N-CSRS 1 e63781ncsrs.htm FORM N-CSRS

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21413

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2015

Date of reporting period: 02/28/2015

Item 1 – Report to Stockholders

FEBRUARY 28, 2015

SEMI-ANNUAL REPORT (UNAUDITED) |  |

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee

Table of Contents

|  |  |  |  | Page |
The Markets in Review |  |  |  |  | 3 |
Semi-Annual Report: |  |  |  |  |  |
Fund Summaries |  |  |  |  | 4 |
The Benefits and Risks of Leveraging |  |  |  |  | 10 |
Derivative Financial Instruments |  |  |  |  | 10 |
Financial Statements |  |  |  |  |  |
Schedules of Investments |  |  |  |  | 11 |
Statements of Assets and Liabilities |  |  |  |  | 51 |
Statements of Operations |  |  |  |  | 52 |
Statements of Changes in Net Assets |  |  |  |  | 53 |
Statements of Cash Flows |  |  |  |  | 56 |
Financial Highlights |  |  |  |  | 57 |
Notes to Financial Statements |  |  |  |  | 60 |
Officers and Directors |  |  |  |  | 74 |
Additional Information |  |  |  |  | 75 |

2 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

The Markets in Review |

Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), geopolitical risks, uneven global economic growth and uncertainty around policy moves from the world’s largest central banks. As the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program (which ultimately ended in October 2014), U.S. interest rates surprisingly trended lower during the period.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields remained persistently low, but were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy-related assets sold off sharply and emerging markets struggled as many of those economies rely heavily on oil exports. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted in early 2015. U.S. equities underperformed international markets given high valuations and the anticipation of a rate hike from the Fed. Oil prices showed signs of stabilizing as suppliers became more disciplined in their exploration and production efforts. Markets in Europe and Japan rebounded, driven largely by central bank policy accommodation and improving economic data.

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

Sincerely,

Rob Kapito
President, BlackRock Advisors, LLC

Rob Kapito
President, BlackRock Advisors, LLC

Total Returns as of February 28, 2015

|  |  |  | 6-month |  | 12-month
U.S. large cap equities (S&P 500® Index) |  |  |  |  | 6.12 | % |  |  | 15.51 | %
U.S. small cap equities (Russell 2000® Index) |  |  |  |  | 5.70 |  |  |  | 5.63 |
International equities (MSCI Europe, Australasia, Far East Index) |  |  |  |  | (1.26 | ) |  |  | (0.03 | )
Emerging market equities (MSCI Emerging Markets Index) |  |  |  |  | (8.30 | ) |  |  | 5.01 |
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) |  |  |  |  | 0.01 |  |  |  | 0.03 |
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index) |  |  |  |  | 4.14 |  |  |  | 8.66 |
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index) |  |  |  |  | 2.25 |  |  |  | 5.05 |
Tax-exempt municipal bonds (S&P Municipal Bond Index) |  |  |  |  | 2.17 |  |  |  | 6.47 |
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index) |  |  |  |  | (0.08 | ) |  |  | 2.81 |

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

THIS PAGE NOT PART OF YOUR FUND REPORT |  | 3

Fund Summary as of February 28, 2015 | BlackRock Defined Opportunity Credit Trust

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

• |  | For the six-month period ended February 28, 2015, the Fund returned (0.79)% based on market price and 1.51% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

• |  | During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.

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

Describe recent portfolio activity.

• |  | During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral, and the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

• |  | At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans.

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

4 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

| BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”) |  |  |  | BHL
Initial Offering Date |  |  |  | January 31, 2008
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($13.17)1 |  |  |  | 5.31%
Current Monthly Distribution per Common Share2 |  |  |  | $0.0583
Current Annualized Distribution per Common Share2 |  |  |  | $0.6996
Economic Leverage as of February 28, 20153 |  |  |  | 29%

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

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

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

Market Price and Net Asset Value Per Share Summary

|  |  |  | 2/28/15 |  | 8/31/14 |  | Change |  | High |  | Low
Market Price |  |  |  | $ | 13.17 |  |  | $ | 13.84 |  |  |  | (4.84 | )% |  | $ | 13.89 |  |  | $ | 12.61 |
Net Asset Value |  |  |  | $ | 14.03 |  |  | $ | 14.41 |  |  |  | (2.64 | )% |  | $ | 14.42 |  |  | $ | 13.72 |

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

Overview of the Fund’s Total Investments

Portfolio Composition |  |  |  | 2/28/15 |  | 8/31/144
Floating Rate Loan Interests |  |  |  |  | 93 | % |  |  | 94 | %
Corporate Bonds |  |  |  |  | 4 |  |  |  | 2 |
Asset-Backed Securities |  |  |  |  | 3 |  |  |  | 2 |
Short-Term Securities |  |  |  |  | — |  |  |  | 1 |
Common Stocks |  |  |  |  | — | 5 |  |  | 1 |
Other6 |  |  |  |  | — |  |  |  | — |

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

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

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

Credit Quality Allocation7,8 |  |  |  | 2/28/15 |  | 8/31/14
BBB/Baa |  |  |  |  | 7 | % |  |  | 6 | %
BB/Ba |  |  |  |  | 45 |  |  |  | 43 |
B |  |  |  |  | 42 |  |  |  | 44 |
CCC/Caa |  |  |  |  | 3 |  |  |  | 4 |
N/R |  |  |  |  | 3 |  |  |  | 3 |

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

8 |  | Excludes short-term securities.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 5

Fund Summary as of February 28, 2015 | BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

• |  | For the six-month period ended February 28, 2015, the Fund returned (0.09)% based on market price and 1.48% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

• |  | During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.

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

Describe recent portfolio activity.

• |  | During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral and with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

• |  | At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining low exposure to lower quality, less liquid loans.

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

6 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

| BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE |  |  |  | FRA
Initial Offering Date |  |  |  | October 31, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($13.83)1 |  |  |  | 5.85%
Current Monthly Distribution per Common Share2 |  |  |  | $0.0674
Current Annualized Distribution per Common Share2 |  |  |  | $0.8088
Economic Leverage as of February 28, 20153 |  |  |  | 29%

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

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

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

Market Price and Net Asset Value Per Share Summary

|  |  |  | 2/28/15 |  | 8/31/14 |  | Change |  | High |  | Low
Market Price |  |  |  | $ | 13.83 |  |  | $ | 14.26 |  |  |  | (3.02 | )% |  | $ | 14.32 |  |  | $ | 12.96 |
Net Asset Value |  |  |  | $ | 15.15 |  |  | $ | 15.38 |  |  |  | (1.50 | )% |  | $ | 15.38 |  |  | $ | 14.69 |

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

Overview of the Fund’s Total Investments

Portfolio Composition |  |  |  | 2/28/15 |  | 8/31/144
Floating Rate Loan Interests |  |  |  |  | 92 | % |  |  | 93 | %
Corporate Bonds |  |  |  |  | 4 |  |  |  | 3 |
Asset-Backed Securities |  |  |  |  | 3 |  |  |  | 2 |
Common Stocks |  |  |  |  | 1 |  |  |  | 1 |
Other5 |  |  |  |  | — |  |  |  | 1 |

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

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

Credit Quality Allocation6,7 |  |  |  | 2/28/15 |  | 8/31/14
BBB/Baa |  |  |  |  | 7 | % |  |  | 6 | %
BB/Ba |  |  |  |  | 44 |  |  |  | 43 |
B |  |  |  |  | 41 |  |  |  | 43 |
CCC/Caa |  |  |  |  | 4 |  |  |  | 4 |
N/R |  |  |  |  | 4 |  |  |  | 4 |

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

7 |  | Excludes short-term securities.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 7

Fund Summary as of February 28, 2015 | BlackRock Limited Duration Income Trust

Fund Overview

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

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

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

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

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

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

Portfolio Management Commentary

How did the Fund perform?

• |  | For the six-month period ended February 28, 2015, the Fund returned (0.71)% based on market price and 1.32% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.46)% based on market price and (1.60)% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

• |  | The main contributors to the Fund’s absolute performance were its exposure to non-U.S. dollar securities, high yield, term loans, asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”). Other contributors included agency mortgage-backed securities (“MBS”) 15-year pass-throughs and emerging market debt.

• |  | The main detractors from the Fund’s absolute performance during the period were its positions in preferred equities, its duration exposure through U.S. Treasuries and its positions in investment grade credit.

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

Describe recent portfolio activity.

• |  | The Fund’s allocations remained consistent throughout the six-month period, with its largest positions in high yield and investment grade corporate credit, followed by allocations in securitized credit, including ABS and CMBS.

Describe portfolio positioning at period end.

• |  | At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, as well as CMBS, ABS and agency and non-agency residential MBS.

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

8 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

| BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE |  |  |  | BLW
Initial Offering Date |  |  |  | July 30, 2003
Current Distribution Rate on Closing Market Price as of February 28, 2015 ($15.98)1 |  |  |  | 7.47%
Current Monthly Distribution per Common Share2 |  |  |  | $0.0995
Current Annualized Distribution per Common Share2 |  |  |  | $1.1940
Economic Leverage as of February 28, 20153 |  |  |  | 30%

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

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

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

Market Price and Net Asset Value Per Share Summary

|  |  |  | 2/28/15 |  | 8/31/14 |  | Change |  | High |  | Low
Market Price |  |  |  | $ | 15.98 |  |  | $ | 16.81 |  |  |  | (4.94 | )% |  | $ | 16.84 |  |  | $ | 14.99 |
Net Asset Value |  |  |  | $ | 17.55 |  |  | $ | 18.09 |  |  |  | (2.99 | )% |  | $ | 18.10 |  |  | $ | 17.12 |

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

Overview of the Fund’s Total Investments

Portfolio Composition |  |  |  | 2/28/15 |  | 8/31/144
Corporate Bonds |  |  |  |  | 38 | % |  |  | 42 | %
Floating Rate Loan Interests |  |  |  |  | 30 |  |  |  | 32 |
Asset-Backed Securities |  |  |  |  | 11 |  |  |  | 5 |
Non-Agency Mortgage-Backed Securities |  |  |  |  | 9 |  |  |  | 7 |
Preferred Securities |  |  |  |  | 7 |  |  |  | 8 |
U.S. Government Sponsored Agency Securities |  |  |  |  | 4 |  |  |  | 4 |
Foreign Agency Obligations |  |  |  |  | 1 |  |  |  | — | 5
Common Stocks |  |  |  |  | — | 5 |  |  | 1 |
Short-Term Securities |  |  |  |  | — | 5 |  |  | 1 |
Other6 |  |  |  |  | — | 6 |  |  | — | 7

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

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

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

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

Credit Quality Allocation8, 9 |  |  |  | 2/28/15 |  | 8/31/14
AAA/Aaa10 |  |  |  |  | 6 | % |  |  | 6 | %
AA/Aa |  |  |  |  | 2 |  |  |  | 2 |
A |  |  |  |  | 6 |  |  |  | 3 |
BBB/Baa |  |  |  |  | 16 |  |  |  | 15 |
BB/Ba |  |  |  |  | 31 |  |  |  | 32 |
B |  |  |  |  | 29 |  |  |  | 31 |
CCC/Caa |  |  |  |  | 5 |  |  |  | 7 |
N/R |  |  |  |  | 5 |  |  |  | 4 |

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

9 |  | Excludes short-term securities.

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

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 9

The Benefits and Risks of Leveraging |

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

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

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

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders is lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value

of portfolio investments. In contrast, the value of the Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAV 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.

Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Fund’s shares than if the Fund were not leveraged. In addition, the 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 the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shares.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 331⁄3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

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

Derivative Financial Instruments |

The Funds may invest in various derivative financial instruments. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative

financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment advisor’s ability to predict pertinent market movements accurately, which cannot be assured. The use of derivative financial instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

10 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Schedule of Investments February 28, 2015 (Unaudited) | BlackRock Defined Opportunity Credit Trust (BHL) (Percentages shown are based on Net Assets)

Common Stocks (a) |  |  |  |  |  | Shares |  | Value
Diversified Consumer Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cengage Thomson Learning |  |  |  |  |  |  | 8,922 |  |  | $ | 192,385 |
Software — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia. |  |  |  |  |  |  | 24,355 |  |  |  | 481,742 |
Total Common Stocks — 0.5% |  |  |  |  |  |  |  |  |  |  | 674,127 |
Asset-Backed Securities (b) |  |  |  |  |  |  | Par (000 | ) |  |  |  |
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (c) |  |  |  | USD |  |  | 500 |  |  |  | 485,153 |
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b) |  |  |  |  |  |  | 713 |  |  |  | 676,264 |
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 237,940 |
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (c) |  |  |  |  |  |  | 250 |  |  |  | 240,265 |
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.76%, 1/20/25 (c) |  |  |  |  |  |  | 250 |  |  |  | 252,739 |
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 237,350 |
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (c) |  |  |  |  |  |  | 215 |  |  |  | 212,614 |
LCM LP, 0.00%, 4/20/27 (d)(e) |  |  |  |  |  |  | 500 |  |  |  | 431,250 |
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (c) |  |  |  |  |  |  | 250 |  |  |  | 234,781 |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (c) |  |  |  |  |  |  | 250 |  |  |  | 233,021 |
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (c) |  |  |  |  |  |  | 250 |  |  |  | 242,313 |
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (c) |  |  |  |  |  |  | 350 |  |  |  | 350,322 |
Voya CLO, Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26 (e) |  |  |  |  |  |  | 1,000 |  |  |  | 940,700 |
Total Asset-Backed Securities — 3.8% |  |  |  |  |  |  |  |  |  |  | 4,774,712 |
Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) |  |  |  |  |  |  | 250 |  |  |  | 252,500 |
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16 |  |  |  |  |  |  | 44 |  |  |  | 49,397 |
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |  |  |  |  |  |  | 590 |  |  |  | 609,175 |
|  |  |  |  |  |  |  |  |  |  | 911,072 |
Auto Components — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17 |  |  |  |  |  |  | 164 |  |  |  | 166,050 |
4.88%, 3/15/19 |  |  |  |  |  |  | 325 |  |  |  | 334,360 |
|  |  |  |  |  |  |  |  |  |  | 500,410 |
Chemicals — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
INEOS Finance PLC, 8.38%, 2/15/19 (b) |  |  |  |  |  |  | 110 |  |  |  | 117,315 |
Commercial Services & Supplies — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c) |  |  |  |  |  |  | 68 |  |  |  | 68,340 |

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Commercial Services & Supplies (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |  |  |  | USD |  |  | 232 |  |  | $ | 236,526 |
United Rentals North America, Inc., 5.75%, 7/15/18 |  |  |  |  |  |  | 80 |  |  |  | 83,050 |
|  |  |  |  |  |  |  |  |  |  | 387,916 |
Communications Equipment — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Avaya, Inc., 7.00%, 4/01/19 (b) |  |  |  |  |  |  | 101 |  |  |  | 102,010 |
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 |  |  |  |  |  |  | 342 |  |  |  | 362,520 |
|  |  |  |  |  |  |  |  |  |  | 464,530 |
Diversified Financial Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reynolds Group Issuer, Inc., 7.13%, 4/15/19 |  |  |  |  |  |  | 120 |  |  |  | 124,575 |
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.83%, 1/15/18 (c) |  |  |  |  |  |  | 228 |  |  |  | 230,850 |
6.13%, 1/15/21 |  |  |  |  |  |  | 127 |  |  |  | 134,461 |
|  |  |  |  |  |  |  |  |  |  | 365,311 |
Health Care Providers & Services — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CHS/Community Health Systems, Inc., 6.88%, 2/01/22 |  |  |  |  |  |  | 71 |  |  |  | 75,926 |
HCA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 5/01/23 |  |  |  |  |  |  | 85 |  |  |  | 93,075 |
5.38%, 2/01/25 |  |  |  |  |  |  | 185 |  |  |  | 196,100 |
Tenet Healthcare Corp. (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 3/01/19 |  |  |  |  |  |  | 325 |  |  |  | 326,625 |
5.50%, 3/01/19 |  |  |  |  |  |  | 240 |  |  |  | 244,500 |
|  |  |  |  |  |  |  |  |  |  | 936,226 |
Independent Power and Renewable Electricity Producers — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b) |  |  |  |  |  |  | 325 |  |  |  | 340,031 |
Media — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Altice Financing SA, 6.63%, 2/15/23 (b) |  |  |  |  |  |  | 200 |  |  |  | 208,250 |
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) |  |  |  |  |  |  | 96 |  |  |  | 99,240 |
Numericable Group SA, 6.00%, 5/15/22 (b) |  |  |  |  |  |  | 200 |  |  |  | 203,500 |
|  |  |  |  |  |  |  |  |  |  | 510,990 |
Metals & Mining — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Novelis, Inc., 8.38%, 12/15/17 |  |  |  |  |  |  | 60 |  |  |  | 62,700 |
Oil, Gas & Consumable Fuels — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Antero Resources Finance Corp., 5.38%, 11/01/21 |  |  |  |  |  |  | 150 |  |  |  | 151,125 |
CONSOL Energy, Inc., 5.88%, 4/15/22 |  |  |  |  |  |  | 140 |  |  |  | 134,400 |
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 |  |  |  |  |  |  | 145 |  |  |  | 148,625 |
|  |  |  |  |  |  |  |  |  |  | 434,150 |
Pharmaceuticals — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b) |  |  |  |  |  |  | 225 |  |  |  | 238,219 |
Road & Rail — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b) |  |  |  |  |  |  | 196 |  |  |  | 202,125 |
Wireless Telecommunication Services — 1.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Digicel Group Ltd., 8.25%, 9/30/20 (b) |  |  |  |  |  |  | 310 |  |  |  | 313,565 |
Sprint Communications, Inc., 7.00%, 3/01/20 (b) |  |  |  |  |  |  | 800 |  |  |  | 886,248 |
T-Mobile USA, Inc., 6.13%, 1/15/22 |  |  |  |  |  |  | 50 |  |  |  | 52,625 |
|  |  |  |  |  |  |  |  |  |  | 1,252,438 |
Total Corporate Bonds — 5.4% |  |  |  |  |  |  |  |  |  |  | 6,848,008 |

Portfolio Abbreviations

ABS ADS BROIS CAD CLO |  |  |  | Asset-Backed Security American Depositary Shares Brazilian Overnight Indexed Swap Canadian Dollar Collateralized Loan Obligation |  | CR DIP EUR GBP OTC |  | Custodian Receipt Debtor-In-Possession Euro British Pound Over-the-Counter |  | PIK REMIC SGD USD |  | Payment-In-Kind Real Estate Mortgage Investment Conduit Singapore Dollar U.S. Dollar

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 11

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Aerospace & Defense — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |  |  |  | USD |  |  | 670 |  |  | $ | 671,394 |
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |  |  |  |  |  |  | 506 |  |  |  | 505,198 |
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |  |  |  |  |  |  | 275 |  |  |  | 288,406 |
Transdigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.75%, 2/28/20 |  |  |  |  |  |  | 221 |  |  |  | 219,481 |
Term Loan D, 3.75%, 6/04/21 |  |  |  |  |  |  | 199 |  |  |  | 198,222 |
TransUnion LLC, Term Loan, 4.00%, 4/09/21 |  |  |  |  |  |  | 1,082 |  |  |  | 1,076,870 |
|  |  |  |  |  |  |  |  |  |  | 2,959,571 |
Air Freight & Logistics — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 156 |  |  |  | 144,061 |
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 163 |  |  |  | 150,780 |
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 26 |  |  |  | 23,615 |
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 225 |  |  |  | 207,973 |
|  |  |  |  |  |  |  |  |  |  | 526,429 |
Airlines — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 |  |  |  |  |  |  | 322 |  |  |  | 321,832 |
Northwest Airlines, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2.18%, 3/10/17 |  |  |  |  |  |  | 148 |  |  |  | 145,166 |
1.56%, 9/10/18 |  |  |  |  |  |  | 218 |  |  |  | 208,190 |
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |  |  |  |  |  |  | 257 |  |  |  | 256,515 |
|  |  |  |  |  |  |  |  |  |  | 931,703 |
Auto Components — 4.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |  |  |  |  |  |  | 282 |  |  |  | 281,271 |
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16 |  |  |  |  |  |  | 57 |  |  |  | 56,999 |
Autoparts Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.50%, 7/29/17 |  |  |  |  |  |  | 623 |  |  |  | 622,638 |
2nd Lien Term Loan, 10.50%, 1/29/18 |  |  |  |  |  |  | 200 |  |  |  | 194,014 |
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |  |  |  |  |  |  | 356 |  |  |  | 353,282 |
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |  |  |  |  |  |  | 327 |  |  |  | 322,175 |
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |  |  |  |  |  |  | 2,005 |  |  |  | 1,989,436 |
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |  |  |  |  |  |  | 958 |  |  |  | 962,531 |
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |  |  |  |  |  |  | 575 |  |  |  | 578,594 |
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |  |  |  |  |  |  | 336 |  |  |  | 336,000 |
|  |  |  |  |  |  |  |  |  |  | 5,696,940 |
Automobiles — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Chrysler Group LLC, Term Loan B: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 12/31/18 |  |  |  |  |  |  | 189 |  |  |  | 188,070 |
3.50%, 5/24/17 |  |  |  |  |  |  | 198 |  |  |  | 198,334 |
|  |  |  |  |  |  |  |  |  |  | 386,404 |
Banks — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Redtop Acquisitions Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/03/20 |  |  |  |  |  |  | 257 |  |  |  | 257,078 |
2nd Lien Term Loan, 8.25%, 6/03/21 |  |  |  |  |  |  | 69 |  |  |  | 69,300 |
|  |  |  |  |  |  |  |  |  |  | 326,378 |
Building Products — 3.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |  |  |  |  |  |  | 336 |  |  |  | 329,406 |
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |  |  |  |  |  |  | 1,264 |  |  |  | 1,241,603 |
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |  |  |  |  |  |  | 318 |  |  |  | 310,454 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Building Products (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 |  |  |  | USD |  |  | 392 |  |  | $ | 387,463 |
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |  |  |  |  |  |  | 700 |  |  |  | 701,750 |
Nortek, Inc., Term Loan, 3.75%, 10/30/20 |  |  |  |  |  |  | 478 |  |  |  | 473,722 |
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |  |  |  |  |  |  | 223 |  |  |  | 219,498 |
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |  |  |  |  |  |  | 383 |  |  |  | 381,499 |
Wilsonart LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B2, 4.00%, 10/31/19 |  |  |  |  |  |  | 109 |  |  |  | 107,901 |
Term Loan B, 4.00%, 10/31/19 |  |  |  |  |  |  | 784 |  |  |  | 776,812 |
|  |  |  |  |  |  |  |  |  |  | 4,930,108 |
Capital Markets — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinion Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.50%, 10/12/18 |  |  |  |  |  |  | 39 |  |  |  | 34,474 |
Term Loan B, 6.75%, 4/30/18 |  |  |  |  |  |  | 299 |  |  |  | 284,119 |
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |  |  |  |  |  |  | 195 |  |  |  | 194,386 |
|  |  |  |  |  |  |  |  |  |  | 512,979 |
Chemicals — 4.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 |  |  |  |  |  |  | 253 |  |  |  | 252,404 |
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 |  |  |  |  |  |  | 131 |  |  |  | 130,960 |
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 |  |  |  |  |  |  | 450 |  |  |  | 445,900 |
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 |  |  |  |  |  |  | 27 |  |  |  | 26,623 |
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22 |  |  |  |  |  |  | 270 |  |  |  | 270,508 |
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |  |  |  |  |  |  | 128 |  |  |  | 127,721 |
Chromaflo Technologies Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/02/19 |  |  |  |  |  |  | 257 |  |  |  | 254,504 |
2nd Lien Term Loan, 8.25%, 5/30/20 |  |  |  |  |  |  | 110 |  |  |  | 108,625 |
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |  |  |  |  |  |  | 473 |  |  |  | 463,756 |
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |  |  |  |  |  |  | 193 |  |  |  | 192,360 |
MacDermid, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 6/07/20 |  |  |  |  |  |  | 654 |  |  |  | 655,701 |
Term Loan B2, 4.75%, 6/07/20 |  |  |  |  |  |  | 167 |  |  |  | 167,447 |
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 |  |  |  |  |  |  | 461 |  |  |  | 462,404 |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |  |  |  |  |  |  | 578 |  |  |  | 562,637 |
OXEA Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.25%, 7/15/20 |  |  |  |  |  |  | 315 |  |  |  | 296,494 |
Term Loan B2, 4.25%, 1/15/20 |  |  |  |  |  |  | 578 |  |  |  | 558,555 |
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |  |  |  |  |  |  | 155 |  |  |  | 155,118 |
Solenis International LP: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 7/31/21 |  |  |  |  |  |  | 354 |  |  |  | 349,686 |
2nd Lien Term Loan, 7.75%, 7/31/22 |  |  |  |  |  |  | 390 |  |  |  | 377,976 |
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |  |  |  |  |  |  | 133 |  |  |  | 131,978 |
Univar, Inc., Term Loan B, 5.00%, 6/30/17 |  |  |  |  |  |  | 221 |  |  |  | 219,272 |
|  |  |  |  |  |  |  |  |  |  | 6,210,629 |
Commercial Services & Supplies — 6.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |  |  |  |  |  |  | 726 |  |  |  | 717,743 |
ARAMARK Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 |  |  |  |  |  |  | 14 |  |  |  | 13,718 |
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |  |  |  |  |  |  | 9 |  |  |  | 9,277 |
Term Loan E, 3.25%, 9/07/19 |  |  |  |  |  |  | 645 |  |  |  | 643,297 |
Term Loan F, 3.25%, 2/24/21 |  |  |  |  |  |  | 195 |  |  |  | 193,598 |
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |  |  |  |  |  |  | 863 |  |  |  | 841,877 |

See Notes to Financial Statements.

12 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Commercial Services & Supplies (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |  |  |  | USD |  |  | 1,035 |  |  | $ | 1,037,370 |
Connolly Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 5/14/21 |  |  |  |  |  |  | 672 |  |  |  | 674,567 |
2nd Lien Term Loan, 8.00%, 5/14/22 |  |  |  |  |  |  | 325 |  |  |  | 320,937 |
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 |  |  |  |  |  |  | 240 |  |  |  | 241,200 |
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21 |  |  |  |  |  |  | 182 |  |  |  | 183,845 |
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 |  |  |  |  |  |  | 308 |  |  |  | 304,983 |
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |  |  |  |  |  |  | 547 |  |  |  | 541,093 |
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |  |  |  |  |  |  | 305 |  |  |  | 295,426 |
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |  |  |  |  |  |  | 984 |  |  |  | 975,910 |
US Ecology, Inc., Term Loan, 3.75%, 6/17/21 |  |  |  |  |  |  | 214 |  |  |  | 213,596 |
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 |  |  |  |  |  |  | 207 |  |  |  | 207,248 |
West Corp., Term Loan B10, 3.25%, 6/30/18 |  |  |  |  |  |  | 598 |  |  |  | 596,430 |
|  |  |  |  |  |  |  |  |  |  | 8,012,115 |
Communications Equipment — 1.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Applied Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 1/25/21 |  |  |  |  |  |  | 327 |  |  |  | 326,400 |
2nd Lien Term Loan, 7.50%, 1/24/22 |  |  |  |  |  |  | 85 |  |  |  | 84,235 |
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17 |  |  |  |  |  |  | 343 |  |  |  | 332,684 |
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17 |  |  |  |  |  |  | 156 |  |  |  | 155,904 |
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 |  |  |  |  |  |  | 135 |  |  |  | 136,012 |
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |  |  |  |  |  |  | 1,033 |  |  |  | 1,032,043 |
|  |  |  |  |  |  |  |  |  |  | 2,067,278 |
Construction & Engineering — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 |  |  |  |  |  |  | 192 |  |  |  | 192,852 |
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20 |  |  |  |  |  |  | 280 |  |  |  | 281,750 |
|  |  |  |  |  |  |  |  |  |  | 474,602 |
Construction Materials — 1.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 |  |  |  |  |  |  | 218 |  |  |  | 217,460 |
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 |  |  |  |  |  |  | 1,596 |  |  |  | 1,591,353 |
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |  |  |  |  |  |  | 148 |  |  |  | 142,941 |
|  |  |  |  |  |  |  |  |  |  | 1,951,754 |
Containers & Packaging — 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |  |  |  |  |  |  | 208 |  |  |  | 207,643 |
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |  |  |  |  |  |  | 571 |  |  |  | 570,420 |
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20 |  |  |  |  |  |  | 343 |  |  |  | 344,562 |
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22 |  |  |  |  |  |  | 250 |  |  |  | 250,520 |
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 |  |  |  |  |  |  | 169 |  |  |  | 169,150 |
|  |  |  |  |  |  |  |  |  |  | 1,542,295 |
Distributors — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |  |  |  |  |  |  | 666 |  |  |  | 661,884 |
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 |  |  |  |  |  |  | 328 |  |  |  | 329,277 |
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |  |  |  |  |  |  | 230 |  |  |  | 226,558 |
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17 |  |  |  |  |  |  | 204 |  |  |  | 203,220 |
|  |  |  |  |  |  |  |  |  |  | 1,420,939 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Diversified Consumer Services — 2.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Allied Security Holdings LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 2/12/21 |  |  |  | USD |  |  | 651 |  |  | $ | 649,979 |
2nd Lien Term Loan, 8.00%, 8/13/21 |  |  |  |  |  |  | 91 |  |  |  | 90,378 |
Bright Horizons Family Solutions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 4.25%, 1/30/20 |  |  |  |  |  |  | 80 |  |  |  | 80,100 |
Term Loan B, 3.75%, 1/30/20 |  |  |  |  |  |  | 632 |  |  |  | 631,013 |
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21 |  |  |  |  |  |  | 135 |  |  |  | 135,506 |
Garda World Securities Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, 4.00%, 11/06/20 |  |  |  |  |  |  | 11 |  |  |  | 10,543 |
Term Loan B, 4.00%, 11/06/20 |  |  |  |  |  |  | 42 |  |  |  | 41,215 |
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |  |  |  |  |  |  | 247 |  |  |  | 234,119 |
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 |  |  |  |  |  |  | 813 |  |  |  | 812,670 |
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |  |  |  |  |  |  | 295 |  |  |  | 155,216 |
|  |  |  |  |  |  |  |  |  |  | 2,840,739 |
Diversified Financial Services — 2.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |  |  |  |  |  |  | 599 |  |  |  | 594,297 |
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 |  |  |  |  |  |  | 225 |  |  |  | 223,969 |
Onex Wizard US Acquisition, Inc., Term Loan, 5.50%, 1/14/22 |  |  |  |  |  |  | 465 |  |  |  | 467,823 |
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |  |  |  |  |  |  | 742 |  |  |  | 743,650 |
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |  |  |  |  |  |  | 589 |  |  |  | 587,430 |
TransFirst, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 5.50%, 11/12/21 |  |  |  |  |  |  | 313 |  |  |  | 315,017 |
2014 2nd Lien Term Loan, 9.00%, 11/12/22 |  |  |  |  |  |  | 165 |  |  |  | 163,098 |
|  |  |  |  |  |  |  |  |  |  | 3,095,284 |
Diversified Telecommunication Services — 5.1%
Altice Financing SA, Term Loan: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw, 5.50%, 7/02/19 |  |  |  |  |  |  | 395 |  |  |  | 397,499 |
5.25%, 2/04/22 |  |  |  |  |  |  | 160 |  |  |  | 160,650 |
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |  |  |  |  |  |  | 686 |  |  |  | 687,734 |
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22 |  |  |  |  |  |  | 540 |  |  |  | 540,448 |
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |  |  |  |  |  |  | 518 |  |  |  | 519,597 |
Integra Telecom, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 2/21/20 |  |  |  |  |  |  | 190 |  |  |  | 188,337 |
Term Loan B, 5.25%, 2/22/19 |  |  |  |  |  |  | 457 |  |  |  | 453,664 |
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22 |  |  |  |  |  |  | 835 |  |  |  | 838,482 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan, 4.00%, 8/01/19 |  |  |  |  |  |  | 350 |  |  |  | 349,289 |
2020 Term Loan B, 4.00%, 1/15/20 |  |  |  |  |  |  | 2,330 |  |  |  | 2,328,835 |
|  |  |  |  |  |  |  |  |  |  | 6,464,535 |
Electric Utilities — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 |  |  |  |  |  |  | 209 |  |  |  | 177,519 |
American Energy — Utica LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 |  |  |  |  |  |  | 52 |  |  |  | 45,875 |
2nd Lien Term Loan, 5.50%, 9/30/18 |  |  |  |  |  |  | 238 |  |  |  | 215,290 |
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 |  |  |  |  |  |  | 52 |  |  |  | 45,882 |
|  |  |  |  |  |  |  |  |  |  | 484,566 |
Electrical Equipment — 1.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Southwire Co., Term Loan, 3.25%, 2/10/21 |  |  |  |  |  |  | 263 |  |  |  | 256,876 |
Texas Competitive Electric Holdings Co. LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
DIP Term Loan, 3.75%, 5/05/16 |  |  |  |  |  |  | 448 |  |  |  | 450,132 |
Extended Term Loan, 4.66%, 10/10/17 (a)(f) |  |  |  |  |  |  | 1,705 |  |  |  | 1,088,353 |
|  |  |  |  |  |  |  |  |  |  | 1,795,361 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 13

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20 |  |  |  | USD |  |  | 650 |  |  | $ | 643,834 |
Energy Equipment & Services — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |  |  |  |  |  |  | 256 |  |  |  | 255,260 |
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 |  |  |  |  |  |  | 264 |  |  |  | 264,264 |
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |  |  |  |  |  |  | 956 |  |  |  | 918,498 |
|  |  |  |  |  |  |  |  |  |  | 1,438,022 |
Food & Staples Retailing — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 |  |  |  |  |  |  | 334 |  |  |  | 333,578 |
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |  |  |  |  |  |  | 235 |  |  |  | 237,204 |
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |  |  |  |  |  |  | 509 |  |  |  | 509,706 |
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 |  |  |  |  |  |  | 380 |  |  |  | 378,989 |
|  |  |  |  |  |  |  |  |  |  | 1,459,477 |
Food Products — 3.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |  |  |  |  |  |  | 257 |  |  |  | 256,750 |
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |  |  |  |  |  |  | 678 |  |  |  | 676,776 |
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |  |  |  |  |  |  | 587 |  |  |  | 585,383 |
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 |  |  |  |  |  |  | 54 |  |  |  | 54,142 |
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |  |  |  |  |  |  | 468 |  |  |  | 468,235 |
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21 |  |  |  |  |  |  | 439 |  |  |  | 439,175 |
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |  |  |  |  |  |  | 372 |  |  |  | 371,807 |
Pinnacle Foods Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan H, 3.00%, 4/29/20 |  |  |  |  |  |  | 123 |  |  |  | 122,710 |
Term Loan G, 3.00%, 4/29/20 |  |  |  |  |  |  | 605 |  |  |  | 601,492 |
Reddy Ice Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.75%, 5/01/19 |  |  |  |  |  |  | 560 |  |  |  | 484,422 |
2nd Lien Term Loan, 10.75%, 11/01/19 |  |  |  |  |  |  | 270 |  |  |  | 205,200 |
|  |  |  |  |  |  |  |  |  |  | 4,266,092 |
Health Care Equipment & Supplies — 5.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22 |  |  |  |  |  |  | 265 |  |  |  | 267,539 |
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 |  |  |  |  |  |  | 707 |  |  |  | 705,712 |
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |  |  |  |  |  |  | 438 |  |  |  | 435,754 |
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 |  |  |  |  |  |  | 970 |  |  |  | 969,883 |
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |  |  |  |  |  |  | 614 |  |  |  | 614,869 |
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |  |  |  |  |  |  | 798 |  |  |  | 797,426 |
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |  |  |  |  |  |  | 506 |  |  |  | 505,228 |
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 |  |  |  |  |  |  | 572 |  |  |  | 574,270 |
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |  |  |  |  |  |  | 704 |  |  |  | 693,512 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |  |  |  |  |  |  | 695 |  |  |  | 686,923 |
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19 |  |  |  |  |  |  | 100 |  |  |  | 100,623 |
|  |  |  |  |  |  |  |  |  |  | 6,351,739 |
Health Care Providers & Services — 7.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |  |  |  |  |  |  | 112 |  |  |  | 112,373 |
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 |  |  |  |  |  |  | 335 |  |  |  | 331,650 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Health Care Providers & Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |  |  |  | USD |  |  | 299 |  |  | $ | 298,688 |
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |  |  |  |  |  |  | 241 |  |  |  | 241,499 |
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 |  |  |  |  |  |  | 392 |  |  |  | 391,588 |
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |  |  |  |  |  |  | 1,945 |  |  |  | 1,949,085 |
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |  |  |  |  |  |  | 540 |  |  |  | 538,988 |
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22 |  |  |  |  |  |  | 350 |  |  |  | 351,971 |
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |  |  |  |  |  |  | 2,204 |  |  |  | 2,206,129 |
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 |  |  |  |  |  |  | 237 |  |  |  | 237,000 |
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |  |  |  |  |  |  | 422 |  |  |  | 421,398 |
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |  |  |  |  |  |  | 265 |  |  |  | 270,212 |
HCA, Inc., Term Loan B5, 2.92%, 3/31/17 |  |  |  |  |  |  | 315 |  |  |  | 314,962 |
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21 |  |  |  |  |  |  | 81 |  |  |  | 80,395 |
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |  |  |  |  |  |  | 480 |  |  |  | 475,832 |
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |  |  |  |  |  |  | 318 |  |  |  | 315,266 |
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |  |  |  |  |  |  | 226 |  |  |  | 223,909 |
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 |  |  |  |  |  |  | 419 |  |  |  | 416,184 |
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |  |  |  |  |  |  | 195 |  |  |  | 194,187 |
|  |  |  |  |  |  |  |  |  |  | 9,371,316 |
Health Care Technology — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 |  |  |  |  |  |  | 754 |  |  |  | 749,587 |
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |  |  |  |  |  |  | 434 |  |  |  | 431,610 |
|  |  |  |  |  |  |  |  |  |  | 1,181,197 |
Hotels, Restaurants & Leisure — 11.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amaya Holdings BV: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 8/01/21 |  |  |  |  |  |  | 190 |  |  |  | 188,104 |
2nd Lien Term Loan, 8.00%, 8/01/22 |  |  |  |  |  |  | 1,225 |  |  |  | 1,217,723 |
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |  |  |  |  |  |  | 252 |  |  |  | 252,119 |
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |  |  |  |  |  |  | 678 |  |  |  | 650,965 |
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21 |  |  |  |  |  |  | 1,280 |  |  |  | 1,286,630 |
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18 |  |  |  |  |  |  | 39 |  |  |  | 36,217 |
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |  |  |  |  |  |  | 1,001 |  |  |  | 964,094 |
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |  |  |  |  |  |  | 376 |  |  |  | 376,651 |
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20 |  |  |  |  |  |  | 154 |  |  |  | 154,151 |
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |  |  |  |  |  |  | 452 |  |  |  | 454,511 |
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |  |  |  |  |  |  | 941 |  |  |  | 940,186 |
Intrawest ULC, Term Loan, 5.50%, 12/09/20 |  |  |  |  |  |  | 366 |  |  |  | 367,216 |
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |  |  |  |  |  |  | 1,977 |  |  |  | 1,974,460 |
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |  |  |  |  |  |  | 594 |  |  |  | 593,875 |
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |  |  |  |  |  |  | 782 |  |  |  | 778,657 |
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |  |  |  |  |  |  | 370 |  |  |  | 369,328 |
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 |  |  |  |  |  |  | 294 |  |  |  | 294,182 |

See Notes to Financial Statements.

