 |  |  |  |  |
|  | Ladbrokes Coral Group Ltd. |  |  | 1.00 |  |  |  | Quarterly |  |  | JPMorgan Chase Bank N.A. |  |  | 06/20/28 |  |  |  | BB |  |  | EUR | 9 |  |  |  | (320 | ) |  |  | (620 | ) |  |  | 300 |  |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  | Morgan Stanley & Co. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | CMBX.NA.15 |  |  | 3.00 |  |  |  | Monthly |  |  | International PLC |  |  | 11/15/64 |  |  |  | N/R |  |  | USD | 2,318 |  |  |  | (669,226 | ) |  |  | (432,373 | ) |  |  | (236,853 | ) |  |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (688,729 | ) |  | $ | (453,193 | ) |  | $ | (235,536 | ) |  |  |  |

| (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.

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW)

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) |  | $ | 3,706 |  |  | $ | (140,920 | ) |  | $ | — |  |  | $ | (449,693 | )
OTC Swaps |  |  | 4,167 |  |  |  | (457,360 | ) |  |  | 11,118 |  |  |  | (246,654 | )

| (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) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 452,824 |  |  | $ | — |  |  | $ | 452,824 |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 33,435 |  |  |  | — |  |  |  | — |  |  |  | 33,435 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  |  | 15,285 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 15,285 |
|  | $ | — |  |  | $ | 15,285 |  |  | $ | — |  |  | $ | 33,435 |  |  | $ | 452,824 |  |  | $ | — |  |  | $ | 501,544 |
Liabilities — Derivative Financial Instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on futures contracts(a) |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 2,697,798 |  |  | $ | — |  |  | $ | 2,697,798 |
Forward foreign currency exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 8,867 |  |  |  | — |  |  |  | — |  |  |  | 8,867 |
Swaps — centrally cleared |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on centrally cleared swaps(a) |  |  | — |  |  |  | 295,534 |  |  |  | — |  |  |  | — |  |  |  | 154,159 |  |  |  | — |  |  |  | 449,693 |
Swaps — OTC |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unrealized depreciation on OTC swaps; Swap premiums received |  |  | — |  |  |  | 704,014 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 704,014 |
|  | $ | — |  |  | $ | 999,548 |  |  | $ | — |  |  | $ | 8,867 |  |  | $ | 2,851,957 |  |  | $ | — |  |  | $ | 3,860,372 |

| (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, 2023, 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 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3,738,095 | ) |  | $ | — |  |  | $ | (3,738,095 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (102,021 | ) |  |  | — |  |  |  | — |  |  |  | (102,021 | )
Swaps |  |  | — |  |  |  | (690,680 | ) |  |  | — |  |  |  | — |  |  |  | 2,662,652 |  |  |  | — |  |  |  | 1,971,972 |
|  | $ | — |  |  | $ | (690,680 | ) |  | $ | — |  |  | $ | (102,021 | ) |  | $ | (1,075,443 | ) |  | $ | — |  |  | $ | (1,868,144 | )
Net Change in Unrealized Appreciation (Depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (3,038,412 | ) |  | $ | — |  |  | $ | (3,038,412 | )
Forward foreign currency exchange contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 47,501 |  |  |  | — |  |  |  | — |  |  |  | 47,501 |
Swaps |  |  | — |  |  |  | 88,979 |  |  |  | — |  |  |  | — |  |  |  | (2,458,824 | ) |  |  | — |  |  |  | (2,369,845 | )
|  | $ | — |  |  | $ | 88,979 |  |  | $ | — |  |  | $ | 47,501 |  |  | $ | (5,497,236 | ) |  | $ | — |  |  | $ | (5,360,756 | )

106 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

Futures contracts: |  |  |  |
Average notional value of contracts — long |  | $ | 239,197,460 |
Average notional value of contracts — short |  | $ | 76,742,540 |
Forward foreign currency exchange contracts: |  |  |  |
Average amounts purchased — in USD |  | $ | 9,723,873 |
Average amounts sold — in USD |  | $ | 193,740 |
Credit default swaps: |  |  |  |
Average notional value — buy protection |  | $ | 24,460,000 |
Average notional value — sell protection |  | $ | 2,628,500 |
Interest rate swaps: |  |  |  |
Average notional value — pays fixed rate |  | $ | — | (a)
Average notional value — receives fixed rate |  | $ | 6,400,000 |

| (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 |  |  |  |  |  |  |  |
Futures contracts |  | $ | 85,603 |  |  | $ | 199,354 |
Forward foreign currency exchange contracts |  |  | 33,435 |  |  |  | 8,867 |
Swaps — centrally cleared |  |  | — |  |  |  | 23,590 |
Swaps — OTC(a) |  |  | 15,285 |  |  |  | 704,014 |
Total derivative assets and liabilities in the Statements of Assets and Liabilities |  |  | 134,323 |  |  |  | 935,825 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  | (85,603 | ) |  |  | (222,944 | )
Total derivative assets and liabilities subject to an MNA |  | $ | 48,720 |  |  | $ | 712,881 |

| (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. |  | $ | 1,349 |  |  | $ | (1,349 | ) |  | $ | — |  |  | $ | — |  |  | $ | — |
Barclays Bank PLC |  |  | 316 |  |  |  | (316 | ) |  |  | — |  |  |  | — |  |  |  | — |
BNP Paribas SA |  |  | 18,019 |  |  |  | (6,042 | ) |  |  | — |  |  |  | — |  |  |  | 11,977 |
Credit Suisse International |  |  | 3,226 |  |  |  | (368 | ) |  |  | — |  |  |  | — |  |  |  | 2,858 |
JPMorgan Chase Bank N.A. |  |  | 9,042 |  |  |  | (9,042 | ) |  |  | — |  |  |  | — |  |  |  | — |
Morgan Stanley & Co. International PLC |  |  | 1,352 |  |  |  | (1,352 | ) |  |  | — |  |  |  | — |  |  |  | — |
State Street Bank and Trust Co. |  |  | 11,471 |  |  |  | (386 | ) |  |  | — |  |  |  | — |  |  |  | 11,085 |
The Bank of New York Mellon |  |  | 3,945 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,945 |
|  | $ | 48,720 |  |  | $ | (18,855 | ) |  | $ | — |  |  | $ | — |  |  | $ | 29,865 |

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW)

Counterparty |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  |  |  | Derivatives Available for Offset | (a) |  |  | Non-Cash Collateral Pledged |  |  |  | Cash Collateral Pledged | (d) |  |  | Net Amount of Derivative Liabilities | (b)(e)
Bank of America N.A. |  | $ | 4,291 |  |  | $ | (1,349 | ) |  | $ | — |  |  | $ | — |  |  | $ | 2,942 |
Barclays Bank PLC |  |  | 4,477 |  |  |  | (316 | ) |  |  | — |  |  |  | (4,161 | ) |  |  | — |
BNP Paribas SA |  |  | 6,042 |  |  |  | (6,042 | ) |  |  | — |  |  |  | — |  |  |  | — |
Citibank N.A. |  |  | 881 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 881 |
Credit Suisse International |  |  | 368 |  |  |  | (368 | ) |  |  | — |  |  |  | — |  |  |  | — |
JPMorgan Chase Bank N.A. |  |  | 18,678 |  |  |  | (9,042 | ) |  |  | — |  |  |  | — |  |  |  | 9,636 |
Morgan Stanley & Co. International PLC |  |  | 672,528 |  |  |  | (1,352 | ) |  |  | — |  |  |  | (460,000 | ) |  |  | 211,176 |
State Street Bank and Trust Co. |  |  | 386 |  |  |  | (386 | ) |  |  | — |  |  |  | — |  |  |  | — |
Toronto-Dominion Bank |  |  | 5,230 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 5,230 |
|  | $ | 712,881 |  |  | $ | (18,855 | ) |  | $ | — |  |  | $ | (464,161 | ) |  | $ | 229,865 |

| (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 |  | $ | — |  |  | $ | 32,728,076 |  |  | $ | 858,419 |  |  | $ | 33,586,495 |
Common Stocks |  |  | — |  |  |  | 172,652 |  |  |  | 5,467 |  |  |  | 178,119 |
Corporate Bonds |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aerospace & Defense |  |  | — |  |  |  | 14,858,755 |  |  |  | — |  |  |  | 14,858,755 |
Automobile Components |  |  | — |  |  |  | 6,329,468 |  |  |  | — |  |  |  | 6,329,468 |
Automobiles |  |  | — |  |  |  | 7,076,700 |  |  |  | — |  |  |  | 7,076,700 |
Banks |  |  | — |  |  |  | 2,901,002 |  |  |  | — |  |  |  | 2,901,002 |
Beverages |  |  | — |  |  |  | 9,995,607 |  |  |  | — |  |  |  | 9,995,607 |
Biotechnology |  |  | — |  |  |  | 98,632 |  |  |  | — |  |  |  | 98,632 |
Broadline Retail |  |  | — |  |  |  | 114,487 |  |  |  | — |  |  |  | 114,487 |
Building Materials |  |  | — |  |  |  | 5,490,969 |  |  |  | — |  |  |  | 5,490,969 |
Building Products |  |  | — |  |  |  | 4,313,583 |  |  |  | — |  |  |  | 4,313,583 |
Capital Markets |  |  | — |  |  |  | 6,014,970 |  |  |  | — |  |  |  | 6,014,970 |
Chemicals |  |  | — |  |  |  | 7,950,940 |  |  |  | — |  |  |  | 7,950,940 |
Commercial Services & Supplies |  |  | — |  |  |  | 7,492,895 |  |  |  | — |  |  |  | 7,492,895 |
Communications Equipment |  |  | — |  |  |  | 2,250,760 |  |  |  | — |  |  |  | 2,250,760 |
Construction Materials |  |  | — |  |  |  | 497,278 |  |  |  | — |  |  |  | 497,278 |
Consumer Discretionary |  |  | — |  |  |  | 10,603,933 |  |  |  | — |  |  |  | 10,603,933 |
Consumer Finance |  |  | — |  |  |  | 8,448,738 |  |  |  | — |  |  |  | 8,448,738 |
Consumer Staples Distribution & Retail |  |  | — |  |  |  | 4,049,891 |  |  |  | — |  |  |  | 4,049,891 |
Containers & Packaging |  |  | — |  |  |  | 2,666,621 |  |  |  | — |  |  |  | 2,666,621 |
Diversified Consumer Services |  |  | — |  |  |  | 8,889,013 |  |  |  | — |  |  |  | 8,889,013 |
Diversified REITs |  |  | — |  |  |  | 4,535,149 |  |  |  | — |  |  |  | 4,535,149 |
Diversified Telecommunication Services |  |  | — |  |  |  | 9,520,476 |  |  |  | — |  |  |  | 9,520,476 |
Electric Utilities |  |  | — |  |  |  | 3,906,961 |  |  |  | — |  |  |  | 3,906,961 |
Electrical Equipment |  |  | — |  |  |  | 1,573,895 |  |  |  | — |  |  |  | 1,573,895 |
Electronic Equipment, Instruments & Components |  |  | — |  |  |  | 1,454,094 |  |  |  | — |  |  |  | 1,454,094 |
Energy Equipment & Services |  |  | — |  |  |  | 3,321,387 |  |  |  | — |  |  |  | 3,321,387 |
Environmental, Maintenance & Security Service |  |  | — |  |  |  | 4,313,981 |  |  |  | — |  |  |  | 4,313,981 |
Financial Services |  |  | — |  |  |  | 8,650,760 |  |  |  | — |  |  |  | 8,650,760 |
Food Products |  |  | — |  |  |  | 3,348,592 |  |  |  | — |  |  |  | 3,348,592 |

