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
811-21637
Name of Fund: BlackRock Diversified
Income Strategies Fund, Inc. (DVF)
Fund Address: 100 Bellevue Parkway,
Wilmington, DE 19809
Name and address of agent for service:
John M. Perlowski, Chief Executive Officer, BlackRock Diversified Income Strategies Fund, Inc., 55 East 52
nd
Street,
New York, NY 10055
Registrant’s telephone number,
including area code: (800) 882-0052, Option 4
Date of fiscal year end: 08/31/2012
Date of reporting period: 02/29/2012
Item 1 – Report to Stockholders
|
February
29, 2012
|
Semi-Annual
Report (Unaudited)
BlackRock
Defined Opportunity Credit Trust (BHL)
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
BlackRock Limited Duration Income Trust (BLW)
Not
FDIC Insured No Bank Guarantee May Lose Value
Table
of Contents
2
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Dear
Shareholder
Risk assets were advancing at this time last
year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in
May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe.
Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged
debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poors downgraded the US governments credit
rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that
followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign
bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading
decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20%
from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.
October brought enough positive economic
data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming
the regions debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack
of definitive details about Europes rescue plan eventually raised doubts among investors and thwarted the rally at the end
of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds,
and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets,
but investor confidence was easily tempered by sobering news flow.
Investors showed more optimism at the start
of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized.
In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would
keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout
plan and restructuring the nations debt. Nevertheless, considerable headwinds remain. Europe faces a prolonged recession,
the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth
in China weigh heavily on the future of the global economy.
Risk assets, including equities and high
yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a
12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks
finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound.
Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality
rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low
short-term interest rates kept yields on money market securities near their all-time lows.
Many of the themes that caused uncertainty
in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock
was built for these times. Visit
blackrock.com/newworld
for more information.
Sincerely,
Rob Kapito
President, BlackRock
Advisors, LLC
For investors, the risks appear daunting, but this challenging
environment offers new opportunities. BlackRock was built for these times.
Rob Kapito
President, BlackRock Advisors, LLC
Total
Returns as of February 29, 2012
|
6-month
|
12-month
|
|
US large cap equities
|
13.31
|
%
|
5.12
|
%
|
(S&P
500
®
Index)
|
|
|
|
|
|
US small cap equities
|
12.40
|
|
(0.15
|
)
|
(Russell
2000
®
Index)
|
|
|
|
|
|
International equities
|
4.13
|
|
(7.45
|
)
|
(MSCI Europe, Australasia,
|
|
|
|
|
Far
East Index)
|
|
|
|
|
|
Emerging market
|
5.27
|
|
(0.11
|
)
|
equities (MSCI Emerging
|
|
|
|
|
Markets
Index)
|
|
|
|
|
|
3-month Treasury
|
0.00
|
|
0.08
|
|
bill (BofA Merrill Lynch
|
|
|
|
|
3-Month Treasury
|
|
|
|
|
Bill
Index)
|
|
|
|
|
|
US Treasury securities
|
3.70
|
|
17.22
|
|
(BofA Merrill Lynch 10-
|
|
|
|
|
Year
US Treasury Index)
|
|
|
|
|
|
US investment grade
|
2.73
|
|
8.37
|
|
bonds (Barclays US
|
|
|
|
|
Aggregate
Bond Index)
|
|
|
|
|
|
Tax-exempt municipal
|
5.93
|
|
12.88
|
|
bonds (S&P Municipal
|
|
|
|
|
Bond
Index)
|
|
|
|
|
|
US high yield bonds
|
8.62
|
|
6.92
|
|
(Barclays US Corporate
|
|
|
|
|
High Yield 2% Issuer
|
|
|
|
|
Capped
Index)
|
|
|
|
|
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 29, 2012
|
BlackRock
Defined Opportunity Credit Trust
|
Investment
Objective
BlackRock Defined Opportunity Credit Trusts
(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 Funds investment objectives will be achieved.
Portfolio
Management Commentary
How did the Fund perform?
|
|
For
the six months ended February 29, 2012, the
Fund returned 9.69% based on market price and
8.88% based on net asset value (NAV).
For the same period, the closed-end Lipper Loan
Participation Funds category posted an average
return of 12.07% based on market price and 8.96%
based on NAV. All returns reflect reinvestment
of dividends. The Fund's discount to NAV, which
narrowed 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?
|
|
Security
selection among higher-quality and non-rated
floating rate loans and common stock had a positive
impact on the Funds performance. Selection
in the chemicals and electric sectors also boosted
returns. The Funds tactical exposure to
high yield bonds contributed positively as the
asset class outperformed loans given improving
investor demand for riskier assets over the
six-month period.
|
|
|
Detracting
from performance was security selection among
lower-quality loan instruments, an area of the
market that generally carried a less favorable
risk-return profile during the period. The Funds
exposure to the paper sector had a negative
effect on returns, as did a tactical allocation
to asset-backed securities via collateralized
loan obligations.
|
Describe recent portfolio activity.
|
|
The
period began with severe market volatility in
reaction to headwinds from Europes debt
crisis and a possible US government shut-down.
However, the environment shifted in December
when the European Central Bank announced a long-term
refinancing operation. This liquidity program
provided a much-needed short-term solution for
the financial markets and mitigated the risk
of a collapse in the European banking system.
Moreover, it was the catalyst for a positive
turn in the valuation of risk assets.
|
|
|
During
the period, the Fund maintained its focus on
the higher quality portions of the loan market
in terms of loan structure, liquidity and overall
credit quality. Given the weak outlook for global
growth, the Fund remained cautious of lower-rated
less-liquid loans. The Fund sought issuers with
attractive risk-reward characteristics and superior
fundamentals. While the developments during
the period bode well for the posture of risk
markets going forward, the Fund continues to
maintain a high quality bias.
|
Describe portfolio positioning at period
end.
|
|
At
period end, the Fund held 87% of its total portfolio
in floating rate loan interests (bank loans),
10% in corporate bonds, with the remainder in
asset-backed securities and common stocks. The
Funds largest sector exposures included
wireless, non-captive diversified financials
and chemicals. The Fund ended the period with
economic leverage at 22% of its total managed
assets.
|
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 29, 2012
|
BlackRock
Defined Opportunity Credit Trust
Fund
Information
|
|
Symbol on New York
Stock Exchange (NYSE)
|
BHL
|
Initial Offering
Date
|
January
31, 2008
|
Yield on Closing
Market Price as of February 29, 2012 ($13.45)
1
|
5.89%
|
Current Monthly Distribution
per Common Share
2
|
$0.066
|
Current Annualized
Distribution per Common Share
2
|
$0.792
|
Economic
Leverage as of February 29, 2012
3
|
22%
|
1
|
|
Yield
on
closing
market
price
is
calculated
by
dividing
the
current
annualized
distribution
per
share
by
the
closing
market
price.
Past
performance
does
not
guarantee
future
results.
|
2
|
|
The
distribution
rate
is
not
constant
and
is
subject
to
change.
|
3
|
|
Represents
loan
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
12.
|
The table below summarizes the changes in
the Funds market price and NAV per share:
|
|
|
|
|
|
|
2/29/12
|
8/31/11
|
Change
|
High
|
Low
|
Market Price
|
$13.45
|
$12.65
|
6.32%
|
$13.58
|
$11.59
|
Net
Asset Value
|
$13.90
|
$13.17
|
5.54%
|
$13.90
|
$12.93
|
The following charts show the portfolio composition
of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
Portfolio
Composition
|
|
2/29/12
|
|
|
8/31/11
|
|
Floating Rate Loan Interests
|
|
87
|
%
|
|
86
|
%
|
Corporate Bonds
|
|
10
|
|
|
11
|
|
Asset-Backed Securities
|
|
2
|
|
|
2
|
|
Common Stocks
|
|
1
|
|
|
—
|
|
Other
Interests
|
|
—
|
|
|
1
|
|
Credit
Quality Allocations
4
|
|
2/29/12
|
|
|
8/31/11
|
|
BBB/Baa
|
|
11
|
%
|
|
12
|
%
|
BB/Ba
|
|
44
|
|
|
33
|
|
B
|
|
45
|
|
|
55
|
|
4
|
|
Using
the higher of Standard & Poors
(S&Ps) or Moodys
Investors Service (Moodys)
ratings.
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
5
|
|
|
Fund
Summary
as of February 29, 2012
|
BlackRock
Diversified Income Strategies Fund, Inc.
|
Investment
Objective
BlackRock Diversified Income Strategies
Fund, Inc.s (DVF) (the Fund)
investment objective is to provide shareholders with high current income. The
Fund seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including
floating rate loans, bonds, certain preferred securities (including certain convertible preferred securities), notes or other
debt securities or instruments which pay a floating or variable rate of interest until maturity. The Fund considers floating rate
debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into certain derivative transactions
at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,
in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The
Fund may invest, under normal market conditions, a substantial portion of its assets in below investment grade quality securities.
The Fund may invest directly in such securities or synthetically through the use of derivatives.
No
assurance can be given that the Funds investment objective will be achieved.
Portfolio
Management Commentary
How did the Fund perform?
|
|
For
the six months ended February 29, 2012, the
Fund returned 6.70% based on market price and
8.73% based on NAV. For the same period, the
closed-end Lipper Loan Participation Funds category
posted an average return of 12.07% based on
market price and 8.96% 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?
|
|
Security
selection among higher-quality loan instruments
had a positive impact on the Funds performance.
The Funds tactical exposure to high yield
bonds also contributed positively as the asset
class outperformed loans during the period.
Selection in the electric, chemicals and transportation
services sectors boosted returns. The Funds
use of leverage was an additional contributor.
|
|
|
Detracting
from performance was security selection among
lower-quality loan instruments, an area of the
market that generally carried a less favorable
risk-return profile during the period. Selection
within the independent energy and non-cable
media sectors also had a negative impact on
returns.
|
Describe recent portfolio activity.
|
|
The
period began with severe market volatility in
reaction to headwinds from Europes debt
crisis and a possible US government shut-down.
However, the environment shifted in December
when the European Central Bank announced a long-term
refinancing operation. This liquidity program
provided a much-needed short-term solution for
the financial markets and mitigated the risk
of a collapse in the European banking system.
Moreover, it was the catalyst for a positive
turn in the valuation of risk assets.
|
|
|
During
the period, the Fund maintained its focus on
the higher quality portions of the loan market
in terms of loan structure, liquidity and overall
credit quality. Given the weak outlook for global
growth, the Fund remained cautious of lower-rated
less-liquid loans. The Fund sought issuers with
attractive risk-reward characteristics and superior
fundamentals. While the developments during
the period bode well for the posture of risk
markets going forward, the Fund continues to
maintain a high quality bias.
|
Describe portfolio positioning at period
end.
|
|
At
period end, the Fund held 83% of its total portfolio
in floating rate loan interests (bank loans),
12% in corporate bonds, with the remainder in
asset-backed securities, common stocks and other
interests. The Funds largest sector exposures
included cable media, chemicals and wireless.
The Fund ended the period with economic leverage
at 23% of its total managed assets.
|
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 29, 2012
|
BlackRock
Diversified Income Strategies Fund, Inc.
Fund
Information
|
|
Symbol on NYSE
|
DVF
|
Initial Offering
Date
|
January
31, 2005
|
Yield on Closing
Market Price as of February 29, 2012 ($10.12)
1
|
6.94%
|
Current Monthly Distribution
per Common Share
2
|
$0.0585
|
Current Annualized
Distribution per Common Share
2
|
$0.7020
|
Economic
Leverage as of February 29, 2012
3
|
23%
|
1
|
|
Yield
on
closing
market
price
is
calculated
by
dividing
the
current
annualized
distribution
per
share
by
the
closing
market
price.
Past
performance
does
not
guarantee
future
results.
|
2
|
|
The
distribution
rate
is
not
constant
and
is
subject
to
change.
|
3
|
|
Represents
loan
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
12.
|
The table below summarizes the changes in
the Funds market price and NAV per share:
|
|
|
|
|
|
|
2/29/12
|
8/31/11
|
Change
|
High
|
Low
|
Market Price
|
$10.12
|
$ 9.84
|
2.85%
|
$10.22
|
$8.84
|
Net
Asset Value
|
$10.68
|
$10.19
|
4.81%
|
$10.68
|
$9.95
|
The following charts show the portfolio composition
of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
Portfolio
Composition
|
|
|
|
|
|
|
2/29/12
|
|
|
8/31/11
|
|
Floating Rate Loan Interests
|
|
83
|
%
|
|
80
|
%
|
Corporate Bonds
|
|
12
|
|
|
14
|
|
Asset-Backed Securities
|
|
2
|
|
|
2
|
|
Common Stocks
|
|
2
|
|
|
2
|
|
Other
Interests
|
|
1
|
|
|
2
|
|
Credit
Quality Allocations
4
|
|
|
|
|
|
|
2/29/12
|
|
|
8/31/11
|
|
BBB/Baa
|
|
8
|
%
|
|
8
|
%
|
BB/Ba
|
|
44
|
|
|
30
|
|
B
|
|
36
|
|
|
47
|
|
CCC/Caa
|
|
7
|
|
|
8
|
|
Not Rated
|
|
5
|
|
|
7
|
|
4
|
|
Using
the
higher
of
S&Ps
or
Moodys
ratings.
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
7
|
|
|
Fund
Summary
as of February 29, 2012
|
BlackRock
Floating Rate Income Strategies Fund, Inc.
|
Investment
Objective
BlackRock Floating Rate Income Strategies
Fund, Inc.s (FRA) (the Fund)
investment objective is to provide shareholders with high current income and
such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating
rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions,
at least 80% of its 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 Funds investment objective will be achieved.
Portfolio
Management Commentary
How did the Fund perform?
|
|
For
the six months ended February 29, 2012, the
Fund returned 12.69% based on market price and
8.76% based on NAV. For the same period, the
closed-end Lipper Loan Participation Funds category
posted an average return of 12.07% based on
market price and 8.96% based on NAV. All returns
reflect reinvestment of dividends. The Fund's
discount to NAV, which narrowed 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?
|
|
Security
selection among higher-quality and non-rated
floating rate loans and common stock had a positive
impact on the Funds performance. Selection
in the chemicals and electric sectors also boosted
returns. The Funds tactical exposure to
high yield bonds contributed positively as the
asset class outperformed loans given improving
investor demand for riskier assets over the
six-month period.
|
|
|
Detracting
from performance was security selection among
lower-quality loan instruments, an area of the
market that generally carried a less favorable
risk-return profile during the period. The Funds
exposure to the paper sector had a negative
effect on returns, as did a tactical allocation
to asset-backed securities via collateralized
loan obligations.
|
Describe recent portfolio activity.
|
|
The
period began with severe market volatility in
reaction to headwinds from Europes debt
crisis and a possible US government shut-down.
However, the environment shifted in December
when the European Central Bank announced a long-term
refinancing operation. This liquidity program
provided a much-needed short-term solution for
the financial markets and mitigated the risk
of a collapse in the European banking system.
Moreover, it was the catalyst for a positive
turn in the valuation of risk assets.
|
|
|
During
the period, the Fund maintained its focus on
the higher quality portions of the loan market
in terms of loan structure, liquidity and overall
credit quality. Given the weak outlook for global
growth, the Fund remained cautious of lower-rated
less-liquid loans. The Fund sought issuers with
attractive risk-reward characteristics and superior
fundamentals. While the developments during
the period bode well for the posture of risk
markets going forward, the Fund continues to
maintain a high quality bias.
|
Describe portfolio positioning at period
end.
|
|
At
period end, the Fund held 83% of its total portfolio
in floating rate loan interests (bank loans),
13% in corporate bonds, with the remainder in
asset-backed securities and common stocks. The
Funds largest sector exposures included
wireless, non-captive diversified financials
and chemicals. The Fund ended the period with
economic leverage at 22% of its total managed
assets.
|
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 29, 2012
|
BlackRock
Floating Rate Income Strategies Fund, Inc.
Fund
Information
|
|
Symbol on NYSE
|
FRA
|
Initial Offering Date
|
October 31,
2003
|
Yield on Closing Market Price as of February 29, 2012
($14.52)
1
|
6.36%
|
Current Monthly Distribution per Common Share
2
|
$0.077
|
Current Annualized Distribution per Common Share
2
|
$0.924
|
Economic
Leverage as of February 29, 2012
3
|
22%
|
1
|
|
Yield
on
closing
market
price
is
calculated
by
dividing
the
current
annualized
distribution
per
share
by
the
closing
market
price.
Past
performance
does
not
guarantee
future
results.
|
2
|
|
The
distribution
rate
is
not
constant
and
is
subject
to
change.
|
3
|
|
Represents
loan
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
12.
|
The table below summarizes the changes in
the Funds market price and NAV per share:
|
|
|
|
|
|
|
2/29/12
|
8/31/11
|
Change
|
High
|
Low
|
Market Price
|
$14.52
|
$13.33
|
8.93%
|
$14.60
|
$12.33
|
Net
Asset Value
|
$14.76
|
$14.04
|
5.13%
|
$14.76
|
$13.74
|
The following charts show the portfolio composition
of the Funds long-term investments and credit quality allocations of the Funds corporate bond investments:
Portfolio
Composition
|
|
2/29/12
|
|
|
8/31/11
|
|
Floating Rate Loan Interests
|
|
83
|
%
|
|
81
|
%
|
Corporate Bonds
|
|
13
|
|
|
15
|
|
Asset-Backed Securities
|
|
3
|
|
|
3
|
|
Common Stocks
|
|
1
|
|
|
—
|
|
Other
Interests
|
|
—
|
|
|
1
|
|
Credit
Quality Allocations
4
|
|
2/29/12
|
|
|
8/31/11
|
|
BBB/Baa
|
|
9
|
%
|
|
9
|
%
|
BB/Ba
|
|
39
|
|
|
36
|
|
B
|
|
43
|
|
|
49
|
|
CCC/Caa
|
|
4
|
|
|
3
|
|
Not Rated
|
|
5
|
|
|
3
|
|
4
Using the higher of S&Ps
or Moodys ratings.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
9
|
|
|
Fund
Summary
as of February 29, 2012
|
BlackRock
Limited Duration Income Trust
|
Investment
Objective
BlackRock Limited Duration Income Trusts
(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 and asset-backed
securities and US Government and agency securities;
|
|
|
senior,
secured floating rate loans made to corporate
and other business entities; and
|
|
|
US
dollar-denominated securities of US and non-US
issuers rated below investment grade, and to
a limited extent, non-US dollar denominated
securities of non-US issuers rated below investment
grade.
|
The Funds 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 Funds investment objective will be achieved.
Portfolio
Management Commentary
How did the Fund perform?
|
|
For
the six months ended February 29, 2012, the
Fund returned 10.48% based on market price and
8.20% based on NAV. For the same period, the
closed-end Lipper High Current Yield Funds (Leveraged)
category posted an average return of 13.38%
based on market price and 10.05% based on NAV.
All returns reflect reinvestment of dividends.
The Fund's discount to NAV, which narrowed 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?
|
|
Security
selection among higher-quality credit instruments
had a positive impact on the Funds performance.
Selection in the consumer services and electric
sectors also boosted returns. The Funds
tactical exposure to equity securities was rewarding
as equities outperformed high yield debt amid
improving investor demand for riskier assets
over the six-month period.
|
|
|
The
Fund differs from its Lipper category competitors,
which invest primarily in high yield bonds,
in that the Fund also invests in floating rate
loan interests (bank loans), investment grade
credits and securitized assets. While the Funds
allocations to these other asset classes did
not detract from performance on an absolute
basis, they underperformed high yield bonds
for the period. Security selection in the non-cable
media and paper sectors pared the Funds
gains for the period.
|
Describe recent portfolio activity.
|
|
In
the early part of the period, as the outlook
for global growth worsened and the potential
for further spreading of the ongoing debt crisis
in Europe increased, the Fund shifted its positioning
to a more conservative posture. Specifically,
the Fund reduced positions in the more cyclical
credits and increased exposure to market sectors
with more stable cash flows.
|
|
|
However,
the environment shifted in December when the
European Central Bank announced a long-term
refinancing operation. This liquidity program
provided a much-needed short-term solution for
the financial markets and mitigated the risk
of a collapse in the European banking system.
Moreover, it was the catalyst for a positive
turn in the valuation of risk assets. Given
these developments, the Fund maintained its
higher-quality income-oriented bias, but started
selectively adding back some risk in names with
appealing risk-reward characteristics. Despite
this modest shift to risk-on, the
Fund continued to seek issuers with superior
fundamentals while avoiding higher-beta credits
(i.e., those with higher sensitivity to market
volatility) and the more economically sensitive
areas of the market.
|
Describe portfolio positioning at period
end.
|
|
At
period end, the Fund held 45% of its total portfolio
in corporate bonds, 31% in floating rate loan
interests (bank loans), 11% in non-agency mortgage-backed
securities, with the remainder in US Government
sponsored agency securities, asset-backed securities,
common stocks and taxable municipal bonds. The
Funds largest sector exposures included
cable media, independent energy and chemicals.
The Fund ended the period with economic leverage
at 27% of its total managed assets.
|
The
views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changes in
market, economic or other conditions. These views are not intended to be a forecast of future events and are no guarantee of future
results.
10
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
BlackRock
Limited Duration Income Trust
Fund
Information
|
|
Symbol on NYSE
|
BLW
|
Initial Offering Date
|
July 30, 2003
|
Yield on Closing Market Price as of February 29, 2012
($16.96)
1
|
7.43%
|
Current Monthly Distribution per Common Share
2
|
$0.105
|
Current Annualized Distribution per Common Share
2
|
$1.260
|
Economic
Leverage as of February 29, 2012
3
|
27%
|
1
|
|
Yield
on
closing
market
price
is
calculated
by
dividing
the
current
annualized
distribution
per
share
by
the
closing
market
price.
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
12.
|
The table below summarizes the changes in
the Funds market price and NAV per share:
|
|
|
|
|
|
|
2/29/12
|
8/31/11
|
Change
|
High
|
Low
|
Market Price
|
$16.96
|
$16.01
|
5.93%
|
$17.33
|
$15.00
|
Net
Asset Value
|
$17.14
|
$16.52
|
3.75%
|
$17.14
|
$15.92
|
The following charts show the portfolio composition
of the Funds long-term investments and credit quality allocations of the Funds corporate bond and US government securities
investments:
Portfolio
Composition
|
|
|
|
|
|
|
2/29/12
|
|
|
8/31/11
|
|
Corporate Bonds
|
|
45
|
%
|
|
40
|
%
|
Floating Rate Loan Interests
|
|
31
|
|
|
31
|
|
Non-Agency Mortgage-Backed Securities
|
|
11
|
|
|
10
|
|
US Government Sponsored Agency Securities
|
|
6
|
|
|
11
|
|
Asset-Backed Securities
|
|
4
|
|
|
5
|
|
Common Stocks
|
|
2
|
|
|
1
|
|
Taxable Municipal Bonds
|
|
1
|
|
|
1
|
|
Other
Interests
|
|
—
|
|
|
1
|
|
Credit
Quality Allocations
4
|
|
|
|
|
|
|
2/29/12
|
|
|
8/31/11
|
|
AAA/Aaa
5
|
|
12
|
%
|
|
17
|
%
|
AA/Aa
|
|
2
|
|
|
2
|
|
A
|
|
7
|
|
|
5
|
|
BBB/Baa
|
|
15
|
|
|
15
|
|
BB/Ba
|
|
33
|
|
|
26
|
|
B
|
|
25
|
|
|
27
|
|
CCC/Caa
|
|
5
|
|
|
7
|
|
D
|
|
—
|
|
|
1
|
|
Not Rated
|
|
1
|
|
|
—
|
|
4
|
|
Using
the
higher
of
S&Ps
or
Moodys
ratings.
|
5
|
|
Includes
US
Government
Sponsored
Agency
securities
and
US
Treasury
Obligations,
which
were
deemed
AAA/Aaa
by
the
investment
advisor.
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
11
|
The
Benefits and Risks of Leveraging
The Funds may utilize leverage to seek to
enhance the yield and NAV of their common shares (Common Shares). However, these objectives cannot be achieved in
all interest rate environments.
The Funds may utilize leverage by borrowing
through a credit facility or through entering into reverse repurchase agreements. In general, the concept of leveraging is based
on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates,
will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total
assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each
Funds 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. However, in order to benefit shareholders, the yield curve must be positively sloped; that is,
short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term
interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.
To illustrate these concepts, assume a Funds
capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available
for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the
yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million
of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets
received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense
of the borrowings is significantly lower than the income earned on the Funds long-term investments, and therefore the Funds
shareholders are the beneficiaries of the incremental net income.
If short-term interest rates rise, narrowing
the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated
completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative
slope. In this case, the Fund pays higher short-term interest rates whereas the Funds total portfolio earns income based
on lower long-term interest rates.
Furthermore, the value of the Funds
portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence
the value of portfolio investments. In contrast, the redemption value of the Funds borrowings does not fluctuate in relation
to interest rates. As a result, changes in interest rates can influence the Funds NAVs positively or negatively in addition
to the impact on Fund performance from leverage from borrowings discussed above.
The use of leverage may enhance opportunities
for increased income to the Funds, but as described above, it also creates risks as short- or long-term interest rates fluctuate.
Leverage also will generally cause greater changes in the Funds NAVs, market prices and dividend rates than comparable portfolios
without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage,
the Funds net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased
is not sufficient to cover the cost of leverage, each Funds net income will be less than if leverage had not been used,
and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio
securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use
of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may
limit each Funds ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund
will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.
Under the Investment Company Act of 1940,
as amended (the 1940 Act), the Funds are permitted to issue senior securities representing indebtedness up to 33 1/3%
of their total managed assets (each Funds net assets plus the proceeds of any outstanding borrowings). If the Funds segregate
liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will
not be considered a senior security and therefore will not be subject to this limitation. In addition, each Fund voluntarily limits
its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Funds had aggregate economic leverage
from any reverse repurchase agreements and borrowings through a credit facility as a percentage of their total managed assets
as follows:
|
Percent
of
Economic
Leverage
|
BHL
|
22%
|
DVF
|
23%
|
FRA
|
22%
|
BLW
|
27%
|
Derivative
Financial Instruments
The Funds may invest in various derivative
financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified
in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments
are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit,
interest rate and/or foreign currency exchange rate risks. 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 advisors 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
require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of
appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold
an investment that it might otherwise sell. The Funds investments in these instruments are discussed in detail in the Notes
to Financial Statements.
12
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Schedule
of Investments
February 29, 2012 (Unaudited)
|
BlackRock
Defined Opportunity Credit Trust (BHL)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Asset-Backed
Securities
|
|
(000)
|
Value
|
|
ARES CLO Funds, Series 2005-10A, Class
B,
|
|
|
|
0.95%,
9/18/17 (a)(b)
|
USD
|
250
|
$
|
231,345
|
Canaras Summit CLO Ltd., Series 2007-1A,
Class B,
|
|
|
|
1.04%, 6/19/21 (a)(b)
|
|
345
|
293,350
|
Flagship CLO, Series 2006-1A, Class
B,
|
|
|
|
0.91%, 9/20/19 (a)(b)
|
|
1,000
|
772,500
|
Fraser Sullivan CLO Ltd., Series 2006-2A,
Class B,
|
|
|
|
0.96%, 12/20/20 (a)(b)
|
|
500
|
425,000
|
Gannett Peak CLO Ltd., Series 2006-1X,
Class A2,
|
|
|
|
0.92%, 10/27/20 (b)
|
|
265
|
213,988
|
Goldman Sachs Asset Management CLO Plc,
|
|
|
|
Series 2007-1A, Class
B, 1.00%, 8/01/22 (a)(b)
|
|
580
|
464,000
|
Landmark CDO Ltd., Series 2006-8A, Class
B,
|
|
|
|
0.92%, 10/19/20 (a)(b)
|
|
495
|
414,404
|
MAPS CLO Fund LLC, Series 2005-1A, Class
C,
|
|
|
|
1.52%, 12/21/17 (a)(b)
|
|
260
|
234,260
|
Portola CLO Ltd., Series 2007-1X, Class
B1,
|
|
|
|
1.95%, 11/15/21 (b)
|
|
350
|
300,125
|
T2 Income Fund CLO Ltd., Series 2007-1A,
Class B,
|
|
|
|
1.17%,
7/15/19 (a)(b)
|
|
300
|
260,175
|
Total
Asset-Backed Securities 2.9%
|
|
|
3,609,147
|
|
|
Common
Stocks (c)
|
|
Shares
|
|
Auto Components
0.8%
|
|
|
|
Delphi Automotive Plc (180-day lock)
|
|
|
|
(acquired
11/17/11, cost $176,777) (d)
|
|
30,737
|
958,994
|
Hotels, Restaurants
& Leisure 0.1%
|
|
|
|
BLB
Worldwide Holdings, Inc.
|
|
20,020
|
196,180
|
Software 0.0%
|
|
|
|
HMH
Holdings/EduMedia
|
|
53,267
|
13,317
|
Total
Common Stocks 0.9%
|
|
|
1,168,491
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
|
Airlines 0.2%
|
|
|
|
American Airlines Pass-Through Trust,
Series 2011-2,
|
|
|
|
Class A, 8.63%, 4/15/23
|
USD
|
129
|
136,740
|
Delta Air Lines, Inc., Series 2009-1-B,
Class B,
|
|
|
|
9.75%, 6/17/18
|
|
55
|
58,663
|
|
|
|
195,403
|
Auto Components
0.9%
|
|
|
|
Icahn Enterprises LP:
|
|
|
|
7.75%, 1/15/16
|
|
785
|
822,287
|
8.00%, 1/15/18 (a)
|
|
340
|
360,400
|
|
|
|
1,182,687
|
Chemicals
0.6%
|
|
|
|
CF Industries, Inc., 6.88%, 5/01/18
|
|
415
|
488,662
|
Ineos Finance Plc, 8.38%, 2/15/19 (a)
|
|
110
|
116,875
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
130
|
142,256
|
LyondellBasell Industries NV, 6.00%,
11/15/21 (a)
|
|
45
|
49,388
|
|
|
|
797,181
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Commercial Banks
0.2%
|
|
|
|
CIT Group, Inc.:
|
|
|
|
7.00%,
5/02/16 (a)
|
USD
|
180
|
$
|
180,225
|
7.00%, 5/02/17 (a)
|
|
130
|
130,163
|
|
|
|
310,388
|
Commercial Services
& Supplies 0.3%
|
|
|
|
ARAMARK Corp., 4.05%, 2/01/15 (b)
|
|
65
|
64,756
|
AWAS Aviation Capital Ltd., 7.00%, 10/17/16
(a)
|
|
340
|
355,200
|
|
|
|
419,956
|
Consumer Finance
0.3%
|
|
|
|
Inmarsat
Finance Plc, 7.38%, 12/01/17 (a)
|
|
325
|
347,750
|
Containers &
Packaging 0.1%
|
|
|
|
Graphic
Packaging International, Inc., 9.50%, 6/15/17
|
|
100
|
111,250
|
Diversified Financial
Services 1.1%
|
|
|
|
Ally Financial, Inc., 2.73%, 12/01/14
(b)
|
|
1,025
|
959,330
|
FCE Bank Plc, 7.13%, 1/15/13
|
EUR
|
50
|
69,113
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
7.13%, 4/15/19
|
USD
|
120
|
126,900
|
6.88%, 2/15/21
|
|
185
|
196,100
|
|
|
|
1,351,443
|
Diversified Telecommunication
Services 0.1%
|
|
|
|
ITC
Deltacom, Inc., 10.50%, 4/01/16
|
|
140
|
145,950
|
Health Care Providers
& Services 0.5%
|
|
|
|
HCA, Inc., 6.50%, 2/15/20
|
|
400
|
429,000
|
Tenet Healthcare Corp., 6.25%, 11/01/18
(a)
|
|
185
|
197,256
|
|
|
|
626,256
|
Health Care Technology
0.8%
|
|
|
|
IMS
Health, Inc., 12.50%, 3/01/18 (a)
|
|
850
|
1,011,500
|
Hotels, Restaurants
& Leisure 0.5%
|
|
|
|
MGM Resorts International:
|
|
|
|
10.38%, 5/15/14
|
|
175
|
199,062
|
11.13%, 11/15/17
|
|
390
|
443,625
|
|
|
|
642,687
|
Household Durables
0.6%
|
|
|
|
Beazer
Homes USA, Inc., 12.00%, 10/15/17
|
|
715
|
779,350
|
Independent Power
Producers & Energy Traders 2.0%
|
|
|
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
545
|
577,700
|
Energy Future Holdings Corp., 10.00%,
1/15/20
|
|
370
|
400,062
|
Energy Future Intermediate Holding Co.
LLC,
|
|
|
|
10.00%, 12/01/20
|
|
1,355
|
1,471,869
|
|
|
|
2,449,631
|
Machinery
0.1%
|
|
|
|
UR
Financing Escrow Corp., 5.75%, 7/15/18 (a)(e)
|
|
80
|
82,200
|
Media 1.9%
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
|
105
|
117,075
|
CCH II LLC, 13.50%, 11/30/16
|
|
500
|
575,000
|
Clear Channel Worldwide Holdings, Inc.:
|
|
|
|
9.25%, 12/15/17
|
|
185
|
202,575
|
Series B, 9.25%,
12/15/17
|
|
850
|
935,000
|
Unitymedia Hessen GmbH & Co. KG,
|
|
|
|
8.13%, 12/01/17 (a)
|
|
500
|
542,500
|
|
|
|
2,372,150
|
Portfolio
Abbreviations
|
|
|
|
|
To simplify the listings of
portfolio holdings in the
Schedules of Investments, the names and descriptions of
many of the securities have been abbreviated according
to the following list:
|
CAD
|
Canadian Dollar
|
GO
|
General Obligation Bonds
|
EUR
|
Euro
|
USD
|
US Dollar
|
GBP
|
British Pound
|
|
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
13
|
|
|
Schedule
of Investments
(continued)
|
BlackRock
Defined Opportunity Credit Trust (BHL)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Oil, Gas & Consumable
Fuels 0.1%
|
|
|
|
Coffeyville
Resources LLC, 9.00%, 4/01/15 (a)
|
USD
|
126
|
$
|
134,820
|
Paper & Forest
Products 0.3%
|
|
|
|
Longview Fibre Paper & Packaging,
Inc.,
|
|
|
|
8.00%, 6/01/16 (a)
|
|
155
|
159,263
|
Verso Paper Holdings LLC, 11.50%, 7/01/14
|
|
180
|
183,600
|
|
|
|
342,863
|
Pharmaceuticals
0.1%
|
|
|
|
Valeant Pharmaceuticals International,
|
|
|
|
6.50%,
7/15/16 (a)
|
|
185
|
188,700
|
Real Estate Management
& Development 0.1%
|
|
|
|
Realogy
Corp., 7.63%, 1/15/20 (a)
|
|
165
|
170,363
|
Wireless Telecommunication
Services 1.7%
|
|
|
|
Cricket Communications, Inc., 7.75%,
5/15/16
|
|
1,125
|
1,198,125
|
Sprint Nextel Corp. (a):
|
|
|
|
9.00%, 11/15/18
|
|
290
|
323,350
|
7.00%, 3/01/20
|
|
550
|
558,937
|
|
|
|
2,080,412
|
Total
Corporate Bonds 12.5%
|
|
|
15,742,940
|
|
|
Floating
Rate Loan Interests (b)
|
|
|
|
Aerospace & Defense
1.6%
|
|
|
|
DynCorp International, Term Loan B,
6.25%, 7/07/16
|
|
326
|
324,524
|
SI Organization, Inc., New Term Loan
B,
|
|
|
|
4.50%, 11/22/16
|
|
419
|
401,072
|
TransDigm, Inc.:
|
|
|
|
Add on Term Loan
B2, 4.00%, 2/14/17
|
|
180
|
180,149
|
Term Loan (First
Lien), 4.00%, 2/14/17
|
|
842
|
840,759
|
Wesco Aircraft Hardware Corp., Term
Loan B,
|
|
|
|
4.25%, 4/07/17
|
|
294
|
293,325
|
|
|
|
2,039,829
|
Airlines 0.8%
|
|
|
|
Delta Air Lines, Inc., Credit New Term
Loan B,
|
|
|
|
5.50%,
4/20/17
|
|
1,067
|
1,041,761
|
Auto Components
2.6%
|
|
|
|
Allison Transmission, Inc., Term Loan
B, 2.75%, 8/07/14
|
|
1,419
|
1,402,833
|
Autoparts Holdings Ltd., First Lien
Term Loan,
|
|
|
|
6.50%, 7/28/17
|
|
648
|
649,996
|
Federal-Mogul Corp.:
|
|
|
|
Term Loan B, 2.19%
2.20%, 12/29/14
|
|
275
|
262,844
|
Term Loan C, 2.19%
2.20%, 12/28/15
|
|
140
|
134,104
|
Schaeffler AG, Term Loan C2, 6.00%,
1/27/17
|
|
480
|
481,402
|
UCI International, Inc., Term Loan,
5.50%, 7/26/17
|
|
347
|
347,366
|
|
|
|
3,278,545
|
Biotechnology
0.7%
|
|
|
|
Grifols
SA, Term Loan B, 4.50%, 6/1/17
|
|
868
|
866,443
|
Building Products
3.2%
|
|
|
|
Armstrong World Industries, Inc., Term
Loan B,
|
|
|
|
4.00%, 3/19/18
|
|
447
|
444,812
|
CPG International, Inc., Term Loan B,
6.00%, 2/18/17
|
|
792
|
748,440
|
Goodman Global, Inc., Initial Term Loan
(First Lien),
|
|
|
|
5.75%, 10/28/16
|
|
2,094
|
2,104,553
|
Momentive Performance Materials, Inc.