14 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Hotels, Restaurants & Leisure (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Sabre, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan, 4.50%, 2/19/19 |  |  |  | USD |  |  | 114 |  |  | $ | 113,563 |
Term Loan B, 4.00%, 2/19/19 |  |  |  |  |  |  | 524 |  |  |  | 522,851 |
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 |  |  |  |  |  |  | 348 |  |  |  | 347,001 |
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |  |  |  |  |  |  | 1,142 |  |  |  | 1,140,154 |
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 |  |  |  |  |  |  | 763 |  |  |  | 768,811 |
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20 |  |  |  |  |  |  | 258 |  |  |  | 258,634 |
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19 |  |  |  |  |  |  | 366 |  |  |  | 364,761 |
|  |  |  |  |  |  |  |  |  |  | 14,414,844 |
Household Products — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |  |  |  |  |  |  | 631 |  |  |  | 629,520 |
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19 |  |  |  |  |  |  | 238 |  |  |  | 237,841 |
Spectrum Brands, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan A, 3.00%, 9/04/17 |  |  |  |  |  |  | 176 |  |  |  | 175,077 |
Term Loan C, 3.50%, 9/04/19 |  |  |  |  |  |  | 339 |  |  |  | 338,182 |
|  |  |  |  |  |  |  |  |  |  | 1,380,620 |
Independent Power and Renewable Electricity Producers — 2.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 |  |  |  |  |  |  | 873 |  |  |  | 872,948 |
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 |  |  |  |  |  |  | 648 |  |  |  | 650,821 |
Granite Acquisition Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/19/21 |  |  |  |  |  |  | 710 |  |  |  | 717,697 |
Term Loan C, 5.00%, 12/19/21 |  |  |  |  |  |  | 31 |  |  |  | 31,579 |
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21 |  |  |  |  |  |  | 375 |  |  |  | 376,406 |
|  |  |  |  |  |  |  |  |  |  | 2,649,451 |
Industrial Conglomerates — 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |  |  |  |  |  |  | 629 |  |  |  | 613,068 |
Insurance — 2.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 |  |  |  |  |  |  | 412 |  |  |  | 411,131 |
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 |  |  |  |  |  |  | 249 |  |  |  | 242,316 |
CNO Financial Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.00%, 9/28/16 |  |  |  |  |  |  | 215 |  |  |  | 214,174 |
Term Loan B2, 3.75%, 9/28/18 |  |  |  |  |  |  | 515 |  |  |  | 512,028 |
Cooper Gay Swett & Crawford of Delaware Holding Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 4/16/20 |  |  |  |  |  |  | 414 |  |  |  | 380,604 |
2nd Lien Term Loan C, 8.25%, 10/16/20 |  |  |  |  |  |  | 200 |  |  |  | 172,334 |
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21 |  |  |  |  |  |  | 483 |  |  |  | 480,869 |
Sedgwick Claims Management Services, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.75%, 3/01/21 |  |  |  |  |  |  | 457 |  |  |  | 449,930 |
2nd Lien Term Loan, 6.75%, 2/28/22 |  |  |  |  |  |  | 260 |  |  |  | 254,150 |
|  |  |  |  |  |  |  |  |  |  | 3,117,536 |
Internet Software & Services — 1.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21 |  |  |  |  |  |  | 420 |  |  |  | 417,146 |
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 |  |  |  |  |  |  | 572 |  |  |  | 572,394 |
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |  |  |  |  |  |  | 862 |  |  |  | 864,255 |
W3 Co.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.75%, 3/13/20 |  |  |  |  |  |  | 403 |  |  |  | 362,543 |
2nd Lien Term Loan, 9.25%, 9/11/20 |  |  |  |  |  |  | 155 |  |  |  | 145,722 |
|  |  |  |  |  |  |  |  |  |  | 2,362,060 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
IT Services — 3.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2018 Extended Term Loan, 3.67%, 3/24/18 |  |  |  | USD |  |  | 2,845 |  |  | $ | 2,839,533 |
2018 Term Loan, 3.67%, 9/24/18 |  |  |  |  |  |  | 295 |  |  |  | 294,723 |
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 |  |  |  |  |  |  | 428 |  |  |  | 426,577 |
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |  |  |  |  |  |  | 245 |  |  |  | 228,254 |
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 |  |  |  |  |  |  | 123 |  |  |  | 108,988 |
SunGard Data Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.92%, 2/28/17 |  |  |  |  |  |  | 350 |  |  |  | 349,671 |
Term Loan E, 4.00%, 3/08/20 |  |  |  |  |  |  | 126 |  |  |  | 126,356 |
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21 |  |  |  |  |  |  | 392 |  |  |  | 392,233 |
|  |  |  |  |  |  |  |  |  |  | 4,766,335 |
Leisure Products — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |  |  |  |  |  |  | 364 |  |  |  | 361,231 |
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 |  |  |  |  |  |  | 93 |  |  |  | 89,778 |
|  |  |  |  |  |  |  |  |  |  | 451,009 |
Machinery — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alliance Laundry Systems LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.50%, 12/10/19 |  |  |  |  |  |  | 131 |  |  |  | 131,073 |
Refinancing Term Loan, 4.25%, 12/10/18 |  |  |  |  |  |  | 344 |  |  |  | 342,857 |
Faenza Acquisition GmbH: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.25%, 8/30/20 |  |  |  |  |  |  | 266 |  |  |  | 265,798 |
Term Loan B3, 4.25%, 8/30/20 |  |  |  |  |  |  | 79 |  |  |  | 78,799 |
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 |  |  |  |  |  |  | 305 |  |  |  | 302,689 |
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |  |  |  |  |  |  | 191 |  |  |  | 188,481 |
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |  |  |  |  |  |  | 180 |  |  |  | 180,164 |
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |  |  |  |  |  |  | 564 |  |  |  | 562,443 |
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |  |  |  |  |  |  | 664 |  |  |  | 638,146 |
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |  |  |  |  |  |  | 237 |  |  |  | 235,539 |
|  |  |  |  |  |  |  |  |  |  | 2,925,989 |
Media — 13.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cengage Learning Acquisitions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 3/31/20 |  |  |  |  |  |  | 1,365 |  |  |  | 1,364,346 |
Term Loan, 0.00%, 7/03/15 (a)(f) |  |  |  |  |  |  | 591 |  |  |  | — |
Charter Communications Operating LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan E, 3.00%, 7/01/20 |  |  |  |  |  |  | 458 |  |  |  | 456,307 |
Term Loan G, 4.25%, 9/12/21 |  |  |  |  |  |  | 935 |  |  |  | 942,003 |
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19 |  |  |  |  |  |  | 1,364 |  |  |  | 1,304,683 |
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |  |  |  |  |  |  | 525 |  |  |  | 521,575 |
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 |  |  |  |  |  |  | 254 |  |  |  | 252,721 |
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |  |  |  |  |  |  | 453 |  |  |  | 451,460 |
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |  |  |  |  |  |  | 343 |  |  |  | 343,395 |
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |  |  |  |  |  |  | 983 |  |  |  | 975,046 |
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22 |  |  |  |  |  |  | 350 |  |  |  | 344,750 |
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |  |  |  |  |  |  | 114 |  |  |  | 112,995 |
MCC Iowa LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan I, 2.65%, 6/30/17 |  |  |  |  |  |  | 249 |  |  |  | 247,506 |
Term Loan J, 3.75%, 6/30/21 |  |  |  |  |  |  | 124 |  |  |  | 123,753 |
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |  |  |  |  |  |  | 637 |  |  |  | 638,557 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 15

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Media (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18 |  |  |  | USD |  |  | 253 |  |  | $ | 249,038 |
Mediacom ILLC, Term Loan E, 3.15%, 10/23/17 |  |  |  |  |  |  | 478 |  |  |  | 474,315 |
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21 |  |  |  |  |  |  | 309 |  |  |  | 306,037 |
Numericable U.S. LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.50%, 5/21/20 |  |  |  |  |  |  | 509 |  |  |  | 509,312 |
Term Loan B2, 4.50%, 5/21/20 |  |  |  |  |  |  | 440 |  |  |  | 440,624 |
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |  |  |  |  |  |  | 365 |  |  |  | 362,290 |
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 |  |  |  |  |  |  | 706 |  |  |  | 701,251 |
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |  |  |  |  |  |  | 368 |  |  |  | 364,607 |
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |  |  |  |  |  |  | 1,144 |  |  |  | 1,142,916 |
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |  |  |  |  |  |  | 519 |  |  |  | 518,068 |
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21 |  |  |  | EUR |  |  | 281 |  |  |  | 313,775 |
Virgin Media Investment Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 3.50%, 6/07/20 |  |  |  | USD |  |  | 780 |  |  |  | 777,598 |
Term Loan E, 4.25%, 6/30/23 |  |  |  | GBP |  |  | 650 |  |  |  | 1,002,981 |
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |  |  |  | USD |  |  | 947 |  |  |  | 946,917 |
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21 |  |  |  |  |  |  | 57 |  |  |  | 56,647 |
Ziggo Financing Partnership: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.50%, 1/15/22 |  |  |  |  |  |  | 425 |  |  |  | 420,928 |
Term Loan B2A, 3.50%, 1/15/22 |  |  |  |  |  |  | 276 |  |  |  | 273,051 |
Term Loan B3, 3.50%, 1/15/22 |  |  |  |  |  |  | 453 |  |  |  | 449,071 |
|  |  |  |  |  |  |  |  |  |  | 17,388,523 |
Metals & Mining — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 |  |  |  |  |  |  | 100 |  |  |  | 92,500 |
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |  |  |  |  |  |  | 780 |  |  |  | 778,517 |
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |  |  |  |  |  |  | 580 |  |  |  | 579,655 |
|  |  |  |  |  |  |  |  |  |  | 1,450,672 |
Multiline Retail — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 |  |  |  |  |  |  | 449 |  |  |  | 449,378 |
BJ’s Wholesale Club, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 9/26/19 |  |  |  |  |  |  | 1,035 |  |  |  | 1,030,665 |
2nd Lien Term Loan, 8.50%, 3/26/20 |  |  |  |  |  |  | 200 |  |  |  | 198,250 |
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 |  |  |  |  |  |  | 470 |  |  |  | 473,408 |
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |  |  |  |  |  |  | 151 |  |  |  | 151,465 |
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |  |  |  |  |  |  | 580 |  |  |  | 574,650 |
|  |  |  |  |  |  |  |  |  |  | 2,877,816 |
Oil, Gas & Consumable Fuels — 4.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 |  |  |  |  |  |  | 426 |  |  |  | 340,504 |
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20 |  |  |  |  |  |  | 430 |  |  |  | 427,493 |
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |  |  |  |  |  |  | 848 |  |  |  | 660,897 |
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |  |  |  |  |  |  | 440 |  |  |  | 424,235 |
Fieldwood Energy LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.88%, 9/28/18 |  |  |  |  |  |  | 311 |  |  |  | 297,340 |
2nd Lien Term Loan, 8.38%, 9/30/20 |  |  |  |  |  |  | 135 |  |  |  | 103,179 |
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 |  |  |  |  |  |  | 205 |  |  |  | 206,281 |
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |  |  |  |  |  |  | 119 |  |  |  | 118,271 |
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |  |  |  |  |  |  | 27 |  |  |  | 16,306 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Oil, Gas & Consumable Fuels (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21 |  |  |  | USD |  |  | 375 |  |  | $ | 376,875 |
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |  |  |  |  |  |  | 325 |  |  |  | 328,250 |
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |  |  |  |  |  |  | 360 |  |  |  | 352,800 |
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |  |  |  |  |  |  | 105 |  |  |  | 101,325 |
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |  |  |  |  |  |  | 405 |  |  |  | 384,750 |
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |  |  |  |  |  |  | 61 |  |  |  | 55,019 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |  |  |  |  |  |  | 269 |  |  |  | 261,262 |
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |  |  |  |  |  |  | 214 |  |  |  | 199,752 |
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22 |  |  |  |  |  |  | 250 |  |  |  | 248,750 |
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 |  |  |  |  |  |  | 360 |  |  |  | 363,449 |
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/19/22 |  |  |  |  |  |  | 380 |  |  |  | 378,100 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |  |  |  |  |  |  | 134 |  |  |  | 132,648 |
|  |  |  |  |  |  |  |  |  |  | 5,777,486 |
Personal Products — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21 |  |  |  |  |  |  | 93 |  |  |  | 93,027 |
Pharmaceuticals — 6.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Akorn, Inc., Term Loan B, 4.50%, 4/16/21 |  |  |  |  |  |  | 569 |  |  |  | 570,235 |
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19 |  |  |  |  |  |  | 277 |  |  |  | 277,084 |
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |  |  |  |  |  |  | 211 |  |  |  | 208,066 |
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 |  |  |  |  |  |  | 357 |  |  |  | 356,407 |
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21 |  |  |  |  |  |  | 976 |  |  |  | 973,772 |
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 |  |  |  |  |  |  | 363 |  |  |  | 360,360 |
Mallinckrodt International Finance SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 3.50%, 3/19/21 |  |  |  |  |  |  | 329 |  |  |  | 328,283 |
Term Loan B, 3.25%, 3/19/21 |  |  |  |  |  |  | 526 |  |  |  | 522,869 |
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |  |  |  |  |  |  | 845 |  |  |  | 839,365 |
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |  |  |  |  |  |  | 981 |  |  |  | 979,404 |
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 |  |  |  |  |  |  | 568 |  |  |  | 568,397 |
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20 |  |  |  |  |  |  | 469 |  |  |  | 468,540 |
Valeant Pharmaceuticals International, Inc., Term Loan B: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series C2, 3.50%, 12/11/19 |  |  |  |  |  |  | 524 |  |  |  | 523,157 |
Series D2, 3.50%, 2/13/19 |  |  |  |  |  |  | 568 |  |  |  | 566,214 |
Series E, 3.50%, 8/05/20 |  |  |  |  |  |  | 326 |  |  |  | 325,399 |
|  |  |  |  |  |  |  |  |  |  | 7,867,552 |
Professional Services — 2.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21 |  |  |  |  |  |  | 305 |  |  |  | 306,439 |
Advantage Sales & Marketing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 4.25%, 7/23/21 |  |  |  |  |  |  | 469 |  |  |  | 466,364 |
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |  |  |  |  |  |  | 160 |  |  |  | 159,450 |
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20 |  |  |  |  |  |  | 393 |  |  |  | 388,262 |
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |  |  |  |  |  |  | 717 |  |  |  | 715,008 |
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |  |  |  |  |  |  | 275 |  |  |  | 273,166 |

See Notes to Financial Statements.

16 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Professional Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |  |  |  | USD |  |  | 422 |  |  | $ | 418,250 |
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |  |  |  |  |  |  | 391 |  |  |  | 386,080 |
|  |  |  |  |  |  |  |  |  |  | 3,113,019 |
Real Estate Management & Development — 1.8%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |  |  |  |  |  |  | 523 |  |  |  | 522,989 |
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 |  |  |  |  |  |  | 492 |  |  |  | 493,219 |
Realogy Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Extended Letter of Credit, 4.40%, 10/10/16 |  |  |  |  |  |  | 40 |  |  |  | 39,643 |
Term Loan B, 3.75%, 3/05/20 |  |  |  |  |  |  | 1,182 |  |  |  | 1,180,191 |
|  |  |  |  |  |  |  |  |  |  | 2,236,042 |
Road & Rail — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Hertz Corp., Term Loan B2, 3.50%, 3/11/18 |  |  |  |  |  |  | 328 |  |  |  | 325,765 |
Road Infrastructure Investment LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 3/31/21 |  |  |  |  |  |  | 462 |  |  |  | 447,667 |
2nd Lien Term Loan, 7.75%, 9/21/21 |  |  |  |  |  |  | 225 |  |  |  | 200,250 |
|  |  |  |  |  |  |  |  |  |  | 973,682 |
Semiconductors & Semiconductor Equipment — 1.7%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |  |  |  |  |  |  | 1,169 |  |  |  | 1,169,791 |
Freescale Semiconductor, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B4, 4.25%, 2/28/20 |  |  |  |  |  |  | 529 |  |  |  | 527,709 |
Term Loan B5, 5.00%, 1/15/21 |  |  |  |  |  |  | 163 |  |  |  | 163,694 |
NXP BV, Term Loan D, 3.25%, 1/11/20 |  |  |  |  |  |  | 326 |  |  |  | 323,431 |
|  |  |  |  |  |  |  |  |  |  | 2,184,625 |
Software — 3.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |  |  |  |  |  |  | 241 |  |  |  | 236,800 |
GCA Services Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.25%, 10/22/20 |  |  |  |  |  |  | 176 |  |  |  | 174,240 |
Term Loan B, 4.25%, 11/01/19 |  |  |  |  |  |  | 386 |  |  |  | 384,964 |
Infor US, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B3, 3.75%, 6/03/20 |  |  |  |  |  |  | 196 |  |  |  | 193,758 |
Term Loan B5, 3.75%, 6/03/20 |  |  |  |  |  |  | 980 |  |  |  | 970,637 |
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |  |  |  |  |  |  | 202 |  |  |  | 192,275 |
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 |  |  |  |  |  |  | 114 |  |  |  | 114,232 |
Kronos, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 4/30/20 |  |  |  |  |  |  | 409 |  |  |  | 417,822 |
Initial Incremental Term Loan, 4.50%, 10/30/19 |  |  |  |  |  |  | 243 |  |  |  | 243,276 |
Mitchell International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 10/12/20 |  |  |  |  |  |  | 505 |  |  |  | 501,697 |
2nd Lien Term Loan, 8.50%, 10/11/21 |  |  |  |  |  |  | 350 |  |  |  | 345,551 |
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21 |  |  |  |  |  |  | 219 |  |  |  | 213,188 |
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |  |  |  |  |  |  | 638 |  |  |  | 637,362 |
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |  |  |  |  |  |  | 75 |  |  |  | 74,696 |
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 |  |  |  |  |  |  | 130 |  |  |  | 124,962 |
|  |  |  |  |  |  |  |  |  |  | 4,825,460 |
Specialty Retail — 4.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Academy Ltd., Term Loan, 4.50%, 8/03/18 |  |  |  |  |  |  | 519 |  |  |  | 517,821 |
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 |  |  |  |  |  |  | 298 |  |  |  | 299,118 |
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 |  |  |  |  |  |  | 329 |  |  |  | 322,582 |
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |  |  |  |  |  |  | 548 |  |  |  | 543,817 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Specialty Retail (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Michaels Stores, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |  |  |  | USD |  |  | 662 |  |  | $ | 659,710 |
Term Loan B, 3.75%, 1/28/20 |  |  |  |  |  |  | 515 |  |  |  | 511,680 |
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |  |  |  |  |  |  | 944 |  |  |  | 937,429 |
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |  |  |  |  |  |  | 771 |  |  |  | 770,211 |
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 |  |  |  |  |  |  | 1,165 |  |  |  | 1,172,805 |
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 |  |  |  |  |  |  | 369 |  |  |  | 311,916 |
|  |  |  |  |  |  |  |  |  |  | 6,047,089 |
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.75%, 10/29/18 |  |  |  |  |  |  | 385 |  |  |  | 385,686 |
Term Loan B, 4.50%, 4/29/20 |  |  |  |  |  |  | 447 |  |  |  | 448,727 |
|  |  |  |  |  |  |  |  |  |  | 834,413 |
Textiles, Apparel & Luxury Goods — 1.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 |  |  |  |  |  |  | 496 |  |  |  | 496,250 |
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |  |  |  |  |  |  | 527 |  |  |  | 445,680 |
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 |  |  |  |  |  |  | 466 |  |  |  | 439,186 |
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 |  |  |  |  |  |  | 502 |  |  |  | 498,078 |
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 |  |  |  |  |  |  | 379 |  |  |  | 379,050 |
|  |  |  |  |  |  |  |  |  |  | 2,258,244 |
Thrifts & Mortgage Finance — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |  |  |  |  |  |  | 441 |  |  |  | 438,795 |
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |  |  |  |  |  |  | 601 |  |  |  | 594,841 |
Total Floating Rate Loan Interests — 133.2% |  |  |  |  |  | 168,984,484 |
Non-Agency Mortgage Backed Securities — 0.2%
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c) |  |  |  |  |  |  | 304 |  |  |  | 309,564 |
Investment Companies |  |  |  |  |  |  | Shares |  |  |  |  |
Capital Markets — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Eaton Vance Floating-Rate Income Trust |  |  |  |  |  |  | 12 |  |  |  | 173 |
Eaton Vance Senior Income Trust |  |  |  |  |  |  | 3,347 |  |  |  | 21,856 |
Total Investment Companies — 0.0% |  |  |  |  |  |  |  |  |  |  | 22,029 |
Warrants (g) |  |  |  |  |  |  |  |  |  |  |  |
Software — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) |  |  |  |  |  |  | 691 |  |  | $ | 3,687 |
Total Investments (Cost — $182,519,416) — 143.1% |  | 181,616,611 |
Liabilities in Excess of Other Assets — (43.1)% |  | (54,697,640 | )
Net Assets — 100.0% | $ | 126,918,971 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 17

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

Notes to Schedule of Investments

(a) |  |  |  | Non-income producing security.
(b) |  |  |  | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c) |  |  |  | Variable rate security. Rate shown is as of report date.
(d) |  |  |  | When-issued security. Unsettled when-issued transactions were as follows:

Counterparty |  |  |  | Value |  | Unrealized Appreciation
Deutsche Bank Securities, Inc. |  |  |  | $ | 1,293,750 |  |  |  | — |

(e) |  |  |  | Zero-coupon bond.
(f) |  |  |  | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(g) |  |  |  | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
• |  |  |  | During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate |  |  |  | Shares Held at August 31, 2014 |  | Net Activity |  | Shares Held at February 28, 2015 |  | Income
BlackRock Liquidity Funds, TempFund, Institutional Class |  |  |  |  | 2,958,501 |  |  |  | (2,958,501 | ) |  |  | — |  |  | $ | 142 |

• |  |  |  | As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased |  | Currency Sold | Counterparty |  | Settlement Date |  |  | Unrealized Depreciation
EUR |  |  |  |  | 120,000 |  |  |  |  | USD | 135,638 |  |  | Deutsche Bank AG |  | 4/21/15 |  | $ | (1,275 | )
USD |  |  |  |  | 405,054 |  |  |  |  | EUR | 351,000 |  |  | Citibank N.A. |  | 4/21/15 |  |  | 12,042 |
USD |  |  |  |  | 813,069 |  |  |  |  | GBP | 536,000 |  |  | Bank of America N.A. |  | 4/21/15 |  |  | (14,156 | )
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,389 | )

• |  |  |  | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
• |  |  |  | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• |  |  |  | Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
• |  |  |  | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
• |  |  |  | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

|  |  |  | Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
|  |  |  | As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  |  |  | $ | — |  |  | $ | 3,596,662 |  |  | $ | 1,178,050 |  |  | $ | 4,774,712 |
Common Stocks |  |  |  |  | 481,742 |  |  |  | 192,385 |  |  |  | — |  |  |  | 674,127 |
Corporate Bonds |  |  |  |  | — |  |  |  | 6,848,008 |  |  |  | — |  |  |  | 6,848,008 |
Floating Rate Loan Interests |  |  |  |  | — |  |  |  | 157,949,885 |  |  |  | 11,034,599 |  |  |  | 168,984,484 |
Investment Companies |  |  |  |  | 22,029 |  |  |  | — |  |  |  | — |  |  |  | 22,029 |
Non-Agency Mortgage-Backed Securities |  |  |  |  | — |  |  |  | 309,564 |  |  |  | — |  |  |  | 309,564 |
Warrants |  |  |  |  | — |  |  |  | — |  |  |  | 3,687 |  |  |  | 3,687 |
Total |  |  |  | $ | 503,771 |  |  | $ | 168,896,504 |  |  | $ | 12,216,336 |  |  | $ | 181,616,611 |

See Notes to Financial Statements.

18 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Derivative Financial Instruments1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency exchange contracts |  |  |  |  | — |  |  | $ | 12,042 |  |  |  | — |  |  | $ | 12,042 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency exchange contracts |  |  |  |  | — |  |  |  | (15,431 | ) |  |  | — |  |  |  | (15,431 | )
Total |  |  |  |  | — |  |  | $ | (3,389 | ) |  |  | — |  |  | $ | (3,389 | )

| 1 | Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  |  | $ | 99,981 |  |  |  | — |  |  |  | — |  |  | $ | 99,981 |
Foreign currency at value |  |  |  |  | 2,102 |  |  |  | — |  |  |  | — |  |  |  | 2,102 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank borrowings payable |  |  |  |  | — |  |  | $ | (52,000,000 | ) |  |  | — |  |  |  | (52,000,000 | )
Total |  |  |  | $ | 102,083 |  |  | $ | (52,000,000 | ) |  |  | — |  |  | $ | (51,897,917 | )

During the six months ended February 28, 2015, there were no transfers between level 1 and level 2.

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

|  |  |  | Asset-Backed Securities |  | Floating Rate Loan Interests |  | Unfunded Floating Rate Loan Interests (Liabilities) |  | Warrants |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening Balance, as of August 31, 2014 |  |  |  | $ | 921,580 |  |  | $ | 13,599,109 |  |  | $ | (85 | ) |  |  | — |  |  | $ | 14,520,604 |
Transfers into Level 32 |  |  |  |  | — |  |  |  | 4,360,933 |  |  |  | — |  |  |  | — |  |  |  | 4,360,933 |
Transfers out of Level 33 |  |  |  |  | (921,580 | ) |  |  | (5,813,003 | ) |  |  | — |  |  | $ | 3,214 |  |  |  | (6,731,369 | )
Accrued discounts/premiums |  |  |  |  | 1,851 |  |  |  | 9,718 |  |  |  | — |  |  |  | — |  |  |  | 11,569 |
Net realized gain |  |  |  |  | — |  |  |  | 5,630 |  |  |  | — |  |  |  | — |  |  |  | 5,630 |
Net change in unrealized appreciation/ depreciation4,5 |  |  |  |  | 12,649 |  |  |  | (225,441 | ) |  |  | 85 |  |  |  | 473 |  |  |  | (212,234 | )
Purchases |  |  |  |  | 1,163,550 |  |  |  | 2,028,676 |  |  |  | — |  |  |  | — |  |  |  | 3,192,226 |
Sales |  |  |  |  | — |  |  |  | (2,931,023 | ) |  |  | — |  |  |  | — |  |  |  | (2,931,023 | )
Closing Balance, as of February 28, 2015 |  |  |  | $ | 1,178,050 |  |  | $ | 11,034,599 |  |  |  | — |  |  | $ | 3,687 |  |  | $ | 12,216,336 |
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154 |  |  |  | $ | 12,649 |  |  | $ | (250,310 | ) |  | $ | 85 |  |  | $ | 473 |  |  | $ | (237,103 | )

2 |  | As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,360,933 transferred from Level 2 to Level 3 in the disclosure hierarchy.

3 |  | As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,731,369 transferred from Level 3 to Level 2 in the disclosure hierarchy.

4 |  | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

5 |  | Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations.

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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 19

Consolidated Schedule of Investments February 28, 2015 (Unaudited) | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) (Percentages shown are based on Net Assets)

Common Stocks (a) |  |  |  |  |  | Shares |  | Value
Chemicals — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
GEO Specialty Chemicals, Inc. (b) |  |  |  |  |  |  | 23,849 |  |  | $ | 20,749 |
Diversified Consumer Services — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia |  |  |  |  |  |  | 116,627 |  |  |  | 2,306,882 |
Diversified Financial Services — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Kcad Holdings I Ltd. |  |  |  |  |  |  | 217,833,983 |  |  |  | 217,834 |
Electrical Equipment — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Medis Technologies Ltd. |  |  |  |  |  |  | 260,833 |  |  |  | 3 |
Media — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cengage Thomson Learning |  |  |  |  |  |  | 37,579 |  |  |  | 810,316 |
Paper & Forest Products — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ainsworth Lumber Co. Ltd. |  |  |  |  |  |  | 393,892 |  |  |  | 1,061,848 |
Ainsworth Lumber Co. Ltd. (b) |  |  |  |  |  |  | 346,000 |  |  |  | 932,741 |
|  |  |  |  |  |  |  |  |  |  | 1,994,589 |
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp. |  |  |  |  |  |  | 1,860 |  |  |  | 60,747 |
Total Common Stocks — 1.0% |  |  |  |  |  |  |  |  |  |  | 5,411,120 |
Asset-Backed Securities |  |  |  |  |  |  | Par (000) |  |  |  |  |
ALM Loan Funding (b)(c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2013-7RA, Class C, 3.71%, 4/24/24 |  |  |  | USD |  |  | 1,075 |  |  |  | 1,043,079 |
Series 2013-7RA, Class D, 5.26%, 4/24/24 |  |  |  |  |  |  | 900 |  |  |  | 835,245 |
Series 2013-8A, Class B, 3.01%, 1/20/26 |  |  |  |  |  |  | 1,150 |  |  |  | 1,113,486 |
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c) |  |  |  |  |  |  | 713 |  |  |  | 676,264 |
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c) |  |  |  |  |  |  | 1,000 |  |  |  | 960,000 |
Ares CLO Ltd., Series 2014-32A, Class C, 4.45%, 11/15/25 (b)(c) |  |  |  |  |  |  | 1,000 |  |  |  | 993,340 |
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (b)(c) |  |  |  |  |  |  | 860 |  |  |  | 818,515 |
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c) |  |  |  |  |  |  | 1,100 |  |  |  | 1,057,166 |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c) |  |  |  |  |  |  | 650 |  |  |  | 615,010 |
Carlyle Global Market Strategies CLO Ltd. (b)(c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2012-4A, Class D, 4.76%, 1/20/25 |  |  |  |  |  |  | 700 |  |  |  | 707,670 |
Series 2013-1A, Class C, 4.26%, 2/14/25 |  |  |  |  |  |  | 250 |  |  |  | 247,241 |
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (b)(c) |  |  |  |  |  |  | 625 |  |  |  | 593,375 |
CIFC Funding 2014-V, Ltd., Series 2014-5A, Class D2, 4.74%, 1/17/27 (b)(c) |  |  |  |  |  |  | 1,000 |  |  |  | 980,700 |
CIFC Funding Ltd., Series 2014-3A, Class C1, 3.06%, 7/22/26 (b)(c) |  |  |  |  |  |  | 250 |  |  |  | 242,359 |
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c) |  |  |  |  |  |  | 950 |  |  |  | 939,458 |
LCM LP, 0.00%, 4/20/27 (b)(d)(e) |  |  |  |  |  |  | 1,500 |  |  |  | 2,156,250 |
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c) |  |  |  |  |  |  | 370 |  |  |  | 349,500 |
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (b)(c) |  |  |  |  |  |  | 750 |  |  |  | 704,343 |
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (b)(c) |  |  |  |  |  |  | 1,000 |  |  |  | 932,083 |
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (b)(c) |  |  |  |  |  |  | 250 |  |  |  | 242,313 |
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 3.90%, 11/14/26 (b)(c) |  |  |  |  |  |  | 500 |  |  |  | 480,515 |
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c) |  |  |  |  |  |  | 500 |  |  |  | 501,333 |
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c) |  |  |  |  |  |  | 250 |  |  |  | 238,605 |

Asset-Backed Securities |  |  |  |  |  | Par (000) |  | Value
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c) |  |  |  | USD |  |  | 500 |  |  | $ | 483,752 |
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c) |  |  |  |  |  |  | 1,250 |  |  |  | 1,144,375 |
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (b)(c) |  |  |  |  |  |  | 1,500 |  |  |  | 1,501,380 |
Voya CLO Ltd., Series 2014-3A, Class C, 3.86%, 7/25/26 (b)(c) |  |  |  |  |  |  | 250 |  |  |  | 240,345 |
Voya CLO, Ltd., Series 2014-4A (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class C, 4.23%, 10/14/26 (c) |  |  |  |  |  |  | 1,000 |  |  |  | 987,030 |
Class SUB, 0.00%, 10/14/26 (e) |  |  |  |  |  |  | 1,000 |  |  |  | 940,700 |
Total Asset-Backed Securities — 4.0% |  |  |  |  |  |  |  |  |  |  | 22,725,432 |
Corporate Bonds
Airlines — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b) |  |  |  |  |  |  | 1,140 |  |  |  | 1,151,400 |
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |  |  |  |  |  |  | 175 |  |  |  | 197,588 |
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 |  |  |  |  |  |  | 2,605 |  |  |  | 2,689,663 |
|  |  |  |  |  |  |  |  |  |  | 4,038,651 |
Auto Components — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 3/15/17 |  |  |  |  |  |  | 717 |  |  |  | 725,962 |
4.88%, 3/15/19 |  |  |  |  |  |  | 1,415 |  |  |  | 1,455,752 |
|  |  |  |  |  |  |  |  |  |  | 2,181,714 |
Banks — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CIT Group, Inc., 5.00%, 8/01/23 |  |  |  |  |  |  | 135 |  |  |  | 142,425 |
Capital Markets — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Blackstone CQP Holdco LP, 9.30%, 3/18/19 |  |  |  |  |  |  | 928 |  |  |  | 918,510 |
E*Trade Financial Corp., 0.00%, 8/31/19 (b)(e)(f) |  |  |  |  |  |  | 129 |  |  |  | 325,245 |
|  |  |  |  |  |  |  |  |  |  | 1,243,755 |
Chemicals — 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
GEO Specialty Chemicals, Inc., 7.50%, 3/31/15 |  |  |  |  |  |  | 1,559 |  |  |  | 3,554,720 |
Commercial Services & Supplies — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c) |  |  |  |  |  |  | 295 |  |  |  | 296,475 |
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |  |  |  |  |  |  | 939 |  |  |  | 958,686 |
United Rentals North America, Inc., 5.75%, 7/15/18 |  |  |  |  |  |  | 350 |  |  |  | 363,344 |
|  |  |  |  |  |  |  |  |  |  | 1,618,505 |
Communications Equipment — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Avaya, Inc., 7.00%, 4/01/19 (b) |  |  |  |  |  |  | 390 |  |  |  | 393,900 |
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20 |  |  |  |  |  |  | 1,323 |  |  |  | 1,402,380 |
|  |  |  |  |  |  |  |  |  |  | 1,796,280 |
Construction & Engineering — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (b) |  |  |  |  |  |  | 335 |  |  |  | 338,350 |
Consumer Finance — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 9/15/20 |  |  |  |  |  |  | 128 |  |  |  | 152,320 |
5.13%, 9/30/24 |  |  |  |  |  |  | 135 |  |  |  | 142,594 |
8.00%, 11/01/31 |  |  |  |  |  |  | 621 |  |  |  | 804,280 |
|  |  |  |  |  |  |  |  |  |  | 1,099,194 |
Health Care Providers & Services — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CHS/Community Health Systems, Inc., 6.88%, 2/01/22 |  |  |  |  |  |  | 314 |  |  |  | 335,784 |
HCA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 5/01/23 |  |  |  |  |  |  | 370 |  |  |  | 405,150 |
5.38%, 2/01/25 |  |  |  |  |  |  | 810 |  |  |  | 858,600 |

See Notes to Financial Statements.

20 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Health Care Providers & Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Tenet Healthcare Corp. (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 3/01/19 |  |  |  | USD |  |  | 1,400 |  |  | $ | 1,407,000 |
5.50%, 3/01/19 |  |  |  |  |  |  | 1,040 |  |  |  | 1,059,500 |
|  |  |  |  |  |  |  |  |  |  | 4,066,034 |
Hotels, Restaurants & Leisure — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(g) |  |  |  |  |  |  | 120 |  |  |  | — |
Independent Power and Renewable Electricity Producers — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b) |  |  |  |  |  |  | 1,400 |  |  |  | 1,464,750 |
Media — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Altice Financing SA, 6.63%, 2/15/23 (b) |  |  |  |  |  |  | 550 |  |  |  | 572,687 |
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b) |  |  |  |  |  |  | 514 |  |  |  | 531,348 |
Numericable Group SA, 6.00%, 5/15/22 (b) |  |  |  |  |  |  | 842 |  |  |  | 856,735 |
|  |  |  |  |  |  |  |  |  |  | 1,960,770 |
Metals & Mining — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Novelis, Inc., 8.38%, 12/15/17 |  |  |  |  |  |  | 255 |  |  |  | 266,475 |
Oil, Gas & Consumable Fuels — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Antero Resources Finance Corp., 5.38%, 11/01/21 |  |  |  |  |  |  | 600 |  |  |  | 604,500 |
CONSOL Energy, Inc., 5.88%, 4/15/22 |  |  |  |  |  |  | 620 |  |  |  | 595,200 |
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 |  |  |  |  |  |  | 635 |  |  |  | 650,875 |
|  |  |  |  |  |  |  |  |  |  | 1,850,575 |
Pharmaceuticals — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b) |  |  |  |  |  |  | 1,005 |  |  |  | 1,064,044 |
Road & Rail — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (b) |  |  |  |  |  |  | 884 |  |  |  | 911,625 |
Wireless Telecommunication Services — 1.0%
Digicel Group Ltd., 8.25%, 9/30/20 (b) |  |  |  |  |  |  | 1,355 |  |  |  | 1,370,582 |
Sprint Communications, Inc., 7.00%, 3/01/20 (b) |  |  |  |  |  |  | 3,510 |  |  |  | 3,888,413 |
T-Mobile USA, Inc., 6.13%, 1/15/22 |  |  |  |  |  |  | 225 |  |  |  | 236,813 |
|  |  |  |  |  |  |  |  |  |  | 5,495,808 |
Total Corporate Bonds — 5.9% |  |  |  |  |  |  |  |  |  |  | 33,093,675 |
Floating Rate Loan Interests (c)
Aerospace & Defense — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |  |  |  |  |  |  | 2,945 |  |  |  | 2,951,126 |
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |  |  |  |  |  |  | 2,201 |  |  |  | 2,197,367 |
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |  |  |  |  |  |  | 1,175 |  |  |  | 1,232,281 |
Transdigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.75%, 2/28/20 |  |  |  |  |  |  | 882 |  |  |  | 877,925 |
Term Loan D, 3.75%, 6/04/21 |  |  |  |  |  |  | 821 |  |  |  | 817,665 |
TransUnion LLC, Term Loan, 4.00%, 4/09/21 |  |  |  |  |  |  | 4,754 |  |  |  | 4,732,301 |
|  |  |  |  |  |  |  |  |  |  | 12,808,665 |
Air Freight & Logistics — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 693 |  |  |  | 640,062 |
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 725 |  |  |  | 669,913 |
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 114 |  |  |  | 104,875 |
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 1,000 |  |  |  | 924,018 |
|  |  |  |  |  |  |  |  |  |  | 2,338,868 |
Airlines — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18 |  |  |  |  |  |  | 1,422 |  |  |  | 1,420,542 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Airlines (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Northwest Airlines, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2.18%, 3/10/17 |  |  |  | USD |  |  | 653 |  |  | $ | 635,917 |
1.56%, 9/10/18 |  |  |  |  |  |  | 958 |  |  |  | 914,254 |
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |  |  |  |  |  |  | 1,139 |  |  |  | 1,134,583 |
|  |  |  |  |  |  |  |  |  |  | 4,105,296 |
Auto Components — 4.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |  |  |  |  |  |  | 1,236 |  |  |  | 1,234,469 |
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16 |  |  |  |  |  |  | 243 |  |  |  | 242,245 |
Autoparts Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.50%, 7/29/17 |  |  |  |  |  |  | 2,779 |  |  |  | 2,777,925 |
2nd Lien Term Loan, 10.50%, 1/29/18 |  |  |  |  |  |  | 907 |  |  |  | 881,571 |
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |  |  |  |  |  |  | 1,579 |  |  |  | 1,565,233 |
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19 |  |  |  |  |  |  | 1,544 |  |  |  | 1,522,277 |
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |  |  |  |  |  |  | 8,798 |  |  |  | 8,729,766 |
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |  |  |  |  |  |  | 4,179 |  |  |  | 4,197,471 |
GPX International Tire Corp., Term Loan (a)(g): |  |  |  |  |  |  |  |  |  |  |  |  |  |
PIK, 13.00%, 12/31/49 (h) |  |  |  |  |  |  | 18 |  |  |  | — |
12.25%, 12/31/49 |  |  |  |  |  |  | 1,097 |  |  |  | — |
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |  |  |  |  |  |  | 2,520 |  |  |  | 2,535,750 |
UCI International, Inc., Term Loan B, 5.50%, 7/26/17 |  |  |  |  |  |  | 1,440 |  |  |  | 1,440,000 |
|  |  |  |  |  |  |  |  |  |  | 25,126,707 |
Automobiles — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Chrysler Group LLC, Term Loan B: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.25%, 12/31/18 |  |  |  |  |  |  | 819 |  |  |  | 816,618 |
3.50%, 5/24/17 |  |  |  |  |  |  | 868 |  |  |  | 867,714 |
|  |  |  |  |  |  |  |  |  |  | 1,684,332 |
Banks — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Redtop Acquisitions Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/03/20 |  |  |  |  |  |  | 1,153 |  |  |  | 1,151,908 |
2nd Lien Term Loan, 8.25%, 6/03/21 |  |  |  |  |  |  | 307 |  |  |  | 306,900 |
|  |  |  |  |  |  |  |  |  |  | 1,458,808 |
Building Products — 3.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |  |  |  |  |  |  | 1,461 |  |  |  | 1,434,359 |
CPG International, Inc., Term Loan, 4.75%, 9/30/20 |  |  |  |  |  |  | 5,735 |  |  |  | 5,635,048 |
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |  |  |  |  |  |  | 1,404 |  |  |  | 1,372,789 |
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21 |  |  |  |  |  |  | 1,742 |  |  |  | 1,721,510 |
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |  |  |  |  |  |  | 3,065 |  |  |  | 3,072,663 |
Nortek, Inc., Term Loan, 3.75%, 10/30/20 |  |  |  |  |  |  | 2,080 |  |  |  | 2,062,664 |
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |  |  |  |  |  |  | 1,012 |  |  |  | 995,059 |
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 |  |  |  |  |  |  | 1,679 |  |  |  | 1,672,027 |
Wilsonart LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B2, 4.00%, 10/31/19 |  |  |  |  |  |  | 500 |  |  |  | 495,365 |
Term Loan B, 4.00%, 10/31/19 |  |  |  |  |  |  | 3,386 |  |  |  | 3,354,854 |
|  |  |  |  |  |  |  |  |  |  | 21,816,338 |
Capital Markets — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinion Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.50%, 10/12/18 |  |  |  |  |  |  | 186 |  |  |  | 162,919 |
Term Loan B, 6.75%, 4/30/18 |  |  |  |  |  |  | 1,359 |  |  |  | 1,290,527 |
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |  |  |  |  |  |  | 870 |  |  |  | 866,239 |
|  |  |  |  |  |  |  |  |  |  | 2,319,685 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 21

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Chemicals — 4.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19 |  |  |  | USD |  |  | 1,099 |  |  | $ | 1,096,985 |
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19 |  |  |  |  |  |  | 570 |  |  |  | 569,173 |
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20 |  |  |  |  |  |  | 1,986 |  |  |  | 1,969,876 |
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20 |  |  |  |  |  |  | 116 |  |  |  | 115,827 |
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22 |  |  |  |  |  |  | 1,015 |  |  |  | 1,016,908 |
Chemtura Corp., Term Loan B, 3.50%, 8/27/16 |  |  |  |  |  |  | 499 |  |  |  | 498,210 |
Chromaflo Technologies Corp., 1st Lien Term Loan, 4.50%, 12/02/19 |  |  |  |  |  |  | 1,139 |  |  |  | 1,125,692 |
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |  |  |  |  |  |  | 2,049 |  |  |  | 2,008,007 |
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |  |  |  |  |  |  | 856 |  |  |  | 853,288 |
MacDermid, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 6/07/20 |  |  |  |  |  |  | 2,858 |  |  |  | 2,866,168 |
Term Loan B2, 4.75%, 6/07/20 |  |  |  |  |  |  | 747 |  |  |  | 751,249 |
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 |  |  |  |  |  |  | 2,074 |  |  |  | 2,080,820 |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |  |  |  |  |  |  | 2,441 |  |  |  | 2,377,194 |
OXEA Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.25%, 7/15/20 |  |  |  |  |  |  | 1,365 |  |  |  | 1,284,806 |
Term Loan B2, 4.25%, 1/15/20 |  |  |  |  |  |  | 2,518 |  |  |  | 2,434,725 |
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |  |  |  |  |  |  | 677 |  |  |  | 678,643 |
Solenis International LP: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 7/31/21 |  |  |  |  |  |  | 1,541 |  |  |  | 1,521,873 |
2nd Lien Term Loan, 7.75%, 7/31/22 |  |  |  |  |  |  | 1,725 |  |  |  | 1,671,818 |
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |  |  |  |  |  |  | 581 |  |  |  | 576,791 |
Univar, Inc., Term Loan B, 5.00%, 6/30/17 |  |  |  |  |  |  | 979 |  |  |  | 971,013 |
|  |  |  |  |  |  |  |  |  |  | 26,469,066 |
Commercial Services & Supplies — 6.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |  |  |  |  |  |  | 3,191 |  |  |  | 3,153,373 |
ARAMARK Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16 |  |  |  |  |  |  | 46 |  |  |  | 45,668 |
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16 |  |  |  |  |  |  | 32 |  |  |  | 31,877 |
Term Loan E, 3.25%, 9/07/19 |  |  |  |  |  |  | 2,848 |  |  |  | 2,839,112 |
Term Loan F, 3.25%, 2/24/21 |  |  |  |  |  |  | 863 |  |  |  | 858,780 |
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |  |  |  |  |  |  | 3,790 |  |  |  | 3,695,113 |
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |  |  |  |  |  |  | 4,540 |  |  |  | 4,548,528 |
Connolly Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 5/14/21 |  |  |  |  |  |  | 2,985 |  |  |  | 2,998,074 |
2nd Lien Term Loan, 8.00%, 5/14/22 |  |  |  |  |  |  | 1,500 |  |  |  | 1,481,250 |
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21 |  |  |  |  |  |  | 960 |  |  |  | 964,800 |
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21 |  |  |  |  |  |  | 870 |  |  |  | 877,360 |
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21 |  |  |  |  |  |  | 1,350 |  |  |  | 1,337,989 |
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |  |  |  |  |  |  | 2,388 |  |  |  | 2,361,135 |
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |  |  |  |  |  |  | 1,340 |  |  |  | 1,296,063 |
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |  |  |  |  |  |  | 4,305 |  |  |  | 4,271,400 |
US Ecology, Inc., Term Loan, 3.75%, 6/17/21 |  |  |  |  |  |  | 906 |  |  |  | 901,851 |
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 |  |  |  |  |  |  | 923 |  |  |  | 924,646 |
West Corp., Term Loan B10, 3.25%, 6/30/18 |  |  |  |  |  |  | 2,606 |  |  |  | 2,597,498 |
|  |  |  |  |  |  |  |  |  |  | 35,184,517 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Communications Equipment — 1.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Applied Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 1/25/21 |  |  |  | USD |  |  | 1,429 |  |  | $ | 1,424,301 |
2nd Lien Term Loan, 7.50%, 1/24/22 |  |  |  |  |  |  | 380 |  |  |  | 376,580 |
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17 |  |  |  |  |  |  | 1,506 |  |  |  | 1,462,085 |
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17 |  |  |  |  |  |  | 689 |  |  |  | 687,841 |
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 |  |  |  |  |  |  | 605 |  |  |  | 609,537 |
Telesat Canada, Term Loan A, 4.40%, 3/24/17 |  |  |  | CAD |  |  | 2,125 |  |  |  | 1,689,240 |
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |  |  |  | USD |  |  | 4,550 |  |  |  | 4,543,948 |
|  |  |  |  |  |  |  |  |  |  | 10,793,532 |
Construction & Engineering — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21 |  |  |  |  |  |  | 845 |  |  |  | 848,547 |
Construction Materials — 1.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 |  |  |  |  |  |  | 960 |  |  |  | 958,802 |
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 |  |  |  |  |  |  | 7,153 |  |  |  | 7,132,549 |
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 |  |  |  |  |  |  | 657 |  |  |  | 633,703 |
|  |  |  |  |  |  |  |  |  |  | 8,725,054 |
Containers & Packaging — 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |  |  |  |  |  |  | 918 |  |  |  | 914,620 |
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |  |  |  |  |  |  | 2,496 |  |  |  | 2,492,931 |
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20 |  |  |  |  |  |  | 1,502 |  |  |  | 1,508,084 |
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22 |  |  |  |  |  |  | 1,000 |  |  |  | 1,002,080 |
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21 |  |  |  |  |  |  | 771 |  |  |  | 771,125 |
|  |  |  |  |  |  |  |  |  |  | 6,688,840 |
Distributors — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |  |  |  |  |  |  | 2,962 |  |  |  | 2,945,416 |
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 |  |  |  |  |  |  | 1,445 |  |  |  | 1,451,813 |
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19 |  |  |  |  |  |  | 1,009 |  |  |  | 992,997 |
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17 |  |  |  |  |  |  | 880 |  |  |  | 878,202 |
|  |  |  |  |  |  |  |  |  |  | 6,268,428 |
Diversified Consumer Services — 2.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Allied Security Holdings LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 2/12/21 |  |  |  |  |  |  | 2,869 |  |  |  | 2,862,830 |
2nd Lien Term Loan, 8.00%, 8/13/21 |  |  |  |  |  |  | 417 |  |  |  | 415,741 |
Bright Horizons Family Solutions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 4.25%, 1/30/20 |  |  |  |  |  |  | 240 |  |  |  | 240,300 |
Term Loan B, 3.75%, 1/30/20 |  |  |  |  |  |  | 2,769 |  |  |  | 2,763,738 |
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21 |  |  |  |  |  |  | 575 |  |  |  | 577,156 |
Garda World Securities Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, 4.00%, 11/06/20 |  |  |  |  |  |  | 47 |  |  |  | 46,054 |
Term Loan B, 4.00%, 11/06/20 |  |  |  |  |  |  | 182 |  |  |  | 180,028 |
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |  |  |  |  |  |  | 1,067 |  |  |  | 1,011,394 |
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 |  |  |  |  |  |  | 3,696 |  |  |  | 3,694,407 |
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |  |  |  |  |  |  | 1,352 |  |  |  | 712,042 |
|  |  |  |  |  |  |  |  |  |  | 12,503,690 |
Diversified Financial Services — 2.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |  |  |  |  |  |  | 2,671 |  |  |  | 2,649,572 |
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21 |  |  |  |  |  |  | 975 |  |  |  | 970,535 |

See Notes to Financial Statements.