108 |  | 2 0 2 3 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, 2023 |  | BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Corporate Bonds (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gas Utilities |  | $ | — |  |  | $ | 340,496 |  |  | $ | — |  |  | $ | 340,496 |
Ground Transportation |  |  | — |  |  |  | 1,914,079 |  |  |  | — |  |  |  | 1,914,079 |
Health Care Equipment & Supplies |  |  | — |  |  |  | 1,185,020 |  |  |  | — |  |  |  | 1,185,020 |
Health Care Providers & Services |  |  | — |  |  |  | 12,923,123 |  |  |  | — |  |  |  | 12,923,123 |
Health Care Technology |  |  | — |  |  |  | 3,162,053 |  |  |  | — |  |  |  | 3,162,053 |
Hotels, Restaurants & Leisure |  |  | — |  |  |  | 16,623,520 |  |  |  | — |  |  |  | 16,623,520 |
Household Durables |  |  | — |  |  |  | 2,686,765 |  |  |  | — |  |  |  | 2,686,765 |
Household Products |  |  | — |  |  |  | 176,605 |  |  |  | — |  |  |  | 176,605 |
Independent Power and Renewable Electricity Producers |  |  | — |  |  |  | 3,486,357 |  |  |  | — |  |  |  | 3,486,357 |
Industrial Conglomerates |  |  | — |  |  |  | 173,937 |  |  |  | — |  |  |  | 173,937 |
Insurance |  |  | — |  |  |  | 9,685,208 |  |  |  | — |  |  |  | 9,685,208 |
Interactive Media & Services |  |  | — |  |  |  | 838,253 |  |  |  | — |  |  |  | 838,253 |
Internet Software & Services |  |  | — |  |  |  | 4,936,424 |  |  |  | — |  |  |  | 4,936,424 |
IT Services |  |  | — |  |  |  | 4,515,445 |  |  |  | — |  |  |  | 4,515,445 |
Leisure Products |  |  | — |  |  |  | 426,268 |  |  |  | — |  |  |  | 426,268 |
Machinery |  |  | — |  |  |  | 5,118,693 |  |  |  | — |  |  |  | 5,118,693 |
Marine Transportation |  |  | — |  |  |  | 164,929 |  |  |  | — |  |  |  | 164,929 |
Media |  |  | — |  |  |  | 33,276,687 |  |  |  | — |  |  |  | 33,276,687 |
Metals & Mining |  |  | — |  |  |  | 9,097,414 |  |  |  | — |  |  |  | 9,097,414 |
Multi-Utilities |  |  | — |  |  |  | 1,147,609 |  |  |  | — |  |  |  | 1,147,609 |
Offshore Drilling & Other Services |  |  | — |  |  |  | 2,109,853 |  |  |  | — |  |  |  | 2,109,853 |
Oil, Gas & Consumable Fuels |  |  | 87,028 |  |  |  | 44,226,502 |  |  |  | 1,159,163 |  |  |  | 45,472,693 |
Passenger Airlines |  |  | — |  |  |  | 6,367,212 |  |  |  | — |  |  |  | 6,367,212 |
Pharmaceuticals |  |  | — |  |  |  | 5,131,530 |  |  |  | — |  |  |  | 5,131,530 |
Real Estate |  |  | — |  |  |  | 90,042 |  |  |  | — |  |  |  | 90,042 |
Real Estate Management & Development |  |  | — |  |  |  | 2,280,988 |  |  |  | — |  |  |  | 2,280,988 |
Semiconductors & Semiconductor Equipment |  |  | — |  |  |  | 4,561,198 |  |  |  | — |  |  |  | 4,561,198 |
Software |  |  | — |  |  |  | 11,811,011 |  |  |  | — |  |  |  | 11,811,011 |
Specialized REITs |  |  | — |  |  |  | 1,078,201 |  |  |  | — |  |  |  | 1,078,201 |
Specialty Retail |  |  | — |  |  |  | 1,224,040 |  |  |  | — |  |  |  | 1,224,040 |
Technology Hardware, Storage & Peripherals |  |  | — |  |  |  | 1,233,020 |  |  |  | — |  |  |  | 1,233,020 |
Textiles, Apparel & Luxury Goods |  |  | — |  |  |  | 645,493 |  |  |  | — |  |  |  | 645,493 |
Transportation Infrastructure |  |  | — |  |  |  | 1,180,758 |  |  |  | — |  |  |  | 1,180,758 |
Wireless Telecommunication Services |  |  | — |  |  |  | 4,638,810 |  |  |  | — |  |  |  | 4,638,810 |
Floating Rate Loan Interests |  |  | — |  |  |  | 269,785,516 |  |  |  | 9,253,407 |  |  |  | 279,038,923 |
Foreign Agency Obligations |  |  | — |  |  |  | 3,725,655 |  |  |  | — |  |  |  | 3,725,655 |
Investment Companies |  |  | 4,849,741 |  |  |  | — |  |  |  | — |  |  |  | 4,849,741 |
Non-Agency Mortgage-Backed Securities |  |  | — |  |  |  | 15,243,636 |  |  |  | — |  |  |  | 15,243,636 |
Other Interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capital Trusts |  |  | — |  |  |  | 18,133,601 |  |  |  | — |  |  |  | 18,133,601 |
Preferred Stocks |  |  | 6,215,978 |  |  |  | — |  |  |  | — |  |  |  | 6,215,978 |
U.S. Government Sponsored Agency Securities |  |  | — |  |  |  | 27,447,505 |  |  |  | — |  |  |  | 27,447,505 |
Warrants |  |  | 4,092 |  |  |  | — |  |  |  | — |  |  |  | 4,092 |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | 19,186 |  |  |  | — |  |  |  | 19,186 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Unfunded Floating Rate Loan Interests(a) |  |  | — |  |  |  | (3,278 | ) |  |  | — |  |  |  | (3,278 | )
|  | $ | 11,156,839 |  |  | $ | 716,379,629 |  |  | $ | 11,276,456 |  |  |  | 738,812,924 |
Investments Valued at NAV(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 1,392 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 738,814,316 |
Derivative Financial Instruments(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  | $ | — |  |  | $ | 11,118 |  |  | $ | — |  |  | $ | 11,118 |
Foreign Currency Exchange Contracts |  |  | — |  |  |  | 33,435 |  |  |  | — |  |  |  | 33,435 |
Interest Rate Contracts |  |  | 452,824 |  |  |  | — |  |  |  | — |  |  |  | 452,824 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Contracts |  |  | — |  |  |  | (542,188 | ) |  |  | — |  |  |  | (542,188 | )

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, 2023 |  | BlackRock Limited Duration Income Trust (BLW)

Fair Value Hierarchy as of Period End (continued)

|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities (continued) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Exchange Contracts |  | $ | — |  |  | $ | (8,867 | ) |  | $ | — |  |  | $ | (8,867 | )
Interest Rate Contracts |  |  | (2,697,798 | ) |  |  | (154,159 | ) |  |  | — |  |  |  | (2,851,957 | )
|  | $ | (2,244,974 | ) |  | $ | (660,661 | ) |  | $ | — |  |  | $ | (2,905,635 | )

| (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 as a practical expedient 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 $239,262,253 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 and derivative financial instruments 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 |  |  | Non-Agency Mortgage‑Backed Securities |  |  | Other Interests |  |  | Total |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening balance, as of December 31, 2022 |  | $ | 1,354,025 |  |  | $ | 6,098 |  |  | $ | 1,198,484 |  |  | $ | 3,710,331 |  |  | $ | 384,933 |  |  | $ | — | (a) |  | $ | 6,653,871 |
Transfers into Level 3(b) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 5,046,841 |  |  |  | — |  |  |  | — |  |  |  | 5,046,841 |
Transfers out of Level 3(c) |  |  | (500,000 | ) |  |  | — |  |  |  | — |  |  |  | (735,661 | ) |  |  | (384,933 | ) |  |  | — |  |  |  | (1,620,594 | )
Accrued discounts/premiums |  |  | (16,047 | ) |  |  | — |  |  |  | — |  |  |  | 94,522 |  |  |  | — |  |  |  | — |  |  |  | 78,475 |
Net realized gain (loss) |  |  | — |  |  |  | (100,300 | ) |  |  | — |  |  |  | (43,707 | ) |  |  | — |  |  |  | — |  |  |  | (144,007 | )
Net change in unrealized appreciation (depreciation)(d)(e) |  |  | 20,441 |  |  |  | 100,056 |  |  |  | (20,539 | ) |  |  | 171,940 |  |  |  | — |  |  |  | — |  |  |  | 271,898 |
Purchases |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,684,080 |  |  |  | — |  |  |  | — |  |  |  | 2,684,080 |
Sales |  |  | — |  |  |  | (387 | ) |  |  | (18,782 | ) |  |  | (1,674,939 | ) |  |  | — |  |  |  | — |  |  |  | (1,694,108 | )
Closing balance, as of June 30, 2023 |  | $ | 858,419 |  |  | $ | 5,467 |  |  | $ | 1,159,163 |  |  | $ | 9,253,407 |  |  | $ | — |  |  | $ | — | (a) |  | $ | 11,276,456 |
Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2023(e) |  | $ | 20,441 |  |  | $ | — |  |  | $ | (20,539 | ) |  | $ | 145,597 |  |  | $ | — |  |  | $ | — |  |  | $ | 145,499 |

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

| (b) | As of December 31, 2022, the Fund used observable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2022, the Fund used significant unobservable inputs in determining the value of certain investments. As of June 30, 2023, 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, 2023 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 3 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, 2023