(Blitz 06-103
|
|
|
|
GmbH), Tranche B-2B
Term Loan, 4.08%, 5/05/15
|
EUR
|
563
|
710,195
|
|
|
|
4,008,000
|
Capital Markets
1.8%
|
|
|
|
American Capital Ltd., Term Loan B,
7.50%, 12/31/13
|
USD
|
61
|
61,446
|
HarbourVest Partners, Term Loan (First
Lien),
|
|
|
|
6.25%, 12/16/16
|
|
838
|
838,853
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Capital Markets (concluded)
|
|
|
|
Nuveen Investments, Inc., Incremental
Term Loan,
|
|
|
|
7.25%,
5/13/17
|
USD
|
160
|
$
|
161,120
|
Nuveen Investments, Inc. (First Lien):
|
|
|
|
3.30% 3.58%,
11/13/14
|
|
391
|
388,468
|
5.74% 5.83%,
5/12/17
|
|
782
|
780,021
|
|
|
|
2,229,908
|
Chemicals
5.0%
|
|
|
|
American Rock Salt Holdings LLC, Term
Loan B,
|
|
|
|
5.50%, 4/25/17
|
|
610
|
567,273
|
Ashland, Inc., Term Loan B, 3.75%, 8/23/18
|
|
429
|
430,341
|
Chemtura Corp., Exit Term Loan B, 5.50%,
8/27/16
|
|
750
|
752,347
|
Gentek, Inc., Term Loan B, 5.00%
5.75%, 10/06/15
|
|
491
|
488,055
|
MDI Holdings LLC, Term Loan B, 2.24%,
4/11/14
|
|
446
|
443,147
|
Nexeo Solutions LLC, Term Loan B, 5.00%,
9/08/17
|
|
571
|
561,888
|
Polyone Corp., Term Loan, 5.00%, 12/20/17
|
|
185
|
185,278
|
PQ Corp., Original Term Loan (First
Lien),
|
|
|
|
3.50%, 7/30/14
|
|
706
|
688,474
|
Styron Sarl LLC, Term Loan B, 6.00%
6.75%, 8/02/17
|
|
506
|
456,469
|
Tronox Worldwide LLC:
|
|
|
|
Delayed Draw Term
Loan, 1.00%, 2/09/18
|
|
176
|
175,517
|
Term Loan B, 4.25%,
2/08/18
|
|
644
|
643,564
|
Univar, Inc., Term Loan B, 5.00%, 6/30/17
|
|
934
|
926,108
|
|
|
|
6,318,461
|
Commercial Services
& Supplies 3.9%
|
|
|
|
Altegrity, Inc., Tranche D Term Loan,
7.75%, 2/20/15
|
|
697
|
696,257
|
ARAMARK Corp.:
|
|
|
|
Letter of Credit,
3.55%, 7/26/16
|
|
23
|
23,012
|
Term Loan B, 3.83%,
7/26/16
|
|
327
|
323,984
|
AWAS Finance Luxembourg Sarl, Term Loan
B,
|
|
|
|
5.25%, 6/10/16
|
|
370
|
368,427
|
Delos Aircraft, Inc., Term Loan B2,
7.00%, 3/17/16
|
|
825
|
825,883
|
International Lease Finance Corp., Term
Loan B1,
|
|
|
|
6.75%, 3/17/15
|
|
35
|
35,058
|
KAR Auction Services, Inc., Term Loan
B,
|
|
|
|
5.00%, 5/19/17
|
|
1,194
|
1,192,508
|
Synagro Technologies, Inc., Term Loan
B,
|
|
|
|
2.25% 2.26%,
4/02/14
|
|
866
|
774,796
|
Volume Services America, Inc., Term
Loan B,
|
|
|
|
10.50% 10.75%,
9/16/16
|
|
494
|
495,809
|
West Corp., Term Loan B4, 4.49%
4.50%, 7/15/16
|
|
197
|
196,891
|
|
|
|
4,932,625
|
Communications Equipment
1.3%
|
|
|
|
Avaya, Inc.:
|
|
|
|
Term Loan B1, 3.24%,
10/26/14
|
|
513
|
501,799
|
Term Loan B3, 4.99%,
10/26/17
|
|
315
|
305,478
|
CommScope, Inc., Term Loan B, 5.00%,
1/14/18
|
|
818
|
817,813
|
|
|
|
1,625,090
|
Construction &
Engineering 0.9%
|
|
|
|
BakerCorp. International, Inc., Term
Loan B,
|
|
|
|
5.00%, 6/01/18
|
|
363
|
362,692
|
Safway Services, LLC, First Out Tranche
Loan,
|
|
|
|
9.00%, 12/16/17
|
|
750
|
750,000
|
|
|
|
1,112,692
|
Consumer Finance
1.6%
|
|
|
|
Springleaf
Finance Corp, Term Loan, 5.50%, 5/10/17
|
|
2,135
|
1,946,287
|
Containers &
Packaging 1.0%
|
|
|
|
Berry Plastics Holding Corp., Term Loan
C,
|
|
|
|
2.25%, 4/03/15
|
|
500
|
486,620
|
Sealed Air Corp., Term Loan B, 4.75%,
10/03/18
|
|
719
|
725,996
|
|
|
|
1,212,616
|
See Notes to Financial Statements.
14
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Schedule
of Investments
(continued)
|
BlackRock
Defined Opportunity Credit Trust (BHL)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Diversified Consumer
Services 3.3%
|
|
|
|
Coinmach Corp., Delayed Draw Term Loan,
|
|
|
|
3.41%,
11/20/14
|
USD
|
243
|
$
|
223,902
|
Coinmach Service Corp., Term Loan, 3.41%,
11/20/14
|
|
1,021
|
940,249
|
Laureate Education, Inc., Extended Term
Loan,
|
|
|
|
5.25%, 8/15/18
|
|
1,955
|
1,866,229
|
ServiceMaster Co.:
|
|
|
|
Delayed Draw Term
Loan, 2.75%, 7/24/14
|
|
108
|
106,332
|
Term Loan, 2.77%
3.03%, 7/24/14
|
|
1,081
|
1,067,749
|
|
|
|
4,204,461
|
Diversified Financial
Services 1.9%
|
|
|
|
Reynolds Group Holdings, Inc.:
|
|
|
|
Tranche B Term Loan,
6.50%, 2/09/18
|
|
1,217
|
1,228,416
|
Tranche C Term Loan,
5.25% 6.50%, 8/09/18
|
|
1,184
|
1,196,493
|
|
|
|
2,424,909
|
Diversified Telecommunication
Services 4.4%
|
|
|
|
Hawaiian Telcom Communications, Inc.,
Term Loan B,
|
|
|
|
7.00%, 2/25/17
|
|
530
|
528,675
|
Integra Telecom Holdings, Inc., Term
Loan,
|
|
|
|
9.25%, 4/15/15
|
|
813
|
715,110
|
Level 3 Financing, Inc.:
|
|
|
|
Term Loan B2, 5.75%,
9/03/18
|
|
1,800
|
1,812,384
|
Term Loan B3, 5.75%,
8/31/18
|
|
550
|
553,784
|
Tranche A Term Loan,
2.50% 2.83%, 3/13/14
|
|
1,200
|
1,180,200
|
US Telepacific Corp., Term Loan B, 5.75%,
2/23/17
|
|
745
|
705,845
|
|
|
|
5,495,998
|
Electronic Equipment,
Instruments & Components 1.2%
|
|
|
CDW LLC (FKA CDW Corp.), Extended Term
Loan,
|
|
|
|
4.00%, 7/14/17
|
|
816
|
797,620
|
Sensata Technologies Finance Co. LLC,
Term Loan,
|
|
|
|
4.00%, 5/11/18
|
|
700
|
698,787
|
|
|
|
1,496,407
|
Energy Equipment
& Services 3.0%
|
|
|
|
CCS Corp.:
|
|
|
|
Incremental Term
Loan, 6.50%, 10/17/14
|
|
350
|
350,350
|
Term Loan B, 3.24%,
11/14/14
|
|
746
|
721,878
|
Dynegy Midwest Generation LLC, Coal
Co. Term Loan,
|
|
|
|
9.25%, 8/04/16
|
|
517
|
513,801
|
Dynegy Power LLC, Gas Co. Term Loan,
9.25%, 8/04/16
|
|
581
|
598,832
|
MEG Energy Corp., Term Loan B, 4.00%,
3/16/18
|
|
1,546
|
1,542,956
|
|
|
|
3,727,817
|
Food & Staples
Retailing 2.0%
|
|
|
|
AB Acquisitions UK Topco 2 Ltd., Facility
B1,
|
|
|
|
3.60%, 7/09/15
|
GBP
|
900
|
1,307,801
|
B&G Foods, Inc., Term Loan B, 4.50%,
11/30/18
|
USD
|
175
|
175,394
|
Bolthouse Farms, Inc., Term Loan (First
Lien),
|
|
|
|
5.50% 5.75%,
2/11/16
|
|
215
|
215,615
|
U.S. Foodservice, Inc., Term Loan B,
|
|
|
|
2.74% 2.75%,
7/03/14
|
|
789
|
760,976
|
|
|
|
2,459,786
|
Food Products
3.2%
|
|
|
|
Advance Pierre Foods, Term Loan (Second
Lien):
|
|
|
|
7.00%, 9/30/16
|
|
948
|
948,000
|
11.25%, 9/29/17
|
|
550
|
550,456
|
Del Monte Corp., Term Loan, 4.50%, 3/08/18
|
|
1,170
|
1,147,571
|
Michaels Foods Group, Inc., Term Loan
B,
|
|
|
|
4.25%, 2/23/18
|
|
126
|
126,084
|
Pinnacle Foods Finance LLC:
|
|
|
|
Tranche B Term Loan,
2.76% 3.08%, 4/02/14
|
|
40
|
39,569
|
Tranche D Term Loan,
6.00% 6.50%, 4/02/14
|
|
452
|
454,616
|
Solvest Ltd. (Dole):
|
|
|
|
Tranche B-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
|
280
|
281,275
|
Tranche C-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
|
521
|
522,367
|
|
|
|
4,069,938
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
(000)
|
Value
|
|
Health Care Equipment
& Supplies 1.8%
|
|
|
Biomet, Inc., Term Loan B, 3.24% 3.57%, 3/25/15
|
USD
|
313
|
$
|
309,873
|
DJO Finance LLC, Term Loan, 3.24%, 5/20/14
|
465
|
458,692
|
Hupah Finance, Inc., Term Loan B, 6.25%,
1/21/19
|
355
|
354,780
|
Iasis Healthcare LLC, Term Loan, 5.00%,
5/03/18
|
349
|
347,188
|
Immucor, Inc., Term Loan B, 7.25%, 8/17/18
|
823
|
828,492
|
|
|
2,299,025
|
Health Care Providers
& Services 4.6%
|
|
|
CHS/Community Health Systems, Inc.:
|
|
|
Non-Extended Delayed
Draw Term Loan,
|
|
|
3.25%, 7/25/14
|
32
|
31,999
|
Non-Extended Term
Loan, 2.49% 4.50%, 7/25/14
|
639
|
630,085
|
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16
|
594
|
592,331
|
DaVita, Inc., Term Loan B, 4.50%, 10/20/16
|
891
|
893,040
|
Emergency Medical Services, Term Loan,
|
|
|
5.25%, 5/25/18
|
773
|
770,968
|
Harden Healthcare LLC:
|
|
|
Term Loan A, 8.50%,
3/02/15
|
328
|
321,325
|
Tranche A Additional
Term Loan, 7.75%, 3/02/15
|
494
|
484,188
|
HCA, Inc., Tranche B-3 Term Loan, 3.49%,
5/01/18
|
225
|
221,286
|
Health Management Associates, Inc.,
Term Loan B,
|
|
|
4.50%, 11/16/18
|
270
|
268,245
|
inVentiv Health, Inc.:
|
|
|
Combined Term Loan,
6.50%, 8/04/16
|
642
|
616,734
|
Incremental Term
Loan B-3, 6.75%, 5/15/18
|
347
|
333,600
|
Medpace, Inc., Term Loan, 6.50%
7.25%, 6/16/17
|
547
|
525,360
|
Vanguard Health Holding Co. II, LLC
(Vanguard Health
|
|
|
Systems, Inc.), Term
Loan B, 5.00%, 1/29/16
|
60
|
59,700
|
|
|
5,748,861
|
Health Care Technology
1.3%
|
|
|
IMS Health, Inc., Term Loan B, 4.50%,
8/25/17
|
553
|
552,978
|
Kinetic Concepts, Inc., Term Loan B,
7.00%, 5/04/18
|
695
|
706,294
|
MedAssets, Inc., Term Loan, 5.25%, 11/16/16
|
399
|
399,422
|
|
|
1,658,694
|
Hotels, Restaurants
& Leisure 5.7%
|
|
|
Ameristar Casinos, Inc., Term Loan B,
4.00%, 4/13/18
|
570
|
571,540
|
Boyd Gaming Corp., Incremental Term
Loan,
|
|
|
6.00%, 12/17/15
|
395
|
395,924
|
Caesars Entertainment Operating Co.,
Inc.:
|
|
|
Incremental Term
Loan B4, 9.50%, 10/31/16
|
495
|
508,895
|
Term Loan B1, 3.24%,
1/28/15
|
272
|
254,623
|
Term Loan B3, 3.24%
3.47%, 1/28/15
|
2,272
|
2,128,487
|
Dunkin Brands, Inc., Term Loan
B,
|
|
|
4.00% 5.25%,
11/23/17
|
898
|
894,849
|
Golden Living, Term Loan, 5.00%, 5/04/18
|
148
|
138,807
|
OSI Restaurant Partners LLC:
|
|
|
Revolver, 2.56%
2.79%, 6/14/13
|
4
|
4,378
|
Term Loan B, 2.56%,
6/14/14
|
46
|
44,413
|
Seaworld Parks & Entertainment,
Inc., Term Loan B,
|
|
|
4.00%, 8/17/17
|
619
|
617,866
|
Six Flags Theme Parks, Inc., Tranche
B Term Loan
|
|
|
(First Lien), 4.25%,
12/20/18
|
690
|
686,985
|
Station Casinos, Inc., Term Loan B1,
3.24%, 6/17/16
|
475
|
428,293
|
Twin River Worldwide Holdings, Inc.,
Term Loan,
|
|
|
8.50%, 11/05/15
|
519
|
518,890
|
|
|
7,193,950
|
Household Products
0.6%
|
|
|
Prestige
Brands, Inc., Term Loan, 5.25%, 1/31/19
|
690
|
692,588
|
Independent Power
Producers & Energy Traders 1.0%
|
|
|
The AES Corp., Term Loan, 4.25%, 6/01/18
|
993
|
991,508
|
Texas Competitive Electric Holdings
Co. LLC, Extended
|
|
|
Term Loan, 4.76%,
10/10/17
|
574
|
320,236
|
|
|
1,311,744
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
15
|
|
|
Schedule
of Investments
(continued)
|
BlackRock
Defined Opportunity Credit Trust (BHL)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Industrial Conglomerates
1.6%
|
|
|
|
Sequa Corp.:
|
|
|
|
Incremental
Term Loan, 6.25%, 12/03/14
|
USD
|
305
|
$
|
306,016
|
Term Loan, 3.76%
3.84%, 12/03/14
|
|
1,763
|
1,744,049
|
|
|
|
2,050,065
|
Insurance
0.7%
|
|
|
|
CNO
Financial Group, Inc., Term Loan, 6.25%, 9/30/16
|
|
817
|
820,345
|
Internet Software
& Services 0.4%
|
|
|
|
Web.com
Group, Inc., Term Loan B, 7.00%, 10/27/17
|
|
545
|
532,463
|
IT Services
5.4%
|
|
|
|
Ceridian Corp., Term Loan, 3.24%, 11/10/14
|
|
656
|
620,748
|
First Data Corp.:
|
|
|
|
Extended Term Loan
B, 4.24%, 3/23/18
|
|
3,125
|
2,803,749
|
Term Loan B-1, 2.99%,
9/24/14
|
|
408
|
390,334
|
Term Loan B-3, 2.99%,
9/24/14
|
|
149
|
142,569
|
infoGROUP, Inc., Term Loan B, 5.75%,
5/25/18
|
|
345
|
322,382
|
iPayment, Inc., Term Loan B, 5.75%,
5/08/17
|
|
494
|
491,279
|
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18
|
|
409
|
409,997
|
SunGard Data Systems, Inc. (Solar Capital
Corp.),
|
|
|
|
Tranche B Term Loan,
3.99% 5.86%, 2/26/16
|
|
143
|
142,470
|
TransUnion LLC, Term Loan B, 4.75%,
2/12/18
|
|
1,457
|
1,458,471
|
|
|
|
6,781,999
|
Leisure Equipment
& Products 0.2%
|
|
|
|
Eastman
Kodak Co., DIP Term Loan B, 1.00%, 7/20/13
|
|
275
|
278,352
|
Machinery
1.5%
|
|
|
|
Terex Corp.:
|
|
|
|
Term Loan, 6.00%,
4/28/17
|
EUR
|
60
|
79,140
|
Term Loan B, 5.50%,
4/28/17
|
USD
|
604
|
608,025
|
Tomkins LLC, Term Loan B, 4.25%, 9/23/16
|
|
1,169
|
1,167,792
|
|
|
|
1,854,957
|
Media 19.2%
|
|
|
|
Acosta, Inc., Term Loan, 4.75%, 3/01/18
|
|
312
|
310,119
|
Affinion Group, Inc., Term Loan B, 5.00%,
10/10/16
|
|
735
|
688,050
|
AMC Entertainment, Inc., Term Loan B3, 4.25%,
2/22/18
|
325
|
320,674
|
AMC Networks, Inc., Term Loan B, 4.00%,
12/31/18
|
|
796
|
791,025
|
Atlantic Broadband Finance LLC, Term
Loan B,
|
|
|
|
4.00%, 3/08/16
|
|
416
|
413,990
|
Bresnan Telecommunications Co., LLC,
Term Loan,
|
|
|
|
4.50% 5.25%,
12/14/17
|
|
1,436
|
1,430,720
|
Capsugel Healthcare Ltd., Term Loan,
5.25%, 8/01/18
|
|
599
|
601,917
|
Catalina Marketing Corp., Term Loan
B,
|
|
|
|
2.99%, 10/01/14
|
|
633
|
615,290
|
Cengage Learning Acquisitions, Inc.:
|
|
|
|
Term Loan, 2.49%,
7/03/14
|
|
425
|
394,098
|
Tranche 1 Incremental
Term Loan, 7.50%, 7/03/14
|
|
371
|
359,138
|
Cequel Communications LLC, Term Loan
B,
|
|
|
|
4.00%, 2/11/19
|
|
1,095
|
1,083,798
|
Charter Communications Operating LLC:
|
|
|
|
Term Loan B, 7.25%,
3/06/14
|
|
12
|
12,302
|
Term Loan C, 3.83%,
9/06/16
|
|
1,046
|
1,038,206
|
Clarke American Corp., Term Facility
B,
|
|
|
|
2.74% 3.08%,
6/30/14
|
|
227
|
207,076
|
Clear Channel Communications:
|
|
|
|
Term Loan B, 3.89%,
1/28/16
|
|
1,185
|
972,506
|
Term Loan C, 3.89%,
1/28/16
|
|
160
|
126,800
|
Cumulus Media, Inc., Term Loan, 5.75%,
9/17/18
|
|
615
|
615,510
|
Gray Television, Inc., Term Loan B,
3.77%, 12/31/14
|
|
640
|
632,734
|
HMH Publishing Co. Ltd., Tranche A Term
Loan,
|
|
|
|
6.51%, 6/12/14
|
|
604
|
373,459
|
Hubbard Broadcasting, Term Loan B (Second
Lien),
|
|
|
|
5.25%, 4/28/17
|
|
498
|
497,913
|
Intelsat Jackson Holdings SA, Tranche
B Term Loan,
|
|
|
|
5.25%, 4/02/18
|
|
2,978
|
2,972,438
|
Interactive Data Corp., Term Loan B,
4.50%, 2/12/18
|
|
1,315
|
1,312,104
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Media (concluded)
|
|
|
|
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19
|
USD
|
640
|
$
|
636,800
|
Knology, Inc., Term Loan B, 4.00%, 8/18/17
|
|
246
|
243,670
|
Lavena Holding 4 GmbH (Prosiebensat.1
Media AG):
|
|
|
|
Term Loan B, 3.81%,
3/06/15
|
EUR
|
460
|
533,050
|
Term Loan C, 4.06%,
3/04/16
|
|
460
|
536,118
|
LIN Television Corp., Term Loan B, 5.00%,
12/21/18
|
USD
|
325
|
326,625
|
Mediacom LLC, Term Loan E, 4.50%, 10/23/17
|
|
493
|
487,452
|
Newsday LLC, Fixed Rate Term Loan:
|
|
|
|
6.82%, 8/01/13
|
|
500
|
502,710
|
10.50%, 8/01/13
|
|
800
|
823,000
|
Nielsen Finance LLC, Class B Dollar
Term Loan,
|
|
|
|
4.01%, 5/02/16
|
|
634
|
635,918
|
Sinclair Television Group, Inc.:
|
|
|
|
Incremental Term
Loan B3, 4.00%, 10/28/16
|
|
130
|
129,390
|
Tranche B Term Loan,
4.00%, 10/28/16
|
|
421
|
418,935
|
Univision Communications, Inc., Extended
First Lien
|
|
|
|
Term Loan, 4.49%,
3/31/17
|
|
988
|
917,193
|
UPC Broadband Holding B.V., Term Loan
U,
|
|
|
|
4.72%, 12/29/17
|
EUR
|
196
|
256,005
|
UPC Financing Partnership:
|
|
|
|
Term Loan, 4.75%,
12/29/17
|
USD
|
585
|
583,976
|
Term Loan T, 3.77%,
12/30/16
|
|
80
|
78,660
|
WC Luxco Sarl, Term Loan B3, 4.25%,
3/15/18
|
|
218
|
217,837
|
Weather Channel, Term Loan B, 4.25%,
2/13/17
|
|
962
|
962,960
|
|
|
|
24,060,166
|
Metals & Mining
2.6%
|
|
|
|
Novelis, Inc., Term Loan, 4.00%, 3/10/17
|
|
1,321
|
1,314,720
|
SunCoke Energy, Inc., Term Loan B,
|
|
|
|
4.00% 5.25%,
7/26/18
|
|
448
|
446,631
|
Walter Energy, Inc., Term Loan B, 4.00%,
4/02/18
|
|
1,514
|
1,507,007
|
|
|
|
3,268,358
|
Multi-Utilities
0.1%
|
|
|
|
FirstLight Power Resources, Inc., Term
B Advance
|
|
|
|
(First
Lien), 2.75%, 11/01/13
|
|
160
|
150,569
|
Multiline Retail
2.5%
|
|
|
|
99 Cents Only Stores, Term Loan B,
|
|
|
|
6.00% 7.00%,
1/11/19
|
|
525
|
528,376
|
Dollar General Corp., Tranche B-2 Term
Loan,
|
|
|
|
3.00% 3.33%,
7/07/14
|
|
316
|
315,720
|
Hema Holding BV, Second Lien Term Loan,
|
|
|
|
5.69%, 1/05/17
|
EUR
|
1,800
|
2,086,381
|
The Neiman Marcus Group, Inc., Term
Loan,
|
|
|
|
4.75%, 5/16/18
|
USD
|
175
|
173,600
|
|
|
|
3,104,077
|
Oil, Gas & Consumable
Fuels 1.8%
|
|
|
|
EquiPower Resources Holdings LLC, Term
Loan B,
|
|
|
|
5.75%, 1/26/18
|
|
699
|
656,731
|
Gibson Energy, Term Loan B, 5.75%, 6/15/18
|
|
796
|
796,828
|
Obsidian Natural Gas Trust, Term Loan,
|
|
|
|
7.00%, 11/02/15
|
|
848
|
852,184
|
|
|
|
2,305,743
|
Paper & Forest
Products 0.2%
|
|
|
|
NewPage
Corp., Term Loan, 8.00%, 3/07/13
|
|
200
|
201,500
|
Pharmaceuticals
3.9%
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, 5.50%,
2/10/17
|
|
990
|
981,585
|
Endo Pharmaceuticals Holdings, Inc.,
Term Loan B,
|
|
|
|
4.00%, 6/18/18
|
|
162
|
161,811
|
Pharmaceutical Product Development,
Inc., Term Loan B,
|
|
|
|
6.25%, 12/05/18
|
|
830
|
837,262
|
Quintiles Transnational Corp., Term
Loan B,
|
|
|
|
5.00%, 6/08/18
|
|
592
|
588,112
|
RPI Finance Trust, Term Loan Tranche
2, 4.00%, 5/09/18
|
|
498
|
496,624
|
Taminco Global Chemical Corp., New Term
Loan,
|
|
|
|
6.25%, 2/15/19
|
|
290
|
291,192
|
See Notes to Financial Statements.
16
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Schedule
of Investments
(continued)
|
BlackRock
Defined Opportunity Credit Trust (BHL)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Pharmaceuticals (concluded)
|
|
|
|
Valeant Pharmaceuticals International,
Add on
|
|
|
|
Term Loan
B, 3.75%, 2/08/19
|
USD
|
1,050
|
$
|
1,046,724
|
Warner Chilcott Corp.:
|
|
|
|
Term Loan B-1, 4.25%,
3/15/18
|
|
318
|
316,854
|
Term Loan B-2, 4.25%,
3/15/18
|
|
159
|
158,427
|
|
|
|
4,878,591
|
Professional Services
1.5%
|
|
|
|
Booz Allen Hamilton, Inc., Tranche B
Term Loan,
|
|
|
|
4.00%, 8/03/17
|
|
273
|
274,000
|
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18
|
|
850
|
859,715
|
Fifth Third Processing Solutions LLC,
Term Loan B
|
|
|
|
(First Lien), 4.50%,
11/03/16
|
|
707
|
707,517
|
|
|
|
1,841,232
|
Real Estate Investment
Trusts (REITs) 0.7%
|
|
|
|
iStar
Financial, Inc., Term Loan A1, 5.00%, 6/28/13
|
|
847
|
842,917
|
Real Estate Management
& Development 0.8%
|
|
|
|
Realogy Corp.:
|
|
|
|
Extended Synthetic
Letter of Credit,
|
|
|
|
3.25%, 10/10/13
|
|
25
|
23,868
|
Extended Synthetic
Letter of Credit,
|
|
|
|
4.53%, 10/10/16
|
|
46
|
42,868
|
Extended Term Loan,
4.77%, 10/10/16
|
|
1,060
|
983,229
|
|
|
|
1,049,965
|
Road & Rail
0.8%
|
|
|
|
Avis Budget Car Rental LLC, Incremental
Term Loan,
|
|
|
|
6.25%, 9/21/18
|
|
484
|
488,504
|
RailAmerica, Inc., Term Loan B, 4.00%,
2/27/19
|
|
480
|
478,800
|
|
|
|
967,304
|
Semiconductors &
Semiconductor Equipment 0.8%
|
|
|
|
Freescale Semiconductor, Inc., Extended
Term Loan B,
|
|
|
|
4.52%, 12/01/16
|
|
439
|
427,524
|
NXP B.V., Term Loan A-2, 5.50%, 3/03/17
|
|
524
|
520,020
|
|
|
|
947,544
|
Software 1.5%
|
|
|
|
Blackboard, Inc., Term Loan B, 7.50%,
10/04/18
|
|
255
|
251,601
|
Infor Enterprise Solutions Holdings,
Inc.:
|
|
|
|
Extended Delayed
Draw Term Loan, 6.29%, 7/28/15
|
|
17
|
16,953
|
Extended Initial
Term Loan, 6.29%, 7/28/15
|
|
33
|
31,922
|
Extended Initial
Term Loan, 6.68%, 7/28/15
|
EUR
|
195
|
244,860
|
Rovi Corp., Tranche B Term Loan, 4.00%,
2/07/18
|
USD
|
447
|
446,067
|
Sophia, LP, Term Loan B, 6.25%, 7/19/18
|
|
525
|
530,470
|
Vertafore, Inc., Term Loan B, 5.25%,
7/29/16
|
|
307
|
304,292
|
|
|
|
1,826,165
|
Specialty Retail
4.5%
|
|
|
|
Academy Ltd., Term Loan, 6.00%, 8/03/18
|
|
800
|
799,912
|
Bass Pro Group LLC, Term Loan, 5.25%,
6/13/17
|
|
60
|
59,743
|
Burlington Coat Factory Warehouse Corp.,
Term Loan B,
|
|
|
|
6.25%, 2/23/17
|
|
431
|
430,875
|
Claires Stores, Inc., Term Loan
B,
|
|
|
|
2.29% 3.30%,
5/29/14
|
|
197
|
186,683
|
General Nutrition Centers, Inc., Term
Loan B,
|
|
|
|
4.25%, 3/02/18
|
|
835
|
832,528
|
The Gymboree Corp., Term Loan, 5.00%,
2/23/18
|
|
300
|
282,075
|
Jo-Ann Stores, Inc., Term Loan B, 4.75%,
3/16/18
|
|
293
|
288,586
|
Michaels Stores, Inc.:
|
|
|
|
Extended Term Loan
B3, 5.13%, 7/29/16
|
|
334
|
332,407
|
Term Loan B-2, 5.13%,
7/29/16
|
|
641
|
637,137
|
Petco Animal Supplies, Inc., Term Loan
B,
|
|
|
|
4.50%, 11/24/17
|
|
943
|
938,672
|
Toys R Us Delaware, Inc.,
Term Loan B1,
|
|
|
|
6.00%, 9/01/16
|
|
907
|
907,443
|
|
|
|
5,696,061
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
(000)
|
Value
|
|
Wireless
Telecommunication Services 2.4%
|
|
|
Crown Castle International
Corp., Term Loan B,
|
|
|
4.00%,
1/31/19
|
USD
|
695
|
$
|
691,838
|
Digicel International, Tranche
A, 3.13%, 3/30/12
|
235
|
233,541
|
MetroPCS Wireless, Inc.,
Tranche B-2 Term Loan,
|
|
|
4.07%
4.13%, 11/03/16
|
765
|
758,400
|
Vodafone Americas Finance
2, Inc.:
|
|
|
Term
Loan, 6.88%, 8/11/15
|
934
|
934,121
|
Term
Loan B, 6.25%, 7/11/16
|
413
|
411,469
|
|
|
3,029,369
|
Total
Floating Rate Loan Interests 111.5%
|
|
139,884,177
|
Total Long-Term Investments
|
|
|
(Cost
$159,479,952) 127.8%
|
|
160,404,755
|
|
|
Short-Term
Securities
|
Shares
|
|
BlackRock Liquidity Funds,
TempFund, Institutional
|
|
|
Class,
0.11% (f)(g)
|
2,243,014
|
2,243,014
|
Total Short-Term Securities
|
|
|
(Cost
$2,243,014) 1.8%
|
2,243,014
|
|
Total Investments (Cost
$161,722,966) 129.6%
|
|
$
|
162,647,769
|
Liabilities in Excess
of Other Assets (29.6)%
|
|
(37,172,337)
|
Net Assets 100.0%
|
|
$
|
125,475,432
|
|
|
|
|
(a)
|
|
Security
exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities
may be resold in transactions exempt from registration
to qualified institutional investors.
|
(b)
|
|
Variable
rate security. Rate shown is as of report date.
|
(c)
|
|
Non-income
producing security.
|
(d)
|
|
Restricted
security as to resale. As of report date the Portfolio
held 0.8% of its net assets, with a current value
of $958,994 and an original cost of $176,777 in
these securities.
|
(e)
|
|
When-issued
security. Unsettled when-issued transactions were
as follows:
|
|
|
|
Counterparty
|
Value
|
Unrealized
Appreciation
|
Morgan
Stanley Co.
|
$82,200
|
$
2,200
|
(f)
|
|
Investments in companies considered
to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:
|
|
|
|
|
|
Affiliate
|
Shares
Held at
August 31, 2011
|
Net
Activity
|
Shares
Held at
February 29, 2012
|
Income
|
BlackRock Liquidity
|
|
|
|
Funds, TempFund,
|
|
|
|
Institutional
Class
|
2,230,753
|
12,261
|
2,243,014
|
$
278
|
(g)
|
|
Represents
the current yield as of report date.
|
|
|
Foreign
currency exchange contracts as of February 29,
2012 were as follows:
|
|
|
|
|
|
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
USD
|
99,390
|
CAD
|
101,500
|
Royal Bank
|
|
|
|
|
|
|
of Scotland Plc
|
4/11/12
|
$
|
(3,101)
|
USD
|
1,181,882
|
GBP
|
771,000
|
UBS AG
|
4/11/12
|
(44,353)
|
EUR
|
200,000
|
USD
|
265,156
|
Deutsche Bank
|
|
|
|
|
|
|
AG London
|
4/18/12
|
1,356
|
EUR
|
190,000
|
USD
|
247,648
|
Royal Bank
|
|
|
|
|
|
|
of Scotland Plc
|
4/18/12
|
5,538
|
USD
|
4,093,702
|
EUR
|
3,187,000
|
Citibank NA
|
4/18/12
|
(153,170)
|
USD
|
455,932
|
EUR
|
350,000
|
Royal Bank
|
|
|
|
|
|
|
of
Scotland Plc
|
4/18/12
|
(10,464)
|
Total
|
|
|
|
|
|
$
|
(204,194)
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
17
|
|
|
Schedule
of Investments
(concluded)
|
BlackRock
Defined Opportunity Credit Trust (BHL)
|
|
|
For
Fund compliance purposes, the Funds industry
classifications refer to any one or more of
the industry sub-classifications used by one
or more widely recognized market indexes or
rating group indexes, and/or as defined by Fund
management. 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 are categorized into a disclosure hierarchy
consisting of three broad levels for financial
statement purposes as follows:
|
|
|
Level
1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Funds own assumptions used
in determining the fair value of investments
and derivative financial instruments)
|
Changes in valuation techniques may result
in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Funds perceived risk of investing in those securities. For information about
the Funds policy regarding valuation of investments and derivative financial instruments and other significant accounting
policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of the Funds investments and derivative financial instruments:
Valuation
Inputs
|
|
|
Level
1
|
|
|
|
Level
2
|
|
|
|
Level
3
|
|
|
|
Total
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
|
—
|
|
|
$
|
1,199,274
|
|
|
$
|
2,409,873
|
|
|
$
|
3,609,147
|
|
Common Stocks
|
|
|
—
|
|
|
|
958,995
|
|
|
|
209,496
|
|
|
|
1,168,491
|
|
Corporate Bonds
|
|
|
—
|
|
|
|
15,742,940
|
|
|
|
—
|
|
|
|
15,742,940
|
|
Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan Interests
|
|
|
—
|
|
|
|
132,579,459
|
|
|
|
7,304,718
|
|
|
|
139,884,177
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
$
|
2,243,014
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,243,014
|
|
Total
|
|
$
|
2,243,014
|
|
|
$
|
150,480,668
|
|
|
$
|
9,924,087
|
|
|
$
|
162,647,769
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation
Inputs
|
|
|
Level
1
|
|
|
|
Level
2
|
|
|
|
Level
3
|
|
|
|
Total
|
|
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
—
|
|
|
$
|
6,894
|
|
|
|
—
|
|
|
$
|
6,894
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
|
—
|
|
|
|
(211,088
|
)
|
|
|
—
|
|
|
|
(211,088
|
)
|
Total
|
|
|
—
|
|
|
$
|
(204,194
|
)
|
|
|
—
|
|
|
$
|
(204,194
|
)
|
1
|
|
Derivative
financial instruments are foreign currency
exchange contracts, which are valued at
the unrealized appreciation/depreciation
on the instrument.
|
The following table is a reconciliation of
Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
Asset-Backed
Securities
|
|
Common
Stocks
|
|
Floating
Rate
Loan Interests
|
|
Total
|
Assets/Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance,
as of August 31, 2011
|
$
|
2,378,561
|
|
|
$
|
106,534
|
|
|
$
|
10,822,191
|
|
|
$
|
13,307,286
|
|
Accrued discounts/premiums
|
|
20,234
|
|
|
|
—
|
|
|
|
9,960
|
|
|
|
30,194
|
|
Net realized gain
(loss)
|
|
—
|
|
|
|
—
|
|
|
|
8,884
|
|
|
|
8,884
|
|
Net change in unrealized
appreciation/depreciation
2
|
|
11,078
|
|
|
|
(105,493
|
)
|
|
|
(86,118
|
)
|
|
|
(180,533
|
)
|
Purchases
|
|
—
|
|
|
|
—
|
|
|
|
515,497
|
|
|
|
515,497
|
|
Sales
|
|
—
|
|
|
|
—
|
|
|
|
(542,817
|
)
|
|
|
(542,817
|
)
|
Transfers in
3
|
|
—
|
|
|
|
208,455
|
|
|
|
1,773,414
|
|
|
|
1,981,869
|
|
Transfers
out
3
|
|
—
|
|
|
|
—
|
|
|
|
(5,196,293
|
)
|
|
|
(5,196,293
|
)
|
Balance,
as of February 29, 2012
|
$
|
2,409,873
|
|
|
$
|
209,496
|
|
|
$
|
7,304,718
|
|
|
$
|
9,924,087
|
|
2
|
|
Included
in the related net change in unrealized
appreciation/depreciation in the Statements
of Operations. The change in unrealized
appreciation/depreciation on investments
still held at February 29, 2012 was $(179,643).
|
3
|
|
The
Funds policy is to recognize transfers
in and transfers out as of the beginning
of the period of the event or the change
in circumstances that caused the transfer.
|
A reconciliation of Level 3 investments and
derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
18
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
|
BlackRock
Diversified Income Strategies Fund, Inc. (DVF)
|
February 29, 2012 (Unaudited)
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Asset-Backed
Securities
|
|
(000)
|
Value
|
|
ARES CLO Funds, Series 2005-10A, Class B,
|
|
|
0.95%,
9/18/17 (a)(b)
|
USD
|
250
|
$
|
231,345
|
Canaras Summit CLO Ltd., Series 2007-1A,
Class B,
|
|
|
1.04%, 6/19/21 (a)(b)
|
|
365
|
310,356
|
Chatham Light CLO Ltd., Series 2005-2A,
Class A2,
|
|
|
0.94%, 8/03/19 (a)(b)
|
|
850
|
728,875
|
Flagship CLO, Series 2006-1A, Class
B,
|
|
|
|
0.91%, 9/20/19 (a)(b)
|
|
1,000
|
772,500
|
Fraser Sullivan CLO Ltd., Series 2006-2A,
Class B,
|
|
|
0.96%, 12/20/20 (a)(b)
|
|
500
|
425,000
|
Gannett Peak CLO Ltd., Series 2006-1X, Class
A2,
|
|
|
0.92%, 10/27/20 (b)
|
|
280
|
226,100
|
Landmark CDO Ltd., Series 2006-8A, Class
B,
|
|
|
0.92%, 10/19/20 (a)(b)
|
|
525
|
439,519
|
MAPS CLO Fund LLC, Series 2005-1A, Class
C,
|
|
|
1.52%, 12/21/17 (a)(b)
|
|
275
|
247,775
|
Portola CLO Ltd., Series 2007-1X, Class
B1,
|
|
|
|
1.95%, 11/15/21 (b)
|
|
370
|
317,275
|
T2 Income Fund CLO Ltd., Series 2007-1A,
Class B,
|
|
|
1.17%,
7/15/19 (a)(b)
|
|
320
|
277,520
|
Total
Asset-Backed Securities 3.0%
|
|
|
3,976,265
|
|
|
Common
Stocks (c)
|
|
Shares
|
|
Auto Components
0.8%
|
|
|
|
Delphi Automotive Plc (180-day lock)
|
|
|
|
(acquired
11/17/11, cost $189,716) (d)
|
|
32,726
|
1,021,064
|
Diversified Financial
Services 1.0%
|
|
|
|
Kcad
Holdings I Ltd.
|
144,281,996
|
1,320,902
|
Electrical Equipment
0.0%
|
|
|
|
Medis
Technologies Ltd.
|
176,126
|
881
|
Hotels, Restaurants
& Leisure 0.0%
|
|
|
|
Buffets
Restaurants Holdings, Inc.
|
|
688
|
69
|
Metals & Mining
0.1%
|
|
|
|
Euramax
International
|
|
468
|
135,575
|
Paper & Forest
Products 0.3%
|
|
|
|
Ainsworth
Lumber Co. Ltd. (a)
|
275,167
|
433,837
|
Software 0.0%
|
|
|
|
Bankruptcy Management Solutions, Inc.
|
|
536
|
11
|
HMH Holdings/EduMedia
|
|
45,526
|
11,381
|
|
|
|
11,392
|
Total
Common Stocks 2.2%
|
|
|
2,923,720
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
|
Airlines 0.4%
|
|
|
|
American Airlines Pass-Through Trust, Series
2011-2,
|
|
|
Class A, 8.63%, 4/15/23
|
USD
|
133
|
140,980
|
Delta Air Lines, Inc., Series 2009-1-B,
9.75%, 6/17/18
|
55
|
58,663
|
United Air Lines, Inc., 12.75%, 7/15/12
|
|
295
|
304,936
|
|
|
|
504,579
|
Auto Components
0.9%
|
|
|
|
Icahn Enterprises LP:
|
|
|
|
7.75%, 1/15/16
|
|
735
|
769,912
|
8.00%, 1/15/18 (a)
|
|
330
|
349,800
|
|
|
|
1,119,712
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Capital Markets
0.1%
|
|
|
|
E*Trade Financial Corp.,
3.98%, 8/31/19 (a)(e)(f)
|
USD
|
83
|
$
|
78,539
|
KKR Group Finance Co., 6.38%, 9/29/20
(a)
|
|
80
|
85,137
|
|
|
|
163,676
|
Chemicals
0.6%
|
|
|
|
CF Industries, Inc., 6.88%, 5/01/18
|
|
445
|
523,987
|
Ineos Finance Plc, 8.38%, 2/15/19 (a)
|
|
115
|
122,188
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
137
|
150,463
|
LyondellBasell Industries NV, 6.00%,
11/15/21 (a)
|
|
40
|
43,900
|
|
|
|
840,538
|
Commercial Banks
0.2%
|
|
|
|
CIT Group, Inc.:
|
|
|
|
7.00%, 5/01/16
|
|
27
|
26,628
|
7.00%, 5/02/16 (a)
|
|
130
|
130,162
|
7.00%, 5/02/17 (a)
|
|
140
|
140,175
|
Glitnir Banki HF, 6.38%, 9/25/12 (c)(f)(g)
|
|
365
|
|
|
|
|
296,965
|
Commercial Services
& Supplies 0.3%
|
|
|
|
ARAMARK Corp., 4.05%, 2/01/15 (b)
|
|
65
|
64,756
|
AWAS Aviation Capital Ltd., 7.00%, 10/17/16
(a)
|
|
343
|
358,034
|
Brickman Group Holdings, Inc., 9.13%,
11/01/18 (a)
|
|
14
|
13,300
|
|
|
|
436,090
|
Consumer Finance
0.3%
|
|
|
|
Inmarsat
Finance Plc, 7.38%, 12/01/17 (a)
|
|
350
|
374,500
|
Containers &
Packaging 0.4%
|
|
|
|
Graphic Packaging International, Inc.,
9.50%, 6/15/17
|
|
105
|
116,812
|
Smurfit Kappa Acquisitions (a):
|
|
|
|
7.25%, 11/15/17
|
EUR
|
160
|
228,090
|
7.75%, 11/15/19
|
|
135
|
193,800
|
|
|
|
538,702
|
Diversified Financial
Services 1.5%
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
7.50%, 12/31/13
|
USD
|
20
|
21,300
|
2.73%, 12/01/14 (b)
|
|
750
|
701,949
|
7.50%, 9/15/20
|
|
160
|
176,200
|
8.00%, 11/01/31
|
|
70
|
78,137
|
8.00%, 11/01/31
|
|
80
|
86,804
|
Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16
|
|
66
|
70,373
|
Reynolds Group Issuer, Inc. (a):
|
|
|
|
8.75%, 10/15/16
|
|
300
|
319,500
|
8.75%, 10/15/16
|
EUR
|
200
|
283,114
|
6.88%, 2/15/21
|
USD
|
195
|
206,700
|
|
|
|
1,944,077
|
Diversified Telecommunication
Services 0.1%
|
|
|
|
ITC
Deltacom, Inc., 10.50%, 4/01/16
|
|
180
|
187,650
|
Health Care Providers
& Services 0.5%
|
|
|
|
HCA, Inc., 6.50%, 2/15/20
|
|
420
|
450,450
|
Tenet Healthcare Corp., 6.25%, 11/01/18
(a)
|
|
195
|
207,919
|
|
|
|
658,369
|
Health Care Technology
0.6%
|
|
|
|
IMS
Health, Inc., 12.50%, 3/01/18 (a)
|
|
700
|
833,000
|
Hotels, Restaurants
& Leisure 1.1%
|
|
|
|
Little Traverse Bay Bands of Odawa Indians,
|
|
|
|
9.00%, 8/31/20 (a)
|
|
192
|
168,960
|
MGM Resorts International:
|
|
|
|
10.38%, 5/15/14
|
|
390
|
443,625
|
11.13%, 11/15/17
|
|
390
|
443,625
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
19
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Diversified Income
Strategies Fund, Inc. (DVF)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Hotels, Restaurants
& Leisure (concluded)
|
|
|
|
Travelport LLC:
|
|
|
|
5.15%,
9/01/14 (b)
|
USD
|
665
|
$
|
340,812
|
9.88%, 9/01/14
|
|
145
|
83,013
|
Tropicana Entertainment LLC, Series
WI,
|
|
|
|
9.63%, 12/15/14 (c)(g)
|
|
120
|
|
|
|
|
1,480,035
|
Household Durables
0.4%
|
|
|
|
Beazer
Homes USA, Inc., 12.00%, 10/15/17
|
|
500
|
545,000
|
Independent Power Producers
& Energy Traders 1.9%
|
|
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
575
|
609,500
|
Energy Future Holdings Corp., 10.00%,
1/15/20
|
|
370
|
400,062
|
Energy Future Intermediate Holding Co.