22 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Diversified Financial Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Onex Wizard US Acquisition, Inc., Term Loan, 5.25%, 1/14/22 |  |  |  | USD |  |  | 2,090 |  |  | $ | 2,102,686 |
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |  |  |  |  |  |  | 3,245 |  |  |  | 3,253,506 |
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |  |  |  |  |  |  | 2,569 |  |  |  | 2,561,985 |
TransFirst, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 5.50%, 11/12/21 |  |  |  |  |  |  | 1,373 |  |  |  | 1,381,227 |
2014 2nd Lien Term Loan, 9.00%, 11/12/22 |  |  |  |  |  |  | 741 |  |  |  | 733,937 |
|  |  |  |  |  |  |  |  |  |  | 13,653,448 |
Diversified Telecommunication Services — 4.9%
Altice Financing SA, Term Loan, 5.25%, 2/04/22 |  |  |  |  |  |  | 1,100 |  |  |  | 1,104,466 |
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |  |  |  |  |  |  | 3,018 |  |  |  | 3,025,555 |
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22 |  |  |  |  |  |  | 2,410 |  |  |  | 2,412,000 |
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |  |  |  |  |  |  | 2,703 |  |  |  | 2,710,726 |
Integra Telecom, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 2/21/20 |  |  |  |  |  |  | 850 |  |  |  | 842,562 |
Term Loan B, 5.25%, 2/22/19 |  |  |  |  |  |  | 2,004 |  |  |  | 1,990,270 |
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22 |  |  |  |  |  |  | 3,675 |  |  |  | 3,690,325 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan, 4.00%, 8/01/19 |  |  |  |  |  |  | 1,647 |  |  |  | 1,645,448 |
2020 Term Loan B, 4.00%, 1/15/20 |  |  |  |  |  |  | 10,260 |  |  |  | 10,254,870 |
|  |  |  |  |  |  |  |  |  |  | 27,676,222 |
Electric Utilities — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 |  |  |  |  |  |  | 915 |  |  |  | 777,113 |
American Energy — Utica LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 |  |  |  |  |  |  | 224 |  |  |  | 197,260 |
2nd Lien Term Loan, 5.50%, 9/30/18 |  |  |  |  |  |  | 1,049 |  |  |  | 949,235 |
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 |  |  |  |  |  |  | 224 |  |  |  | 197,291 |
|  |  |  |  |  |  |  |  |  |  | 2,120,899 |
Electrical Equipment — 1.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Southwire Co., Term Loan, 3.25%, 2/10/21 |  |  |  |  |  |  | 1,171 |  |  |  | 1,143,827 |
Texas Competitive Electric Holdings Co. LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
DIP Term Loan, 3.75%, 5/05/16 |  |  |  |  |  |  | 1,971 |  |  |  | 1,979,708 |
Extended Term Loan, 4.66%, 10/10/17 (a)(g) |  |  |  |  |  |  | 7,510 |  |  |  | 4,793,858 |
|  |  |  |  |  |  |  |  |  |  | 7,917,393 |
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20 |  |  |  |  |  |  | 2,012 |  |  |  | 1,993,957 |
Energy Equipment & Services — 1.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |  |  |  |  |  |  | 1,812 |  |  |  | 1,806,455 |
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21 |  |  |  |  |  |  | 1,167 |  |  |  | 1,166,750 |
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20 |  |  |  |  |  |  | 4,969 |  |  |  | 4,773,002 |
|  |  |  |  |  |  |  |  |  |  | 7,746,207 |
Food & Staples Retailing — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 |  |  |  |  |  |  | 1,471 |  |  |  | 1,468,738 |
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |  |  |  |  |  |  | 1,040 |  |  |  | 1,049,755 |
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19 |  |  |  |  |  |  | 2,222 |  |  |  | 2,225,063 |
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19 |  |  |  |  |  |  | 1,670 |  |  |  | 1,665,558 |
|  |  |  |  |  |  |  |  |  |  | 6,409,114 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Food Products — 3.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20 |  |  |  | USD |  |  | 1,121 |  |  | $ | 1,120,813 |
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |  |  |  |  |  |  | 2,986 |  |  |  | 2,978,823 |
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |  |  |  |  |  |  | 2,575 |  |  |  | 2,568,912 |
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19 |  |  |  |  |  |  | 227 |  |  |  | 227,396 |
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |  |  |  |  |  |  | 2,149 |  |  |  | 2,151,886 |
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21 |  |  |  |  |  |  | 1,939 |  |  |  | 1,941,382 |
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |  |  |  |  |  |  | 1,452 |  |  |  | 1,451,746 |
Pinnacle Foods Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan H, 3.00%, 4/29/20 |  |  |  |  |  |  | 528 |  |  |  | 525,201 |
Term Loan G, 3.00%, 4/29/20 |  |  |  |  |  |  | 2,638 |  |  |  | 2,620,787 |
Reddy Ice Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.75%, 5/01/19 |  |  |  |  |  |  | 2,451 |  |  |  | 2,120,407 |
2nd Lien Term Loan, 10.75%, 11/01/19 |  |  |  |  |  |  | 1,195 |  |  |  | 908,200 |
|  |  |  |  |  |  |  |  |  |  | 18,615,553 |
Health Care Equipment & Supplies — 5.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22 |  |  |  |  |  |  | 1,255 |  |  |  | 1,267,023 |
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 |  |  |  |  |  |  | 3,100 |  |  |  | 3,096,777 |
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |  |  |  |  |  |  | 1,923 |  |  |  | 1,913,566 |
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 |  |  |  |  |  |  | 4,250 |  |  |  | 4,247,781 |
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18 |  |  |  |  |  |  | 2,740 |  |  |  | 2,741,329 |
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |  |  |  |  |  |  | 3,518 |  |  |  | 3,513,507 |
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21 |  |  |  |  |  |  | 2,188 |  |  |  | 2,184,370 |
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 |  |  |  |  |  |  | 2,612 |  |  |  | 2,621,670 |
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |  |  |  |  |  |  | 3,180 |  |  |  | 3,131,090 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |  |  |  |  |  |  | 3,080 |  |  |  | 3,042,405 |
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19 |  |  |  |  |  |  | 444 |  |  |  | 447,772 |
|  |  |  |  |  |  |  |  |  |  | 28,207,290 |
Health Care Providers & Services — 7.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |  |  |  |  |  |  | 469 |  |  |  | 470,562 |
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 |  |  |  |  |  |  | 1,470 |  |  |  | 1,455,300 |
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |  |  |  |  |  |  | 1,298 |  |  |  | 1,299,293 |
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |  |  |  |  |  |  | 1,057 |  |  |  | 1,057,128 |
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19 |  |  |  |  |  |  | 1,717 |  |  |  | 1,715,058 |
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |  |  |  |  |  |  | 8,578 |  |  |  | 8,594,820 |
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |  |  |  |  |  |  | 2,339 |  |  |  | 2,335,614 |
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22 |  |  |  |  |  |  | 1,600 |  |  |  | 1,609,008 |
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |  |  |  |  |  |  | 9,666 |  |  |  | 9,676,091 |
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 |  |  |  |  |  |  | 1,032 |  |  |  | 1,031,937 |
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18 |  |  |  |  |  |  | 1,902 |  |  |  | 1,899,503 |
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |  |  |  |  |  |  | 1,193 |  |  |  | 1,217,025 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 23

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Health Care Providers & Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
HCA, Inc., Term Loan B5, 2.92%, 3/31/17 |  |  |  | USD |  |  | 1,402 |  |  | $ | 1,401,404 |
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21 |  |  |  |  |  |  | 363 |  |  |  | 361,778 |
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |  |  |  |  |  |  | 2,115 |  |  |  | 2,098,488 |
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |  |  |  |  |  |  | 1,322 |  |  |  | 1,309,981 |
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |  |  |  |  |  |  | 990 |  |  |  | 980,131 |
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 |  |  |  |  |  |  | 1,837 |  |  |  | 1,826,315 |
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 |  |  |  |  |  |  | 884 |  |  |  | 879,892 |
|  |  |  |  |  |  |  |  |  |  | 41,219,328 |
Health Care Technology — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
IMS Health, Inc., Term Loan, 3.50%, 3/17/21 |  |  |  |  |  |  | 3,345 |  |  |  | 3,323,827 |
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19 |  |  |  |  |  |  | 1,902 |  |  |  | 1,889,858 |
|  |  |  |  |  |  |  |  |  |  | 5,213,685 |
Hotels, Restaurants & Leisure — 11.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amaya Holdings BV: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 8/01/21 |  |  |  |  |  |  | 833 |  |  |  | 826,666 |
2nd Lien Term Loan, 8.00%, 8/01/22 |  |  |  |  |  |  | 5,815 |  |  |  | 5,780,459 |
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20 |  |  |  |  |  |  | 2,316 |  |  |  | 2,315,356 |
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |  |  |  |  |  |  | 2,966 |  |  |  | 2,846,888 |
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21 |  |  |  |  |  |  | 5,620 |  |  |  | 5,649,112 |
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18 |  |  |  |  |  |  | 151 |  |  |  | 138,945 |
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |  |  |  |  |  |  | 3,908 |  |  |  | 3,763,257 |
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |  |  |  |  |  |  | 1,661 |  |  |  | 1,663,132 |
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20 |  |  |  |  |  |  | 669 |  |  |  | 669,340 |
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |  |  |  |  |  |  | 1,923 |  |  |  | 1,932,866 |
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |  |  |  |  |  |  | 4,119 |  |  |  | 4,115,833 |
Intrawest ULC, Term Loan, 5.50%, 12/09/20 |  |  |  |  |  |  | 1,604 |  |  |  | 1,607,810 |
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |  |  |  |  |  |  | 8,056 |  |  |  | 8,046,129 |
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |  |  |  |  |  |  | 2,475 |  |  |  | 2,474,480 |
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |  |  |  |  |  |  | 3,447 |  |  |  | 3,433,151 |
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |  |  |  |  |  |  | 1,618 |  |  |  | 1,615,812 |
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21 |  |  |  |  |  |  | 1,279 |  |  |  | 1,281,439 |
Sabre, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan, 4.50%, 2/19/19 |  |  |  |  |  |  | 504 |  |  |  | 503,625 |
Term Loan B, 4.00%, 2/19/19 |  |  |  |  |  |  | 2,312 |  |  |  | 2,308,494 |
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20 |  |  |  |  |  |  | 1,530 |  |  |  | 1,526,851 |
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |  |  |  |  |  |  | 5,023 |  |  |  | 5,016,677 |
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 |  |  |  |  |  |  | 3,337 |  |  |  | 3,361,662 |
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20 |  |  |  |  |  |  | 1,106 |  |  |  | 1,107,736 |
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19 |  |  |  |  |  |  | 1,626 |  |  |  | 1,618,901 |
|  |  |  |  |  |  |  |  |  |  | 63,604,621 |
Household Products — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |  |  |  |  |  |  | 2,741 |  |  |  | 2,734,149 |
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19 |  |  |  |  |  |  | 1,039 |  |  |  | 1,039,261 |
Spectrum Brands, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan A, 3.00%, 9/04/17 |  |  |  |  |  |  | 777 |  |  |  | 774,810 |
Term Loan C, 3.50%, 9/04/19 |  |  |  |  |  |  | 1,458 |  |  |  | 1,454,469 |
|  |  |  |  |  |  |  |  |  |  | 6,002,689 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Independent Power and Renewable Electricity Producers — 2.0%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 |  |  |  | USD |  |  | 3,569 |  |  | $ | 3,569,889 |
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 |  |  |  |  |  |  | 2,845 |  |  |  | 2,857,326 |
Granite Acquisition Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/19/21 |  |  |  |  |  |  | 3,115 |  |  |  | 3,148,468 |
Term Loan C, 5.00%, 12/19/21 |  |  |  |  |  |  | 137 |  |  |  | 138,532 |
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21 |  |  |  |  |  |  | 1,655 |  |  |  | 1,661,206 |
|  |  |  |  |  |  |  |  |  |  | 11,375,421 |
Industrial Conglomerates — 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |  |  |  |  |  |  | 2,801 |  |  |  | 2,729,221 |
Insurance — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19 |  |  |  |  |  |  | 1,784 |  |  |  | 1,779,954 |
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20 |  |  |  |  |  |  | 1,090 |  |  |  | 1,062,463 |
CNO Financial Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.00%, 9/28/16 |  |  |  |  |  |  | 945 |  |  |  | 940,275 |
Term Loan B2, 3.75%, 9/28/18 |  |  |  |  |  |  | 2,249 |  |  |  | 2,235,553 |
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20 |  |  |  |  |  |  | 1,817 |  |  |  | 1,671,939 |
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21 |  |  |  |  |  |  | 2,117 |  |  |  | 2,106,997 |
Sedgwick Claims Management Services, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.75%, 3/01/21 |  |  |  |  |  |  | 2,015 |  |  |  | 1,985,561 |
2nd Lien Term Loan, 6.75%, 2/28/22 |  |  |  |  |  |  | 1,155 |  |  |  | 1,129,013 |
|  |  |  |  |  |  |  |  |  |  | 12,911,755 |
Internet Software & Services — 1.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21 |  |  |  |  |  |  | 1,856 |  |  |  | 1,843,975 |
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 |  |  |  |  |  |  | 2,537 |  |  |  | 2,538,442 |
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |  |  |  |  |  |  | 3,820 |  |  |  | 3,829,400 |
W3 Co., 1st Lien Term Loan, 5.75%, 3/13/20 |  |  |  |  |  |  | 1,764 |  |  |  | 1,587,229 |
|  |  |  |  |  |  |  |  |  |  | 9,799,046 |
IT Services — 3.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2018 Extended Term Loan, 3.67%, 3/24/18 |  |  |  |  |  |  | 12,519 |  |  |  | 12,497,576 |
2018 Term Loan, 3.67%, 9/24/18 |  |  |  |  |  |  | 1,150 |  |  |  | 1,148,919 |
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19 |  |  |  |  |  |  | 1,847 |  |  |  | 1,841,667 |
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |  |  |  |  |  |  | 1,015 |  |  |  | 945,207 |
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 |  |  |  |  |  |  | 539 |  |  |  | 479,227 |
SunGard Data Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.92%, 2/28/17 |  |  |  |  |  |  | 1,515 |  |  |  | 1,513,576 |
Term Loan E, 4.00%, 3/08/20 |  |  |  |  |  |  | 567 |  |  |  | 566,423 |
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21 |  |  |  |  |  |  | 1,726 |  |  |  | 1,726,676 |
|  |  |  |  |  |  |  |  |  |  | 20,719,271 |
Leisure Products — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |  |  |  |  |  |  | 1,616 |  |  |  | 1,605,473 |
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 |  |  |  |  |  |  | 396 |  |  |  | 381,131 |
|  |  |  |  |  |  |  |  |  |  | 1,986,604 |
Machinery — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alliance Laundry Systems LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.50%, 12/10/19 |  |  |  |  |  |  | 573 |  |  |  | 573,443 |
Refinancing Term Loan, 4.25%, 12/10/18 |  |  |  |  |  |  | 1,522 |  |  |  | 1,515,659 |
Faenza Acquisition GmbH: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.25%, 8/30/20 |  |  |  |  |  |  | 1,159 |  |  |  | 1,156,396 |
Term Loan B3, 4.25%, 8/30/20 |  |  |  |  |  |  | 344 |  |  |  | 342,829 |
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 |  |  |  |  |  |  | 1,353 |  |  |  | 1,342,079 |

See Notes to Financial Statements.

24 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Machinery (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |  |  |  | USD |  |  | 967 |  |  | $ | 952,253 |
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |  |  |  |  |  |  | 800 |  |  |  | 800,728 |
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |  |  |  |  |  |  | 2,403 |  |  |  | 2,395,890 |
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19 |  |  |  |  |  |  | 2,929 |  |  |  | 2,813,242 |
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |  |  |  |  |  |  | 1,043 |  |  |  | 1,037,724 |
|  |  |  |  |  |  |  |  |  |  | 12,930,243 |
Media — 13.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cengage Learning Acquisitions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 3/31/20 |  |  |  |  |  |  | 5,636 |  |  |  | 5,635,071 |
Term Loan, 0.00%, 7/03/15 (a)(g) |  |  |  |  |  |  | 2,489 |  |  |  | — |
Charter Communications Operating LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan E, 3.00%, 7/01/20 |  |  |  |  |  |  | 2,004 |  |  |  | 1,996,958 |
Term Loan G, 4.25%, 9/12/21 |  |  |  |  |  |  | 4,100 |  |  |  | 4,130,709 |
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19 |  |  |  |  |  |  | 6,175 |  |  |  | 5,906,441 |
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |  |  |  |  |  |  | 2,267 |  |  |  | 2,251,677 |
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21 |  |  |  |  |  |  | 1,104 |  |  |  | 1,099,556 |
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |  |  |  |  |  |  | 1,981 |  |  |  | 1,972,650 |
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19 |  |  |  |  |  |  | 1,372 |  |  |  | 1,373,581 |
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |  |  |  |  |  |  | 4,313 |  |  |  | 4,278,778 |
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22 |  |  |  |  |  |  | 1,490 |  |  |  | 1,467,650 |
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20 |  |  |  |  |  |  | 494 |  |  |  | 491,281 |
MCC Iowa LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan I, 2.65%, 6/30/17 |  |  |  |  |  |  | 1,075 |  |  |  | 1,069,227 |
Term Loan J, 3.75%, 6/30/21 |  |  |  |  |  |  | 522 |  |  |  | 519,763 |
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |  |  |  |  |  |  | 2,687 |  |  |  | 2,693,364 |
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18 |  |  |  |  |  |  | 1,112 |  |  |  | 1,093,814 |
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21 |  |  |  |  |  |  | 1,357 |  |  |  | 1,342,614 |
Numericable U.S. LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.50%, 5/21/20 |  |  |  |  |  |  | 2,236 |  |  |  | 2,238,557 |
Term Loan B2, 4.50%, 5/21/20 |  |  |  |  |  |  | 1,934 |  |  |  | 1,936,656 |
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |  |  |  |  |  |  | 1,607 |  |  |  | 1,594,077 |
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21 |  |  |  |  |  |  | 3,035 |  |  |  | 3,012,414 |
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20 |  |  |  |  |  |  | 1,862 |  |  |  | 1,842,482 |
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |  |  |  |  |  |  | 4,800 |  |  |  | 4,794,345 |
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |  |  |  |  |  |  | 2,271 |  |  |  | 2,264,649 |
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21 |  |  |  | EUR |  |  | 1,272 |  |  |  | 1,421,172 |
Virgin Media Investment Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 3.50%, 6/07/20 |  |  |  | USD |  |  | 3,415 |  |  |  | 3,404,482 |
Term Loan E, 4.25%, 6/30/23 |  |  |  | GBP |  |  | 2,840 |  |  |  | 4,382,256 |
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 |  |  |  | USD |  |  | 3,964 |  |  |  | 3,963,038 |
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21 |  |  |  |  |  |  | 250 |  |  |  | 249,317 |
Ziggo Financing Partnership: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.50%, 1/15/22 |  |  |  |  |  |  | 1,879 |  |  |  | 1,861,115 |
Term Loan B2A, 3.50%, 1/15/22 |  |  |  |  |  |  | 1,219 |  |  |  | 1,207,123 |
Term Loan B3, 3.50%, 1/15/22 |  |  |  |  |  |  | 2,004 |  |  |  | 1,985,287 |
|  |  |  |  |  |  |  |  |  |  | 73,480,104 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Metals & Mining — 1.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |  |  |  | USD |  |  | 3,383 |  |  | $ | 3,377,566 |
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |  |  |  |  |  |  | 2,515 |  |  |  | 2,514,812 |
|  |  |  |  |  |  |  |  |  |  | 5,892,378 |
Multiline Retail — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
99¢ Only Stores, Term Loan, 4.50%, 1/11/19 |  |  |  |  |  |  | 1,959 |  |  |  | 1,961,868 |
BJ’s Wholesale Club, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 9/26/19 |  |  |  |  |  |  | 4,843 |  |  |  | 4,820,938 |
2nd Lien Term Loan, 8.50%, 3/26/20 |  |  |  |  |  |  | 870 |  |  |  | 862,387 |
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 |  |  |  |  |  |  | 2,085 |  |  |  | 2,100,116 |
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 |  |  |  |  |  |  | 661 |  |  |  | 662,863 |
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |  |  |  |  |  |  | 2,580 |  |  |  | 2,557,324 |
|  |  |  |  |  |  |  |  |  |  | 12,965,496 |
Oil, Gas & Consumable Fuels — 4.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 |  |  |  |  |  |  | 1,867 |  |  |  | 1,492,646 |
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20 |  |  |  |  |  |  | 2,050 |  |  |  | 2,038,048 |
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |  |  |  |  |  |  | 3,701 |  |  |  | 2,884,624 |
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |  |  |  |  |  |  | 1,920 |  |  |  | 1,851,206 |
Fieldwood Energy LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.88%, 9/28/18 |  |  |  |  |  |  | 1,353 |  |  |  | 1,293,188 |
2nd Lien Term Loan, 8.38%, 9/30/20 |  |  |  |  |  |  | 390 |  |  |  | 298,073 |
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21 |  |  |  |  |  |  | 895 |  |  |  | 900,594 |
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |  |  |  |  |  |  | 532 |  |  |  | 526,756 |
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |  |  |  |  |  |  | 110 |  |  |  | 67,228 |
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21 |  |  |  |  |  |  | 1,650 |  |  |  | 1,658,250 |
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |  |  |  |  |  |  | 1,435 |  |  |  | 1,449,350 |
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |  |  |  |  |  |  | 1,560 |  |  |  | 1,528,800 |
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |  |  |  |  |  |  | 470 |  |  |  | 453,550 |
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |  |  |  |  |  |  | 1,800 |  |  |  | 1,710,000 |
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |  |  |  |  |  |  | 267 |  |  |  | 240,829 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |  |  |  |  |  |  | 1,169 |  |  |  | 1,136,974 |
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |  |  |  |  |  |  | 945 |  |  |  | 882,627 |
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22 |  |  |  |  |  |  | 1,105 |  |  |  | 1,099,475 |
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21 |  |  |  |  |  |  | 1,565 |  |  |  | 1,579,993 |
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22 |  |  |  |  |  |  | 1,685 |  |  |  | 1,676,575 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |  |  |  |  |  |  | 599 |  |  |  | 594,458 |
|  |  |  |  |  |  |  |  |  |  | 25,363,244 |
Personal Products — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21 |  |  |  |  |  |  | 419 |  |  |  | 418,620 |
Pharmaceuticals — 6.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Akorn, Inc., Term Loan B, 4.50%, 4/16/21 |  |  |  |  |  |  | 2,484 |  |  |  | 2,491,028 |
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19 |  |  |  |  |  |  | 1,221 |  |  |  | 1,222,137 |
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19 |  |  |  |  |  |  | 911 |  |  |  | 900,007 |
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 |  |  |  |  |  |  | 1,568 |  |  |  | 1,564,230 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 25

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

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Pharmaceuticals (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21 |  |  |  | USD |  |  | 4,262 |  |  | $ | 4,250,795 |
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21 |  |  |  |  |  |  | 1,587 |  |  |  | 1,574,725 |
Mallinckrodt International Finance SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B1, 3.50%, 3/19/21 |  |  |  |  |  |  | 1,436 |  |  |  | 1,432,507 |
Term Loan B, 3.25%, 3/19/21 |  |  |  |  |  |  | 2,308 |  |  |  | 2,293,717 |
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |  |  |  |  |  |  | 3,717 |  |  |  | 3,692,506 |
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |  |  |  |  |  |  | 4,312 |  |  |  | 4,303,930 |
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18 |  |  |  |  |  |  | 2,608 |  |  |  | 2,607,937 |
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20 |  |  |  |  |  |  | 2,023 |  |  |  | 2,022,122 |
Valeant Pharmaceuticals International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series C2 Term Loan B, 3.50%, 12/11/19 |  |  |  |  |  |  | 2,303 |  |  |  | 2,296,786 |
Series D2 Term Loan B, 3.50%, 2/13/19 |  |  |  |  |  |  | 2,008 |  |  |  | 2,003,331 |
Series E Term Loan B, 3.50%, 8/05/20 |  |  |  |  |  |  | 1,436 |  |  |  | 1,432,621 |
|  |  |  |  |  |  |  |  |  |  | 34,088,379 |
Professional Services — 2.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21 |  |  |  |  |  |  | 1,365 |  |  |  | 1,371,443 |
Advantage Sales & Marketing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 4.25%, 7/23/21 |  |  |  |  |  |  | 2,030 |  |  |  | 2,019,255 |
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |  |  |  |  |  |  | 880 |  |  |  | 876,973 |
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20 |  |  |  |  |  |  | 1,699 |  |  |  | 1,677,941 |
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |  |  |  |  |  |  | 3,228 |  |  |  | 3,217,535 |
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |  |  |  |  |  |  | 975 |  |  |  | 968,497 |
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |  |  |  |  |  |  | 1,827 |  |  |  | 1,809,175 |
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |  |  |  |  |  |  | 1,634 |  |  |  | 1,613,607 |
|  |  |  |  |  |  |  |  |  |  | 13,554,426 |
Real Estate Management & Development — 1.7%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |  |  |  |  |  |  | 2,296 |  |  |  | 2,296,605 |
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 |  |  |  |  |  |  | 2,157 |  |  |  | 2,160,226 |
Realogy Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Extended Letter of Credit, 4.40%, 10/10/16 |  |  |  |  |  |  | 115 |  |  |  | 112,876 |
Term Loan B, 3.75%, 3/05/20 |  |  |  |  |  |  | 5,185 |  |  |  | 5,176,700 |
|  |  |  |  |  |  |  |  |  |  | 9,746,407 |
Road & Rail — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Hertz Corp., Term Loan B2, 3.50%, 3/11/18 |  |  |  |  |  |  | 1,448 |  |  |  | 1,436,327 |
Road Infrastructure Investment LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 3/31/21 |  |  |  |  |  |  | 2,025 |  |  |  | 1,963,959 |
2nd Lien Term Loan, 7.75%, 9/21/21 |  |  |  |  |  |  | 975 |  |  |  | 867,750 |
|  |  |  |  |  |  |  |  |  |  | 4,268,036 |
Semiconductors & Semiconductor Equipment — 1.9%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 |  |  |  |  |  |  | 5,129 |  |  |  | 5,132,149 |
Freescale Semiconductor, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B4, 4.25%, 2/28/20 |  |  |  |  |  |  | 3,544 |  |  |  | 3,535,168 |
Term Loan B5, 5.00%, 1/15/21 |  |  |  |  |  |  | 706 |  |  |  | 709,338 |
NXP BV, Term Loan D, 3.25%, 1/11/20 |  |  |  |  |  |  | 1,412 |  |  |  | 1,401,534 |
|  |  |  |  |  |  |  |  |  |  | 10,778,189 |
Software — 3.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |  |  |  |  |  |  | 1,054 |  |  |  | 1,034,189 |
GCA Services Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.25%, 10/22/20 |  |  |  |  |  |  | 780 |  |  |  | 772,200 |
Term Loan B, 4.25%, 11/01/19 |  |  |  |  |  |  | 1,683 |  |  |  | 1,679,841 |

Floating Rate Loan Interests (c) |  |  |  |  |  | Par (000) |  | Value
Software (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Infor US, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B3, 3.75%, 6/03/20 |  |  |  | USD |  |  | 846 |  |  | $ | 838,003 |
Term Loan B5, 3.75%, 6/03/20 |  |  |  |  |  |  | 3,988 |  |  |  | 3,949,512 |
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |  |  |  |  |  |  | 887 |  |  |  | 842,348 |
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 |  |  |  |  |  |  | 506 |  |  |  | 506,595 |
Kronos, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 4/30/20 |  |  |  |  |  |  | 1,787 |  |  |  | 1,824,149 |
Initial Incremental Term Loan, 4.50%, 10/30/19 |  |  |  |  |  |  | 1,469 |  |  |  | 1,469,785 |
Mitchell International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 10/12/20 |  |  |  |  |  |  | 2,184 |  |  |  | 2,169,049 |
2nd Lien Term Loan, 8.50%, 10/11/21 |  |  |  |  |  |  | 1,600 |  |  |  | 1,579,664 |
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21 |  |  |  |  |  |  | 959 |  |  |  | 933,200 |
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |  |  |  |  |  |  | 2,795 |  |  |  | 2,790,162 |
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |  |  |  |  |  |  | 325 |  |  |  | 323,681 |
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 |  |  |  |  |  |  | 575 |  |  |  | 552,719 |
|  |  |  |  |  |  |  |  |  |  | 21,265,097 |
Specialty Retail — 4.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Academy Ltd., Term Loan, 4.50%, 8/03/18 |  |  |  |  |  |  | 2,766 |  |  |  | 2,762,336 |
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20 |  |  |  |  |  |  | 1,316 |  |  |  | 1,319,535 |
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19 |  |  |  |  |  |  | 1,451 |  |  |  | 1,422,293 |
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19 |  |  |  |  |  |  | 2,365 |  |  |  | 2,345,397 |
Michaels Stores, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |  |  |  |  |  |  | 2,905 |  |  |  | 2,896,771 |
Term Loan B, 3.75%, 1/28/20 |  |  |  |  |  |  | 2,242 |  |  |  | 2,226,946 |
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |  |  |  |  |  |  | 4,137 |  |  |  | 4,109,124 |
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |  |  |  |  |  |  | 3,352 |  |  |  | 3,347,173 |
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 |  |  |  |  |  |  | 5,170 |  |  |  | 5,204,639 |
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18 |  |  |  |  |  |  | 1,601 |  |  |  | 1,352,930 |
|  |  |  |  |  |  |  |  |  |  | 26,987,144 |
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.75%, 10/29/18 |  |  |  |  |  |  | 1,679 |  |  |  | 1,680,830 |
Term Loan B, 4.50%, 4/29/20 |  |  |  |  |  |  | 1,987 |  |  |  | 1,994,694 |
|  |  |  |  |  |  |  |  |  |  | 3,675,524 |
Textiles, Apparel & Luxury Goods — 1.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21 |  |  |  |  |  |  | 2,134 |  |  |  | 2,133,875 |
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 |  |  |  |  |  |  | 2,287 |  |  |  | 1,932,232 |
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 |  |  |  |  |  |  | 2,050 |  |  |  | 1,929,616 |
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21 |  |  |  |  |  |  | 2,214 |  |  |  | 2,194,504 |
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 |  |  |  |  |  |  | 1,667 |  |  |  | 1,669,553 |
|  |  |  |  |  |  |  |  |  |  | 9,859,780 |
Thrifts & Mortgage Finance — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 |  |  |  |  |  |  | 1,921 |  |  |  | 1,911,196 |
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 |  |  |  |  |  |  | 2,650 |  |  |  | 2,623,154 |
Total Floating Rate Loan Interests — 131.0% |  |  |  |  |  |  |  |  |  |  | 738,849,514 |

See Notes to Financial Statements.

26 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Non-Agency Mortgage-Backed Securities |  |  |  |  |  | Par (000) |  | Value
Collateralized Mortgage Obligations — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c) |  |  |  | USD |  |  | 1,336 |  |  | $ | 1,360,450 |
Investment Companies |  |  |  |  |  |  | Shares |  |  |  |  |
Capital Markets — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Eaton Vance Floating-Rate Income Trust |  |  |  |  |  |  | 54 |  |  |  | 776 |
Eaton Vance Senior Income Trust |  |  |  |  |  |  | 13,945 |  |  |  | 91,061 |
Total Investment Companies — 0.0% |  |  |  |  |  |  |  |  |  |  | 91,837 |
Other Interests (i) |  |  |  |  |  |  | Beneficial Interest (000) |  |  |  |  |
Auto Components — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Intermet Liquidating Trust, Class A |  |  |  | USD |  |  | 256 |  |  |  | 3 |
Household Durables — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Stanley Martin, Class B Membership Units (j) |  |  |  |  |  |  | 1,250 |  |  |  | 1,758,750 |
Total Other Interests — 0.3% |  |  |  |  |  |  |  |  |  |  | 1,758,753 |

Preferred Securities |  |  |  |  |  | Shares |  | Value
Preferred Stock — 0.0%
Consumer Finance — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc., Series A, 8.50% (c)(k) |  |  |  |  |  |  | 4,976 |  |  | $ | 132,063 |
Trust Preferreds — 0.3%
Diversified Financial Services — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (c) |  |  |  |  |  |  | 60,894 |  |  |  | 1,579,573 |
Total Preferred Securities — 0.3% |  |  |  |  |  |  |  |  |  |  | 1,711,636 |
Warrants (l)
Chemicals — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
GEO Specialty Chemicals, Inc., (Expires 3/31/15) |  |  |  |  |  |  | 143,928 |  |  |  | 123,778 |
Software — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) |  |  |  |  |  |  | 2,406 |  |  |  | 12,839 |
Total Warrants — 0.0% |  |  |  |  |  |  |  |  |  |  | 136,617 |
Total Long-Term Investments (Cost — $815,002,691) — 142.8% |  |  |  |  |  |  |  |  |  |  | 805,139,034 |
Options Purchased (Cost — $43,022) — 0.0% |  |  |  |  |  |  |  |  |  |  | — |
Total Investments (Cost — $815,045,713) — 142.8% |  |  |  |  |  | 805,139,034 |
Liabilities in Excess of Other Assets — (42.8)% |  |  |  |  |  |  |  |  |  |  | (241,186,594 | )
Net Assets — 100.0% |  |  |  |  |  |  |  |  |  | $ | 563,952,440 |

Notes to Schedule of Investments

(a) |  |  |  | Non-income producing security.
(b) |  |  |  | Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(c) |  |  |  | Variable rate security. Rate shown is as of report date.
(d) |  |  |  | When-issued security. Unsettled when-issued transactions were as follows:

Counterparty |  |  |  | Value |  | Unrealized Appreciation
Deutsche Bank Securities, Inc. |  |  |  | $ | 2,156,250 |  |  |  | — |

(e) |  |  |  | Zero-coupon bond.
(f) |  |  |  | Convertible security.
(g) |  |  |  | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h) |  |  |  | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(i) |  |  |  | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j) |  |  |  | Security is held by a wholly owned subsidiary. See Note 1 of the Notes to Financial Statements for details on the wholly owned subsidiary.
(k) |  |  |  | Security is perpetual in nature and has no stated maturity date.
(l) |  |  |  | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
• |  |  |  | During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(b)(3) of the 1940 Act, were as follows:

Affiliate |  |  |  | Shares Held at August 31, 2014 |  | Net Activity |  | Shares Held at February 28, 2015 |  | Income
BlackRock Liquidity Funds, TempFund, Institutional Class |  |  |  |  | 3,456,864 |  |  |  | (3,456,864 | ) |  |  | — |  |  | $ | 144 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 27

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

• |  |  |  | As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased |  |  |  |  | Currency Sold |  |  | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation/ (Depreciation)
EUR |  |  |  |  | 529,000 |  |  |  |  | USD | 598,031 |  |  | Royal Bank of Scotland PLC |  | 4/21/15 |  | $ | (5,714 | )
USD |  |  |  |  | 2,423,774 |  |  |  |  | CAD | 2,900,000 |  |  | UBS AG |  | 4/21/15 |  |  | 105,601 |
USD |  |  |  |  | 1,447,116 |  |  |  |  | EUR | 1,254,000 |  |  | Citibank N.A. |  | 4/21/15 |  |  | 43,022 |
USD |  |  |  |  | 3,159,744 |  |  |  |  | GBP | 2,083,000 |  |  | Bank of America N.A. |  | 4/21/15 |  |  | (55,014 | )
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 87,895 |

• |  |  |  | As of February 28, 2015, OTC options purchased outstanding were as follows:

Description |  |  |  | Counterparty |  | Put/ Call |  | Strike Price |  | Expiration Date |  | Contracts |  | Notional Amount (000) |  | Value
Marsico Parent Superholdco LLC |  |  |  | Goldman Sachs & Co. |  | Call |  | USD |  | 942.86 |  | 12/14/19 |  | 44 |  | USD |  | — |  |  |  |  | — |

• |  |  |  | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
• |  |  |  | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• |  |  |  | Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
• |  |  |  | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
• |  |  |  | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

|  |  |  | Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
|  |  |  | As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  |  |  |  | — |  |  | $ | 18,106,282 |  |  | $ | 4,619,150 |  |  | $ | 22,725,432 |
Common Stocks |  |  |  | $ | 3,429,477 |  |  |  | 1,743,057 |  |  |  | 238,586 |  |  |  | 5,411,120 |
Corporate Bonds |  |  |  |  | — |  |  |  | 28,620,445 |  |  |  | 4,473,230 |  |  |  | 33,093,675 |
Floating Rate Loan Interests |  |  |  |  | — |  |  |  | 691,361,761 |  |  |  | 47,487,753 |  |  |  | 738,849,514 |
Investment Companies |  |  |  |  | 91,837 |  |  |  | — |  |  |  | — |  |  |  | 91,837 |
Non-Agency Mortgage-Backed Securities |  |  |  |  | — |  |  |  | 1,360,450 |  |  |  | — |  |  |  | 1,360,450 |
Other Interests |  |  |  |  | — |  |  |  | — |  |  |  | 1,758,753 |  |  |  | 1,758,753 |
Preferred Securities |  |  |  |  | 1,711,636 |  |  |  | — |  |  |  | — |  |  |  | 1,711,636 |
Warrants |  |  |  |  | — |  |  |  | — |  |  |  | 136,617 |  |  |  | 136,617 |
Total |  |  |  | $ | 5,232,950 |  |  | $ | 741,191,995 |  |  | $ | 58,714,089 |  |  | $ | 805,139,034 |

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Derivative Financial Instruments1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency exchange contracts |  |  |  |  | — |  |  | $ | 148,623 |  |  |  | — |  |  | $ | 148,623 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency exchange contracts |  |  |  |  | — |  |  |  | (60,728 | ) |  |  | — |  |  |  | (60,728 | )
Total |  |  |  |  | — |  |  | $ | 87,895 |  |  |  | — |  |  | $ | 87,895 |

1 |  | Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

See Notes to Financial Statements.

28 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  |  | $ | 3,119,964 |  |  |  | — |  |  |  | — |  |  | $ | 3,119,964 |
Foreign currency at value |  |  |  |  | 2,192 |  |  |  | — |  |  |  | — |  |  |  | 2,192 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank borrowings payable |  |  |  |  | — |  |  | $ | (231,000,000 | ) |  |  | — |  |  |  | (231,000,000 | )
Total |  |  |  | $ | 3,122,156 |  |  | $ | (231,000,000 | ) |  |  | — |  |  | $ | (227,877,844 | )

|  |  |  | During the six months ended February 28, 2015, there were no transfers between Level 1 and Level 2.
|  |  |  | A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

|  | Common Stocks |  | Asset-Backed Securities |  | Corporate Bonds |  | Floating Rate Loan Interests |  | Other Interests |  | Unfunded Floating Rate Loan Interests (Liabilities) |  | Warrants | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening Balance, as of August 31, 2014 |  | $ | 1,510,942 |  |  | $ | 1,159,180 |  |  | $ | 4,766,957 |  |  | $ | 58,688,498 |  |  | $ | 1,858,753 |  |  | $ | (374 | ) |  | $ | 138,171 |  | $ 68,122,127 |
Transfers into Level 31 |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 18,772,312 |  |  |  | — |  |  |  | — |  |  |  | 11,191 |  | 18,783,503 |
Transfers out of Level 32 |  |  | — |  |  |  | (1,159,180 | ) |  |  | — |  |  |  | (26,062,679 | ) |  |  | — |  |  |  | — |  |  |  | — |  | (27,221,859) |
Accrued discounts/Premiums |  |  | — |  |  |  | 4,491 |  |  |  | 43,508 |  |  |  | 33,217 |  |  |  | — |  |  |  | — |  |  |  | — |  | 81,216 |
Net realized gain (loss) |  |  |  |  |  |  | — |  |  |  | — |  |  |  | 64,178 |  |  |  | — |  |  |  | — |  |  |  | — |  | 64,178 |
Net change in unrealized appreciation/ depreciation3,4 |  |  | (1,272,356 | ) |  |  | 29,399 |  |  |  | (444,061 | ) |  |  | (962,745 | ) |  |  | (100,000 | ) |  |  | 374 |  |  |  | (12,745 | ) | (2,762,134) |
Purchases |  |  | — |  |  |  | 4,585,260 |  |  |  | 225,926 |  |  |  | 8,970,164 |  |  |  | — |  |  |  | — |  |  |  | — |  | 13,781,350 |
Sales |  |  | — |  |  |  |  |  |  |  | (119,100 | ) |  |  | (12,015,192 | ) |  |  | — |  |  |  | — |  |  |  | — |  | (12,134,292) |
Closing Balance, as of February 28, 2015 |  | $ | 238,586 |  |  | $ | 4,619,150 |  |  | $ | 4,473,230 |  |  | $ | 47,487,753 |  |  | $ | 1,758,753 |  |  |  | — |  |  | $ | 136,617 |  | $ 58,714,089 |
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154 |  | $ | (1,272,357 | ) |  | $ | 29,399 |  |  | $ | (444,060 | ) |  | $ | (1,065,570 | ) |  | $ | (100,000 | ) |  |  | — |  |  | $ | (12,746 | ) | $ (2,865,334) |

1 |  | As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $18,783,503 transferred from Level 2 to Level 3 in the disclosure hierarchy.

2 |  | As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $27,221,859 transferred from Level 3 to Level 2 in the disclosure hierarchy.

3 |  | Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations.

4 |  | Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 29

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

|  |  |  | The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Fund’s Level 3 investments as of February 28, 2015. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $50,651,609. A significant change in third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

|  |  |  | Value |  | Valuation Techniques |  | Unobservable Inputs |  | Range of Unobservable Inputs Utilized
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Common Stocks |  |  |  | $ | 20,749 |  |  | Market Comparable Companies |  | Last 12 Months EBITDA Multiple1 |  | 6.75x
|  |  |  |  |  |  |  |  |  | Illiquidity Discount2 |  | 17.50%
|  |  |  |  | 217,834 |  |  |  |  | Last 12 Months EBITDA Multiple1 |  | 3.88x-4.63x
|  |  |  |  |  |  |  |  |  | Current Fiscal Year EBITDA Multiple1 |  | 3.88x-4.63x
|  |  |  |  |  |  |  |  |  | Discontinued Operations Expected Sale Proceeds |  | $603
Corporate Bonds |  |  |  |  | 3,554,720 |  |  | Market Comparable Companies |  | Last 12 Months EBITDA Multiple1 |  | 6.75x
|  |  |  |  |  |  |  |  |  | Illiquidity Discount2 |  | 17.50%
|  |  |  |  | 918,510 |  |  | Discounted Cash Flow |  | Internal Rate of Return2 |  | 10.00%
Floating Rate Loan Interests |  |  |  |  | 1,455,300 |  |  | Discounted Cash Flow |  | Internal Rate of Return2 |  | 10.00%
Other Interests |  |  |  |  | 1,758,750 |  |  | Market Comparable Companies |  | Tangible Book Value Multiple1 |  | 1.25x
Warrants |  |  |  |  | 123,778 |  |  | Market Comparable Companies |  | Last 12 Months EBITDA Multiple1 |  | 6.75x
|  |  |  |  |  |  |  |  |  | Illiquidity Discount2 |  | 17.50%
|  |  |  |  | 12,839 |  |  | Last Dealer Mark-Adjusted |  | Delta Adjustment Based on Daily Movement in the Common Equity1 |  |  | 120% |
Total |  |  |  | $ | 8,062,480 |  |  |  |  |  |  |  |  |  |  |  |  |

1 |  | Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

2 |  | Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

3 |  | Amount is stated in millions.