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments, at value — unaffiliated(a) |  | $ | 632,043,847 |  |  | $ | 593,796,833 |  |  | $ | 426,051,401 |  |  | $ | 738,798,408 |
Investments, at value — affiliated(b) |  |  | 1,501,400 |  |  |  | 5,254,900 |  |  |  | 6,098,856 |  |  |  | — |
Cash |  |  | 1,976,150 |  |  |  | 1,051,332 |  |  |  | — |  |  |  | 41,855 |
Cash pledged: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 390,000 |  |  |  | 1,468,704 |
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 470,000 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | 862,000 |  |  |  | 1,238,470 |
Centrally cleared swaps |  |  | 360,000 |  |  |  | 398,000 |  |  |  | 1,000 |  |  |  | 1,028,000 |
Foreign currency, at value(c) |  |  | — |  |  |  | 35,192 |  |  |  | — |  |  |  | — |
Receivables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments sold |  |  | 3,901,335 |  |  |  | 3,718,150 |  |  |  | 5,159 |  |  |  | 2,875,423 |
Reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 6,890,640 |
Dividends — unaffiliated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 43,103 |
Dividends — affiliated |  |  | 1,765 |  |  |  | 62 |  |  |  | 15,951 |  |  |  | 7,243 |
Interest — unaffiliated |  |  | 4,498,747 |  |  |  | 3,481,697 |  |  |  | 3,506,913 |  |  |  | 8,578,156 |
Principal paydowns |  |  | 1,101 |  |  |  | — |  |  |  | — |  |  |  | — |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 85,603 |
Variation margin on centrally cleared swaps |  |  | 29,406 |  |  |  | 32,533 |  |  |  | 71 |  |  |  | — |
Swap premiums paid |  |  | 1,181 |  |  |  | — |  |  |  | — |  |  |  | 4,167 |
Unrealized appreciation on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  | 23,917 |  |  |  | 23,847 |  |  |  | — |  |  |  | 33,435 |
OTC swaps |  |  | 1,758 |  |  |  | — |  |  |  | — |  |  |  | 11,118 |
Unfunded floating rate loan interests |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 19,186 |
Deferred offering costs |  |  | 225,369 |  |  |  | 9,048 |  |  |  | 115,813 |  |  |  | 110,250 |
Total assets |  |  | 644,565,976 |  |  |  | 607,801,594 |  |  |  | 437,047,164 |  |  |  | 761,703,761 |
LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign bank overdraft(d) |  |  | 5,570 |  |  |  | — |  |  |  | — |  |  |  | 14,033 |
Due to broker |  |  | 673,000 |  |  |  | — |  |  |  | — |  |  |  | — |
Cash received as collateral for OTC derivatives |  |  | — |  |  |  | — |  |  |  | 470,000 |  |  |  | — |
Borrowed bonds, at value(e) |  |  | — |  |  |  | — |  |  |  | 754,268 |  |  |  | — |
Reverse repurchase agreements, at value |  |  | — |  |  |  | — |  |  |  | 120,590,636 |  |  |  | 239,262,253 |
Payables: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments purchased |  |  | 5,196,705 |  |  |  | 5,175,462 |  |  |  | 41,207,228 |  |  |  | 29,540,083 |
Reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,308,527 |
Accounting services fees |  |  | 42,548 |  |  |  | 40,489 |  |  |  | 29,934 |  |  |  | 46,999 |
Administration fees |  |  | — |  |  |  | — |  |  |  | 69,585 |  |  |  | — |
Bank borrowings |  |  | 137,000,000 |  |  |  | 138,000,000 |  |  |  | — |  |  |  | — |
Custodian fees |  |  | 22,130 |  |  |  | 11,659 |  |  |  | 6,430 |  |  |  | 30,680 |
Income dividend distributions |  |  | 75,633 |  |  |  | 120,396 |  |  |  | 50,877 |  |  |  | 121,885 |
Interest expense and fees |  |  | 727,919 |  |  |  | 727,768 |  |  |  | 1,198 |  |  |  | — |
Investment advisory fees |  |  | 578,540 |  |  |  | 741,574 |  |  |  | 301,016 |  |  |  | 661,260 |
Offering costs |  |  | 1,830 |  |  |  | — |  |  |  | — |  |  |  | 8,226 |
Directors’ and Officer’s fees |  |  | 299,746 |  |  |  | 414 |  |  |  | 142,890 |  |  |  | 375,265 |
Other accrued expenses |  |  | 64,635 |  |  |  | 6,437 |  |  |  | 20,104 |  |  |  | 63,721 |
Principal payups |  |  | — |  |  |  | — |  |  |  | 1,643,439 |  |  |  | 63,051 |
Professional fees |  |  | 58,487 |  |  |  | 66,817 |  |  |  | 44,697 |  |  |  | 64,228 |
Transfer agent fees |  |  | 34,339 |  |  |  | 25,891 |  |  |  | 25,125 |  |  |  | 27,586 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 127,542 |  |  |  | 199,354 |
Variation margin on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 23,590 |
Swap premiums received |  |  | 6,031 |  |  |  | — |  |  |  | — |  |  |  | 457,360 |
Unrealized depreciation on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward foreign currency exchange contracts |  |  | 3,670 |  |  |  | — |  |  |  | — |  |  |  | 8,867 |
OTC swaps |  |  | 6,716 |  |  |  | — |  |  |  | — |  |  |  | 246,654 |
Unfunded floating rate loan interests |  |  | 19,097 |  |  |  | 21,575 |  |  |  | — |  |  |  | 3,278 |
Total liabilities |  |  | 144,816,596 |  |  |  | 144,938,482 |  |  |  | 165,484,969 |  |  |  | 274,526,900 |
Commitments and contingent liabilities |  |  |  |  |  |  |  |  |  |  |  |
NET ASSETS |  | $ | 499,749,380 |  |  | $ | 462,863,112 |  |  | $ | 271,562,195 |  |  | $ | 487,176,861 |

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, 2023

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
NET ASSETS CONSIST OF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Paid-in capital(f)(g)(h) |  | $ | 652,300,917 |  |  | $ | 538,835,342 |  |  | $ | 442,919,350 |  |  | $ | 618,119,596 |
Accumulated loss |  |  | (152,551,537 | ) |  |  | (75,972,230 | ) |  |  | (171,357,155 | ) |  |  | (130,942,735 | )
NET ASSETS |  | $ | 499,749,380 |  |  | $ | 462,863,112 |  |  | $ | 271,562,195 |  |  | $ | 487,176,861 |
Net asset value(f)(g)(h) |  | $ | 10.72 |  |  | $ | 13.14 |  |  | $ | 12.74 |  |  | $ | 13.64 |
(a)Investments, at cost — unaffiliated |  | $ | 675,465,379 |  |  | $ | 616,770,363 |  |  | $ | 475,634,069 |  |  | $ | 782,839,746 |
(b)Investments, at cost — affiliated |  | $ | 1,518,400 |  |  | $ | 5,273,897 |  |  | $ | 6,098,856 |  |  | $ | — |
(c)Foreign currency, at cost |  | $ | — |  |  | $ | 35,062 |  |  | $ | — |  |  | $ | — |
(d)Foreign bank overdraft, at cost |  | $ | 5,581 |  |  | $ | — |  |  | $ | — |  |  | $ | 13,235 |
(e)Proceeds received from borrowed bonds |  | $ | — |  |  | $ | — |  |  | $ | 842,347 |  |  | $ | — |
(f)Shares outstanding |  |  | 46,610,312 |  |  |  | 35,232,197 |  |  |  | 21,307,672 |  |  |  | 35,711,253 |
(g)Shares authorized |  |  | 400 million |  |  |  | 200 million |  |  |  | 200 million |  |  |  | Unlimited |
(h)Par value |  | $ | 0.10 |  |  | $ | 0.10 |  |  | $ | 0.010 |  |  | $ | 0.001 |

See notes to financial statements.

112 |  | 2 0 2 3 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, 2023

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
INVESTMENT INCOME |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — unaffiliated |  | $ | 47,433 |  |  | $ | 56,919 |  |  | $ | — |  |  | $ | 399,102 |
Dividends — affiliated |  |  | 59,951 |  |  |  | 135,087 |  |  |  | 141,813 |  |  |  | 59,588 |
Interest — unaffiliated |  |  | 27,684,364 |  |  |  | 26,980,800 |  |  |  | 7,799,514 |  |  |  | 26,593,166 |
Other income — unaffiliated |  |  | 267,638 |  |  |  | 374,239 |  |  |  | — |  |  |  | 241,095 |
Foreign taxes withheld |  |  | (4,883 | ) |  |  | — |  |  |  | — |  |  |  | (5,185 | )
Total investment income |  |  | 28,054,503 |  |  |  | 27,547,045 |  |  |  | 7,941,327 |  |  |  | 27,287,766 |
EXPENSES |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investment advisory |  |  | 1,714,645 |  |  |  | 2,214,861 |  |  |  | 908,113 |  |  |  | 1,997,948 |
Professional |  |  | 59,846 |  |  |  | 47,119 |  |  |  | 36,984 |  |  |  | 55,148 |
Accounting services |  |  | 48,131 |  |  |  | 46,095 |  |  |  | 33,088 |  |  |  | 53,778 |
Transfer agent |  |  | 38,725 |  |  |  | 26,425 |  |  |  | 38,490 |  |  |  | 36,480 |
Directors and Officer |  |  | 25,142 |  |  |  | 12,696 |  |  |  | 14,145 |  |  |  | 29,164 |
Custodian |  |  | 24,462 |  |  |  | 10,478 |  |  |  | 9,177 |  |  |  | 32,445 |
Registration |  |  | 7,872 |  |  |  | 5,953 |  |  |  | 16,890 |  |  |  | 6,036 |
Printing and postage |  |  | 1,501 |  |  |  | 7,277 |  |  |  | 4,518 |  |  |  | 4,467 |
Administration |  |  | — |  |  |  | — |  |  |  | 209,565 |  |  |  | — |
Miscellaneous |  |  | 25,391 |  |  |  | 8,735 |  |  |  | 17,080 |  |  |  | 51,610 |
Total expenses excluding interest expense |  |  | 1,945,715 |  |  |  | 2,379,639 |  |  |  | 1,288,050 |  |  |  | 2,267,076 |
Interest expense and fees |  |  | 3,829,766 |  |  |  | 3,908,569 |  |  |  | 2,950,202 |  |  |  | 6,062,145 |
Total expenses |  |  | 5,775,481 |  |  |  | 6,288,208 |  |  |  | 4,238,252 |  |  |  | 8,329,221 |
Less: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fees waived and/or reimbursed by the Manager |  |  | (4,411 | ) |  |  | (17,687 | ) |  |  | (2,256 | ) |  |  | (1,005 | )
Total expenses after fees waived and/or reimbursed |  |  | 5,771,070 |  |  |  | 6,270,521 |  |  |  | 4,235,996 |  |  |  | 8,328,216 |
Net investment income |  |  | 22,283,433 |  |  |  | 21,276,524 |  |  |  | 3,705,331 |  |  |  | 18,959,550 |
REALIZED AND UNREALIZED GAIN (LOSS) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments — unaffiliated |  |  | (6,314,017 | ) |  |  | (2,470,053 | ) |  |  | (15,209,797 | ) |  |  | (12,989,713 | )
Investments — affiliated |  |  | (45,666 | ) |  |  | (37,207 | ) |  |  | — |  |  |  | — |
Forward foreign currency exchange contracts |  |  | (53,804 | ) |  |  | (98,893 | ) |  |  | — |  |  |  | (102,021 | )
Foreign currency transactions |  |  | (108,021 | ) |  |  | (14,745 | ) |  |  | — |  |  |  | (37,946 | )
Futures contracts |  |  | — |  |  |  | — |  |  |  | 682,998 |  |  |  | (3,738,095 | )
Swaps |  |  | 99,148 |  |  |  | 120,142 |  |  |  | (16 | ) |  |  | 1,971,972 |
|  |  | (6,422,360 | ) |  |  | (2,500,756 | ) |  |  | (14,526,815 | ) |  |  | (14,895,803 | )
Net change in unrealized appreciation (depreciation) on: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments — unaffiliated |  |  | 20,117,677 |  |  |  | 14,339,515 |  |  |  | 14,653,890 |  |  |  | 26,847,237 |
Investments — affiliated |  |  | (17,000 | ) |  |  | (35,760 | ) |  |  | — |  |  |  | — |
Borrowed bonds |  |  | — |  |  |  | — |  |  |  | (19,235 | ) |  |  | — |
Forward foreign currency exchange contracts |  |  | 18,089 |  |  |  | 6,962 |  |  |  | — |  |  |  | 47,501 |
Foreign currency translations |  |  | 99 |  |  |  | 2,744 |  |  |  | — |  |  |  | 11,761 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | (55,430 | ) |  |  | (3,038,412 | )
Swaps |  |  | 134,250 |  |  |  | 143,402 |  |  |  | 43 |  |  |  | (2,369,845 | )
Unfunded floating rate loan interests |  |  | 23,287 |  |  |  | 26,911 |  |  |  | — |  |  |  | 47,313 |
|  |  | 20,276,402 |  |  |  | 14,483,774 |  |  |  | 14,579,268 |  |  |  | 21,545,555 |
Net realized and unrealized gain |  |  | 13,854,042 |  |  |  | 11,983,018 |  |  |  | 52,453 |  |  |  | 6,649,752 |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |  | $ | 36,137,475 |  |  | $ | 33,259,542 |  |  | $ | 3,757,784 |  |  | $ | 25,609,302 |

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 06/30/23 (unaudited) |  |  | Year Ended 12/31/22 |  |  | Six Months Ended 06/30/23 (unaudited) |  |  | Year Ended 12/31/22 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  |  |  |  | $ | 22,283,433 |  |  | $ | 33,524,702 |  |  |  |  |  |  | $ | 21,276,524 |  |  | $ | 29,462,918 |
Net realized loss |  |  |  |  |  |  | (6,422,360 | ) |  |  | (9,343,061 | ) |  |  |  |  |  |  | (2,500,756 | ) |  |  | (6,501,067 | )
Net change in unrealized appreciation (depreciation) |  |  |  |  |  |  | 20,276,402 |  |  |  | (43,923,145 | ) |  |  |  |  |  |  | 14,483,774 |  |  |  | (32,309,384 | )
Net increase (decrease) in net assets resulting from operations |  |  |  |  |  |  | 36,137,475 |  |  |  | (19,741,504 | ) |  |  |  |  |  |  | 33,259,542 |  |  |  | (9,347,533 | )
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (22,953,248 | )(b) |  |  | (31,579,170 | ) |  |  |  |  |  |  | (21,583,948 | )(b) |  |  | (27,297,906 | )
Return of capital |  |  |  |  |  |  | — |  |  |  | (838,309 | ) |  |  |  |  |  |  | — |  |  |  | — |
Decrease in net assets resulting from distributions to shareholders |  |  |  |  |  |  | (22,953,248 | ) |  |  | (32,417,479 | ) |  |  |  |  |  |  | (21,583,948 | ) |  |  | (27,297,906 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reinvestment of distributions |  |  |  |  |  |  | — |  |  |  | 43,132 |  |  |  |  |  |  |  | — |  |  |  | — |
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  |  |  |  |  | 13,184,227 |  |  |  | (52,115,851 | ) |  |  |  |  |  |  | 11,675,594 |  |  |  | (36,645,439 | )
Beginning of period |  |  |  |  |  |  | 486,565,153 |  |  |  | 538,681,004 |  |  |  |  |  |  |  | 451,187,518 |  |  |  | 487,832,957 |
End of period |  |  |  |  |  | $ | 499,749,380 |  |  | $ | 486,565,153 |  |  |  |  |  |  | $ | 462,863,112 |  |  | $ | 451,187,518 |