LLC,
|
|
|
|
10.00%, 12/01/20
|
|
1,355
|
1,471,869
|
|
|
|
2,481,431
|
Industrial Conglomerates
0.6%
|
|
|
|
Sequa
Corp., 13.50%, 12/01/15 (a)
|
|
722
|
770,275
|
Machinery
0.1%
|
|
|
|
UR
Financing Escrow Corp., 5.75%, 7/15/18 (a)(h)
|
|
85
|
87,338
|
Media 2.6%
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
|
110
|
122,650
|
CCH II LLC, 13.50%, 11/30/16
|
|
500
|
575,000
|
Checkout Holding Corp., 10.68%, 11/15/15
(a)(e)
|
|
325
|
146,250
|
Clear Channel Worldwide Holdings, Inc.,
Series B,
|
|
|
|
9.25%, 12/15/17
|
|
884
|
972,400
|
CSC Holdings LLC, 8.50%, 4/15/14
|
|
180
|
199,800
|
NAI Entertainment Holdings LLC, 8.25%, 12/15/17
(a)
|
300
|
330,000
|
Unitymedia Hessen GmbH & Co. KG,
|
|
|
|
8.13%, 12/01/17 (a)
|
|
1,000
|
1,085,000
|
|
|
|
3,431,100
|
Metals & Mining
0.0%
|
|
|
|
RathGibson,
Inc., 11.25%, 2/15/14 (c)(g)
|
|
1,390
|
|
Multiline Retail
0.2%
|
|
|
|
Dollar
General Corp., 11.88%, 7/15/17 (b)
|
|
215
|
235,965
|
Oil, Gas & Consumable
Fuels 0.1%
|
|
|
|
Coffeyville
Resources LLC, 9.00%, 4/01/15 (a)
|
|
135
|
144,450
|
Paper & Forest
Products 0.7%
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15
(a)(i)
|
|
296
|
215,867
|
Clearwater Paper Corp., 10.63%, 6/15/16
|
|
190
|
215,887
|
Longview Fibre Paper & Packaging,
Inc.,
|
|
|
|
8.00%, 6/01/16 (a)
|
|
165
|
169,538
|
Verso Paper Holdings LLC:
|
|
|
|
11.50%, 7/01/14
|
|
144
|
146,880
|
Series B, 4.30%,
8/01/14 (b)
|
|
170
|
117,725
|
|
|
|
865,897
|
Pharmaceuticals
0.2%
|
|
|
|
Valeant Pharmaceuticals International,
|
|
|
|
6.50%,
7/15/16 (a)
|
|
195
|
198,900
|
Real Estate Management
& Development 0.1%
|
|
|
|
Realogy
Corp., 7.63%, 1/15/20 (a)
|
|
175
|
180,687
|
Wireless Telecommunication
Services 2.0%
|
|
|
|
Cricket Communications, Inc., 7.75%,
5/15/16
|
|
850
|
905,250
|
Digicel Group Ltd. (a):
|
|
|
|
9.13%, 1/15/15
|
|
279
|
284,580
|
8.25%, 9/01/17
|
|
255
|
270,300
|
iPCS, Inc., 2.67%, 5/01/13 (b)
|
|
200
|
192,500
|
Sprint Nextel Corp. (a):
|
|
|
|
9.00%, 11/15/18
|
|
390
|
434,850
|
7.00%, 3/01/20
|
|
585
|
594,506
|
|
|
|
2,681,986
|
Total
Corporate Bonds 15.9%
|
|
|
21,000,922
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Aerospace & Defense
1.6%
|
|
|
|
DynCorp International, Term Loan B,
|
|
|
|
6.25%
6.75%, 7/07/16
|
USD
|
324
|
$
|
322,665
|
SI Organization, Inc., New Term Loan
B,
|
|
|
|
4.50%, 11/22/16
|
|
418
|
400,118
|
TransDigm, Inc.:
|
|
|
|
Add on Term Loan
B2, 4.00%, 2/14/17
|
|
190
|
190,158
|
Term Loan (First
Lien), 4.00%, 2/14/17
|
|
891
|
890,216
|
Wesco Aircraft Hardware Corp., Term
Loan B,
|
|
|
|
4.25%, 4/07/17
|
|
337
|
336,469
|
|
|
|
2,139,626
|
Airlines 0.8%
|
|
|
|
Delta Air Lines, Inc., Credit New Term
Loan B,
|
|
|
|
5.50%,
4/20/17
|
|
1,063
|
1,037,421
|
Auto Components
2.6%
|
|
|
|
Allison Transmission, Inc., Term Loan
B, 2.75%, 8/07/14
|
|
1,467
|
1,450,330
|
Autoparts Holdings, Ltd., First Lien
Term Loan,
|
|
|
|
6.50%, 7/28/17
|
|
698
|
699,996
|
Federal-Mogul Corp.:
|
|
|
|
Term Loan B, 2.19%
2.20%, 12/29/14
|
|
313
|
299,323
|
Term Loan C, 2.19%
2.20%, 12/28/15
|
|
160
|
152,716
|
Schaeffler AG, Term Loan C2, 6.00%,
1/27/17
|
|
480
|
481,402
|
UCI International, Inc., Term Loan,
5.50%, 7/26/17
|
|
347
|
347,366
|
|
|
|
3,431,133
|
Biotechnology
0.7%
|
|
|
|
Grifols
Inc., Term Loan B, 4.50%, 6/1/17
|
|
918
|
916,374
|
Building Products
2.9%
|
|
|
|
Armstrong World Industries, Inc., Term
Loan B,
|
|
|
|
4.00%, 3/09/18
|
|
571
|
568,370
|
CPG International, Inc., Term Loan B,
6.00%, 2/18/17
|
|
842
|
795,217
|
Goodman Global Holdings, Inc., Initial
Term Loan
|
|
|
|
(First Lien), 5.75%,
10/28/16
|
|
2,094
|
2,104,554
|
Momentive Performance Materials, Inc.
(Blitz 06-103
|
|
|
|
GmbH), Tranche B-2B
Term Loan, 4.08%, 5/05/15
|
EUR
|
315
|
397,326
|
|
|
|
3,865,467
|
Capital Markets
1.7%
|
|
|
|
American Capital Ltd., Term Loan B,
7.50%, 12/31/13
|
USD
|
70
|
70,154
|
HarbourVest Partners, Term Loan (First
Lien),
|
|
|
|
6.25%, 12/16/16
|
|
838
|
838,853
|
Nuveen Investments, Inc.:
|
|
|
|
(First Lien), Term
Loan, 3.30% 3.58%, 11/13/14
|
|
438
|
435,132
|
Extended Term Loan,
5.74% 5.83%, 5/12/17
|
|
862
|
859,685
|
Incremental Term
Loan, 7.25%, 5/13/17
|
|
85
|
85,595
|
|
|
|
2,289,419
|
Chemicals
4.7%
|
|
|
|
American Rock Salt Holdings LLC, Term
Loan B,
|
|
|
|
5.50%, 4/25/17
|
|
605
|
562,615
|
Ashland, Inc., Term Loan B, 3.75%, 8/23/18
|
|
419
|
420,333
|
Chemtura Corp., Exit Term Loan B, 5.50%,
8/27/16
|
|
700
|
702,191
|
Gentek, Inc., Term Loan B, 5.00%
5.75%, 10/06/15
|
|
518
|
514,752
|
MDI Holdings LLC, Tranche C Term Loan,
|
|
|
|
2.76%, 4/11/14
|
EUR
|
219
|
283,687
|
Nexeo Solutions LLC, Term Loan B, 5.00%,
9/08/17
|
USD
|
596
|
586,317
|
PolyOne Corp., Term Loan, 5.00%, 12/20/17
|
|
195
|
195,293
|
PQ Corp., Original Term Loan (First
Lien),
|
|
|
|
3.50%, 7/30/14
|
|
697
|
679,573
|
Styron Sarl LLC, Term Loan B, 6.00%
6.75%, 8/02/17
|
|
541
|
487,487
|
Tronox Worldwide LLC:
|
|
|
|
Delayed Draw Term
Loan, 1.00%, 2/09/18
|
|
185
|
185,150
|
Term Loan B, 4.25%,
2/08/18
|
|
680
|
678,882
|
Univar, Inc., Term Loan B, 5.00%, 6/30/17
|
|
988
|
979,784
|
|
|
|
6,276,064
|
See Notes to Financial Statements.
20
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Diversified Income
Strategies Fund, Inc. (DVF)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Commercial Services
& Supplies 3.6%
|
|
|
|
Altegrity, Inc., Tranche
D Term Loan, 7.75%, 2/20/15
|
USD
|
790
|
$
|
789,091
|
ARAMARK Corp.:
|
|
|
|
Letter of Credit,
3.55%, 7/26/16
|
|
17
|
16,503
|
Extended Term Loan
B, 3.83%, 7/26/16
|
|
234
|
231,786
|
AWAS Finance Luxembourg Sarl, Term Loan
B,
|
|
|
|
5.25%, 6/10/16
|
|
413
|
411,650
|
Delos Aircraft, Inc., Term Loan B2,
7.00%, 3/17/16
|
|
925
|
925,990
|
International Lease Finance Corp., Term
Loan B1,
|
|
|
|
6.75%, 3/17/15
|
|
40
|
40,067
|
KAR Auction Services, Inc., Term Loan
B,
|
|
|
|
5.00%, 5/19/17
|
|
1,244
|
1,242,195
|
Synagro Technologies, Inc., Term Loan
B,
|
|
|
|
2.25% 2.26%,
4/02/14
|
|
636
|
568,892
|
Volume Services America, Inc., Term
Loan B,
|
|
|
|
10.50% 10.75%,
9/16/16
|
|
494
|
495,809
|
|
|
|
4,721,983
|
Communications Equipment
1.2%
|
|
|
|
Avaya, Inc.:
|
|
|
|
Term Loan B1, 3.24%,
10/24/14
|
|
548
|
535,749
|
Term Loan B3, 4.99%,
10/26/17
|
|
330
|
320,024
|
CommScope, Inc., Term Loan B, 5.00%,
1/14/18
|
|
768
|
768,024
|
|
|
|
1,623,797
|
Construction &
Engineering 0.9%
|
|
|
|
BakerCorp. International, Inc., Term
Loan B,
|
|
|
|
5.00%, 6/01/18
|
|
433
|
432,176
|
Safway Services, LLC, First Out Tranche
Loan,
|
|
|
|
9.00%, 12/16/17
|
|
800
|
800,000
|
|
|
|
1,232,176
|
Consumer Finance
1.6%
|
|
|
|
Springleaf
Finance Corp., Term Loan, 5.50%, 5/10/17
|
|
2,270
|
2,069,355
|
Containers &
Packaging 0.6%
|
|
|
|
Sealed
Air Corp., Term Loan B, 4.75%, 10/03/18
|
|
763
|
770,749
|
Diversified Consumer
Services 3.1%
|
|
|
|
Coinmach Service Corp., Term Loan B,
|
|
|
|
3.41%, 11/20/14
|
|
1,336
|
1,230,110
|
Laureate Education, Inc., Extended Term
Loan,
|
|
|
|
5.25%, 8/15/18
|
|
1,903
|
1,816,711
|
ServiceMaster Co.:
|
|
|
|
Delayed Draw Term
Loan, 2.75%, 7/24/14
|
|
103
|
101,514
|
Term Loan, 2.77%
3.03%, 7/24/14
|
|
1,032
|
1,019,372
|
|
|
|
4,167,707
|
Diversified Financial
Services 1.5%
|
|
|
|
Reynolds Group Holdings, Inc.:
|
|
|
|
Tranche B Term Loan,
6.50%, 2/09/18
|
|
565
|
569,629
|
Tranche C Term Loan,
5.25% 6.50%, 8/09/18
|
|
1,382
|
1,395,908
|
|
|
|
1,965,537
|
Diversified Telecommunication
Services 4.6%
|
|
|
|
Hawaiian Telcom Communications, Inc.,
|
|
|
|
Term Loan B, 9.00%,
2/25/17
|
|
1,105
|
1,102,238
|
Integra Telecom Holdings, Inc., Term
Loan B,
|
|
|
|
9.25%, 4/15/15
|
|
813
|
715,110
|
Level 3 Financing, Inc.:
|
|
|
|
Term Loan B2, 5.75%,
9/03/18
|
|
1,700
|
1,711,696
|
Term Loan B3, 5.75%,
8/31/18
|
|
750
|
755,160
|
Tranche A Term Loan,
2.51% 2.83%, 3/13/14
|
|
1,175
|
1,155,612
|
US Telepacific Corp., Term Loan B, 5.75%,
2/23/17
|
|
745
|
705,845
|
|
|
|
6,145,661
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Electronic Equipment,
Instruments & Components 1.2%
|
|
|
CDW LLC (FKA CDW Corp.), Extended Term
Loan,
|
|
|
|
4.00%,
7/14/17
|
USD
|
851
|
$
|
831,620
|
Flextronics International Ltd., Delayed
Draw:
|
|
|
|
Term Loan A-2, 2.52%,
10/01/14
|
|
24
|
23,590
|
Term Loan A-3, 2.49%,
10/01/14
|
|
20
|
20,220
|
Sensata Technologies Finance Co., LLC,
Term Loan,
|
|
|
|
4.00%, 5/11/18
|
|
740
|
738,453
|
|
|
|
1,613,883
|
Energy Equipment
& Services 2.9%
|
|
|
|
CCS Corp.:
|
|
|
|
Incremental Term
Loan, 6.50%, 10/17/14
|
|
370
|
370,370
|
Term Loan B, 3.24%,
11/14/14
|
|
796
|
770,516
|
Dynegy Midwest Generation LLC., Coal
Co. Term Loan,
|
|
|
|
9.25%, 8/04/16
|
|
484
|
481,730
|
Dynegy Power LLC., Gas Co. Term Loan,
9.25%, 8/04/16
|
|
613
|
632,101
|
MEG Energy Corp., Term Loan B, 4.00%,
3/16/18
|
|
1,596
|
1,592,728
|
|
|
|
3,847,445
|
Food & Staples
Retailing 1.8%
|
|
|
|
AB Acquisitions UK Topco 2 Ltd., Facility
B1,
|
|
|
|
3.60%, 7/09/15
|
GBP
|
750
|
1,089,834
|
B&G Foods, Inc., Term Loan B, 4.50%,
11/30/18
|
USD
|
185
|
185,416
|
Bolthouse Farms, Inc., Term Loan (First
Lien),
|
|
|
|
5.50%, 2/11/16
|
|
245
|
245,122
|
U.S. Foodservice, Inc., Term Loan B,
|
|
|
|
2.74% 2.75%,
7/03/14
|
|
834
|
805,262
|
|
|
|
2,325,634
|
Food Products
3.1%
|
|
|
|
Advance Pierre Foods:
|
|
|
|
Term Loan (First
Lien), 5.50%, 9/30/16
|
|
919
|
918,536
|
Term Loan (Second
Lien), 11,25%, 9/29/17
|
|
550
|
550,456
|
Del Monte Corp., Term Loan, 4.50%, 3/08/18
|
|
1,235
|
1,210,716
|
Michaels Foods Group, Inc., Term Loan
B,
|
|
|
|
4.25%, 2/23/18
|
|
107
|
106,843
|
Pinnacle Foods Finance LLC:
|
|
|
|
Tranche B Term Loan,
2.76% 3.08%, 4/02/14
|
|
45
|
44,515
|
Tranche D Term Loan,
6.00% 6.50%, 4/02/14
|
|
494
|
496,950
|
Solvest, Ltd. (Dole):
|
|
|
|
Tranche B-2 Term
Loan, 5.00%, 7/06/18
|
|
266
|
267,241
|
Tranche C-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
|
495
|
496,306
|
|
|
|
4,091,563
|
Health Care Equipment
& Supplies 1.7%
|
|
|
|
Biomet, Inc., Term Loan B, 3.24%
3.57%, 3/25/15
|
|
194
|
191,826
|
DJO Finance LLC, Term Loan B, 3.24%,
5/20/14
|
|
488
|
481,261
|
Hupah Finance, Inc., Term Loan B, 6.25%,
1/21/19
|
|
380
|
379,764
|
Iasis Healthcare LLC, Term Loan, 5.00%,
5/03/18
|
|
369
|
367,063
|
Immucor, Inc., Term Loan B, 7.25%, 8/17/18
|
|
873
|
878,704
|
|
|
|
2,298,618
|
Health Care Providers
& Services 4.3%
|
|
|
|
CHS/Community Health Systems, Inc.:
|
|
|
|
Delayed Draw Term
Loan, 3.25%, 7/25/14
|
|
28
|
27,718
|
Non-Extended Term
Loan, 2.49% 4.50%, 7/25/14
|
|
545
|
537,660
|
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16
|
|
594
|
592,331
|
DaVita, Inc., Term Loan B, 4.50%, 10/20/16
|
|
792
|
793,814
|
Emergency Medical Services, Term Loan,
|
|
|
|
5.25%, 5/25/18
|
|
813
|
810,117
|
Harden Healthcare LLC:
|
|
|
|
Term Loan A, 8.50%,
3/02/15
|
|
328
|
321,325
|
Tranche A Additional
Term Loan, 7.75%, 3/02/15
|
|
523
|
512,432
|
HCA, Inc.:
|
|
|
|
Tranche B-1 Term
Loan, 3.49%, 5/01/18
|
|
104
|
101,827
|
Tranche B-2 Term
Loan, 3.83%, 3/31/17
|
|
57
|
55,951
|
Health Management Associates, Inc.,
Term Loan B,
|
|
|
|
4.50%, 11/16/18
|
|
275
|
273,212
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
21
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Diversified Income
Strategies Fund, Inc. (DVF)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Health Care Providers
& Services (concluded)
|
|
|
|
inVentiv Health, Inc.:
|
|
|
|
Combined
Term Loan B, 6.50%, 8/04/16
|
USD
|
579
|
$
|
556,606
|
Incremental Term
Loan B-3, 6.75%, 5/15/18
|
|
496
|
476,400
|
Medpace, Inc., Term Loan, 6.50% 7.25%,
6/16/17
|
597
|
573,120
|
Vanguard Health Holding Co. II, LLC (Vanguard
Health
|
|
|
Systems, Inc.), Term
Loan B, 5.00%, 1/29/16
|
|
65
|
64,675
|
|
|
|
5,697,188
|
Health Care Technology
1.3%
|
|
|
|
IMS Health, Inc., Term Loan B, 4.50%,
8/25/17
|
|
583
|
583,711
|
Kinetic Concepts, Inc., Term Loan B, 7.00%,
5/04/18
|
765
|
777,431
|
MedAssets, Inc., Term Loan, 5.25%, 11/16/16
|
|
395
|
394,666
|
|
|
|
1,755,808
|
Hotels, Restaurants
& Leisure 5.6%
|
|
|
|
Ameristar Casinos, Inc., Term Loan B, 4.00%,
4/13/18
|
595
|
596,341
|
Boyd Gaming Corp., Incremental Term
Loan,
|
|
|
|
6.00%, 12/17/15
|
|
425
|
425,995
|
Caesars Entertainment Operating Co.,
Inc.:
|
|
|
|
Incremental Term
Loan B4, 9.50%, 10/31/16
|
|
637
|
655,050
|
Term Loan B-3, 3.24%,
1/28/15
|
|
103
|
96,899
|
Term Loan B-3, 3.24%
3.47%, 1/28/15
|
|
2,556
|
2,395,108
|
Dunkin Brands, Inc., Term Loan
B,
|
|
|
|
4.00% 5.25%,
11/23/17
|
|
917
|
914,582
|
Golden Living, Term Loan, 5.00%, 5/04/18
|
|
153
|
143,500
|
OSI Restaurant Partners LLC:
|
|
|
|
Revolver, 2.56%
2.79%, 6/14/13
|
|
4
|
4,378
|
Term Loan B, 2.56%,
6/14/14
|
|
46
|
44,412
|
SeaWorld Parks & Entertainment,
Inc., Term Loan B,
|
|
|
|
4.00%, 8/17/17
|
|
657
|
656,133
|
Six Flags Theme Parks, Inc., Tranche
B Term Loan
|
|
|
|
(First Lien), 4.25%,
12/20/18
|
|
735
|
731,788
|
Station Casinos, Inc., Term Loan B1, 3.24%,
6/17/16
|
500
|
450,835
|
Twin River Worldwide Holdings, Inc.,
Term Loan,
|
|
|
|
8.50%, 11/05/15
|
|
363
|
363,484
|
|
|
|
7,478,505
|
Household Products
0.5%
|
|
|
|
Prestige
Brands, Inc., Term Loan, 5.25%, 1/31/19
|
|
725
|
727,719
|
Independent Power Producers
& Energy Traders 1.0%
|
|
|
The AES Corp., Term Loan, 4.25%, 6/01/18
|
|
993
|
991,508
|
Texas Competitive Electric Holdings Co.
LLC, Extended
|
|
|
Term Loan, 4.76%,
10/10/17
|
|
594
|
331,427
|
|
|
|
1,322,935
|
Industrial Conglomerates
1.4%
|
|
|
|
Sequa Corp.:
|
|
|
|
Incremental Term
Loan, 6.25%, 12/03/14
|
|
320
|
321,066
|
Term Loan, 3.76%
3.84%, 12/03/14
|
|
1,597
|
1,579,316
|
|
|
|
1,900,382
|
Insurance
0.6%
|
|
|
|
CNO Financial Group, Inc., Term Loan
B,
|
|
|
|
6.25%,
9/30/16
|
|
817
|
820,345
|
Internet Software
& Services 0.4%
|
|
|
|
Web.com
Group, Inc., Term Loan B, 7.00%, 10/27/17
|
575
|
561,507
|
IT Services
5.1%
|
|
|
|
Ceridian Corp., Term Loan, 3.24%, 11/10/14
|
|
694
|
656,062
|
First Data Corp.:
|
|
|
|
Extended Term Loan
B, 4.24%, 3/23/18
|
|
3,284
|
2,947,233
|
Term Loan B-1, 2.99%,
9/24/14
|
|
407
|
389,471
|
Term Loan B-3, 2.99%,
9/24/14
|
|
80
|
76,022
|
infoGROUP, Inc., Term Loan B, 5.75%,
5/25/18
|
|
345
|
322,382
|
iPayment, Inc., Term Loan B, 5.75%,
5/08/17
|
|
330
|
329,013
|
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18
|
|
434
|
434,997
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
IT Services (concluded)
|
|
|
|
SunGard Data Systems, Inc. (Solar Capital
Corp.),
|
|
|
|
Tranche
B Term Loan, 3.99% 5.88%, 2/26/16
|
USD
|
150
|
$
|
149,593
|
TransUnion LLC, Term Loan B, 4.75%,
2/12/18
|
|
1,457
|
1,458,472
|
|
|
|
6,763,245
|
Leisure Equipment
& Products 0.6%
|
|
|
|
Eastman Kodak Co., DIP Term Loan B,
8.50, 7/20/13
|
|
290
|
293,535
|
EB Sports Corp., Term Loan, 11.50%,
12/31/15
|
|
531
|
520,750
|
|
|
|
814,285
|
Machinery
1.6%
|
|
|
|
Terex Corp.:
|
|
|
|
Term Loan, 6.00%,
4/28/17
|
EUR
|
65
|
85,735
|
Term Loan B, 5.50%,
4/28/17
|
USD
|
639
|
643,272
|
Tomkins LLC, Term Loan B, 4.25%, 9/29/16
|
|
1,349
|
1,347,453
|
|
|
|
2,076,460
|
Media 18.4%
|
|
|
|
Acosta, Inc., Term Loan, 4.75%, 3/01/18
|
|
327
|
324,943
|
Affinion Group, Inc., Term Loan B, 5.00%,
10/10/16
|
|
761
|
711,790
|
AMC Entertainment, Inc., Term Loan B3,
|
|
|
|
4.25%, 2/22/18
|
|
350
|
345,341
|
AMC Networks, Inc., Term Loan B, 4.00%,
12/31/18
|
|
796
|
791,025
|
Atlantic Broadband Finance LLC, Term
Loan B,
|
|
|
|
4.00%, 3/08/16
|
|
438
|
435,779
|
Bresnan Telecommunications Co., LLC,
Term Loan B,
|
|
|
|
4.50% 5.25%,
12/14/17
|
|
1,361
|
1,356,717
|
Capsugel Healthcare Ltd., Term Loan,
5.25%, 8/01/18
|
|
633
|
636,866
|
Catalina Marketing Corp., Term Loan
B,
|
|
|
|
2.99%, 10/01/14
|
|
668
|
649,193
|
Cengage Learning Acquisitions, Inc.:
|
|
|
|
Term Loan, 2.49%,
7/03/14
|
|
160
|
148,300
|
Tranche 1 Incremental
Term Loan, 7.50%, 7/03/14
|
|
477
|
461,868
|
Cequel Communications LLC, Term Loan
B,
|
|
|
|
4.00%, 2/11/19
|
|
1,155
|
1,143,184
|
Charter Communications Operating LLC:
|
|
|
|
Term Loan B, 7.25%,
3/06/14
|
|
14
|
14,353
|
Term Loan C, 3.83%,
9/06/16
|
|
1,021
|
1,012,963
|
Clarke American Corp., Term Facility
B,
|
|
|
|
2.74% 3.08%,
6/30/14
|
|
197
|
179,625
|
Clear Channel Communication:
|
|
|
|
Term Loan B, 3.89%,
1/28/16
|
|
1,565
|
1,284,349
|
Term Loan C, 3.89%,
1/28/16
|
|
170
|
134,725
|
Cumulus Media, Inc., Term Loan, 5.75%,
9/17/18
|
|
550
|
550,456
|
Gray Television, Inc., Term Loan B,
3.77%, 12/31/14
|
|
680
|
671,972
|
HMH Publishing Co., Ltd., Term Loan,
6.51%, 6/12/14
|
|
718
|
443,796
|
Hubbard Broadcasting, Term Loan B (Second
Lien),
|
|
|
|
5.25%, 4/28/17
|
|
498
|
497,913
|
Intelsat Jackson Holdings SA, Tranche
B Term Loan,
|
|
|
|
5.25%, 4/02/18
|
|
2,978
|
2,972,438
|
Interactive Data Corp., Term Loan B,
4.50%, 2/12/18
|
|
1,414
|
1,411,130
|
Kabel Deutschland GmbH, Term Loan F,
4.25%, 2/01/19
|
|
675
|
671,625
|
Knology, Inc., Term Loan B, 4.00%, 8/18/17
|
|
320
|
317,338
|
Lavena Holding 3 GmbH (Prosiebensat.1
Media AG),
|
|
|
|
Facility B1, 3.81%,
3/06/15
|
EUR
|
304
|
351,749
|
LIN Television Corp., Term Loan B, 5.00%,
12/21/18
|
USD
|
345
|
346,725
|
Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13
|
|
2,000
|
2,057,500
|
Nielsen Finance LLC, Class B Dollar
Term Loan,
|
|
|
|
4.00%, 5/02/16
|
|
675
|
676,875
|
Sinclair Television Group, Inc.:
|
|
|
|
Incremental Term
Loan B3, 1.00%, 10/28/16
|
|
140
|
139,343
|
New Tranche B Term
Loan, 4.00%, 10/28/16
|
|
579
|
576,149
|
Univision Communications, Inc., Extended
First Lien
|
|
|
|
Term Loan, 4.49%,
3/31/17
|
|
1,034
|
960,620
|
UPC Broadband Holding B.V., Term Loan
U,
|
|
|
|
4.72%, 12/29/17
|
EUR
|
209
|
273,794
|
See Notes to Financial Statements.
22
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Diversified Income
Strategies Fund, Inc. (DVF)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Media (concluded)
|
|
|
|
UPC Financing Partnership:
|
|
|
|
Term
Loan, 4.75%, 12/29/17
|
USD
|
415
|
$
|
414,274
|
Term Loan T, 3.77%,
12/30/16
|
|
88
|
86,860
|
WC Luxco Sarl, Term Loan B3, 4.25%,
3/15/18
|
|
218
|
217,837
|
Weather Channel, Term Loan B, 4.25%,
2/13/17
|
|
1,027
|
1,027,556
|
|
|
|
24,296,971
|
Metals & Mining
2.6%
|
|
|
|
Novelis, Inc., Incremental Term Loan
B2,
|
|
|
|
4.00%, 3/10/17
|
|
1,420
|
1,413,225
|
SunCoke Energy, Inc., Term Loan B,
|
|
|
|
4.00% 5.25%,
7/26/18
|
|
448
|
446,631
|
Walter Energy, Inc., Term Loan B, 4.00%,
4/02/18
|
|
1,566
|
1,558,824
|
|
|
|
3,418,680
|
Multi-Utilities
0.1%
|
|
|
|
FirstLight Power Resources, Inc., Term
B Advance
|
|
|
|
(First
Lien), 2.75%, 11/01/13
|
|
174
|
163,466
|
Multiline Retail
2.0%
|
|
|
|
99 Cents Only Stores, Term Loan B,
|
|
|
|
6.00% 7.00%%,
1/11/19
|
|
550
|
553,536
|
Dollar General Corp., Tranche B-2 Term
Loan,
|
|
|
|
3.00% 3.33%,
7/07/14
|
|
270
|
270,423
|
Hema Holding BV, Second Lien Term Loan,
|
|
|
|
5.69%, 1/05/17
|
EUR
|
1,400
|
1,622,741
|
The Neiman Marcus Group, Inc., New Term
Loan,
|
|
|
|
4.75%, 5/16/18
|
USD
|
185
|
183,520
|
|
|
|
2,630,220
|
Oil, Gas & Consumable
Fuels 1.9%
|
|
|
|
EquiPower Resources Holdings LLC, Term
Loan B,
|
|
|
|
5.75%, 1/26/18
|
|
771
|
724,669
|
Gibson Energy, Term Loan B, 5.75%, 6/15/18
|
|
846
|
846,629
|
Obsidian Natural Gas Trust, Term Loan,
|
|
|
|
7.00%, 11/02/15
|
|
914
|
919,049
|
|
|
|
2,490,347
|
Paper & Forest
Products 0.2%
|
|
|
|
NewPage
Corp., Term Loan, 8.00%, 3/07/13
|
|
200
|
201,500
|
Pharmaceuticals
3.9%
|
|
|
|
Aptalis Pharma, Inc., Term Loan B,
|
|
|
|
0.75% 5.50%,
2/10/17
|
|
1,040
|
1,030,664
|
Endo Pharmaceuticals Holdings, Inc.,
Term Loan B,
|
|
|
|
4.00%, 6/18/18
|
|
172
|
171,820
|
Pharmaceutical Product Development,
Inc., Term Loan B,
|
|
|
|
6.25%, 12/05/18
|
|
875
|
882,656
|
Quintiles Transnational Corp., Term
Loan,
|
|
|
|
5.00%, 6/08/18
|
|
687
|
682,012
|
RPI Finance Trust, Term Loan Tranche
2, 4.00%, 5/09/18
|
|
498
|
496,624
|
Taminco Global Chemical Corp., New Term
Loan,
|
|
|
|
6.25%, 2/15/19
|
|
305
|
306,254
|
Valeant Pharmaceuticals International,
Add on
|
|
|
|
Term Loan B, 3.75%,
2/08/19
|
|
1,115
|
1,111,521
|
Warner Chilcott Corp.:
|
|
|
|
Term Loan B-1, 4.25%,
3/15/18
|
|
318
|
316,854
|
Term Loan B-2, 4.25%,
3/15/18
|
|
159
|
158,427
|
|
|
|
5,156,832
|
Professional Services
1.3%
|
|
|
|
Booz Allen Hamilton, Inc., Tranche B
Term Loan,
|
|
|
|
4.00%, 8/03/17
|
|
132
|
132,136
|
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18
|
|
925
|
935,573
|
Fifth Third Processing Solutions LLC,
Term Loan B
|
|
|
|
(First Lien), 4.50%,
11/03/16
|
|
623
|
623,455
|
|
|
|
1,691,164
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Real Estate Investment
Trusts (REITs) 0.7%
|
|
|
|
Istar
Financial, Inc., Term Loan A1, 5.00%, 6/28/13
|
USD
|
877
|
$
|
873,021
|
Real Estate Management
& Development 0.8%
|
|
|
|
Realogy Corp.:
|
|
|
|
Extended Letter of
Credit Term Loan,
|
|
|
|
4.53%, 10/10/16 (h)
|
|
24
|
21,809
|
Extended Synthetic
Letter of Credit,
|
|
|
|
3.25%, 10/10/13
|
|
27
|
25,194
|
Extended Term Loan,
4.77%, 10/10/16
|
|
1,133
|
1,051,026
|
|
|
|
1,098,029
|
Road & Rail
0.8%
|
|
|
|
Avis Budget Car Rental LLC, Incremental
Term Loan,
|
|
|
|
6.25%, 9/21/18
|
|
514
|
518,721
|
RailAmerica, Inc., Term Loan B, 4.00%,
2/27/19
|
|
500
|
498,750
|
|
|
|
1,017,471
|
Semiconductors &
Semiconductor Equipment 0.7%
|
|
|
|
Freescale Semiconductor, Inc., Extended
Term Loan B,
|
|
|
|
4.52%, 12/01/16
|
|
365
|
355,652
|
NXP B.V., Term Loan A-2, 5.50%, 3/03/17
|
|
554
|
549,733
|
|
|
|
905,385
|
Software 1.5%
|
|
|
|
Blackboard, Inc., Term Loan B, 7.50%,
10/04/18
|
|
245
|
241,734
|
Infor Enterprise Solutions Holdings,
Inc.:
|
|
|
|
Extended Delayed
Draw Term Loan, 0.00%, 7/28/15
|
|
19
|
18,648
|
Extended Initial
Term Loan, 0.00%, 7/28/15
|
|
36
|
35,114
|
Extended Initial
Term Loan, 1.00%, 7/28/15
|
EUR
|
205
|
257,417
|
Rovi Corp., Tranche B Term Loan, 4.00%,
2/07/18
|
USD
|
496
|
495,630
|
Sophia, LP, Term Loan B, 6.25%, 7/19/18
|
|
555
|
560,783
|
Vertafore, Inc., Term Loan B, 5.25%,
7/29/16
|
|
332
|
328,832
|
|
|
|
1,938,158
|
Specialty Retail
4.6%
|
|
|
|
Academy Ltd., Term Loan, 6.00%, 8/03/18
|
|
900
|
899,901
|
Bass Pro Group LLC, Term Loan, 5.25%,
6/13/17
|
|
65
|
64,721
|
Burlington Coat Factory Warehouse Corp.,
Term Loan B,
|
|
|
|
6.25%, 2/23/17
|
|
407
|
406,937
|
Claires Stores, Inc., Term Loan B,
2.99% 3.30%, 5/29/14
|
212
|
200,827
|
General Nutrition Centers, Inc., Term Loan
B, 4.25%, 3/02/18
|
895
|
892,351
|
The Gymboree Corp., Term Loan B, 5.00%,
2/23/18
|
|
310
|
291,477
|
Jo-Ann Stores, Inc., Term Loan B, 4.75%,
3/16/18
|
|
283
|
278,770
|
Michaels Stores, Inc.:
|
|
|
|
Extended Term Loan
B3, 5.13%, 7/29/16
|
|
223
|
221,228
|
Term Loan B-2, 5.13%,
7/29/16
|
|
791
|
786,045
|
Petco Animal Supplies, Inc., Term Loan
B,
|
|
|
|
4.50%, 11/24/17
|
|
992
|
987,447
|
Toys R Us Delaware, Inc.:
|
|
|
|
Term Loan B1, 6.00%,
9/01/16
|
|
813
|
813,815
|
Term Loan B2, 5.25%,
5/25/18
|
|
199
|
196,144
|
|
|
|
6,039,663
|
Wireless Telecommunication
Services 2.3%
|
|
|
|
Crown Castle International Corp., Term
Loan B,
|
|
|
|
4.00%, 1/31/19
|
|
985
|
980,518
|
MetroPCS Wireless, Inc.:
|
|
|
|
Term Loan B-3, 4.00%
4.06%, 3/16/18
|
|
148
|
146,784
|
Tranche B-2 Term
Loan, 4.07% 4.13%, 11/03/16
|
|
501
|
496,666
|
Vodafone Americas Finance 2, Inc. (i):
|
|
|
|
Term Loan, 6.88%,
8/11/15
|
|
1,211
|
1,211,003
|
Term Loan B, 6.25%,
7/11/16
|
|
206
|
205,734
|
|
|
|
3,040,705
|
Total
Floating Rate Loan Interests 107.0%
|
|
|
141,709,603
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
23
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Diversified Income
Strategies Fund, Inc. (DVF)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
|
|
Beneficial
|
|
|
|
|
|
Interest
|
|
|
|
Other
Interests (j)
|
|
(000)
|
|
|
Value
|
Auto Components
0.0%
|
|
|
|
|
|
Intermet
Liquidating Trust, Class A (c)
|
USD
|
256
|
|
|
|
Chemicals
0.0%
|
|
|
|
|
|
Wellman
Holdings, Inc., Litigation Trust Certificate
|
|
3,000
|
|
$
|
30
|
Diversified Financial
Services 0.5%
|
|
|
|
|
|
JG Wentworth
LLC Preferred Equity Interests (c)
|
|
|
(k)
|
|
620,752
|
Hotels, Restaurants
& Leisure 0.0%
|
|
|
|
|
|
Buffets,
Inc. (c)
|
|
360
|
|
|
4
|
Household Durables
0.9%
|
|
|
|
|
|
Stanley
Martin, Class B Membership Units
|
|
1
|
|
|
1,206,250
|
Total
Other Interests 1.4%
|
|
|
|
|
1,827,036
|
|
|
Preferred
Securities
|
|
|
|
|
|
Preferred
Stocks 0.0%
|
|
Shares
|
|
|
|
Diversified Financial
Services 0.0%
|
|
|
|
|
|
Ally
Financial, Inc., 7.00% (a)
|
|
50
|
|
|
43,384
|
|
|
Trust
Preferred 0.1%
|
|
|
|
|
|
Diversified Financial
Services 0.1%
|
|
|
|
|
|
GMAC
Capital Trust I, Series 2, 8.13%, 2/15/40 (b)(f)
|
|
79
|
|
|
73,913
|
Total
Preferred Securities 0.1%
|
|
|
|
|
117,297
|
|
|
Warrants
(l)
|
|
|
|
|
|
Hotels, Restaurants
& Leisure 0.0%
|
|
|
|
|
|
Buffets
Restaurants Holdings, Inc. (Expires 4/29/14)
|
|
304
|
|
|
|
Software 0.0%
|
|
|
|
|
|
Bankruptcy Management Solutions, Inc. (Expires
9/29/17)
|
357
|
|
|
|
HMH Holdings/EduMedia (Expires 3/09/17)
|
|
4,970
|
|
|
|
|
|
|
|
|
|
Total
Warrants 0.0%
|
|
|
|
|
|
Total Long-Term Investments
|
|
|
|
|
|
(Cost
$179,001,250) 129.6%
|
|
|
|
|
171,554,843
|
|
|
Short-Term
Securities
|
|
|
|
|
|
BlackRock Liquidity Funds, TempFund,
|
|
|
|
|
|
Institutional Class,
0.11% (m)(n)
|
1,820,693
|
|
|
1,820,693
|
Total Short-Term Securities
|
|
|
|
|
|
(Cost
$1,820,693) 1.4%
|
|
|
|
|
1,820,693
|
|
|
Options
Purchased
|
|
Contracts
|
|
|
|
Over-the-Counter
Call Options 0.0%
|
|
|
|
|
|
Marsico Parent Superholdco LLC,
|
|
|
|
|
|
Strike Price USD 942.86,
Expires 12/14/19,
|
|
|
|
|
|
Broker
Goldman Sachs Bank USA
|
|
13
|
|
|
|
Total Options Purchased
|
|
|
|
|
|
(Cost
$12,711) 0.0%
|
|
|
|
|
|
Total Investments (Cost $180,834,654)
131.0%
|
|
|
|
$
|
173,375,536
|
Liabilities in Excess of Other Assets
(31.0)%
|
|
|
|
|
(40,975,549)
|
Net Assets 100.0%
|
|
|
|
$
|
132,399,987
|
(a)
|
|
Security
exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities
may be resold in transactions exempt from registration
to qualified institutional investors.