See Notes to Financial Statements.

30 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Consolidated Schedule of Investments February 28, 2015 (Unaudited) | BlackRock Limited Duration Income Trust (BLW) (Percentages shown are based on Net Assets)

Common Stocks |  |  |  | Shares |  | Value |
Chemicals — 0.0% |  |  |
LyondellBasell Industries NV, Class A |  |  |  |  |  |  | 37 |  |  | $ | 3,179 |
Construction & Engineering — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
USI United Subcontractors |  |  |  |  |  |  | 6,454 |  |  |  | 180,711 |
Diversified Consumer Services — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia. (a) |  |  |  |  |  |  | 128,441 |  |  |  | 2,540,563 |
Diversified Financial Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Kcad Holdings I Ltd. (a) |  |  |  |  |  |  | 384,412,912 |  |  |  | 384,413 |
Household Durables — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Berkline Benchcraft Equity LLC (a) |  |  |  |  |  |  | 3,155 |  |  |  | — |
Media — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cengage Thomson Learning (a) |  |  |  |  |  |  | 38,155 |  |  |  | 822,736 |
Total Common Stocks — 0.6% |  |  |  |  |  |  |  |  |  |  | 3,931,602 |
Asset-Backed Securities |  |  |  |  |  |  | Par (000 | ) |  |  |  |
Asset-Backed Securities — 15.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ACAS CLO Ltd., Series 2014-1A, Class C, 3.16%, 7/18/26 (b)(c) |  |  |  | USD |  |  | 1,500 |  |  |  | 1,444,800 |
Adirondack Park CLO Ltd., Series 2013-1A, Class D, 3.90%, 4/15/24 (b)(c) |  |  |  |  |  |  | 1,750 |  |  |  | 1,695,469 |
Aircraft Lease Securitisation Ltd., Series 2007-1A, Class G3, 0.43%, 5/10/32 (b)(c) |  |  |  |  |  |  | 411 |  |  |  | 406,860 |
ALM Loan Funding, Series 2013-7RA (b)(c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class C, 3.71%, 4/24/24 |  |  |  |  |  |  | 1,210 |  |  |  | 1,174,070 |
Class D, 5.26%, 4/24/24 |  |  |  |  |  |  | 1,040 |  |  |  | 965,172 |
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)(c) |  |  |  |  |  |  | 3,140 |  |  |  | 2,980,306 |
AmeriCredit Automobile, Receivables 2014-3, AMCAR 2014-3 C, 2.58%, 9/08/20 |  |  |  |  |  |  | 4,850 |  |  |  | 4,873,484 |
AMMC CLO 15 Ltd., Series 2014-15A, Class D, 4.44%, 12/09/26 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,920,000 |
Apidos CLO XVII, Series 2014-17A, Class B, 3.11%, 4/17/26 (b)(c) |  |  |  |  |  |  | 3,000 |  |  |  | 2,935,496 |
Ares CLO, Ltd., ARES 2014 32A B 144A, 3.50%, 11/15/25 (b)(c) |  |  |  |  |  |  | 1,250 |  |  |  | 1,245,888 |
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (b)(c) |  |  |  |  |  |  | 1,100 |  |  |  | 1,057,166 |
Babson CLO Ltd., Series 2014-3A, Class C1, 3.23%, 1/15/26 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,955,000 |
Battalion CLO IV Ltd., Series 2013-4A, Class C, 3.61%, 10/22/25 (b)(c) |  |  |  |  |  |  | 500 |  |  |  | 462,723 |
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class C, 3.75%, 7/15/24 (b)(c) |  |  |  |  |  |  | 750 |  |  |  | 709,627 |
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class B, 3.06%, 7/20/26 (b)(c) |  |  |  |  |  |  | 1,250 |  |  |  | 1,196,520 |
Benefit Street Partners CLO V Ltd., Series 2014-VA, Class C, 3.36%, 10/20/26 (b)(c) |  |  |  |  |  |  | 2,500 |  |  |  | 2,436,290 |
Carlyle Global Market Strategies CLO 2014-5, Ltd., Series 2014-5A, Class C, 4.43%, 10/16/25 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,993,118 |
Carlyle Global Market Strategies CLO 2015-1, Ltd., Series 2015-1A, Class C, 3.41%, 4/20/27 (b)(c)(d) |  |  |  |  |  |  | 1,000 |  |  |  | 993,500 |
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class C, 4.26%, 2/14/25 (b)(c) |  |  |  |  |  |  | 250 |  |  |  | 247,242 |
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19 |  |  |  |  |  |  | 2,530 |  |  |  | 2,563,178 |
Cent CLO, Series 2014-21A, Class C, 3.76%, 7/27/26 (b)(c) |  |  |  |  |  |  | 1,000 |  |  |  | 961,140 |
Central Park CLO Ltd., Series 2011-1A, Class D, 3.46%, 7/23/22 (b)(c) |  |  |  |  |  |  | 500 |  |  |  | 494,114 |
CIFC Funding 2014-IV, Ltd., Series 2014-4A, Class C1, 3.16%, 10/17/26 (b)(c) |  |  |  |  |  |  | 2,850 |  |  |  | 2,776,715 |
CIFC Funding 2014-V, Ltd., Series 2014-5A (b)(c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class C, 3.59%, 1/17/27 |  |  |  |  |  |  | 445 |  |  |  | 437,925 |
Class D2, 4.74%, 1/17/27 |  |  |  |  |  |  | 445 |  |  |  | 436,412 |

Asset-Backed Securities |  |  |  |  |  | Par (000) |  | Value
Asset-Backed Securities (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
CIFC Funding 2015-1, Ltd., Series 2015-1A, Class D, 4.26%, 1/22/27 (b)(c)(d) |  |  |  | USD |  |  | 1,000 |  |  | $ | 963,700 |
CIFC Funding Ltd., Series 2014-3A, Class D, 3.66%, 7/22/26 (b)(c) |  |  |  |  |  |  | 420 |  |  |  | 395,936 |
Countrywide Asset-Backed Certificates, Series 2007-7, Class 2A2, 0.33%, 10/25/47 (b) |  |  |  |  |  |  | 696 |  |  |  | 690,538 |
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 1/25/30 (c) |  |  |  |  |  |  | 2,306 |  |  |  | 2,244,828 |
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (c) |  |  |  |  |  |  | 3,230 |  |  |  | 3,261,543 |
Flagship CLO, Series 2014-8A, Class C, 3.33%, 1/16/26 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,966,758 |
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (b)(c) |  |  |  |  |  |  | 1,090 |  |  |  | 1,077,904 |
Gramercy Park CLO, Ltd., Series 2012-1AR, Class CR, 4.30%, 7/17/23 (b)(c) |  |  |  |  |  |  | 5,000 |  |  |  | 4,973,185 |
GSAA Trust, Series 2007-3, Class 1A2, 0.34%, 3/25/47 (b) |  |  |  |  |  |  | 2,671 |  |  |  | 1,380,640 |
Halcyon Loan Advisors Funding Ltd., Series 2013-1A, Class C, 3.75%, 4/15/25 (b)(c) |  |  |  |  |  |  | 1,000 |  |  |  | 935,697 |
Jamestown CLO IV Ltd., Series 2014-4A, Class C, 3.75%, 7/15/26 (b)(c) |  |  |  |  |  |  | 1,165 |  |  |  | 1,108,928 |
Madison Park Funding Ltd., Series 2012-10A, Class D, 4.51%, 1/20/25 (b)(c) |  |  |  |  |  |  | 700 |  |  |  | 700,062 |
Madison Park Funding XI Ltd., Series 2013-11A, Class D, 3.76%, 10/23/25 (b)(c) |  |  |  |  |  |  | 420 |  |  |  | 396,730 |
Neuberger Berman CLO XVIII, Ltd., Series 2014-18A, Class B, 3.38%, 11/14/25 (b)(c) |  |  |  |  |  |  | 2,250 |  |  |  | 2,199,479 |
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class D, 3.61%, 7/17/25 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,857,488 |
OneMain Financial Issuance Trust 2015-1, Series 2015-1A, Class D, 6.63%, 3/18/26 (c) |  |  |  |  |  |  | 4,350 |  |  |  | 4,349,130 |
OZLM Funding Ltd., Series 2012-2A, Class C, 4.60%, 10/30/23 (b)(c) |  |  |  |  |  |  | 500 |  |  |  | 501,333 |
OZLM IX, Ltd., Series 2014-9A, Class C, 3.85%, 1/20/27 (b)(c) |  |  |  |  |  |  | 1,500 |  |  |  | 1,431,306 |
OZLM VII Ltd., Series 2014-7A, Class C, 3.86%, 7/17/26 (b)(c) |  |  |  |  |  |  | 780 |  |  |  | 744,448 |
OZLM VIII, Ltd., Series 2014-8A, Class B, 3.28%, 10/17/26 (b)(c) |  |  |  |  |  |  | 2,500 |  |  |  | 2,451,231 |
Regatta Funding LP, Series 2013-2A, Class C, 4.25%, 1/15/25 (b)(c) |  |  |  |  |  |  | 500 |  |  |  | 483,752 |
Regatta V Funding Ltd., Series 2014-1A, Class B, 3.23%, 10/25/26 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,948,756 |
Santander Drive Auto Receivables Trust, Series 2014-4, Class C, 2.60%, 11/16/20 |  |  |  |  |  |  | 4,500 |  |  |  | 4,524,786 |
Santander Drive Auto Receivables Trust 2014-3, Series 2014-3, Class D, 2.65%, 8/17/20 |  |  |  |  |  |  | 4,015 |  |  |  | 3,978,439 |
Santander Drive Auto Receivables Trust 2014-4, Series 2014-4, Class D, 3.10%, 11/16/20 |  |  |  |  |  |  | 4,500 |  |  |  | 4,510,593 |
Sound Point CLO, Ltd., Series 2014-3A, Class D, 3.89%, 1/23/27 (b)(c) |  |  |  |  |  |  | 2,000 |  |  |  | 1,831,000 |
Symphony CLO XV Ltd., Series 2014-15A, Class C, 3.40%, 10/17/26 (b)(c) |  |  |  |  |  |  | 4,000 |  |  |  | 3,999,390 |
Venture XIX CLO, Ltd., Series 2014-19A, Class C, 3.54%, 1/15/27 (b)(c) |  |  |  |  |  |  | 445 |  |  |  | 436,723 |
Voya CLO, Ltd., Series 2014-4A (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class C, 4.23%, 10/14/26 (b) |  |  |  |  |  |  | 2,500 |  |  |  | 2,467,574 |
Class SUB, 0.00%, 10/14/26 (e) |  |  |  |  |  |  | 1,000 |  |  |  | 940,700 |
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 |  |  |  |  |  |  | 3,000 |  |  |  | 3,120,099 |
|  |  |  |  |  |  |  |  |  |  | 100,234,891 |
Interest Only Asset-Backed Securities — 0.2% |  |  |  |  |  |  |  |  |  |  |
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (c) |  |  |  |  |  |  | 6,503 |  |  |  | 447,112 |
Sterling Coofs Trust, Series 2004-1, Class A, 2.36%, 4/15/29 (c) |  |  |  |  |  |  | 8,203 |  |  |  | 551,144 |
|  |  |  |  |  |  |  |  |  |  | 998,256 |
Total Asset-Backed Securities — 15.6% |  |  |  |  |  |  |  |  |  |  | 101,233,147 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 31

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Aerospace & Defense — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bombardier, Inc., 7.50%, 3/15/25 (c)(d) |  |  |  | USD |  |  | 167 |  |  | $ | 167,000 |
DigitalGlobe, Inc., 5.25%, 2/01/21 (c)(f) |  |  |  |  |  |  | 928 |  |  |  | 900,160 |
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (c) |  |  |  |  |  |  | 250 |  |  |  | 262,188 |
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (c)(f) |  |  |  |  |  |  | 339 |  |  |  | 379,680 |
TransDigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 7/15/22 (f) |  |  |  |  |  |  | 1,795 |  |  |  | 1,817,437 |
6.50%, 7/15/24 |  |  |  |  |  |  | 835 |  |  |  | 853,787 |
|  |  |  |  |  |  |  |  |  |  | 4,380,252 |
Airlines — 2.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Air Canada Pass-Through Trust, Series 2013-1, Class C, 6.63%, 5/15/18 (c) |  |  |  |  |  |  | 651 |  |  |  | 681,239 |
American Airlines Group, Inc., 4.63%, 3/01/20 (c)(d) |  |  |  |  |  |  | 315 |  |  |  | 315,394 |
American Airlines Pass-Through Trust, Series 2013-2 (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class A, 4.95%, 7/15/24 |  |  |  |  |  |  | 3,538 |  |  |  | 3,860,720 |
Class B, 5.60%, 1/15/22 (c) |  |  |  |  |  |  | 680 |  |  |  | 712,096 |
Class C, 6.00%, 1/15/17 (c) |  |  |  |  |  |  | 2,600 |  |  |  | 2,626,000 |
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18 (f) |  |  |  |  |  |  | 2,090 |  |  |  | 2,215,400 |
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 |  |  |  |  |  |  | 208 |  |  |  | 234,142 |
United Airlines Pass-Through Trust, Series 2014-2, Class B, 4.63%, 3/03/24 |  |  |  |  |  |  | 2,300 |  |  |  | 2,311,500 |
US Airways Pass-Through Trust, Series 2012-1, Class C, 9.13%, 10/01/15 (f) |  |  |  |  |  |  | 1,402 |  |  |  | 1,444,504 |
Virgin Australia Trust, Series 2013-1 (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class A, 5.00%, 4/23/25 |  |  |  |  |  |  | 687 |  |  |  | 721,604 |
Class B, 6.00%, 4/23/22 (f) |  |  |  |  |  |  | 1,400 |  |  |  | 1,445,679 |
Class C, 7.13%, 10/23/18 (f) |  |  |  |  |  |  | 996 |  |  |  | 1,013,615 |
|  |  |  |  |  |  |  |  |  |  | 17,581,893 |
Auto Components — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinia Group, Inc., 7.75%, 5/01/21 (f) |  |  |  |  |  |  | 1,095 |  |  |  | 1,138,800 |
Autodis SA, 6.50%, 2/01/19 |  |  |  | EUR |  |  | 100 |  |  |  | 117,621 |
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.88%, 3/15/19 (f) |  |  |  | USD |  |  | 2,058 |  |  |  | 2,117,270 |
Jaguar Land Rover Automotive PLC, 8.25%, 3/15/20 |  |  |  | GBP |  |  | 554 |  |  |  | 951,516 |
Pittsburgh Glass Works LLC, 8.00%, 11/15/18 (c) |  |  |  | USD |  |  | 186 |  |  |  | 197,858 |
Schaeffler Holding Finance BV (g): |  |  |  |  |  |  |  |  |  |  |  |  |  |
(5.75% Cash or 6.50% PIK), 5.75%, 11/15/21 |  |  |  | EUR |  |  | 115 |  |  |  | 139,308 |
6.25%, 11/15/19 (c)(f) |  |  |  | USD |  |  | 804 |  |  |  | 852,240 |
6.75%, 11/15/22 (c)(f) |  |  |  |  |  |  | 943 |  |  |  | 1,032,585 |
6.88%, 8/15/18 |  |  |  | EUR |  |  | 375 |  |  |  | 441,675 |
Titan International, Inc., 6.88%, 10/01/20 |  |  |  | USD |  |  | 275 |  |  |  | 250,250 |
|  |  |  |  |  |  |  |  |  |  | 7,239,123 |
Automobiles — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Chrysler Group LLC/CG Co-Issuer, Inc., 8.00%, 6/15/19 (f) |  |  |  |  |  |  | 1,087 |  |  |  | 1,148,329 |
General Motors Co. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 10/02/18 |  |  |  |  |  |  | 2,478 |  |  |  | 2,552,340 |
5.20%, 4/01/45 |  |  |  |  |  |  | 550 |  |  |  | 608,922 |
|  |  |  |  |  |  |  |  |  |  | 4,309,591 |
Banks — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Banco Espirito Santo SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 1/15/18 |  |  |  | EUR |  |  | 100 |  |  |  | 116,661 |
4.00%, 1/21/19 |  |  |  |  |  |  | 100 |  |  |  | 115,111 |
CIT Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 5/15/17 (f) |  |  |  | USD |  |  | 890 |  |  |  | 925,600 |
5.50%, 2/15/19 (c)(f) |  |  |  |  |  |  | 1,370 |  |  |  | 1,464,119 |
5.00%, 8/01/23 |  |  |  |  |  |  | 235 |  |  |  | 247,925 |
HSBC Holdings PLC, 6.25%, 3/19/18 |  |  |  | EUR |  |  | 1,000 |  |  |  | 1,298,229 |
Nordea Bank AB, 4.50%, 3/26/20 |  |  |  |  |  |  | 1,020 |  |  |  | 1,341,492 |
|  |  |  |  |  |  |  |  |  |  | 5,509,137 |

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Beverages — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Constellation Brands, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 5/15/17 |  |  |  | USD |  |  | 82 |  |  | $ | 91,225 |
3.88%, 11/15/19 |  |  |  |  |  |  | 294 |  |  |  | 305,025 |
|  |  |  |  |  |  |  |  |  |  | 396,250 |
Building Products — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
American Builders & Contractors Supply Co., Inc., 5.63%, 4/15/21 (c) |  |  |  |  |  |  | 190 |  |  |  | 193,800 |
BMBG Bond Finance SCA, 5.07%, 10/15/20 (b) |  |  |  | EUR |  |  | 200 |  |  |  | 225,190 |
Builders FirstSource, Inc., 7.63%, 6/01/21 (c)(f) |  |  |  | USD |  |  | 650 |  |  |  | 658,125 |
Building Materials Corp. of America, 6.75%, 5/01/21 (c)(f) |  |  |  |  |  |  | 770 |  |  |  | 827,750 |
Cemex SAB de CV: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 3/05/23 (d) |  |  |  | EUR |  |  | 100 |  |  |  | 111,905 |
5.70%, 1/11/25 (c) |  |  |  | USD |  |  | 670 |  |  |  | 656,935 |
CPG Merger Sub LLC, 8.00%, 10/01/21 (c)(f) |  |  |  |  |  |  | 1,030 |  |  |  | 1,040,300 |
Ply Gem Industries, Inc., 6.50%, 2/01/22 |  |  |  |  |  |  | 745 |  |  |  | 722,650 |
USG Corp., 9.75%, 1/15/18 (f) |  |  |  |  |  |  | 1,390 |  |  |  | 1,600,265 |
|  |  |  |  |  |  |  |  |  |  | 6,036,920 |
Capital Markets — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
American Capital Ltd., 6.50%, 9/15/18 (c)(f) |  |  |  |  |  |  | 975 |  |  |  | 1,017,656 |
Blackstone CQP Holdco LP, 9.30%, 3/18/19 |  |  |  |  |  |  | 1,076 |  |  |  | 1,064,949 |
E*Trade Financial Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
0.00%, 8/31/19 (c)(e)(h) |  |  |  |  |  |  | 249 |  |  |  | 627,799 |
5.38%, 11/15/22 |  |  |  |  |  |  | 627 |  |  |  | 661,485 |
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (c)(f) |  |  |  |  |  |  | 1,020 |  |  |  | 1,067,248 |
UBS Group AG (b)(i): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75% |  |  |  | EUR |  |  | 200 |  |  |  | 233,322 |
7.00% |  |  |  | USD |  |  | 200 |  |  |  | 208,747 |
|  |  |  |  |  |  |  |  |  |  | 4,881,206 |
Chemicals — 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ashland, Inc., 3.88%, 4/15/18 (f) |  |  |  |  |  |  | 675 |  |  |  | 702,000 |
Axalta Coating Systems US Holdings, Inc./Axalta Coating Systems Dutch Holding BV, 7.38%, 5/01/21 (c) |  |  |  |  |  |  | 398 |  |  |  | 430,835 |
Chemtura Corp., 5.75%, 7/15/21 |  |  |  |  |  |  | 200 |  |  |  | 198,500 |
Huntsman International LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 3/15/21 |  |  |  |  |  |  | 655 |  |  |  | 705,219 |
5.13%, 4/15/21 |  |  |  | EUR |  |  | 331 |  |  |  | 392,630 |
INEOS Group Holdings SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 8/15/18 (c) |  |  |  | USD |  |  | 314 |  |  |  | 318,710 |
6.50%, 8/15/18 |  |  |  | EUR |  |  | 122 |  |  |  | 141,814 |
LSB Industries, Inc., 7.75%, 8/01/19 |  |  |  | USD |  |  | 167 |  |  |  | 174,098 |
|  |  |  |  |  |  |  |  |  |  | 3,063,806 |
Commercial Services & Supplies — 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Abengoa Greenfield SA, 6.50%, 10/01/19 (c)(f) |  |  |  |  |  |  | 766 |  |  |  | 729,615 |
ADS Waste Holdings, Inc., 8.25%, 10/01/20 |  |  |  |  |  |  | 292 |  |  |  | 303,680 |
ARAMARK Corp., 5.75%, 3/15/20 (f) |  |  |  |  |  |  | 712 |  |  |  | 744,040 |
Aviation Capital Group Corp., 4.63%, 1/31/18 (c)(f) |  |  |  |  |  |  | 1,000 |  |  |  | 1,045,153 |
Brand Energy & Infrastructure Services, Inc., 8.50%, 12/01/21 (c) |  |  |  |  |  |  | 203 |  |  |  | 192,850 |
Covanta Holding Corp., 6.38%, 10/01/22 |  |  |  |  |  |  | 100 |  |  |  | 107,750 |
Mobile Mini, Inc., 7.88%, 12/01/20 (f) |  |  |  |  |  |  | 915 |  |  |  | 967,612 |
Modular Space Corp., 10.25%, 1/31/19 (c)(f) |  |  |  |  |  |  | 1,253 |  |  |  | 939,750 |
Silk Bidco, 7.50%, 2/01/22 |  |  |  | EUR |  |  | 120 |  |  |  | 139,322 |
United Rentals North America, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 7/15/18 |  |  |  | USD |  |  | 494 |  |  |  | 512,834 |
7.63%, 4/15/22 |  |  |  |  |  |  | 658 |  |  |  | 730,913 |
5.75%, 11/15/24 |  |  |  |  |  |  | 1,039 |  |  |  | 1,096,145 |
|  |  |  |  |  |  |  |  |  |  | 7,509,664 |
Communications Equipment — 2.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ADC Telecommunications, Inc., 3.50%, 7/15/15 (h) |  |  |  |  |  |  | 6,670 |  |  |  | 6,703,350 |
Alcatel-Lucent USA, Inc. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 7/01/17 |  |  |  |  |  |  | 800 |  |  |  | 826,000 |
6.75%, 11/15/20 |  |  |  |  |  |  | 2,150 |  |  |  | 2,300,500 |
Avaya, Inc., 7.00%, 4/01/19 (c) |  |  |  |  |  |  | 437 |  |  |  | 441,370 |

See Notes to Financial Statements.

32 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Communications Equipment (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
CommScope, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.00%, 6/15/21 |  |  |  | USD |  |  | 215 |  |  | $ | 217,688 |
5.50%, 6/15/24 |  |  |  |  |  |  | 221 |  |  |  | 223,762 |
Zayo Group LLC/Zayo Capital, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.13%, 1/01/20 |  |  |  |  |  |  | 1,620 |  |  |  | 1,717,200 |
10.13%, 7/01/20 |  |  |  |  |  |  | 951 |  |  |  | 1,074,630 |
|  |  |  |  |  |  |  |  |  |  | 13,504,500 |
Construction & Engineering — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
AECOM Technology Corp. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.75%, 10/15/22 |  |  |  |  |  |  | 215 |  |  |  | 225,213 |
5.88%, 10/15/24 |  |  |  |  |  |  | 701 |  |  |  | 744,812 |
BlueLine Rental Finance Corp., 7.00%, 2/01/19 (c) |  |  |  |  |  |  | 165 |  |  |  | 171,188 |
Novafives SAS: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.07%, 6/30/20 (b) |  |  |  | EUR |  |  | 100 |  |  |  | 109,924 |
4.50%, 6/30/21 |  |  |  |  |  |  | 100 |  |  |  | 111,352 |
Safway Group Holding LLC/Safway Finance Corp., 7.00%, 5/15/18 (c)(f) |  |  |  | USD |  |  | 1,138 |  |  |  | 1,149,380 |
Weekley Homes LLC/Weekley Finance Corp., 6.00%, 2/01/23 |  |  |  |  |  |  | 320 |  |  |  | 303,600 |
|  |  |  |  |  |  |  |  |  |  | 2,815,469 |
Construction Materials — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HD Supply, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
11.00%, 4/15/20 |  |  |  |  |  |  | 770 |  |  |  | 881,650 |
7.50%, 7/15/20 |  |  |  |  |  |  | 2,696 |  |  |  | 2,884,720 |
5.25%, 12/15/21 (c) |  |  |  |  |  |  | 1,828 |  |  |  | 1,898,835 |
Officine MaccaFerri SpA, 5.75%, 6/01/21 |  |  |  | EUR |  |  | 150 |  |  |  | 164,500 |
|  |  |  |  |  |  |  |  |  |  | 5,829,705 |
Consumer Finance — 1.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 9/30/24 |  |  |  | USD |  |  | 230 |  |  |  | 242,938 |
8.00%, 11/01/31 |  |  |  |  |  |  | 719 |  |  |  | 947,282 |
8.00%, 11/01/31 (f) |  |  |  |  |  |  | 2,030 |  |  |  | 2,618,700 |
General Motors Financial Co., Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
2.63%, 7/10/17 |  |  |  |  |  |  | 2,760 |  |  |  | 2,795,016 |
4.38%, 9/25/21 |  |  |  |  |  |  | 530 |  |  |  | 563,125 |
Hyundai Capital America, 3.75%, 4/06/16 (c)(f) |  |  |  |  |  |  | 1,285 |  |  |  | 1,319,867 |
|  |  |  |  |  |  |  |  |  |  | 8,486,928 |
Containers & Packaging — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 6/30/21 (c) |  |  |  |  |  |  | 380 |  |  |  | 370,025 |
4.25%, 1/15/22 |  |  |  | EUR |  |  | 320 |  |  |  | 363,468 |
Beverage Packaging Holdings Luxembourg II SA, 6.00%, 6/15/17 (c)(f) |  |  |  | USD |  |  | 1,560 |  |  |  | 1,575,600 |
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25%, 2/01/21 (f) |  |  |  |  |  |  | 144 |  |  |  | 152,640 |
Crown European Holdings SA, 4.00%, 7/15/22 |  |  |  | EUR |  |  | 260 |  |  |  | 317,139 |
SGD Group SAS, 5.63%, 5/15/19 |  |  |  |  |  |  | 100 |  |  |  | 113,863 |
|  |  |  |  |  |  |  |  |  |  | 2,892,735 |
Distributors — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
VWR Funding, Inc., 7.25%, 9/15/17 (f) |  |  |  | USD |  |  | 874 |  |  |  | 915,515 |
Diversified Consumer Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Laureate Education, Inc., 10.00%, 9/01/19 (c) |  |  |  |  |  |  | 615 |  |  |  | 587,325 |
Diversified Financial Services — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aircastle Ltd., 6.25%, 12/01/19 (f) |  |  |  |  |  |  | 367 |  |  |  | 405,975 |
HSH Nordbank AG, 0.89%, 2/14/17 (b) |  |  |  | EUR |  |  | 153 |  |  |  | 147,715 |
Jefferies Finance LLC/JFIN Co-Issuer Corp. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 4/01/20 (f) |  |  |  | USD |  |  | 585 |  |  |  | 579,150 |
6.88%, 4/15/22 |  |  |  |  |  |  | 456 |  |  |  | 440,040 |
Leucadia National Corp., 8.13%, 9/15/15 (f) |  |  |  |  |  |  | 1,870 |  |  |  | 1,934,337 |
MSCI, Inc., 5.25%, 11/15/24 (c) |  |  |  |  |  |  | 311 |  |  |  | 324,218 |
Onex Wizard Acquisition Co. II SCA, 7.75%, 2/15/23 |  |  |  | EUR |  |  | 102 |  |  |  | 119,850 |
Reynolds Group Issuer, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 4/15/19 |  |  |  | USD |  |  | 790 |  |  |  | 827,525 |
9.88%, 8/15/19 |  |  |  |  |  |  | 307 |  |  |  | 328,874 |
5.75%, 10/15/20 |  |  |  |  |  |  | 625 |  |  |  | 649,219 |

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Diversified Financial Services (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reynolds Group Issuer, Inc. (concluded): |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.88%, 2/15/21 |  |  |  | USD |  |  | 210 |  |  | $ | 222,075 |
|  |  |  |  |  |  |  |  |  |  | 5,978,978 |
Diversified Telecommunication Services — 3.1% |  |  |  |  |  |  |  |  |
CenturyLink, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.45%, 6/15/21 |  |  |  |  |  |  | 155 |  |  |  | 170,113 |
Series V, 5.63%, 4/01/20 (f) |  |  |  |  |  |  | 751 |  |  |  | 803,570 |
Frontier Communications Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.50%, 4/15/20 |  |  |  |  |  |  | 60 |  |  |  | 67,800 |
6.25%, 9/15/21 |  |  |  |  |  |  | 45 |  |  |  | 46,238 |
7.13%, 1/15/23 |  |  |  |  |  |  | 205 |  |  |  | 213,969 |
7.63%, 4/15/24 |  |  |  |  |  |  | 95 |  |  |  | 101,650 |
6.88%, 1/15/25 |  |  |  |  |  |  | 190 |  |  |  | 190,475 |
Level 3 Communications, Inc., 8.88%, 6/01/19 (f) |  |  |  |  |  |  | 735 |  |  |  | 778,181 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.83%, 1/15/18 (b) |  |  |  |  |  |  | 411 |  |  |  | 416,137 |
8.13%, 7/01/19 (f) |  |  |  |  |  |  | 3,083 |  |  |  | 3,264,126 |
7.00%, 6/01/20 |  |  |  |  |  |  | 495 |  |  |  | 532,229 |
6.13%, 1/15/21 (f) |  |  |  |  |  |  | 1,682 |  |  |  | 1,780,817 |
5.38%, 8/15/22 (f) |  |  |  |  |  |  | 1,055 |  |  |  | 1,091,598 |
Series TIT, 6.00%, 7/24/17 (h) |  |  |  | EUR |  |  | 200 |  |  |  | 263,805 |
Telecom Italia Finance SA, 7.75%, 1/24/33 |  |  |  |  |  |  | 75 |  |  |  | 127,161 |
Telecom Italia SpA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.13%, 11/15/16 (h) |  |  |  |  |  |  | 100 |  |  |  | 153,746 |
6.38%, 6/24/19 |  |  |  | GBP |  |  | 200 |  |  |  | 342,233 |
4.88%, 9/25/20 |  |  |  | EUR |  |  | 220 |  |  |  | 282,919 |
4.50%, 1/25/21 |  |  |  |  |  |  | 270 |  |  |  | 342,508 |
5.88%, 5/19/23 |  |  |  | GBP |  |  | 450 |  |  |  | 766,360 |
Telefonica Europe BV, 4.20% (b)(i) |  |  |  | EUR |  |  | 200 |  |  |  | 238,078 |
Telenet Finance V Luxembourg SCA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 8/15/22 |  |  |  |  |  |  | 271 |  |  |  | 331,830 |
6.75%, 8/15/24 |  |  |  |  |  |  | 397 |  |  |  | 500,906 |
Verizon Communications, Inc., 3.65%, 9/14/18 (f) |  |  |  | USD |  |  | 7,000 |  |  |  | 7,419,426 |
|  |  |  |  |  |  |  |  |  |  | 20,225,875 |
Electric Utilities — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ContourGlobal Power Holdings SA, 7.13%, 6/01/19 (c)(f) |  |  |  |  |  |  | 728 |  |  |  | 735,280 |
Homer City Generation LP (g): |  |  |  |  |  |  |  |  |  |  |  |  |  |
(8.14% Cash or 8.64% PIK) ,8.14% 10/01/19 |  |  |  |  |  |  | 327 |  |  |  | 331,253 |
(8.73% Cash or 9.23% PIK) ,8.73% 10/01/26 |  |  |  |  |  |  | 589 |  |  |  | 600,532 |
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 |  |  |  |  |  |  | 403 |  |  |  | 419,146 |
|  |  |  |  |  |  |  |  |  |  | 2,086,211 |
Electrical Equipment — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Belden, Inc., 5.50%, 4/15/23 |  |  |  | EUR |  |  | 349 |  |  |  | 419,313 |
Techem Energy Metering Service GmbH & Co., 7.88%, 10/01/20 |  |  |  |  |  |  | 106 |  |  |  | 131,430 |
|  |  |  |  |  |  |  |  |  |  | 550,743 |
Energy Equipment & Services — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Calfrac Holdings LP, 7.50%, 12/01/20 (c) |  |  |  | USD |  |  | 503 |  |  |  | 451,443 |
MEG Energy Corp. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 3/15/21 |  |  |  |  |  |  | 244 |  |  |  | 236,070 |
7.00%, 3/31/24 |  |  |  |  |  |  | 864 |  |  |  | 841,320 |
Peabody Energy Corp., 6.25%, 11/15/21 (f) |  |  |  |  |  |  | 583 |  |  |  | 485,347 |
Precision Drilling Corp., 5.25%, 11/15/24 (c) |  |  |  |  |  |  | 522 |  |  |  | 443,700 |
|  |  |  |  |  |  |  |  |  |  | 2,457,880 |
Food & Staples Retailing — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Brakes Capital, 7.13%, 12/15/18 |  |  |  | GBP |  |  | 1,255 |  |  |  | 1,999,534 |
Family Tree Escrow LLC (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 3/01/20 |  |  |  | USD |  |  | 178 |  |  |  | 186,010 |
5.75%, 3/01/23 (f) |  |  |  |  |  |  | 1,731 |  |  |  | 1,821,877 |
R&R Ice Cream PLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 5/15/20 |  |  |  | EUR |  |  | 150 |  |  |  | 172,683 |
5.50%, 5/15/20 |  |  |  | GBP |  |  | 105 |  |  |  | 165,275 |
Rite Aid Corp., 9.25%, 3/15/20 (f) |  |  |  | USD |  |  | 1,095 |  |  |  | 1,212,713 |
|  |  |  |  |  |  |  |  |  |  | 5,558,092 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 33

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Food Products — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Anna Merger Sub, Inc., 7.75%, 10/01/22 (c) |  |  |  | USD |  |  | 635 |  |  | $ | 654,050 |
Boparan Finance PLC, 5.50%, 7/15/21 |  |  |  | GBP |  |  | 115 |  |  |  | 160,676 |
Smithfield Foods, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 8/01/21 (c) |  |  |  | USD |  |  | 193 |  |  |  | 203,374 |
6.63%, 8/15/22 (f) |  |  |  |  |  |  | 783 |  |  |  | 851,513 |
|  |  |  |  |  |  |  |  |  |  | 1,869,613 |
Health Care Equipment & Supplies — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Biomet, Inc., 6.50%, 10/01/20 (f) |  |  |  |  |  |  | 418 |  |  |  | 442,558 |
DJO Finance LLC/DJO Finance Corp., 8.75%, 3/15/18 (f) |  |  |  |  |  |  | 413 |  |  |  | 430,553 |
Teleflex, Inc., 6.88%, 6/01/19 (f) |  |  |  |  |  |  | 675 |  |  |  | 703,687 |
|  |  |  |  |  |  |  |  |  |  | 1,576,798 |
Health Care Providers & Services — 2.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acadia Healthcare Co., Inc., 5.13%, 7/01/22 |  |  |  |  |  |  | 240 |  |  |  | 241,200 |
Amsurg Corp., 5.63%, 7/15/22 (f) |  |  |  |  |  |  | 1,016 |  |  |  | 1,076,960 |
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp., 7.75%, 2/15/19 (f) |  |  |  |  |  |  | 995 |  |  |  | 1,036,790 |
CHS/Community Health Systems, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 8/15/18 |  |  |  |  |  |  | 490 |  |  |  | 507,150 |
6.88%, 2/01/22 |  |  |  |  |  |  | 1,404 |  |  |  | 1,501,402 |
Crown Newco 3 PLC, 7.00%, 2/15/18 |  |  |  | GBP |  |  | 205 |  |  |  | 328,752 |
DaVita HealthCare Partners, Inc., 5.13%, 7/15/24 (f) |  |  |  | USD |  |  | 1,093 |  |  |  | 1,133,987 |
HCA Holdings, Inc., 7.75%, 5/15/21 |  |  |  |  |  |  | 285 |  |  |  | 304,950 |
HCA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.75%, 3/15/19 (f) |  |  |  |  |  |  | 786 |  |  |  | 802,703 |
6.50%, 2/15/20 (f) |  |  |  |  |  |  | 160 |  |  |  | 182,000 |
5.88%, 3/15/22 |  |  |  |  |  |  | 82 |  |  |  | 92,168 |
4.75%, 5/01/23 |  |  |  |  |  |  | 108 |  |  |  | 113,929 |
5.00%, 3/15/24 (f) |  |  |  |  |  |  | 335 |  |  |  | 361,800 |
5.38%, 2/01/25 |  |  |  |  |  |  | 713 |  |  |  | 755,780 |
HealthSouth Corp., 5.75%, 11/01/24 |  |  |  |  |  |  | 203 |  |  |  | 212,135 |
Hologic, Inc., 6.25%, 8/01/20 (f) |  |  |  |  |  |  | 1,289 |  |  |  | 1,350,227 |
Kindred Healthcare, Inc., 6.38%, 4/15/22 |  |  |  |  |  |  | 186 |  |  |  | 186,000 |
Omnicare, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.75%, 12/01/22 (f) |  |  |  |  |  |  | 165 |  |  |  | 172,219 |
5.00%, 12/01/24 |  |  |  |  |  |  | 104 |  |  |  | 109,460 |
Tenet Healthcare Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.25%, 11/01/18 |  |  |  |  |  |  | 264 |  |  |  | 288,090 |
5.00%, 3/01/19 (c)(f) |  |  |  |  |  |  | 911 |  |  |  | 915,555 |
4.75%, 6/01/20 |  |  |  |  |  |  | 520 |  |  |  | 535,600 |
6.00%, 10/01/20 (f) |  |  |  |  |  |  | 811 |  |  |  | 881,963 |
8.13%, 4/01/22 (f) |  |  |  |  |  |  | 1,098 |  |  |  | 1,243,485 |
Voyage Care Bondco PLC, 6.50%, 8/01/18 |  |  |  | GBP |  |  | 355 |  |  |  | 564,509 |
|  |  |  |  |  |  |  |  |  |  | 14,898,814 |
Hotels, Restaurants & Leisure — 4.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Carlson Travel Holdings, Inc., (7.50% Cash or 8.25% PIK), 7.50%, 8/15/19 (c)(g) |  |  |  | USD |  |  | 204 |  |  |  | 206,550 |
CDW LLC/CDW Finance Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 8/15/22 |  |  |  |  |  |  | 535 |  |  |  | 571,112 |
5.00%, 9/01/23 |  |  |  |  |  |  | 265 |  |  |  | 266,325 |
5.50%, 12/01/24 (f) |  |  |  |  |  |  | 1,302 |  |  |  | 1,354,080 |
Cleopatra Finance, Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.13%, 2/15/20 |  |  |  | EUR |  |  | 100 |  |  |  | 114,843 |
6.25%, 2/15/22 (c) |  |  |  | USD |  |  | 200 |  |  |  | 200,250 |
4.75%, 2/15/23 |  |  |  | EUR |  |  | 125 |  |  |  | 145,337 |
Enterprise Funding Ltd., Series ETI, 3.50%, 9/10/20 (h) |  |  |  | GBP |  |  | 100 |  |  |  | 133,543 |
Enterprise Inns PLC, 6.50%, 12/06/18 |  |  |  |  |  |  | 926 |  |  |  | 1,523,245 |
GLP Capital LP/GLP Financing II, Inc., 4.38%, 11/01/18 (f) |  |  |  | USD |  |  | 357 |  |  |  | 371,280 |
Greektown Holdings LLC/Greektown Mothership Corp., 8.88%, 3/15/19 (c) |  |  |  |  |  |  | 485 |  |  |  | 517,738 |
New Red Finance, Inc., 6.00%, 4/01/22 (c)(f) |  |  |  |  |  |  | 860 |  |  |  | 894,400 |
Six Flags Entertainment Corp., 5.25%, 1/15/21 (c)(f) |  |  |  |  |  |  | 576 |  |  |  | 589,651 |
Snai SpA, 7.63%, 6/15/18 |  |  |  | EUR |  |  | 205 |  |  |  | 236,861 |

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Hotels, Restaurants & Leisure (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Spirit Issuer PLC (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series A1, 1.11%, 12/28/28 |  |  |  | GBP |  |  | 445 |  |  | $ | 594,801 |
Series A2, 3.26%, 12/28/31 |  |  |  |  |  |  | 1,800 |  |  |  | 2,695,563 |
Series A5, 5.47%, 12/28/34 |  |  |  |  |  |  | 4,500 |  |  |  | 6,877,855 |
Series A6, 2.36%, 12/28/36 |  |  |  |  |  |  | 2,670 |  |  |  | 3,952,046 |
Station Casinos LLC, 7.50%, 3/01/21 (f) |  |  |  | USD |  |  | 2,245 |  |  |  | 2,413,375 |
Tropicana Entertainment LLC/Tropicana Finance Corp., 9.63%, 12/15/15 (a)(j) |  |  |  |  |  |  | 375 |  |  |  | — |
The Unique Pub Finance Co. PLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series A3, 6.54%, 3/30/21 |  |  |  | GBP |  |  | 1,211 |  |  |  | 1,925,246 |
Series A4, 5.66%, 6/30/27 |  |  |  |  |  |  | 771 |  |  |  | 1,179,139 |
|  |  |  |  |  |  |  |  |  |  | 26,763,240 |
Household Durables — 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.88%, 2/15/21 (c) |  |  |  | USD |  |  | 510 |  |  |  | 455,175 |
Beazer Homes USA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 4/15/18 (f) |  |  |  |  |  |  | 910 |  |  |  | 946,400 |
5.75%, 6/15/19 |  |  |  |  |  |  | 523 |  |  |  | 504,695 |
Berkline/Benchcraft LLC, 4.50%, 11/03/15 (a)(j) |  |  |  |  |  |  | 200 |  |  |  | — |
Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (c) |  |  |  |  |  |  | 259 |  |  |  | 268,065 |
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (c)(f) |  |  |  |  |  |  | 2,130 |  |  |  | 2,220,525 |
KB Home, 7.25%, 6/15/18 (f) |  |  |  |  |  |  | 880 |  |  |  | 940,500 |
Standard Pacific Corp., 8.38%, 1/15/21 (f) |  |  |  |  |  |  | 1,000 |  |  |  | 1,155,000 |
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25%, 4/15/21 (c) |  |  |  |  |  |  | 297 |  |  |  | 291,060 |
Tri Pointe Holdings, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.38%, 6/15/19 |  |  |  |  |  |  | 500 |  |  |  | 494,375 |
5.88%, 6/15/24 |  |  |  |  |  |  | 340 |  |  |  | 340,425 |
|  |  |  |  |  |  |  |  |  |  | 7,616,220 |
Household Products — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Spectrum Brands, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.38%, 11/15/20 |  |  |  |  |  |  | 250 |  |  |  | 269,375 |
6.63%, 11/15/22 |  |  |  |  |  |  | 285 |  |  |  | 312,075 |
|  |  |  |  |  |  |  |  |  |  | 581,450 |
Independent Power and Renewable Electricity Producers — 1.0%
The AES Corp., 7.75%, 10/15/15 (f) |  |  |  |  |  |  | 412 |  |  |  | 429,139 |
Baytex Energy Corp., 5.13%, 6/01/21 (c) |  |  |  |  |  |  | 170 |  |  |  | 161,925 |
Calpine Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.00%, 1/15/22 (c) |  |  |  |  |  |  | 143 |  |  |  | 155,942 |
5.38%, 1/15/23 (f) |  |  |  |  |  |  | 1,099 |  |  |  | 1,115,485 |
5.88%, 1/15/24 (c) |  |  |  |  |  |  | 438 |  |  |  | 475,230 |
5.50%, 2/01/24 (f) |  |  |  |  |  |  | 927 |  |  |  | 937,429 |
5.75%, 1/15/25 (f) |  |  |  |  |  |  | 962 |  |  |  | 981,240 |
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (c)(f) |  |  |  |  |  |  | 1,180 |  |  |  | 1,234,575 |
NRG Energy, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 5/15/21 |  |  |  |  |  |  | 177 |  |  |  | 192,399 |
6.25%, 5/01/24 |  |  |  |  |  |  | 267 |  |  |  | 272,340 |
NRG REMA LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series B, 9.24%, 7/02/17 |  |  |  |  |  |  | 63 |  |  |  | 66,915 |
Series C, 9.68%, 7/02/26 (f) |  |  |  |  |  |  | 589 |  |  |  | 639,065 |
|  |  |  |  |  |  |  |  |  |  | 6,661,684 |
Insurance — 1.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Allied World Assurance Co., Ltd., 7.50%, 8/01/16 (f) |  |  |  |  |  |  | 3,000 |  |  |  | 3,249,699 |
CNO Financial Group, Inc., 6.38%, 10/01/20 (c)(f) |  |  |  |  |  |  | 304 |  |  |  | 322,240 |
Forethought Financial Group, Inc., 8.63%, 4/15/21 (c)(f) |  |  |  |  |  |  | 750 |  |  |  | 876,892 |
Genworth Holdings, Inc., 4.80%, 2/15/24 |  |  |  |  |  |  | 240 |  |  |  | 210,827 |
Hockey Merger Sub 2, Inc., 7.88%, 10/01/21 (c) |  |  |  |  |  |  | 391 |  |  |  | 401,753 |
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (c) |  |  |  |  |  |  | 595 |  |  |  | 638,137 |
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) |  |  |  | EUR |  |  | 400 |  |  |  | 562,482 |

See Notes to Financial Statements.