(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 3 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 06/30/23 (unaudited) |  |  | Year Ended 12/31/22 |  |  | Six Months Ended 06/30/23 (unaudited) |  |  | Year Ended 12/31/22 |
INCREASE (DECREASE) IN NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
OPERATIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  |  |  |  | $ | 3,705,331 |  |  | $ | 9,190,557 |  |  |  |  |  |  | $ | 18,959,550 |  |  | $ | 34,564,968 |
Net realized loss |  |  |  |  |  |  | (14,526,815 | ) |  |  | (2,021,958 | ) |  |  |  |  |  |  | (14,895,803 | ) |  |  | (29,094,666 | )
Net change in unrealized appreciation (depreciation) |  |  |  |  |  |  | 14,579,268 |  |  |  | (67,003,293 | ) |  |  |  |  |  |  | 21,545,555 |  |  |  | (71,493,091 | )
Net increase (decrease) in net assets resulting from operations |  |  |  |  |  |  | 3,757,784 |  |  |  | (59,834,694 | ) |  |  |  |  |  |  | 25,609,302 |  |  |  | (66,022,789 | )
DISTRIBUTIONS TO SHAREHOLDERS(a) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (11,275,720 | )(b) |  |  | (10,487,125 | ) |  |  |  |  |  |  | (21,019,644 | )(b) |  |  | (32,930,219 | )
Return of capital |  |  |  |  |  |  | — |  |  |  | (11,460,544 | ) |  |  |  |  |  |  | — |  |  |  | (5,605,804 | )
Decrease in net assets resulting from distributions to shareholders |  |  |  |  |  |  | (11,275,720 | ) |  |  | (21,947,669 | ) |  |  |  |  |  |  | (21,019,644 | ) |  |  | (38,536,023 | )
CAPITAL SHARE TRANSACTIONS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reinvestment of distributions |  |  |  |  |  |  | 45,446 |  |  |  | 64,960 |  |  |  |  |  |  |  | — |  |  |  | — |
NET ASSETS |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total increase (decrease) in net assets |  |  |  |  |  |  | (7,472,490 | ) |  |  | (81,717,403 | ) |  |  |  |  |  |  | 4,589,658 |  |  |  | (104,558,812 | )
Beginning of period |  |  |  |  |  |  | 279,034,685 |  |  |  | 360,752,088 |  |  |  |  |  |  |  | 482,587,203 |  |  |  | 587,146,015 |
End of period |  |  |  |  |  | $ | 271,562,195 |  |  | $ | 279,034,685 |  |  |  |  |  |  | $ | 487,176,861 |  |  | $ | 482,587,203 |

(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, 2023

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |
Net increase in net assets resulting from operations |  | $ | 36,137,475 |  |  | $ | 33,259,542 |  |  | $ | 3,757,784 |  |  | $ | 25,609,302 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Proceeds from sales of long-term investments and principal paydowns/payups |  |  | 121,627,282 |  |  |  | 86,726,201 |  |  |  | 543,130,453 |  |  |  | 459,916,818 |
Purchases of long-term investments |  |  | (95,960,831 | ) |  |  | (78,684,256 | ) |  |  | (542,370,828 | ) |  |  | (415,412,992 | )
Net proceeds from sales (purchases) of short-term securities |  |  | 471,074 |  |  |  | — |  |  |  | (341,842 | ) |  |  | 1,384,252 |
Amortization of premium and accretion of discount on investments and other fees |  |  | (945,616 | ) |  |  | (726,264 | ) |  |  | 3,419,395 |  |  |  | (826,209 | )
Paid-in-kind income |  |  | (48,849 | ) |  |  | 33,647 |  |  |  | — |  |  |  | (29,685 | )
Net realized loss on investments |  |  | 6,359,737 |  |  |  | 2,507,260 |  |  |  | 15,209,797 |  |  |  | 12,929,003 |
Net unrealized appreciation on investments, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests |  |  | (20,143,556 | ) |  |  | (14,355,117 | ) |  |  | (14,634,655 | ) |  |  | (26,907,459 | )
(Increase) Decrease in Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receivables |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dividends — affiliated |  |  | 5,450 |  |  |  | 3,914 |  |  |  | 12,603 |  |  |  | 4,060 |
Dividends — unaffiliated |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 27,930 |
Interest — unaffiliated |  |  | (411,376 | ) |  |  | (725,402 | ) |  |  | (461,031 | ) |  |  | (534,370 | )
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 278,672 |  |  |  | 319,532 |
Variation margin on centrally cleared swaps |  |  | (29,392 | ) |  |  | (32,519 | ) |  |  | (35 | ) |  |  | 16,642 |
Swap premiums paid |  |  | 768 |  |  |  | — |  |  |  | — |  |  |  | 436 |
Prepaid expenses |  |  | 4,079 |  |  |  | 3,771 |  |  |  | 17,232 |  |  |  | 3,938 |
Deferred offering costs |  |  | (125,426 | ) |  |  | — |  |  |  | — |  |  |  | — |
Increase (Decrease) in Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Due to broker |  |  | 673,000 |  |  |  | — |  |  |  | — |  |  |  | — |
Cash received |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (294,376 | )
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | 470,000 |  |  |  | — |
Collateral — TBA commitments |  |  | — |  |  |  | — |  |  |  | (2,152,000 | ) |  |  | — |
Payables |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Accounting services fees |  |  | 6,964 |  |  |  | 6,875 |  |  |  | 4,781 |  |  |  | 8,677 |
Administration fees |  |  | — |  |  |  | — |  |  |  | 33,207 |  |  |  | — |
Custodian fees |  |  | 5,131 |  |  |  | (6,202 | ) |  |  | (1,539 | ) |  |  | 157 |
Interest expense and fees |  |  | (65,182 | ) |  |  | 27,928 |  |  |  | (161,995 | ) |  |  | 242,219 |
Investment advisory fees |  |  | 269,514 |  |  |  | 355,490 |  |  |  | 143,880 |  |  |  | 303,053 |
Directors’ and Officer’s fees |  |  | (13,824 | ) |  |  | (157 | ) |  |  | (29,451 | ) |  |  | (12,103 | )
Other accrued expenses |  |  | 9,663 |  |  |  | (12,970 | ) |  |  | 2,688 |  |  |  | (6,592 | )
Professional fees |  |  | (43,474 | ) |  |  | (56,546 | ) |  |  | (40,157 | ) |  |  | (49,751 | )
Transfer agent fees |  |  | 5,232 |  |  |  | 5,866 |  |  |  | 1,776 |  |  |  | 4,197 |
Variation margin on futures contracts |  |  | — |  |  |  | — |  |  |  | 24,278 |  |  |  | (262,652 | )
Variation margin on centrally cleared swaps |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 23,590 |
Swap premiums received |  |  | (511 | ) |  |  | — |  |  |  | — |  |  |  | (225,636 | )
Net cash provided by operating activities |  |  | 47,787,332 |  |  |  | 28,331,061 |  |  |  | 6,313,013 |  |  |  | 56,231,981 |
CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |
Cash dividends paid to shareholders |  |  | (22,877,615 | ) |  |  | (21,463,552 | ) |  |  | (11,179,397 | ) |  |  | (20,897,759 | )
Payments for offering costs |  |  | 1,830 |  |  |  | — |  |  |  | — |  |  |  | — |
Payments for bank borrowings |  |  | (93,000,000 | ) |  |  | (67,000,000 | ) |  |  | — |  |  |  | — |
Proceeds from bank borrowings |  |  | 66,000,000 |  |  |  | 58,000,000 |  |  |  | — |  |  |  | — |
Increase (decrease) in bank overdraft |  |  | 5,570 |  |  |  | — |  |  |  | (878 | ) |  |  | 14,033 |
Net borrowing of reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 4,989,002 |  |  |  | (40,400,764 | )
Net cash used for financing activities |  |  | (49,870,215 | ) |  |  | (30,463,552 | ) |  |  | (6,191,273 | ) |  |  | (61,284,490 | )
CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS |  |  |  |  |  |  |  |  |  |  |  |
Cash impact from foreign exchange fluctuations |  |  | (10 | ) |  |  | 122 |  |  |  | — |  |  |  | (1,064 | )

116 |  | 2 0 2 3 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, 2023

|  | DSU |  |  | FRA |  |  | BKT |  |  | BLW |
CASH AND FOREIGN CURRENCY |  |  |  |  |  |  |  |  |  |  |  |
Net increase (decrease) in restricted and unrestricted cash and foreign currency |  | $ | (2,082,893 | ) |  | $ | (2,132,369 | ) |  | $ | 121,740 |  |  | $ | (5,053,573 | )
Restricted and unrestricted cash and foreign currency at beginning of period |  |  | 4,419,043 |  |  |  | 3,616,893 |  |  |  | 1,131,260 |  |  |  | 9,300,602 |
Restricted and unrestricted cash and foreign currency at end of period |  | $ | 2,336,150 |  |  | $ | 1,484,524 |  |  | $ | 1,253,000 |  |  | $ | 4,247,029 |
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION |  |  |  |  |  |  |  |  |  |  |  |
Cash paid during the period for interest expense |  | $ | 3,894,948 |  |  | $ | 3,880,641 |  |  | $ | 3,112,197 |  |  | $ | 5,819,926 |
NON-CASH FINANCING ACTIVITIES |  |  |  |  |  |  |  |  |  |  |  |
Reinvestment of distributions |  | $ | — |  |  | $ | — |  |  | $ | 45,446 |  |  | $ | — |
RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AT THE END OF PERIOD TO THE STATEMENTS OF ASSETS AND LIABILITIES |  |  |  |  |  |  |  |  |  |  |  |
Cash |  | $ | 1,976,150 |  |  | $ | 1,051,332 |  |  | $ | — |  |  | $ | 41,855 |
Cash pledged |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Collateral — reverse repurchase agreements |  |  | — |  |  |  | — |  |  |  | 390,000 |  |  |  | 1,468,704 |
Collateral — OTC derivatives |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 470,000 |
Futures contracts |  |  | — |  |  |  | — |  |  |  | 862,000 |  |  |  | 1,238,470 |
Centrally cleared swaps |  |  | 360,000 |  |  |  | 398,000 |  |  |  | 1,000 |  |  |  | 1,028,000 |
Foreign currency at value |  |  | — |  |  |  | 35,192 |  |  |  | — |  |  |  | — |
|  | $ | 2,336,150 |  |  | $ | 1,484,524 |  |  | $ | 1,253,000 |  |  | $ | 4,247,029 |