|
(b)
|
|
Variable
rate security. Rate shown is as of report date.
|
(c)
|
|
Non-income
producing security.
|
(d)
|
|
Restricted
security as to resale. As of report date the Portfolio
held 0.8% of its net assets, with a current value
of $ 1,021,064 and an original cost of $ 189,176
in this security.
|
(e)
|
|
Represents
a zero-coupon bond. Rate shown reflects the current
yield as of report date.
|
(f)
|
|
Convertible
security.
|
(g)
|
|
Issuer
filed for bankruptcy and/or is in default of interest
payments.
|
(h)
|
|
When-issued
security. Unsettled when-issued transactions were
as follows:
|
|
|
|
Counterparty
|
Value
|
Unrealized
Appreciation
(Depreciation)
|
|
JPMorgan Securities Inc.
|
$21,809
|
$
|
(630
|
)
|
Morgan
Stanley Co.
|
$87,338
|
$
|
2,338
|
|
(i)
|
|
Represents
a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(j)
|
|
Other
interests represent beneficial interests in liquidation
trusts and other reorganization or private entities.
|
(k)
|
|
Amount
is less than $500.
|
(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, if any.
|
(m)
|
|
Investments
in companies considered to be an affiliate of the
Fund during the period, for purposes of Section
2(a)(3) of the 1940 Act, were as follows:
|
|
|
|
|
|
|
Affiliate
|
Shares
Held at
August 31, 2011
|
Net
Activity
|
Shares
Held at
February 29, 2012
|
Income
|
BlackRock Liquidity
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
Institutional
Class
|
|
1,820,693
|
1,820,693
|
$ 221
|
(n)
|
|
Represents
the current yield as of report date.
|
|
|
Foreign
currency exchange contracts as of February 29,
2012 were as follows:
|
|
|
|
|
|
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
USD
|
983,369
|
GBP
|
641,500
|
UBS AG
|
4/11/12
|
$
|
(36,904
|
)
|
EUR
|
189,000
|
USD
|
250,572
|
Deutsche Bank AG
|
4/18/12
|
|
1,282
|
|
EUR
|
198,000
|
USD
|
258,076
|
Royal Bank
|
|
|
|
|
|
|
of Scotland Plc
|
4/18/12
|
|
5,771
|
|
USD
|
3,766,154
|
EUR
|
2,932,000
|
Citibank NA
|
4/18/12
|
|
(140,914
|
)
|
USD
|
397,919
|
EUR
|
300,000
|
Citibank
NA
|
4/18/12
|
|
(1,850
|
)
|
Total
|
|
|
|
|
|
$
|
(172,615
|
)
|
|
|
For
Fund compliance purposes, the Funds industry
classifications refer to any one or more of
the industry sub-classifications used by one
or more widely recognized market indexes or
rating group indexes and/or as defined by Fund
management. These definitions may not apply
for purposes of this report, which may combine
such industry sub-classifications for reporting
ease.
|
See Notes to Financial Statements.
24
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(concluded)
|
BlackRock
Diversified Income
Strategies Fund, Inc. (DVF)
|
|
|
Fair
Value Measurements Various inputs are
used in determining the fair value of investments
and derivative financial instruments. These
inputs are categorized into a disclosure hierarchy
consisting of three broad levels for financial
statement purposes as follows:
|
|
|
Level
1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 Funds own assumptions used
in determining the fair value of investments
and derivative financial instruments)
|
Changes
in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to Funds perceived risk of investing in those securities.
For information about the Funds policy regarding valuation of investments and derivative financial instruments and other
significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of Funds investments and derivative financial instruments:
Valuation
Inputs
|
Level
1
|
|
Level
2
|
|
Level
3
|
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
—
|
|
|
$
|
1,258,740
|
|
|
$
|
2,717,525
|
|
|
$
|
3,976,265
|
|
Common Stocks
|
$
|
434,787
|
|
|
|
1,021,064
|
|
|
|
1,467,869
|
|
|
|
2,923,720
|
|
Corporate Bonds
|
|
—
|
|
|
|
20,831,962
|
|
|
|
168,960
|
|
|
|
21,000,922
|
|
Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan Interests
|
|
—
|
|
|
|
133,256,863
|
|
|
|
8,452,740
|
|
|
|
141,709,603
|
|
Other Interests
|
|
—
|
|
|
|
—
|
|
|
|
1,827,036
|
|
|
|
1,827,036
|
|
Preferred
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
73,913
|
|
|
|
43,384
|
|
|
|
—
|
|
|
|
117,297
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
1,820,693
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,820,693
|
|
Total
|
$
|
2,329,393
|
|
|
$
|
156,412,013
|
|
|
$
|
14,634,130
|
|
|
$
|
173,375,536
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Valuation
Inputs
|
|
Level
1
|
|
|
|
Level
2
|
|
|
|
Level
3
|
|
|
|
Total
|
|
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
—
|
|
|
$
|
7,053
|
|
|
|
—
|
|
|
$
|
7,053
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
—
|
|
|
|
(179,668
|
)
|
|
|
—
|
|
|
|
(179,668
|
)
|
Total
|
|
—
|
|
|
$
|
(172,615
|
)
|
|
|
—
|
|
|
$
|
(172,615
|
)
|
1
|
|
Derivative
financial instruments are foreign currency
exchange contracts, which are valued at
the unrealized appreciation/depreciation
on the instrument.
|
The following table is a reconciliation of
Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
Asset-
Backed
Securities
|
|
Common
Stocks
|
|
Corporate
Bonds
|
|
Floating
Rate
Loan Interests
|
|
Other
Interests
|
|
Warrants
|
|
Total
|
Assets/Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of
August 31, 2011
|
$
|
2,753,115
|
|
|
$
|
1,701,248
|
|
|
$
|
1,621,040
|
|
|
$
|
12,355,482
|
|
|
$
|
2,550,707
|
|
|
$
|
7
|
|
|
$
|
20,981,599
|
|
Accrued discounts/premiums
|
|
21,568
|
|
|
|
—
|
|
|
|
1,158
|
|
|
|
13,125
|
|
|
|
—
|
|
|
|
—
|
|
|
|
35,851
|
|
Net realized gain (loss)
|
|
—
|
|
|
|
5,599
|
|
|
|
(2,483,821
|
)
|
|
|
350,703
|
|
|
|
553,994
|
|
|
|
—
|
|
|
|
(1,573,525
|
)
|
Net change in unrealized
appreciation/depreciation
2
|
|
(57,158
|
)
|
|
|
(381,072
|
)
|
|
|
2,532,042
|
|
|
|
(90,580
|
)
|
|
|
(205,745
|
)
|
|
|
(7
|
)
|
|
|
1,797,480
|
|
Purchases
|
|
—
|
|
|
|
18,367
|
|
|
|
—
|
|
|
|
176,280
|
|
|
|
9,832
|
|
|
|
—
|
|
|
|
204,479
|
|
Sales
|
|
—
|
|
|
|
(7,175
|
)
|
|
|
(1,501,459
|
)
|
|
|
(586,949
|
)
|
|
|
(1,081,752
|
)
|
|
|
—
|
|
|
|
(3,177,335
|
)
|
Transfers in
3
|
|
—
|
|
|
|
130,902
|
|
|
|
—
|
|
|
|
2,161,572
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,292,474
|
|
Transfers out
3
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(5,926,893
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(5,926,893
|
)
|
Balance, as of
February 29, 2012
|
$
|
2,717,525
|
|
|
$
|
1,467,869
|
|
|
$
|
168,960
|
|
|
$
|
8,452,740
|
|
|
$
|
1,827,036
|
|
|
|
—
|
|
|
$
|
14,634,130
|
|
2
|
|
Included
in the related net change in unrealized
appreciation/depreciation in the Statements
of Operations. The change in unrealized
appreciation/depreciation on investments
still held on February 29, 2012 was $(185,417).
|
3
|
|
The
Funds policy is to recognize transfers
in and transfers out as of the beginning
of the period of the event or the change
in circumstances that caused the transfer.
|
A reconciliation of Level 3 investments and
derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the year in relation to net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
25
|
|
|
Consolidated
Schedule of Investments
|
BlackRock
Floating Rate Income Strategies Fund, Inc. (FRA)
|
February 29, 2012 (Unaudited)
|
(Percentages
shown are based on Net Assets)
|
|
|
Par
|
|
Asset-Backed
Securities
|
|
(000)
|
Value
|
|
ARES CLO Funds, Series 2005-10A, Class
B, 0.95%,
|
|
|
|
9/18/17
(a)(b)
|
USD
|
750
|
$
|
694,035
|
Ballyrock CDO Ltd., Series 2006-1A,
Class B, 0.84%,
|
|
|
|
8/28/19 (a)(b)
|
|
1,000
|
837,500
|
Canaras Summit CLO Ltd., Series 2007-1A,
Class B,
|
|
|
|
1.04%, 6/19/21 (a)(b)
|
|
750
|
637,718
|
Chatham Light CLO Ltd., Series 2005-2A,
Class A2,
|
|
|
|
0.94%, 8/03/19 (a)(b)
|
|
1,000
|
857,500
|
Flagship CLO, Series 2006-1A, Class
B, 0.91%,
|
|
|
|
9/20/19 (a)(b)
|
|
1,304
|
1,007,340
|
Franklin CLO Ltd., Series 6A, Class
B, 0.97%,
|
|
|
|
8/09/19 (a)(b)
|
|
1,910
|
1,623,118
|
Fraser Sullivan CLO Ltd., Series 2006-2A,
Class B,
|
|
|
|
0.96%, 12/20/20 (a)(b)
|
|
500
|
425,000
|
Gannett Peak CLO Ltd., Series 2006-1X,
Class A2,
|
|
|
|
0.92%, 10/27/20 (b)
|
|
575
|
464,313
|
Goldman Sachs Asset Management CLO Plc,
|
|
|
|
Series 2007-1A, Class
B, 1.00%, 8/01/22 (a)(b)
|
|
1,255
|
1,004,000
|
Landmark CDO Ltd., Series 2006-8A, Class
B, 0.92%,
|
|
|
|
10/19/20 (a)(b)
|
|
1,075
|
899,968
|
MAPS CLO Fund LLC, Series 2005-1A, Class
C,
|
|
|
|
1.52%, 12/21/17 (a)(b)
|
|
575
|
518,075
|
Portola CLO Ltd., Series 2007-1X, Class
B1, 1.95%,
|
|
|
|
11/15/21 (b)
|
|
765
|
655,987
|
T2 Income Fund CLO Ltd., Series 2007-1A,
Class B,
|
|
|
|
1.17%,
7/15/19 (a)(b)
|
|
655
|
568,049
|
Total
Asset-Backed Securities 3.8%
|
|
|
10,192,603
|
|
|
Common
Stocks (c)
|
|
Shares
|
|
Auto Components
0.8%
|
|
|
|
Delphi Automotive Plc (180-Day lock)
(acquired
|
|
|
|
11/17/11,
cost $396,662) (d)
|
|
69,876
|
2,180,134
|
Chemicals
0.0%
|
|
|
|
GEO
Specialty Chemicals, Inc. (a)
|
|
13,117
|
6,034
|
Electrical Equipment
0.0%
|
|
|
|
Medis
Technologies Ltd.
|
|
71,654
|
358
|
Paper & Forest
Products 0.2%
|
|
|
|
Ainsworth Lumber Co. Ltd. (a)
|
|
152,951
|
241,148
|
Ainsworth Lumber Co. Ltd.
|
|
133,089
|
209,833
|
Western Forest Products, Inc.
|
|
84,448
|
81,934
|
|
|
|
532,915
|
Software 0.0%
|
|
|
|
HMH
Holdings/EduMedia
|
|
92,606
|
23,152
|
Total
Common Stocks 1.0%
|
|
|
2,742,593
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
|
Airlines 0.1%
|
|
|
|
American Airlines Pass-Through Trust,
Series 2011-2,
|
|
|
|
Class A, 8.63%, 4/15/23
|
USD
|
276
|
292,560
|
Delta Air Lines, Inc., Series 2009-1-B,
9.75%,
|
|
|
|
6/17/18
|
|
111
|
117,326
|
|
|
|
409,886
|
Auto Components
0.9%
|
|
|
|
Icahn Enterprises LP:
|
|
|
|
7.75%, 1/15/16
|
|
1,535
|
1,607,912
|
8.00%, 1/15/18 (a)
|
|
680
|
720,800
|
|
|
|
2,328,712
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Chemicals
1.3%
|
|
|
|
CF Industries, Inc., 6.88%,
5/01/18
|
USD
|
905
|
$
|
1,065,637
|
GEO Specialty Chemicals, Inc.:
|
|
|
|
7.50%, 3/31/15
|
|
857
|
1,019,815
|
10.00%, 3/31/15
|
|
844
|
844,160
|
Ineos Finance Plc, 8.38%, 2/15/19 (a)
|
|
230
|
244,375
|
Lyondell Chemical Co., 11.00%, 5/01/18
|
|
292
|
320,075
|
LyondellBasell Industries NV, 6.00%,
11/15/21 (a)
|
|
95
|
104,263
|
|
|
|
3,598,325
|
Commercial Banks
0.2%
|
|
|
|
CIT Group, Inc.:
|
|
|
|
7.00%, 5/01/16
|
|
213
|
213,022
|
7.00%, 5/02/17 (a)
|
|
250
|
250,313
|
|
|
|
463,335
|
Commercial Services
& Supplies 0.3%
|
|
|
|
ARAMARK Corp., 4.05%, 2/01/15 (b)
|
|
135
|
134,494
|
AWAS Aviation Capital Ltd., 7.00%, 10/17/16
(a)
|
|
700
|
731,182
|
Brickman Group Holdings, Inc., 9.13%,
11/01/18 (a)
|
|
26
|
24,700
|
|
|
|
890,376
|
Consumer Finance
0.3%
|
|
|
|
Inmarsat
Finance Plc, 7.38%, 12/01/17 (a)
|
|
775
|
829,250
|
Containers &
Packaging 0.4%
|
|
|
|
Graphic Packaging International, Inc.,
9.50%, 6/15/17
|
|
220
|
244,750
|
OI European Group BV, 6.88%, 3/31/17
|
EUR
|
143
|
198,140
|
Smurfit Kappa Acquisitions (a):
|
|
|
|
7.25%, 11/15/17
|
|
104
|
148,258
|
7.75%, 11/15/19
|
|
338
|
485,217
|
|
|
|
1,076,365
|
Diversified Financial
Services 1.6%
|
|
|
|
Ally Financial, Inc., 2.73%, 12/01/14
(b)
|
USD
|
2,600
|
2,433,423
|
Axcan Intermediate Holdings, Inc., 12.75%,
3/01/16
|
|
133
|
141,811
|
Reynolds Group Issuer, Inc.:
|
|
|
|
8.75%, 10/15/16 (a)
|
|
597
|
635,805
|
8.75%, 10/15/16 (a)
|
EUR
|
400
|
566,228
|
8.75%, 10/15/16
|
|
72
|
101,921
|
6.88%, 2/15/21 (a)
|
USD
|
395
|
418,700
|
|
|
|
4,297,888
|
Diversified Telecommunication
Services 0.4%
|
|
|
|
ITC Deltacom, Inc., 10.50%, 4/01/16
|
|
430
|
448,275
|
Qwest Communications International,
Inc., 8.00%,
|
|
|
|
10/01/15
|
|
600
|
644,063
|
|
|
|
1,092,338
|
Health Care Equipment
& Supplies 0.5%
|
|
|
|
DJO Finance LLC:
|
|
|
|
10.88%, 11/15/14
|
|
1,175
|
1,195,562
|
7.75%, 4/15/18
|
|
210
|
180,600
|
|
|
|
1,376,162
|
Health Care Providers
& Services 0.5%
|
|
|
|
HCA, Inc., 6.50%, 2/15/20
|
|
865
|
927,712
|
Tenet Healthcare Corp., 8.88%, 7/01/19
|
|
380
|
433,200
|
|
|
|
1,360,912
|
Health Care Technology
0.8%
|
|
|
|
IMS
Health, Inc., 12.50%, 3/01/18 (a)
|
|
1,860
|
2,213,400
|
Hotels, Restaurants
& Leisure 0.6%
|
|
|
|
Little Traverse Bay Bands of Odawa Indians,
9.00%,
|
|
|
|
8/31/20 (a)
|
|
373
|
328,240
|
MGM Resorts International:
|
|
|
|
10.38%, 5/15/14
|
|
865
|
983,937
|
11.13%, 11/15/17
|
|
400
|
455,000
|
|
|
|
1,767,177
|
See Notes to Financial Statements.
26
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Floating Rate Income
Strategies Fund, Inc. (FRA)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Household Durables
0.5%
|
|
|
|
Beazer
Homes USA, Inc., 12.00%, 10/15/17
|
USD
|
1,200
|
$
|
1,308,000
|
Independent Power Producers
& Energy Traders 1.9%
|
|
|
Calpine Corp., 7.25%, 10/15/17 (a)
|
|
1,180
|
1,250,800
|
Energy Future Holdings Corp., 10.00%,
1/15/20
|
|
935
|
1,010,969
|
Energy Future Intermediate Holding Co. LLC,
10.00%,
|
|
|
12/01/20
|
|
2,760
|
2,998,050
|
|
|
|
5,259,819
|
Industrial Conglomerates
0.6%
|
|
|
|
Sequa
Corp., 13.50%, 12/01/15 (a)
|
|
1,557
|
1,662,456
|
Machinery
0.1%
|
|
|
|
UR
Financing Escrow Corp., 5.75%, 7/15/18 (a)(e)
|
|
175
|
179,813
|
Media 2.8%
|
|
|
|
AMC Networks, Inc., 7.75%, 7/15/21 (a)
|
|
225
|
250,875
|
CCH II LLC, 13.50%, 11/30/16
|
|
1,050
|
1,207,500
|
Checkout Holding Corp., 10.68%, 11/15/15
(a)(f)
|
|
665
|
299,250
|
Clear Channel Worldwide Holdings, Inc.:
|
|
|
|
9.25%, 12/15/17
|
|
401
|
439,095
|
Series B, 9.25%,
12/15/17
|
|
1,834
|
2,017,400
|
CSC Holdings LLC, 8.50%, 4/15/14
|
|
420
|
466,200
|
NAI Entertainment Holdings LLC, 8.25%, 12/15/17
(a)
|
615
|
676,500
|
Unitymedia Hessen GmbH & Co. KG,
8.13%,
|
|
|
|
12/01/17 (a)
|
|
2,000
|
2,170,000
|
|
|
|
7,526,820
|
Multiline Retail
0.2%
|
|
|
|
Dollar
General Corp., 11.88%, 7/15/17 (b)
|
|
445
|
488,392
|
Oil, Gas & Consumable
Fuels 0.1%
|
|
|
|
Coffeyville
Resources LLC, 9.00%, 4/01/15 (a)
|
|
275
|
294,250
|
Paper & Forest
Products 0.4%
|
|
|
|
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15
(a)(g)
|
|
562
|
409,981
|
Longview Fibre Paper & Packaging,
Inc., 8.00%,
|
|
|
|
6/01/16 (a)
|
|
340
|
349,350
|
Verso Paper Holdings LLC, Series B, 4.30%,
8/01/14 (b)
|
340
|
235,450
|
|
|
|
994,781
|
Pharmaceuticals
0.1%
|
|
|
|
Valeant
Pharmaceuticals International, 6.50%, 7/15/16 (a)
|
395
|
402,900
|
Real Estate Management
& Development 0.1%
|
|
|
|
Realogy
Corp., 7.63%, 1/15/20 (a)
|
|
365
|
376,862
|
Wireless Telecommunication
Services 2.2%
|
|
|
|
Cricket Communications, Inc., 7.75%,
5/15/16
|
|
1,700
|
1,810,500
|
Digicel Group Ltd. (a):
|
|
|
|
9.13%, 1/15/15
|
|
278
|
283,560
|
8.25%, 9/01/17
|
|
315
|
333,900
|
iPCS, Inc., 2.67%, 5/01/13 (b)
|
|
1,500
|
1,443,750
|
Sprint Nextel Corp. (a):
|
|
|
|
9.00%, 11/15/18
|
|
780
|
869,700
|
7.00%, 3/01/20
|
|
1,195
|
1,214,419
|
|
|
|
5,955,829
|
Total
Corporate Bonds 16.9%
|
|
|
46,154,048
|
|
|
Floating
Rate Loan Interests (b)
|
|
|
|
Aerospace & Defense
1.6%
|
|
|
|
DynCorp International, Term Loan B,
6.25% 6.75%,
|
|
|
|
7/07/16
|
|
757
|
754,760
|
SI Organization, Inc., New Term Loan B,
4.50%, 11/22/16
|
836
|
801,310
|
TransDigm, Inc.:
|
|
|
|
Add on Term Loan
B2, 4.00%, 2/14/17
|
|
445
|
445,369
|
Term Loan (First
Lien), 4.00%, 2/14/17
|
|
1,782
|
1,780,432
|
Wesco Aircraft Hardware Corp., Term Loan
B, 4.25%, 4/07/17
|
650
|
649,195
|
|
|
|
4,431,066
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Airlines 0.8%
|
|
|
|
Delta Air Lines, Inc., Credit New Term
Loan B, 5.50%,
|
|
|
|
4/20/17
|
USD
|
2,221
|
$
|
2,167,640
|
Auto Components
2.5%
|
|
|
|
Allison Transmission, Inc., Term Loan
B, 2.75%, 8/07/14
|
|
2,801
|
2,769,342
|
Autoparts Holdings Ltd., First Lien
Term Loan, 6.50%,
|
|
|
|
7/28/17
|
|
1,446
|
1,449,991
|
Federal-Mogul Corp.:
|
|
|
|
Term Loan B, 2.19%
2.20%, 12/29/14
|
|
597
|
570,622
|
Term Loan C, 2.19%
2.20%, 12/28/15
|
|
304
|
291,134
|
GPX International Tire Corp. (c)(h):
|
|
|
|
2.00%, 3/31/12
|
|
549
|
|
7.25%, 3/31/12
|
|
9
|
|
Schaeffler AG, Term Loan C2, 6.00%,
1/27/17
|
|
990
|
992,891
|
UCI International, Inc., Term Loan,
5.50%, 7/26/17
|
|
743
|
744,356
|
|
|
|
6,818,336
|
Biotechnology
0.7%
|
|
|
|
Grifols
SA, Term Loan B, 4.50%, 6/1/17
|
|
1,890
|
1,887,596
|
Building Products
3.0%
|
|
|
|
Armstrong World Industries, Inc., Term
Loan B, 4.00%,
|
|
|
|
3/09/18
|
|
1,166
|
1,161,453
|
CPG International, Inc., Term Loan B,
6.00%, 2/18/17
|
|
1,782
|
1,683,990
|
Goodman Global Holdings, Inc., Initial
Term Loan
|
|
|
|
(First Lien), 5.75%,
10/28/16
|
|
4,421
|
4,442,947
|
Momentive Performance Materials, Inc.
(Blitz 06-103
|
|
|
|
GmbH), Tranche B-2B
Term Loan, 4.08%, 5/05/15
|
EUR
|
645
|
813,276
|
|
|
|
8,101,666
|
Capital Markets
1.8%
|
|
|
|
American Capital Ltd., Term Loan B,
7.50%, 12/31/13
|
USD
|
138
|
138,317
|
HarbourVest Partners, Term Loan (First
Lien), 6.25%,
|
|
|
|
12/16/16
|
|
1,677
|
1,677,706
|
Nuveen Investments, Inc.:
|
|
|
|
(First Lien) Term
Loan, 3.30% 3.58%, 11/13/14
|
|
897
|
891,243
|
Extended Term Loan,
5.74% 5.83%, 5/12/17
|
|
1,753
|
1,748,176
|
Incremental Term
Loan, 7.25%, 5/13/17
|
|
345
|
347,415
|
|
|
|
4,802,857
|
Chemicals
4.8%
|
|
|
|
American Rock Salt Holdings LLC, Term
Loan B, 5.50%,
|
|
|
|
4/25/17
|
|
1,216
|
1,129,842
|
Ashland, Inc., Term Loan B, 3.75%, 8/23/18
|
|
932
|
935,741
|
Chemtura Corp., Exit Term Loan B, 5.50%,
8/27/16
|
|
1,400
|
1,404,382
|
Gentek, Inc., Term Loan B, 5.00%
5.75%, 10/06/15
|
|
1,068
|
1,060,636
|
MDI Holdings LLC, Tranche C Term Loan,
|
|
|
|
2.76%, 4/11/14
|
EUR
|
503
|
652,479
|
Nexeo Solutions LLC, Term Loan B, 5.00%,
9/08/17
|
USD
|
1,191
|
1,172,635
|
Polyone Corp., Term Loan, 5.00%, 12/20/17
|
|
405
|
405,608
|
PQ Corp., Original Term Loan (First
Lien),
|
|
|
|
3.50%, 7/30/14
|
|
1,590
|
1,550,821
|
Styron Sarl LLC, Term Loan B, 6.00%
6.75%, 8/02/17
|
|
1,106
|
996,999
|
Tronox Worldwide LLC:
|
|
|
|
Delayed Draw Term
Loan, 1.00%, 2/09/18
|
|
380
|
379,931
|
Term Loan B, 4.25%,
2/08/18
|
|
1,395
|
1,393,081
|
Univar, Inc., Term Loan B, 5.00%, 6/30/17
|
|
2,030
|
2,013,246
|
|
|
|
13,095,401
|
Commercial Services
& Supplies 3.8%
|
|
|
|
Altegrity, Inc., Tranche D Term Loan,
7.75%, 2/20/15
|
|
1,627
|
1,624,600
|
ARAMARK Corp.:
|
|
|
|
Letter of Credit,
3.55%, 7/26/16
|
|
40
|
39,482
|
Term Loan B, 3.83%,
7/26/16
|
|
560
|
555,162
|
AWAS Finance Luxembourg Sarl, Term Loan
B, 5.25%,
|
|
|
|
6/10/16
|
|
849
|
846,096
|
Delos Aircraft, Inc., Term Loan B2,
7.00%, 3/17/16
|
|
1,875
|
1,877,006
|
International Lease Finance Corp., Term
Loan B1,
|
|
|
|
6.75%, 3/17/15
|
|
75
|
75,125
|
KAR Auction Services, Inc., Term Loan B,
5.00%, 5/19/17
|
2,587
|
2,583,766
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
27
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Floating Rate Income
Strategies Fund, Inc. (FRA)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Commercial Services &
Supplies (concluded)
|
|
|
Synagro Technologies, Inc., Term Loan
B,
|
|
|
|
2.25%
2.26%, 4/02/14
|
USD
|
1,512
|
$
|
1,353,043
|
Volume Services America, Inc., Term Loan
B,
|
|
|
10.50% 10.75%,
9/16/16
|
|
988
|
991,618
|
West Corp.:
|
|
|
|
Term Loan B4,
4.49% 4.78%, 7/15/16
|
152
|
152,408
|
Term Loan B5,
4.49% 4.51%, 7/15/16
|
294
|
294,270
|
|
|
|
10,392,576
|
Communications Equipment
1.2%
|
|
|
|
Avaya, Inc.:
|
|
|
|
Term Loan B1, 3.24%,
10/24/14
|
|
1,151
|
1,126,204
|
Term Loan B3, 4.99%,
10/26/17
|
|
680
|
659,443
|
CommScope, Inc., Term Loan B, 5.00%, 1/14/18
|
1,587
|
1,585,838
|
|
|
|
3,371,485
|
Construction &
Engineering 0.9%
|
|
|
|
BakerCorp. International, Inc., Term Loan
B, 5.00%,
|
|
|
6/01/18
|
|
861
|
859,384
|
Safway Services, LLC, First Out Tranche
Loan, 9.00%,
|
|
|
12/16/17
|
|
1,700
|
1,700,000
|
|
|
|
2,559,384
|
Consumer Finance
1.6%
|
|
|
|
Springleaf
Finance Corp, Term Loan, 5.50%, 5/10/17
|
4,665
|
4,252,661
|
Containers &
Packaging 0.7%
|
|
|
|
Berry Plastics Holding Corp., Term Loan
C, 2.25%,
|
|
|
4/03/15
|
|
275
|
267,778
|
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18
|
1,566
|
1,581,279
|
|
|
|
1,849,057
|
Diversified Consumer
Services 3.0%
|
|
|
|
Coinmach Service Corp., Term Loan, 3.41%,
11/20/14
|
2,465
|
2,270,482
|
Laureate Education, Inc., Extended Term
Loan, 5.25%,
|
|
|
8/15/18
|
|
3,765
|
3,594,143
|
ServiceMaster Co.:
|
|
|
|
Delayed Draw Term
Loan, 2.75%, 7/24/14
|
216
|
213,607
|
Term Loan, 2.77%
3.03%, 7/24/14
|
2,171
|
2,144,976
|
|
|
|
8,223,208
|
Diversified Financial
Services 1.4%
|
|
|
|
Reynolds Group Holdings, Inc.:
|
|
|
|
Tranche B Term
Loan, 6.50%, 2/09/18
|
1,404
|
1,416,641
|
Tranche C Term
Loan, 5.25% 6.50%, 8/09/18
|
2,368
|
2,392,986
|
|
|
|
3,809,627
|
Diversified Telecommunication
Services 4.2%
|
|
|
Hawaiian Telcom Communications, Inc., Term
Loan B,
|
|
|
7.00%, 2/25/17
|
|
1,095
|
1,092,262
|
Integra Telecom Holdings, Inc., Term Loan,
9.25%, 4/15/15
|
1,601
|
1,408,550
|
Level 3 Financing, Inc.:
|
|
|
|
Term Loan B2, 5.75%,
9/03/18
|
|
3,450
|
3,473,736
|
Term Loan B3, 5.75%,
8/31/18
|
|
1,475
|
1,485,148
|
Tranche A Term
Loan, 2.50% 2.83%, 3/13/14
|
2,525
|
2,483,337
|
US Telepacific Corp., Term Loan B, 5.75%,
2/23/17
|
1,490
|
1,411,690
|
|
|
|
11,354,723
|
Electronic Equipment,
Instruments & Components 1.2%
|
|
|
CDW LLC (FKA CDW Corp.), Extended Term Loan,
|
|
|
4.00%, 7/14/17
|
|
1,766
|
1,725,940
|
Flextronics International Ltd., Delayed
Draw:
|
|
|
Term Loan A-2, 2.49%,
10/01/14
|
|
45
|
44,558
|
Term Loan A-3, 2.52%,
10/01/14
|
|
39
|
38,193
|
Sensata Technologies Finance Co. LLC, Term
Loan,
|
|
|
4.00%, 5/11/18
|
|
1,545
|
1,541,272
|
|
|
|
3,349,963
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Energy Equipment
& Services 2.9%
|
|
|
|
CCS Corp.:
|
|
|
|
Incremental
Term Loan, 6.50%, 10/17/14
|
USD
|
765
|
$
|
765,765
|
Term Loan B, 3.24%,
11/14/14
|
|
1,609
|
1,556,820
|
Dynegy Midwest Generation LLC, Coal
Co. Term Loan,
|
|
|
|
9.25%, 8/04/16
|
|
937
|
931,388
|
Dynegy Power LLC, Gas Co. Term Loan,
9.25%, 8/04/16
|
|
1,258
|
1,297,470
|
MEG Energy Corp., Term Loan B, 4.00%,
3/16/18
|
|
3,342
|
3,334,775
|
|
|
|
7,886,218
|
Food & Staples
Retailing 1.9%
|
|
|
|
AB Acquisitions UK Topco 2 Ltd., Facility
B1, 3.60%,
|
|
|
|
7/09/15
|
GBP
|
1,825
|
2,651,930
|
B&G Foods, Inc., Term Loan B, 4.50%,
11/30/18
|
USD
|
375
|
375,844
|
Bolthouse Farms, Inc., Term Loan (First
Lien),
|
|
|
|
5.50% 5.75%,
2/11/16
|
|
481
|
480,893
|
U.S. Foodservice, Inc., Term Loan B,
2.74% 2.75%,
|
|
|
|
7/03/14
|
|
1,709
|
1,648,835
|
|
|
|
5,157,502
|
Food Products
3.2%
|
|
|
|
Advance Pierre Foods:
|
|
|
|
Term Loan (First
Lien),7.00%, 9/30/16
|
|
1,946
|
1,945,709
|
Term Loan (Second
Lien), 11.25%, 9/29/17
|
|
1,205
|
1,206,000
|
Del Monte Corp., Term Loan, 4.50%, 3/08/18
|
|
2,544
|
2,494,457
|
Michaels Foods Group, Inc., Term Loan B,
4.25%, 2/23/18
|
281
|
280,974
|
Pinnacle Foods Finance LLC:
|
|
|
|
Tranche B Term Loan,
2.76% 3.08%, 4/02/14
|
|
90
|
89,030
|
Tranche D Term Loan,
6.00% 6.50%, 4/02/14
|
|
1,031
|
1,036,589
|
Solvest Ltd. (Dole):
|
|
|
|
Tranche B-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
|
555
|
557,309
|
Tranche C-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
|
1,032
|
1,035,001
|
|
|
|
8,645,069
|
Health Care Equipment
& Supplies 1.9%
|
|
|
|
Biomet, Inc., Term Loan B, 3.24%
3.57%, 3/25/15
|
|
681
|
673,850
|
DJO Finance LLC, Term Loan, 3.24%, 5/20/14
|
|
1,070
|
1,055,062
|
Hupah Finance, Inc., Term Loan B, 6.25%,
1/21/19
|
|
775
|
774,519
|
Iasis Healthcare LLC, Term Loan, 5.00%,
5/03/18
|
|
763
|
758,449
|
Immucor, Inc., Term Loan B, 7.25%, 8/17/18
|
|
1,800
|
1,812,641
|
|
|
|
5,074,521
|
Health Care Providers
& Services 4.7%
|
|
|
|
CHS/Community Health Systems, Inc.:
|
|
|
|
Non-Extended Delayed
Draw Term Loan, 3.25%,
|
|
|
|
7/25/14
|
|
72
|
71,424
|
Non-Extended Term
Loan, 2.49% 4.50%, 7/25/14
|
|
1,397
|
1,378,212
|
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16
|
|
1,287
|
1,283,383
|
DaVita, Inc., Term Loan B, 4.50%, 10/20/16
|
|
1,683
|
1,686,854
|
Emergency Medical Services, Term Loan, 5.25%,
5/25/18
|
1,680
|
1,675,032
|
Harden Healthcare LLC:
|
|
|
|
Term Loan A, 8.50%,
3/02/15
|
|
656
|
642,650
|
Tranche A Additional
Term Loan, 7.75%, 3/02/15
|
|
1,070
|
1,049,074
|
HCA, Inc.:
|
|
|
|
Tranche B-2 Term
Loan, 3.83%, 3/31/17
|
|
787
|
776,468
|
Tranche B-3 Term
Loan, 3.49%, 5/01/18
|
|
306
|
300,911
|
Health Management Associates, Inc.,
Term Loan B,
|
|
|
|
4.50%, 11/16/18
|
|
580
|
576,230
|
inVentiv Health, Inc.:
|
|
|
|
Combined Term Loan,
6.50%, 8/04/16
|
|
1,317
|
1,266,174
|
Incremental Term
Loan B-3, 6.75%, 5/15/18
|
|
898
|
862,535
|
Medpace, Inc., Term Loan, 6.50%
7.25%, 6/16/17
|
|
1,244
|
1,194,000
|
Vanguard Health Holding Co. II, LLC
(Vanguard Health
|
|
|
|
Systems, Inc.), Term
Loan B, 5.00%, 1/29/16
|
|
135
|
134,326
|
|
|
|
12,897,273
|
Health Care Technology
1.3%
|
|
|
|
IMS Health, Inc., Term Loan B, 4.50%,
8/25/17
|
|
1,201
|
1,201,217
|
Kinetic Concepts, Inc., Term Loan B,
7.00%, 5/04/18
|
|
1,580
|
1,605,675
|
MedAssets, Inc., Term Loan, 5.25%, 11/16/16
|
|
775
|
775,062
|
|
|
|
3,581,954
|
See Notes to Financial Statements.