34 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Insurance (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Pension Insurance Corp. PLC, 6.50%, 7/03/24 |  |  |  | GBP |  |  | 125 |  |  | $ | 200,855 |
Prudential Financial, Inc., 5.63%, 6/15/43 (b)(f) |  |  |  | USD |  |  | 3,250 |  |  |  | 3,436,875 |
|  |  |  |  |  |  |  |  |  |  | 9,899,760 |
Internet Software & Services — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
IAC/InterActiveCorp, 4.88%, 11/30/18 (f) |  |  |  |  |  |  | 695 |  |  |  | 719,325 |
Interactive Data Corp., 5.88%, 4/15/19 (c)(f) |  |  |  |  |  |  | 741 |  |  |  | 741,926 |
|  |  |  |  |  |  |  |  |  |  | 1,461,251 |
IT Services — 1.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (c)(f) |  |  |  |  |  |  | 664 |  |  |  | 690,560 |
Epicor Software Corp., 8.63%, 5/01/19 (f) |  |  |  |  |  |  | 1,260 |  |  |  | 1,323,000 |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.38%, 6/15/19 (c)(f) |  |  |  |  |  |  | 1,775 |  |  |  | 1,863,750 |
6.75%, 11/01/20 (c)(f) |  |  |  |  |  |  | 813 |  |  |  | 871,942 |
11.75%, 8/15/21 |  |  |  |  |  |  | 713 |  |  |  | 830,645 |
Open Text Corp., 5.63%, 1/15/23 (c) |  |  |  |  |  |  | 1,214 |  |  |  | 1,250,420 |
SunGard Data Systems, Inc., 6.63%, 11/01/19 (f) |  |  |  |  |  |  | 800 |  |  |  | 832,000 |
WEX, Inc., 4.75%, 2/01/23 (c)(f) |  |  |  |  |  |  | 550 |  |  |  | 548,625 |
|  |  |  |  |  |  |  |  |  |  | 8,210,942 |
Media — 5.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Adria Bidco BV, 7.88%, 11/15/20 |  |  |  | EUR |  |  | 140 |  |  |  | 169,200 |
Altice Financing SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 1/15/22 (c)(f) |  |  |  | USD |  |  | 850 |  |  |  | 879,750 |
5.25%, 2/15/23 |  |  |  | EUR |  |  | 100 |  |  |  | 119,598 |
6.63%, 2/15/23 (c)(f) |  |  |  | USD |  |  | 581 |  |  |  | 604,966 |
Altice Finco SA, 7.63%, 2/15/25 (c) |  |  |  |  |  |  | 200 |  |  |  | 207,602 |
Altice SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 5/15/22 |  |  |  | EUR |  |  | 800 |  |  |  | 949,975 |
7.75%, 5/15/22 (c)(f) |  |  |  | USD |  |  | 1,050 |  |  |  | 1,084,125 |
6.25%, 2/15/25 |  |  |  | EUR |  |  | 175 |  |  |  | 199,770 |
7.63%, 2/15/25 (c) |  |  |  | USD |  |  | 740 |  |  |  | 764,050 |
AMC Networks, Inc., 7.75%, 7/15/21 (f) |  |  |  |  |  |  | 865 |  |  |  | 949,337 |
CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, 2/15/23 |  |  |  |  |  |  | 270 |  |  |  | 272,025 |
CCOH Safari LLC (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.50%, 12/01/22 |  |  |  |  |  |  | 993 |  |  |  | 1,026,514 |
5.75%, 12/01/24 |  |  |  |  |  |  | 1,969 |  |  |  | 2,037,915 |
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(j) |  |  |  |  |  |  | 509 |  |  |  | — |
Clear Channel Worldwide Holdings, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.63%, 3/15/20 |  |  |  |  |  |  | 677 |  |  |  | 715,927 |
6.50%, 11/15/22 |  |  |  |  |  |  | 1,178 |  |  |  | 1,235,552 |
Columbus International, Inc., 7.38%, 3/30/21 (c)(f) |  |  |  |  |  |  | 895 |  |  |  | 939,750 |
DISH DBS Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.13%, 2/01/16 |  |  |  |  |  |  | 200 |  |  |  | 208,750 |
4.25%, 4/01/18 |  |  |  |  |  |  | 1,330 |  |  |  | 1,336,650 |
5.88%, 11/15/24 |  |  |  |  |  |  | 1,336 |  |  |  | 1,329,320 |
DreamWorks Animation SKG, Inc., 6.88%, 8/15/20 (c) |  |  |  |  |  |  | 305 |  |  |  | 294,325 |
Gannett Co., Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 10/15/19 |  |  |  |  |  |  | 197 |  |  |  | 206,358 |
5.13%, 7/15/20 |  |  |  |  |  |  | 218 |  |  |  | 227,265 |
6.38%, 10/15/23 |  |  |  |  |  |  | 304 |  |  |  | 329,840 |
Gray Television, Inc., 7.50%, 10/01/20 (f) |  |  |  |  |  |  | 428 |  |  |  | 445,120 |
iHeartCommunications, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 12/15/19 |  |  |  |  |  |  | 345 |  |  |  | 340,688 |
9.00%, 3/01/21 (f) |  |  |  |  |  |  | 966 |  |  |  | 932,190 |
9.00%, 9/15/22 |  |  |  |  |  |  | 755 |  |  |  | 726,687 |
Inmarsat Finance PLC, 4.88%, 5/15/22 (c)(f) |  |  |  |  |  |  | 825 |  |  |  | 839,602 |
Intelsat Jackson Holdings SA (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 10/15/20 |  |  |  |  |  |  | 1,660 |  |  |  | 1,726,400 |
5.50%, 8/01/23 |  |  |  |  |  |  | 975 |  |  |  | 922,594 |
Intelsat Luxembourg SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 6/01/18 (f) |  |  |  |  |  |  | 800 |  |  |  | 786,000 |
7.75%, 6/01/21 |  |  |  |  |  |  | 320 |  |  |  | 296,400 |
Live Nation Entertainment, Inc., 7.00%, 9/01/20 (c) |  |  |  |  |  |  | 185 |  |  |  | 198,413 |
MDC Partners, Inc., 6.75%, 4/01/20 (c) |  |  |  |  |  |  | 733 |  |  |  | 771,482 |

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Media (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Media General Financing Sub, Inc., 5.88%, 11/15/22 (c) |  |  |  | USD |  |  | 303 |  |  | $ | 309,818 |
Midcontinent Communications & Midcontinent Finance Corp., 6.25%, 8/01/21 (c) |  |  |  |  |  |  | 245 |  |  |  | 248,675 |
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) |  |  |  |  |  |  | 345 |  |  |  | 356,644 |
Nielsen Finance LLC/Nielsen Finance Co., 5.00%, 4/15/22 (c) |  |  |  |  |  |  | 330 |  |  |  | 337,425 |
Numericable Group SA: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 5/15/19 (c)(f) |  |  |  |  |  |  | 1,770 |  |  |  | 1,770,000 |
5.38%, 5/15/22 |  |  |  | EUR |  |  | 110 |  |  |  | 130,266 |
6.00%, 5/15/22 (c)(f) |  |  |  | USD |  |  | 1,530 |  |  |  | 1,556,775 |
5.63%, 5/15/24 |  |  |  | EUR |  |  | 260 |  |  |  | 308,410 |
6.25%, 5/15/24 (c)(f) |  |  |  | USD |  |  | 510 |  |  |  | 523,515 |
Outfront Media Capital LLC/Outfront Media Capital Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.25%, 2/15/22 |  |  |  |  |  |  | 105 |  |  |  | 109,988 |
5.63%, 2/15/24 |  |  |  |  |  |  | 95 |  |  |  | 101,294 |
RCN Telecom Services LLC/RCN Capital Corp., 8.50%, 8/15/20 (c) |  |  |  |  |  |  | 800 |  |  |  | 848,000 |
Sinclair Television Group, Inc., 5.63%, 8/01/24 (c) |  |  |  |  |  |  | 191 |  |  |  | 193,388 |
Sirius XM Radio, Inc., 5.75%, 8/01/21 (c)(f) |  |  |  |  |  |  | 424 |  |  |  | 445,200 |
Sterling Entertainment Corp., 9.75%, 12/15/19 |  |  |  |  |  |  | 1,175 |  |  |  | 1,198,500 |
Townsquare Radio LLC/Townsquare Radio, Inc., 9.00%, 4/01/19 (c)(f) |  |  |  |  |  |  | 789 |  |  |  | 842,257 |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 4.00%, 1/15/25 |  |  |  | EUR |  |  | 236 |  |  |  | 280,779 |
Virgin Media Secured Finance PLC, 6.00%, 4/15/21 |  |  |  | GBP |  |  | 1,274 |  |  |  | 2,094,870 |
Ziggo Bond Finance BV, 4.63%, 1/15/25 |  |  |  | EUR |  |  | 137 |  |  |  | 161,359 |
|  |  |  |  |  |  |  |  |  |  | 35,891,303 |
Metals & Mining — 2.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alcoa, Inc., 5.13%, 10/01/24 (f) |  |  |  | USD |  |  | 1,843 |  |  |  | 2,004,318 |
ArcelorMittal, 4.50%, 8/05/15 (f) |  |  |  |  |  |  | 738 |  |  |  | 746,302 |
Constellium NV: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.63%, 5/15/21 |  |  |  | EUR |  |  | 195 |  |  |  | 209,486 |
5.75%, 5/15/24 (c) |  |  |  | USD |  |  | 358 |  |  |  | 339,205 |
Global Brass & Copper, Inc., 9.50%, 6/01/19 (f) |  |  |  |  |  |  | 695 |  |  |  | 750,600 |
Kaiser Aluminum Corp., 8.25%, 6/01/20 (f) |  |  |  |  |  |  | 510 |  |  |  | 552,713 |
Novelis, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.38%, 12/15/17 |  |  |  |  |  |  | 175 |  |  |  | 182,875 |
8.75%, 12/15/20 (f) |  |  |  |  |  |  | 2,906 |  |  |  | 3,153,010 |
Peabody Energy Corp., 6.50%, 9/15/20 (f) |  |  |  |  |  |  | 324 |  |  |  | 274,185 |
Perstorp Holding AB, 8.75%, 5/15/17 (c) |  |  |  |  |  |  | 290 |  |  |  | 300,150 |
Ryerson, Inc./Joseph T Ryerson & Son, Inc., 9.00%, 10/15/17 |  |  |  |  |  |  | 160 |  |  |  | 163,600 |
Steel Dynamics, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.13%, 10/01/21 (c) |  |  |  |  |  |  | 645 |  |  |  | 661,125 |
6.38%, 8/15/22 |  |  |  |  |  |  | 555 |  |  |  | 595,237 |
ThyssenKrupp AG: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.13%, 10/25/19 |  |  |  | EUR |  |  | 295 |  |  |  | 350,340 |
1.75%, 11/25/20 |  |  |  |  |  |  | 75 |  |  |  | 83,702 |
2.50%, 2/25/25 |  |  |  |  |  |  | 100 |  |  |  | 111,480 |
Wise Metals Group LLC/Wise Alloys Finance Corp., 8.75%, 12/15/18 (c)(f) |  |  |  | USD |  |  | 2,156 |  |  |  | 2,336,565 |
|  |  |  |  |  |  |  |  |  |  | 12,814,893 |
Multi-Utilities — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CE Energy AS, 7.00%, 2/01/21 |  |  |  | EUR |  |  | 150 |  |  |  | 170,585 |
Multiline Retail — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Hema Bondco I BV, 6.25%, 6/15/19 |  |  |  |  |  |  | 205 |  |  |  | 190,980 |
The Neiman Marcus Group Ltd., 8.00%, 10/15/21 (c)(f) |  |  |  | USD |  |  | 516 |  |  |  | 542,445 |
|  |  |  |  |  |  |  |  |  |  | 733,425 |
Oil, Gas & Consumable Fuels — 4.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Access Midstream Partners LP/ACMP Finance Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 5/15/23 (f) |  |  |  |  |  |  | 455 |  |  |  | 468,650 |
4.88%, 3/15/24 |  |  |  |  |  |  | 104 |  |  |  | 107,120 |
Antero Resources Finance Corp., 5.38%, 11/01/21 (f) |  |  |  |  |  |  | 774 |  |  |  | 779,805 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 35

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Oil, Gas & Consumable Fuels (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bonanza Creek Energy, Inc., 6.75%, 4/15/21 |  |  |  | USD |  |  | 95 |  |  | $ | 93,100 |
California Resources Corp., 6.00%, 11/15/24 (c)(f) |  |  |  |  |  |  | 1,280 |  |  |  | 1,140,800 |
Chaparral Energy, Inc., 7.63%, 11/15/22 |  |  |  |  |  |  | 305 |  |  |  | 225,700 |
Cimarex Energy Co., 4.38%, 6/01/24 |  |  |  |  |  |  | 206 |  |  |  | 202,910 |
Concho Resources, Inc., 5.50%, 4/01/23 (f) |  |  |  |  |  |  | 1,365 |  |  |  | 1,412,775 |
CONSOL Energy, Inc., 5.88%, 4/15/22 (f) |  |  |  |  |  |  | 1,653 |  |  |  | 1,586,880 |
El Paso LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.80%, 8/01/31 |  |  |  |  |  |  | 116 |  |  |  | 143,462 |
7.75%, 1/15/32 (f) |  |  |  |  |  |  | 556 |  |  |  | 693,842 |
Energy Transfer Equity LP, 5.88%, 1/15/24 (f) |  |  |  |  |  |  | 875 |  |  |  | 936,250 |
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (f) |  |  |  |  |  |  | 450 |  |  |  | 461,250 |
Hilcorp Energy I LP/Hilcorp Finance Co., 5.00%, 12/01/24 (c)(f) |  |  |  |  |  |  | 520 |  |  |  | 490,100 |
Kinder Morgan Energy Partners LP (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.15%, 2/01/24 |  |  |  |  |  |  | 640 |  |  |  | 664,460 |
4.25%, 9/01/24 |  |  |  |  |  |  | 1,035 |  |  |  | 1,080,756 |
Kinder Morgan Finance Co. LLC, 6.00%, 1/15/18 (c)(f) |  |  |  |  |  |  | 1,285 |  |  |  | 1,408,598 |
Kinder Morgan, Inc. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.05%, 12/01/19 |  |  |  |  |  |  | 630 |  |  |  | 636,007 |
5.00%, 2/15/21 (c) |  |  |  |  |  |  | 302 |  |  |  | 325,336 |
5.63%, 11/15/23 (c) |  |  |  |  |  |  | 306 |  |  |  | 343,401 |
Laredo Petroleum, Inc., 7.38%, 5/01/22 |  |  |  |  |  |  | 132 |  |  |  | 135,960 |
Linn Energy LLC/Linn Energy Finance Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.63%, 4/15/20 (f) |  |  |  |  |  |  | 1,083 |  |  |  | 982,822 |
7.75%, 2/01/21 |  |  |  |  |  |  | 215 |  |  |  | 187,588 |
NGPL PipeCo LLC, 9.63%, 6/01/19 (c)(f) |  |  |  |  |  |  | 353 |  |  |  | 353,883 |
Oasis Petroleum, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.25%, 2/01/19 |  |  |  |  |  |  | 380 |  |  |  | 377,625 |
6.50%, 11/01/21 |  |  |  |  |  |  | 410 |  |  |  | 393,344 |
Range Resources Corp., 5.75%, 6/01/21 |  |  |  |  |  |  | 161 |  |  |  | 169,453 |
Rose Rock Midstream LP/Rose Rock Finance Corp., 5.63%, 7/15/22 |  |  |  |  |  |  | 376 |  |  |  | 375,060 |
Rosetta Resources, Inc., 5.63%, 5/01/21 |  |  |  |  |  |  | 379 |  |  |  | 360,997 |
RSP Permian, Inc., 6.63%, 10/01/22 (c) |  |  |  |  |  |  | 359 |  |  |  | 361,244 |
Sabine Pass Liquefaction LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.63%, 4/15/23 (f) |  |  |  |  |  |  | 536 |  |  |  | 548,060 |
5.75%, 5/15/24 (f) |  |  |  |  |  |  | 456 |  |  |  | 466,260 |
5.63%, 3/01/25 (c) |  |  |  |  |  |  | 748 |  |  |  | 751,740 |
Sabine Pass LNG LP, 7.50%, 11/30/16 (f) |  |  |  |  |  |  | 2,385 |  |  |  | 2,522,137 |
Sanchez Energy Corp., 6.13%, 1/15/23 (c) |  |  |  |  |  |  | 681 |  |  |  | 624,817 |
SandRidge Energy, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
8.75%, 1/15/20 |  |  |  |  |  |  | 79 |  |  |  | 60,435 |
7.50%, 2/15/23 (f) |  |  |  |  |  |  | 921 |  |  |  | 658,515 |
Seventy Seven Energy, Inc., 6.50%, 7/15/22 |  |  |  |  |  |  | 258 |  |  |  | 134,160 |
Southern Star Central Corp., 5.13%, 7/15/22 (c)(f) |  |  |  |  |  |  | 935 |  |  |  | 960,712 |
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 7.50%, 7/01/21 |  |  |  |  |  |  | 636 |  |  |  | 669,390 |
Tesoro Logistics LP/Tesoro Logistics Finance Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
5.88%, 10/01/20 |  |  |  |  |  |  | 138 |  |  |  | 144,555 |
6.25%, 10/15/22 (c) |  |  |  |  |  |  | 677 |  |  |  | 717,620 |
Ultra Petroleum Corp., 5.75%, 12/15/18 (c) |  |  |  |  |  |  | 425 |  |  |  | 412,250 |
Whiting Petroleum Corp., 5.00%, 3/15/19 (f) |  |  |  |  |  |  | 1,212 |  |  |  | 1,193,820 |
|  |  |  |  |  |  |  |  |  |  | 26,763,649 |
Pharmaceuticals — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Capsugel SA, (7.00% Cash or 7.75% PIK), 7.00%, 5/15/19 (c)(g) |  |  |  |  |  |  | 156 |  |  |  | 158,925 |
Endo Finance LLC/Endo Finco, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 12/15/20 |  |  |  |  |  |  | 135 |  |  |  | 142,763 |
7.25%, 1/15/22 |  |  |  |  |  |  | 121 |  |  |  | 129,924 |
6.00%, 2/01/25 (f) |  |  |  |  |  |  | 798 |  |  |  | 844,882 |
Grifols Worldwide Operations Ltd., 5.25%, 4/01/22 (c)(f) |  |  |  |  |  |  | 759 |  |  |  | 777,975 |
Mallinckrodt International Finance SA, 5.75%, 8/01/22 (c)(f) |  |  |  |  |  |  | 830 |  |  |  | 877,725 |

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Pharmaceuticals (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Valeant Pharmaceuticals International, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.75%, 8/15/18 (f) |  |  |  | USD |  |  | 2,214 |  |  | $ | 2,352,375 |
6.38%, 10/15/20 (f) |  |  |  |  |  |  | 613 |  |  |  | 645,182 |
7.50%, 7/15/21 |  |  |  |  |  |  | 335 |  |  |  | 363,475 |
5.63%, 12/01/21 |  |  |  |  |  |  | 520 |  |  |  | 529,100 |
5.50%, 3/01/23 |  |  |  |  |  |  | 519 |  |  |  | 524,190 |
|  |  |  |  |  |  |  |  |  |  | 7,346,516 |
Professional Services — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Truven Health Analytics, Inc., 10.63%, 6/01/20 (f) |  |  |  |  |  |  | 540 |  |  |  | 554,850 |
Real Estate Investment Trusts (REITs) — 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Felcor Lodging LP, 6.75%, 6/01/19 (f) |  |  |  |  |  |  | 820 |  |  |  | 856,900 |
iStar Financial, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.00%, 11/01/17 |  |  |  |  |  |  | 435 |  |  |  | 432,825 |
5.00%, 7/01/19 |  |  |  |  |  |  | 305 |  |  |  | 305,000 |
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (f) |  |  |  |  |  |  | 1,300 |  |  |  | 1,421,690 |
|  |  |  |  |  |  |  |  |  |  | 3,016,415 |
Real Estate Management & Development — 0.9% |  |  |  |  |  |  |  |  |  |
Realogy Corp. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.63%, 1/15/20 (f) |  |  |  |  |  |  | 1,837 |  |  |  | 1,979,367 |
9.00%, 1/15/20 |  |  |  |  |  |  | 301 |  |  |  | 331,100 |
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, 4/15/19 (c)(f) |  |  |  |  |  |  | 759 |  |  |  | 772,283 |
Rialto Holdings LLC/Rialto Corp., 7.00%, 12/01/18 (c) |  |  |  |  |  |  | 220 |  |  |  | 224,400 |
Shea Homes LP/Shea Homes Funding Corp., 8.63%, 5/15/19 (f) |  |  |  |  |  |  | 2,110 |  |  |  | 2,220,775 |
|  |  |  |  |  |  |  |  |  |  | 5,527,925 |
Road & Rail — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asciano Finance Ltd., 3.13%, 9/23/15 (c)(f) |  |  |  |  |  |  | 3,400 |  |  |  | 3,437,522 |
EC Finance PLC, 5.13%, 7/15/21 |  |  |  | EUR |  |  | 180 |  |  |  | 212,004 |
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)(f) |  |  |  | USD |  |  | 1,170 |  |  |  | 1,206,562 |
The Hertz Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.50%, 10/15/18 |  |  |  |  |  |  | 540 |  |  |  | 558,900 |
6.75%, 4/15/19 |  |  |  |  |  |  | 405 |  |  |  | 418,669 |
5.88%, 10/15/20 |  |  |  |  |  |  | 435 |  |  |  | 449,138 |
7.38%, 1/15/21 (f) |  |  |  |  |  |  | 675 |  |  |  | 710,438 |
Watco Cos. LLC/Watco Finance Corp., 6.38%, 4/01/23 (c) |  |  |  |  |  |  | 319 |  |  |  | 320,595 |
|  |  |  |  |  |  |  |  |  |  | 7,313,828 |
Semiconductors & Semiconductor Equipment — 0.3%
Micron Technology, Inc., 5.50%, 2/01/25 (c)(f) |  |  |  |  |  |  | 840 |  |  |  | 861,000 |
NXP BV/NXP Funding LLC, 5.75%, 2/15/21 (c)(f) |  |  |  |  |  |  | 560 |  |  |  | 593,600 |
Sensata Technologies BV, 5.63%, 11/01/24 (c) |  |  |  |  |  |  | 179 |  |  |  | 191,977 |
|  |  |  |  |  |  |  |  |  |  | 1,646,577 |
Software — 0.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Infor Software Parent LLC/Infor Software Parent, Inc. (7.13% Cash or 7.88% PIK), 7.13%, 5/01/21 (c)(g) |  |  |  |  |  |  | 744 |  |  |  | 748,650 |
Infor US, Inc., 9.38%, 4/01/19 (f) |  |  |  |  |  |  | 2,000 |  |  |  | 2,147,500 |
Nuance Communications, Inc., 5.38%, 8/15/20 (c)(f) |  |  |  |  |  |  | 1,715 |  |  |  | 1,757,875 |
|  |  |  |  |  |  |  |  |  |  | 4,654,025 |
Specialty Retail — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Magnolia BC SA, 9.00%, 8/01/20 |  |  |  | EUR |  |  | 171 |  |  |  | 199,394 |
New Look Bondco I PLC, 8.75%, 5/14/18 |  |  |  | GBP |  |  | 100 |  |  |  | 162,228 |
Party City Holdings, Inc., 8.88%, 8/01/20 |  |  |  | USD |  |  | 374 |  |  |  | 408,595 |
PC Nextco Holdings LLC/PC Nextco Finance, Inc., (8.75% Cash or 9.50% PIK), 8.75%, 8/15/19 |  |  |  |  |  |  | 252 |  |  |  | 257,040 |
Sally Holdings LLC/Sally Capital, Inc., 5.50%, 11/01/23 (f) |  |  |  |  |  |  | 508 |  |  |  | 533,400 |
THOM Europe SAS, 7.38%, 7/15/19 |  |  |  | EUR |  |  | 230 |  |  |  | 267,677 |
|  |  |  |  |  |  |  |  |  |  | 1,828,334 |

See Notes to Financial Statements.

36 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Corporate Bonds |  |  |  |  |  | Par (000) |  | Value
Textiles, Apparel & Luxury Goods — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Levi Strauss & Co., 6.88%, 5/01/22 |  |  |  | USD |  |  | 380 |  |  | $ | 418,000 |
The William Carter Co., 5.25%, 8/15/21 |  |  |  |  |  |  | 346 |  |  |  | 362,349 |
|  |  |  |  |  |  |  |  |  |  | 780,349 |
Trading Companies & Distributors — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ashtead Capital, Inc. (c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.50%, 7/15/22 (f) |  |  |  |  |  |  | 1,054 |  |  |  | 1,146,225 |
5.63%, 10/01/24 |  |  |  |  |  |  | 420 |  |  |  | 441,000 |
|  |  |  |  |  |  |  |  |  |  | 1,587,225 |
Transportation Infrastructure — 1.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aguila 3 SA, 7.88%, 1/31/18 (c)(f) |  |  |  |  |  |  | 378 |  |  |  | 382,725 |
Federal Express Corp. 2012 Pass-Through Trust, 2.63%, 1/15/18 (c)(f) |  |  |  |  |  |  | 640 |  |  |  | 652,128 |
JCH Parent, Inc., (10.50% Cash or 11.25% PIK), 10.50%, 3/15/19 (c)(g) |  |  |  |  |  |  | 878 |  |  |  | 812,150 |
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (c)(f) |  |  |  |  |  |  | 6,155 |  |  |  | 6,376,389 |
|  |  |  |  |  |  |  |  |  |  | 8,223,392 |
Wireless Telecommunication Services — 2.2% |  |  |  |  |  |  |  |  |  |
Digicel Ltd., 6.00%, 4/15/21 (c)(f) |  |  |  |  |  |  | 2,073 |  |  |  | 2,057,452 |
The Geo Group, Inc., 5.88%, 1/15/22 |  |  |  |  |  |  | 340 |  |  |  | 358,700 |
SBA Communications Corp., 4.88%, 7/15/22 (c)(f) |  |  |  |  |  |  | 815 |  |  |  | 815,000 |
Sprint Communications, Inc. (c)(f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
9.00%, 11/15/18 |  |  |  |  |  |  | 2,020 |  |  |  | 2,348,250 |
7.00%, 3/01/20 |  |  |  |  |  |  | 1,141 |  |  |  | 1,264,011 |
Sprint Corp. (f): |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.88%, 9/15/23 |  |  |  |  |  |  | 1,735 |  |  |  | 1,791,387 |
7.13%, 6/15/24 |  |  |  |  |  |  | 590 |  |  |  | 587,050 |
T-Mobile USA, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
6.63%, 4/28/21 |  |  |  |  |  |  | 263 |  |  |  | 279,766 |
6.13%, 1/15/22 |  |  |  |  |  |  | 75 |  |  |  | 78,938 |
6.73%, 4/28/22 |  |  |  |  |  |  | 173 |  |  |  | 184,245 |
6.00%, 3/01/23 |  |  |  |  |  |  | 478 |  |  |  | 498,559 |
6.50%, 1/15/24 |  |  |  |  |  |  | 535 |  |  |  | 565,763 |
6.38%, 3/01/25 (f) |  |  |  |  |  |  | 1,520 |  |  |  | 1,588,400 |
Vodafone Group PLC, 2.50%, 9/26/22 |  |  |  |  |  |  | 1,080 |  |  |  | 1,037,903 |
Wind Acquisition Finance SA, 4.00%, 7/15/20 |  |  |  | EUR |  |  | 695 |  |  |  | 791,156 |
|  |  |  |  |  |  |  |  |  |  | 14,246,580 |
Total Corporate Bonds — 53.2% |  |  |  |  |  |  |  |  |  |  | 345,437,441 |
Floating Rate Loan Interests (b)
Aerospace & Defense — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21 |  |  |  | USD |  |  | 910 |  |  |  | 911,893 |
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20 |  |  |  |  |  |  | 1,277 |  |  |  | 1,275,257 |
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21 |  |  |  |  |  |  | 1,375 |  |  |  | 1,442,031 |
Transdigm, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.75%, 2/28/20 |  |  |  |  |  |  | 647 |  |  |  | 643,812 |
Term Loan D, 3.75%, 6/04/21 |  |  |  |  |  |  | 299 |  |  |  | 297,333 |
TransUnion LLC, Term Loan, 4.00%, 4/09/21 |  |  |  |  |  |  | 1,568 |  |  |  | 1,560,968 |
|  |  |  |  |  |  |  |  |  |  | 6,131,294 |
Air Freight & Logistics — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 678 |  |  |  | 626,429 |
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21 |  |  |  |  |  |  | 710 |  |  |  | 655,643 |
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 122 |  |  |  | 113,042 |
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21 |  |  |  |  |  |  | 979 |  |  |  | 904,335 |
|  |  |  |  |  |  |  |  |  |  | 2,299,449 |
Airlines — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Northwest Airlines, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2.18%, 3/10/17 |  |  |  |  |  |  | 376 |  |  |  | 366,708 |
1.56%, 9/10/18 |  |  |  |  |  |  | 552 |  |  |  | 527,160 |

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Airlines (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 |  |  |  | USD |  |  | 7 |  |  | $ | 6,777 |
|  |  |  |  |  |  |  |  |  |  | 900,645 |
Auto Components — 1.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20 |  |  |  |  |  |  | 712 |  |  |  | 710,992 |
Autoparts Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.50%, 7/29/17 |  |  |  |  |  |  | 958 |  |  |  | 957,905 |
2nd Lien Term Loan, 10.50%, 1/29/18 |  |  |  |  |  |  | 1,050 |  |  |  | 1,021,125 |
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19 |  |  |  |  |  |  | 851 |  |  |  | 843,950 |
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21 |  |  |  |  |  |  | 3,332 |  |  |  | 3,305,830 |
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19 |  |  |  |  |  |  | 2,488 |  |  |  | 2,498,395 |
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20 |  |  |  |  |  |  | 975 |  |  |  | 981,094 |
|  |  |  |  |  |  |  |  |  |  | 10,319,291 |
Banks — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Redtop Acquisitions Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 12/03/20 |  |  |  |  |  |  | 416 |  |  |  | 415,280 |
2nd Lien Term Loan, 8.25%, 6/03/21 |  |  |  |  |  |  | 351 |  |  |  | 351,450 |
|  |  |  |  |  |  |  |  |  |  | 766,730 |
Beverages — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Le-Nature’s, Inc., Tranche B Term Loan, 3/01/2011 (a)(j) |  |  |  |  |  |  | 1,000 |  |  |  | — |
Building Products — 1.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20 |  |  |  |  |  |  | 776 |  |  |  | 761,844 |
CPG International, Inc., Term Loan, 4.75%, 9/30/20 (b) |  |  |  |  |  |  | 1,631 |  |  |  | 1,602,177 |
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21 |  |  |  |  |  |  | 938 |  |  |  | 916,809 |
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21 |  |  |  |  |  |  | 1,025 |  |  |  | 1,027,563 |
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21 |  |  |  |  |  |  | 1,141 |  |  |  | 1,121,880 |
United Subcontractors, Inc., Term Loan, 4.26%, 6/30/15 |  |  |  |  |  |  | 172 |  |  |  | 168,109 |
Wilsonart LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan B2, 4.00%, 10/31/19 |  |  |  |  |  |  | 762 |  |  |  | 755,310 |
Term Loan B, 4.00%, 10/31/19 |  |  |  |  |  |  | 804 |  |  |  | 796,232 |
|  |  |  |  |  |  |  |  |  |  | 7,149,924 |
Capital Markets — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Affinion Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.50%, 10/12/18 |  |  |  |  |  |  | 633 |  |  |  | 554,460 |
Term Loan B, 6.75%, 4/30/18 |  |  |  |  |  |  | 521 |  |  |  | 494,918 |
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17 |  |  |  |  |  |  | 576 |  |  |  | 573,072 |
|  |  |  |  |  |  |  |  |  |  | 1,622,450 |
Chemicals — 1.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 |  |  |  |  |  |  | 765 |  |  |  | 750,111 |
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18 |  |  |  |  |  |  | 658 |  |  |  | 655,996 |
MacDermid, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 6/07/20 |  |  |  |  |  |  | 660 |  |  |  | 661,765 |
Term Loan B2, 4.75%, 6/07/20 |  |  |  |  |  |  | 288 |  |  |  | 289,638 |
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21 |  |  |  |  |  |  | 1,222 |  |  |  | 1,225,372 |
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 |  |  |  |  |  |  | 1,251 |  |  |  | 1,218,405 |
OXEA Finance LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 8.25%, 7/15/20 |  |  |  |  |  |  | 705 |  |  |  | 663,581 |
Term Loan B2, 4.25%, 1/15/20 |  |  |  |  |  |  | 672 |  |  |  | 649,260 |
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18 |  |  |  |  |  |  | 769 |  |  |  | 770,744 |
Solenis International LP: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 7/31/21 |  |  |  |  |  |  | 519 |  |  |  | 512,216 |
2nd Lien Term Loan, 7.75%, 7/31/22 |  |  |  |  |  |  | 1,050 |  |  |  | 1,017,628 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 37

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

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Chemicals (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20 |  |  |  | USD |  |  | 655 |  |  | $ | 650,112 |
|  |  |  |  |  |  |  |  |  |  | 9,064,828 |
Commercial Services & Supplies — 1.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19 |  |  |  |  |  |  | 999 |  |  |  | 986,888 |
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20 |  |  |  |  |  |  | 1,559 |  |  |  | 1,519,948 |
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21 |  |  |  |  |  |  | 1,350 |  |  |  | 1,352,665 |
Connolly Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 5/14/21 |  |  |  |  |  |  | 1,169 |  |  |  | 1,174,246 |
2nd Lien Term Loan, 8.00%, 5/14/22 |  |  |  |  |  |  | 1,000 |  |  |  | 987,500 |
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20 |  |  |  |  |  |  | 1,866 |  |  |  | 1,844,637 |
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19 |  |  |  |  |  |  | 336 |  |  |  | 325,460 |
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19 |  |  |  |  |  |  | 1,769 |  |  |  | 1,755,178 |
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20 (d) |  |  |  |  |  |  | 380 |  |  |  | 380,334 |
|  |  |  |  |  |  |  |  |  |  | 10,326,856 |
Communications Equipment — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Applied Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 1/25/21 |  |  |  |  |  |  | 327 |  |  |  | 325,681 |
2nd Lien Term Loan, 7.50%, 1/24/22 |  |  |  |  |  |  | 265 |  |  |  | 262,615 |
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17 |  |  |  |  |  |  | 756 |  |  |  | 733,905 |
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17 |  |  |  |  |  |  | 432 |  |  |  | 431,223 |
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22 (b)(d) |  |  |  |  |  |  | 290 |  |  |  | 292,175 |
Telesat Canada, Term Loan A, 4.40%, 3/24/17 |  |  |  | CAD |  |  | 1,560 |  |  |  | 1,239,902 |
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19 |  |  |  | USD |  |  | 2,738 |  |  |  | 2,735,007 |
|  |  |  |  |  |  |  |  |  |  | 6,020,508 |
Construction & Engineering — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20 |  |  |  |  |  |  | 710 |  |  |  | 714,437 |
Construction Materials — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20 |  |  |  |  |  |  | 500 |  |  |  | 499,170 |
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18 |  |  |  |  |  |  | 1,859 |  |  |  | 1,853,858 |
|  |  |  |  |  |  |  |  |  |  | 2,353,028 |
Containers & Packaging — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19 |  |  |  |  |  |  | 382 |  |  |  | 380,679 |
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21 |  |  |  |  |  |  | 904 |  |  |  | 903,282 |
|  |  |  |  |  |  |  |  |  |  | 1,283,961 |
Distributors — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20 |  |  |  |  |  |  | 2,079 |  |  |  | 2,067,005 |
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18 |  |  |  |  |  |  | 199 |  |  |  | 199,493 |
|  |  |  |  |  |  |  |  |  |  | 2,266,498 |
Diversified Consumer Services — 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Allied Security Holdings LLC, 1st Lien Term Loan, 4.25%, 2/12/21 |  |  |  |  |  |  | 514 |  |  |  | 512,463 |
Garda World Securities Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Delayed Draw Term Loan, 4.00%, 11/06/20 |  |  |  |  |  |  | 12 |  |  |  | 11,694 |
Term Loan B, 4.00%, 11/06/20 |  |  |  |  |  |  | 46 |  |  |  | 45,711 |
ROC Finance LLC, Term Loan, 5.00%, 6/20/19 |  |  |  |  |  |  | 622 |  |  |  | 589,980 |
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21 |  |  |  |  |  |  | 2,587 |  |  |  | 2,586,343 |
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 |  |  |  |  |  |  | 793 |  |  |  | 417,679 |
|  |  |  |  |  |  |  |  |  |  | 4,163,870 |

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Diversified Financial Services — 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21 |  |  |  | USD |  |  | 860 |  |  | $ | 853,017 |
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18 |  |  |  |  |  |  | 1,502 |  |  |  | 1,505,993 |
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20 |  |  |  |  |  |  | 1,114 |  |  |  | 1,110,687 |
|  |  |  |  |  |  |  |  |  |  | 3,469,697 |
Diversified Telecommunication Services — 1.9% |  |  |  |  |  |  |  |  |  |
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20 |  |  |  |  |  |  | 2,216 |  |  |  | 2,221,246 |
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19 |  |  |  |  |  |  | 1,716 |  |  |  | 1,720,551 |
Integra Telecom, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.75%, 2/21/20 |  |  |  |  |  |  | 975 |  |  |  | 966,469 |
Term Loan B, 5.25%, 2/22/19 |  |  |  |  |  |  | 1,154 |  |  |  | 1,146,357 |
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22 |  |  |  |  |  |  | 1,320 |  |  |  | 1,325,504 |
Level 3 Financing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2019 Term Loan, 4.00%, 8/01/19 |  |  |  |  |  |  | 659 |  |  |  | 658,085 |
2020 Term Loan B, 4.00%, 1/15/20 |  |  |  |  |  |  | 4,240 |  |  |  | 4,237,880 |
|  |  |  |  |  |  |  |  |  |  | 12,276,092 |
Electric Utilities — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20 |  |  |  |  |  |  | 296 |  |  |  | 251,606 |
American Energy — Utica LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18 |  |  |  |  |  |  | 503 |  |  |  | 442,687 |
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18 |  |  |  |  |  |  | 503 |  |  |  | 442,757 |
|  |  |  |  |  |  |  |  |  |  | 1,137,050 |
Electrical Equipment — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Texas Competitive Electric Holdings Co. LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
DIP Term Loan, 3.75%, 5/05/16 |  |  |  |  |  |  | 668 |  |  |  | 670,829 |
Extended Term Loan, 4.66%, 10/10/17 (a)(j) |  |  |  |  |  |  | 3,080 |  |  |  | 1,966,056 |
|  |  |  |  |  |  |  |  |  |  | 2,636,885 |
Electronic Equipment, Instruments & Components — 0.1%
CDW LLC, Term Loan, 3.25%, 4/29/20 |  |  |  |  |  |  | 835 |  |  |  | 827,471 |
Energy Equipment & Services — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20 |  |  |  |  |  |  | 1,093 |  |  |  | 1,089,764 |
Food & Staples Retailing — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21 |  |  |  |  |  |  | 628 |  |  |  | 627,325 |
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 |  |  |  |  |  |  | 240 |  |  |  | 242,251 |
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/1 |  |  |  |  |  |  | 901 |  |  |  | 901,788 |
|  |  |  |  |  |  |  |  |  |  | 1,771,364 |
Food Products — 1.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18 |  |  |  |  |  |  | 1,495 |  |  |  | 1,491,163 |
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18 |  |  |  |  |  |  | 1,033 |  |  |  | 1,030,467 |
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21 |  |  |  |  |  |  | 672 |  |  |  | 672,465 |
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21 |  |  |  |  |  |  | 2,244 |  |  |  | 2,246,373 |
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19 |  |  |  |  |  |  | 1,034 |  |  |  | 1,034,250 |
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20 |  |  |  |  |  |  | 1,038 |  |  |  | 1,031,129 |
Reddy Ice Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 6.75%, 5/01/19 |  |  |  |  |  |  | 1,464 |  |  |  | 1,266,295 |
2nd Lien Term Loan, 10.75%, 11/01/19 |  |  |  |  |  |  | 1,380 |  |  |  | 1,048,800 |
|  |  |  |  |  |  |  |  |  |  | 9,820,942 |

See Notes to Financial Statements.