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 06/30/23 (unaudited) |  |  |  | Year Ended 12/31/22 |  |  |  | Year Ended 12/31/21 |  |  |  | Year Ended 12/31/20 |  |  |  | Period from 03/01/19 to 12/31/19 |  |  |  | Year Ended 02/28/19 |  |  |  | Year Ended 02/28/18(a)
Net asset value, beginning of period |  |  |  |  |  | $ | 10.44 |  |  |  |  |  |  | $ | 11.56 |  |  |  |  |  |  | $ | 11.55 |  |  |  |  |  |  | $ | 12.25 |  |  |  |  |  |  | $ | 12.16 |  |  |  |  |  |  | $ | 12.62 |  |  |  |  |  |  | $ | 12.70 |  |  |
Net investment income(b) |  |  |  |  |  |  | 0.48 |  |  |  |  |  |  |  | 0.72 |  |  |  |  |  |  |  | 0.61 |  |  |  |  |  |  |  | 0.63 |  |  |  |  |  |  |  | 0.64 |  |  |  |  |  |  |  | 0.79 |  |  |  |  |  |  |  | 0.78 |  |  |
Net realized and unrealized gain (loss) |  |  |  |  |  |  | 0.29 |  |  |  |  |  |  |  | (1.14 | ) |  |  |  |  |  |  | 0.13 |  |  |  |  |  |  |  | (0.50 | ) |  |  |  |  |  |  | 0.21 |  |  |  |  |  |  |  | (0.43 | ) |  |  |  |  |  |  | (0.04 | ) |  |
Net increase (decrease) from investment operations |  |  |  |  |  |  | 0.77 |  |  |  |  |  |  |  | (0.42 | ) |  |  |  |  |  |  | 0.74 |  |  |  |  |  |  |  | 0.13 |  |  |  |  |  |  |  | 0.85 |  |  |  |  |  |  |  | 0.36 |  |  |  |  |  |  |  | 0.74 |  |  |
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (0.49 | )(d) |  |  |  |  |  |  | (0.68 | ) |  |  |  |  |  |  | (0.62 | ) |  |  |  |  |  |  | (0.61 | ) |  |  |  |  |  |  | (0.73 | ) |  |  |  |  |  |  | (0.82 | ) |  |  |  |  |  |  | (0.82 | ) |  |
Return of capital |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (0.02 | ) |  |  |  |  |  |  | (0.11 | ) |  |  |  |  |  |  | (0.22 | ) |  |  |  |  |  |  | (0.03 | ) |  |  |  |  |  |  | — |  |  |  |  |  |  |  | — |  |  |
Total distributions |  |  |  |  |  |  | (0.49 | ) |  |  |  |  |  |  | (0.70 | ) |  |  |  |  |  |  | (0.73 | ) |  |  |  |  |  |  | (0.83 | ) |  |  |  |  |  |  | (0.76 | ) |  |  |  |  |  |  | (0.82 | ) |  |  |  |  |  |  | (0.82 | ) |  |
Net asset value, end of period |  |  |  |  |  | $ | 10.72 |  |  |  |  |  |  | $ | 10.44 |  |  |  |  |  |  | $ | 11.56 |  |  |  |  |  |  | $ | 11.55 |  |  |  |  |  |  | $ | 12.25 |  |  |  |  |  |  | $ | 12.16 |  |  |  |  |  |  | $ | 12.62 |  |  |
Market price, end of period |  |  |  |  |  | $ | 9.79 |  |  |  |  |  |  | $ | 9.20 |  |  |  |  |  |  | $ | 11.70 |  |  |  |  |  |  | $ | 10.45 |  |  |  |  |  |  | $ | 11.20 |  |  |  |  |  |  | $ | 10.78 |  |  |  |  |  |  | $ | 11.47 |  |  |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  |  |  | 8.00 | %(f) |  |  |  |  |  |  | (2.97 | )% |  |  |  |  |  |  | 6.67 | % |  |  |  |  |  |  | 2.57 | % |  |  |  |  |  |  | 8.03 | %(f) |  |  |  |  |  |  | 3.86 | % |  |  |  |  |  |  | 6.60 | %(g) |  |
Based on market price |  |  |  |  |  |  | 11.92 | %(f) |  |  |  |  |  |  | (15.51 | )% |  |  |  |  |  |  | 19.33 | % |  |  |  |  |  |  | 1.50 | % |  |  |  |  |  |  | 11.42 | %(f) |  |  |  |  |  |  | 1.30 | % |  |  |  |  |  |  | 5.35 | % |  |
Ratios to Average Net Assets(h) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  |  |  | 2.35 | %(i) |  |  |  |  |  |  | 1.90 | % |  |  |  |  |  |  | 1.34 | % |  |  |  |  |  |  | 1.48 | % |  |  |  |  |  |  | 2.21 | %(i)(j) |  |  |  |  |  |  | 2.23 | % |  |  |  |  |  |  | 1.86 | % |  |
Total expenses after fees waived and/or reimbursed |  |  |  |  |  |  | 2.35 | %(i) |  |  |  |  |  |  | 1.90 | % |  |  |  |  |  |  | 1.34 | % |  |  |  |  |  |  | 1.47 | % |  |  |  |  |  |  | 2.21 | %(i)(j) |  |  |  |  |  |  | 2.23 | % |  |  |  |  |  |  | 1.85 | % |  |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees |  |  |  |  |  |  | 0.79 | %(i) |  |  |  |  |  |  | 0.84 | % |  |  |  |  |  |  | 0.92 | % |  |  |  |  |  |  | 0.91 | % |  |  |  |  |  |  | 0.92 | %(i) |  |  |  |  |  |  | 0.96 | % |  |  |  |  |  |  | 0.94 | % |  |
Net investment income |  |  |  |  |  |  | 9.06 | %(i) |  |  |  |  |  |  | 6.65 | % |  |  |  |  |  |  | 5.21 | % |  |  |  |  |  |  | 5.65 | % |  |  |  |  |  |  | 6.25 | %(i) |  |  |  |  |  |  | 6.40 | % |  |  |  |  |  |  | 6.12 | % |  |
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  |  |  | $ | 499,749 |  |  |  |  |  |  | $ | 486,565 |  |  |  |  |  |  | $ | 538,681 |  |  |  |  |  |  | $ | 537,959 |  |  |  |  |  |  | $ | 605,240 |  |  |  |  |  |  | $ | 641,220 |  |  |  |  |  |  | $ | 742,204 |  |  |
Borrowings outstanding, end of period (000) |  |  |  |  |  | $ | 137,000 |  |  |  |  |  |  | $ | 164,000 |  |  |  |  |  |  | $ | 248,000 |  |  |  |  |  |  | $ | 229,000 |  |  |  |  |  |  | $ | 262,000 |  |  |  |  |  |  | $ | 278,000 |  |  |  |  |  |  | $ | 338,000 |  |  |
Asset coverage, end of period per $1,000 of bank borrowings(k) |  |  |  |  |  | $ | 4,648 |  |  |  |  |  |  | $ | 3,967 |  |  |  |  |  |  | $ | 3,172 |  |  |  |  |  |  | $ | 3,349 |  |  |  |  |  |  | $ | 3,310 |  |  |  |  |  |  | $ | 3,308 |  |  |  |  |  |  | $ | 3,196 |  |  |
Portfolio turnover rate |  |  |  |  |  |  | 16 | % |  |  |  |  |  |  | 18 | % |  |  |  |  |  |  | 47 | % |  |  |  |  |  |  | 67 | % |  |  |  |  |  |  | 53 | % |  |  |  |  |  |  | 62 | % |  |  |  |  |  |  | 59 | % |  |

(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) | Not annualized.

(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%.

(k) | Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.

See notes to financial statements.

118 |  | 2 0 2 3 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 06/30/23 (unaudited) |  |  | Year Ended 12/31/22 |  |  | Year Ended 12/31/21 |  |  | Year Ended 12/31/20 |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended 08/31/19 |  |  | Year Ended 08/31/18(a)
Net asset value, beginning of period |  |  |  |  |  | $ | 12.81 |  |  |  |  |  |  | $ | 13.85 |  |  |  |  |  |  | $ | 13.81 |  |  |  |  |  |  | $ | 14.55 |  |  |  |  |  |  | $ | 14.49 |  |  |  |  |  |  | $ | 14.92 |  |  |  |  |  |  | $ | 14.93 |  |  |
Net investment income(b) |  |  |  |  |  |  | 0.60 |  |  |  |  |  |  |  | 0.84 |  |  |  |  |  |  |  | 0.67 |  |  |  |  |  |  |  | 0.69 |  |  |  |  |  |  |  | 0.25 |  |  |  |  |  |  |  | 0.84 |  |  |  |  |  |  |  | 0.79 |  |  |
Net realized and unrealized gain (loss) |  |  |  |  |  |  | 0.34 |  |  |  |  |  |  |  | (1.11 | ) |  |  |  |  |  |  | 0.17 |  |  |  |  |  |  |  | (0.51 | ) |  |  |  |  |  |  | 0.19 |  |  |  |  |  |  |  | (0.40 | ) |  |  |  |  |  |  | (0.06 | ) |  |
Net increase (decrease) from investment operations |  |  |  |  |  |  | 0.94 |  |  |  |  |  |  |  | (0.27 | ) |  |  |  |  |  |  | 0.84 |  |  |  |  |  |  |  | 0.18 |  |  |  |  |  |  |  | 0.44 |  |  |  |  |  |  |  | 0.44 |  |  |  |  |  |  |  | 0.73 |  |  |
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (0.61 | )(d) |  |  |  |  |  |  | (0.77 | ) |  |  |  |  |  |  | (0.67 | ) |  |  |  |  |  |  | (0.70 | ) |  |  |  |  |  |  | (0.38 | ) |  |  |  |  |  |  | (0.87 | ) |  |  |  |  |  |  | (0.74 | ) |  |
Return of capital |  |  |  |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (0.13 | ) |  |  |  |  |  |  | (0.22 | ) |  |  |  |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  |  |  |  |  | — |  |  |
Total distributions |  |  |  |  |  |  | (0.61 | ) |  |  |  |  |  |  | (0.77 | ) |  |  |  |  |  |  | (0.80 | ) |  |  |  |  |  |  | (0.92 | ) |  |  |  |  |  |  | (0.38 | ) |  |  |  |  |  |  | (0.87 | ) |  |  |  |  |  |  | (0.74 | ) |  |
Net asset value, end of period |  |  |  |  |  | $ | 13.14 |  |  |  |  |  |  | $ | 12.81 |  |  |  |  |  |  | $ | 13.85 |  |  |  |  |  |  | $ | 13.81 |  |  |  |  |  |  | $ | 14.55 |  |  |  |  |  |  | $ | 14.49 |  |  |  |  |  |  | $ | 14.92 |  |  |
Market price, end of period |  |  |  |  |  | $ | 12.21 |  |  |  |  |  |  | $ | 11.26 |  |  |  |  |  |  | $ | 13.43 |  |  |  |  |  |  | $ | 12.11 |  |  |  |  |  |  | $ | 13.44 |  |  |  |  |  |  | $ | 12.46 |  |  |  |  |  |  | $ | 13.80 |  |  |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  |  |  | 7.93 | %(f) |  |  |  |  |  |  | (1.34 | )% |  |  |  |  |  |  | 6.48 | % |  |  |  |  |  |  | 2.76 | % |  |  |  |  |  |  | 3.41 | %(f) |  |  |  |  |  |  | 3.94 | % |  |  |  |  |  |  | 5.28 | % |  |
Based on market price |  |  |  |  |  |  | 14.10 | %(f) |  |  |  |  |  |  | (10.57 | )% |  |  |  |  |  |  | 17.74 | % |  |  |  |  |  |  | (2.45 | )% |  |  |  |  |  |  | 11.08 | %(f) |  |  |  |  |  |  | (3.37 | )% |  |  |  |  |  |  | 3.11 | % |  |
Ratios to Average Net Assets(g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  |  |  | 2.76 | %(h) |  |  |  |  |  |  | 2.17 | % |  |  |  |  |  |  | 1.55 | % |  |  |  |  |  |  | 1.69 | % |  |  |  |  |  |  | 2.20 | %(h)(i) |  |  |  |  |  |  | 2.45 | % |  |  |  |  |  |  | 2.23 | % |  |
Total expenses after fees waived and/or reimbursed |  |  |  |  |  |  | 2.76 | %(h) |  |  |  |  |  |  | 2.17 | % |  |  |  |  |  |  | 1.54 | % |  |  |  |  |  |  | 1.67 | % |  |  |  |  |  |  | 2.20 | %(h)(i) |  |  |  |  |  |  | 2.45 | % |  |  |  |  |  |  | 2.22 | % |  |
Total expenses after fees waived and/or reimbursed and excluding interest expense and fees |  |  |  |  |  |  | 1.04 | %(h) |  |  |  |  |  |  | 1.15 | % |  |  |  |  |  |  | 1.14 | % |  |  |  |  |  |  | 1.13 | % |  |  |  |  |  |  | 1.19 | %(h) |  |  |  |  |  |  | 1.16 | % |  |  |  |  |  |  | 1.20 | % |  |
Net investment income |  |  |  |  |  |  | 9.35 | %(h) |  |  |  |  |  |  | 6.36 | % |  |  |  |  |  |  | 4.76 | % |  |  |  |  |  |  | 5.15 | % |  |  |  |  |  |  | 5.26 | %(h) |  |  |  |  |  |  | 5.74 | % |  |  |  |  |  |  | 5.27 | % |  |
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  |  |  | $ | 462,863 |  |  |  |  |  |  | $ | 451,188 |  |  |  |  |  |  | $ | 487,833 |  |  |  |  |  |  | $ | 488,051 |  |  |  |  |  |  | $ | 522,545 |  |  |  |  |  |  | $ | 526,447 |  |  |  |  |  |  | $ | 555,370 |  |  |
Borrowings outstanding, end of period (000) |  |  |  |  |  | $ | 138,000 |  |  |  |  |  |  | $ | 147,000 |  |  |  |  |  |  | $ | 223,000 |  |  |  |  |  |  | $ | 208,000 |  |  |  |  |  |  | $ | 214,000 |  |  |  |  |  |  | $ | 204,000 |  |  |  |  |  |  | $ | 233,000 |  |  |
Asset coverage, end of period per $1,000 of bank borrowings(j) |  |  |  |  |  | $ | 4,354 |  |  |  |  |  |  | $ | 4,069 |  |  |  |  |  |  | $ | 3,188 |  |  |  |  |  |  | $ | 3,346 |  |  |  |  |  |  | $ | 3,442 |  |  |  |  |  |  | $ | 3,582 |  |  |  |  |  |  | $ | 3,385 |  |  |
Portfolio turnover rate |  |  |  |  |  |  | 14 | % |  |  |  |  |  |  | 14 | % |  |  |  |  |  |  | 49 | % |  |  |  |  |  |  | 65 | % |  |  |  |  |  |  | 16 | % |  |  |  |  |  |  | 53 | % |  |  |  |  |  |  | 57 | % |  |