28
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Floating Rate Income
Strategies Fund, Inc. (FRA)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Hotels, Restaurants
& Leisure 5.7%
|
|
|
|
Ameristar Casinos, Inc.,
Term Loan B, 4.00%, 4/13/18
|
USD
|
1,240
|
$
|
1,242,408
|
Boyd Gaming Corp., Incremental Term
Loan, 6.00%,
|
|
|
|
12/17/15
|
|
860
|
862,012
|
Caesars Entertainment Operating Co.,
Inc.:
|
|
|
|
Incremental Term
Loan B4, 9.50%, 10/31/16
|
|
1,105
|
1,137,070
|
Term Loan B1, 3.24%,
1/28/15
|
|
402
|
377,035
|
Term Loan B3, 3.24%
3.47%, 1/28/15
|
|
5,345
|
5,008,601
|
Dunkin' Brands, Inc., Term Loan B, 4.00%
5.25%,
|
|
|
|
11/23/17
|
|
1,933
|
1,927,077
|
Golden Living, Term Loan, 5.00%, 5/04/18
|
|
325
|
305,566
|
OSI Restaurant Partners LLC:
|
|
|
|
Revolver, 2.56%
2.79%, 6/14/13
|
|
9
|
9,194
|
Term Loan B, 2.56%,
6/14/14
|
|
96
|
93,266
|
Seaworld Parks & Entertainment,
Inc., Term Loan B,
|
|
|
|
4.00%, 8/17/17
|
|
1,351
|
1,349,939
|
Six Flags Theme Parks, Inc., Tranche
B Term Loan
|
|
|
|
(First Lien), 4.25%,
12/20/18
|
|
1,510
|
1,503,401
|
Station Casinos, Inc., Term Loan B1,
3.24%, 6/17/16
|
|
1,025
|
924,212
|
Twin River Worldwide Holdings, Inc.,
Term Loan, 8.50%,
|
|
|
|
11/05/15
|
|
757
|
757,635
|
|
|
|
15,497,416
|
Household Products
0.5%
|
|
|
|
Prestige
Brands, Inc., Term Loan, 5.25%, 1/31/19
|
|
1,500
|
1,505,625
|
Independent Power
Producers & Energy Traders 1.0%
|
|
|
|
The AES Corp., Term Loan, 4.25%, 6/01/18
|
|
1,985
|
1,983,015
|
Texas Competitive Electric Holdings
Co. LLC, Extended
|
|
|
|
Term Loan, 4.76%,
10/10/17
|
|
1,238
|
690,554
|
|
|
|
2,673,569
|
Industrial Conglomerates
1.4%
|
|
|
|
Sequa Corp.:
|
|
|
|
Incremental Term
Loan, 6.25%, 12/03/14
|
|
660
|
662,198
|
Term Loan, 3.76%
3.84%, 12/03/14
|
|
3,318
|
3,281,806
|
|
|
|
3,944,004
|
Insurance
0.6%
|
|
|
|
CNO
Financial Group, Inc., Term Loan, 6.25%, 9/30/16
|
|
1,650
|
1,657,780
|
Internet Software
& Services 0.4%
|
|
|
|
Web.com
Group, Inc., Term Loan B, 7.00%, 10/27/17
|
|
1,185
|
1,156,897
|
IT Services
5.1%
|
|
|
|
Ceridian Corp., Term Loan, 3.24%, 11/10/14
|
|
1,231
|
1,164,760
|
First Data Corp.:
|
|
|
|
Extended Term Loan
B, 4.24%, 3/23/18
|
|
6,706
|
6,017,255
|
Term Loan B-1, 2.99%,
9/24/14
|
|
870
|
831,787
|
Term Loan B-3, 2.99%,
9/24/14
|
|
115
|
109,593
|
infoGROUP, Inc., Term Loan B, 5.75%,
5/25/18
|
|
707
|
661,297
|
iPayment, Inc., Term Loan B, 5.75%,
5/08/17
|
|
681
|
677,936
|
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18
|
|
888
|
889,994
|
SunGard Data Systems, Inc. (Solar Capital
Corp.),
|
|
|
|
Tranche B Term Loan,
3.99% 5.88%, 2/26/16
|
|
307
|
306,311
|
TransUnion LLC, Term Loan B, 4.75%,
2/12/18
|
|
3,211
|
3,213,592
|
|
|
|
13,872,525
|
Leisure Equipment
& Products 0.2%
|
|
|
|
Eastman
Kodak Co., DIP Term Loan B, 1.00%, 7/20/13
|
|
595
|
602,253
|
Machinery
1.5%
|
|
|
|
Terex Corp.:
|
|
|
|
Term Loan, 6.00%,
4/28/17
|
EUR
|
135
|
178,065
|
Term Loan B, 5.50%,
4/28/17
|
USD
|
1,313
|
1,321,793
|
Tomkins LLC, Term Loan B, 4.25%, 9/29/16
|
|
2,697
|
2,694,905
|
|
|
|
4,194,763
|
Media 17.9%
|
|
|
|
Acosta, Inc., Term Loan, 4.75%, 3/01/18
|
|
675
|
669,616
|
Affinion Group, Inc., Term Loan B, 5.00%,
10/10/16
|
|
1,596
|
1,492,930
|
AMC Entertainment, Inc., Term Loan B3, 4.25%,
2/22/18
|
700
|
690,683
|
AMC Networks, Inc., Term Loan B, 4.00%,
12/31/18
|
|
1,692
|
1,680,928
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Media (concluded)
|
|
|
|
Atlantic Broadband Finance LLC, Term
Loan B, 4.00%,
|
|
|
|
3/08/16
|
USD
|
941
|
$
|
936,924
|
Bresnan Telecommunications Co., LLC,
Term Loan,
|
|
|
|
4.50% 5.25%,
12/14/17
|
|
2,896
|
2,886,107
|
Capsugel Healthcare Ltd., Term Loan,
5.25%, 8/01/18
|
|
1,297
|
1,304,154
|
Catalina Marketing Corp., Term Loan
B,
|
|
|
|
2.99%, 10/01/14
|
|
1,376
|
1,337,148
|
Cengage Learning Acquisitions, Inc.:
|
|
|
|
Term Loan, 2.49%,
7/03/14
|
|
993
|
921,743
|
Tranche 1 Incremental
Term Loan, 7.50%, 7/03/14
|
|
763
|
738,243
|
Cequel Communications LLC, Term Loan
B, 4.00%,
|
|
|
|
2/11/19
|
|
2,385
|
2,360,601
|
Charter Communications Operating LLC:
|
|
|
|
Term Loan B, 7.25%,
3/06/14
|
|
28
|
28,022
|
Term Loan C, 3.83%,
9/06/16
|
|
2,124
|
2,107,508
|
Clarke American Corp., Term Facility
B, 2.74% 3.08%,
|
|
|
|
6/30/14
|
|
439
|
401,288
|
Clear Channel Communications:
|
|
|
|
Term Loan B, 3.89%,
1/28/16
|
|
2,600
|
2,133,769
|
Term Loan C, 3.89%,
1/28/16
|
|
345
|
273,413
|
Cumulus Media, Inc., Term Loan, 5.75%,
9/17/18
|
|
1,400
|
1,401,162
|
Gray Television, Inc., Term Loan B,
3.77%, 12/31/14
|
|
1,395
|
1,378,254
|
HMH Publishing Co. Ltd., Term Loan,
6.51%, 6/12/14
|
|
1,441
|
890,248
|
Hubbard Broadcasting, Term Loan B (Second
Lien),
|
|
|
|
5.25%, 4/28/17
|
|
995
|
995,826
|
Intelsat Jackson Holdings SA, Tranche
B Term Loan,
|
|
|
|
5.25%, 4/02/18
|
|
6,451
|
6,440,283
|
Interactive Data Corp., Term Loan B,
4.50%, 2/12/18
|
|
2,903
|
2,896,531
|
Kabel Deutschland GmbH, Term Loan F,
4.25%, 2/01/19
|
|
1,390
|
1,383,050
|
Knology, Inc., Term Loan B, 4.00%, 8/18/17
|
|
616
|
610,038
|
Lavena Holding 4 GmbH (Prosiebensat.1
Media AG):
|
|
|
|
Term Loan B, 3.81%,
3/06/15
|
EUR
|
304
|
351,749
|
Term Loan C, 4.06%,
3/04/16
|
|
304
|
353,773
|
LIN Television Corp., Term Loan B, 5.00%,
12/21/18
|
USD
|
705
|
708,525
|
Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13
|
|
2,500
|
2,571,875
|
Nielsen Finance LLC, Class B Dollar
Term Loan, 4.01%,
|
|
|
|
5/02/16
|
|
1,384
|
1,388,016
|
Sinclair Television Group, Inc.:
|
|
|
|
Incremental Term
Loan B3, 1.00%, 10/28/16
|
|
285
|
283,663
|
Tranche B Term Loan,
4.00%, 10/28/16
|
|
1,010
|
1,005,037
|
Univision Communications, Inc., Extended
First Lien
|
|
|
|
Term Loan, 4.49%,
3/31/17
|
|
2,113
|
1,962,673
|
UPC Broadband Holding B.V., Term Loan
U, 4.72%,
|
|
|
|
12/29/17
|
EUR
|
494
|
645,797
|
UPC Financing Partnership:
|
|
|
|
Term Loan, 4.75%,
12/29/17
|
USD
|
895
|
893,434
|
Term Loan T, 3.77%,
12/30/16
|
|
165
|
162,236
|
WC Luxco Sarl, Term Loan B3, 4.25%,
3/15/18
|
|
437
|
435,674
|
Weather Channel, Term Loan B, 4.25%,
2/13/17
|
|
2,103
|
2,104,648
|
|
|
|
48,825,569
|
Metals & Mining
2.6%
|
|
|
|
Novelis, Inc., Term Loan, 4.00%, 3/10/17
|
|
2,836
|
2,821,500
|
SunCoke Energy, Inc., Term Loan B, 4.00%
5.25%,
|
|
|
|
7/26/18
|
|
945
|
942,887
|
Walter Energy, Inc., Term Loan B, 4.00%,
4/02/18
|
|
3,289
|
3,273,740
|
|
|
|
7,038,127
|
Multi-Utilities
0.1%
|
|
|
|
FirstLight Power Resources, Inc., Term
B Advance
|
|
|
|
(First
Lien), 2.75%, 11/01/13
|
|
329
|
309,763
|
Multiline Retail
1.1%
|
|
|
|
99 Cents Only Stores, Term Loan B, 6.00%
7.00%,
|
|
|
|
1/11/19
|
|
1,135
|
1,142,298
|
Dollar General Corp., Tranche B-2 Term
Loan,
|
|
|
|
3.00% 3.33%,
7/07/14
|
|
616
|
616,394
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
29
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Floating Rate Income
Strategies Fund, Inc. (FRA)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
Par
|
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
|
Value
|
|
Multiline Retail
(concluded)
|
|
|
|
|
Hema Holding BV:
|
|
|
|
|
Term
Loan B, 2.69%, 7/05/15
|
EUR
|
399
|
|
$
|
511,674
|
Term Loan C, 3.44%,
7/06/16
|
|
399
|
|
509,017
|
The Neiman Marcus Group, Inc., Term
Loan, 4.75%,
|
|
|
|
|
5/16/18
|
USD
|
380
|
|
376,960
|
|
|
|
|
3,156,343
|
Oil, Gas & Consumable
Fuels 1.9%
|
|
|
|
|
EquiPower Resources Holdings LLC, Term
Loan B, 5.75%,
|
|
|
|
|
1/26/18
|
|
1,590
|
|
1,494,630
|
Gibson Energy, Term Loan B, 5.75%, 6/15/18
|
|
1,791
|
|
1,792,863
|
Obsidian Natural Gas Trust, Term Loan, 7.00%,
11/02/15
|
1,863
|
|
1,872,132
|
|
|
|
|
5,159,625
|
Paper & Forest
Products 0.6%
|
|
|
|
|
NewPage Corp., Term Loan, 8.00%, 3/07/13
|
|
450
|
|
453,375
|
Verso Paper Finance Holdings LLC, Term
Loan,
|
|
|
|
|
6.79% 7.54%,
2/01/13 (f)
|
|
2,346
|
|
1,173,190
|
|
|
|
|
1,626,565
|
Pharmaceuticals
3.9%
|
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, 5.50%,
2/10/17
|
|
2,178
|
|
2,159,487
|
Endo Pharmaceuticals Holdings, Inc.,
Term Loan B,
|
|
|
|
|
4.00%, 6/18/18
|
|
353
|
|
353,649
|
Pharmaceutical Product Development,
Inc., Term Loan B,
|
|
|
|
|
6.25%, 12/05/18
|
|
1,800
|
|
1,815,750
|
Quintiles Transnational Corp., Term
Loan B, 5.00%,
|
|
|
|
|
6/08/18
|
|
1,353
|
|
1,344,255
|
RPI Finance Trust, Term Loan Tranche
2, 4.00%, 5/09/18
|
|
995
|
|
993,249
|
Taminco Global Chemical Corp., New Term
Loan, 6.25%,
|
|
|
|
|
2/15/19
|
|
635
|
|
637,610
|
Valeant Pharmaceuticals International,
Add on Term
|
|
|
|
|
Loan B, 3.75%, 2/08/19
|
|
2,290
|
|
2,282,855
|
Warner Chilcott Corp.:
|
|
|
|
|
Term Loan B-1, 4.25%,
3/15/18
|
|
635
|
|
633,707
|
Term Loan B-2, 4.25%,
3/15/18
|
|
318
|
|
316,854
|
|
|
|
|
10,537,416
|
Professional
Services 1.4%
|
|
|
|
|
Booz Allen Hamilton, Inc., Tranche B
Term Loan, 4.00%,
|
|
|
|
|
8/03/17
|
|
620
|
|
621,561
|
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18
|
|
1,900
|
|
1,921,717
|
Fifth Third Processing Solutions LLC,
Term Loan B
|
|
|
|
|
(First Lien), 4.50%,
11/03/16
|
|
1,335
|
|
1,335,976
|
|
|
|
|
3,879,254
|
Real Estate Investment
Trusts (REITs) 0.7%
|
|
|
|
|
iStar
Financial, Inc., Term Loan A1, 5.00%, 6/28/13
|
|
1,830
|
|
1,821,302
|
Real Estate Management
& Development 1.0%
|
|
|
|
|
Mattamy Funding Partnership, Term Loan
B, 2.75%,
|
|
|
|
|
4/11/13
|
|
403
|
|
382,400
|
Realogy Corp.:
|
|
|
|
|
Extended Synthetic
Letter of Credit, 3.25%, 10/10/13
|
55
|
|
52,155
|
Extended Synthetic
Letter of Credit, 4.53%, 10/10/16
|
9
|
|
8,118
|
Extended Term Loan,
4.77%, 10/10/16
|
|
2,338
|
|
2,168,912
|
|
|
|
|
2,611,585
|
Road & Rail
0.8%
|
|
|
|
|
Avis Budget Car Rental LLC, Incremental
Term Loan,
|
|
|
|
|
6.25%, 9/21/18
|
|
1,057
|
|
1,067,659
|
RailAmerica, Inc., Term Loan B, 4.00%,
2/27/19
|
|
1,030
|
|
1,027,425
|
|
|
|
|
2,095,084
|
Semiconductors &
Semiconductor Equipment 0.7%
|
|
|
|
|
Freescale Semiconductor, Inc., Extended
Term Loan B,
|
|
|
|
|
4.52%, 12/01/16
|
|
848
|
|
826,286
|
NXP B.V., Term Loan A-2, 5.50%, 3/03/17
|
|
1,143
|
|
1,134,142
|
|
|
|
|
1,960,428
|
|
|
Par
|
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
|
Value
|
|
Software 1.5%
|
|
|
|
|
Blackboard, Inc., Term Loan
B, 7.50%, 10/04/18
|
USD
|
555
|
|
$
|
547,602
|
Infor Enterprise Solutions Holdings,
Inc.:
|
|
|
|
|
Extended Delayed
Draw Term Loan, 1.00%, 7/28/15
|
|
38
|
|
37,297
|
Extended Initial
Term Loan, 1.00%, 7/28/15
|
|
72
|
|
70,228
|
Extended Initial
Term Loan, 1.00%, 7/28/15
|
EUR
|
425
|
|
533,669
|
Rovi Corp., Tranche B Term Loan, 4.00%,
2/07/18
|
USD
|
993
|
|
991,259
|
Sophia, LP, Term Loan B, 6.25%, 7/19/18
|
|
1,150
|
|
1,161,983
|
Vertafore, Inc., Term Loan B, 5.25%,
7/29/16
|
|
678
|
|
672,388
|
|
|
|
|
4,014,426
|
Specialty Retail
4.6%
|
|
|
|
|
Academy Ltd., Term Loan, 6.00%, 8/03/18
|
|
1,700
|
|
1,699,813
|
Bass Pro Group LLC, Term Loan, 5.25%,
6/13/17
|
|
135
|
|
134,421
|
Burlington Coat Factory Warehouse Corp.,
Term Loan B,
|
|
|
|
|
6.25%, 2/23/17
|
|
910
|
|
909,625
|
Claire's Stores, Inc., Term Loan B,
2.99% 3.30%,
|
|
|
|
|
5/29/14
|
|
436
|
|
412,597
|
General Nutrition Centers, Inc., Term
Loan B, 4.25%,
|
|
|
|
|
3/02/18
|
|
1,770
|
|
1,764,761
|
The Gymboree Corp., Term Loan, 5.00%,
2/23/18
|
|
650
|
|
611,162
|
Jo-Ann Stores, Inc., Term Loan B, 4.75%,
3/16/18
|
|
659
|
|
650,545
|
Michaels Stores, Inc.:
|
|
|
|
|
Extended Term Loan
B3, 5.13%, 7/29/16
|
|
736
|
|
731,634
|
Term Loan B-2, 5.13%,
7/29/16
|
|
1,470
|
|
1,461,262
|
Petco Animal Supplies, Inc., Term Loan B,
4.50%, 11/24/17
|
2,048
|
|
2,038,102
|
Toys R Us Delaware, Inc.:
|
|
|
|
|
Term Loan B1, 6.00%,
9/01/16
|
|
1,734
|
|
1,736,121
|
Term Loan B2, 5.25%,
5/25/18
|
|
397
|
|
392,288
|
|
|
|
|
12,542,331
|
Wireless Telecommunication
Services 2.2%
|
|
|
|
|
Crown Castle International Corp., Term
Loan B,
|
|
|
|
|
4.00%, 1/31/19
|
|
2,060
|
|
2,050,627
|
MetroPCS Wireless, Inc.:
|
|
|
|
|
Term Loan B-3, 4.00%
4.06%, 3/16/18
|
|
246
|
|
244,229
|
Tranche B-2 Term
Loan, 4.07% 4.13%, 11/03/16
|
|
976
|
|
967,724
|
Vodafone Americas Finance 2, Inc.:
|
|
|
|
|
Term Loan, 6.88%,
8/11/15
|
|
2,093
|
|
2,093,387
|
Term Loan B, 6.25%,
7/11/16
|
|
722
|
|
720,070
|
|
|
|
|
6,076,037
|
Total
Floating Rate Loan Interests 106.5%
|
|
|
|
290,468,470
|
|
|
|
|
Beneficial
|
|
|
|
|
Interest
|
|
|
Other
Interests (i)
|
|
(000)
|
|
|
Chemicals
0.0%
|
|
|
|
|
Wellman
Holdings, Inc., Litigation Trust Certificate
|
|
4,750
|
|
48
|
Diversified Financial
Services 0.3%
|
|
|
|
|
JG Wentworth
LLC Preferred Equity Interests (c)
|
|
|
(j)
|
711,907
|
Total
Other Interests 0.3%
|
|
|
|
711,955
|
|
|
Warrants
(k) 0.0%
|
|
Shares
|
|
|
Software 0.0%
|
|
|
|
|
HMH
Holdings/EduMedia (Expires 3/09/17)
|
|
11,690
|
|
|
Total Long-Term Investments
|
|
|
|
|
(Cost
$354,193,944) 128.5%
|
|
|
|
350,269,669
|
|
|
Short-Term
Securities
|
|
|
|
|
BlackRock Liquidity Funds, TempFund,
Institutional
|
|
|
|
|
Class,
0.11% (l)(m)
|
3,253,818
|
|
3,253,818
|
Total Short-Term Securities
|
|
|
|
|
(Cost
$3,253,818) 1.2%
|
|
|
|
3,253,818
|
See Notes to Financial Statements.
30
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Floating Rate Income
Strategies Fund, Inc. (FRA)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
Options
Purchased
|
Contracts
|
Value
|
|
Over-the-Counter
Call Options 0.0%
|
|
|
Marsico Parent Superholdco LLC, Strike
Price
|
|
|
USD 942.86, Expires
12/14/19, Broker
|
|
|
Goldman
Sachs Bank USA
|
20
|
|
Total Options Purchased
|
|
|
(Cost
$19,556) 0.0%
|
|
|
|
Total Investments (Cost
$357,467,318) 129.7%
|
|
$
|
353,523,487
|
Liabilities in Excess of Other Assets
(29.7)%
|
|
(80,871,597)
|
Net Assets 100.0%
|
|
$
|
272,651,890
|
(a)
|
|
Security
exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities
may be resold in transactions exempt from registration
to qualified institutional investors.
|
(b)
|
|
Variable
rate security. Rate shown is as of report date.
|
(c)
|
|
Non-income
producing security.
|
(d)
|
|
Restricted
security as to resale. As of report date the Fund
held 0.8% of its net assets, with a current value
of $2,180,134 and an original cost of $396,662
in these securities.
|
(e)
|
|
When-issued
security. Unsettled when-issued transactions were
as follows:
|
|
|
|
Counterparty
|
Value
|
Unrealized
Appreciation
|
Morgan Stanley
Co.
|
$ 179,813
|
$ 4,813
|
(f)
|
|
Represents
a zero-coupon bond. Rate shown reflects the current
yield as of report date.
|
(g)
|
|
Represents
a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(h)
|
|
Issuer
filed for bankruptcy and/or is in default of interest
payments.
|
(i)
|
|
Other
interests represent beneficial interests in liquidation
trusts and other reorganization or private entities.
|
(j)
|
|
Amount
is less than $500.
|
(k)
|
|
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, if any.
|
(l)
|
|
Investments
in companies considered to be an affiliate of the
Fund during the period, for purposes of Section
2(a)(3) of the 1940 Act, were as follows:
|
|
|
|
|
|
Affiliate
|
Shares
Held at
August 31, 2011
|
Net
Activity
|
Shares
Held at
February 29, 2012
|
Income
|
|
BlackRock Liquidity
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
Institutional
Class
|
5,396,667
|
(2,142,849)
|
3,253,818
|
$
469
|
(m)
|
|
Represents
the current yield as of report date.
|
|
|
Foreign
currency exchange contracts as of February 29,
2012 were as follows:
|
|
|
|
|
|
|
|
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation
(Depreciation)
|
|
USD
|
203,186
|
CAD
|
207,500
|
Royal Bank
|
|
|
|
|
|
|
of Scotland Plc
|
4/11/12
|
$
|
(6,340)
|
USD
|
2,395,189
|
GBP
|
1,562,500
|
UBS AG
|
4/11/12
|
(89,886)
|
EUR
|
250,000
|
USD
|
336,583
|
Deutsche Bank AG
|
4/18/12
|
(3,443)
|
EUR
|
410,000
|
USD
|
543,569
|
Deutsche Bank AG
|
4/18/12
|
2,781
|
EUR
|
312,000
|
USD
|
406,665
|
Royal Bank
|
|
|
|
|
|
|
of Scotland Plc
|
4/18/12
|
9,094
|
USD
|
5,965,860
|
EUR
|
4,644,500
|
Citibank NA
|
4/18/12
|
(223,218)
|
USD
|
543,822
|
EUR
|
410,000
|
Citibank
NA
|
4/18/12
|
(2,528)
|
Total
|
|
|
|
|
|
$
|
(313,540)
|
|
|
For
Fund compliance purposes, the Funds industry
classifications refer to any one or more of
the industry sub-classifications used by one
or more widely recognized market indexes or
rating group indexes, and/or as defined by Fund
management. 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 are categorized into a disclosure hierarchy
consisting of three broad levels for financial
statement purposes as follows:
|
|
|
Level
1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund's perceived risk of investing in those securities.
For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
31
|
|
|
Consolidated
Schedule of Investments
(concluded)
|
BlackRock
Floating Rate Income
Strategies Fund, Inc. (FRA)
|
The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of the Fund's investments and derivative financial instruments:
Valuation
Inputs
|
Level
1
|
Level
2
|
Level
3
|
Total
|
Assets:
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
Long-Term
|
|
|
|
|
|
Investments:
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
Securities
|
|
|
$
|
2,799,770
|
$
|
7,392,833
|
$
|
10,192,603
|
Common Stocks
|
$
|
533,273
|
2,180,134
|
29,186
|
2,742,593
|
Corporate Bonds
|
|
43,961,833
|
2,192,215
|
46,154,048
|
Floating Rate
|
|
|
|
|
|
Loan Interests
|
|
272,742,370
|
17,726,100
|
290,468,470
|
Other
|
|
|
|
|
|
Interests
|
|
|
|
711,955
|
711,955
|
Short-Term
|
|
|
|
|
|
Securities
|
|
3,253,818
|
|
|
3,253,818
|
Total
|
|
$
|
3,787,091
|
$
|
321,684,107
|
$
|
28,052,289
|
$
|
353,523,487
|
|
|
|
|
|
Valuation
Inputs
|
|
Level
1
|
Level
2
|
Level
3
|
Total
|
Derivative Financial Instruments
1
|
|
|
|
|
Assets:
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
exchange
|
|
|
|
|
|
contracts
|
|
|
$
|
11,875
|
|
$
|
11,875
|
Liabilities:
|
|
|
|
|
|
Foreign currency
|
|
|
|
|
|
exchange
|
|
|
|
|
|
contracts
|
|
|
(325,415)
|
|
(325,415)
|
Total
|
|
|
$
|
(313,540)
|
|
$
|
(313,540)
|
1
|
|
Derivative
financial instruments are foreign currency
exchange contracts, which are valued at
the unrealized appreciation/depreciation
of the instruments.
|
The following table is a reconciliation of
Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
Asset-Backed
Securities
|
|
Common
Stocks
|
|
Corporate
Bonds
|
|
Floating
Rate
Loan Interests
|
|
Other
Interests
|
|
Total
|
Assets/Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of
August
31, 2011
|
$
|
7,328,370
|
|
|
$
|
191,645
|
|
|
$
|
2,293,544
|
|
|
$
|
23,078,475
|
|
|
$
|
742,860
|
|
|
$
|
33,634,894
|
|
Accrued discounts/premiums
|
|
59,461
|
|
|
|
—
|
|
|
|
39,200
|
|
|
|
52,171
|
|
|
|
—
|
|
|
|
150,832
|
|
Net realized gain (loss)
|
|
—
|
|
|
|
27
|
|
|
|
(4,362,357
|
)
|
|
|
18,143
|
|
|
|
—
|
|
|
|
(4,344,187
|
)
|
Net change in unrealized
appreciation/depreciation
2
|
|
5,002
|
|
|
|
(160,573
|
)
|
|
|
4,620,344
|
|
|
|
(1,084,360
|
)
|
|
|
(40,737
|
)
|
|
|
3,339,676
|
|
Purchases
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,123,628
|
|
|
|
9,832
|
|
|
|
1,133,460
|
|
Sales
|
|
—
|
|
|
|
(1,913
|
)
|
|
|
(398,516
|
)
|
|
|
(1,179,883
|
)
|
|
|
—
|
|
|
|
(1,580,312
|
)
|
Transfers in
3
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
6,136,364
|
|
|
|
—
|
|
|
|
6,136,364
|
|
Transfers out
3
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(10,418,438
|
)
|
|
|
—
|
|
|
|
(10,418,438
|
)
|
Balance, as of
February 29, 2012
|
$
|
7,392,833
|
|
|
$
|
29,186
|
|
|
$
|
2,192,215
|
|
|
$
|
17,726,100
|
|
|
$
|
711,955
|
|
|
$
|
28,052,289
|
|
2
|
|
Included
in the related net change in unrealized
appreciation/depreciation in the Statements
of Operations. The change in unrealized
appreciation/depreciation on investments
still held on February 29, 2012 was $2,935,504.
|
3
|
|
The
Funds policy is to recognize transfers
in and transfers out as of the beginning
of the period of the event or the change
in circumstances that caused the transfer.
|
A reconciliation of Level 3 investments and
derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivatives at
the beginning and/or end of the period in relation to net assets.
See Notes to Financial Statements.
32
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
|
BlackRock
Limited Duration Income Trust (BLW)
|
February 29, 2012 (Unaudited)
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Asset-Backed
Securities
|
|
(000)
|
Value
|
|
Asset-Backed Securities
5.4%
|
|
|
|
321 Henderson Receivables I LLC, Series
2010-3A,
|
|
|
|
Class
A, 3.82%, 12/15/48 (a)
|
USD
|
4,641
|
$
|
4,676,209
|
ARES CLO Funds, Series 2005-10A, Class
B,
|
|
|
|
0.95%, 9/18/17 (a)(b)
|
|
1,500
|
1,388,070
|
Ballyrock CDO Ltd., Series 2006-1A,
Class B,
|
|
|
|
0.84%, 8/28/19 (a)(b)
|
|
1,500
|
1,256,250
|
Canaras Summit CLO Ltd., Series 2007-1A,
Class B,
|
|
|
|
1.04%, 6/19/21 (a)(b)
|
|
1,735
|
1,475,253
|
Capital One Multi-Asset Execution Trust,
Series 4-3C,
|
|
|
|
6.63%, 4/19/17 (b)
|
GBP
|
2,650
|
4,300,215
|
Conseco Financial Corp., Series 1995-5,
Class M1,
|
|
|
|
7.65%, 9/15/26 (b)
|
USD
|
966
|
991,695
|
Countrywide Asset-Backed Certificates
(b):
|
|
|
|
Series 2007-6, Class
2A1, 0.34%, 9/25/37
|
|
63
|
62,430
|
Series 2007-7, Class
2A2, 0.40%, 10/25/47
|
|
3,230
|
2,490,459
|
Series 2007-10, Class
2A1, 0.29%, 6/25/47
|
|
1,290
|
1,264,814
|
Series 2007-12, Class
2A1, 0.59%, 8/25/47
|
|
1,609
|
1,546,200
|
CSAM Funding, Series 2A, Class B1, 7.05%,
10/15/16
|
|
750
|
754,725
|
Gannett Peak CLO Ltd., Series 2006-1X,
Class A2,
|
|
|
|
0.92%, 10/27/20 (b)
|
|
1,330
|
1,073,975
|
GSAA Trust, Series 2007-3, Class 1A2,
|
|
|
|
0.41%, 3/25/47 (b)
|
|
3,213
|
1,363,875
|
Portola CLO Ltd., Series 2007-1X, Class
B1,
|
|
|
|
1.95%, 11/15/21 (b)
|
|
1,770
|
1,517,775
|
Santander Consumer Acquired Receivables
Trust,
|
|
|
|
Series 2011-S1A, Class
D, 3.15%, 8/15/16 (a)
|
|
2,760
|
2,757,264
|
Santander Drive Auto Receivables Trust
(a):
|
|
|
|
Series 2011-S1A,
Class D, 3.10%, 5/15/17
|
|
1,414
|
1,401,866
|
Series 2011-S2A,
Class B, 2.06%, 6/15/17
|
|
742
|
740,730
|
Series 2011-S2A,
Class C, 2.86%, 6/15/17
|
|
769
|
769,293
|
SLC Student Loan Trust, Series 2006-A,
Class A4,
|
|
|
|
0.69%, 1/15/19 (b)
|
|
1,338
|
1,319,302
|
Spirit Issuer Plc, Series A2, 3.78%,
12/28/31 (b)
|
GBP
|
1,800
|
1,961,580
|
T2 Income Fund CLO Ltd., Series 2007-1A,
Class B,
|
|
|
|
1.17%, 7/15/19 (a)(b)
|
USD
|
1,515
|
1,313,884
|
|
|
|
34,425,864
|
Interest Only Asset-Backed
Securities 0.3%
|
|
|
|
Sterling Bank Trust, Series 2004-2,
Class Note,
|
|
|
|
2.08%, 3/30/30 (a)
|
|
12,367
|
958,472
|
Sterling Coofs Trust, Series 1, 2.36%,
4/15/29
|
|
11,022
|
854,225
|
|
|
|
1,812,697
|
Total
Asset-Backed Securities 5.7%
|
|
|
36,238,561
|
|
|
Common
Stocks (c)
|
|
Shares
|
|
Auto Components
1.3%
|
|
|
|
Delphi Automotive Plc (180-day lock)
(acquired
|
|
|
|
11/17/11,
cost $4,028,721) (d)
|
267,741
|
8,353,516
|
Construction &
Engineering 0.0%
|
|
|
|
USI
United Subcontractors
|
|
6,116
|
12,231
|
Diversified Financial
Services 0.4%
|
|
|
|
Kcad
Holdings I Ltd.
|
|
254,615,288
|
2,331,003
|
Hotels, Restaurants
& Leisure 0.1%
|
|
|
|
BLB Worldwide Holdings, Inc.
|
|
51,947
|
484,821
|
Travelport Worldwide Ltd.
|
176,501
|
88,251
|
|
|
|
573,072
|
Metals & Mining
0.0%
|
|
|
|
Euramax
International
|
|
234
|
67,773
|
Software 0.0%
|
|
|
|
|
|
|
|
Common
Stocks (c)
|
|
Shares
|
Value
|
|
Bankruptcy Management Solutions,
Inc.