38 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Health Care Equipment & Supplies — 1.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17 |  |  |  | USD |  |  | 1,157 |  |  | $ | 1,156,068 |
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18 |  |  |  |  |  |  | 510 |  |  |  | 507,105 |
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17 |  |  |  |  |  |  | 1,688 |  |  |  | 1,687,242 |
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18 |  |  |  |  |  |  | 630 |  |  |  | 629,123 |
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21 |  |  |  |  |  |  | 1,816 |  |  |  | 1,822,684 |
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21 |  |  |  |  |  |  | 1,245 |  |  |  | 1,226,109 |
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21 |  |  |  |  |  |  | 1,455 |  |  |  | 1,437,264 |
|  |  |  |  |  |  |  |  |  |  | 8,465,595 |
Health Care Providers & Services — 2.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22 |  |  |  |  |  |  | 238 |  |  |  | 238,793 |
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20 |  |  |  |  |  |  | 1,360 |  |  |  | 1,346,400 |
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21 |  |  |  |  |  |  | 458 |  |  |  | 457,988 |
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18 |  |  |  |  |  |  | 437 |  |  |  | 437,432 |
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21 |  |  |  |  |  |  | 3,965 |  |  |  | 3,972,563 |
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16 |  |  |  |  |  |  | 1,169 |  |  |  | 1,167,807 |
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22 |  |  |  |  |  |  | 800 |  |  |  | 804,504 |
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21 |  |  |  |  |  |  | 2,831 |  |  |  | 2,833,606 |
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20 |  |  |  |  |  |  | 894 |  |  |  | 893,687 |
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17 |  |  |  |  |  |  | 1,000 |  |  |  | 1,019,874 |
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21 |  |  |  |  |  |  | 161 |  |  |  | 160,791 |
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21 |  |  |  |  |  |  | 713 |  |  |  | 706,997 |
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21 |  |  |  |  |  |  | 576 |  |  |  | 570,613 |
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20 |  |  |  |  |  |  | 405 |  |  |  | 401,347 |
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 |  |  |  |  |  |  | 591 |  |  |  | 587,554 |
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19 (d) |  |  |  |  |  |  | 1,500 |  |  |  | 1,493,745 |
|  |  |  |  |  |  |  |  |  |  | 17,093,701 |
Hotels, Restaurants & Leisure — 4.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Amaya Holdings BV: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 8/01/21 |  |  |  |  |  |  | 973 |  |  |  | 965,268 |
2nd Lien Term Loan, 8.00%, 8/01/22 |  |  |  |  |  |  | 3,460 |  |  |  | 3,439,448 |
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20 |  |  |  |  |  |  | 1,202 |  |  |  | 1,154,378 |
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21 |  |  |  |  |  |  | 1,875 |  |  |  | 1,884,713 |
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18 |  |  |  |  |  |  | 84 |  |  |  | 77,428 |
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20 |  |  |  |  |  |  | 3,099 |  |  |  | 2,983,925 |
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21 |  |  |  |  |  |  | 772 |  |  |  | 772,867 |
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20 |  |  |  |  |  |  | 235 |  |  |  | 235,283 |
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21 |  |  |  |  |  |  | 1,496 |  |  |  | 1,503,354 |
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20 |  |  |  |  |  |  | 996 |  |  |  | 995,573 |
Intrawest ULC, Term Loan, 5.50%, 12/09/20 |  |  |  |  |  |  | 609 |  |  |  | 610,372 |
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21 |  |  |  |  |  |  | 4,590 |  |  |  | 4,583,808 |

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Hotels, Restaurants & Leisure (concluded) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20 |  |  |  | USD |  |  | 644 |  |  | $ | 643,365 |
MGM Resorts International, Term Loan B, 3.50%, 12/20/19 |  |  |  |  |  |  | 1,064 |  |  |  | 1,060,050 |
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20 |  |  |  |  |  |  | 658 |  |  |  | 656,978 |
Sabre, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Incremental Term Loan, 4.50%, 2/19/19 |  |  |  |  |  |  | 395 |  |  |  | 395,000 |
Term Loan B, 4.00%, 2/19/19 |  |  |  |  |  |  | 559 |  |  |  | 557,801 |
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20 |  |  |  |  |  |  | 2,329 |  |  |  | 2,326,349 |
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21 |  |  |  |  |  |  | 1,197 |  |  |  | 1,205,978 |
|  |  |  |  |  |  |  |  |  |  | 26,051,938 |
Household Products — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19 |  |  |  |  |  |  | 1,144 |  |  |  | 1,141,024 |
Independent Power and Renewable Electricity Producers — 0.7%
Calpine Corp., Term Loan B1, 4.00%, 4/01/18 (d) |  |  |  |  |  |  | 2,043 |  |  |  | 2,043,177 |
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16 (d) |  |  |  |  |  |  | 1,313 |  |  |  | 1,318,861 |
Granite Acquisition Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/19/21 |  |  |  |  |  |  | 1,116 |  |  |  | 1,127,809 |
Term Loan C, 5.00%, 12/19/21 |  |  |  |  |  |  | 49 |  |  |  | 49,624 |
|  |  |  |  |  |  |  |  |  |  | 4,539,471 |
Industrial Conglomerates — 0.3% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Sequa Corp., Term Loan B, 5.25%, 6/19/17 |  |  |  |  |  |  | 2,272 |  |  |  | 2,213,646 |
Insurance — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alliant Holdings I, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 5.00%, 12/20/19 |  |  |  |  |  |  | 584 |  |  |  | 582,346 |
Term Loan B1, 5.00%, 12/20/19 |  |  |  |  |  |  | 138 |  |  |  | 137,625 |
CNO Financial Group, Inc., Term Loan B2, 3.75%, 9/28/18 |  |  |  |  |  |  | 1,301 |  |  |  | 1,293,786 |
Cooper Gay Swett & Crawford of Delaware Holding Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 5.00%, 4/16/20 |  |  |  |  |  |  | 1,044 |  |  |  | 960,572 |
2nd Lien Term Loan C, 8.25%, 10/16/20 |  |  |  |  |  |  | 500 |  |  |  | 430,835 |
Sedgwick Claims Management Services, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.75%, 3/01/21 |  |  |  |  |  |  | 1,097 |  |  |  | 1,080,810 |
2nd Lien Term Loan, 6.75%, 2/28/22 |  |  |  |  |  |  | 665 |  |  |  | 650,038 |
|  |  |  |  |  |  |  |  |  |  | 5,136,012 |
Internet Software & Services — 0.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21 |  |  |  |  |  |  | 1,169 |  |  |  | 1,161,372 |
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21 |  |  |  |  |  |  | 801 |  |  |  | 801,352 |
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21 |  |  |  |  |  |  | 1,443 |  |  |  | 1,446,357 |
|  |  |  |  |  |  |  |  |  |  | 3,409,081 |
IT Services — 1.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
First Data Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2018 Extended Term Loan, 3.67%, 3/24/18 |  |  |  |  |  |  | 7,087 |  |  |  | 7,074,294 |
2018 Term Loan, 3.67%, 9/24/18 |  |  |  |  |  |  | 1,640 |  |  |  | 1,638,458 |
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18 |  |  |  |  |  |  | 754 |  |  |  | 702,321 |
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19 |  |  |  |  |  |  | 275 |  |  |  | 244,050 |
SunGard Data Systems, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan C, 3.92%, 2/28/17 |  |  |  |  |  |  | 705 |  |  |  | 704,337 |
Term Loan E, 4.00%, 3/08/20 |  |  |  |  |  |  | 379 |  |  |  | 379,068 |
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21 |  |  |  |  |  |  | 810 |  |  |  | 810,046 |
|  |  |  |  |  |  |  |  |  |  | 11,552,574 |
Leisure Products — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21 |  |  |  |  |  |  | 422 |  |  |  | 419,612 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 39

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

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Machinery — 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alliance Laundry Systems LLC, Refinancing Term Loan, 4.25%, 12/10/18 |  |  |  | USD |  |  | 1,025 |  |  | $ | 1,020,887 |
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18 |  |  |  |  |  |  | 536 |  |  |  | 528,160 |
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21 |  |  |  |  |  |  | 305 |  |  |  | 305,278 |
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20 |  |  |  |  |  |  | 1,310 |  |  |  | 1,305,606 |
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 |  |  |  |  |  |  | 820 |  |  |  | 815,558 |
|  |  |  |  |  |  |  |  |  |  | 3,975,489 |
Media — 4.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20 |  |  |  |  |  |  | 961 |  |  |  | 963,238 |
Cengage Learning Acquisitions, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 7.00%, 3/31/20 |  |  |  |  |  |  | 3,454 |  |  |  | 3,453,236 |
Term Loan, 0.00%, 7/03/15 (a)(j) |  |  |  |  |  |  | 2,005 |  |  |  | — |
Charter Communications Operating LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan E, 3.00%, 7/01/20 |  |  |  |  |  |  | 1,167 |  |  |  | 1,162,848 |
Term Loan G, 4.25%, 9/12/21 |  |  |  |  |  |  | 640 |  |  |  | 644,794 |
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19 |  |  |  |  |  |  | 2,563 |  |  |  | 2,451,256 |
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20 |  |  |  |  |  |  | 1,281 |  |  |  | 1,272,134 |
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20 |  |  |  |  |  |  | 882 |  |  |  | 877,943 |
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19 |  |  |  |  |  |  | 2,514 |  |  |  | 2,494,187 |
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20 |  |  |  |  |  |  | 1,163 |  |  |  | 1,165,900 |
Numericable U.S. LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 4.50%, 5/21/20 |  |  |  |  |  |  | 1,106 |  |  |  | 1,107,199 |
Term Loan B2, 4.50%, 5/21/20 |  |  |  |  |  |  | 957 |  |  |  | 957,879 |
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20 |  |  |  |  |  |  | 945 |  |  |  | 937,426 |
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20 |  |  |  |  |  |  | 1,083 |  |  |  | 1,082,129 |
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 |  |  |  |  |  |  | 2,411 |  |  |  | 2,404,784 |
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21 |  |  |  | EUR |  |  | 442 |  |  |  | 493,653 |
Virgin Media Investment Holdings Ltd.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B, 3.50%, 6/07/20 |  |  |  | USD |  |  | 410 |  |  |  | 408,737 |
Term Loan E, 4.25%, 6/30/23 |  |  |  | GBP |  |  | 790 |  |  |  | 1,219,008 |
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 (d) |  |  |  | USD |  |  | 1,516 |  |  |  | 1,516,230 |
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21 |  |  |  |  |  |  | 107 |  |  |  | 106,739 |
Ziggo Financing Partnership: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B1, 3.50%, 1/15/22 |  |  |  |  |  |  | 489 |  |  |  | 483,925 |
Term Loan B2A, 3.50%, 1/15/22 |  |  |  |  |  |  | 333 |  |  |  | 330,083 |
Term Loan B3, 3.50%, 1/15/22 |  |  |  |  |  |  | 548 |  |  |  | 542,868 |
|  |  |  |  |  |  |  |  |  |  | 26,076,196 |
Metals & Mining — 0.6% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20 |  |  |  |  |  |  | 255 |  |  |  | 235,875 |
Novelis, Inc., Term Loan, 3.75%, 3/10/17 |  |  |  |  |  |  | 1,991 |  |  |  | 1,987,444 |
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17 |  |  |  |  |  |  | 1,463 |  |  |  | 1,462,515 |
|  |  |  |  |  |  |  |  |  |  | 3,685,834 |
Multiline Retail — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
BJ’s Wholesale Club, Inc. (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 9/26/19 |  |  |  |  |  |  | 583 |  |  |  | 580,476 |
2nd Lien Term Loan, 8.50%, 3/26/20 |  |  |  |  |  |  | 575 |  |  |  | 569,969 |
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22 (d) |  |  |  |  |  |  | 2,410 |  |  |  | 2,427,473 |
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20 |  |  |  |  |  |  | 1,634 |  |  |  | 1,620,053 |
|  |  |  |  |  |  |  |  |  |  | 5,197,971 |

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Oil, Gas & Consumable Fuels — 2.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18 |  |  |  | USD |  |  | 1,491 |  |  | $ | 1,192,064 |
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20 |  |  |  |  |  |  | 1,335 |  |  |  | 1,327,217 |
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21 |  |  |  |  |  |  | 1,925 |  |  |  | 1,500,626 |
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18 |  |  |  |  |  |  | 1,127 |  |  |  | 1,086,298 |
Fieldwood Energy LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 3.88%, 9/28/18 |  |  |  |  |  |  | 464 |  |  |  | 443,474 |
2nd Lien Term Loan, 8.38%, 9/30/20 |  |  |  |  |  |  | 420 |  |  |  | 321,002 |
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 |  |  |  |  |  |  | 540 |  |  |  | 534,859 |
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19 |  |  |  |  |  |  | 112 |  |  |  | 67,995 |
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20 |  |  |  |  |  |  | 1,645 |  |  |  | 1,661,450 |
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19 |  |  |  |  |  |  | 900 |  |  |  | 882,000 |
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20 |  |  |  |  |  |  | 275 |  |  |  | 265,375 |
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21 |  |  |  |  |  |  | 1,005 |  |  |  | 954,750 |
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21 |  |  |  |  |  |  | 105 |  |  |  | 94,530 |
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21 |  |  |  |  |  |  | 458 |  |  |  | 445,113 |
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21 |  |  |  |  |  |  | 368 |  |  |  | 343,760 |
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/25/22 (d) |  |  |  |  |  |  | 1,935 |  |  |  | 1,925,325 |
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21 |  |  |  |  |  |  | 297 |  |  |  | 294,773 |
|  |  |  |  |  |  |  |  |  |  | 13,340,611 |
Pharmaceuticals — 1.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Akorn, Inc., Term Loan B, 4.50%, 4/16/21 |  |  |  |  |  |  | 1,292 |  |  |  | 1,295,535 |
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21 |  |  |  |  |  |  | 849 |  |  |  | 846,466 |
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21 |  |  |  |  |  |  | 2,089 |  |  |  | 2,083,822 |
Mallinckrodt International Finance SA, Term Loan B, 3.25%, 3/19/21 |  |  |  |  |  |  | 789 |  |  |  | 784,303 |
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19 |  |  |  |  |  |  | 1,642 |  |  |  | 1,631,047 |
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18 |  |  |  |  |  |  | 1,385 |  |  |  | 1,382,149 |
Valeant Pharmaceuticals International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series C2 Term Loan B, 3.50%, 12/11/19 |  |  |  |  |  |  | 478 |  |  |  | 476,370 |
Series E Term Loan B, 3.50%, 8/05/20 |  |  |  |  |  |  | 721 |  |  |  | 718,656 |
|  |  |  |  |  |  |  |  |  |  | 9,218,348 |
Professional Services — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Advantage Sales & Marketing, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2014 1st Lien Term Loan, 4.25%, 7/23/21 |  |  |  |  |  |  | 484 |  |  |  | 481,248 |
2014 2nd Lien Term Loan, 7.50%, 7/25/22 |  |  |  |  |  |  | 605 |  |  |  | 602,919 |
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20 |  |  |  |  |  |  | 420 |  |  |  | 415,096 |
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18 |  |  |  |  |  |  | 608 |  |  |  | 605,876 |
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22 |  |  |  |  |  |  | 850 |  |  |  | 844,331 |
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19 |  |  |  |  |  |  | 1,051 |  |  |  | 1,040,762 |
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19 |  |  |  |  |  |  | 1,160 |  |  |  | 1,145,901 |
|  |  |  |  |  |  |  |  |  |  | 5,136,133 |
Real Estate Management & Development — 0.7% |  |  |  |  |  |  |  |  |  |
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20 |  |  |  |  |  |  | 941 |  |  |  | 941,381 |
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21 |  |  |  |  |  |  | 1,145 |  |  |  | 1,147,022 |

See Notes to Financial Statements.

40 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Floating Rate Loan Interests (b) |  |  |  |  |  | Par (000) |  | Value
Real Estate Management & Development (concluded)
Realogy Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Extended Letter of Credit, 4.40%, 10/10/16 |  |  |  | USD |  |  | 47 |  |  | $ | 46,382 |
Term Loan B, 3.75%, 3/05/20 |  |  |  |  |  |  | 2,090 |  |  |  | 2,086,913 |
|  |  |  |  |  |  |  |  |  |  | 4,221,698 |
Road & Rail — 0.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Road Infrastructure Investment LLC: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.25%, 3/31/21 |  |  |  |  |  |  | 1,007 |  |  |  | 977,166 |
2nd Lien Term Loan, 7.75%, 9/21/21 |  |  |  |  |  |  | 675 |  |  |  | 600,750 |
|  |  |  |  |  |  |  |  |  |  | 1,577,916 |
Semiconductors & Semiconductor Equipment — 0.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21 (b) |  |  |  |  |  |  | 2,667 |  |  |  | 2,668,120 |
Freescale Semiconductor, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Term Loan B4, 4.25%, 2/28/20 |  |  |  |  |  |  | 716 |  |  |  | 714,166 |
Term Loan B5, 5.00%, 1/15/21 |  |  |  |  |  |  | 375 |  |  |  | 376,991 |
|  |  |  |  |  |  |  |  |  |  | 3,759,277 |
Software — 1.5% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20 |  |  |  |  |  |  | 458 |  |  |  | 449,437 |
GCA Services Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
2nd Lien Term Loan, 9.25%, 10/22/20 |  |  |  |  |  |  | 560 |  |  |  | 554,400 |
Term Loan B, 4.25%, 11/01/19 |  |  |  |  |  |  | 523 |  |  |  | 522,058 |
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20 |  |  |  |  |  |  | 1,105 |  |  |  | 1,094,572 |
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21 |  |  |  |  |  |  | 607 |  |  |  | 576,825 |
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20 |  |  |  |  |  |  | 233 |  |  |  | 233,431 |
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20 |  |  |  |  |  |  | 1,837 |  |  |  | 1,875,103 |
Mitchell International, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
1st Lien Term Loan, 4.50%, 10/12/20 |  |  |  |  |  |  | 629 |  |  |  | 624,331 |
2nd Lien Term Loan, 8.50%, 10/11/21 |  |  |  |  |  |  | 1,200 |  |  |  | 1,184,748 |
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21 |  |  |  |  |  |  | 843 |  |  |  | 820,573 |
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18 |  |  |  |  |  |  | 815 |  |  |  | 813,976 |
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20 |  |  |  |  |  |  | 150 |  |  |  | 149,391 |
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20 |  |  |  |  |  |  | 560 |  |  |  | 538,300 |
|  |  |  |  |  |  |  |  |  |  | 9,437,145 |
Specialty Retail — 1.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Academy Ltd., Term Loan, 4.50%, 8/03/18 |  |  |  |  |  |  | 1,449 |  |  |  | 1,446,675 |
Michaels Stores, Inc., Incremental 2014 Term Loan B2, 4.00%, 1/28/20 |  |  |  |  |  |  | 1,194 |  |  |  | 1,190,454 |
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19 |  |  |  |  |  |  | 2,425 |  |  |  | 2,408,886 |
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17 |  |  |  |  |  |  | 888 |  |  |  | 886,886 |
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22 (b)(d) |  |  |  |  |  |  | 2,085 |  |  |  | 2,098,969 |
|  |  |  |  |  |  |  |  |  |  | 8,031,870 |
Technology Hardware, Storage & Peripherals — 0.2%
Dell, Inc., Term Loan B, 4.50%, 4/29/20 (b) |  |  |  |  |  |  | 1,107 |  |  |  | 1,110,893 |
Textiles, Apparel & Luxury Goods — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 (b) |  |  |  |  |  |  | 1,240 |  |  |  | 1,047,747 |
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21 (b) |  |  |  |  |  |  | 1,033 |  |  |  | 972,753 |
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19 (b) |  |  |  |  |  |  | 780 |  |  |  | 781,247 |
|  |  |  |  |  |  |  |  |  |  | 2,801,747 |
Thrifts & Mortgage Finance — 0.1% |  |  |  |  |  |  |  |  |  |  |  |  |  |
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21 (b) |  |  |  |  |  |  | 853 |  |  |  | 848,337 |
Wireless Telecommunication Services — 0.2% |  |  |  |  |  |  |  |  |  |
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20 (b) |  |  |  |  |  |  | 1,527 |  |  |  | 1,511,482 |
Total Floating Rate Loan Interests — 42.9% |  |  |  |  |  |  |  |  |  |  | 278,366,635 |

Foreign Agency Obligations |  |  |  |  |  | Par (000) |  | Value
Cyprus Government International Bond, 4.63%, 2/03/20 (c) |  |  |  | EUR |  |  | 2,600 |  |  | $ | 2,829,518 |
Iceland Government International Bond: |  |  |  |  |  |  |  |  |  |  |  |  |  |
4.88%, 6/16/16 |  |  |  | USD |  |  | 580 |  |  |  | 605,680 |
5.88%, 5/11/22 |  |  |  |  |  |  | 3,030 |  |  |  | 3,458,827 |
Portugal Obrigacoes do Tesouro OT, 4.45%, 6/15/18 (c) |  |  |  | EUR |  |  | 2,350 |  |  |  | 2,955,544 |
Total Foreign Agency Obligations — 1.5% |  |  |  |  |  |  |  |  |  |  | 9,849,569 |
Non-Agency Mortgage-Backed Securities |  |
Collateralized Mortgage Obligations — 2.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 |  |  |  | USD |  |  | 4,904 |  |  |  | 4,450,210 |
Countrywide Home Loan Mortgage Pass-Through Trust: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2005-17, Class 1A6, 5.50%, 9/25/35 |  |  |  |  |  |  | 1,153 |  |  |  | 1,127,872 |
Series 2006-17, Class A2, 6.00%, 12/25/36 |  |  |  |  |  |  | 2,519 |  |  |  | 2,292,721 |
Series 2007-HY5, Class 3A1, 4.79%, 9/25/37 (b) |  |  |  |  |  |  | 1,706 |  |  |  | 1,568,040 |
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.59%, 10/25/35 (b) |  |  |  |  |  |  | 1,733 |  |  |  | 1,552,296 |
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c) |  |  |  |  |  |  | 4,162 |  |  |  | 4,238,169 |
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, REMIC, 0.40%, 2/26/37 (b)(c) |  |  |  |  |  |  | 406 |  |  |  | 404,982 |
|  |  |  |  |  |  |  |  |  |  | 15,634,290 |
Commercial Mortgage-Backed Securities — 9.4%
Banc of America Commercial Mortgage Trust, Series 2007-4, Class A4, 5.75%, 2/10/51 (b) |  |  |  |  |  |  | 1,656 |  |  |  | 1,799,943 |
COMM 2015-3BP Mortgage Trust, Series 2015-3BP, Class A, 3.18%, 2/10/35 (c) |  |  |  |  |  |  | 5,930 |  |  |  | 6,013,477 |
Commercial Mortgage Pass-Through Certificates (b)(c): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2013-LC13, Class D, 4.88%, 8/10/46 |  |  |  |  |  |  | 3,530 |  |  |  | 3,648,509 |
Series 2014-KYO, Class F, 3.67%, 6/11/27 |  |  |  |  |  |  | 1,855 |  |  |  | 1,847,393 |
Series 2014-PAT, Class E, 3.32%, 8/13/27 |  |  |  |  |  |  | 1,000 |  |  |  | 991,514 |
Series 2014-PAT, Class F, 2.61%, 8/13/27 |  |  |  |  |  |  | 2,000 |  |  |  | 1,894,594 |
Commercial Mortgage Trust, Series 2013-LC6: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Class B, 3.74%, 1/10/46 |  |  |  |  |  |  | 1,110 |  |  |  | 1,150,110 |
Class D, 4.29%, 1/10/46 (b)(c) |  |  |  |  |  |  | 1,330 |  |  |  | 1,287,344 |
Credit Suisse Commercial Mortgage Trust, Series 2006-C5, Class AM, 5.34%, 12/15/39 |  |  |  |  |  |  | 1,850 |  |  |  | 1,954,827 |
Credit Suisse Mortgage Capital Certificates (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2007-C2, Class A2, 5.45%, 1/15/49 |  |  |  |  |  |  | 5 |  |  |  | 4,985 |
Series 2007-C5, Class AAB, 5.62%, 9/15/40 |  |  |  |  |  |  | 930 |  |  |  | 971,416 |
Series 2014-SURF, Class E, 3.27%, 2/15/29 (c) |  |  |  |  |  |  | 1,000 |  |  |  | 998,733 |
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class DFX, 3.38%, 12/15/19 (c) |  |  |  |  |  |  | 4,830 |  |  |  | 4,720,605 |
Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class AM, 5.79%, 7/10/38 (b) |  |  |  |  |  |  | 1,610 |  |  |  | 1,689,169 |
GS Mortgage Securities Corp. II, Series 2013-GC10, Class B, 3.68%, 2/10/46 (c) |  |  |  |  |  |  | 1,995 |  |  |  | 2,052,268 |
GS Mortgage Securities Trust (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2006-GG6, Class AM, 5.55%, 4/10/38 |  |  |  |  |  |  | 3,680 |  |  |  | 3,801,514 |
Series 2014-GSFL, Class D, 4.07%, 7/15/31 (c) |  |  |  |  |  |  | 1,140 |  |  |  | 1,138,829 |
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class D, 5.08%, 11/15/45 (b)(c) |  |  |  |  |  |  | 1,400 |  |  |  | 1,422,215 |
JPMorgan Chase Commercial Mortgage Securities Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2004-LN2, Class A2, 5.12%, 7/15/41 |  |  |  |  |  |  | 155 |  |  |  | 155,242 |
Series 2007-CB18, Class A4, 5.44%, 6/12/47 |  |  |  |  |  |  | 2,027 |  |  |  | 2,145,903 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 41

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

Non-Agency Mortgage-Backed Securities |  |  |  |  |  | Par (000) |  | Value
Commercial Mortgage-Backed Securities (concluded)
JPMorgan Chase Commercial Mortgage Securities Corp. (concluded): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2007-CB19, Class A4, 5.70%, 2/12/49 (b) |  |  |  | USD |  |  | 2,140 |  |  | $ | 2,296,404 |
Series 2012-LC9, Class XA, 1.89%, 12/15/47 (b) |  |  |  |  |  |  | 14,479 |  |  |  | 1,324,636 |
LB-UBS Commercial Mortgage Trust (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2007-C2, Class AM, 5.49%, 2/15/40 |  |  |  |  |  |  | 2,500 |  |  |  | 2,641,837 |
Series 2007-C6, Class A4, 5.86%, 7/15/40 |  |  |  |  |  |  | 4,401 |  |  |  | 4,627,284 |
Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A, 5.82%, 6/12/50 (b) |  |  |  |  |  |  | 1,392 |  |  |  | 1,459,914 |
Talisman Finance PLC, Series 6, Class A, 0.25%, 10/22/16 (b) |  |  |  | EUR |  |  | 1,252 |  |  |  | 1,387,120 |
Titan Europe PLC, Series 2007-1X, Class A, 8.00%, 1/20/17 (b) |  |  |  | GBP |  |  | 1,338 |  |  |  | 1,694,468 |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, 5.94%, 2/15/51 (b) |  |  |  | USD |  |  | 2,019 |  |  |  | 2,152,973 |
WF-RBS Commercial Mortgage Trust: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series 2012-C8, Class B, 4.31%, 8/15/45 |  |  |  |  |  |  | 1,085 |  |  |  | 1,169,618 |
Series 2012-C8, Class C, 4.88%, 8/15/45 (b) |  |  |  |  |  |  | 1,395 |  |  |  | 1,520,722 |
Series 2014-C20, Class XA, 1.24%, 5/15/47 (b) |  |  |  |  |  |  | 14,861 |  |  |  | 1,108,369 |
|  |  |  |  |  |  |  |  |  |  | 61,071,935 |
Interest Only Commercial Mortgage-Backed Securities — 0.3%
WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA, 2.21%, 11/15/45 (b)(c) |  |  |  |  |  |  | 16,361 |  |  |  | 1,790,506 |
Scientific Instruments: Control & Filter — 0.3% |  |  |  |  |  |  |  |  |  |
GAHR Commercial Mortgage Trust 2015-NRF, Series 2015-NRF, Class GFX, 3.38%, 12/15/19 (c) |  |  |  |  |  |  | 2,500 |  |  |  | 2,216,520 |
Total Non-Agency Mortgage-Backed Securities — 12.4% |  |  |  |  |  | 80,713,251 |
U.S. Government Sponsored Agency Securities
Collateralized Mortgage Obligations — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Freddie Mac Mortgage-Backed Securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series K032, Class A2, 3.31%, 5/25/23 (b) |  |  |  |  |  |  | 3,500 |  |  |  | 3,731,262 |
Series 3986, Class M, REMIC, 4.50%, 9/15/41 |  |  |  |  |  |  | 2,206 |  |  |  | 2,419,005 |
|  |  |  |  |  |  |  |  |  |  | 6,150,267 |
Interest Only Collateralized Mortgage Obligations — 1.2%
Fannie Mae Mortgage-Backed Securities, Series 2012-M9, Class X1, 4.03%, 12/25/17 (b) |  |  |  |  |  |  | 18,874 |  |  |  | 1,668,295 |
Freddie Mac Mortgage-Backed Securities, Class X1 (b): |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series K042, 1.06%, 12/25/24 |  |  |  |  |  |  | 35,089 |  |  |  | 2,949,928 |
Series K707, 1.55%, 12/25/18 |  |  |  |  |  |  | 42,301 |  |  |  | 2,163,843 |
Series K710, 1.78%, 5/25/19 |  |  |  |  |  |  | 13,167 |  |  |  | 841,178 |
|  |  |  |  |  |  |  |  |  |  | 7,623,244 |
Mortgage-Backed Securities — 3.2% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fannie Mae Mortgage-Backed Securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
3.50%, 8/01/26 |  |  |  |  |  |  | 6,811 |  |  |  | 7,268,529 |
5.00%, 7/01/20–8/01/23 |  |  |  |  |  |  | 4,637 |  |  |  | 4,942,675 |
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 |  |  |  |  |  |  | 7,981 |  |  |  | 8,618,670 |
|  |  |  |  |  |  |  |  |  |  | 20,829,874 |
Total U.S. Government Sponsored Agency Securities — 5.3% |  | 34,603,385 |

Other Interests (k) |  |  |  |  |  | Beneficial Interest (000) |  | Value
Auto Components — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Lear Corp. Escrow |  |  |  | USD |  |  | 1,000 |  |  | $ | 8,750 |
Construction Materials — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
USI Senior Holdings |  |  |  |  |  |  | 6 |  |  |  | — |
Total Other Interests — 0.0% |  |  |  |  |  |  |  |  |  |  | 8,750 |
Preferred Securities |  |
Capital Trusts |  |  |  |  |  | Par (000) |  |
Banks — 2.7% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank of America Corp., Series V, 5.13% (b)(f)(i) |  |  |  |  |  |  | 3,470 |  |  |  | 3,417,950 |
Citigroup, Inc., 5.95% (b)(f)(i) |  |  |  |  |  |  | 1,370 |  |  |  | 1,387,125 |
JPMorgan Chase & Co., Series U, 6.13% (b)(f)(i) |  |  |  |  |  |  | 6,690 |  |  |  | 6,927,495 |
JPMorgan Chase & Co., Series V, 5.00% (b)(f)(i) |  |  |  |  |  |  | 3,000 |  |  |  | 2,951,250 |
Wells Fargo & Co., Series S, 5.90% (b)(f)(i) |  |  |  |  |  |  | 3,000 |  |  |  | 3,126,540 |
|  |  |  |  |  |  |  |  |  |  | 17,810,360 |
Capital Markets — 0.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Credit Suisse Group AG, 6.25% (b)(c)(f)(i) |  |  |  |  |  |  | 1,445 |  |  |  | 1,431,851 |
The Goldman Sachs Group, Inc., Series L, 5.70% (b)(f)(i) |  |  |  |  |  |  | 1,920 |  |  |  | 1,982,400 |
Morgan Stanley, Series H, 5.45% (b)(f)(i) |  |  |  |  |  |  | 1,426 |  |  |  | 1,459,154 |
|  |  |  |  |  |  |  |  |  |  | 4,873,405 |
Diversified Financial Services — 1.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
Bank of America Corp.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Series U, 5.20% (b)(f)(i) |  |  |  |  |  |  | 1,250 |  |  |  | 1,206,250 |
Citigroup, Inc., 5.90% (b)(f)(i) |  |  |  |  |  |  | 5,000 |  |  |  | 5,018,750 |
Macquarie Bank Ltd., 10.25%, 6/20/57 (b) |  |  |  |  |  |  | 1,450 |  |  |  | 1,621,245 |
Societe Generale SA, 6.00% (b)(c)(f)(i) |  |  |  |  |  |  | 4,825 |  |  |  | 4,584,329 |
|  |  |  |  |  |  |  |  |  |  | 12,430,574 |
Insurance — 2.8% |  |  |  |  |  |  |  |  |  |  |  |  |  |
The Allstate Corp., 6.13%, 5/15/67 (b)(f) |  |  |  |  |  |  | 3,000 |  |  |  | 3,180,000 |
AXA SA, 6.46% (b)(c)(f)(i) |  |  |  |  |  |  | 1,625 |  |  |  | 1,735,500 |
Hartford Financial Services Group, Inc., 8.13%, 6/15/68 (b)(f) |  |  |  |  |  |  | 2,500 |  |  |  | 2,850,000 |
Liberty Mutual Group, Inc.: |  |  |  |  |  |  |  |  |  |  |  |  |  |
7.00%, 3/07/67 (b)(c)(f) |  |  |  |  |  |  | 1,575 |  |  |  | 1,604,531 |
7.80%, 3/07/87 (c)(f) |  |  |  |  |  |  | 1,500 |  |  |  | 1,800,000 |
Swiss Re Capital I LP, 6.85% (b)(c)(f)(i) |  |  |  |  |  |  | 3,000 |  |  |  | 3,148,500 |
Voya Financial, Inc., 5.65%, 5/15/53 (b)(f) |  |  |  |  |  |  | 3,500 |  |  |  | 3,631,250 |
|  |  |  |  |  |  |  |  |  |  | 17,949,781 |
Total Capital Trusts — 8.2% |  |  |  |  |  |  |  |  |  |  | 53,064,120 |
Preferred Stocks |  |  |  |  |  |  | Shares |  |  |  |  |
Capital Markets — 0.9% |  |  |  |  |  |  |  |  |  |  |  |  |  |
The Goldman Sachs Group, Inc., Series J, 5.50% (b)(i) |  |  |  |  |  |  | 202,526 |  |  |  | 5,050,998 |
SCE Trust III, 5.75% (b)(i) |  |  |  |  |  |  | 21,200 |  |  |  | 593,600 |
|  |  |  |  |  |  |  |  |  |  | 5,644,598 |
Consumer Finance — 0.0% |  |  |  |  |  |  |  |  |  |  |  |
Ally Financial, Inc., Series A, 8.50% (b)(i) |  |  |  |  |  |  | 8,657 |  |  |  | 229,757 |
Diversified Financial Services — 0.5% |  |  |  |  |  |  |  |  |  |  |  |
Morgan Stanley, 6.88% (b) |  |  |  |  |  |  | 120,000 |  |  |  | 3,254,400 |
Diversified Telecommunication Services — 0.1%
Orange SA, 4.00% (b) |  |  |  |  |  |  | 200,000 |  |  |  | 243,600 |
Total Preferred Stocks — 1.5% |  |  |  |  |  |  |  |  |  |  | 9,372,355 |

See Notes to Financial Statements.

42 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

Trust Preferreds |  |  |  |  |  | Shares |  | Value
Diversified Financial Services — 0.4% |  |  |  |  |  |  |  |  |  |  |  |  |  |
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b) |  |  |  |  |  |  | 105,753 |  |  | $ | 2,743,203 |
Total Preferred Securities — 10.1% |  |  |  |  |  |  |  |  |  |  | 65,179,678 |
Warrants |  |
Software — 0.0% |  |  |  |  |  |  |  |  |  |  |  |  |  |
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27) |  |  |  |  |  |  | 3,100 |  |  |  | 16,542 |
Total Long-Term Investments (Cost — $919,176,254) — 141.6% |  |  |  |  |  |  |  |  |  |  | 919,340,000 |

Short-Term Securities |  |  |  |  |  | Shares |  | Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.05% (m)(n) |  |  |  |  |  |  | 1,278,380 |  |  | $ | 1,278,380 |
Total Short-Term Securities (Cost — $1,278,380) — 0.2% |  |  |  |  |  |  |  |  |  |  | 1,278,380 |
Options Purchased (Cost — $44,978) — 0.0% |  |  |  |  |  |  |  |  |  |  | — |
Total Investments (Cost — $920,499,612) — 141.8% |  |  |  |  |  | 920,618,380 |
Liabilities in Excess of Other Assets — (41.8)% |  |  |  |  |  |  |  |  |  |  | (271,050,354 | )
Net Assets — 100.0% |  |  |  |  |  |  |  |  |  | $ | 649,568,026 |

Notes to Schedule of Investments

(a) |  |  |  | Non-income producing security.
(b) |  |  |  | Variable rate security. Rate shown is as of report date.
(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) |  |  |  | When-issued security. Unsettled when-issued transactions were as follows:

Counterparty |  |  |  | Value |  | Unrealized Appreciation/ (Depreciation)
BNP Paribas Securities Corp. |  |  |  | $ | 963,700 |  |  |  | — |
Bank of America N.A. |  |  |  |  | 1,516,230 |  |  | $ | (6,063 | )
Barclays Bank PLC |  |  |  |  | 3,536,922 |  |  |  | (5,245 | )
Citigroup Global Markets, Inc. |  |  |  |  | 2,210,874 |  |  |  | 24,319 |
Credit Suisse Securities (USA) LLC |  |  |  |  | 292,175 |  |  |  | 3,625 |
Deutsche Bank AG |  |  |  |  | 1,318,861 |  |  |  | 6,469 |
J.P. Morgan Securities LLC |  |  |  |  | 482,394 |  |  |  | 394 |
Merrill Lynch International |  |  |  |  | 380,334 |  |  |  | 1,738 |
Morgan Stanley & Co. LLC |  |  |  |  | 3,420,973 |  |  |  | 2,410 |
RBC Capital Markets, LLC |  |  |  |  | 1,925,325 |  |  |  | 19,350 |

(e) |  |  |  | Zero-coupon bond.
(f) |  |  |  | All or a portion of security has been pledged as collateral in connection with outstanding reverse repurchase agreements.
(g) |  |  |  | Represents a payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.
(h) |  |  |  | Convertible security.
(i) |  |  |  | Security is perpetual in nature and has no stated maturity date.
(j) |  |  |  | Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(k) |  |  |  | Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(l) |  |  |  | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any.
(m) |  |  |  | During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate |  |  |  | Shares Held at August 31, 2014 |  | Net Activity |  | Shares Held at February 28, 2015 |  | Income
BlackRock Liquidity Funds, TempFund, Institutional Class |  |  |  |  | 7,390,390 |  |  |  | (6,112,010 | ) |  |  | 1,278,380 |  |  | $ | 1,302 |

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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 43

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

• |  |  |  | As of February 28, 2015, reverse repurchase agreements outstanding were as follows:

Counterparty |  |  |  | Interest Rate |  | Trade Date |  | Maturity Date1 |  | Face Value |  | Face Value Including Accrued Interest
Barclays Capital, Inc. |  |  |  | 0.35% |  | 2/28/14 |  | Open |  | $ | 3,109,000 |  |  | $ | 3,120,063 |
Barclays Capital, Inc. |  |  |  | 0.35% |  | 2/28/14 |  | Open |  |  | 3,202,000 |  |  |  | 3,213,394 |
HSBC Securities (USA), Inc. |  |  |  | 0.38% |  | 3/10/14 |  | Open |  |  | 6,339,571 |  |  |  | 6,363,394 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 4/16/14 |  | Open |  |  | 500,000 |  |  |  | 502,658 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 4/17/14 |  | Open |  |  | 611,000 |  |  |  | 614,238 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 4/17/14 |  | Open |  |  | 1,633,000 |  |  |  | 1,641,655 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 4/17/14 |  | Open |  |  | 278,000 |  |  |  | 279,473 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 4/17/14 |  | Open |  |  | 960,000 |  |  |  | 965,088 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 4/17/14 |  | Open |  |  | 502,000 |  |  |  | 504,661 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 4/17/14 |  | Open |  |  | 1,244,000 |  |  |  | 1,249,743 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 5/9/14 |  | Open |  |  | 1,125,643 |  |  |  | 1,130,734 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 5/13/14 |  | Open |  |  | 933,000 |  |  |  | 937,541 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 5/13/14 |  | Open |  |  | 1,049,000 |  |  |  | 1,054,105 |
UBS Securities LLC |  |  |  | 0.35% |  | 5/13/14 |  | Open |  |  | 1,693,000 |  |  |  | 1,697,806 |
UBS Securities LLC |  |  |  | 0.45% |  | 5/13/14 |  | Open |  |  | 811,000 |  |  |  | 813,960 |
UBS Securities LLC |  |  |  | (0.50)% |  | 5/13/14 |  | Open |  |  | 980,000 |  |  |  | 976,026 |
UBS Securities LLC |  |  |  | 0.55% |  | 5/13/14 |  | Open |  |  | 2,326,000 |  |  |  | 2,336,377 |
UBS Securities LLC |  |  |  | 0.55% |  | 5/13/14 |  | Open |  |  | 788,000 |  |  |  | 791,515 |
Barclays Capital, Inc. |  |  |  | 0.40% |  | 5/14/14 |  | Open |  |  | 3,311,000 |  |  |  | 3,321,706 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 5/27/14 |  | Open |  |  | 700,000 |  |  |  | 703,243 |
Barclays Capital, Inc. |  |  |  | (1.75)% |  | 6/25/14 |  | Open |  |  | 518,870 |  |  |  | 512,590 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 7/2/14 |  | Open |  |  | 1,288,000 |  |  |  | 1,293,195 |
UBS Securities LLC |  |  |  | 0.65% |  | 7/11/14 |  | Open |  |  | 411,750 |  |  |  | 413,482 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 7/15/14 |  | Open |  |  | 1,208,000 |  |  |  | 1,212,611 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 7/23/14 |  | Open |  |  | 2,410,417 |  |  |  | 2,418,555 |
BNP Paribas Securities Corp. |  |  |  | 0.59% |  | 8/12/14 |  | Open |  |  | 855,000 |  |  |  | 857,817 |
BNP Paribas Securities Corp. |  |  |  | 0.59% |  | 8/12/14 |  | Open |  |  | 643,000 |  |  |  | 645,118 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 1,227,506 |  |  |  | 1,230,619 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 3,164,425 |  |  |  | 3,172,450 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 3,386,250 |  |  |  | 3,394,838 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 2,793,750 |  |  |  | 2,800,835 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 2,269,975 |  |  |  | 2,275,732 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 3,108,750 |  |  |  | 3,116,634 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 2,991,199 |  |  |  | 2,998,785 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/16/14 |  | Open |  |  | 2,378,880 |  |  |  | 2,384,913 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 9/16/14 |  | Open |  |  | 2,669,040 |  |  |  | 2,676,424 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 1,242,000 |  |  |  | 1,245,415 |
Barclays Capital, Inc. |  |  |  | 0.44% |  | 9/17/14 |  | Open |  |  | 1,061,000 |  |  |  | 1,063,140 |
Barclays Capital, Inc. |  |  |  | 0.55% |  | 9/17/14 |  | Open |  |  | 1,278,000 |  |  |  | 1,281,222 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 1,239,000 |  |  |  | 1,242,407 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 489,000 |  |  |  | 490,345 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 942,000 |  |  |  | 944,590 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 869,000 |  |  |  | 871,390 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 1,175,000 |  |  |  | 1,178,231 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 941,000 |  |  |  | 943,588 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 657,000 |  |  |  | 658,807 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 833,000 |  |  |  | 835,291 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 658,000 |  |  |  | 659,810 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 877,000 |  |  |  | 879,412 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 716,000 |  |  |  | 717,969 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 9/17/14 |  | Open |  |  | 629,000 |  |  |  | 630,730 |
RBC Capital Markets LLC |  |  |  | 0.65% |  | 9/18/14 |  | Open |  |  | 620,940 |  |  |  | 622,779 |
RBC Capital Markets LLC |  |  |  | 0.34% |  | 9/19/14 |  | Open |  |  | 598,400 |  |  |  | 599,321 |
RBC Capital Markets LLC |  |  |  | 0.34% |  | 9/19/14 |  | Open |  |  | 967,725 |  |  |  | 969,215 |
RBC Capital Markets LLC |  |  |  | 0.34% |  | 9/19/14 |  | Open |  |  | 349,800 |  |  |  | 350,836 |
RBC Capital Markets LLC |  |  |  | 0.65% |  | 9/19/14 |  | Open |  |  | 693,000 |  |  |  | 695,040 |
RBC Capital Markets LLC |  |  |  | 0.65% |  | 9/19/14 |  | Open |  |  | 576,850 |  |  |  | 578,548 |
RBC Capital Markets LLC |  |  |  | 0.65% |  | 9/19/14 |  | Open |  |  | 548,250 |  |  |  | 549,864 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/22/14 |  | Open |  |  | 1,873,585 |  |  |  | 1,878,165 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/22/14 |  | Open |  |  | 1,447,800 |  |  |  | 1,451,339 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/22/14 |  | Open |  |  | 834,063 |  |  |  | 836,101 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/22/14 |  | Open |  |  | 905,450 |  |  |  | 907,663 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/22/14 |  | Open |  |  | 796,800 |  |  |  | 798,748 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 9/22/14 |  | Open |  |  | 820,124 |  |  |  | 822,128 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 9/22/14 |  | Open |  |  | 1,019,323 |  |  |  | 1,022,041 |

See Notes to Financial Statements.