(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) | Not annualized.

(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%.

(j) | Calculated by subtracting the Fund’s total liabilities (not including bank borrowings) from the Fund’s total assets and dividing this by the amount of bank borrowings, and by multiplying the results by 1,000.

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 06/30/23 (unaudited) |  |  |  | Year Ended 12/31/22(a) |  |  |  | Year Ended 12/31/21(a) |  |  |  | Year Ended 12/31/20(a) |  |  |  | Year Ended 12/31/19(a) |  |  |  | Period from 09/01/18 to 12/31/18(a) |  |  |  | Year Ended 08/31/18(a) |
Net asset value, beginning of period |  |  |  |  |  | $ | 13.10 |  |  |  |  |  |  | $ | 16.94 |  |  |  |  |  |  | $ | 18.54 |  |  |  |  |  |  | $ | 18.89 |  |  |  |  |  |  | $ | 18.75 |  |  |  |  |  |  | $ | 18.94 |  |  |  |  |  |  | $ | 20.21 |
Net investment income(b) |  |  |  |  |  |  | 0.17 |  |  |  |  |  |  |  | 0.43 |  |  |  |  |  |  |  | 0.70 |  |  |  |  |  |  |  | 0.86 |  |  |  |  |  |  |  | 0.75 |  |  |  |  |  |  |  | 0.25 |  |  |  |  |  |  |  | 0.72 |
Net realized and unrealized gain (loss) |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (3.24 | ) |  |  |  |  |  |  | (1.06 | ) |  |  |  |  |  |  | 0.02 |  |  |  |  |  |  |  | 0.63 |  |  |  |  |  |  |  | 0.07 |  |  |  |  |  |  |  | (1.02 | )
Net increase (decrease) from investment operations |  |  |  |  |  |  | 0.17 |  |  |  |  |  |  |  | (2.81 | ) |  |  |  |  |  |  | (0.36 | ) |  |  |  |  |  |  | 0.88 |  |  |  |  |  |  |  | 1.38 |  |  |  |  |  |  |  | 0.32 |  |  |  |  |  |  |  | (0.30 | )
Distributions(c) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (0.53 | )(d) |  |  |  |  |  |  | (0.49 | ) |  |  |  |  |  |  | (0.89 | ) |  |  |  |  |  |  | (1.01 | ) |  |  |  |  |  |  | (0.89 | ) |  |  |  |  |  |  | (0.40 | ) |  |  |  |  |  |  | (0.90 | )
Return of capital |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (0.54 | ) |  |  |  |  |  |  | (0.35 | ) |  |  |  |  |  |  | (0.22 | ) |  |  |  |  |  |  | (0.35 | ) |  |  |  |  |  |  | (0.11 | ) |  |  |  |  |  |  | (0.07 | )
Total distributions |  |  |  |  |  |  | (0.53 | ) |  |  |  |  |  |  | (1.03 | ) |  |  |  |  |  |  | (1.24 | ) |  |  |  |  |  |  | (1.23 | ) |  |  |  |  |  |  | (1.24 | ) |  |  |  |  |  |  | (0.51 | ) |  |  |  |  |  |  | (0.97 | )
Net asset value, end of period |  |  |  |  |  | $ | 12.74 |  |  |  |  |  |  | $ | 13.10 |  |  |  |  |  |  | $ | 16.94 |  |  |  |  |  |  | $ | 18.54 |  |  |  |  |  |  | $ | 18.89 |  |  |  |  |  |  | $ | 18.75 |  |  |  |  |  |  | $ | 18.94 |
Market price, end of period |  |  |  |  |  | $ | 12.17 |  |  |  |  |  |  | $ | 12.34 |  |  |  |  |  |  | $ | 16.95 |  |  |  |  |  |  | $ | 18.21 |  |  |  |  |  |  | $ | 18.15 |  |  |  |  |  |  | $ | 16.92 |  |  |  |  |  |  | $ | 17.31 |
Total Return(e) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  |  |  | 1.40 | %(f) |  |  |  |  |  |  | (16.67 | )% |  |  |  |  |  |  | (2.01 | )% |  |  |  |  |  |  | 4.92 | % |  |  |  |  |  |  | 7.91 | % |  |  |  |  |  |  | 2.06 | %(f) |  |  |  |  |  |  | (1.14 | )%
Based on market price |  |  |  |  |  |  | 2.83 | %(f) |  |  |  |  |  |  | (21.50 | )% |  |  |  |  |  |  | (0.23 | )% |  |  |  |  |  |  | 7.31 | % |  |  |  |  |  |  | 14.83 | % |  |  |  |  |  |  | 0.72 | %(f) |  |  |  |  |  |  | (3.44 | )%
Ratios to Average Net Assets(g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  |  |  | 3.03 | %(h) |  |  |  |  |  |  | 1.65 | % |  |  |  |  |  |  | 0.94 | % |  |  |  |  |  |  | 1.18 | % |  |  |  |  |  |  | 2.06 | % |  |  |  |  |  |  | 2.08 | %(h)(i) |  |  |  |  |  |  | 1.79 | %
Total expenses after fees waived and/or reimbursed |  |  |  |  |  |  | 3.03 | %(h) |  |  |  |  |  |  | 1.64 | % |  |  |  |  |  |  | 0.94 | % |  |  |  |  |  |  | 1.18 | % |  |  |  |  |  |  | 2.06 | % |  |  |  |  |  |  | 2.08 | %(h) |  |  |  |  |  |  | 1.79 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  |  |  |  |  | 0.92 | %(h) |  |  |  |  |  |  | 0.95 | % |  |  |  |  |  |  | 0.90 | % |  |  |  |  |  |  | 0.89 | % |  |  |  |  |  |  | 0.94 | % |  |  |  |  |  |  | 0.99 | %(h) |  |  |  |  |  |  | 1.04 | %
Net investment income |  |  |  |  |  |  | 2.65 | %(h) |  |  |  |  |  |  | 2.94 | % |  |  |  |  |  |  | 3.91 | % |  |  |  |  |  |  | 4.55 | % |  |  |  |  |  |  | 3.95 | % |  |  |  |  |  |  | 4.04 | %(h) |  |  |  |  |  |  | 3.72 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  |  |  | $ | 271,562 |  |  |  |  |  |  | $ | 279,035 |  |  |  |  |  |  | $ | 360,752 |  |  |  |  |  |  | $ | 394,195 |  |  |  |  |  |  | $ | 401,715 |  |  |  |  |  |  | $ | 398,629 |  |  |  |  |  |  | $ | 402,763 |
Borrowings outstanding, end of period (000) |  |  |  |  |  | $ | 120,591 |  |  |  |  |  |  | $ | 115,764 |  |  |  |  |  |  | $ | 115,184 |  |  |  |  |  |  | $ | 156,936 |  |  |  |  |  |  | $ | 175,655 |  |  |  |  |  |  | $ | 186,799 |  |  |  |  |  |  | $ | 186,441 |
Portfolio turnover rate(j) |  |  |  |  |  |  | 125 | % |  |  |  |  |  |  | 237 | % |  |  |  |  |  |  | 248 | % |  |  |  |  |  |  | 69 | % |  |  |  |  |  |  | 255 | % |  |  |  |  |  |  | 95 | % |  |  |  |  |  |  | 373 | %

(a) | Per share operating performance amounts have been adjusted to reflect a 1-for-3 reverse stock split prior to the open of trading on the NYSE on October 18, 2022 for common stockholders of record as of the close of business on October 17, 2022.

(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) | Not annualized.

(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 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Period from |  |  |  |
|  | 06/30/23 |  |  | Year Ended |  |  | Year Ended |  |  | Year Ended |  |  | Year Ended |  |  | 09/01/18 |  |  | Year Ended |
|  | (unaudited) |  |  | 12/31/22 |  |  | 12/31/21 |  |  | 12/31/20 |  |  | 12/31/19 |  |  | to 12/31/18 |  |  | 08/31/18 |
Portfolio turnover rate (excluding MDRs) |  |  |  |  |  |  | 68 | % |  |  | 122 | % |  |  | 119 | % |  |  | 31 | % |  |  | 136 | % |  |  | 45 | % |  |  | 181 | %

See notes to financial statements.