|
USD
|
880
|
$
|
18
|
HMH Holdings/EduMedia
|
|
238,664
|
59,666
|
|
|
|
59,684
|
Total
Common Stocks 1.8%
|
|
|
11,397,279
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
|
Aerospace & Defense
0.4%
|
|
|
|
Huntington Ingalls Industries, Inc.,
7.13%, 3/15/21
|
|
650
|
696,313
|
Kratos Defense & Security Solutions,
Inc.,
|
|
|
|
10.00%, 6/01/17
|
|
1,966
|
2,118,365
|
|
|
|
2,814,678
|
Airlines 1.1%
|
|
|
|
American Airlines Pass-Through Trust,
Series 2011-2,
|
|
|
|
Class A, 8.63%, 4/15/23
(e)
|
|
898
|
951,880
|
Continental Airlines, Inc., 6.75%, 9/15/15
(a)(e)
|
|
1,350
|
1,363,500
|
Delta Air Lines, Inc., Series 2009-1-B,
|
|
|
|
9.75%, 6/17/18 (e)
|
|
262
|
278,062
|
United Air Lines, Inc., 12.75%, 7/15/12
(e)
|
|
2,455
|
2,541,132
|
US Airways Pass-Through Trust, 10.88%,
10/22/14
|
|
1,625
|
1,625,000
|
|
|
|
6,759,574
|
Auto Components
0.4%
|
|
|
|
B-Corp Merger Sub, Inc., 8.25%, 6/01/19
(a)
|
|
240
|
244,800
|
Delphi Corp., 6.13%, 5/15/21 (a)(e)
|
|
780
|
836,550
|
Titan International, Inc., 7.88%, 10/01/17
|
|
1,330
|
1,413,125
|
|
|
|
2,494,475
|
Beverages
0.7%
|
|
|
|
Crown European Holdings SA:
|
|
|
|
7.13%, 8/15/18
|
EUR
|
657
|
937,687
|
7.13%, 8/15/18 (a)
|
|
716
|
1,021,894
|
SABMiller Holdings, Inc., 2.45%, 1/15/17
(a)(e)
|
USD
|
2,560
|
2,610,099
|
|
|
|
4,569,680
|
Building Products
0.4%
|
|
|
|
Building Materials Corp. of America
(a)(e):
|
|
|
|
7.00%, 2/15/20
|
|
1,345
|
1,459,325
|
6.75%, 5/01/21
|
|
910
|
989,625
|
|
|
|
2,448,950
|
Capital Markets
1.2%
|
|
|
|
American Capital Ltd., 7.96%, 12/31/13
(f)
|
|
1,675
|
1,706,055
|
Deutsche Bank AG, 3.63%, 3/09/17
|
EUR
|
1,020
|
1,209,461
|
E*Trade Financial Corp.:
|
|
|
|
12.50%, 11/30/17
|
USD
|
2,515
|
2,929,975
|
3.98%, 8/31/19 (a)(g)(h)
|
|
249
|
235,616
|
SteelRiver Transmission Co. LLC, 4.71%,
6/30/17 (a)
|
|
1,245
|
1,283,225
|
|
|
|
7,364,332
|
Chemicals
2.4%
|
|
|
|
American Pacific Corp., 9.00%, 2/01/15
|
|
1,100
|
1,072,500
|
Celanese US Holdings LLC, 5.88%, 6/15/21
(e)
|
|
805
|
877,450
|
Hexion U.S. Finance Corp., 9.00%, 11/15/20
|
|
735
|
720,300
|
Ineos Finance Plc, 8.38%, 2/15/19 (a)
|
|
540
|
573,750
|
Kinove German Bondco GmbH, 9.63%, 6/15/18
(a)
|
|
1,000
|
1,022,500
|
Lyondell Chemical Co., 11.00%, 5/01/18
(e)
|
|
2,714
|
2,974,689
|
LyondellBasell Industries NV, 6.00%,
11/15/21 (a)
|
|
200
|
219,500
|
Nova Chemicals Corp., 8.38%, 11/01/16
(e)
|
|
5,500
|
6,132,500
|
Solutia, Inc., 7.88%, 3/15/20 (e)
|
|
1,155
|
1,354,237
|
|
|
|
14,947,426
|
Commercial Banks
4.2%
|
|
|
|
ABN Amro Bank NV, 6.38%, 4/27/21
|
EUR
|
1,020
|
1,404,867
|
Barclays Bank Plc, 6.00%, 1/14/21
|
|
1,020
|
1,288,971
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
33
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Commercial Banks
(concluded)
|
|
|
|
CIT Group, Inc. (a):
|
|
|
|
5.25%,
4/01/14 (e)
|
USD
|
3,614
|
$
|
3,695,315
|
4.75%, 2/15/15
|
|
2,409
|
2,445,135
|
5.50%, 2/15/19
|
|
1,390
|
1,419,537
|
Commerzbank AG, 6.38%, 3/22/19
|
EUR
|
1,020
|
1,193,698
|
HSBC Bank Plc, 3.10%, 5/24/16 (a)(e)
|
USD
|
2,560
|
2,618,637
|
HSBC Holdings Plc, 6.25%, 3/19/18
|
EUR
|
1,000
|
1,470,800
|
ING Bank NV, 5.13%, 5/01/15 (a)(e)
|
USD
|
2,936
|
2,877,712
|
Lloyds TSB Bank Plc, 6.50%, 3/24/20
|
EUR
|
1,020
|
1,238,189
|
Nordea Bank AB, 4.50%, 3/26/20
|
|
1,020
|
1,355,108
|
Regions Financial Corp.:
|
|
|
|
6.38%, 5/15/12 (e)
|
USD
|
4,590
|
4,624,884
|
4.88%, 4/26/13
|
|
907
|
920,605
|
|
|
|
26,553,458
|
Commercial Services
& Supplies 0.9%
|
|
|
|
ACCO Brands Corp., 10.63%, 3/15/15 (e)
|
|
1,425
|
1,572,858
|
ARAMARK Corp., 8.50%, 2/01/15
|
|
980
|
1,005,735
|
Brickman Group Holdings, Inc., 9.13%,
11/01/18 (a)
|
|
63
|
59,850
|
Iron Mountain, Inc., 7.75%, 10/01/19
|
|
760
|
839,800
|
Mobile Mini, Inc., 7.88%, 12/01/20
|
|
915
|
960,750
|
Verisure Holding AB:
|
|
|
|
8.75%, 9/01/18
|
EUR
|
526
|
707,797
|
8.75%, 12/01/18
|
|
221
|
262,050
|
West Corp., 8.63%, 10/01/18
|
USD
|
165
|
181,088
|
|
|
|
5,589,928
|
Communications Equipment
0.2%
|
|
|
|
Avaya, Inc., 9.75%, 11/01/15
|
|
510
|
510,000
|
Hughes Satellite Systems Corp., 6.50%,
6/15/19
|
|
850
|
901,000
|
|
|
|
1,411,000
|
Consumer Finance
1.1%
|
|
|
|
Ford Motor Credit Co. LLC (e):
|
|
|
|
7.80%, 6/01/12
|
|
1,665
|
1,685,524
|
3.88%, 1/15/15
|
|
2,475
|
2,537,303
|
7.00%, 4/15/15
|
|
400
|
444,000
|
6.63%, 8/15/17
|
|
1,066
|
1,207,953
|
Hyundai Capital America, 3.75%, 4/06/16
(a)(e)
|
|
1,285
|
1,299,765
|
|
|
|
7,174,545
|
Containers &
Packaging 1.0%
|
|
|
|
Ardagh Packaging Finance Plc:
|
|
|
|
7.38%, 10/15/17
|
EUR
|
100
|
140,558
|
7.38%, 10/15/17 (a)
|
|
587
|
825,073
|
Ball Corp., 5.00%, 3/15/22 (i)
|
USD
|
1,460
|
1,492,850
|
Berry Plastics Corp.:
|
|
|
|
4.42%, 9/15/14 (b)
|
|
700
|
670,250
|
8.25%, 11/15/15 (e)
|
|
695
|
747,125
|
9.75%, 1/15/21
|
|
625
|
668,750
|
Sealed Air Corp., 8.38%, 9/15/21 (a)
|
|
295
|
337,775
|
Smurfit Kappa Acquisitions (a):
|
|
|
|
7.25%, 11/15/17
|
EUR
|
111
|
158,237
|
7.75%, 11/15/19
|
|
726
|
1,042,211
|
|
|
|
6,082,829
|
Diversified Financial
Services 5.3%
|
|
|
|
Ally Financial, Inc.:
|
|
|
|
8.30%, 2/12/15 (e)
|
USD
|
2,460
|
2,718,300
|
7.50%, 9/15/20
|
|
1,630
|
1,795,038
|
8.00%, 11/01/31 (e)
|
|
1,630
|
1,819,488
|
8.00%, 11/01/31
|
|
950
|
1,030,802
|
Banque Paribas, 6.95%, 7/22/13 (e)
|
|
2,100
|
2,208,312
|
Citigroup, Inc., 4.75%, 5/19/15 (e)
|
|
3,000
|
3,178,992
|
The Goldman Sachs Group, Inc., 5.13%,
1/15/15 (e)
|
|
565
|
600,537
|
Intesa Sanpaolo SpA, 2.38%, 12/21/12
(e)
|
|
3,335
|
3,274,566
|
JPMorgan Chase & Co., 3.40%, 6/24/15
(e)
|
|
6,000
|
6,312,306
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Diversified Financial
Services (concluded)
|
|
|
|
Morgan Stanley (e):
|
|
|
|
5.25%,
11/02/12
|
USD
|
795
|
$
|
814,114
|
5.30%, 3/01/13
|
|
825
|
849,353
|
Reynolds Group Issuer, Inc.:
|
|
|
|
8.75%, 10/15/16
|
EUR
|
340
|
481,293
|
8.75%, 10/15/16 (a)(e)
|
USD
|
2,125
|
2,263,125
|
7.13%, 4/15/19 (a)(e)
|
|
1,990
|
2,104,425
|
9.88%, 8/15/19 (a)
|
|
1,820
|
1,881,425
|
6.88%, 2/15/21 (a)(e)
|
|
1,475
|
1,563,500
|
SLM Corp., Series A, 5.00%, 10/01/13
|
|
150
|
153,600
|
WMG Acquisition Corp., 9.50%, 6/15/16
(a)
|
|
280
|
309,400
|
|
|
|
33,358,576
|
Diversified Telecommunication
Services 2.7%
|
|
|
|
ITC Deltacom, Inc., 10.50%, 4/01/16
|
|
1,350
|
1,407,375
|
Level 3 Escrow, Inc., 8.13%, 7/01/19
(a)
|
|
3,083
|
3,229,442
|
Level 3 Financing, Inc., 4.51%, 2/15/15
(b)(e)
|
|
1,725
|
1,673,250
|
Qwest Communications International,
Inc. (e):
|
|
|
|
7.50%, 2/15/14
|
|
610
|
612,135
|
8.00%, 10/01/15
|
|
2,500
|
2,683,595
|
Series B, 7.50%,
2/15/14
|
|
3,470
|
3,482,145
|
Qwest Corp., 8.38%, 5/01/16 (e)
|
|
2,590
|
3,033,177
|
TW Telecom Holdings, Inc., 8.00%, 3/01/18
|
|
250
|
274,063
|
Windstream Corp., 8.13%, 8/01/13
|
|
590
|
632,775
|
|
|
|
17,027,957
|
Electronic Equipment,
Instruments & Components 1.2%
|
|
|
Agilent
Technologies, Inc., 4.45%, 9/14/12 (e)
|
|
7,325
|
7,454,989
|
Energy Equipment
& Services 1.1%
|
|
|
|
Calfrac Holdings LP, 7.50%, 12/01/20
(a)
|
|
280
|
280,000
|
Compagnie Generale de Geophysique
Veritas,
|
|
|
|
7.75%, 5/15/17
|
|
330
|
343,613
|
Frac Tech Services LLC, 7.63%, 11/15/18
(a)(e)
|
|
1,690
|
1,804,075
|
Key Energy Services, Inc., 6.75%, 3/01/21
(e)
|
|
1,040
|
1,089,400
|
Oil States International, Inc., 6.50%,
6/01/19
|
|
465
|
499,875
|
Peabody Energy Corp., 6.25%, 11/15/21
(a)(e)
|
|
3,080
|
3,226,300
|
|
|
|
7,243,263
|
Gas Utilities
0.4%
|
|
|
|
Florida Gas Transmission Co. LLC, 4.00%,
7/15/15 (a)(e)
|
2,000
|
2,085,376
|
Targa Resources Partners LP, 6.88%,
2/01/21 (e)
|
|
690
|
736,575
|
|
|
|
2,821,951
|
Health Care Equipment
& Supplies 1.1%
|
|
|
|
CareFusion Corp., 5.13%, 8/01/14 (e)
|
|
3,000
|
3,237,366
|
DJO Finance LLC:
|
|
|
|
10.88%, 11/15/14
|
|
2,625
|
2,670,937
|
7.75%, 4/15/18
|
|
540
|
464,400
|
Teleflex, Inc., 6.88%, 6/01/19
|
|
675
|
727,313
|
|
|
|
7,100,016
|
Health Care Providers
& Services 2.2%
|
|
|
|
Aviv Healthcare Properties LP, 7.75%,
2/15/19
|
|
645
|
659,513
|
HCA, Inc.:
|
|
|
|
6.50%, 2/15/20 (e)
|
|
2,845
|
3,051,262
|
5.88%, 3/15/22
|
|
4,210
|
4,315,250
|
Omnicare, Inc., 7.75%, 6/01/20 (e)
|
|
2,260
|
2,517,075
|
Tenet Healthcare Corp., 10.00%, 5/01/18
(e)
|
|
3,032
|
3,532,280
|
|
|
|
14,075,380
|
Health Care Technology
0.8%
|
|
|
|
IMS
Health, Inc., 12.50%, 3/01/18 (a)
|
|
4,300
|
5,117,000
|
Hotels, Restaurants
& Leisure 3.3%
|
|
|
|
Caesars Operating Escrow, LLC., 8.50%,
2/15/20 (a)(e)
|
|
1,300
|
1,326,000
|
Enterprise Inns Plc:
|
|
|
|
6.50%, 12/06/18
|
GBP
|
2,232
|
2,876,220
|
6.88%, 2/15/21
|
|
2,070
|
2,338,146
|
MGM Resorts International:
|
|
|
|
10.38%, 5/15/14
|
USD
|
1,135
|
1,291,062
|
11.13%, 11/15/17
|
|
1,720
|
1,956,500
|
See Notes to Financial Statements.
34
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Hotels, Restaurants
& Leisure (concluded)
|
|
|
|
Punch Taverns Finance B Ltd., Series
A7,
|
|
|
|
4.77%,
6/30/33
|
GBP
|
1,275
|
$
|
1,455,601
|
Spirit Issuer Plc (b):
|
|
|
|
1.63%, 12/28/28
|
|
3,325
|
3,438,333
|
5.47%, 12/28/34
|
|
4,500
|
5,226,107
|
Travelport LLC, 6.58%, 12/01/16 (a)(b)(j)
|
USD
|
931
|
656,037
|
Tropicana Entertainment LLC, Series
WI,
|
|
|
|
9.63%, 12/15/14 (c)(k)
|
|
375
|
|
|
|
|
20,564,006
|
Household Durables
0.8%
|
|
|
|
Beazer Homes USA, Inc., 12.00%, 10/15/17
|
|
3,800
|
4,142,000
|
Berkline/Benchcraft LLC, 4.50%, 11/03/12
(c)(k)
|
|
200
|
|
Standard Pacific Corp., 8.38%, 1/15/21
|
|
860
|
913,750
|
|
|
|
5,055,750
|
Independent Power
Producers & Energy Traders 2.4%
|
|
|
|
AES Corp.:
|
|
|
|
7.75%, 10/15/15 (e)
|
|
2,440
|
2,757,200
|
9.75%, 4/15/16
|
|
710
|
844,900
|
7.38%, 7/01/21 (a)
|
|
440
|
501,600
|
Calpine Corp. (a)(e):
|
|
|
|
7.25%, 10/15/17
|
|
405
|
429,300
|
7.50%, 2/15/21
|
|
530
|
575,050
|
Energy Future Holdings Corp., 10.00%,
1/15/20
|
|
3,625
|
3,919,531
|
Energy Future Intermediate Holding Co.
LLC:
|
|
|
|
10.00%, 12/01/20
|
|
3,650
|
3,964,812
|
11.75%, 3/01/22 (a)(e)
|
|
1,495
|
1,532,375
|
Laredo Petroleum, Inc., 9.50%, 2/15/19
|
|
395
|
435,488
|
QEP Resources, Inc., 5.38%, 10/01/22
(i)
|
|
476
|
480,760
|
|
|
|
15,441,016
|
Industrial Conglomerates
1.5%
|
|
|
|
Sequa Corp. (a):
|
|
|
|
11.75%, 12/01/15
|
|
2,950
|
3,134,375
|
13.50%, 12/01/15
|
|
5,870
|
6,266,224
|
|
|
|
9,400,599
|
Insurance
1.4%
|
|
|
|
Allied World Assurance Co. Holdings,
Ltd.,
|
|
|
|
7.50%, 8/01/16 (e)
|
|
3,000
|
3,414,273
|
CNO Financial Group, Inc., 9.00%, 1/15/18
(a)
|
|
2,353
|
2,532,416
|
Forethought Financial Group, Inc., 8.63%,
|
|
|
|
4/15/21 (a)(e)
|
|
750
|
753,406
|
Genworth Financial, Inc., 7.63%, 9/24/21
(e)
|
|
990
|
1,027,149
|
MPL 2 Acquisition Canco, Inc., 9.88%,
8/15/18 (a)
|
|
595
|
531,038
|
Muenchener Rueckversicherungs AG, 6.00%,
|
|
|
|
5/26/41 (b)
|
EUR
|
400
|
540,930
|
|
|
|
8,799,212
|
IT Services
0.4%
|
|
|
|
Eagle Parent Canada, Inc., 8.63%, 5/01/19
(a)
|
USD
|
1,260
|
1,304,100
|
First Data Corp.:
|
|
|
|
7.38%, 6/15/19 (a)(e)
|
|
255
|
257,869
|
8.25%, 1/15/21 (a)
|
|
95
|
91,912
|
12.63%, 1/15/21
|
|
1,088
|
1,142,400
|
|
|
|
2,796,281
|
Machinery
0.5%
|
|
|
|
Navistar International Corp., 8.25%,
11/01/21
|
|
400
|
437,500
|
UR Financing Escrow Corp. (a)(i):
|
|
|
|
5.75%, 7/15/18
|
|
1,244
|
1,278,210
|
7.38%, 5/15/20
|
|
805
|
826,131
|
7.63%, 4/15/22
|
|
733
|
758,655
|
|
|
|
3,300,496
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Media 5.6%
|
|
|
|
AMC Networks, Inc., 7.75%,
7/15/21 (a)
|
USD
|
525
|
$
|
585,375
|
CCH II LLC, 13.50%, 11/30/16
|
|
4,106
|
4,721,944
|
CCO Holdings LLC, 7.88%, 4/30/18
|
|
1,525
|
1,666,062
|
Checkout Holding Corp., 10.68%, 11/15/15
(a)(g)
|
|
1,570
|
706,500
|
Clear Channel Worldwide Holdings, Inc.:
|
|
|
|
9.25%, 12/15/17
|
|
933
|
1,021,635
|
7.63%, 3/15/20 (a)(i)
|
|
1,995
|
1,995,000
|
Series B, 9.25%,
12/15/17
|
|
5,272
|
5,799,200
|
DIRECTV Holdings LLC, 3.13%, 2/15/16
(e)
|
|
3,000
|
3,131,439
|
DISH DBS Corp.:
|
|
|
|
7.00%, 10/01/13 (e)
|
|
1,450
|
1,556,938
|
7.13%, 2/01/16
|
|
200
|
221,000
|
6.75%, 6/01/21
|
|
515
|
571,650
|
Intelsat Luxemburg SA, 11.50%, 2/04/17
(j)
|
|
280
|
288,400
|
Interactive Data Corp., 10.25%, 8/01/18
|
|
2,210
|
2,491,775
|
Kabel BW Erste Beteiligungs GmbH, 7.50%,
|
|
|
|
3/15/19 (a)
|
|
1,440
|
1,555,200
|
Lamar Media Corp., 5.88%, 2/01/22 (a)
|
|
675
|
704,531
|
NAI Entertainment Holdings LLC, 8.25%,
|
|
|
|
12/15/17 (a)(e)
|
|
1,445
|
1,589,500
|
Nielsen Finance LLC, 7.75%, 10/15/18
|
|
1,400
|
1,557,500
|
ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(h)(k)
|
|
3,454
|
1,727
|
Unitymedia Hessen GmbH & Co. KG,
8.13%,
|
|
|
|
12/01/17 (a)(e)
|
|
4,090
|
4,437,650
|
Virgin Media Secured Finance Plc, 6.50%,
1/15/18 (e)
|
|
1,000
|
1,090,000
|
|
|
|
35,693,026
|
Metals & Mining
2.0%
|
|
|
|
Freeport-McMoRan Copper & Gold,
Inc. (e):
|
|
|
|
1.40%, 2/13/15
|
|
1,310
|
1,312,254
|
8.38%, 4/01/17
|
|
3,000
|
3,140,343
|
New World Resources NV, 7.88%, 5/01/18
|
EUR
|
995
|
1,345,523
|
Novelis, Inc., 8.75%, 12/15/20 (e)
|
USD
|
3,875
|
4,320,625
|
Xstrata Canada Financial Corp., 2.85%,
|
|
|
|
11/10/14 (a)(e)
|
|
2,450
|
2,500,762
|
|
|
|
12,619,507
|
Multiline Retail
0.4%
|
|
|
|
Dollar
General Corp., 11.88%, 7/15/17 (b)(e)
|
|
2,458
|
2,697,680
|
Oil, Gas & Consumable
Fuels 6.3%
|
|
|
|
Anadarko Petroleum Corp., 5.95%, 9/15/16
(e)
|
|
719
|
832,403
|
Arch Coal, Inc., 7.00%, 6/15/19 (a)
|
|
305
|
305,000
|
Berry Petroleum Co., 8.25%, 11/01/16
|
|
550
|
573,375
|
BP Capital Markets Plc, 5.25%, 11/07/13
(e)
|
|
6,000
|
6,445,590
|
Chesapeake Midstream Partners LP, 6.13%,
7/15/22 (a)
|
|
510
|
527,850
|
Chesapeake Oilfield Operating LLC, 6.63%,
11/15/19 (a)
|
45
|
45,900
|
Coffeyville Resources LLC, 9.00%, 4/01/15
(a)(e)
|
|
634
|
678,380
|
Consol Energy, Inc., 8.25%, 4/01/20
(e)
|
|
2,150
|
2,343,500
|
Crosstex Energy LP, 8.88%, 2/15/18
|
|
135
|
146,475
|
Denbury Resources, Inc.:
|
|
|
|
8.25%, 2/15/20 (e)
|
|
971
|
1,106,940
|
6.38%, 8/15/21
|
|
810
|
893,025
|
El Paso Corp., 7.00%, 6/15/17
|
|
2,265
|
2,530,999
|
Forest Oil Corp., 8.50%, 2/15/14
|
|
125
|
135,625
|
Holly Energy Partners LP, 6.50%, 3/01/20
(a)(i)
|
|
215
|
219,569
|
Linn Energy LLC:
|
|
|
|
6.25%, 11/01/19 (a)
|
|
2,210
|
2,207,238
|
8.63%, 4/15/20
|
|
515
|
571,650
|
7.75%, 2/01/21
|
|
695
|
747,125
|
Niska Gas Storage US LLC, 8.88%, 3/15/18
|
|
350
|
336,000
|
Oasis Petroleum, Inc.:
|
|
|
|
7.25%, 2/01/19
|
|
475
|
503,500
|
6.50%, 11/01/21
|
|
410
|
422,300
|
OGX Petroleo e Gas Participacoes SA, 8.50%,
6/01/18 (a)
|
7,230
|
7,537,275
|
PetroBakken Energy, Ltd., 8.63%, 2/01/20
(a)
|
|
930
|
988,125
|
Petrohawk Energy Corp. (e):
|
|
|
|
10.50%, 8/01/14
|
|
840
|
933,450
|
7.88%, 6/01/15
|
|
1,130
|
1,193,563
|
7.25%, 8/15/18
|
|
740
|
846,375
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
35
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Oil, Gas & Consumable
Fuels (concluded)
|
|
|
|
Plains Exploration & Production
Co., 6.75%,
|
|
|
|
2/01/22
(e)
|
USD
|
1,035
|
$
|
1,133,325
|
Range Resources Corp.:
|
|
|
|
5.75%, 6/01/21 (e)
|
|
1,735
|
1,856,450
|
5.00%, 8/15/22 (i)
|
|
805
|
813,050
|
Ruby Pipeline LLC (a):
|
|
|
|
4.50%, 4/01/17 (e)
|
|
1,215
|
1,212,006
|
6.00%, 4/01/22
|
|
895
|
893,205
|
SandRidge Energy, Inc., 7.50%, 3/15/21
|
|
575
|
580,750
|
|
|
|
39,560,018
|
Paper & Forest
Products 0.4%
|
|
|
|
Longview Fibre Paper & Packaging,
Inc.,
|
|
|
|
8.00%, 6/01/16 (a)
|
|
395
|
405,863
|
NewPage Corp., 11.38%, 12/31/14 (c)(e)(k)
|
|
3,445
|
2,075,612
|
|
|
|
2,481,475
|
Pharmaceuticals
0.7%
|
|
|
|
Aristotle Holding, Inc., 2.65%, 2/15/17
(a)(e)
|
|
2,710
|
2,713,087
|
Valeant Pharmaceuticals International,
|
|
|
|
6.50%, 7/15/16 (a)(e)
|
|
1,470
|
1,499,400
|
|
|
|
4,212,487
|
Real Estate Investment
Trusts (REITs) 0.5%
|
|
|
|
Felcor Lodging LP, 6.75%, 6/01/19
|
|
1,610
|
1,646,225
|
Ventas Realty LP/Ventas Capital Corp.,
|
|
|
|
4.75%, 6/01/21 (e)
|
|
1,300
|
1,339,433
|
|
|
|
2,985,658
|
Real Estate Management
& Development 1.9%
|
|
|
|
Realogy Corp.:
|
|
|
|
11.50%, 4/15/17 (e)
|
|
215
|
196,725
|
12.00%, 4/15/17
|
|
225
|
207,000
|
7.88%, 2/15/19 (a)(e)
|
|
2,865
|
2,779,050
|
7.63%, 1/15/20 (a)(e)
|
|
1,675
|
1,729,437
|
9.00%, 1/15/20 (a)(e)
|
|
480
|
482,400
|
Shea Homes LP, 8.63%, 5/15/19 (a)
|
|
1,165
|
1,176,650
|
The Unique Pub Finance Co. Plc,:
|
|
|
|
Series A3, 6.54%,
3/30/21
|
GBP
|
1,700
|
2,217,715
|
Series A4, 5.66%,
6/30/27
|
|
509
|
607,326
|
Series M, 7.40%,
3/28/24
|
|
2,750
|
2,624,985
|
|
|
|
12,021,288
|
Road & Rail
1.4%
|
|
|
|
Asciano Finance Ltd., 3.13%, 9/23/15
(a)(e)
|
USD
|
3,400
|
3,358,299
|
Avis Budget Car Rental LLC, 8.25%, 1/15/19
|
|
60
|
62,550
|
Florida East Coast Railway Corp., 8.13%,
2/01/17
|
|
530
|
535,300
|
Hertz Corp.,:
|
|
|
|
7.50%, 10/15/18 (i)
|
|
635
|
685,006
|
6.75%, 4/15/19
|
|
1,030
|
1,078,925
|
6.75%, 4/15/19 (a)
|
|
405
|
424,238
|
7.38%, 1/15/21
|
|
2,585
|
2,798,262
|
|
|
|
8,942,580
|
Tobacco 0.5%
|
|
|
|
Reynolds
American, Inc., 7.63%, 6/01/16 (e)
|
|
2,500
|
3,014,940
|
Transportation Infrastructure
0.3%
|
|
|
|
Aguila 3 SA, 7.88%, 1/31/18 (a)
|
|
498
|
523,522
|
Federal Express Corp. 2012 Pass Through
Trust,
|
|
|
|
2.63%, 1/15/18 (a)(e)
|
|
1,468
|
1,466,936
|
|
|
|
1,990,458
|
Wireless Telecommunication
Services 2.6%
|
|
|
|
Cricket Communications, Inc., 7.75%,
5/15/16 (e)
|
|
2,250
|
2,396,250
|
Crown Castle Towers LLC, 4.52%, 1/15/35
(a)
|
|
3,000
|
3,123,021
|
Digicel Group Ltd. (a):
|
|
|
|
8.88%, 1/15/15
|
|
720
|
732,600
|
9.13%, 1/15/15
|
|
2,267
|
2,312,340
|
8.25%, 9/01/17
|
|
1,335
|
1,415,100
|
Sprint Capital Corp., 6.88%, 11/15/28
|
|
1,470
|
1,146,600
|
|
|
|
|
|
|
Par
|
|
Corporate
Bonds
|
|
(000)
|
Value
|
|
Wireless Telecommunication
Services (concluded)
|
|
|
|
Sprint Nextel Corp. (a):
|
|
|
|
9.00%,
11/15/18 (e)
|
USD
|
3,070
|
$
|
3,423,050
|
7.00%, 3/01/20 (i)
|
|
1,620
|
1,646,325
|
|
|
|
16,195,286
|
Total
Corporate Bonds 61.7%
|
|
|
390,181,770
|
|
|
Floating
Rate Loan Interests (b)
|
|
|
|
Aerospace & Defense
0.2%
|
|
|
|
TransDigm,
Inc., Term Loan (First Lien), 4.00%, 2/14/17
|
|
1,485
|
1,483,693
|
Airlines 0.2%
|
|
|
|
Delta Air Lines, Inc., Credit New Term
Loan B,
|
|
|
|
5.50%,
4/20/17
|
|
1,008
|
983,968
|
Auto Components
1.1%
|
|
|
|
Allison Transmission, Inc., Term Loan
B, 2.75%, 8/07/14
|
|
3,277
|
3,240,214
|
Autoparts Holdings Ltd.:
|
|
|
|
First Lien Term Loan,
6.50%, 7/28/17
|
|
998
|
999,994
|
Second Lien Term
Loan, 10.50%, 1/29/18
|
|
1,500
|
1,458,750
|
Schaeffler AG, Term Loan C2, 6.00%,
1/27/17
|
|
1,335
|
1,338,898
|
|
|
|
7,037,856
|
Beverages
0.0%
|
|
|
|
Le-Nature's, Inc., Tranche B Term Loan,
0.00%,
|
|
|
|
3/01/11
(c)(h)(k)
|
|
1,000
|
100
|
Biotechnology
0.4%
|
|
|
|
Grifols
SA, Term Loan B, 4.50%, 2/13/18
|
|
2,495
|
2,491,532
|
Building Products
1.4%
|
|
|
|
CPG International, Inc., Term Loan B,
6.00%, 2/18/17
|
|
990
|
935,550
|
Goodman Global Holdings, Inc., Initial
Term Loan
|
|
|
|
(First Lien), 5.75%,
10/28/16
|
|
4,421
|
4,442,947
|
Goodman Global, Inc., Term Loan (Second
Lien),
|
|
|
|
9.00%, 10/30/17
|
|
1,145
|
1,163,358
|
Momentive Performance Materials, Inc.
(Blitz 06-103
|
|
|
|
GmbH), Tranche B-2B
Term Loan, 4.08%, 5/05/15
|
EUR
|
1,516
|
1,911,844
|
United Subcontractors, Inc., Term Loan
(First Lien),
|
|
|
|
4.58%, 6/30/15
|
USD
|
155
|
123,821
|
|
|
|
8,577,520
|
Capital Markets
0.7%
|
|
|
|
HarbourVest Partners, Term Loan (First
Lien),
|
|
|
|
6.25%, 12/16/16
|
|
2,305
|
2,306,846
|
Nuveen Investments, Inc.:
|
|
|
|
(First Lien), Term
Loan, 3.30% 3.58%, 11/13/14
|
|
198
|
196,389
|
Extended Term Loan,
5.74% 5.83%, 5/12/17
|
|
1,137
|
1,133,437
|
Incremental Term
Loan, 7.25%, 5/13/17
|
|
790
|
795,530
|
|
|
|
4,432,202
|
Chemicals
1.8%
|
|
|
|
American Rock Salt Holdings LLC, Term
Loan B,
|
|
|
|
5.50%, 4/25/17
|
|
997
|
926,955
|
Chemtura Corp., Exit Term Loan B, 5.50%,
8/27/16
|
|
1,100
|
1,103,443
|
Gentek, Inc., Term Loan B, 5.00%
5.75%, 10/06/15
|
|
1,074
|
1,067,006
|
MDI Holdings LLC, Tranche C Term Loan,
|
|
|
|
2.76%, 4/11/14
|
EUR
|
458
|
594,922
|
Nexeo Solutions LLC, Term Loan B, 5.00%,
9/08/17
|
USD
|
1,290
|
1,270,354
|
PQ Corp., Original Term Loan (First
Lien),
|
|
|
|
3.50%, 7/30/14
|
|
1,423
|
1,388,323
|
Styron Sarl LLC, Term Loan B,
|
|
|
|
6.00% 6.75%,
8/02/17
|
|
2,161
|
1,948,068
|
Tronox Worldwide LLC:
|
|
|
|
Delayed Draw Term
Loan, 1.00%, 2/09/18
|
|
342
|
341,403
|
Term Loan B, 4.25%,
2/08/18
|
|
1,253
|
1,251,811
|
Univar, Inc., Term Loan B, 5.00%, 6/30/17
|
|
1,375
|
1,363,564
|
|
|
|
11,255,849
|
See Notes to Financial Statements.
36
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Commercial Services
& Supplies 1.8%
|
|
|
|
Altegrity, Inc., Tranche
D Term Loan, 7.75%, 2/20/15
|
USD
|
3,718
|
$
|
3,713,372
|
AWAS Finance Luxembourg Sarl, Term Loan
B,
|
|
|
|
5.25%, 6/10/16
|
|
1,122
|
1,118,508
|
Delos Aircraft, Inc., Term Loan B2,
7.00%, 3/17/16
|
|
1,454
|
1,455,402
|
KAR Auction Services, Inc., Term Loan
B,
|
|
|
|
5.00%, 5/19/17
|
|
1,493
|
1,490,634
|
Synagro Technologies, Inc., Term Loan
B,
|
|
|
|
2.25% 2.26%,
4/02/14
|
|
1,141
|
1,020,813
|
Volume Services America, Inc., Term
Loan B,
|
|
|
|
10.50% 10.75%,
9/16/16
|
|
2,568
|
2,578,206
|
|
|
|
11,376,935
|
Communications Equipment
0.5%
|
|
|
|
Avaya, Inc.:
|
|
|
|
Term Loan B1, 3.24%,
10/24/14
|
|
1,373
|
1,343,237
|
Term Loan B3, 4.99%,
10/26/17
|
|
630
|
610,955
|
CommScope, Inc., Term Loan B, 5.00%,
1/14/18
|
|
1,241
|
1,240,054
|
|
|
|
3,194,246
|
Construction &
Engineering 0.6%
|
|
|
|
Safway Services, LLC, First Out Tranche
Loan,
|
|
|
|
9.00%,
12/16/17
|
|
3,750
|
3,750,000
|
Consumer Finance
0.1%
|
|
|
|
Springleaf
Finance Corp, Term Loan, 5.50%, 5/10/17
|
925
|
843,239
|
Containers &
Packaging 0.1%
|
|
|
|
Sealed
Air Corp., Term Loan B, 4.75%, 10/03/18
|
|
611
|
616,599
|
Diversified Consumer
Services 1.8%
|
|
|
|
Coinmach Service Corp., Term Loan B, 3.41%,
11/20/14
|
4,571
|
4,210,286
|
Laureate Education, Inc., Extended Term
Loan,
|
|
|
|
5.25%, 8/15/18
|
|
4,576
|
4,367,898
|
ServiceMaster Co.:
|
|
|
|
Delayed Draw Term
Loan, 2.75%, 7/24/14
|
|
249
|
245,858
|
Term Loan, 2.77%
3.03%, 7/24/14
|
|
2,499
|
2,468,820
|
|
|
|
11,292,862
|
Diversified Financial
Services 0.5%
|
|
|
|
Reynolds Group Holdings, Inc., Tranche
C Term Loan,
|
|
|
|
5.25%
6.50%, 8/09/18
|
|
3,454
|
3,489,771
|
Diversified Telecommunication
Services 1.4%
|
|
|
|
Hawaiian Telcom Communications, Inc.,
Term Loan B,
|
|
|
|
9.00%, 2/25/17
|
|
1,755
|
1,750,612
|
Level 3 Financing, Inc.:
|
|
|
|
Term Loan B2, 5.75%,
9/03/18
|
|
2,600
|
2,617,888
|
Term Loan B3, 5.75%,
8/31/18
|
|
2,800
|
2,819,264
|
Tranche A Term Loan,
2.50% 2.83%, 3/13/14
|
|
1,150
|
1,131,025
|
US Telepacific Corp., Term Loan B, 5.75%,
2/23/17
|
|
499
|
472,683
|
|
|
|
8,791,472
|
Electric Utilities
0.1%
|
|
|
|
TPF Generation Holdings LLC:
|
|
|
|
Synthetic Letter
of Credit Deposit (First Lien),
|
|
|
|
2.58%, 12/13/13
|
|
151
|
149,289
|
Term Loan (First
Lien), 2.58%, 12/13/13
|
|
251
|
249,055
|
|
|
|
398,344
|
Electronic Equipment,
Instruments & Components 0.4%
|
|
|
CDW LLC (FKA CDW Corp.), Extended Term
Loan,
|
|
|
|
4.00%, 7/14/17
|
|
1,246
|
1,217,811
|
Sensata Technologies Finance Co. LLC,
Term Loan,
|
|
|
|
4.00%, 5/11/18
|
|
1,647
|
1,643,059
|
|
|
|
2,860,870
|
Energy Equipment
& Services 1.6%
|
|
|
|
CCS Corp., Term Loan B, 3.24%, 11/14/14
|
|
1,639
|
1,586,039
|
Dynegy Midwest Generation LLC., Coal Co.