44 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty |  |  |  | Interest Rate |  | Trade Date |  | Maturity Date1 |  | Face Value |  | Face Value Including Accrued Interest
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 9/22/14 |  | Open |  | $ | 908,040 |  |  | $ | 910,461 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 9/22/14 |  | Open |  |  | 891,053 |  |  |  | 893,429 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 9/22/14 |  | Open |  |  | 935,588 |  |  |  | 938,082 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 9/22/14 |  | Open |  |  | 856,069 |  |  |  | 858,352 |
HSBC Securities (USA), Inc. |  |  |  | 0.65% |  | 9/22/14 |  | Open |  |  | 833,565 |  |  |  | 835,973 |
UBS Securities LLC |  |  |  | 0.48% |  | 9/22/14 |  | Open |  |  | 2,610,000 |  |  |  | 2,615,568 |
UBS Securities LLC |  |  |  | 0.50% |  | 9/22/14 |  | Open |  |  | 4,400,000 |  |  |  | 4,409,778 |
UBS Securities LLC |  |  |  | 0.50% |  | 9/22/14 |  | Open |  |  | 3,027,575 |  |  |  | 3,034,303 |
UBS Securities LLC |  |  |  | 0.50% |  | 9/22/14 |  | Open |  |  | 4,071,094 |  |  |  | 4,080,141 |
Deutsche Bank Securities, Inc. |  |  |  | 0.50% |  | 10/2/14 |  | Open |  |  | 1,437,000 |  |  |  | 1,439,994 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 10/2/14 |  | Open |  |  | 1,284,000 |  |  |  | 1,287,210 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 10/2/14 |  | Open |  |  | 739,000 |  |  |  | 740,848 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 10/2/14 |  | Open |  |  | 1,316,000 |  |  |  | 1,319,290 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 10/2/14 |  | Open |  |  | 729,000 |  |  |  | 730,823 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 10/2/14 |  | Open |  |  | 1,176,000 |  |  |  | 1,178,940 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 10/2/14 |  | Open |  |  | 1,019,000 |  |  |  | 1,021,547 |
Deutsche Bank Securities, Inc. |  |  |  | 0.59% |  | 10/30/14 |  | Open |  |  | 617,865 |  |  |  | 619,121 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 11/5/14 |  | Open |  |  | 1,598,000 |  |  |  | 1,601,089 |
BNP Paribas Securities Corp. |  |  |  | 0.34% |  | 11/7/14 |  | Open |  |  | 7,278,000 |  |  |  | 7,285,836 |
RBC Capital Markets LLC |  |  |  | 0.65% |  | 11/17/14 |  | Open |  |  | 445,950 |  |  |  | 446,787 |
HSBC Securities (USA), Inc. |  |  |  | 0.35% |  | 11/25/14 |  | Open |  |  | 1,557,268 |  |  |  | 1,558,721 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 11/25/14 |  | Open |  |  | 512,775 |  |  |  | 513,527 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 11/25/14 |  | Open |  |  | 516,313 |  |  |  | 517,070 |
HSBC Securities (USA), Inc. |  |  |  | 0.35% |  | 11/28/14 |  | Open |  |  | 603,000 |  |  |  | 603,545 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 12/3/14 |  | Open |  |  | 349,594 |  |  |  | 350,064 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 12/3/14 |  | Open |  |  | 501,830 |  |  |  | 502,505 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 12/3/14 |  | Open |  |  | 587,813 |  |  |  | 588,603 |
RBC Capital Markets LLC |  |  |  | 0.34% |  | 12/3/14 |  | Open |  |  | 305,020 |  |  |  | 305,274 |
RBC Capital Markets LLC |  |  |  | 0.34% |  | 12/3/14 |  | Open |  |  | 315,180 |  |  |  | 315,442 |
RBC Capital Markets LLC |  |  |  | 0.45% |  | 12/3/14 |  | Open |  |  | 330,225 |  |  |  | 330,588 |
BNP Paribas Securities Corp. |  |  |  | 0.64% |  | 12/4/14 |  | Open |  |  | 564,000 |  |  |  | 564,872 |
BNP Paribas Securities Corp. |  |  |  | 0.64% |  | 12/4/14 |  | Open |  |  | 595,000 |  |  |  | 595,920 |
BNP Paribas Securities Corp. |  |  |  | 0.64% |  | 12/4/14 |  | Open |  |  | 745,000 |  |  |  | 746,152 |
RBC Capital Markets LLC |  |  |  | 0.65% |  | 12/4/14 |  | Open |  |  | 1,509,450 |  |  |  | 1,511,821 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 1,878,000 |  |  |  | 1,880,353 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 2,160,000 |  |  |  | 2,162,706 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 2,025,000 |  |  |  | 2,027,537 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 1,800,000 |  |  |  | 1,802,255 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 2,035,000 |  |  |  | 2,037,549 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 1,700,000 |  |  |  | 1,702,130 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 1,580,000 |  |  |  | 1,581,979 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/9/14 |  | Open |  |  | 1,865,000 |  |  |  | 1,867,336 |
HSBC Securities (USA), Inc. |  |  |  | 0.65% |  | 12/10/14 |  | Open |  |  | 678,902 |  |  |  | 679,895 |
HSBC Securities (USA), Inc. |  |  |  | 0.65% |  | 12/15/14 |  | Open |  |  | 1,652,400 |  |  |  | 1,654,667 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 295,000 |  |  |  | 295,364 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,344,000 |  |  |  | 1,345,658 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,211,000 |  |  |  | 1,212,494 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 799,000 |  |  |  | 799,985 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 787,000 |  |  |  | 787,971 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,273,000 |  |  |  | 1,274,570 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,416,000 |  |  |  | 1,417,746 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 729,000 |  |  |  | 729,899 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,025,000 |  |  |  | 1,026,264 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 702,000 |  |  |  | 702,866 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 395,000 |  |  |  | 395,487 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 611,000 |  |  |  | 611,754 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,968,000 |  |  |  | 1,970,427 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 693,000 |  |  |  | 693,855 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 694,000 |  |  |  | 694,856 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 768,000 |  |  |  | 768,947 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 819,000 |  |  |  | 820,010 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,211,000 |  |  |  | 1,212,494 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 763,000 |  |  |  | 763,941 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 649,000 |  |  |  | 649,800 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 344,000 |  |  |  | 344,424 |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 45

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

|  |  |  | As of February 28, 2015, reverse repurchase agreements outstanding were as follows (continued):

Counterparty |  |  |  | Interest Rate |  | Trade Date |  | Maturity Date1 |  | Face Value |  | Face Value Including Accrued Interest
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  | $ | 1,181,000 |  |  | $ | 1,182,457 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 193,000 |  |  |  | 193,238 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,503,000 |  |  |  | 1,504,854 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 401,000 |  |  |  | 401,495 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,000,000 |  |  |  | 1,001,233 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 947,000 |  |  |  | 948,168 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 391,000 |  |  |  | 391,482 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 456,000 |  |  |  | 456,562 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,021,000 |  |  |  | 1,022,259 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 913,000 |  |  |  | 914,126 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,474,000 |  |  |  | 1,475,818 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,025,000 |  |  |  | 1,026,264 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 138,000 |  |  |  | 138,170 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 574,000 |  |  |  | 574,708 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,582,000 |  |  |  | 1,583,951 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,291,000 |  |  |  | 1,292,592 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 384,000 |  |  |  | 384,474 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,173,000 |  |  |  | 1,174,447 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 397,000 |  |  |  | 397,490 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 521,000 |  |  |  | 521,643 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 79,000 |  |  |  | 79,097 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 819,000 |  |  |  | 820,010 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 868,000 |  |  |  | 869,071 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,093,000 |  |  |  | 1,094,348 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 797,000 |  |  |  | 797,983 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 967,000 |  |  |  | 968,193 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 993,000 |  |  |  | 994,225 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 721,000 |  |  |  | 721,889 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 465,000 |  |  |  | 465,574 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,346,000 |  |  |  | 1,347,660 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,479,000 |  |  |  | 1,480,824 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 473,000 |  |  |  | 473,583 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 450,000 |  |  |  | 450,555 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,549,000 |  |  |  | 1,550,910 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 122,000 |  |  |  | 122,150 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 828,000 |  |  |  | 829,021 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 488,000 |  |  |  | 488,602 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 944,000 |  |  |  | 945,164 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 765,000 |  |  |  | 765,944 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 541,000 |  |  |  | 541,667 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 713,000 |  |  |  | 713,879 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 569,000 |  |  |  | 569,702 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/17/14 |  | Open |  |  | 1,483,000 |  |  |  | 1,484,829 |
Barclays Capital, Inc. |  |  |  | 0.60% |  | 12/18/14 |  | Open |  |  | 370,000 |  |  |  | 370,450 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/18/14 |  | Open |  |  | 462,000 |  |  |  | 462,562 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 12/18/14 |  | Open |  |  | 760,000 |  |  |  | 760,925 |
UBS Securities LLC |  |  |  | 0.40% |  | 12/18/14 |  | Open |  |  | 2,857,500 |  |  |  | 2,859,818 |
UBS Securities LLC |  |  |  | 0.50% |  | 12/18/14 |  | Open |  |  | 1,234,955 |  |  |  | 1,236,207 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/18/14 |  | Open |  |  | 419,738 |  |  |  | 420,206 |
UBS Securities LLC |  |  |  | 0.55% |  | 12/18/14 |  | Open |  |  | 600,838 |  |  |  | 601,508 |
Credit Suisse Securities (USA) LLC |  |  |  | 0.50% |  | 12/19/14 |  | Open |  |  | 5,929,000 |  |  |  | 5,933,743 |
Credit Suisse Securities (USA) LLC |  |  |  | 0.50% |  | 12/19/14 |  | Open |  |  | 3,025,000 |  |  |  | 3,027,420 |
Credit Suisse Securities (USA) LLC |  |  |  | 0.50% |  | 12/19/14 |  | Open |  |  | 1,199,000 |  |  |  | 1,199,959 |
Credit Suisse Securities (USA) LLC |  |  |  | 0.50% |  | 12/19/14 |  | Open |  |  | 1,426,000 |  |  |  | 1,427,426 |
UBS Securities LLC |  |  |  | 0.60% |  | 12/19/14 |  | Open |  |  | 979,200 |  |  |  | 980,375 |
UBS Securities LLC |  |  |  | 0.60% |  | 12/19/14 |  | Open |  |  | 1,036,925 |  |  |  | 1,038,169 |
UBS Securities LLC |  |  |  | 0.60% |  | 12/19/14 |  | Open |  |  | 1,050,975 |  |  |  | 1,052,236 |
UBS Securities LLC |  |  |  | 0.60% |  | 12/19/14 |  | Open |  |  | 845,813 |  |  |  | 846,827 |
UBS Securities LLC |  |  |  | 0.65% |  | 12/19/14 |  | Open |  |  | 855,221 |  |  |  | 856,333 |
UBS Securities LLC |  |  |  | 0.65% |  | 12/19/14 |  | Open |  |  | 1,031,835 |  |  |  | 1,033,176 |
UBS Securities LLC |  |  |  | 0.65% |  | 12/19/14 |  | Open |  |  | 1,676,111 |  |  |  | 1,678,290 |
Credit Suisse Securities (USA) LLC |  |  |  | 0.50% |  | 12/19/14 |  | Open |  |  | 1,309,000 |  |  |  | 1,310,309 |

See Notes to Financial Statements.

46 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | As of February 28, 2015, reverse repurchase agreements outstanding were as follows (concluded):

Counterparty |  |  |  | Interest Rate |  | Trade Date |  | Maturity Date1 |  | Face Value |  | Face Value Including Accrued Interest
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 1/6/15 |  | Open |  | $ | 427,000 |  |  | $ | 427,384 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 1/13/15 |  | Open |  |  | 1,523,000 |  |  |  | 1,524,193 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 1/15/15 |  | Open |  |  | 1,171,000 |  |  |  | 1,171,878 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 1/26/15 |  | Open |  |  | 354,848 |  |  |  | 355,049 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 2/4/15 |  | Open |  |  | 495,000 |  |  |  | 495,206 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 2/4/15 |  | Open |  |  | 1,260,850 |  |  |  | 1,261,375 |
UBS Securities LLC |  |  |  | 0.55% |  | 2/6/15 |  | Open |  |  | 959,669 |  |  |  | 960,006 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 2/11/15 |  | Open |  |  | 642,000 |  |  |  | 642,193 |
Morgan Stanley & Co. LLC |  |  |  | 0.22% |  | 2/18/15 |  | 3/18/15 |  |  | 20,134,000 |  |  |  | 20,134,639 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 560,057 |  |  |  | 560,108 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 701,000 |  |  |  | 701,064 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 680,432 |  |  |  | 680,494 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 168,558 |  |  |  | 168,574 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 342,791 |  |  |  | 342,822 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 161,738 |  |  |  | 161,753 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/23/15 |  | Open |  |  | 214,500 |  |  |  | 214,520 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 1,864,800 |  |  |  | 1,864,914 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 1,633,631 |  |  |  | 1,633,731 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 955,966 |  |  |  | 956,025 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 852,840 |  |  |  | 852,892 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 740,631 |  |  |  | 740,677 |
HSBC Securities (USA), Inc. |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 790,935 |  |  |  | 790,983 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 2/25/15 |  | Open |  |  | 832,050 |  |  |  | 832,105 |
HSBC Securities (USA), Inc. |  |  |  | 0.60% |  | 2/25/15 |  | Open |  |  | 721,000 |  |  |  | 721,048 |
HSBC Securities (USA), Inc. |  |  |  | 0.65% |  | 2/25/15 |  | Open |  |  | 986,790 |  |  |  | 986,861 |
HSBC Securities (USA), Inc. |  |  |  | 0.65% |  | 2/25/15 |  | Open |  |  | 856,163 |  |  |  | 856,224 |
RBC Capital Markets LLC |  |  |  | (1.00)% |  | 2/25/15 |  | Open |  |  | 328,440 |  |  |  | 328,404 |
UBS Securities LLC |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 655,785 |  |  |  | 655,825 |
UBS Securities LLC |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 712,215 |  |  |  | 712,259 |
UBS Securities LLC |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 742,646 |  |  |  | 742,692 |
UBS Securities LLC |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 669,818 |  |  |  | 669,858 |
UBS Securities LLC |  |  |  | 0.55% |  | 2/25/15 |  | Open |  |  | 670,766 |  |  |  | 670,807 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 2/26/15 |  | Open |  |  | 1,121,000 |  |  |  | 1,121,056 |
RBC Capital Markets LLC |  |  |  | (2.00)% |  | 2/26/15 |  | Open |  |  | 326,525 |  |  |  | 326,471 |
Deutsche Bank Securities, Inc. |  |  |  | 0.60% |  | 2/27/15 |  | Open |  |  | 687,206 |  |  |  | 687,234 |
Total |  |  |  |  |  |  |  |  |  | $ | 278,245,466 |  |  | $ | 278,720,582 |

| 1 | Certain agreements have no stated maturity and can be terminated by either party at any time.

• |  |  |  | As of February 28, 2015, financial futures contracts outstanding were as follows:

Contracts Long/Short |  |  |  | Issue |  | Exchange |  | Expiration |  | Notional Value |  | Unrealized Appreciation (Depreciation) |
(62) |  |  |  | 5-Year U.S. Treasury Note |  | Chicago Board of Trade |  | June 2015 |  |  | USD |  |  |  | 7,395,438 |  |  | $ | (8,161 | )
(137) |  |  |  | 10-Year U.S. Treasury Note |  | Chicago Board of Trade |  | June 2015 |  |  | USD |  |  |  | 17,508,172 |  |  |  | (29,043 | )
(116) |  |  |  | Long U.S. Treasury Bond |  | Chicago Board of Trade |  | June 2015 |  |  | USD |  |  |  | 18,773,875 |  |  |  | (102,021 | )
82 |  |  |  | Ultra Long U.S. Treasury Bond |  | Chicago Board of Trade |  | June 2015 |  |  | USD |  |  |  | 13,799,063 |  |  |  | 117,889 |
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (21,336 | )

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 47

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

• |  |  |  | As of February 28, 2015, forward foreign currency contracts outstanding were as follows:

Currency Purchased | Currency Sold | Counterparty |  | Settlement Date |  |  | Unrealized Appreciation (Depreciation) |
EUR |  |  |  |  | 170,000 |  |  | USD |  |  | 192,475 |  |  | State Street Bank and Trust Co. |  | 4/21/15 |  | $ | (2,128 | )
GBP |  |  |  |  | 208,000 |  |  | USD |  |  | 318,638 |  |  | Citibank N.A. |  | 4/21/15 |  |  | 2,375 |
GBP |  |  |  |  | 1,258,000 |  |  | USD |  |  | 1,908,756 |  |  | Toronto Dominion Bank |  | 4/21/15 |  |  | 32,754 |
USD |  |  |  |  | 1,262,870 |  |  | CAD |  |  | 1,511,000 |  |  | UBS AG |  | 4/21/15 |  |  | 55,022 |
USD |  |  |  |  | 115,941 |  |  | EUR |  |  | 101,000 |  |  | Bank of America N.A. |  | 4/21/15 |  |  | 2,852 |
USD |  |  |  |  | 478,274 |  |  | EUR |  |  | 419,000 |  |  | Bank of America N.A. |  | 4/21/15 |  |  | 9,123 |
USD |  |  |  |  | 108,684 |  |  | EUR |  |  | 97,000 |  |  | Bank of America N.A. |  | 4/21/15 |  |  | 74 |
USD |  |  |  |  | 21,343,230 |  |  | EUR |  |  | 18,495,000 |  |  | Citibank N.A. |  | 4/21/15 |  |  | 634,520 |
USD |  |  |  |  | 171,470 |  |  | EUR |  |  | 151,000 |  |  | Goldman Sachs & Co. |  | 4/21/15 |  |  | 2,396 |
USD |  |  |  |  | 118,571 |  |  | EUR |  |  | 104,000 |  |  | Royal Bank of Scotland PLC |  | 4/21/15 |  |  | 2,123 |
USD |  |  |  |  | 254,601 |  |  | EUR |  |  | 225,000 |  |  | UBS AG |  | 4/21/15 |  |  | 2,670 |
USD |  |  |  |  | 30,650,886 |  |  | GBP |  |  | 20,206,000 |  |  | Bank of America N.A. |  | 4/21/15 |  |  | (533,656 | )
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 208,125 |

• |  |  |  | As of February 28, 2015, OTC options purchased were as follows:

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

• |  |  |  | As of February 28, 2015, centrally cleared interest rate swaps outstanding were as follows:

Fixed Rate |  |  |  | Floating Rate |  | Clearinghouse |  | Expiration Date |  | Notional Amount (000) |  | Unrealized Appreciation (Depreciation) |
2.54% |  |  |  | 3-month LIBOR |  | Chicago Mercantile |  | 9/04/24 |  | USD |  |  | 18,700 |  |  | $ | 737,007 |
2.60% |  |  |  | 3-month LIBOR |  | Chicago Mercantile |  | 9/04/24 |  | USD |  |  | 18,700 |  |  |  | (740,932 | )
Total |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (3,925 | )

• |  |  |  | As of February 28, 2015, OTC credit default swaps — buy protection outstanding were as follows:

Issuer |  |  |  | Pay Fixed Rate |  | Counterparty |  | Expiration Date |  | Notional Amount (000) |  | Value |  | Premiums Paid |  | Unrealized Depreciation
Westpac Banking Corp. |  |  |  | 1.00% |  | Deutsche Bank AG |  | 9/20/17 |  | USD 1 |  | $ (9) |  | $ | 8 |  | $ |  |  |  |  |  | (17 | )
Australia & New Zealand Banking Group Ltd. |  |  |  | 1.00% |  | Deutsche Bank AG |  | 9/20/17 |  | USD 1 |  | (10) |  |  | 8 |  |  |  |  |  |  |  | (18 | )
Total |  |  |  |  |  |  |  |  |  |  |  | $(19) |  | $ | 16 |  | $ |  |  |  |  |  | (35 | )

• |  |  |  | As of February 28, 2015, OTC interest rate swaps outstanding were as follows:

Fixed Rate |  |  |  | Floating Rate |  | Counterparty/ Clearinghouse |  |  | Expiration Date |  | Notional Amount (000) |  | Market Value |  | Premiums Received |  |  | Unrealized Depreciation
11.15% |  |  |  | 1-Day BROIS |  | Deutsche Bank AG |  |  | 1/04/16 |  | BRL 56,933 |  | $(310,158) |  | $ | (593) |  |  | $ | (309,565)

• |  |  |  | For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.
• |  |  |  | Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:

• |  |  |  | Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
• |  |  |  | Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
• |  |  |  | Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

See Notes to Financial Statements.

48 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
|  |  |  | As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-Term Investments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-Backed Securities |  |  |  |  | — |  |  | $ | 85,777,260 |  |  | $ | 15,455,887 |  |  | $ | 101,233,147 |
Common Stocks |  |  |  | $ | 2,543,742 |  |  |  | 822,736 |  |  |  | 565,124 |  |  |  | 3,931,602 |
Corporate Bonds |  |  |  |  | — |  |  |  | 338,101,367 |  |  |  | 8,966,799 |  |  |  | 347,068,166 |
Floating Rate Loan Interests |  |  |  |  | — |  |  |  | 256,723,451 |  |  |  | 21,643,184 |  |  |  | 278,366,635 |
Foreign Agency Obligations |  |  |  |  | — |  |  |  | 9,849,569 |  |  |  | — |  |  |  | 9,849,569 |
Non-Agency Mortgage-Backed Securities |  |  |  |  | — |  |  |  | 73,776,126 |  |  |  | 6,937,125 |  |  |  | 80,713,251 |
Other Interests |  |  |  |  | — |  |  |  | — |  |  |  | 8,750 |  |  |  | 8,750 |
Preferred Securities |  |  |  |  | 11,871,958 |  |  |  | 51,676,995 |  |  |  | — |  |  |  | 63,548,953 |
U.S. Government Sponsored Agency Securities |  |  |  |  | — |  |  |  | 34,603,385 |  |  |  | — |  |  |  | 34,603,385 |
Warrants |  |  |  |  | — |  |  |  | — |  |  |  | 16,542 |  |  |  | 16,542 |
Money Market Funds |  |  |  |  | 1,278,380 |  |  |  | — |  |  |  | — |  |  |  | 1,278,380 |
Total |  |  |  | $ | 15,694,080 |  |  | $ | 851,330,889 |  |  | $ | 53,593,411 |  |  | $ | 920,618,380 |

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Derivative Financial Instruments1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  | $ | 117,889 |  |  | $ | 737,007 |  |  |  | — |  |  | $ | 854,896 |
Foreign currency exchange contracts |  |  |  |  |  |  |  |  | 743,909 |  |  |  |  |  |  |  | 743,909 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  | (139,225 | ) |  |  | (1,050,497 | ) |  |  | — |  |  |  | (1,189,722 | )
Credit rate contracts |  |  |  |  | — |  |  |  | (35 | ) |  |  | — |  |  |  | (35 | )
Foreign currency exchange contracts |  |  |  |  | — |  |  |  | (535,784 | ) |  |  | — |  |  |  | (535,784 | )
Total |  |  |  | $ | (21,336 | ) |  | $ | (105,400 | ) |  |  | — |  |  | $ | (126,736 | )

1 Derivative financial instruments are swaps, financial futures contracts and forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

|  |  |  | The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

|  |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash |  |  |  | $ | 1,186,592 |  |  |  | — |  |  |  | — |  |  | $ | 1,186,592 |
Cash pledged for financial futures contracts |  |  |  |  | 469,500 |  |  |  | — |  |  |  | — |  |  |  | 469,500 |
Cash pledged as collateral for reverse repurchase agreements |  |  |  |  | 600,000 |  |  |  | — |  |  |  | — |  |  |  | 600,000 |
Cash pledged as collateral for OTC derivatives |  |  |  |  | 90,000 |  |  |  | — |  |  |  | — |  |  |  | 90,000 |
Cash pledged for centrally cleared swaps |  |  |  |  | 10,000 |  |  |  | — |  |  |  | — |  |  |  | 10,000 |
Foreign currency at value |  |  |  |  | 19,657 |  |  |  | — |  |  |  | — |  |  |  | 19,657 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Reverse repurchase agreements |  |  |  |  | — |  |  | $ | (278,720,582 | ) |  |  | — |  |  |  | (278,720,582 | )
Cash received as collateral for reverse repurchase agreements |  |  |  |  | — |  |  |  | (198,000 | ) |  |  | — |  |  |  | (198,000 | )
Total |  |  |  | $ | 2,375,749 |  |  | $ | (278,918,582 | ) |  |  | — |  |  | $ | (276,542,833 | )

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 49

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

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

|  |  |  | Common Stocks |  | Asset-Backed Securities |  | Corporate Bonds |  | Floating Rate Loan Interests |  | Non-Agency Mortgage- Backed Securities |  | Other Interests |  | Unfunded Floating Rate Loan Interests (Liabilities) | Warrants |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Opening Balance, as of August 31, 2014 |  |  |  | $ | 2,748,166 |  |  | $ | 14,418,405 |  |  | $ | 8,907,388 |  |  | $ | 33,197,391 |  |  |  | — |  |  | $ | 8,750 |  |  | $ | (175 | ) | — |  | $59,279,925 |
Transfers into Level 31 |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 5,568,235 |  |  |  | — |  |  |  | — |  |  |  | — |  | $14,419 |  | 5,582,654 |
Transfers out of Level 32 |  |  |  |  | — |  |  |  | (10,116,243 | ) |  |  | — |  |  |  | (14,142,897 | ) |  |  | — |  |  |  | — |  |  |  | — |  | — |  | (24,259,140) |
Accrued discounts/premiums |  |  |  |  | — |  |  |  | (41,233 | ) |  |  | (464 | ) |  |  | 23,665 |  |  | $ | 915 |  |  |  | — |  |  |  | — |  | — |  | (17,117) |
Net realized gain |  |  |  |  | (1 | ) |  |  | (413,707 | ) |  |  | (3,036,848 | ) |  |  | 30,133 |  |  |  | — |  |  |  | — |  |  |  | — |  | — |  | (3,420,423) |
Net change in unrealized appreciation/ depreciation |  |  |  |  | (2,183,041 | ) |  |  | 451,169 |  |  |  | 2,973,382 |  |  |  | (379,501 | ) |  |  | 33,293 |  |  |  | — |  |  |  | 175 |  | 2,123 |  | 897,600 |
Purchases |  |  |  |  | — |  |  |  | 12,120,799 |  |  |  | 495,529 |  |  |  | 3,501,575 |  |  |  | 6,902,917 |  |  |  | — |  |  |  | — |  | — |  | 23,020,820 |
Sales |  |  |  |  | — |  |  |  | (963,303 | ) |  |  | (372,188 | ) |  |  | (6,155,417 | ) |  |  | — |  |  |  | — |  |  |  | — |  | — |  | (7,490,908) |
Closing Balance, as of February 28, 2015 |  |  |  | $ | 565,124 |  |  | $ | 15,455,887 |  |  | $ | 8,966,799 |  |  | $ | 21,643,184 |  |  |  | 6,937,125 |  |  | $ | 8,750 |  |  |  | — |  | $16,542 |  | $53,593,411 |
Net change in unrealized appreciation/depreciation on investments still held at February 28, 20154 |  |  |  | $ | (2,183,041 | ) |  | $ | 455,869 |  |  | $ | (435,653 | ) |  | $ | (430,583 | ) |  | $ | 33,293 |  |  |  | — |  |  |  | — |  | $2,123 |  | $(2,557,992) |

1 As of August 31, 2014, the Fund used observable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $5,582,654 transferred from Level 2 to Level 3 in the disclosure hierarchy.

2 As of August 31, 2014, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 28, 2015, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $24,259,140 transferred from Level 3 to Level 2 in the disclosure hierarchy.

3 Included in the related net change in unrealized appreciation/depreciation in the Consolidated Statements of Operations.

4 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at February 28, 2015 is generally due to investments no longer held or categorized as Level 3 at period end.

See Notes to Financial Statements.

50 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Statements of Assets and Liabilities |

February 28, 2015 (Unaudited) |  |  |  | BlackRock Defined Opportunity Credit Trust (BHL) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |  | BlackRock Limited Duration Income Trust (BLW)1
Assets
Investments at value — unaffiliated2 |  |  |  | $ | 181,616,611 |  |  | $ | 805,139,034 |  |  | $ | 919,340,000 |
Investments at value — affiliated3 |  |  |  |  | — |  |  |  | — |  |  |  | 1,278,380 |
Cash |  |  |  |  | 99,981 |  |  |  | 3,119,964 |  |  |  | 1,186,592 |
Cash pledged for financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | 469,500 |
Investments sold receivable |  |  |  |  | 2,453,293 |  |  |  | 10,681,703 |  |  |  | 11,845,366 |
Cash pledged as collateral for reverse repurchase agreements |  |  |  |  | — |  |  |  | — |  |  |  | 600,000 |
Interest receivable |  |  |  |  | 1,029,697 |  |  |  | 4,563,142 |  |  |  | 9,274,118 |
Swaps receivable |  |  |  |  | — |  |  |  | — |  |  |  | 1,827,734 |
Unrealized appreciation on forward foreign currency exchange contracts |  |  |  |  | 12,042 |  |  |  | 148,623 |  |  |  | 743,909 |
Foreign currency at value4 |  |  |  |  | 2,102 |  |  |  | 2,192 |  |  |  | 19,657 |
Variation margin receivable on financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | 45,109 |
Cash pledged as collateral for OTC derivatives |  |  |  |  | — |  |  |  | — |  |  |  | 90,000 |
Dividends receivable |  |  |  |  | — |  |  |  | — |  |  |  | 1,696 |
Principal paydowns receivable |  |  |  |  | — |  |  |  | — |  |  |  | 735 |
Swap premiums paid |  |  |  |  | — |  |  |  | — |  |  |  | 16 |
Cash pledged for centrally cleared swaps |  |  |  |  | — |  |  |  | — |  |  |  | 10,000 |
Deferred offering costs |  |  |  |  | — |  |  |  | 16,873 |  |  |  | 18,165 |
Prepaid expenses |  |  |  |  | 1,942 |  |  |  | 12,945 |  |  |  | 15,685 |
Other assets |  |  |  |  | — |  |  |  | — |  |  |  | 269,432 |
Total assets |  |  |  |  | 185,215,668 |  |  |  | 823,684,476 |  |  |  | 947,036,094 |
Liabilities
Bank borrowings payable |  |  |  |  | 52,000,000 |  |  |  | 231,000,000 |  |  |  | — |
Reverse repurchase agreements |  |  |  |  | — |  |  |  | — |  |  |  | 278,720,582 |
Investments purchased payable |  |  |  |  | 5,912,195 |  |  |  | 27,649,265 |  |  |  | 14,770,319 |
Swaps payable |  |  |  |  | — |  |  |  | — |  |  |  | 1,827,799 |
Investment advisory fees payable |  |  |  |  | 137,069 |  |  |  | 455,019 |  |  |  | 386,139 |
Unrealized depreciation on forward foreign currency exchange contracts |  |  |  |  | 15,431 |  |  |  | 60,728 |  |  |  | 535,784 |
Officer’s and Directors’ fees payable |  |  |  |  | 2,514 |  |  |  | 10,772 |  |  |  | 352,319 |
Unrealized depreciation on OTC derivatives |  |  |  |  | — |  |  |  | — |  |  |  | 309,600 |
Income dividends payable |  |  |  |  | 77,967 |  |  |  | 125,024 |  |  |  | 91,109 |
Interest expense payable |  |  |  |  | 38,190 |  |  |  | 167,451 |  |  |  | — |
Cash received as collateral for reverse repurchase agreements |  |  |  |  | — |  |  |  | — |  |  |  | 198,000 |
Variation margin payable on financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | 29,276 |
Variation margin payable on centrally cleared swaps |  |  |  |  | — |  |  |  | — |  |  |  | 1,135 |
Swap premiums received |  |  |  |  | — |  |  |  | — |  |  |  | 593 |
Offering costs payable |  |  |  |  | — |  |  |  | 10,007 |  |  |  | 12,486 |
Other accrued expenses payable |  |  |  |  | 113,331 |  |  |  | 253,770 |  |  |  | 232,927 |
Total liabilities |  |  |  |  | 58,296,697 |  |  |  | 259,732,036 |  |  |  | 297,468,068 |
Net Assets |  |  |  | $ | 126,918,971 |  |  | $ | 563,952,440 |  |  | $ | 649,568,026 |
Net Assets Consist of
Paid-in capital5,6,7 |  |  |  | $ | 128,319,712 |  |  | $ | 660,033,945 |  |  | $ | 703,327,827 |
Distributions in excess of net investment income |  |  |  |  | (86,327 | ) |  |  | (674,343 | ) |  |  | (3,396,935 | )
Accumulated net realized loss |  |  |  |  | (408,152 | ) |  |  | (85,588,374 | ) |  |  | (50,589,792 | )
Net unrealized appreciation/depreciation |  |  |  |  | (906,262 | ) |  |  | (9,818,788 | ) |  |  | 226,926 |
Net Assets |  |  |  | $ | 126,918,971 |  |  | $ | 563,952,440 |  |  | $ | 649,568,026 |
Net asset value per share |  |  |  | $ | 14.03 |  |  | $ | 15.15 |  |  | $ | 17.55 |
1 Consolidated Statement of Assets and Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
2 Investments at cost — unaffiliated |  |  |  | $ | 182,519,416 |  |  | $ | 815,045,713 |  |  | $ | 919,221,232 |
3 Investments at cost — affiliated |  |  |  |  | — |  |  |  | — |  |  | $ | 1,278,380 |
4 Foreign currency at cost |  |  |  | $ | 2,170 |  |  | $ | 2,196 |  |  | $ | 19,623 |
5 Par value per share |  |  |  | $ | 0.001 |  |  | $ | 0.100 |  |  | $ | 0.001 |
6 Shares outstanding |  |  |  |  | 9,044,041 |  |  |  | 37,232,488 |  |  |  | 37,003,854 |
7 Shares authorized |  |  |  |  | unlimited |  |  |  | 200 million |  |  |  | unlimited |

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 51

Statements of Operations |

Six Months Ended February 28, 2015 (Unaudited) |  |  |  | BlackRock Defined Opportunity Credit Trust (BHL) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)1 |  | BlackRock Limited Duration Income Trust (BLW)1
Investment Income
Interest |  |  |  | $ | 4,407,091 |  |  | $ | 19,430,864 |  |  | $ | 25,016,227 |
Dividends — unaffiliated |  |  |  |  | 34,993 |  |  |  | 152,649 |  |  |  | 413,875 |
Dividends — affiliated |  |  |  |  | 142 |  |  |  | 144 |  |  |  | 1,302 |
Total income |  |  |  |  | 4,442,226 |  |  |  | 19,583,657 |  |  |  | 25,431,404 |
Expenses
Investment advisory |  |  |  |  | 891,891 |  |  |  | 2,954,158 |  |  |  | 2,553,119 |
Custodian |  |  |  |  | 38,567 |  |  |  | 120,385 |  |  |  | 91,962 |
Professional |  |  |  |  | 56,091 |  |  |  | 61,537 |  |  |  | 97,998 |
Accounting services |  |  |  |  | 15,548 |  |  |  | 50,326 |  |  |  | 46,526 |
Offering |  |  |  |  | — |  |  |  | 51,761 |  |  |  | 55,725 |
Transfer agent |  |  |  |  | 13,009 |  |  |  | 31,677 |  |  |  | 37,997 |
Officer and Directors |  |  |  |  | 5,772 |  |  |  | 25,161 |  |  |  | 32,770 |
Printing |  |  |  |  | 6,674 |  |  |  | 11,792 |  |  |  | 13,048 |
Registration |  |  |  |  | 4,700 |  |  |  | 7,017 |  |  |  | 6,433 |
Miscellaneous |  |  |  |  | 15,156 |  |  |  | 30,920 |  |  |  | 51,503 |
Total expenses excluding interest expense and income tax |  |  |  |  | 1,047,408 |  |  |  | 3,344,734 |  |  |  | 2,987,081 |
Interest expense |  |  |  |  | 242,477 |  |  |  | 1,074,203 |  |  |  | 716,387 |
Income tax |  |  |  |  | — |  |  |  | 4,878 |  |  |  | — |
Total expenses |  |  |  |  | 1,289,885 |  |  |  | 4,423,815 |  |  |  | 3,703,468 |
Less fees waived by Manager |  |  |  |  | (133 | ) |  |  | (178 | ) |  |  | (2,027 | )
Total expenses after fees waived and paid indirectly |  |  |  |  | 1,289,752 |  |  |  | 4,423,637 |  |  |  | 3,701,441 |
Net investment income |  |  |  |  | 3,152,474 |  |  |  | 15,160,020 |  |  |  | 21,729,963 |
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  | (688,453 | ) |  |  | (4,002,462 | ) |  |  | (7,582,951 | )
Financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | (1,801,111 | )
Foreign currency transactions |  |  |  |  | 276,813 |  |  |  | 1,296,164 |  |  |  | 8,018,051 |
Options written |  |  |  |  | — |  |  |  | — |  |  |  | 93,500 |
Swaps |  |  |  |  | — |  |  |  | — |  |  |  | (18,449 | )
|  |  |  |  | (411,640 | ) |  |  | (2,706,298 | ) |  |  | (1,290,960 | )
Net change in unrealized appreciation/depreciation on: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Investments |  |  |  |  | (1,104,006 | ) |  |  | (5,600,249 | ) |  |  | (12,525,932 | )
Financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | 72,226 |
Foreign currency translations |  |  |  |  | (82,584 | ) |  |  | (238,324 | ) |  |  | (1,818,176 | )
Options written |  |  |  |  | — |  |  |  | — |  |  |  | (11,948 | )
Swaps |  |  |  |  | — |  |  |  | — |  |  |  | (291,389 | )
Unfunded floating rate loan interests |  |  |  |  | 6,227 |  |  |  | 27,493 |  |  |  | 2,520 |
|  |  |  |  | (1,180,363 | ) |  |  | (5,811,080 | ) |  |  | (14,572,699 | )
Net realized and unrealized loss |  |  |  |  | (1,592,003 | ) |  |  | (8,517,378 | ) |  |  | (15,863,659 | )
Net Increase in Net Assets Resulting from Operations |  |  |  | $ | 1,560,471 |  |  | $ | 6,642,642 |  |  | $ | 5,866,304 |

1 |  | Consolidated Statement of Operations.

See Notes to Financial Statements.

52 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | Six Months Ended February 28, |  | Year Ended August 31,
Increase (Decrease) in Net Assets: |  |  |  | 2015 (Unaudited) |  | 2014
Operations
Net investment income |  |  |  | $ | 3,152,474 |  |  | $ | 6,953,558 |
Net realized gain (loss) |  |  |  |  | (411,640 | ) |  |  | 1,555,241 |
Net change in unrealized appreciation/depreciation |  |  |  |  | (1,180,363 | ) |  |  | (1,214,434 | )
Net increase in net assets resulting from operations |  |  |  |  | 1,560,471 |  |  |  | 7,294,365 |
Distributions to Shareholders From1
Net investment income |  |  |  |  | (3,705,740 | ) |  |  | (7,542,730 | )
Net realized gain |  |  |  |  | (1,286,571 | ) |  |  | — |
Decrease in net assets resulting from distributions to shareholders |  |  |  |  | (4,992,311 | ) |  |  | (7,542,730 | )
Net Assets
Total decrease in net assets |  |  |  |  | (3,431,840 | ) |  |  | (248,365 | )
Beginning of period |  |  |  |  | 130,350,811 |  |  |  | 130,599,176 |
End of period |  |  |  | $ | 126,918,971 |  |  | $ | 130,350,811 |
Undistributed (distributions in excess of) net investment income, end of period |  |  |  | $ | (86,327 | ) |  | $ | 466,939 |

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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 53

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

|  |  |  | Six Months Ended February 28, |  | Year Ended August 31,
Increase (Decrease) in Net Assets: |  |  |  | 2015 (Unaudited) |  | 2014
Operations
Net investment income |  |  |  | $ | 15,160,020 |  |  | $ | 32,487,698 |
Net realized gain (loss) |  |  |  |  | (2,706,298 | ) |  |  | 606,314 |
Net change in unrealized appreciation/depreciation |  |  |  |  | (5,811,080 | ) |  |  | 771,265 |
Net increase in net assets resulting from operations |  |  |  |  | 6,642,642 |  |  |  | 33,865,277 |
Distributions to Shareholders From1
Net investment income |  |  |  |  | (15,153,623 | ) |  |  | (33,203,943 | )
Net Assets
Total increase (decrease) in net assets |  |  |  |  | (8,510,981 | ) |  |  | 661,334 |
Beginning of period |  |  |  |  | 572,463,421 |  |  |  | 571,802,087 |
End of period |  |  |  | $ | 563,952,440 |  |  | $ | 572,463,421 |
Distributions in excess of net investment income, end of period |  |  |  | $ | (674,343 | ) |  | $ | (680,740 | )

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

See Notes to Financial Statements.

54 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

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

|  |  |  | Six Months Ended February 28, |  | Year Ended August 31,
Increase (Decrease) in Net Assets: |  |  |  | 2015 (Unaudited) |  | 2014
Operations
Net investment income |  |  |  | $ | 21,729,963 |  |  | $ | 46,667,443 |
Net realized gain (loss) |  |  |  |  | (1,290,960 | ) |  |  | 4,294,232 |
Net change in unrealized appreciation/depreciation |  |  |  |  | (14,572,699 | ) |  |  | 14,593,852 |
Net increase in net assets resulting from operations |  |  |  |  | 5,866,304 |  |  |  | 65,555,527 |
Distributions to Shareholders From1
Net investment income |  |  |  |  | (25,680,675 | ) |  |  | (45,292,717 | )
Net Assets
Total increase (decrease) in net assets |  |  |  |  | (19,814,371 | ) |  |  | 20,262,810 |
Beginning of period |  |  |  |  | 669,382,397 |  |  |  | 649,119,587 |
End of period |  |  |  | $ | 649,568,026 |  |  | $ | 669,382,397 |
Undistributed (distributions in excess of) net investment income, end of period |  |  |  | $ | (3,396,935 | ) |  | $ | 553,777 |

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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 55

Statements of Cash Flows |

Six Months Ended February 28, 2015 (Unaudited) |  |  |  | BlackRock Defined Opportunity Credit Trust (BHL) |  | BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) |  | BlackRock Limited Duration Income Trust (BLW)
Cash Provided by Operating Activities
Net increase in net assets resulting from operations |  |  |  | $ | 1,560,471 |  |  | $ | 6,642,642 |  |  | $ | 5,866,304 |
Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities: |  |  |  |  |  |  |  |  |  |  |  |  |  |
(Increase) decrease in interest receivable |  |  |  |  | (4,764 | ) |  |  | (146,167 | ) |  |  | 556,771 |
Increase in swaps receivable |  |  |  |  | — |  |  |  | — |  |  |  | (1,245,742 | )
(Increase) decrease in other assets |  |  |  |  | — |  |  |  | 38,072 |  |  |  | (3,500 | )
Increase in variation margin receivable on financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | (17,838 | )
Decrease in swap premiums paid |  |  |  |  | — |  |  |  | — |  |  |  | 3 |
(Increase) decrease in prepaid expenses |  |  |  |  | 2,181 |  |  |  | (3,562 | ) |  |  | (4,715 | )
Decrease in cash pledged for financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | 186,000 |
Decrease in cash pledged as collateral for OTC derivatives |  |  |  |  | 400,000 |  |  |  | — |  |  |  | — |
Increase in cash pledged as collateral for reverse repurchase agreements |  |  |  |  | — |  |  |  | — |  |  |  | (592,000 | )
Increase in cash received for reverse repurchase agreements |  |  |  |  | — |  |  |  | — |  |  |  | (304,000 | )
Decrease in investment advisory fees payable |  |  |  |  | (16,059 | ) |  |  | (52,111 | ) |  |  | (63,975 | )
Decrease in interest expense and fees payable |  |  |  |  | (987 | ) |  |  | (7,593 | ) |  |  | (184,054 | )
Decrease in other accrued expenses payable |  |  |  |  | (15,848 | ) |  |  | (95,194 | ) |  |  | (29,779 | )
Increase in variation margin payable on financial futures contracts |  |  |  |  | — |  |  |  | — |  |  |  | 21,120 |
Increase in variation margin payable on centrally cleared swaps |  |  |  |  | — |  |  |  | — |  |  |  | 1,135 |
Increase in swaps payable |  |  |  |  | — |  |  |  | — |  |  |  | 1,263,852 |
Decrease in swap premiums received |  |  |  |  | — |  |  |  | — |  |  |  | (279 | )
Increase (decrease) in Officer’s and Directors’ fees payable |  |  |  |  | (7 | ) |  |  | (354 | ) |  |  | 16,717 |
Net realized loss on investments and options written |  |  |  |  | 690,515 |  |  |  | 3,993,779 |  |  |  | 9,121,400 |
Net unrealized loss on investments, options written, swaps, foreign currency translations and unfunded floating rate loan interests |  |  |  |  | 1,180,363 |  |  |  | 5,811,080 |  |  |  | 14,644,500 |
Amortization of premium and accretion of discount on investments |  |  |  |  | (154,587 | ) |  |  | (640,292 | ) |  |  | 608,542 |
Proceeds from sales of long-term investments |  |  |  |  | 34,040,314 |  |  |  | 148,755,225 |  |  |  | 188,043,486 |
Purchases of long-term investments |  |  |  |  | (32,662,955 | ) |  |  | (145,764,172 | ) |  |  | (183,537,385 | )
Net proceeds from sales of short-term securities |  |  |  |  | 2,958,501 |  |  |  | 3,456,864 |  |  |  | 6,112,010 |
Premiums paid on closing options written |  |  |  |  | — |  |  |  | — |  |  |  | (93,500 | )
Net cash provided by operating activities |  |  |  |  | 7,977,138 |  |  |  | 21,988,217 |  |  |  | 40,365,073 |
Cash Used for Financing Activities
Net borrowing of reverse repurchase agreements |  |  |  |  | — |  |  |  | — |  |  |  | (14,985,090 | )
Proceeds from bank borrowings |  |  |  |  | 22,000,000 |  |  |  | 78,000,000 |  |  |  | — |
Payments for bank borrowings |  |  |  |  | (25,000,000 | ) |  |  | (82,000,000 | ) |  |  | — |
Cash payments for offering costs |  |  |  |  | — |  |  |  | (75,129 | ) |  |  | (75,129 | )
Cash dividends paid to Common Shareholders |  |  |  |  | (4,986,497 | ) |  |  | (15,150,512 | ) |  |  | (25,680,972 | )
Amortization of deferred offering costs |  |  |  |  | — |  |  |  | 51,761 |  |  |  | 55,725 |
Net cash used for financing activities |  |  |  |  | (7,986,497 | ) |  |  | (19,173,880 | ) |  |  | (40,685,466 | )
Cash Impact from Foreign Exchange Fluctuations
Cash impact from foreign exchange fluctuations |  |  |  | $ | 18 |  |  | $ | 320 |  |  | $ | 16,533 |
Cash and Foreign Currency
Net increase (decrease) in cash |  |  |  |  | (9,341 | ) |  |  | 2,814,657 |  |  |  | (303,860 | )
Cash and foreign currency at beginning of period |  |  |  |  | 111,424 |  |  |  | 307,499 |  |  |  | 1,510,109 |
Cash and foreign currency at end of period |  |  |  | $ | 102,083 |  |  | $ | 3,122,156 |  |  | $ | 1,206,249 |
Supplemental Disclosure of Cash Flow Information
Cash paid during the period for interest |  |  |  | $ | 243,464 |  |  | $ | 1,081,796 |  |  | $ | 900,441 |

See Notes to Financial Statements.