120 |  | 2 0 2 3 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 06/30/23 (unaudited) |  |  |  | Year Ended 12/31/22 |  |  |  | Year Ended 12/31/21 |  |  |  | Year Ended 12/31/20 |  |  |  | Period from 09/01/19 to 12/31/19 |  |  |  | Year Ended 08/31/19 |  |  |  | Year Ended 08/31/18 |
Net asset value, beginning of period |  |  |  |  |  | $ | 13.51 |  |  |  |  |  |  | $ | 16.44 |  |  |  |  |  |  | $ | 16.93 |  |  |  |  |  |  | $ | 17.05 |  |  |  |  |  |  | $ | 17.03 |  |  |  |  |  |  | $ | 16.71 |  |  |  |  |  |  | $ | 17.02 |
Net investment income(a) |  |  |  |  |  |  | 0.53 |  |  |  |  |  |  |  | 0.97 |  |  |  |  |  |  |  | 1.00 |  |  |  |  |  |  |  | 0.98 |  |  |  |  |  |  |  | 0.31 |  |  |  |  |  |  |  | 0.94 |  |  |  |  |  |  |  | 0.95 |
Net realized and unrealized gain (loss) |  |  |  |  |  |  | 0.19 |  |  |  |  |  |  |  | (2.82 | ) |  |  |  |  |  |  | (0.31 | ) |  |  |  |  |  |  | 0.08 |  |  |  |  |  |  |  | 0.18 |  |  |  |  |  |  |  | 0.33 |  |  |  |  |  |  |  | (0.31 | )
Net increase (decrease) from investment operations |  |  |  |  |  |  | 0.72 |  |  |  |  |  |  |  | (1.85 | ) |  |  |  |  |  |  | 0.69 |  |  |  |  |  |  |  | 1.06 |  |  |  |  |  |  |  | 0.49 |  |  |  |  |  |  |  | 1.27 |  |  |  |  |  |  |  | 0.64 |
Distributions(b) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
From net investment income |  |  |  |  |  |  | (0.59 | )(c) |  |  |  |  |  |  | (0.92 | ) |  |  |  |  |  |  | (1.02 | ) |  |  |  |  |  |  | (1.03 | ) |  |  |  |  |  |  | (0.47 | ) |  |  |  |  |  |  | (0.95 | ) |  |  |  |  |  |  | (0.95 | )
Return of capital |  |  |  |  |  |  | — |  |  |  |  |  |  |  | (0.16 | ) |  |  |  |  |  |  | (0.16 | ) |  |  |  |  |  |  | (0.15 | ) |  |  |  |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  |  |  |  |  | — |
Total distributions |  |  |  |  |  |  | (0.59 | ) |  |  |  |  |  |  | (1.08 | ) |  |  |  |  |  |  | (1.18 | ) |  |  |  |  |  |  | (1.18 | ) |  |  |  |  |  |  | (0.47 | ) |  |  |  |  |  |  | (0.95 | ) |  |  |  |  |  |  | (0.95 | )
Net asset value, end of period |  |  |  |  |  | $ | 13.64 |  |  |  |  |  |  | $ | 13.51 |  |  |  |  |  |  | $ | 16.44 |  |  |  |  |  |  | $ | 16.93 |  |  |  |  |  |  | $ | 17.05 |  |  |  |  |  |  | $ | 17.03 |  |  |  |  |  |  | $ | 16.71 |
Market price, end of period |  |  |  |  |  | $ | 12.88 |  |  |  |  |  |  | $ | 13.07 |  |  |  |  |  |  | $ | 16.85 |  |  |  |  |  |  | $ | 15.92 |  |  |  |  |  |  | $ | 16.39 |  |  |  |  |  |  | $ | 15.44 |  |  |  |  |  |  | $ | 15.06 |
Total Return(d) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Based on net asset value |  |  |  |  |  |  | 5.54 | %(e) |  |  |  |  |  |  | (10.96 | )% |  |  |  |  |  |  | 4.18 | %(f) |  |  |  |  |  |  | 7.58 | % |  |  |  |  |  |  | 3.11 | %(e) |  |  |  |  |  |  | 8.77 | % |  |  |  |  |  |  | 4.42 | %
Based on market price |  |  |  |  |  |  | 3.01 | %(e) |  |  |  |  |  |  | (15.96 | )% |  |  |  |  |  |  | 13.55 | % |  |  |  |  |  |  | 5.24 | % |  |  |  |  |  |  | 9.32 | %(e) |  |  |  |  |  |  | 9.41 | % |  |  |  |  |  |  | 0.18 | %
Ratios to Average Net Assets(g) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total expenses |  |  |  |  |  |  | 3.43 | %(h) |  |  |  |  |  |  | 2.04 | % |  |  |  |  |  |  | 1.18 | % |  |  |  |  |  |  | 1.39 | % |  |  |  |  |  |  | 1.64 | %(h)(i) |  |  |  |  |  |  | 1.81 | % |  |  |  |  |  |  | 1.73 | %
Total expenses after fees waived and/or reimbursed |  |  |  |  |  |  | 3.43 | %(h) |  |  |  |  |  |  | 2.04 | % |  |  |  |  |  |  | 1.18 | % |  |  |  |  |  |  | 1.39 | % |  |  |  |  |  |  | 1.64 | %(h)(i) |  |  |  |  |  |  | 1.81 | % |  |  |  |  |  |  | 1.73 | %
Total expenses after fees waived and/or reimbursed and excluding interest expense |  |  |  |  |  |  | 0.93 | %(h) |  |  |  |  |  |  | 0.96 | % |  |  |  |  |  |  | 0.92 | % |  |  |  |  |  |  | 0.90 | % |  |  |  |  |  |  | 0.89 | %(h) |  |  |  |  |  |  | 0.84 | % |  |  |  |  |  |  | 0.89 | %
Net investment income |  |  |  |  |  |  | 7.81 | %(h) |  |  |  |  |  |  | 6.70 | % |  |  |  |  |  |  | 5.90 | % |  |  |  |  |  |  | 6.07 | % |  |  |  |  |  |  | 5.32 | %(h) |  |  |  |  |  |  | 5.69 | % |  |  |  |  |  |  | 5.60 | %
Supplemental Data |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net assets, end of period (000) |  |  |  |  |  | $ | 487,177 |  |  |  |  |  |  | $ | 482,587 |  |  |  |  |  |  | $ | 587,146 |  |  |  |  |  |  | $ | 603,933 |  |  |  |  |  |  | $ | 611,068 |  |  |  |  |  |  | $ | 610,251 |  |  |  |  |  |  | $ | 612,048 |
Borrowings outstanding, end of period (000) |  |  |  |  |  | $ | 239,262 |  |  |  |  |  |  | $ | 275,639 |  |  |  |  |  |  | $ | 312,356 |  |  |  |  |  |  | $ | 275,105 |  |  |  |  |  |  | $ | 213,399 |  |  |  |  |  |  | $ | 202,539 |  |  |  |  |  |  | $ | 234,622 |
Portfolio turnover rate(j) |  |  |  |  |  |  | 55 | % |  |  |  |  |  |  | 77 | % |  |  |  |  |  |  | 66 | % |  |  |  |  |  |  | 65 | % |  |  |  |  |  |  | 14 | % |  |  |  |  |  |  | 50 | % |  |  |  |  |  |  | 50 | %

(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) | Not annualized.

(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 06/30/23 (unaudited) |  |  | Year Ended 12/31/22 |  |  | Year Ended 12/31/21 |  |  | Year Ended 12/31/20 |  |  | Period from 09/01/19 to 12/31/19 |  |  | Year Ended 08/31/19 |  |  | Year Ended 08/31/18 |
Portfolio turnover rate (excluding MDRs) |  |  |  |  |  |  | 36 | % |  |  | 58 | % |  |  | 52 | % |  |  | 58 | % |  |  | 14 | % |  |  | 50 | % |  |  | 50 | %

See notes to financial statements.

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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 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. Upon notification from issuers, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, and payment-in-kind interest are recognized daily on an accrual basis. 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.
ForeignTaxes: 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, 2023, 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.
Collateralization: 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.
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.

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Notes to Financial Statements (unaudited) (continued)
The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital.
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 BlackRock 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. The Board has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. 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 the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
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.

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

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

| • |  | Futures contracts are valued based on that day’s last reported settlement 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 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.

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Notes to Financial Statements (unaudited) (continued)

| • |  | 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 Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the 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 Valuation Committee 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 Valuation Committee deems relevant and consistent with the principles of fair value measurement.
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 Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs.

|  | Standard Inputs Generally Considered By The Valuation Committee And 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 Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the 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.

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Notes to Financial Statements (unaudited) (continued)
As of June 30, 2023, certain investments of BLW were fair valued using NAV as a practical expedient as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
4. SECURITIES AND OTHER INVESTMENTS
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or Mortgage Assets. The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.
Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.
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

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Notes to Financial Statements (unaudited) (continued)
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 Secured Overnight Financing Rate (“SOFR”), 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 Group, Inc. |  |  | $ | 320,815 |  |  | $ | 320,815 |  |  | $ | 308,384 |  |  | $ | (12,431 | )
|  |  | IPS Corp. |  |  |  | 90,688 |  |  |  | 90,688 |  |  |  | 84,022 |  |  |  | (6,666 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (19,097 | )
FRA |  |  | AthenaHealth Group, Inc. |  |  | $ | 367,198 |  |  | $ | 367,198 |  |  | $ | 352,969 |  |  |  | (14,229 | )
|  |  | IPS Corp. |  |  |  | 99,939 |  |  |  | 99,939 |  |  |  | 92,593 |  |  |  | (7,346 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (21,575 | )
BLW |  |  | AthenaHealth Group, Inc. |  |  | $ | 196,229 |  |  | $ | 169,439 |  |  | $ | 188,625 |  |  |  | 19,186 |
|  |  | IPS Corp. |  |  |  | 44,600 |  |  |  | 44,600 |  |  |  | 41,322 |  |  |  | (3,278 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 15,908 |

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.

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Notes to Financial Statements (unaudited) (continued) |  |

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, 2023, 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 |  | $ | 125,922,201 |  |  |  | 4.70% |
BLW |  |  | 243,011,124 |  |  |  | 5.03 |

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 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.

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Notes to Financial Statements (unaudited) (continued) |  |

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 | (c) |  |  | Net Exposure Due (to)/ from Counterparty(d) |
BNP Paribas |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
SA |  | $ | 784,035 |  |  | $ | — |  |  | $ | (755,466 | ) |  | $ | 28,569 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 28,569 |  |  |  |  |
Cantor Fitzgerald & Co. |  |  | — |  |  |  | (20,596,191 | ) |  |  | — |  |  |  | (20,596,191 | ) |  |  | — |  |  |  | — |  |  |  | 20,596,191 |  |  |  | — |  |  |  | 20,596,191 |  |  |  | — |  |  |  |  |
HSBC Securities (USA), Inc. |  |  | — |  |  |  | (99,994,445 | ) |  |  | — |  |  |  | (99,994,445 | ) |  |  | — |  |  |  | — |  |  |  | 99,994,445 |  |  |  | — |  |  |  | 99,994,445 |  |  |  | — |  |  |  |  |
|  | $ | 784,035 |  |  | $ | (120,590,636 | ) |  | $ | (755,466 | ) |  | $ | (120,562,067 | ) |  | $ | — |  |  | $ | — |  |  | $ | 120,590,636 |  |  | $ | — |  |  | $ | 120,590,636 |  |  | $ | 28,569 |  |  |  |  |

| (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) | Net collateral, including accrued interest, if any, with a value of $123,845,187 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged, if any, 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 |  | $ | (11,426,184 | ) |  | $ | 11,426,184 |  |  | $ | — |  |  | $ | — |
Barclays Capital, Inc. |  |  | (19,129,264 | ) |  |  | 19,129,264 |  |  |  | — |  |  |  | — |
BNP Paribas SA |  |  | (25,419,350 | ) |  |  | 25,419,350 |  |  |  | — |  |  |  | — |
BofA Securities, Inc. |  |  | (64,568,761 | ) |  |  | 64,568,761 |  |  |  | — |  |  |  | — |
Credit Agricole Corporate and Investment Bank |  |  | (6,725,821 | ) |  |  | 6,725,821 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. LLC |  |  | (13,528,267 | ) |  |  | 13,528,267 |  |  |  | — |  |  |  | — |
HSBC Securities (USA), Inc. |  |  | (2,932,824 | ) |  |  | 2,932,824 |  |  |  | — |  |  |  | — |
J.P. Morgan Securities LLC |  |  | (21,740,571 | ) |  |  | 21,740,571 |  |  |  | — |  |  |  | — |
Merrill Lynch International |  |  | (1,451,310 | ) |  |  | 1,451,310 |  |  |  | — |  |  |  | — |
Nomura Securities International, Inc. |  |  | (20,892,414 | ) |  |  | 20,892,414 |  |  |  | — |  |  |  | — |
RBC Capital Markets, LLC |  |  | (25,192,768 | ) |  |  | 25,192,768 |  |  |  | — |  |  |  | — |
TD Securities (USA) LLC |  |  | (26,254,719 | ) |  |  | 26,254,719 |  |  |  | — |  |  |  | — |
|  | $ | (239,262,253 | ) |  | $ | 239,262,253 |  |  | $ | — |  |  | $ | — |

| (a) | Collateral, if any, with a value of $286,732,181 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.
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