Term Loan,
|
|
|
9.25%, 8/04/16
|
|
2,326
|
2,313,097
|
Dynegy Power LLC., Gas Co. Term Loan, 9.25%,
8/04/16
|
4,257
|
4,391,436
|
MEG Energy Corp., Term Loan B, 4.00%,
3/16/18
|
|
1,995
|
1,990,910
|
|
|
|
10,281,482
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Food & Staples
Retailing 0.1%
|
|
|
|
U.S. Foodservice, Inc., Term Loan B, 2.74%
2.75%,
|
|
|
7/03/14
|
USD
|
692
|
$
|
668,174
|
Food Products
1.1%
|
|
|
|
Advance Pierre Foods:
|
|
|
|
Term Loan (First
Lien), 7.00%, 9/30/16
|
|
3,345
|
3,344,773
|
Term Loan (Second
Lien), 11.25%, 9/29/17
|
|
1,300
|
1,301,079
|
Del Monte Corp., Term Loan, 4.50%, 3/08/18
|
|
1,164
|
1,141,037
|
Pinnacle Foods Finance LLC, Tranche
D Term Loan,
|
|
|
|
6.00% 6.50%,
4/02/14
|
|
1,019
|
1,024,472
|
Solvest Ltd. (Dole):
|
|
|
|
Tranche B-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
97
|
97,590
|
Tranche C-2 Term
Loan, 5.00% 6.00%, 7/06/18
|
181
|
181,239
|
|
|
|
7,090,190
|
Health Care Equipment
& Supplies 0.3%
|
|
|
|
Biomet, Inc., Term Loan B, 3.24%
3.57%, 3/25/15
|
368
|
363,977
|
Hupah Finance, Inc., Term Loan B, 6.25%,
1/21/19
|
|
1,000
|
999,380
|
Immucor, Inc., Term Loan B, 7.25%, 8/17/18
|
|
299
|
301,270
|
|
|
|
1,664,627
|
Health Care Providers
& Services 2.4%
|
|
|
|
Ardent Health Services, Term Loan (First
Lien),
|
|
|
|
6.50%, 9/15/15
|
|
1
|
1,294
|
CHS/Community Health Systems, Inc.:
|
|
|
|
Non-Extended Delayed
Draw Term Loan,
|
|
|
|
3.25%, 7/25/14
|
|
91
|
89,841
|
Non-Extended Term
Loan, 2.49% 4.50%, 7/25/14
|
1,773
|
1,749,580
|
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16
|
|
1,287
|
1,283,384
|
DaVita, Inc., Term Loan B, 4.50%, 10/20/16
|
|
1,980
|
1,984,534
|
Emergency Medical Services, Term Loan, 5.25%,
5/25/18
|
951
|
947,574
|
Harden Healthcare LLC:
|
|
|
|
Term Loan A, 8.50%,
3/02/15
|
|
574
|
562,318
|
Tranche A Additional
Term Loan, 7.75%, 3/02/15
|
3,458
|
3,389,316
|
Health Management Associates, Inc.,
Term Loan B,
|
|
|
|
4.50%, 11/16/18
|
|
270
|
268,245
|
inVentiv Health, Inc.:
|
|
|
|
Combined Term Loan,
6.50%, 8/04/16
|
|
1,509
|
1,450,502
|
Incremental Term
Loan B-3, 6.75%, 5/15/18
|
|
993
|
952,800
|
Medpace, Inc., Term Loan, 6.50% 7.25%,
6/16/17
|
2,836
|
2,722,320
|
|
|
|
15,401,708
|
Health Care Technology
0.2%
|
|
|
|
IMS Health, Inc., Term Loan B, 4.50%,
8/25/17
|
|
905
|
905,871
|
Kinetic Concepts, Inc., Term Loan B, 7.00%,
5/04/18
|
620
|
630,075
|
|
|
|
1,535,946
|
Hotels, Restaurants
& Leisure 2.3%
|
|
|
|
Caesars Entertainment Operating Co.,
Inc.:
|
|
|
|
Incremental Term
Loan B4, 9.50%, 10/31/16
|
|
1,237
|
1,272,138
|
Term Loan B1, 3.24%,
1/28/15
|
|
2,574
|
2,412,063
|
Term Loan B3, 3.24%
3.47%, 1/28/15
|
|
6,423
|
6,017,964
|
Dunkin' Brands, Inc., Term Loan B, 4.00%
5.25%,
|
|
|
|
11/23/17
|
|
1,617
|
1,612,330
|
OSI Restaurant Partners LLC:
|
|
|
|
Revolver, 2.56%
2.79%, 6/14/13
|
|
43
|
42,354
|
Term Loan B, 2.56%,
6/14/14
|
|
114
|
111,031
|
Seaworld Parks & Entertainment,
Inc., Term Loan B,
|
|
|
|
4.00%, 8/17/17
|
|
357
|
356,895
|
Six Flags Theme Parks, Inc., Tranche
B Term Loan
|
|
|
|
(First Lien), 4.25%,
12/20/18
|
|
1,155
|
1,149,953
|
Travelport LLC:
|
|
|
|
Extended Term Loan
Tranche A, 6.54%, 9/28/12
|
|
428
|
203,454
|
Extended Term
Loan Tranche B, 14.04%, 12/01/16
|
1,331
|
299,431
|
Twin River Worldwide Holdings, Inc.,
Term Loan,
|
|
|
|
8.50%, 11/05/15
|
|
1,282
|
1,282,308
|
|
|
|
14,759,921
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
37
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Household Durables
0.0%
|
|
|
|
Berkline/Benchcraft LLC, Term Loan B,
14.00%,
|
|
|
|
11/03/13
(c)(k)
|
USD
|
155
|
$
|
43,019
|
Household Products
0.2%
|
|
|
|
Prestige
Brands, Inc., Term Loan, 5.25%, 1/31/19
|
|
1,000
|
1,003,750
|
Independent Power
Producers & Energy Traders 0.3%
|
|
|
|
The AES Corp., Term Loan, 4.25%, 6/01/18
|
|
1,489
|
1,487,261
|
Texas Competitive Electric Holdings
Co. LLC,
|
|
|
|
Extended Term Loan,
4.76%, 10/10/17
|
|
428
|
238,590
|
|
|
|
1,725,851
|
Industrial Conglomerates
0.3%
|
|
|
|
Sequa Corp.:
|
|
|
|
Incremental Term
Loan, 6.25%, 12/03/14
|
|
340
|
341,132
|
Term Loan, 3.76%
3.84%, 12/03/14
|
|
1,824
|
1,804,561
|
|
|
|
2,145,693
|
Internet Software
& Services 0.2%
|
|
|
|
Web.com
Group, Inc., Term Loan B, 7.00%, 10/27/17
|
|
992
|
968,115
|
IT Services
2.1%
|
|
|
|
Ceridian Corp., Term Loan, 3.24%, 11/10/14
|
|
1,359
|
1,285,209
|
First Data Corp.:
|
|
|
|
Extended Term Loan
B, 4.24%, 3/23/18
|
|
5,739
|
5,150,016
|
Term Loan B-1, 2.99%,
9/24/14
|
|
860
|
821,868
|
Term Loan B-3, 2.99%,
9/24/14
|
|
109
|
103,775
|
infoGROUP, Inc., Term Loan B, 5.75%,
5/22/18
|
|
1,061
|
991,946
|
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18
|
|
2,050
|
2,054,987
|
TransUnion LLC, Term Loan B, 4.75%,
2/12/18
|
|
3,147
|
3,150,017
|
|
|
|
13,557,818
|
Leisure Equipment
& Products 0.1%
|
|
|
|
Eastman
Kodak Co., DIP Term Loan B, 1.00%, 7/20/13
|
|
845
|
855,301
|
Machinery
0.6%
|
|
|
|
Terex Corp.:
|
|
|
|
Term Loan, 6.00%,
4/28/17
|
EUR
|
309
|
408,891
|
Term Loan B, 5.50%,
4/28/17
|
USD
|
998
|
1,004,562
|
Tomkins LLC, Term Loan B, 4.25%, 9/29/16
|
|
2,158
|
2,155,924
|
|
|
|
3,569,377
|
Media 7.1%
|
|
|
|
Affinion Group, Inc., Term Loan B, 5.00%,
10/10/16
|
|
1,474
|
1,378,909
|
AMC Networks, Inc., Term Loan B, 4.00%,
12/31/18
|
|
2,189
|
2,175,319
|
Capsugel Healthcare Ltd., Term Loan,
5.25%, 8/01/18
|
|
697
|
700,477
|
Cengage Learning Acquisitions, Inc.,
Tranche 1
|
|
|
|
Incremental Term Loan,
7.50%, 7/03/14
|
|
2,036
|
1,970,027
|
Cequel Communications LLC, Term Loan
B,
|
|
|
|
1.00%, 2/11/19
|
|
2,685
|
2,657,532
|
Charter Communications Operating LLC:
|
|
|
|
Term Loan B, 7.25%,
3/06/14
|
|
64
|
63,561
|
Term Loan C, 3.83%,
9/06/16
|
|
3,043
|
3,019,687
|
Clear Channel Communications:
|
|
|
|
Term Loan B, 3.89%,
1/28/16
|
|
3,355
|
2,753,514
|
Term Loan C, 3.89%,
1/28/16
|
|
795
|
630,038
|
Cumulus Media, Inc., Term Loan, 5.75%,
9/17/18
|
|
1,500
|
1,501,245
|
HMH Publishing Co., Ltd., Term Loan,
6.51%, 6/12/14
|
|
3,187
|
1,969,487
|
Hubbard Broadcasting, Term Loan B (Second
Lien),
|
|
|
|
5.25%, 4/28/17
|
|
896
|
896,243
|
Intelsat Jackson Holdings SA, Tranche
B Term Loan,
|
|
|
|
5.25%, 4/02/18
|
|
5,459
|
5,449,470
|
Interactive Data Corp., Term Loan B,
4.50%, 2/12/18
|
|
2,382
|
2,376,640
|
Kabel Deutschland GmbH, Term Loan F,
4.25%, 2/01/19
|
|
3,195
|
3,179,025
|
Lavena Holding 4 GmbH (Prosiebensat.1
Media AG):
|
|
|
|
Second Lien Term
Loan, 5.18%, 9/02/16
|
EUR
|
904
|
891,852
|
Term Loan B, 3.80%,
3/06/15
|
|
304
|
351,749
|
Term Loan C, 4.06%,
3/04/16
|
|
304
|
353,773
|
Newsday LLC, Fixed Rate Term Loan, 10.50%,
8/01/13
|
USD
|
4,505
|
4,634,519
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Media (concluded)
|
|
|
|
Sinclair Television Group, Inc.:
|
|
|
|
Incremental
Term Loan B3, 1.00%, 10/28/16
|
USD
|
660
|
$
|
656,905
|
Tranche B Term Loan,
4.00%, 10/28/16
|
|
565
|
562,350
|
Univision Communications, Inc., Extended
First Lien
|
|
|
|
Term Loan, 4.49%,
3/31/17
|
|
3,915
|
3,635,469
|
UPC Broadband Holding B.V., Term Loan
U,
|
|
|
|
4.72%, 12/29/17
|
EUR
|
97
|
126,615
|
UPC Financing Partnership:
|
|
|
|
Term Loan, 4.75%,
12/29/17
|
USD
|
1,045
|
1,043,171
|
Term Loan T, 3.77%,
12/30/16
|
|
355
|
349,054
|
WC Luxco Sarl, Term Loan B3, 4.25%,
3/15/18
|
|
624
|
622,391
|
Weather Channel, Term Loan B, 4.25%,
2/13/17
|
|
1,116
|
1,116,422
|
|
|
|
45,065,444
|
Metals & Mining
1.2%
|
|
|
|
Novelis, Inc.:
|
|
|
|
Incremental Term
Loan B2, 4.00%, 3/10/17
|
|
2,486
|
2,474,813
|
Term Loan, 4.00%,
3/10/17
|
|
3,317
|
3,299,918
|
Walter Energy, Inc., Term Loan B, 4.00%,
4/02/18
|
|
1,647
|
1,639,452
|
|
|
|
7,414,183
|
Multi-Utilities
0.0%
|
|
|
|
FirstLight Power Resources, Inc. Term
B Advance
|
|
|
|
(First
Lien), 2.75%, 11/01/13
|
|
325
|
306,439
|
Multiline Retail
0.8%
|
|
|
|
99 Cents Only Stores, Term Loan B, 6.00%
7.00%,
|
|
|
|
1/11/19
|
|
915
|
920,883
|
Hema Holding BV:
|
|
|
|
Second Lien Term
Loan, 5.69%, 1/05/17
|
EUR
|
2,600
|
3,013,661
|
Term Loan B, 2.69%,
7/06/15
|
|
338
|
434,148
|
Term Loan C, 3.44%,
7/05/16
|
|
338
|
431,894
|
|
|
|
4,800,586
|
Oil, Gas & Consumable
Fuels 0.9%
|
|
|
|
Gibson Energy, Term Loan B, 5.75%, 6/15/18
|
USD
|
1,493
|
1,494,052
|
Obsidian Natural Gas Trust, Term Loan,
|
|
|
|
7.00%, 11/02/15
|
|
3,933
|
3,952,850
|
|
|
|
5,446,902
|
Paper & Forest
Products 0.3%
|
|
|
|
NewPage Corp., Term Loan, 8.00%, 3/07/13
|
|
1,450
|
1,460,875
|
Verso Paper Finance Holdings LLC, Term
Loan,
|
|
|
|
6.79% 7.54%,
2/01/13 (j)
|
|
710
|
355,082
|
|
|
|
1,815,957
|
Pharmaceuticals
1.0%
|
|
|
|
Aptalis Pharma, Inc., Term Loan B, 5.50%,
2/10/17
|
|
1,485
|
1,472,378
|
Pharmaceutical Product Development,
Inc.,
|
|
|
|
Term Loan B, 6.25%,
12/05/18
|
|
1,235
|
1,245,806
|
Taminco Global Chemical Corp., New Term
Loan,
|
|
|
|
6.25%, 2/15/19
|
|
675
|
677,774
|
Valeant Pharmaceuticals International,
Add-on Term
|
|
|
|
Loan B, 3.75%, 2/08/19
|
|
1,615
|
1,609,961
|
Warner Chilcott Corp.:
|
|
|
|
Term Loan B-1, 4.25%,
3/15/18
|
|
907
|
905,296
|
Term Loan B-2, 4.25%,
3/15/18
|
|
454
|
452,648
|
|
|
|
6,363,863
|
Professional Services
0.4%
|
|
|
|
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18
|
|
1,000
|
1,011,430
|
Fifth Third Processing Solutions LLC,
Term Loan B
|
|
|
|
(First Lien), 4.50%,
11/03/16
|
|
1,640
|
1,641,202
|
|
|
|
2,652,632
|
Real Estate Investment
Trusts (REITs) 0.6%
|
|
|
|
Istar
Financial, Inc., Term Loan A1, 5.00%, 6/28/13
|
|
4,022
|
4,003,854
|
Real Estate Management
& Development 0.5%
|
|
|
|
Realogy
Corp., Extended Term Loan, 4.77%, 10/10/16
|
|
3,099
|
2,875,786
|
See Notes to Financial Statements.
38
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
|
|
Par
|
|
Floating
Rate Loan Interests (b)
|
|
(000)
|
Value
|
|
Road & Rail
0.4%
|
|
|
|
RailAmerica,
Inc., Term Loan B, 1.00%, 2/27/19
|
USD
|
2,390
|
$
|
2,384,025
|
Semiconductors &
Semiconductor Equipment 0.3%
|
|
|
|
Freescale Semiconductor, Inc., Extended
|
|
|
|
Term Loan B, 4.52%,
12/01/16
|
|
1,053
|
1,025,813
|
NXP B.V., Term Loan A-2, 5.50%, 3/03/17
|
|
739
|
732,986
|
|
|
|
1,758,799
|
Software 0.3%
|
|
|
|
Bankruptcy Management Solutions, Inc.,
Term Loan
|
|
|
|
(First Lien), 7.50%,
8/20/14
|
|
719
|
152,881
|
Infor Enterprise Solutions Holdings,
Inc., Extended
|
|
|
|
Initial Term Loan,
1.00%, 7/28/15
|
EUR
|
765
|
961,059
|
Sophia, LP, Term Loan B, 6.25%, 7/19/18
|
USD
|
920
|
929,586
|
|
|
|
2,043,526
|
Specialty Retail
1.9%
|
|
|
|
Academy Ltd., Term Loan, 6.00%, 8/03/18
|
|
1,800
|
1,799,802
|
Burlington Coat Factory Warehouse Corp.,
|
|
|
|
Term Loan B, 6.25%,
2/23/17
|
|
575
|
574,500
|
Claire's Stores, Inc., Term Loan B,
2.99% 3.30%,
|
|
|
|
5/29/14
|
|
1,005
|
952,295
|
General Nutrition Centers, Inc., Term
Loan B,
|
|
|
|
4.25%, 3/02/18
|
|
1,875
|
1,869,450
|
The Gymboree Corp., Term Loan, 5.00%,
2/23/18
|
|
595
|
559,449
|
Michaels Stores, Inc.:
|
|
|
|
Extended Term Loan
B3, 5.13%, 7/29/16
|
|
1,870
|
1,858,899
|
Term Loan B-2, 5.13%,
7/29/16
|
|
1,098
|
1,091,567
|
Petco Animal Supplies, Inc., Term Loan
B,
|
|
|
|
4.50%, 11/24/17
|
|
1,213
|
1,207,010
|
Toys R Us Delaware, Inc.,
Term Loan B1,
|
|
|
|
6.00%, 9/01/16
|
|
1,878
|
1,880,163
|
|
|
|
11,793,135
|
Trading Companies
& Distributors 0.0%
|
|
|
|
Beacon Sales Acquisition, Inc., Term
Loan B,
|
|
|
|
2.24%
4.00%, 9/30/13
|
|
118
|
115,601
|
Wireless Telecommunication
Services 1.7%
|
|
|
|
Crown Castle International Corp., Term
Loan B,
|
|
|
|
4.00%, 1/31/19
|
|
1,020
|
1,015,359
|
Digicel International, Tranche A, 3.13%,
3/30/12
|
|
169
|
167,792
|
MetroPCS Wireless, Inc., Term Loan B-3,
|
|
|
|
4.00% 4.06%,
3/16/18
|
|
1,037
|
1,028,719
|
Vodafone Americas Finance 2, Inc., Term
Loan,
|
|
|
|
6.88%, 8/11/15 (j)
|
|
8,583
|
8,583,337
|
|
|
|
10,795,207
|
Total
Floating Rate Loan Interests 42.3%
|
|
|
267,783,969
|
|
|
Non-Agency
Mortgage-Backed Securities
|
|
|
|
Collateralized Mortgage
Obligations 3.8%
|
|
|
|
Adjustable Rate Mortgage Trust, Series
2007-1,
|
|
|
|
Class 3A21, 5.67%,
3/25/37 (b)
|
|
2,089
|
1,934,550
|
Citicorp Mortgage Securities, Inc.,
Series 2006-2,
|
|
|
|
Class 1A7, 5.75%,
4/25/36
|
|
1,126
|
1,129,019
|
Countrywide Alternative Loan Trust,
Series 2005-54CB,
|
|
|
|
Class 3A4, 5.50%,
11/25/35
|
|
7,314
|
5,453,626
|
Countrywide Home Loan Mortgage Pass-Through
Trust:
|
|
|
|
Series 2005-17, Class
1A6, 5.50%, 9/25/35
|
|
2,652
|
2,546,131
|
Series 2006-17, Class
A2, 6.00%, 12/25/36
|
|
4,921
|
4,157,440
|
Series 2007-16, Class
A1, 6.50%, 10/25/37
|
|
2,577
|
2,301,901
|
Series 2007-HY5,
Class 3A1, 5.83%, 9/25/37 (b)
|
|
3,128
|
2,439,433
|
GSR Mortgage Loan Trust, Series 2005-AR5,
Class 2A3,
|
|
|
|
2.78%, 10/25/35 (b)
|
|
2,558
|
1,890,079
|
|
|
|
|
Non-Agency
Mortgage-Backed Securities
|
|
Shares
|
Value
|
|
Collateralized Mortgage
Obligations (concluded)
|
|
|
|
Morgan Stanley Reremic Trust, Series
2010-R4,
|
|
|
|
Class
4A, 0.47%, 2/26/37 (a)(b)
|
USD
|
2,534
|
$
|
2,432,436
|
|
|
|
24,284,615
|
Commercial Mortgage-Backed
Securities 9.9%
|
|
|
|
Banc of America Commercial Mortgage,
Inc. (b):
|
|
|
|
Series 2007-3, Class
A2, 5.63%, 6/10/49
|
|
1,958
|
1,994,450
|
Series 2007-4, Class
A4, 5.72%, 2/10/51
|
|
2,150
|
2,473,652
|
Centre Parcs Mortgage Finance Plc, Series
2007-1,
|
|
|
|
Class A2, 3.13%, 10/10/18
|
GBP
|
1,943
|
3,088,699
|
Citigroup/Deutsche Bank Commercial Mortgage
Trust,
|
|
|
|
Series 2007-CD4, Class
A2B, 5.21%, 12/11/49
|
USD
|
812
|
820,695
|
Credit Suisse Mortgage Capital Certificates:
|
|
|
|
Series 2006-C5, Class
AM, 5.34%, 12/15/39
|
|
1,440
|
1,441,226
|
Series 2007-C2, Class
A2, 5.45%, 1/15/49 (b)
|
|
940
|
952,129
|
Series 2007-C3, Class
A2, 5.71%, 6/15/39 (b)
|
|
3,236
|
3,245,906
|
Series 2007-C4, Class
A3, 5.79%, 9/15/39 (b)
|
|
2,815
|
2,975,739
|
Series 2007-C5, Class
AAB, 5.62%, 9/15/40 (b)
|
|
2,085
|
2,257,555
|
Extended Stay America Trust, Series
2010-ESHA,
|
|
|
|
Class C, 4.86%, 11/05/27
(a)
|
|
2,320
|
2,364,509
|
First Union Commercial Mortgage Securities,
Inc.,
|
|
|
|
Series 1997-C2, Class
G, 7.50%, 11/18/29 (b)
|
|
3,310
|
3,479,555
|
Greenwich Capital Commercial Funding
Corp.:
|
|
|
|
Series 2006-GG7,
Class AM, 5.88%, 7/10/38 (b)
|
|
1,610
|
1,685,823
|
Series 2007-GG9,
Class A4, 5.44%, 3/10/39
|
|
2,110
|
2,342,524
|
GS Mortgage Securities Corp. II, Series
2006-GG6,
|
|
|
|
Class AM, 5.62%, 4/10/38
(b)
|
|
3,680
|
3,830,516
|
JPMorgan Chase Commercial Mortgage Securities
Corp.:
|
|
|
|
Series 2004-LN2,
Class A2, 5.12%, 7/15/41
|
|
2,315
|
2,477,654
|
Series 2007-CB18,
Class A4, 5.44%, 6/12/47
|
|
2,110
|
2,371,933
|
Series 2007-CB19,
Class A4, 5.73%, 2/12/49 (b)
|
|
2,140
|
2,428,376
|
LB-UBS Commercial Mortgage Trust, Series
2007-C6,
|
|
|
|
Class A4, 5.86%, 7/15/40
(b)
|
|
3,395
|
3,845,024
|
Morgan Stanley Capital I, Series 2007-IQ15,
Class A2,
|
|
|
|
5.84%, 6/11/49 (b)
|
|
2,007
|
2,026,356
|
Titan Europe Plc, Series 2006-4FSX,
Class A1,
|
|
|
|
9.14%, 9/03/14 (b)
|
GBP
|
413
|
631,388
|
Wachovia Bank Commercial Mortgage Trust
(b):
|
|
|
|
Series 2007-C33,
Class A2, 5.85%, 2/15/51
|
USD
|
13,527
|
13,623,354
|
Series 2007-C33,
Class A4, 5.90%, 2/15/51
|
|
2,030
|
2,237,880
|
|
|
|
62,594,943
|
Total
Non-Agency Mortgage-Backed Securities 13.7%
|
|
|
86,879,558
|
|
|
|
Beneficial
|
|
|
Interest
|
|
Other
Interests (l)
|
(000)
|
|
Auto Components
0.0%
|
|
|
|
Lear
Corp. Escrow
|
|
1,000
|
10,000
|
Diversified Financial
Services 0.2%
|
|
|
|
JG
Wentworth LLC Preferred Equity Interests (c)
|
|
1
|
1,361,513
|
Household Durables
0.0%
|
|
|
|
Berkline
Benchcraft Equity LLC
|
USD
|
3
|
|
Total
Other Interests 0.2%
|
|
|
1,371,513
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
39
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
(Percentages
shown are based on Net Assets)
|
|
|
|
|
Preferred
Securities
|
|
Shares
|
Value
|
|
Preferred
Stocks 0.1%
|
|
|
|
Auto Components
0.1%
|
|
|
|
Dana
Holding Corp.,0.00% (a)(c)(h)
|
|
6,000
|
$
|
807,750
|
|
|
Trust
Preferred 0.4%
|
|
|
|
Diversified Financial
Services 0.4%
|
|
|
|
GMAC
Capital Trust I, Series 2, 8.13%, 2/15/40
|
|
89,360
|
2,090,106
|
Total
Preferred Securities 0.5%
|
|
|
2,897,856
|
|
|
|
|
Par
|
|
Taxable
Municipal Bonds
|
|
(000)
|
|
State of California, GO:
|
|
|
|
5.25%, 4/01/14
|
USD
|
1,075
|
1,151,830
|
5.10%, 8/01/14
|
|
2,225
|
2,334,759
|
State of California, GO, Various Purpose
3,
|
|
|
|
Mandatory Put Bonds,
5.65%, 4/01/39 (b)
|
|
455
|
479,334
|
State
of Illinois, GO, 3.32%, 1/01/13
|
|
5,075
|
5,178,276
|
Total
Taxable Municipal Bonds 1.4%
|
|
|
9,144,199
|
|
|
US
Government Sponsored Agency Securities
|
|
|
|
Collateralized Mortgage
Obligations 0.6%
|
|
|
|
Freddie Mac Mortgage-Backed Securities,
Series 3986,
|
|
|
Class
M, 4.50%, 9/15/41
|
|
3,446
|
3,682,719
|
Interest Only Collateralized
Mortgage Obligations 0.9%
|
|
|
Fannie Mae Mortgage-Backed Securities,
|
|
|
|
Series 2010-126, Class
UI, 5.50%, 10/25/40
|
|
13,233
|
2,200,203
|
Freddie Mac Mortgage-Backed Securities,
Series K706,
|
|
|
Class X1, 1.60%, 10/25/18
(b)
|
|
45,000
|
3,915,540
|
|
|
|
6,115,743
|
Mortgage-Backed Securities
7.8%
|
|
|
|
Fannie Mae Mortgage-Backed Securities
(e):
|
|
|
|
5.00% , 7/01/20
8/01/23
|
|
14,867
|
16,091,459
|
3.50%, 8/01/26
|
|
12,518
|
13,251,602
|
Freddie Mac Mortgage-Backed Securities,
4.50%,
|
|
|
|
4/01/25 (e)
|
|
18,205
|
19,773,262
|
|
|
|
49,116,323
|
Total
US Government Sponsored Agency Securities 9.3%
|
|
58,914,785
|
|
|
US
Treasury Obligations 0.0%
|
|
|
|
US Treasury
Note, 0.38%, 7/31/13 (e)
|
|
145
|
145,249
|
|
|
Warrants
(m)
|
|
Shares
|
|
Media 0.1%
|
|
|
|
Cumulus
Media, Inc. (Expires 3/26/19)
|
|
51,701
|
373,426
|
Software 0.0%
|
|
|
|
Bankruptcy Management Solutions, Inc.
|
|
|
|
(Expires 9/29/17)
|
|
435
|
|
HMH Holdings/EduMedia (Expires 3/09/17)
|
|
210
|
2
|
|
|
|
2
|
Total
Warrants 0.1%
|
|
|
373,428
|
Total Long-Term Investments
|
|
|
|
(Cost
$864,593,344) 136.7%
|
|
|
865,328,167
|
|
|
|
|
Short-Term
Securities
|
|
Shares
|
Value
|
|
BlackRock Liquidity Funds, TempFund,
|
|
|
|
Institutional
Class, 0.11% (n)(o)
|
|
166,291
|
$
|
166,291
|
Total Short-Term Securities
|
|
|
|
(Cost
$166,291) 0.0%
|
|
|
166,291
|
|
|
Options
Purchased
|
|
Contracts
|
|
Over-the-Counter
Call Options 0.0%
|
|
|
|
Marsico Parent Superholdco LLC, Strike
Price
|
|
|
|
USD 942.86, Expires
12/14/19, Broker
|
|
|
|
Goldman
Sachs Bank USA
|
|
46
|
|
Total Options Purchased
|
|
|
|
(Cost
$44,978) 0.0%
|
|
|
|
Total Investments (Cost $864,804,613)
136.7%
|
|
|
$
|
865,494,458
|
Liabilities in Excess of Other Assets
(36.7)%
|
|
|
(232,582,471)
|
Net Assets 100.0%
|
|
|
$
|
632,911,987
|
(a)
|
|
Security
exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities
may be resold in transactions exempt from registration
to qualified institutional investors.
|
(b)
|
|
Variable
rate security. Rate shown is as of report date.
|
(c)
|
|
Non-income
producing security.
|
(d)
|
|
Restricted
security as to resale. As of report date the Portfolio
held 2.1% of its net assets, with a current value
of $8,353,516 and an original cost of $4,028,721
in these securities.
|
(e)
|
|
All
or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.
|
(f)
|
|
Represents
a step-down bond that pays an initial coupon rate
for the first period and then a lower coupon rate
for the following periods. Rate shown is as of
report date.
|
(g)
|
|
Represents
a zero-coupon bond. Rate shown reflects the current
yield as of report date.
|
(h)
|
|
Convertible
security.
|
(i)
|
|
When-issued
security. Unsettled when-issued transactions were
as follows:
|
Counterparty
|
|
Value
|
|
Unrealized
Appreciation
|
Bank of America Securities
|
|
$
|
3,952,225
|
|
|
$
|
56,913
|
|
Barclays Capital Inc.
|
|
$
|
685,006
|
|
|
$
|
36,288
|
|
Citigroup Global Markets, Inc.
|
|
$
|
219,569
|
|
|
$
|
4,569
|
|
Goldman Sachs & Co.
|
|
$
|
1,995,000
|
|
|
|
—
|
|
JPMorgan Securities, Inc.
|
|
$
|
1,278,210
|
|
|
$
|
10,960
|
|
Morgan Stanley Co.
|
|
$
|
1,584,786
|
|
|
$
|
46,786
|
|
Wells
Fargo Securities
|
|
$
|
480,760
|
|
|
$
|
4,760
|
|
(j)
|
|
Represents
a payment-in-kind security which may pay interest/dividends
in additional par/shares.
|
(k)
|
|
Issuer
filed for bankruptcy and/or is in default of interest
payments.
|
(l)
|
|
Other
interests represent beneficial interests in liquidation
trusts and other reorganization or private entities.
|
(m)
|
|
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, if any.
|
(n)
|
|
Investments
in companies considered to be an affiliate of the
Fund during the period, for purposes of Section
2(a)(3) of the 1940 Act, were as follows:
|
|
|
|
|
|
Affiliate
|
Shares
Held
at August 31,
2011
|
Net
Activity
|
Shares
Held
at February 29,
2012
|
Income
|
BlackRock Liquidity
|
|
|
|
|
Funds, TempFund,
|
|
|
|
|
Institutional
Class
|
5,229,778
|
(5,063,487)
|
166,291
|
$ 2,324
|
(o)
|
|
Represents
the current yield as of report date.
|
See Notes to Financial Statements.
40
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
|
Reverse
repurchase agreements outstanding as of February
29, 2012 were as follows:
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
|
Net
Closing
Amount
|
Face
Amount
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA)
LLC
|
0.40%
|
12/02/11
|
Open
|
$
|
9,020,161
|
$
|
9,011,250
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.55%
|
12/02/11
|
Open
|
4,897,312
|
4,890,663
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.60%
|
12/05/11
|
Open
|
3,076,591
|
3,072,188
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.50%
|
12/05/11
|
Open
|
736,056
|
735,177
|
Deutsche
|
|
|
|
|
|
Bank AG
|
0.05%
|
12/05/11
|
Open
|
985,681
|
985,565
|
BNP Paribas
|
|
|
|
|
|
Securities Corp.
|
0.37%
|
1/09/12
|
Open
|
1,578,182
|
1,577,355
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.65%
|
1/09/12
|
Open
|
687,032
|
686,400
|
Deutsche
|
|
|
|
|
|
Bank AG
|
0.09%
|
1/09/12
|
Open
|
145,562
|
145,544
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.65%
|
1/10/12
|
Open
|
624,832
|
624,269
|
UBS AG
|
0.35%
|
1/10/12
|
Open
|
2,746,708
|
2,745,400
|
UBS AG
|
0.40%
|
1/10/12
|
Open
|
2,887,246
|
2,885,675
|
UBS AG
|
0.45%
|
1/10/12
|
Open
|
729,822
|
729,375
|
UBS AG
|
0.54%
|
1/10/12
|
Open
|
1,845,936
|
1,844,580
|
UBS AG
|
0.55%
|
1/10/12
|
Open
|
3,645,227
|
3,642,500
|
UBS AG
|
0.65%
|
1/10/12
|
Open
|
10,709,154
|
10,699,687
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.40%
|
1/13/12
|
Open
|
9,107,128
|
9,102,375
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.38%
|
1/13/12
|
Open
|
3,639,267
|
3,637,462
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.65%
|
1/13/12
|
Open
|
15,220,120
|
15,207,215
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
1/17/12
|
Open
|
2,368,990
|
2,368,000
|
UBS AG
|
0.20%
|
1/20/12
|
Open
|
1,306,978
|
1,306,687
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
1/24/12
|
Open
|
2,063,972
|
2,063,250
|
Deutsche
|
|
|
|
|
|
Bank AG
|
(12.00)%
|
1/25/12
|
Open
|
2,076,933
|
2,101,450
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.40%
|
1/30/12
|
Open
|
21,459,151
|
21,452,000
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.65%
|
1/30/12
|
Open
|
1,035,160
|
1,034,600
|
Deutsche
|
|
|
|
|
|
Bank AG
|
(0.75)%
|
1/30/12
|
Open
|
2,319,200
|
2,320,650
|
UBS AG
|
0.00%
|
1/30/12
|
Open
|
641,138
|
641,138
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.65%
|
1/31/12
|
Open
|
3,033,533
|
3,032,000
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
(1.25)%
|
2/02/12
|
Open
|
429,797
|
430,200
|
UBS AG
|
0.65%
|
2/02/12
|
Open
|
924,525
|
924,075
|
UBS AG
|
(1.25)%
|
2/02/12
|
Open
|
1,418,232
|
1,419,563
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.65%
|
2/08/12
|
Open
|
3,127,295
|
3,126,110
|
UBS AG
|
0.35%
|
2/13/12
|
Open
|
3,345,690
|
3,345,170
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.60%
|
2/14/12
|
Open
|
347,237
|
347,150
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
2/15/12
|
Open
|
5,596,036
|
5,595,275
|
Deutsche
|
|
|
|
|
|
Bank AG
|
0.24%
|
2/15/12
|
3/15/12
|
62,217,887
|
62,206,275
|
UBS AG
|
(0.25)%
|
2/15/12
|
Open
|
1,091,894
|
1,092,000
|
|
|
|
|
|
|
|
|
Reverse
repurchase agreements outstanding as of February
29, 2012 were as follows (concluded):
|
|
|
|
|
|
|
Counterparty
|
Interest
Rate
|
Trade
Date
|
Maturity
Date
|
Net
Closing
Amount
|
Face
Amount
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA)
LLC
|
0.35%
|
2/16/12
|
Open
|
$
|
2,571,612
|
$
|
2,571,287
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.38%
|
2/16/12
|
Open
|
2,445,085
|
2,444,750
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.65%
|
2/16/12
|
Open
|
13,039,699
|
13,036,650
|
UBS AG
|
0.25%
|
2/16/12
|
Open
|
693,283
|
693,225
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.65%
|
2/17/12
|
Open
|
1,397,927
|
1,397,725
|
UBS AG
|
0.40%
|
2/17/12
|
Open
|
1,093,646
|
1,093,500
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.40%
|
2/28/12
|
Open
|
2,374,076
|
2,374,050
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
0.65%
|
2/28/12
|
Open
|
18,418,125
|
18,417,793
|
Credit Suisse
|
|
|
|
|
|
Securities
|
|
|
|
|
|
(USA) LLC
|
0.35%
|
2/28/12
|
Open
|
3,394,653
|
3,394,620
|
Barclays
|
|
|
|
|
|
Capital, Inc.
|
(0.25)%
|
2/29/12
|
Open
|
1,344,991
|
1,345,000
|
UBS AG
|
0.55%
|
2/29/12
|
Open
|
4,764,483
|
4,764,410
|
Total
|
|
|
|
$
|
238,623,245
|
$
|
238,561,283
|
|
|
Financial
futures contracts purchased as of February 29,
2012 were as follows:
|
|
|
|
|
Notional
|
Unrealized
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Value
|
Appreciation
|
12
|
90-Day
|
Chicago
|
March
|
|
|
|
Euro-Dollar
|
Mercantile
|
2012
|
USD 2,986,200
|
$
|
7,317
|
8
|
90-Day
|
Chicago
|
June
|
|
|
|
Euro-Dollar
|
Mercantile
|
2012
|
USD 1,991,000
|
10,678
|
8
|
90-Day
|
Chicago
|
September
|
|
|
|
Euro-Dollar
|
Mercantile
|
2012
|
USD 1,990,200
|
16,278
|
8
|
90-Day
|
Chicago
|
March
|
|
|
|
Euro-Dollar
|
Mercantile
|
2013
|
USD 1,988,700
|
25,978
|
6
|
90-Day
|
Chicago
|
June
|
|
|
|
Euro-Dollar
|
Mercantile
|
2013
|
USD 1,490,925
|
23,009
|
6
|
90-Day
|
Chicago
|
September
|
|
|
|
Euro-Dollar
|
Mercantile
|
2013
|
USD 1,490,250
|
26,009
|
6
|
90-Day
|
Chicago
|
December
|
|
|
|
Euro-Dollar
|
Mercantile
|
2013
|
USD 1,489,275
|
28,708
|
6
|
90-Day
|
Chicago
|
March
|
|
|
|
Euro-Dollar
|
Mercantile
|
2014
|
USD
1,488,300
|
31,033
|
Total
|
|
|
|
|
$
|
169,010
|
|
|
Financial
futures contracts sold as of February 29, 2012
were as follows:
|
|
|
|
|
Notional
|
Unrealized
|
Contracts
|
Issue
|
Exchange
|
Expiration
|
Value
|
Depreciation
|
15
|
Euro-Bund
|
Eurex
|
March
|
EUR 2,098,350
|
$(45,571)
|
|
Futures
|
|
2012
|
|
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
41
|
|
|
Consolidated
Schedule of Investments
(continued)
|
BlackRock
Limited Duration Income Trust (BLW)
|
|
|
Foreign
currency exchange contracts as of February 29,
2012 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized
|
Currency
|
Currency
|
|
Settlement
|
Appreciation
|
Purchased
|
Sold
|
Counterparty
|
Date
|
(Depreciation)
|
GBP
|
335,000
|
USD
|
533,400
|
UBS AG
|
3/02/12
|
$
|
(449)
|
USD
|
27,645,464
|
GBP
|
18,034,500
|
UBS AG
|
4/11/12
|
(1,037,237)
|
USD
|
533,251
|
GBP
|
335,000
|
UBS AG
|
4/11/12
|
456
|
EUR
|
1,480,000
|
USD
|
1,962,153
|
Deutsche
|
|
|
|
|
|
|
Bank AG
|
4/18/12
|
10,007
|
EUR
|
605,000
|
USD
|
788,565
|
Royal Bank
|
|
|
|
|
|
|
of Scotland Plc
|
4/18/12
|
17,622
|
USD
|
26,708,742
|
EUR
|
20,732,500
|
Citibank NA
|
4/18/12
|
(918,160)
|
USD
|
752,981
|
EUR
|
570,000
|
UBS
AG
|
4/18/12
|
(6,567)
|
Total
|
|
|
|
|
|
$
|
(1,934,328)
|
|
|
Credit
default swaps on single-name issues sold
protection outstanding as of February 29, 2012
were as follows:
|
|
|
|
|
|
|
|
Issuer
|
Receive
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Issuer
Credit
Rating
1
|
Notional
Amount
(000)
2
|
Unrealized
Depreciation
|
Aviva
|
|
|
|
|
|
USA
|
|
Deutsche
|
|
|
|
Corp.
|
1.00%
|
Bank AG
|
5/25/12
|
Not Rated
|
USD 4,700
|
$ (2,530)
|
1
|
|
Using
the S&Ps rating.
|
2
|
|
The
maximum potential amount the Fund may
pay should a negative credit event take
place as defined under the terms of agreement.
|
|
|
Credit
default swaps on traded indexes buy protection
outstanding as of February 29, 2012 were as
follows:
|
|
|
|
|
|
|
Index
|
Pay
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Notional
Amount
(000)
|
Unrealized
Depreciation
|
Dow Jones CDX
|
|
|
|
|
|
North America
|
|
|
|
|
|
Investment
|
|
|
|
|
|
Grade Index
|
|
Morgan Stanley
|
|
|
|
Series 16
|
1.00%
|
& Co.,
Inc.
|
6/20/16
|
USD 7,700
|
$
(5,519)
|
|
|
Credit
default swaps on traded indexes sold
protection outstanding as of February 29, 2012
were as follows:
|
|
|
|
|
|
|
|
Issuer
|
Receive
Fixed
Rate
|
Counterparty
|
Expiration
Date
|
Issuer
Credit
Rating
3
|
Notional
Amount
(000)
4
|
Unrealized
Appreciation
|
Dow Jones CDX
|
|
|
|
|
|
North America
|
|
|
|
|
|
Investment
|
|
|
|
|
|
Grade Index
|
|
Morgan Stanley
|
|
|
|
Series
16
|
1.00%
|
&
Co., Inc.
|
6/20/16
|
BBB+
|
USD
7,700
|
$
125,306
|
3
|
|
Using
S&Ps rating of the underlying
securities.
|
4
|
|
The
maximum potential amount the Fund may
pay should a negative credit event take
place as defined under the terms of agreement.
|
|
|
For
Fund compliance purposes, the Funds industry
classifications refer to any one or more of
the industry sub-classifications used by one
or more widely recognized market indexes or
rating group indexes, and/or as defined by Fund
management. 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 are categorized into a disclosure hierarchy
consisting of three broad levels for financial
statement purposes as follows:
|
|
|
Level
1 unadjusted price quotations in active
markets/exchanges for identical assets and liabilities
|
|
|
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 in or out of an assigned level within the disclosure hierarchy. 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 does not necessarily correspond to the Fund's perceived risk of investing in those securities.
For information about the Fund's policy regarding valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.
The following tables summarize the inputs
used as of February 29, 2012 in determining the fair valuation of the Fund's investments and derivative financial instruments:
Valuation
Inputs
|
Level
1
|
|
Level
2
|
|
Level
3
|
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long Term
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
—
|
|
|
$
|
26,296,583
|
|
|
$
|
9,941,978
|
|
|
$
|
36,238,561
|
|
Common
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Stocks
|
|
—
|
|
|
|
8,365,747
|
|
|
|
3,031,532
|
|
|
|
11,397,279
|
|
Corporate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
—
|
|
|
|
390,180,043
|
|
|
|
1,727
|
|
|
|
390,181,770
|
|
Floating Rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loan Interests
|
|
—
|
|
|
|
237,920,561
|
|
|
|
29,863,408
|
|
|
|
267,783,969
|
|
Non-Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
—
|
|
|
|
84,447,122
|
|
|
|
2,432,436
|
|
|
|
86,879,558
|
|
Other Interests
|
|
—
|
|
|
|
—
|
|
|
|
1,371,513
|
|
|
|
1,371,513
|
|
Preferred
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
$
|
2,090,106
|
|
|
|
807,750
|
|
|
|
—
|
|
|
|
2,897,856
|
|
Taxable Municipal
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds
|
|
—
|
|
|
|
9,144,199
|
|
|
|
—
|
|
|
|
9,144,199
|
|
US Government
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sponsored
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
—
|
|
|
|
58,914,785
|
|
|
|
—
|
|
|
|
58,914,785
|
|
US Treasury
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Obligations
|
|
—
|
|
|
|
145,249
|
|
|
|
—
|
|
|
|
145,249
|
|
Warrants
|
|
—
|
|
|
|
373,426
|
|
|
|
2
|
|
|
|
373,428
|
|
Short-Term
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities
|
|
166,291
|
|
|
|
—
|
|
|
|
—
|
|
|
|
166,291
|
|
Total
|
$
|
2,256,397
|
|
|
$
|
816,595,465
|
|
|
$
|
46,642,596
|
|
|
$
|
865,494,458
|
|
See Notes to Financial Statements.