56 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Financial Highlights | BlackRock Defined Opportunity Credit Trust (BHL)

|  |  |  | Six Months Ended February 28, 2015 (Unaudited) |  | Year Ended August 31, |
|  |  |  |  |  | 2014 |  | 2013 |  | 2012 |  | 2011 |  | 2010
Per Share Operating Performance
Net asset value, beginning of period |  |  |  | $ | 14.41 |  |  | $ | 14.44 |  |  | $ | 14.12 |  |  | $ | 13.17 |  |  | $ | 13.55 |  |  | $ | 12.53 |
Net investment income1 |  |  |  |  | 0.35 |  |  |  | 0.77 |  |  |  | 0.87 |  |  |  | 0.85 |  |  |  | 0.86 |  |  |  | 0.85 |
Net realized and unrealized gain (loss) |  |  |  |  | (0.18 | ) |  |  | 0.03 |  |  |  | 0.30 |  |  |  | 0.90 |  |  |  | (0.45 | ) |  |  | 0.87 |
Net increase from investment operations |  |  |  |  | 0.17 |  |  |  | 0.80 |  |  |  | 1.17 |  |  |  | 1.75 |  |  |  | 0.41 |  |  |  | 1.72 |
Distributions from:2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  |  |  | (0.41 | ) |  |  | (0.83 | ) |  |  | (0.85 | ) |  |  | (0.80 | ) |  |  | (0.79 | ) |  |  | (0.70 | )
Net realized gain |  |  |  |  | (0.14 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |
Total distributions |  |  |  |  | (0.55 | ) |  |  | (0.83 | ) |  |  | (0.85 | ) |  |  | (0.80 | ) |  |  | (0.79 | ) |  |  | (0.70 | )
Net asset value, end of period |  |  |  | $ | 14.03 |  |  | $ | 14.41 |  |  | $ | 14.44 |  |  | $ | 14.12 |  |  | $ | 13.17 |  |  | $ | 13.55 |
Market price, end of period |  |  |  | $ | 13.17 |  |  | $ | 13.84 |  |  | $ | 13.77 |  |  | $ | 13.94 |  |  | $ | 12.65 |  |  | $ | 12.86 |
Total Return3
Based on net asset value |  |  |  |  | 1.51%4 |  |  |  | 5.98% |  |  |  | 8.52% |  |  |  | 13.94% |  |  |  | 2.93% |  |  |  | 14.39% |
Based on market price |  |  |  |  | (0.79)%4 |  |  |  | 6.75% |  |  |  | 4.82% |  |  |  | 17.12% |  |  |  | 4.17% |  |  |  | 23.33% |
Ratios to Average Net Assets
Total expenses |  |  |  |  | 2.04% | 5 |  |  | 1.92% |  |  |  | 1.92% |  |  |  | 1.91% |  |  |  | 2.02% |  |  |  | 1.91% |
Total expenses after fees waived and paid indirectly |  |  |  |  | 2.04% | 5 |  |  | 1.92% |  |  |  | 1.92% |  |  |  | 1.91% |  |  |  | 2.02% |  |  |  | 1.90% |
Total expenses after fees waived and paid indirectly and excluding interest expense |  |  |  |  | 1.66% | 5 |  |  | 1.60% |  |  |  | 1.58% | 6 |  |  | 1.61% | 6 |  |  | 1.71% |  |  |  | 1.65% |
Net investment income |  |  |  |  | 4.99% | 5 |  |  | 5.31% |  |  |  | 6.04% |  |  |  | 6.24% |  |  |  | 6.10% |  |  |  | 6.40% |
Supplemental Data
Net assets, end of period (000) |  |  |  | $ | 126,919 |  |  | $ | 130,351 |  |  | $ | 130,599 |  |  | $ | 127,455 |  |  | $ | 118,897 |  |  | $ | 122,062 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 52,000 |  |  | $ | 55,000 |  |  | $ | 49,000 |  |  | $ | 55,000 |  |  | $ | 43,000 |  |  | $ | 24,000 |
Asset coverage, end of period per $1,000 |  |  |  | $ | 3,441 |  |  | $ | 3,370 |  |  | $ | 3,665 |  |  | $ | 3,317 |  |  | $ | 3,765 |  |  | $ | 6,086 |
Portfolio turnover rate |  |  |  |  | 19% |  |  |  | 59% |  |  |  | 85% |  |  |  | 53% |  |  |  | 91% |  |  |  | 102% |

1 |  | Based on average shares outstanding.

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

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

4 |  | Aggregate total return.

5 |  | Annualized.

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

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 57

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

|  |  |  | Six Months Ended February 28, 20151 (Unaudited) |  | Year Ended August 31, |
|  |  |  |  |  | 20141 |  | 20131 |  | 20121 |  | 2011 |  | 2010
Per Share Operating Performance
Net asset value, beginning of period |  |  |  | $ | 15.38 |  |  | $ | 15.36 |  |  | $ | 14.98 |  |  | $ | 14.04 |  |  | $ | 14.36 |  |  | $ | 12.93 |
Net investment income2 |  |  |  |  | 0.41 |  |  |  | 0.87 |  |  |  | 0.99 |  |  |  | 0.97 |  |  |  | 0.96 |  |  |  | 0.91 |
Net realized and unrealized gain (loss) |  |  |  |  | (0.23 | ) |  |  | 0.04 |  |  |  | 0.42 |  |  |  | 0.90 |  |  |  | (0.36 | ) |  |  | 1.48 |
Net increase from investment operations |  |  |  |  | 0.18 |  |  |  | 0.91 |  |  |  | 1.41 |  |  |  | 1.87 |  |  |  | 0.60 |  |  |  | 2.39 |
Distributions from:3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Net investment income |  |  |  |  | (0.41 | ) |  |  | (0.89 | ) |  |  | (1.03 | ) |  |  | (0.93 | ) |  |  | (0.86 | ) |  |  | (0.94 | )
Net realized gain |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (0.06 | ) |  |  | (0.02 | )
Total distributions |  |  |  |  | (0.41 | ) |  |  | (0.89 | ) |  |  | (1.03 | ) |  |  | (0.93 | ) |  |  | (0.92 | ) |  |  | (0.96 | )
Net asset value, end of period |  |  |  | $ | 15.15 |  |  | $ | 15.38 |  |  | $ | 15.36 |  |  | $ | 14.98 |  |  | $ | 14.04 |  |  | $ | 14.36 |
Market price, end of period |  |  |  | $ | 13.83 |  |  | $ | 14.26 |  |  | $ | 14.96 |  |  | $ | 15.20 |  |  | $ | 13.33 |  |  | $ | 14.61 |
Total Return4
Based on net asset value |  |  |  |  | 1.48%5 |  |  |  | 6.45% |  |  |  | 9.68% |  |  |  | 13.91% |  |  |  | 4.04% |  |  |  | 18.91% |
Based on market price |  |  |  |  | (0.09)%5 |  |  |  | 1.33% |  |  |  | 5.28% |  |  |  | 21.74% |  |  |  | (2.91)% |  |  |  | 27.59% |
Ratios to Average Net Assets
Total expenses |  |  |  |  | 1.59% | 6 |  |  | 1.48% |  |  |  | 1.54% | 7 |  |  | 1.67% | 8 |  |  | 1.60% |  |  |  | 1.45% |
Total expenses after fees waived and paid indirectly |  |  |  |  | 1.59% | 6 |  |  | 1.48% |  |  |  | 1.52% | 7 |  |  | 1.67% | 8 |  |  | 1.60% |  |  |  | 1.45% |
Total expenses after fees waived and paid indirectly and excluding interest expense and income tax |  |  |  |  | 1.20% | 6 |  |  | 1.15% |  |  |  | 1.15% | 7,9 |  |  | 1.35% | 8,9 |  |  | 1.30% |  |  |  | 1.22% |
Net investment income |  |  |  |  | 5.45% | 6 |  |  | 5.65% |  |  |  | 6.49% |  |  |  | 6.67% |  |  |  | 6.44% |  |  |  | 6.43% |
Supplemental Data
Net assets, end of period (000) |  |  |  | $ | 563,952 |  |  | $ | 572,463 |  |  | $ | 571,802 |  |  | $ | 276,990 |  |  | $ | 259,205 |  |  | $ | 264,379 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 231,000 |  |  | $ | 235,000 |  |  | $ | 214,000 |  |  | $ | 117,000 |  |  | $ | 93,000 |  |  | $ | 53,000 |
Asset coverage, end of period per $1,000 |  |  |  | $ | 3,441 |  |  | $ | 3,436 |  |  | $ | 3,672 |  |  | $ | 3,367 |  |  | $ | 3,787 |  |  | $ | 5,988 |
Portfolio turnover rate |  |  |  |  | 19% |  |  |  | 58% |  |  |  | 88% |  |  |  | 53% |  |  |  | 91% |  |  |  | 96% |

1 |  | Consolidated Financial Highlights.

2 |  | Based on average shares outstanding.

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

4 |  | 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.

5 |  | Aggregate total return.

6 |  | Annualized

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

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

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

See Notes to Financial Statements.

58 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Financial Highlights | BlackRock Limited Duration Income Trust (BLW)

|  |  |  | Six Months Ended February 28, 20151 (Unaudited) |  | Year Ended August 31, |
|  |  |  |  |  | 20141 |  | 20131 |  | 20121 |  | 2011 |  | 2010
Per Share Operating Performance
Net asset value, beginning of period |  |  |  | $ | 18.09 |  |  | $ | 17.54 |  |  | $ | 17.38 |  |  | $ | 16.52 |  |  | $ | 16.79 |  |  | $ | 14.95 |
Net investment income2 |  |  |  |  | 0.59 |  |  |  | 1.26 |  |  |  | 1.30 |  |  |  | 1.31 |  |  |  | 1.34 |  |  |  | 1.12 |
Net realized and unrealized gain (loss) |  |  |  |  | (0.44 | ) |  |  | 0.51 |  |  |  | 0.25 |  |  |  | 0.88 |  |  |  | (0.37 | ) |  |  | 1.62 |
Net increase from investment operations |  |  |  |  | 0.15 |  |  |  | 1.77 |  |  |  | 1.55 |  |  |  | 2.19 |  |  |  | 0.97 |  |  |  | 2.74 |
Distributions from net investment income3 |  |  |  |  | (0.69 | ) |  |  | (1.22 | ) |  |  | (1.39 | ) |  |  | (1.33 | ) |  |  | (1.24 | ) |  |  | (0.90 | )
Net asset value, end of period |  |  |  | $ | 17.55 |  |  | $ | 18.09 |  |  | $ | 17.54 |  |  | $ | 17.38 |  |  | $ | 16.52 |  |  | $ | 16.79 |
Market price, end of period |  |  |  | $ | 15.98 |  |  | $ | 16.81 |  |  | $ | 16.89 |  |  | $ | 18.00 |  |  | $ | 16.01 |  |  | $ | 16.76 |
Total Return4
Based on net asset value |  |  |  |  | 1.32%5 |  |  |  | 10.77% |  |  |  | 9.13% |  |  |  | 13.86% |  |  |  | 5.85% |  |  |  | 19.00% |
Based on market price |  |  |  |  | (0.71)% | 5 |  |  | 6.89% |  |  |  | 1.47% |  |  |  | 21.68% |  |  |  | 2.77% |  |  |  | 26.04% |
Ratio to Average Net Assets
Total expenses |  |  |  |  | 1.15% | 6 |  |  | 1.14% |  |  |  | 1.12% |  |  |  | 1.05% |  |  |  | 1.01% |  |  |  | 0.82% |
Total expenses after fees waived and paid indirectly |  |  |  |  | 1.15% | 6 |  |  | 1.14% |  |  |  | 1.12% |  |  |  | 1.05% |  |  |  | 1.00% |  |  |  | 0.81% |
Total expenses after fees waived and paid indirectly and excluding interest expense |  |  |  |  | 0.93% | 6 |  |  | 0.92% |  |  |  | 0.90% |  |  |  | 0.89% |  |  |  | 0.87% |  |  |  | 0.73% |
Net investment income |  |  |  |  | 6.74% | 6 |  |  | 7.00% |  |  |  | 7.34% |  |  |  | 7.82% |  |  |  | 7.75% |  |  |  | 6.90% |
Supplemental Data
Net assets, end of period (000) |  |  |  | $ | 649,568 |  |  | $ | 669,382 |  |  | $ | 649,120 |  |  | $ | 642,391 |  |  | $ | 609,818 |  |  | $ | 619,381 |
Borrowings outstanding, end of period (000) |  |  |  | $ | 278,721 |  |  | $ | 293,890 |  |  | $ | 273,347 |  |  | $ | 296,476 |  |  | $ | 244,120 |  |  | $ | 123,233 |
Asset coverage, end of period per $1,000 |  |  |  | $ | 3,331 |  |  | $ | 3,278 |  |  | $ | 3,375 |  |  | $ | 3,167 |  |  | $ | 3,498 |  |  | $ | 6,026 |
Portfolio turnover rate7 |  |  |  |  | 20% |  |  |  | 57% |  |  |  | 71% |  |  |  | 54% |  |  |  | 106% |  |  |  | 248% |

1 |  | Consolidated Financial Highlights.

2 |  | Based on average shares outstanding.

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

4 |  | 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.

5 |  | Aggregate total return.

6 |  | Annualized.

7 |  | Includes mortgage dollar rolls (“MDRs”). Additional information regarding portfolio turnover is as follows:

|  |  |  | Six Months Ended February 28, 2015 |  | Year Ended August 31,
|  |  |  | (Unaudited) |  | 2014 |  | 2013 |  | 2012 |  | 2011 |  | 2010
Portfolio turnover (excluding MDRs) |  |  |  |  | 20 | % |  |  | 57 | % |  |  | 71 | % |  |  | 54 | % |  |  | 87 | % |  |  | 113 | %

See Notes to Financial Statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 59

Notes to Financial Statements (Unaudited) |

1. Organization:

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

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

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

Basis of Consolidation: The accompanying consolidated financial statements of FRA include the account of FRA Subsidiary, LLC (the “Taxable Subsidiary”), which is a wholly owned taxable subsidiary of FRA. The Taxable Subsidiary enables the Fund to hold investments in an operating company and satisfy Regulated Investment Company (“RIC”) tax requirements. Income earned and gains realized on the investment held by the Taxable Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statement of Operations for the Fund. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statement of Operations for the Fund. The Fund may invest up to 25% of its total assets in the Taxable Subsidiary. The net assets of the Taxable Subsidiary as of February 28, 2015, were $2,142,730 or 0.4% of FRA’s consolidated net assets. Intercompany accounts and transactions, if any, have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Fund.

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

2. Significant Accounting Policies:

The Funds’ 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 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. The following is a summary of significant accounting policies followed by the Funds:

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

Bond investments are valued on the basis of last available bid prices or current market quotations provided by dealers or pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more brokers or dealers as obtained from a pricing service. In determining the value of a particular investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures. Asset-backed and mortgage-backed securities are valued by independent pricing services using models that consider estimated cash flows of each tranche of the security, establish a benchmark yield and develop an estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche. Financial futures contracts traded on exchanges are valued at their last sale price. To-be-announced (“TBA”) commitments are valued on the basis of last available bid prices or current market quotations provided by pricing services. Swap agreements are valued utilizing quotes received daily by the Funds’ pricing service or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. Certain centrally cleared swaps are valued at the price determined by the relevant exchange or clearinghouse. Investments in open-end registered investment companies are valued at NAV each business day.

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

60 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Notes to Financial Statements (continued) |

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

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

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. 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.

In the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Value Investments”). When determining the price for Fair Value Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement, which include the market approach, income approach and/or in the case of recent investments, the cost approach, as appropriate. The market approach generally consists of using comparable market transactions. The income approach generally is used to discount future cash flows to present value and is adjusted for liquidity as appropriate. These factors include but are not limited to: (i) attributes specific to the investment or asset; (ii) the principal market for the investment or asset; (iii) the customary participants in the principal market for the investment or asset; (iv) data assumptions by market participants for the investment or asset, if reasonably available; (v) quoted prices for similar investments or assets in active markets; and (vi) other factors, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates. Due to the inherent uncertainty of valuations of such investments, the fair values may differ from the values that would have been used had an active market existed. The Global Valuation Committee, or its delegate, employs various methods for calibrating valuation approaches for investments where an active market does not exist, including regular due diligence of the Funds’ pricing vendors, regular reviews of key inputs and assumptions, transactional back-testing or disposition analysis to compare unrealized gains and losses to realized gains and losses, reviews of missing or stale prices and large movements in market values and reviews of any market related activity. The pricing of all Fair Value Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of business on the NYSE. Occasionally, events affecting the values of such instruments may occur between the foreign market close and the close of business on the NYSE that may not be reflected in the computation of the Fund’s net assets. If events (e.g., a company announcement, market volatility or a natural disaster) occur during such periods that are expected to materially affect the value of such instruments, those instruments may be Fair Value Investments and be valued at their fair value, as determined in good faith by the Global Valuation Committee, or its delegate, using a pricing service and/or policies approved by the Board.

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

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

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., financial futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and records cash or liquid securities having a market value at least equal to the amount of

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 61

Notes to Financial Statements (continued) |

the Fund’s future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Trusts are informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.

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

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

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

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

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

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

3. Securities and Other Investments:

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

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

62 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Notes to Financial Statements (continued) |

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

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

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

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

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

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

Floating Rate Loan Interests: The Funds may invest in floating rate loan interests. The floating rate loan interests held by the Funds are typically issued to companies (the “borrower”) by banks, other financial institutions, and privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are

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Notes to Financial Statements (continued) |

generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. The Funds consider these investments to be investments in debt securities for purposes of its investment policies.

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

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

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, the Funds earn a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation or depreciation is included in the Statements of Assets and Liabilities and Statements of Operations. As of February 28, 2015, the Funds had no outstanding unfunded floating rate loan interests.

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

Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements with qualified third party broker-dealers. In a reverse repurchase agreement, the Funds sell securities to a bank or broker-dealer and agree to repurchase the same securities at a mutually agreed upon date and price. During the term of the reverse repurchase agreement, the Funds continue to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. The Funds may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk and also the risk that the market value of the securities to be repurchased may decline below the repurchase price.

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

For the six months ended February 28, 2015, the average amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for BLW were $285,619,095 and 0.51%, respectively.

64 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Notes to Financial Statements (continued) |

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

As of February 28, 2015, 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 Interest1 |  | Cash Collateral Pledged1 |  | Net Amount
Barclays Capital, Inc |  |  |  | $ | 31,941,212 |  |  | $ | (31,941,212 | ) |  |  | — |  |  |  | — |
BNP Paribas Securities Corp. |  |  |  |  | 10,695,716 |  |  |  | (10,695,716 | ) |  |  | — |  |  |  | — |
Credit Suisse Securities (USA) LLC |  |  |  |  | 12,898,857 |  |  |  | (12,898,857 | ) |  |  | — |  |  |  | — |
Deutsche Bank Securities, Inc |  |  |  |  | 74,108,164 |  |  |  | (74,108,164 | ) |  |  | — |  |  |  | — |
HSBC Securities (USA), Inc. |  |  |  |  | 67,766,214 |  |  |  | (67,766,214 | ) |  |  | — |  |  |  | — |
Morgan Stanley & Co. LLC |  |  |  |  | 20,134,639 |  |  |  | (20,134,639 | ) |  |  |  |  |  |  |  |
RBC Capital Markets LLC |  |  |  |  | 7,930,387 |  |  |  | (7,930,387 | ) |  |  | — |  |  |  | — |
UBS Securities LLC |  |  |  |  | 53,245,393 |  |  |  | (53,245,393 | ) |  |  | — |  |  |  | — |
Total |  |  |  | $ | 278,720,582 |  |  | $ | (278,720,582 | ) |  |  | — |  |  |  | — |

1 |  | Net collateral with a value of $310,063,396 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, the 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 the Fund’s obligation to repurchase the securities.

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

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

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

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

Forward Foreign Currency Exchange Contracts: The Funds enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from, foreign currencies (foreign currency exchange rate risk). A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Forward foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies in which some of the

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Notes to Financial Statements (continued) |

investments held by the Funds are denominated. The contract is marked-to-market daily and the change in market value is recorded by the Funds as an unrealized gain or loss. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies.

Options: The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (including equity risk, and/or interest rate risk) and/or, in the case of options written, to generate gains from options premiums. A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. When the Funds purchase (write) an option, an amount equal to the premium paid (received) by the Funds is reflected as an asset (liability). The amount of the asset (liability) is subsequently marked-to-market to reflect the current market value of the option purchased (written). When an instrument is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the instrument acquired or deducted from (or added to) the proceeds of the instrument sold. When an option expires (or the Funds enter into a closing transaction), the Funds realize a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premiums received or paid). When the Funds write a call option, such option is “covered,” meaning that the Funds hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, such option is covered by cash in an amount sufficient to cover the obligation.

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

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

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

For the six months ended February 28, 2015, transactions in options written, including swaptions, were as follows:

|  |  |  | BLW
|  |  |  | Calls |  |  |  | Puts
|  |  |  | Contracts |  | Notional (000)1 |  | Premium Received |  |  |  | Contracts |  | Notional (000)1 |  | Premium Received
Outstanding options, beginning of period |  |  |  |  | — |  |  | $ | 18,700 |  |  | $ | 93,500 |  |  |  |  |  |  |  | — |  |  | $ | 18,700 |  |  | $ | 93,500 |
Options written |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |
Options exercised |  |  |  |  | — |  |  |  | (18,700 | ) |  |  | (93,500 | ) |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |
Options expired |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  | (18,700 | ) |  |  | (93,500 | )
Options closed |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |
Outstanding options, end of period |  |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  |  |  |  |  | — |  |  |  | — |  |  |  | — |

1 |  | Amount shown is in the currency in which the transaction was denominated.

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

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

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Notes to Financial Statements (continued) |

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

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

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

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

The following is a summary of the Funds’ derivative financial instruments categorized by risk exposure:

Fair Values of Derivative Financial Instruments as of February 28, 2015
|  |  |  | Value
|  |  |  | BHL |  | FRA |  | BLW
|  | Statements of Assets and Liabilities Location |  | Derivative Assets |  | Derivative Liabilities |  | Derivative Assets |  | Derivative Liabilities |  | Derivative Assets |  | Derivative Liabilities
Interest rate contracts |  | Net unrealized appreciation/depreciation1; Unrealized depreciation on OTC swaps; Swap premiums paid/received; Investments at value — unaffiliated2; Options written at value |  |  | — |  |  | — |  |  | — |  |  | — |  | $ 854,896 |  | $1,190,315
Foreign currency exchange contracts |  | Unrealized appreciation/depreciation on forward foreign currency exchange contracts |  | $ | 12,042 |  | $ | 15,431 |  | $ | 148,623 |  | $ | 60,728 |  | 743,909 |  | 535,784
Credit contracts |  | Unrealized appreciation on OTC swaps; Swap premiums paid |  |  | — |  |  | — |  |  | — |  |  | — |  | 16 |  | 35
Total |  |  |  | $ | 12,042 |  | $ | 15,431 |  | $ | 148,623 |  | $ | 60,728 |  | $1,598,821 |  | $1,726,134

1 |  | Includes cumulative appreciation/depreciation on financial futures contracts and centrally cleared swaps, if any, as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

2 |  | Includes options purchased at value as reported in the Schedules of Investments.

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Notes to Financial Statements (continued) |

The Effect of Derivative Financial Instruments in the Statements of Operations Six Months Ended February 28, 2015
|  |  |  | BHL |  | FRA |  | BLW |  | BHL |  | FRA |  | BLW
|  |  |  | Net Realized Gain (Loss) From |  | Net Change in Unrealized Appreciation/Depreciation on
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial futures contracts |  |  |  |  | — |  |  |  | — |  |  | $ | (1,801,111 | ) |  |  | — |  |  |  | — |  |  | $ | 72,226 |
Swaps |  |  |  |  | — |  |  |  | — |  |  |  | (18,441 | ) |  |  | — |  |  |  | — |  |  |  | (291,397 | )
Options1 |  |  |  |  | — |  |  |  | — |  |  |  | (108,193 | ) |  |  | — |  |  |  | — |  |  |  | 186,984 |
Foreign currency exchange contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency transactions/translations |  |  |  | $ | 259,924 |  |  | $ | 1,302,052 |  |  |  | 8,088,322 |  |  | $ | (82,602 | ) |  | $ | (238,644 | ) |  |  | (1,853,730 | )
Credit contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps |  |  |  |  | — |  |  |  |  |  |  |  | (8 | ) |  |  | — |  |  |  | — |  |  |  | 8 |
Total |  |  |  | $ | 259,924 |  |  | $ | 1,302,052 |  |  | $ | 6,160,569 |  |  | $ | (82,602 | ) |  | $ | (238,644 | ) |  | $ | (1,885,909 | )

1 |  | Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.

For the six months ended February 28, 2015, the average quarterly balances of outstanding derivative financial instruments were as follows:

|  |  |  | BHL |  | FRA |  | BLW
Financial future contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Average notional value of contracts long |  |  |  |  | — |  |  |  | — |  |  | $ | 11,161,063 |
Average notional value of contracts short |  |  |  |  | — |  |  |  | — |  |  | $ | 44,489,969 |
Forward foreign currency exchange contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Average amounts purchased — in USD |  |  |  | $ | 1,882,943 |  |  | $ | 9,610,965 |  |  | $ | 57,316,723 |
Average amounts sold — in USD |  |  |  | $ | 280,128 |  |  | $ | 1,111,721 |  |  | $ | 2,105,010 |
Options: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Average notional value of swaption contracts purchased |  |  |  |  | — |  |  |  | — |  |  |  | — |
Average notional value of swaption contracts written |  |  |  |  | — |  |  |  | — |  |  | $ | 18,700,000 | 2
Credit default swaps: |  |  |  |  |  |  |  |  |  |  |  |  |  |
Average notional value-buy protection |  |  |  |  | — |  |  |  | — |  |  | $ | 1,000 |
Average notional value-sell protection |  |  |  |  | — |  |  |  | — |  |  |  | — |
Interest rate swaps: |  |  |  |  |  |  |  |  | — |  |  |  |  |
Average notional value-pays fixed rate |  |  |  |  | — |  |  |  | — |  |  | $ | 18,700,000 |
Average notional value-receives fixed rate |  |  |  |  | — |  |  |  | — |  |  | $ | 39,826,708 |

2 |  | Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

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

With exchange-traded purchased options and futures, 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, the Funds do not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

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

68 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Notes to Financial Statements (continued) |

right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event the Funds’ net assets decline by a stated percentage or the Funds fail to meet the terms of its ISDA Master Agreements. The result would cause the Funds to accelerate payment of any net liability owed to the counterparty.

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

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

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.

As of February 28, 2015, the Funds’ derivative assets and liabilities (by type) are as follows:

BHL |  |  |  | Assets |  | Liabilities
Derivative Financial Instruments: |  |  |
Forward foreign currency exchange contracts |  |  |  | $ | 12,042 |  |  | $ | 15,431 |
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |  |  |  |  | — |  |  |  | — |
Total derivative assets and liabilities subject to an MNA |  |  |  | $ | 12,042 |  |  | $ | 15,431 |

FRA |  |  |  | Assets |  | Liabilities
Derivative Financial Instruments: |  |  |
Forward foreign currency exchange contracts |  |  |  | $ | 148,623 |  |  | $ | 60,728 |
Derivatives not subject to an MNA or similar agreement |  |  |  |  | — |  |  |  | — |
Total derivative assets and liabilities subject to an MNA |  |  |  | $ | 148,623 |  |  | $ | 60,728 |

BLW |  |  |  | Assets |  | Liabilities
Derivative Financial Instruments: |  |  |  |  |
Financial futures contracts |  |  |  | $ | 45,109 |  |  | $ | 29,276 |
Forward foreign currency exchange contracts |  |  |  |  | 743,909 |  |  |  | 535,784 |
Swaps — Centrally cleared |  |  |  |  | — |  |  |  | 1,135 |
Swaps — OTC1 |  |  |  |  | 16 |  |  |  | 310,193 |
Total derivative assets and liabilities in the Statement of Assets and Liabilities |  |  |  | $ | 789,034 |  |  |  | 876,388 |
Derivatives not subject to an MNA or similar agreement |  |  |  |  | (45,109 | ) |  |  | (30,411 | )
Total derivative assets and liabilities subject to an MNA |  |  |  | $ | 743,925 |  |  | $ | 845,977 |

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

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 69

Notes to Financial Statements (continued) |

As of February 28, 2015, the following tables present the Funds’ 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 Funds:

BHL |  |  |  |  |  |  |  |  |  |  |  |
Counterparty |  |  |  | Derivative Assets Subject to an MNA by Counterparty |  | Derivatives Available for Offset |  | Non-cash Collateral Received |  | Cash Collateral Received |  | Net Amount of Derivative Assets1
Citibank N.A. |  |  |  | $ | 12,042 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 12,042 |
Total |  |  |  | $ | 12,042 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 12,042 |

BHL |  |  |  |  |  |  |  |  |  |  |  |
Counterparty |  |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  | Derivatives Available for Offset2 |  | Non-cash Collateral Pledged |  | Cash Collateral Pledged3 |  | Net Amount of Derivative Liabilities4
Bank of America N.A. |  |  |  | $ | 14,156 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 14,156 |
Deutsche Bank AG |  |  |  |  | 1,275 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,275 |
Total |  |  |  | $ | 15,431 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 15,431 |

FRA |  |  |  |  |  |  |  |  |  |  |  |
Counterparty |  |  |  | Derivative Assets Subject to an MNA by Counterparty |  | Derivatives Available for Offset |  | Non-cash Collateral Received |  | Cash Collateral Received |  | Net Amount of Derivative Assets1
Citibank N.A. |  |  |  | $ | 43,022 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 43,022 |
UBS AG |  |  |  |  | 105,601 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 105,601 |
Total |  |  |  | $ | 148,623 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 148,623 |

FRA |  |  |  |  |  |  |  |  |  |  |  |
Counterparty |  |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  | Derivatives Available for Offset2 |  | Non-cash Collateral Pledged |  | Cash Collateral Pledged3 |  | Net Amount of Derivative Liabilities4
Bank of America N.A. |  |  |  | $ | 55,014 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 55,014 |
Royal Bank of Scotland PLC |  |  |  |  | 5,714 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 5,714 |
Total |  |  |  | $ | 60,728 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 60,728 |

BLW |  |  |  |  |  |  |  |  |  |  |  |
Counterparty |  |  |  | Derivative Assets Subject to an MNA by Counterparty |  | Derivatives Available for Offset |  | Non-cash Collateral Received |  | Cash Collateral Received |  | Net Amount of Derivative Assets1
Bank of America N.A. |  |  |  | $ | 12,049 |  |  | $ | (12,049 | ) |  |  | — |  |  |  | — |  |  |  | — |
Citibank N.A. |  |  |  |  | 636,895 |  |  |  | — |  |  |  | — |  |  |  | — |  |  | $ | 636,895 |
Credit Suisse International |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  |  |  | 16 |  |  |  | (16 | ) |  |  | — |  |  |  | — |  |  |  | — |
Goldman Sachs Bank USA |  |  |  |  | 2,396 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,396 |
Royal Bank of Scotland PLC |  |  |  |  | 2,123 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,123 |
Toronto Dominion Bank |  |  |  |  | 32,754 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 32,754 |
UBS AG |  |  |  |  | 57,692 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 57,692 |
Total |  |  |  | $ | 743,925 |  |  | $ | (12,065 | ) |  |  | — |  |  |  | — |  |  | $ | 731,860 |

BLW |  |  |  |  |  |  |  |  |  |  |  |
Counterparty |  |  |  | Derivative Liabilities Subject to an MNA by Counterparty |  | Derivatives Available for Offset2 |  | Non-cash Collateral Pledged |  | Cash Collateral Pledged3 |  | Net Amount of Derivative Liabilities4
Bank of America N.A. |  |  |  | $ | 533,656 |  |  | $ | (12,049 | ) |  |  | — |  |  |  | — |  |  | $ | 521,607 |
Deutsche Bank AG |  |  |  |  | 310,193 |  |  |  | (16 | ) |  |  | — |  |  |  | — |  |  |  | 310,177 |
State Street Bank and Trust Co. |  |  |  |  | 2,128 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,128 |
Total |  |  |  | $ | 845,977 |  |  | $ | (12,065 | ) |  |  | — |  |  |  | — |  |  | $ | 833,912 |

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

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

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

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

70 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Notes to Financial Statements (continued) |

5. Investment Advisory Agreement and Other Transactions with Affiliates:

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

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

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

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

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

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

6. Purchases and Sales:

For the six months ended February 28, 2015, purchases and sales of investments including paydowns, mortgage dollar roll and TBA transactions and excluding short-term securities were as follows:

Purchases |
|  |  |  | BHL |  | FRA |  | BLW
Non-U.S. Government Securities |  |  |  | $ | 34,678,446 |  |  | $ | 156,571,870 |  |  | $ | 174,705,570 |
U.S. Government Securities |  |  |  |  | — |  |  |  | — |  |  | $ | 12,071,661 |
Total Purchases |  |  |  | $ | 35,678,446 |  |  | $ | 156,571,870 |  |  | $ | 186,777,231 |
Sales |
|  |  |  | BHL |  | FRA |  | BLW
Non-U.S. Government Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |
(includes paydowns) |  |  |  | $ | 35,239,982 |  |  | $ | 155,713,836 |  |  | $ | 173,874,397 |
U.S. Government Securities |  |  |  |  | — |  |  |  | — |  |  | $ | 11,943,885 |
Total Sales |  |  |  | $ | 35,239,982 |  |  | $ | 155,713,836 |  |  | $ | 185,818,282 |

7. 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 their taxable income to their shareholders. Therefore, no federal income tax provision is required, except with respect to any taxes related to the Taxable Subsidiaries.

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 the Funds’ U.S. federal tax returns remains open for each of the four years ended August 31, 2014. 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 February 28, 2015, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 71

Notes to Financial Statements (continued) |

As of August 31, 2014, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:

Expires August 31, |  |  |  | FRA |  | BLW
2015 |  |  |  | $ | 169,958 |  |  |  | — |
2016 |  |  |  |  | 20,623,334 |  |  | $ | 284,006 |
2017 |  |  |  |  | 30,228,590 |  |  |  | 9,996,868 |
2018 |  |  |  |  | 27,716,009 |  |  |  | 37,509,275 |
2019 |  |  |  |  | 2,206,081 |  |  |  | — |
Total |  |  |  | $ | 80,943,972 |  |  | $ | 47,790,149 |

As of February 28, 2015, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

|  |  |  | BHL |  | FRA |  | BLW
Tax cost |  |  |  | $ | 182,968,512 |  |  | $ | 817,345,375 |  |  | $ | 923,984,737 |
Gross unrealized appreciation |  |  |  |  | 1,098,285 |  |  |  | 8,690,025 |  |  |  | 21,483,021 |
Gross unrealized depreciation |  |  |  |  | (2,450,186 | ) |  |  | (20,896,366 | ) |  |  | (24,849,378 | )
Net unrealized depreciation |  |  |  | $ | (1,351,901 | ) |  | $ | (12,206,341 | ) |  | $ | (3,366,357 | )

8. Borrowings:

BHL and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to the Funds. As of February 28, 2015, the Funds have not received any notice to terminate. The Funds have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

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

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

In addition, the Funds pay a facility fee and utilization fee (based on the daily unused portion of the commitments). The commitment fees are waived if the Funds meet certain conditions. The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs. Advances to the Funds as of February 28, 2015 are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

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

For the six months ended February 28, 2015, the average amount of bank borrowings and the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:

|  |  |  | Average Amount of Bank Borrowings |  | Daily Weighted Average Interest Rate
BHL |  |  |  | $ | 52,607,735 |  |  |  | 0.92% |
FRA |  |  |  | $ | 233,060,773 |  |  |  | 0.92% |

9. Principal Risks:

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

72 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Notes to Financial Statements (concluded) |

potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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

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

10. Capital Share Transactions:

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

Shares issued and outstanding remained constant for the six months ended February 28, 2015 and the year ended August 31, 2014.

FRA and BLW each filed a final prospectus with the U.S. Securities and Exchange Commission (“SEC”) allowing them to issue an additional 3,050,000 and 3,750,000 Common Shares, respectively, through an equity shelf program (a “Shelf Offering”). Under the Shelf Offering, FRA and BLW, subject to market conditions, may raise additional equity capital from time to time in varying amounts and utilizing various offering methods at a net price at or above FRA and BLW’s net asset value (“NAV”) per Common Share (calculated within 48 hours of pricing). Please see Additional Information — Shelf Offering Program for additional information about the Shelf Offering. Costs incurred by FRA and BLW in connection with the Shelf Offering are recorded as a deferred charge and amortized over 12 months.

11. Subsequent Events:

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

The Funds paid a net investment income dividend in the following amounts per share on March 31, 2015 to Common Shareholders of record on March 13, 2015:

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

Additionally, the Funds declared a net investment income dividend on April 1, 2015 payable to Common Shareholders of record on April 15, 2015, for the same amounts noted above.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 73

Officers and Directors |

Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chairperson of the Board, Chairperson of the
Audit Committee and Director
Michael J. Castellano, Director and Member of the Audit Committee
Frank J. Fabozzi, Director and Member of the Audit Committee
Kathleen F. Feldstein, Director
James T. Flynn, Director and Member of the Audit Committee
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
Barbara G. Novick, Director
John M. Perlowski, Director, President and Chief Executive Officer
Robert W. Crothers, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Charles Park, Chief Compliance Officer
Janey Ahn, Secretary

Effective September 5, 2014, Brendan Kyne resigned as a Vice President of the Funds. Effective December 31, 2014, Paul L. Audet and Henry Gabbay resigned as Directors of the Funds. Effective December 31, 2014, Barbara G. Novick and John M. Perlowski were appointed to serve as Directors of the Funds.

Investment Advisor BlackRock Advisors, LLC Wilmington, DE 19809 |  | Custodian and Accounting Agent State Street Bank and Trust Company Boston, MA 02110 Transfer Agent Common Shares Computershare Trust Company, N.A. Canton, MA 02021 |  | Independent Registered Public Accounting Firm Deloitte & Touche LLP Boston, MA 02116 Legal Counsel Skadden, Arps, Slate, Meagher & Flom LLP New York, NY 10036 |  | Address of the Funds 100 Bellevue Parkway Wilmington, DE 19809

74 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Additional Information |

Fund Certification

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

Dividend Policy

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

General Information

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

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

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

Electronic Delivery

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

To enroll in electronic delivery:

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

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

Householding

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

Availability of Quarterly Schedule of Investments

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

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 75

Additional Information (continued) |

General Information (concluded)

Availability of Proxy Voting Policies and Procedures

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

Availability of Proxy Voting Record

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

Availability of Fund Updates

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

Section 19(a) Notices

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

February 28, 2015 |
|  |  |  | Total Fiscal Year to Date Cumulative Distributions by Character |  | Percentage of Fiscal Year to Date Cumulative Distributions by Character |
|  |  |  | Net Investment Income |  | Net Realized Capital Gains Short Term |  | Net Realized Capital Gains Long Term |  | Return of Capital |  | Total Per Common Share |  | Net Investment Income |  | Net Realized Capital Gains Short Term |  | Net Realized Capital Gains Long Term |  | Return of Capital |  | Total Per Common Share
BHL |  |  |  | $ | 0.455211 |  |  |  | — |  |  |  | — |  |  | $ | 0.096789 |  |  | $ | 0.552000 |  |  |  | 82% |  |  |  | — |  |  |  | — |  |  |  | 18% |  |  |  | 100 | %
BLW |  |  |  | $ | 0.662359 |  |  |  | — |  |  |  | — |  |  | $ | 0.031641 |  |  | $ | 0.694000 |  |  |  | 95% |  |  |  | — |  |  |  | — |  |  |  | 5% |  |  |  | 100 | %

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

Shelf Offering Program

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

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

76 | SEMI-ANNUAL REPORT | FEBRUARY 28, 2015

Additional Information (concluded) |

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.

SEMI-ANNUAL REPORT | FEBRUARY 28, 2015 | 77

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

CEFT-BK3-2/15-SAR |  |  |  |  |  |

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 of this Form.
| (b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable to this semi-annual report
Item 8 – | Portfolio Managers of Closed-End Management Investment Companies

| (a) | Not Applicable to this semi-annual report
| (b) | As of the date of this filing, there have been no changes in any of the portfolio managers identified in the most recent annual report on Form N-CSR.

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

2

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

BlackRock Floating Rate Income Strategies Fund, Inc.

By: | /s/ John M. Perlowski
| John M. Perlowski
| Chief Executive Officer (principal executive officer) of
| BlackRock Floating Rate Income Strategies Fund, Inc.

Date: May 1, 2015

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

By: | /s/ John M. Perlowski
| John M. Perlowski
| Chief Executive Officer (principal executive officer) of
| BlackRock Floating Rate Income Strategies Fund, Inc.

Date: May 1, 2015

By: | /s/ Neal J. Andrews
| Neal J. Andrews
| Chief Financial Officer (principal financial officer) of
| BlackRock Floating Rate Income Strategies Fund, Inc.

Date: May 1, 2015

3