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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.
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 variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and

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

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Notes to Financial Statements (unaudited) (continued)
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, including 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.
Distribution Fees: DSU, BKT and BLW have each entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of DSU, 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 DSU’s, 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, 2023 amounted to $0.
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.
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, 2024. 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, 2023, the amounts waived were as follows:

Fund Name |  | Fees Waived and/or Reimbursed by the Manager |
DSU |  | $ | 355 |
FRA |  |  | 60 |
BKT |  |  | 2,256 |
BLW |  |  | 1,005 |

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, 2024. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the six months ended June 30, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

Fund Name |  | Fees Waived and/or Reimbursed by the Manager |
DSU |  | $ | 4,056 |
FRA |  |  | 17,627 |

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.
7. PURCHASES AND SALES
For the six months ended June 30, 2023, purchases and sales of investments, including paydowns/payups and mortgage dollar rolls and excluding short-term securities, were as follows:

|  | U.S. Government Securities |  |  | Other Securities |
Fund Name |  | Purchases |  |  | Sales |  |  | Purchases |  |  | Sales |
DSU |  | $ | — |  |  | $ | — |  |  | $ | 98,714,337 |  |  | $ | 118,614,507 |
FRA |  |  | — |  |  |  | — |  |  |  | 80,966,249 |  |  |  | 83,170,581 |
BKT |  |  | — |  |  |  | — |  |  |  | 544,155,482 |  |  |  | 542,934,632 |
BLW |  |  | — |  |  |  | 12,290,018 |  |  |  | 412,373,772 |  |  |  | 442,649,605 |

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Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2023, purchases and sales related to mortgage dollar rolls were as follows:

Fund Name |  | Purchases |  |  | Sales |
BKT |  | $ | 248,304,634 |  |  | $ | 248,080,160 |
BLW |  |  | 139,811,834 |  |  |  | 139,792,473 |

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, 2023, 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, 2022, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains and qualified late-year losses as follows:

|  | Non-Expiring |  |  | Qualified |
|  | Capital Loss |  |  | Late-Year |
Fund Name |  |  | Carryforwards | (a) |  |  | Losses | (b)
DSU |  | $ | (100,929,367) |  |  | $ | (370,047) |
FRA |  |  | (50,314,987) |  |  |  | — |
BKT |  |  | (99,550,857) |  |  |  | — |
BLW |  |  | (63,978,243) |  |  |  | (1,275,435) |

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

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

As of June 30, 2023, 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:

|  |  |  |  |  |  |  |  |  |  | Net Unrealized |
|  |  |  |  | Gross Unrealized |  |  | Gross Unrealized |  |  | Appreciation |
Fund Name |  | Tax Cost |  |  | Appreciation |  |  | Depreciation |  |  | (Depreciation) |
DSU |  | $ | 677,476,144 |  |  | $ | 2,720,908 |  |  | $ | (46,443,169 | ) |  | $ | (43,722,261 | )
FRA |  |  | 622,303,008 |  |  |  | 2,221,915 |  |  |  | (25,235,434 | ) |  |  | (23,013,519 | )
BKT |  |  | 481,732,925 |  |  |  | 5,515,285 |  |  |  | (55,001,272 | ) |  |  | (49,485,987 | )
BLW |  |  | 784,323,793 |  |  |  | 5,058,219 |  |  |  | (53,489,241 | ) |  |  | (48,431,022 | )

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 |  | $276,000,000
FRA |  | 255,000,000

Prior to March 9, 2023, maximum commitment amounts were $340,000,000 for DSU and $274,000,000 for FRA.
Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) Daily Simple SOFR plus 0.80% or (b) One Month Term SOFR plus 0.80%. SOFR and One Month Term SOFR 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. 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 borrowings is less than 300%.

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Notes to Financial Statements (unaudited) (continued)
For the six months ended June 30, 2023, 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 |  | $ | 164,000,000 |  |  | $ | 132,767,956 |  |  |  | 5.62 | %
FRA |  |  | 147,000,000 |  |  |  | 136,662,983 |  |  |  | 5.63 |

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.
Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.
The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

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Notes to Financial Statements (unaudited) (continued)
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.
Geographic/Asset Class 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.
The 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 decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
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 Funds may be exposed to financial instruments that are tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that a majority of USD LIBOR settings will no longer be published after June 30, 2023. All other LIBOR settings and certain other interbank offered rates ceased to be published after December 31, 2021. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. The Federal Reserve Board adopted regulations that provide a fallback mechanism by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. 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.
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 06/30/23 |  |  | Year Ended 12/31/22 |
DSU |  |  | — |  |  |  | 3,721 |
BKT |  |  | 3,394 |  |  |  | 3,887 |

For the six months ended June 30, 2023, shares issued and outstanding remained constant for DSU.
For the six months ended June 30, 2023 and the year ended December 31, 2022, shares issued and outstanding remained constant for FRA and BLW.

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Notes to Financial Statements (unaudited) (continued)
The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2022 through November 30, 2023, 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, 2022, 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. For the six months ended June 30, 2023, the Funds did not repurchase any shares.
DSU, BKT and BLW have each filed a prospectus with the SEC allowing them to issue an additional 16,000,000, 8,333,333 and 10,000,000 Common Shares, respectively, through an equity Shelf Offering. Under the Shelf Offering, DSU, 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, 16,000,000, 8,333,333 and 10,000,000 Common Shares, respectively, remain available for issuance under the Shelf Offering. For the six months ended June 30, 2023, Common Shares issued and outstanding under the Shelf Offering remained constant for DSU, BKT and BLW. See Additional Information - Shelf Offering Program for additional information.
Initial costs incurred by DSU, BKT and BLW in connection with their Shelf Offering are recorded as “Deferred offering costs” in the Statements of Assets and Liabilities. As shares are sold, a portion of the costs attributable to the shares sold will be charged against paid-in-capital. Any remaining deferred charges at the end of the Shelf Offering period will be charged to expense.
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 |  |  | 07/03/23 |  |  |  | 07/14/23 |  |  |  | 07/31/23 |  |  | $ | 0.091050 |
|  |  | 08/01/23 |  |  |  | 08/15/23 |  |  |  | 08/31/23 |  |  |  | 0.091050 |
FRA |  |  | 07/03/23 |  |  |  | 07/14/23 |  |  |  | 07/31/23 |  |  |  | 0.117020 |
|  |  | 08/01/23 |  |  |  | 08/15/23 |  |  |  | 08/31/23 |  |  |  | 0.117020 |
BKT |  |  | 07/03/23 |  |  |  | 07/14/23 |  |  |  | 07/31/23 |  |  |  | 0.088200 |
|  |  | 08/01/23 |  |  |  | 08/15/23 |  |  |  | 08/31/23 |  |  |  | 0.088200 |
BLW |  |  | 07/03/23 |  |  |  | 07/14/23 |  |  |  | 07/31/23 |  |  |  | 0.098100 |
|  |  | 08/01/23 |  |  |  | 08/15/23 |  |  |  | 08/31/23 |  |  |  | 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”) (collectively, the “Funds” and each, a “Fund”) met on May 4, 2023 (the “May Meeting”) and June 1-2, 2023 (the “June 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 adviser. 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 of which extended over a two-day period, 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 regarding the renewal of the Agreements. In considering the renewal of the Agreements, 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 May 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 May Meeting included, among other things: (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), based on either a Lipper classification or Morningstar category, 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 May 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 June Meeting.
At the June 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 them on a fund-by-fund basis. The following paragraphs

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
provide 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 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 DSU’s, BKT’s and BLW’s equity shelf programs, 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.
The Board noted that the engagement of the Sub-Advisors with respect to each Fund, as applicable, facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit each Fund and its shareholders.
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 May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2022, 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 below 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 and BlackRock reviewed BKT’s underperformance relative to the Performance Metrics.

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
The Board reviewed and considered BLW’s performance relative to BLW’s Performance Metrics. Based on an overall rating relative to the Performance Metrics, BLW generally performed below 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. The Board and BlackRock reviewed BLW’s underperformance relative to the Performance Metrics.
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 that the fee and expense information in the Broadridge report for each Fund reflected information for a specific period and that historical asset levels and expenses may differ from current levels, particularly in a period of market volatility. 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, 2022 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 and resources, 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 each ranked in the first quartile 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 each of DSU, BKT and BLW may from time-to-time make additional share offerings pursuant to its equity shelf program, the growth of each of DSU’s, BKT’s 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

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Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)
each Fund, including for administrative, securities lending and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. 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.
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 June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreements between the Manager and each Fund for a one-year term ending June 30, 2024, 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, 2024. 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 advised by independent legal counsel throughout the deliberative process.

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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.
Environmental, Social and Governance (“ESG”) Integration
Although the Funds do not seek to implement a specific sustainability objective, strategy or process unless otherwise disclosed, Fund management will consider ESG factors as part of the investment process for the Funds. Fund management views ESG integration as the practice of incorporating financially material ESG data or information into investment processes with the objective of enhancing risk-adjusted returns. These ESG considerations will vary depending on the Funds’ 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. The ESG characteristics utilized in the Funds’ 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. Certain of these considerations may affect the Funds’ exposure to certain companies or industries. While Fund management views ESG considerations as having the potential to contribute to the Funds’ 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 each Fund for any particular month may be more or less than the amount of net investment income earned by each 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 DSU, BKT and BLW, do not make available copies of their Statements of Additional Information because the Funds’ shares, other than DSU, BKT and BLW, are not continuously offered, which means that the Statement of Additional Information of each Fund, other than DSU, 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.
DSU’s, BKT’s and BLW’s Statement of Additional Information includes additional information about the 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, 2022. 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.
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 DSU, BKT and BLW only, prospectuses, by enrolling in the electronic delivery program. Electronic copies of shareholder reports and, for DSU, BKT and BLW only, prospectuses, are available on BlackRock’s website.
To enroll in electronic delivery:

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Additional Information (continued)
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 DSU, 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, DSU, BKT and BLW may seek to raise additional equity capital through a Shelf Offering. In a Shelf Offering, DSU, 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 DSU’s, BKT’s and BLW’s NAV per Common Share (calculated within 48 hours of pricing). While any such Shelf Offering may allow DSU, 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.
DSU, BKT and BLW filed final prospectuses with the SEC in connection with their Shelf Offerings on January 13, 2023, June 23, 2022 and May 17, 2022, respectively. This report and the prospectuses of DSU, BKT and BLW are not offers to sell DSU, BKT and BLW Common Shares or solicitations of an offer to buy DSU, BKT and BLW Common Shares in any jurisdiction where such offers or sales are not permitted. The prospectuses of DSU, BKT and BLW contain important information about DSU, BKT and BLW, including their investment objectives, risks, charges and expenses. Investors are urged to read the prospectuses of DSU, BKT and BLW carefully and in their entirety before investing. Copies of the final prospectuses for DSU, BKT and BLW can be obtained from BlackRock at blackrock.com.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

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Additional Information (continued)
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 02114

(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
JPY |  | Japanese Yen
USD |  | United States Dollar
Portfolio Abbreviation
CDI |  | CREST Depository Interest
CLO |  | Collateralized Loan Obligation
CMT |  | Constant Maturity Treasury
DAC |  | Designated Activity Company
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
SCA |  | Societe en Commandite par Actions
SOFR |  | Secured Overnight Financing Rate
SONIA |  | Sterling Overnight Interbank Average Rate
STRIP |  | Separate Trading of Registered Interest & Principal

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-BK3-06/23-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, Mr. Keenan is no longer a Portfolio Manager of the Fund.

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

(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

1The 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.

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 25, 2023

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 25, 2023

|  | By: |  | /s/ Trent Walker
|  |  |  | Trent Walker
|  |  |  | Chief Financial Officer (principal financial officer) of
|  |  |  | BlackRock Limited Duration Income Trust

Date: August 25, 2023