42
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Consolidated
Schedule of Investments
(concluded)
|
BlackRock
Limited Duration Income Trust (BLW)
|
Valuation
Inputs
|
Level
1
|
|
Level
2
|
|
Level
3
|
|
Total
|
Derivative Financial Instruments
1
|
|
|
|
|
|
|
|
|
|
|
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
—
|
|
|
$
|
28,085
|
|
|
|
—
|
|
|
$
|
28,085
|
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
$
|
169,010
|
|
|
|
—
|
|
|
|
—
|
|
|
|
169,010
|
|
Credit contracts
|
|
—
|
|
|
|
125,306
|
|
|
|
—
|
|
|
|
125,306
|
|
Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
exchange
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
—
|
|
|
|
(1,962,413
|
)
|
|
|
—
|
|
|
|
(1,962,413
|
)
|
Interest rate
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
contracts
|
|
(45,571
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(45,571
|
)
|
Credit contracts
|
|
—
|
|
|
|
(5,519
|
)
|
|
$
|
(2,530
|
)
|
|
|
(8,049
|
)
|
Total
|
$
|
123,439
|
|
|
$
|
(1,814,541
|
)
|
|
$
|
(2,530
|
)
|
|
$
|
(1,693,632
|
)
|
1
|
|
Derivative
financial instruments are swaps, financial
futures contracts, foreign currency exchange
contracts and options. Swaps, financial
futures contracts and foreign currency
exchange contracts are valued at the unrealized
appreciation/depreciation on the instrument
and options are shown at value.
|
The following table is a reconciliation of
Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
|
Asset-
Backed
Securities
|
|
Common
Stocks
|
|
Corporate
Bonds
|
|
Floating
Rate Loan
Interests
|
|
Non-Agency
Mortgage-
Backed
|
|
Other
Interests
|
|
Preferred
Stocks
|
|
Warrants
|
|
Total
|
Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance, as of
August
31, 2011
|
|
$
|
11,549,300
|
|
|
$
|
3,358,522
|
|
|
$
|
186,065
|
|
|
$
|
38,869,232
|
|
|
$
|
2,829,283
|
|
|
$
|
1,441,471
|
|
|
$
|
384,565
|
|
|
$
|
292,017
|
|
|
$
|
58,910,455
|
|
Accrued discounts/premiums
|
|
|
(114,026
|
)
|
|
|
—
|
|
|
|
704
|
|
|
|
191,091
|
|
|
|
3,826
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
81,595
|
|
Net realized gain (loss)
|
|
|
(112,837
|
)
|
|
|
(2
|
)
|
|
|
66,012
|
|
|
|
(738,773
|
)
|
|
|
32,228
|
|
|
|
1,455
|
|
|
|
452,430
|
|
|
|
—
|
|
|
|
(299,487
|
)
|
Net change in unrealized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation/depreciation
2
|
|
|
287,032
|
|
|
|
(979,326
|
)
|
|
|
(57,054
|
)
|
|
|
(363,969
|
)
|
|
|
(19,519
|
)
|
|
|
(79,790
|
)
|
|
|
(384,565
|
)
|
|
|
(4
|
)
|
|
|
(1,597,195
|
)
|
Purchases
|
|
|
—
|
|
|
|
120,663
|
|
|
|
—
|
|
|
|
1,514,114
|
|
|
|
—
|
|
|
|
9,832
|
|
|
|
—
|
|
|
|
—
|
|
|
|
1,644,609
|
|
Sales
|
|
|
(714,172
|
)
|
|
|
—
|
|
|
|
(194,000
|
)
|
|
|
(1,659,732
|
)
|
|
|
(413,382
|
)
|
|
|
(1,455
|
)
|
|
|
(452,430
|
)
|
|
|
—
|
|
|
|
(3,435,171
|
)
|
Transfers in
3
|
|
|
—
|
|
|
|
580,599
|
|
|
|
—
|
|
|
|
4,235,101
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
4,815,700
|
|
Transfers out
3
|
|
|
(953,319
|
)
|
|
|
(48,924
|
)
|
|
|
—
|
|
|
|
(12,183,656
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(292,011
|
)
|
|
|
(13,477,910
|
)
|
|
Balance, as of
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
February 29, 2012
|
|
$
|
9,941,978
|
|
|
$
|
3,031,532
|
|
|
$
|
1,727
|
|
|
$
|
29,863,408
|
|
|
$
|
2,432,436
|
|
|
$
|
1,371,513
|
|
|
|
—
|
|
|
$
|
2
|
|
|
$
|
46,642,596
|
|
2
|
|
Included
in the related net change in unrealized
appreciation/depreciation in the Statements
of Operations. The change in unrealized
appreciation/depreciation on investments
still held on February 29, 2012 was $(1,904,852).
|
3
|
|
The
Funds policy is to recognize transfers
in and transfers out as of the beginning
of the period of the event or the change
in circumstances that caused the transfer.
|
The following table is a reconciliation of
Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:
|
|
|
Credit
|
|
Contracts
|
|
Liabilities:
|
|
Balance, as of August 31,
2011
|
$
|
(3,846)
|
Accrued discounts/premiums
|
|
Net realized gain (loss)
|
|
Net change in unrealized appreciation/depreciation
4
|
1,316
|
Purchases
|
|
Issuances
5
|
|
Sales
|
|
Settlements
6
|
|
Transfers in
7
|
|
Transfers out
7
|
|
Balance,
as of February 29, 2012
|
$
|
(2,530)
|
4
|
|
Included
in the related net change in unrealized
appreciation/depreciation in the Statement
of Operations. The change in unrealized
appreciation/depreciation on derivative
financial instruments still held on February
29, 2012 was $1,316.
|
5
|
|
Issuances
represent upfront cash received on certain
derivative financiaL instruments.
|
6
|
|
Settlements
represent periodic contractual cash flows
and/or cash flows to terminate certain
derivative financial instruments.
|
7
|
|
The
Funds policy is to recognize transfers
in and transfers out as of the beginning
of the period of the event or the change
in circumstances that caused thetransfer.
|
A
reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount
of Level 3 investments and derivatives at the beginning and/or end of the period in relation to net assets.
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
43
|
Statements of Assets and Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
February 29, 2012 (Unaudited)
|
BlackRock
Defined
Opportunity
Credit Trust
(BHL)
|
BlackRock
Diversified
Income
Strategies
Fund, Inc.
(DVF)
1
|
BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)
1
|
BlackRock
Limited
Duration
Income Trust
(BLW)
1
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments at value unaffiliated
2
|
$
|
160,404,755
|
|
$
|
171,554,843
|
|
$
|
350,269,669
|
|
$
|
865,328,167
|
|
Investments at value affiliated
3
|
|
2,243,014
|
|
|
1,820,693
|
|
|
3,253,818
|
|
|
166,291
|
|
Cash
|
|
|
|
|
50,310
|
|
|
8,173
|
|
|
|
|
Investments sold receivable
|
|
5,439,908
|
|
|
6,817,838
|
|
|
12,150,475
|
|
|
36,085,380
|
|
Principal paydown receivable
|
|
724,732
|
|
|
755,147
|
|
|
1,496,277
|
|
|
1,415,547
|
|
Interest receivable
|
|
295,266
|
|
|
421,713
|
|
|
894,417
|
|
|
7,812,056
|
|
Foreign currency at value
4
|
|
24,904
|
|
|
16,791
|
|
|
17,751
|
|
|
644,512
|
|
Cash pledged as collateral for financial futures contracts
|
|
|
|
|
|
|
|
|
|
|
132,500
|
|
Cash pledged as collateral for reverse repurchase agreements
|
|
|
|
|
|
|
|
|
|
|
300,000
|
|
Unrealized appreciation on swaps
|
|
|
|
|
|
|
|
|
|
|
125,306
|
|
Unrealized appreciation on foreign currency exchange contracts
|
|
6,894
|
|
|
7,053
|
|
|
11,875
|
|
|
28,085
|
|
Swaps receivable
|
|
|
|
|
|
|
|
|
|
|
24,800
|
|
Dividends receivable unaffiliated
|
|
|
|
|
|
|
|
|
|
|
6,735
|
|
Margin variation receivable
|
|
|
|
|
|
|
|
|
|
|
4,890
|
|
Prepaid expenses
|
|
|
|
|
8,227
|
|
|
6,103
|
|
|
45,982
|
|
Other assets
|
|
|
|
|
|
|
|
|
|
|
851,336
|
|
Total assets
|
|
169,139,473
|
|
|
181,452,615
|
|
|
368,108,558
|
|
|
912,971,587
|
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank overdraft
|
|
144,275
|
|
|
|
|
|
|
|
|
2,664,840
|
|
Reverse repurchase agreements
|
|
|
|
|
|
|
|
|
|
|
238,561,283
|
|
Loan payable
|
|
35,000,000
|
|
|
40,000,000
|
|
|
78,000,000
|
|
|
|
|
Investments purchased payable
|
|
7,831,719
|
|
|
8,633,751
|
|
|
16,590,429
|
|
|
35,489,322
|
|
Unrealized depreciation on foreign currency exchange contracts
|
|
211,088
|
|
|
179,668
|
|
|
325,415
|
|
|
1,962,413
|
|
Investment advisory fees payable
|
|
125,380
|
|
|
101,252
|
|
|
206,092
|
|
|
364,853
|
|
Income dividends payable
|
|
52,848
|
|
|
37,493
|
|
|
73,968
|
|
|
93,077
|
|
Interest expense payable
|
|
32,544
|
|
|
18,359
|
|
|
127,051
|
|
|
54,609
|
|
Officer's and Directors' fees payable
|
|
7,032
|
|
|
7,874
|
|
|
15,585
|
|
|
228,607
|
|
Deferred income
|
|
3,656
|
|
|
3,863
|
|
|
7,908
|
|
|
174,468
|
|
Swaps payable
|
|
|
|
|
|
|
|
|
|
|
142,393
|
|
Unrealized depreciation on swaps
|
|
|
|
|
|
|
|
|
|
|
8,049
|
|
Other accrued expenses payable
|
|
255,499
|
|
|
70,368
|
|
|
110,220
|
|
|
315,686
|
|
Total liabilities
|
|
43,664,041
|
|
|
49,052,628
|
|
|
95,456,668
|
|
|
280,059,600
|
|
Net Assets
|
$
|
125,475,432
|
|
$
|
132,399,987
|
|
$
|
272,651,890
|
|
$
|
632,911,987
|
|
|
Net Assets Consist of
|
|
|
|
|
|
|
|
|
|
|
|
|
Paid-in capital
5,6,7
|
$
|
128,073,078
|
|
$
|
229,202,981
|
|
$
|
349,984,847
|
|
$
|
701,959,183
|
|
Undistributed (distributions in excess of) net investment income
|
|
410,216
|
|
|
(533,657
|
)
|
|
104,370
|
|
|
2,778,947
|
|
Accumulated net realized loss
|
|
(3,731,481
|
)
|
|
(88,649,784
|
)
|
|
(73,186,170
|
)
|
|
(71,511,489
|
)
|
Net unrealized appreciation/depreciation
|
|
723,619
|
|
|
(7,619,553
|
)
|
|
(4,251,157
|
)
|
|
(314,654
|
)
|
Net Assets
|
$
|
125,475,432
|
|
$
|
132,399,987
|
|
$
|
272,651,890
|
|
$
|
632,911,987
|
|
Net asset value, offering and redemption price per share
|
$
|
13.90
|
|
$
|
10.68
|
|
$
|
14.76
|
|
$
|
17.14
|
|
1
Consolidated Statement of Assets and Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
2
Investments at cost unaffiliated
|
$
|
159,479,952
|
|
$
|
179,013,961
|
|
$
|
354,213,500
|
|
$
|
864,638,322
|
|
3
Investments at cost affiliated
|
$
|
2,243,014
|
|
$
|
1,820,693
|
|
$
|
3,253,818
|
|
$
|
166,291
|
|
4
Foreign currency at cost
|
$
|
24,523
|
|
$
|
16,557
|
|
$
|
17,503
|
|
$
|
638,919
|
|
5
Par value per share
|
$
|
0.001
|
|
$
|
0.10
|
|
$
|
0.10
|
|
$
|
0.001
|
|
6
Shares outstanding
|
|
9,027,106
|
|
|
12,401,086
|
|
|
18,467,299
|
|
|
36,923,585
|
|
7
Shares authorized
|
|
unlimited
|
|
|
200 million
|
|
|
200 million
|
|
|
unlimited
|
|
See Notes to Financial Statements.
44
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Statements of Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended February 29, 2012 (Unaudited)
|
BlackRock
Defined
Opportunity
Credit Trust
(BHL)
|
BlackRock
Diversified
Income
Strategies
Fund, Inc.
(DVF)
1
|
BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)
1
|
BlackRock
Limited
Duration
Income Trust
(BLW)
1
|
Investment Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest
|
$
|
4,864,969
|
|
$
|
5,153,487
|
|
$
|
10,864,074
|
|
$
|
26,678,155
|
|
Dividends unaffiliated
|
|
12,386
|
|
|
14,917
|
|
|
28,114
|
|
|
241,742
|
|
Dividends affiliated
|
|
278
|
|
|
221
|
|
|
469
|
|
|
10,478
|
|
Total income
|
|
4,877,633
|
|
|
5,168,625
|
|
|
10,892,657
|
|
|
26,930,375
|
|
|
Expenses
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment advisory
|
|
790,058
|
|
|
634,558
|
|
|
1,297,340
|
|
|
2,289,406
|
|
Professional
|
|
79,446
|
|
|
80,847
|
|
|
96,667
|
|
|
131,705
|
|
Borrowing costs
2
|
|
63,510
|
|
|
49,680
|
|
|
146,259
|
|
|
|
|
Custodian
|
|
32,728
|
|
|
29,319
|
|
|
51,069
|
|
|
71,189
|
|
Accounting services
|
|
19,949
|
|
|
19,174
|
|
|
31,216
|
|
|
54,733
|
|
Transfer agent
|
|
13,472
|
|
|
13,155
|
|
|
23,804
|
|
|
10,070
|
|
Printing
|
|
10,119
|
|
|
12,438
|
|
|
25,674
|
|
|
83,929
|
|
Officer and Directors
|
|
6,770
|
|
|
6,217
|
|
|
14,656
|
|
|
33,212
|
|
Registration
|
|
4,561
|
|
|
3,919
|
|
|
4,628
|
|
|
5,790
|
|
Miscellaneous
|
|
10,384
|
|
|
11,733
|
|
|
19,318
|
|
|
32,439
|
|
Total expenses excluding interest expense
|
|
1,030,997
|
|
|
861,040
|
|
|
1,710,631
|
|
|
2,712,473
|
|
Interest expense
|
|
178,138
|
|
|
198,711
|
|
|
398,776
|
|
|
440,737
|
|
Total expenses
|
|
1,209,135
|
|
|
1,059,751
|
|
|
2,109,407
|
|
|
3,153,210
|
|
Less fees waived by advisor
|
|
(185
|
)
|
|
(125
|
)
|
|
(310
|
)
|
|
(1,424
|
)
|
Total expenses after fees waived
|
|
1,208,950
|
|
|
1,059,626
|
|
|
2,109,097
|
|
|
3,151,786
|
|
Net investment income
|
|
3,668,683
|
|
|
4,108,999
|
|
|
8,783,560
|
|
|
23,778,589
|
|
|
Realized and Unrealized Gain (Loss)
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized gain (loss) from:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
(491,634
|
)
|
|
(2,825,595
|
)
|
|
(5,714,967
|
)
|
|
(4,910,506
|
)
|
Financial futures contracts
|
|
|
|
|
|
|
|
|
|
|
1,150
|
|
Foreign currency transactions
|
|
602,568
|
|
|
526,348
|
|
|
865,796
|
|
|
2,988,127
|
|
Options written
|
|
|
|
|
|
|
|
|
|
|
276,020
|
|
Swaps
|
|
|
|
|
|
|
|
|
|
|
(236,726
|
)
|
|
|
110,934
|
|
|
(2,299,247
|
)
|
|
(4,849,171
|
)
|
|
(1,881,935
|
)
|
Net change in unrealized appreciation/depreciation on:
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments
|
|
6,509,886
|
|
|
8,744,746
3
|
|
|
18,217,669
|
|
|
27,398,647
|
|
Financial futures contracts
|
|
|
|
|
|
|
|
|
|
|
(39,630
|
)
|
Foreign currency transactions
|
|
(174,935
|
)
|
|
(153,550
|
)
|
|
(250,232
|
)
|
|
(1,348,200
|
)
|
Options written
|
|
|
|
|
|
|
|
|
|
|
363,558
|
|
Swaps
|
|
|
|
|
|
|
|
|
|
|
37,276
|
|
Unfunded loan commitments
|
|
38,703
|
|
|
45,062
|
|
|
77,372
|
|
|
111,558
|
|
|
|
6,373,654
|
|
|
8,636,258
|
|
|
18,044,809
|
|
|
26,523,209
|
|
Total realized and unrealized gain
|
|
6,484,588
|
|
|
6,337,011
|
|
|
13,195,638
|
|
|
24,641,274
|
|
Net Increase in Net Assets Resulting from Operations
|
$
|
10,153,271
|
|
$
|
10,446,010
|
|
$
|
21,979,198
|
|
$
|
48,419,863
|
|
1
|
|
Consolidated Statement of Operations.
|
2
|
|
See Note 6 of the Notes to Financial Statements for details of short-term borrowings.
|
3
|
|
Net of income tax of $19,690.
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
45
|
Statements of Changes in Net Assets
|
BlackRock Defined
Opportunity Credit Trust (BHL)
|
|
BlackRock Diversified
Income Strategies Fund, Inc. (DVF)
|
Increase (Decrease) in Net Assets:
|
Six Months
Ended
February 29,
2012
(Unaudited)
|
Year Ended
August 31,
2011
|
|
Six Months
Ended
February 29,
2012
(Unaudited)
1
|
Year Ended
August 31,
2011
|
Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
$
|
3,668,683
|
|
$
|
7,713,890
|
|
|
$
|
4,108,999
|
|
$
|
9,340,837
|
|
Net realized gain (loss)
|
|
110,934
|
|
|
2,153,352
|
|
|
|
(2,299,247
|
)
|
|
(3,171,498
|
)
|
Net change in unrealized appreciation/depreciation
|
|
6,373,654
|
|
|
(6,154,792
|
)
|
|
|
8,636,258
|
|
|
(458,676
|
)
|
Net increase in net assets resulting from operations
|
|
10,153,271
|
|
|
3,712,450
|
|
|
|
10,446,010
|
|
|
5,710,663
|
|
|
Dividends and Distributions to Shareholders From
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(3,574,734
|
)
|
|
(7,140,522
|
)
|
|
|
(4,352,781
|
)
|
|
(8,509,258
|
)
|
Tax return of capital
|
|
|
|
|
|
|
|
|
|
|
|
(739,496
|
)
|
Decrease in net assets resulting from dividends and distributions to shareholders
|
|
(3,574,734
|
)
|
|
(7,140,522
|
)
|
|
|
(4,352,781
|
)
|
|
(9,248,754
|
)
|
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reinvestment of dividends
|
|
|
|
|
263,352
|
|
|
|
|
|
|
460,151
|
|
|
Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets
|
|
6,578,537
|
|
|
(3,164,720
|
)
|
|
|
6,093,229
|
|
|
(3,077,940
|
)
|
Beginning of period
|
|
118,896,895
|
|
|
122,061,615
|
|
|
|
126,306,758
|
|
|
129,384,698
|
|
End of period
|
$
|
125,475,432
|
|
$
|
118,896,895
|
|
|
$
|
132,399,987
|
|
$
|
126,306,758
|
|
Undistributed (distributions in excess of) net investment income
|
$
|
410,216
|
|
$
|
316,267
|
|
|
$
|
(533,657
|
)
|
$
|
(252,833
|
)
|
1
|
|
Consolidated Statement of Changes in Net Assets.
|
See Notes to Financial Statements.
46
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BlackRock Floating Rate
Income Strategies Fund, Inc. (FRA)
|
|
BlackRock Limited Duration
Income Trust (BLW)
|
Increase (Decrease) in Net Assets:
|
Six Months
Ended
February 29,
2012
(Unaudited)
1
|
Year Ended
August 31,
2011
|
|
Six Months
Ended
February 29,
2012
(Unaudited)
1
|
Year Ended
August 31,
2011
|
Operations
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
$
|
8,783,560
|
|
$
|
17,704,917
|
|
|
$
|
23,778,589
|
|
$
|
49,530,733
|
|
Net realized gain (loss)
|
|
(4,849,171
|
)
|
|
2,197,485
|
|
|
|
(1,881,935
|
)
|
|
3,272,761
|
|
Net change in unrealized appreciation/depreciation
|
|
18,044,809
|
|
|
(8,915,990
|
)
|
|
|
26,523,209
|
|
|
(17,061,349
|
)
|
Net increase in net assets resulting from operations
|
|
21,979,198
|
|
|
10,986,412
|
|
|
|
48,419,863
|
|
|
35,742,145
|
|
|
Dividends and Distributions to Shareholders From
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(8,531,892
|
)
|
|
(15,965,641
|
)
|
|
|
(25,383,514
|
)
|
|
(45,830,635
|
)
|
Tax return of capital
|
|
|
|
|
(1,072,049
|
)
|
|
|
|
|
|
|
|
Decrease in net assets resulting from dividends and distributions to shareholders
|
|
(8,531,892
|
)
|
|
(17,037,690
|
)
|
|
|
(25,383,514
|
)
|
|
(45,830,635
|
)
|
|
Capital Share Transactions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reinvestment of dividends
|
|
|
|
|
876,684
|
|
|
|
57,977
|
|
|
524,981
|
|
|
Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total increase (decrease) in net assets
|
|
13,447,306
|
|
|
(5,174,594
|
)
|
|
|
23,094,326
|
|
|
(9,563,509
|
)
|
Beginning of period
|
|
259,204,584
|
|
|
264,379,178
|
|
|
|
609,817,661
|
|
|
619,381,170
|
|
End of period
|
$
|
272,651,890
|
|
$
|
259,204,584
|
|
|
$
|
632,911,987
|
|
$
|
609,817,661
|
|
Undistributed (distributions in excess of) net investment income
|
$
|
104,370
|
|
$
|
(138,319
|
)
|
|
$
|
2,778,947
|
|
$
|
4,392,851
|
|
1
|
|
Consolidated Statement of Changes in Net Assets.
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
47
|
Statements of Cash Flows
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended February 29, 2012 (Unaudited)
|
BlackRock
Defined
Opportunity
Credit Trust
(BHL)
|
BlackRock
Diversified
Income
Strategies
Fund, Inc.
(DVF)
1
|
BlackRock
Floating Rate
Income
Strategies
Fund, Inc.
(FRA)
1
|
BlackRock
Limited
Duration
Income
Trust
(BLW)
1
|
Cash Provided by Operating Activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets resulting from operations
|
$
|
10,153,271
|
|
$
|
10,446,010
|
|
$
|
21,979,198
|
|
$
|
48,419,863
|
|
Adjustments to reconcile net increase in net assets resulting from
|
|
|
|
|
|
|
|
|
|
|
|
|
operations to net cash provided by operating activities:
|
|
|
|
|
|
|
|
|
|
|
|
|
(Increase) decrease in interest receivable
|
|
69,713
|
|
|
201,548
|
|
|
170,253
|
|
|
(225,992
|
)
|
Increase in swap receivable
|
|
|
|
|
|
|
|
|
|
|
(15,269
|
)
|
Decrease in dividends receivable affiliated
|
|
|
|
|
|
|
|
|
|
|
623
|
|
Increase in dividends receivable unaffiliated
|
|
|
|
|
|
|
|
|
|
|
(735
|
)
|
Increase in margin variation receivable
|
|
|
|
|
|
|
|
|
|
|
(2,665
|
)
|
Increase in other assets
|
|
|
|
|
|
|
|
|
|
|
(81,748
|
)
|
(Increase) decrease in prepaid expenses
|
|
17,953
|
|
|
13,067
|
|
|
36,494
|
|
|
(6,586
|
)
|
Decrease in investment advisory fees payable
|
|
(15,555
|
)
|
|
(12,835
|
)
|
|
(22,526
|
)
|
|
(28,460
|
)
|
Decrease in interest expense payable
|
|
(18,420
|
)
|
|
(21,971
|
)
|
|
(33,639
|
)
|
|
(164,205
|
)
|
Increase (decrease) in deferred income
|
|
(3,798
|
)
|
|
(2,894
|
)
|
|
(7,684
|
)
|
|
174,468
|
|
Decrease in other accrued expenses payable
|
|
(60,025
|
)
|
|
(74,866
|
)
|
|
(169,812
|
)
|
|
(131,047
|
)
|
Increase in swaps payable
|
|
|
|
|
|
|
|
|
|
|
73,071
|
|
Increase in cash pledged as collateral for financial futures contracts
|
|
|
|
|
|
|
|
|
|
|
(54,000
|
)
|
Decrease in cash pledged as collateral for reverse repurchase agreements
|
|
|
|
|
|
|
|
|
|
|
1,695,000
|
|
Increase in Officer's and Directors' fees payable
|
|
6,580
|
|
|
7,451
|
|
|
14,586
|
|
|
54,921
|
|
Net periodic and termination payments on swaps
|
|
|
|
|
|
|
|
|
|
|
(236,726
|
)
|
Net realized and unrealized gain on investments
|
|
(5,882,020
|
)
|
|
(5,810,663
|
)
|
|
(12,329,842
|
)
|
|
(21,610,484
|
)
|
Amortization of premium and accretion of discount on investments
|
|
(643,798
|
)
|
|
(217,571
|
)
|
|
(825,130
|
)
|
|
(506,765
|
)
|
Paid-in-kind income
|
|
(43,877
|
)
|
|
(76,274
|
)
|
|
(170,952
|
)
|
|
(455,833
|
)
|
Proceeds from sales of long-term investments
|
|
41,399,227
|
|
|
45,422,805
|
|
|
86,239,323
|
|
|
204,813,393
|
|
Purchases of long-term investments
|
|
(33,665,514
|
)
|
|
(35,717,646
|
)
|
|
(73,099,379
|
)
|
|
(208,153,140
|
)
|
Net proceeds from sales (purchases) of short-term securities
|
|
(12,261
|
)
|
|
(1,820,693
|
)
|
|
2,142,849
|
|
|
5,063,487
|
|
Cash provided by operating activities
|
|
11,301,476
|
|
|
12,335,468
|
|
|
23,923,739
|
|
|
28,621,171
|
|
|
Cash Used for Financing Activities
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash receipts from borrowings
|
|
35,200,000
|
|
|
35,000,000
|
|
|
66,000,000
|
|
|
63,461,329
|
|
Cash payments on borrowings
|
|
(43,200,000
|
)
|
|
(42,000,000
|
)
|
|
(81,000,000
|
)
|
|
(69,020,008
|
)
|
Cash dividends paid
|
|
(3,577,251
|
)
|
|
(4,360,936
|
)
|
|
(8,562,093
|
)
|
|
(25,348,459
|
)
|
Increase (decrease) in bank overdraft
|
|
144,275
|
|
|
(1,044,731
|
)
|
|
(573,035
|
)
|
|
2,664,840
|
|
Cash used for financing activities
|
|
(11,432,976
|
)
|
|
(12,405,667
|
)
|
|
(24,135,128
|
)
|
|
(28,242,298
|
)
|
|
|
Cash Impact from Foreign Exchange Fluctuations
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash impact from foreign exchange fluctuations
|
|
813
|
|
|
618
|
|
|
147
|
|
|
5,688
|
|
|
Cash and Foreign Currency
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase (decrease) in cash and foreign currency
|
|
(130,687
|
)
|
|
(69,581
|
)
|
|
(211,242
|
)
|
|
384,561
|
|
Cash and foreign currency at beginning of period
|
|
155,591
|
|
|
136,682
|
|
|
237,166
|
|
|
259,951
|
|
Cash and foreign currency at end of period
|
$
|
24,904
|
|
$
|
67,101
|
|
$
|
25,924
|
|
$
|
644,512
|
|
|
Cash Flow Information
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash paid during the period for interest
|
$
|
196,558
|
|
$
|
220,682
|
|
$
|
432,415
|
|
$
|
604,942
|
|
|
Noncash Financing Activities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Capital shares issued in reinvestment of dividends
|
|
|
|
|
|
|
|
|
|
$
|
57,977
|
|
1
|
|
Consolidated Statement of Cash Flows.
|
A Statement of Cash Flows
is presented when a Fund has a significant amount of borrowing during the year, based on the average borrowing outstanding in
relation to average total assets.
See Notes to Financial Statements.
48
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Financial Highlights
|
BlackRock Defined Opportunity Credit Trust (BHL)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
Ended
February 29,
2012
(Unaudited)
|
Year Ended August 31,
|
Period
January 31,
2008
1
to August 31,
2008
|
|
2011
|
2010
|
2009
|
Per Share Operating Performance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
$
|
13.17
|
|
$
|
13.55
|
|
$
|
12.53
|
|
$
|
14.31
|
|
$
|
14.33
|
2
|
Net investment income
3
|
|
0.41
|
|
|
0.86
|
|
|
0.85
|
|
|
0.87
|
|
|
0.47
|
|
Net realized and unrealized gain (loss)
|
|
0.72
|
|
|
(0.45
|
)
|
|
0.87
|
|
|
(1.55
|
)
|
|
0.21
|
|
Net increase (decrease) from investment operations
|
|
1.13
|
|
|
0.41
|
|
|
1.72
|
|
|
(0.68
|
)
|
|
0.68
|
|
Dividends and distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.40
|
)
|
|
(0.79
|
)
|
|
(0.70
|
)
|
|
(1.09
|
)
|
|
(0.62
|
)
|
Tax return of capital
|
|
|
|
|
|
|
|
|
|
|
(0.01
|
)
|
|
(0.06
|
)
|
Total dividends and distributions
|
|
(0.40
|
)
|
|
(0.79
|
)
|
|
(0.70
|
)
|
|
(1.10
|
)
|
|
(0.68
|
)
|
Capital charges with respect to issuance of shares
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.02
|
)
|
Net asset value, end of period
|
$
|
13.90
|
|
$
|
13.17
|
|
$
|
13.55
|
|
$
|
12.53
|
|
$
|
14.31
|
|
Market price, end of period
|
$
|
13.45
|
|
$
|
12.65
|
|
$
|
12.86
|
|
$
|
11.03
|
|
$
|
12.66
|
|
|
Total Investment Return
4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
8.88
|
%
5
|
|
2.93
|
%
|
|
14.39
|
%
|
|
(2.16
|
)%
|
|
4.79
|
%
5
|
Based on market price
|
|
9.69
|
%
5
|
|
4.17
|
%
|
|
23.33
|
%
|
|
(2.65
|
)%
|
|
(11.44
|
)%
5
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
2.00
|
%
6
|
|
2.02
|
%
|
|
1.91
|
%
|
|
2.39
|
%
|
|
1.78
|
%
6
|
Total expenses after fees waived and paid indirectly
|
|
2.00
|
%
6
|
|
2.02
|
%
|
|
1.90
|
%
|
|
2.39
|
%
|
|
1.78
|
%
6
|
Total expenses after fees waived and paid indirectly and excluding interest expense
|
|
1.70
|
%
6
|
|
1.71
|
%
|
|
1.65
|
%
|
|
1.94
|
%
|
|
1.48
|
%
6
|
Net investment income
|
|
6.07
|
%
6
|
|
6.10
|
%
|
|
6.40
|
%
|
|
8.11
|
%
|
|
5.52
|
%
6
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000)
|
$
|
125,475
|
|
$
|
118,897
|
|
$
|
122,062
|
|
$
|
112,862
|
|
$
|
127,695
|
|
Borrowings outstanding, end of period (000)
|
$
|
35,000
|
|
$
|
43,000
|
|
$
|
24,000
|
|
$
|
27,000
|
|
$
|
38,500
|
|
Average borrowings outstanding during the period (000)
|
$
|
37,318
|
|
$
|
36,369
|
|
$
|
24,633
|
|
$
|
31,141
|
|
$
|
13,788
|
|
Portfolio turnover
|
|
21
|
%
|
|
91
|
%
|
|
102
|
%
|
|
41
|
%
|
|
18
|
%
|
Asset coverage, end of period per $1,000
|
$
|
4,585
|
|
$
|
3,765
|
|
$
|
6,086
|
|
$
|
5,180
|
|
$
|
4,317
|
|
1
|
|
Commencement of operations.
|
2
|
|
Net asset value, beginning of period, reflects a deduction of $0.675 per share sales
charge from initial offering price of $15.00 per share.
|
3
|
|
Based on average shares outstanding.
|
4
|
|
Total investment returns based on market value, which can be significantly greater
or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
5
|
|
Aggregate total investment return.
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
49
|
|
|
Financial Highlights
|
BlackRock Diversified Income Strategies Fund, Inc. (DVF)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
Ended
February 29,
2012
(Unaudited)
1
|
Year Ended August 31,
|
|
2011
|
2010
|
2009
|
2008
|
2007
|
Per Share Operating Performance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
$
|
10.19
|
|
$
|
10.47
|
|
$
|
8.74
|
|
$
|
13.94
|
|
$
|
17.50
|
|
$
|
18.70
|
|
Net investment income
2
|
|
0.33
|
|
|
0.75
|
|
|
0.80
|
|
|
1.06
|
|
|
1.61
|
|
|
1.83
|
|
Net realized and unrealized gain (loss)
|
|
0.51
|
|
|
(0.28
|
)
|
|
1.78
|
|
|
(4.88
|
)
|
|
(3.41
|
)
|
|
(1.23
|
)
|
Net increase (decrease) from investment operations
|
|
0.84
|
|
|
0.47
|
|
|
2.58
|
|
|
(3.82
|
)
|
|
(1.80
|
)
|
|
0.60
|
|
Dividends and distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.35
|
)
|
|
(0.69
|
)
|
|
(0.80
|
)
|
|
(1.14
|
)
|
|
(1.72
|
)
|
|
(1.80
|
)
|
Tax return of capital
|
|
|
|
|
(0.06
|
)
|
|
(0.05
|
)
|
|
(0.24
|
)
|
|
(0.04
|
)
|
|
|
|
Total dividends and distributions
|
|
(0.35
|
)
|
|
(0.75
|
)
|
|
(0.85
|
)
|
|
(1.38
|
)
|
|
(1.76
|
)
|
|
(1.80
|
)
|
Net asset value, end of period
|
$
|
10.68
|
|
$
|
10.19
|
|
$
|
10.47
|
|
$
|
8.74
|
|
$
|
13.94
|
|
$
|
17.50
|
|
Market price, end of period
|
$
|
10.12
|
|
$
|
9.84
|
|
$
|
10.45
|
|
$
|
8.80
|
|
$
|
12.77
|
|
$
|
17.16
|
|
|
Total Investment Return
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
8.73
|
%
4
|
|
4.30
|
%
|
|
30.27
|
%
|
|
(23.82
|
)%
|
|
(10.17
|
)%
|
|
3.00
|
%
|
Based on market price
|
|
6.70
|
%
4
|
|
0.91
|
%
|
|
29.13
|
%
|
|
(16.27
|
)%
|
|
(16.08
|
)%
|
|
0.19
|
%
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
1.66
|
%
5
|
|
1.74
|
%
|
|
1.53
|
%
|
|
2.47
|
%
|
|
2.77
|
%
|
|
3.66
|
%
|
Total expenses after fees waived and paid indirectly
|
|
1.66
|
%
5
|
|
1.74
|
%
|
|
1.53
|
%
|
|
2.47
|
%
|
|
2.77
|
%
|
|
3.66
|
%
|
Total expenses after fees waived and paid indirectly
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
and excluding interest expense
|
|
1.35
|
%
5
|
|
1.39
|
%
|
|
1.26
|
%
|
|
1.57
|
%
|
|
1.23
|
%
|
|
1.30
|
%
|
Net investment income
|
|
6.43
|
%
5
|
|
6.99
|
%
|
|
7.86
|
%
|
|
13.63
|
%
|
|
10.40
|
%
|
|
9.63
|
%
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000)
|
$
|
132,400
|
|
$
|
126,307
|
|
$
|
129,385
|
|
$
|
107,556
|
|
$
|
169,707
|
|
$
|
212,792
|
|
Borrowings outstanding, end of period (000)
|
$
|
40,000
|
|
$
|
47,000
|
|
$
|
29,000
|
|
$
|
18,000
|
|
$
|
65,500
|
|
$
|
72,000
|
|
Average borrowings outstanding during the period (000)
|
$
|
41,599
|
|
$
|
43,553
|
|
$
|
25,074
|
|
$
|
28,247
|
|
$
|
64,335
|
|
$
|
95,465
|
|
Portfolio turnover
|
|
21
|
%
|
|
93
|
%
|
|
105
|
%
|
|
45
|
%
|
|
41
|
%
|
|
72
|
%
|
Asset coverage, end of period per $1,000
|
$
|
4,310
|
|
$
|
3,687
|
|
$
|
5,462
|
|
$
|
6,975
|
|
$
|
3,591
|
|
$
|
3,955
|
|
1
|
|
Consolidated Financial Highlights.
|
2
|
|
Based on average shares outstanding.
|
3
|
|
Total investment returns based on market value, which can be significantly greater
or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
4
|
|
Aggregate total investment return.
|
See Notes to Financial Statements.
50
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
|
|
Financial Highlights
|
BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
Ended
February 29,
2012
(Unaudited)
1
|
Year Ended August 31,
|
|
2011
|
2010
|
2009
|
2008
|
2007
|
Per Share Operating Performance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
$
|
14.04
|
|
$
|
14.36
|
|
$
|
12.93
|
|
$
|
16.12
|
|
$
|
18.25
|
|
$
|
19.32
|
|
Net investment income
2
|
|
0.48
|
|
|
0.96
|
|
|
0.91
|
|
|
1.14
|
|
|
1.45
|
|
|
1.54
|
|
Net realized and unrealized gain (loss)
|
|
0.70
|
|
|
(0.36
|
)
|
|
1.48
|
|
|
(3.04
|
)
|
|
(2.03
|
)
|
|
(1.07
|
)
|
Net increase (decrease) from investment operations
|
|
1.18
|
|
|
0.60
|
|
|
2.39
|
|
|
(1.90
|
)
|
|
(0.58
|
)
|
|
0.47
|
|
Dividends and distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.46
|
)
|
|
(0.86
|
)
|
|
(0.94
|
)
|
|
(1.29
|
)
|
|
(1.55
|
)
|
|
(1.54
|
)
|
Tax return of capital
|
|
|
|
|
(0.06
|
)
|
|
(0.02
|
)
|
|
|
|
|
|
|
|
|
|
Total dividends and distributions
|
|
(0.46
|
)
|
|
(0.92
|
)
|
|
(0.96
|
)
|
|
(1.29
|
)
|
|
(1.55
|
)
|
|
(1.54
|
)
|
Net asset value, end of period
|
$
|
14.76
|
|
$
|
14.04
|
|
$
|
14.36
|
|
$
|
12.93
|
|
$
|
16.12
|
|
$
|
18.25
|
|
Market price, end of period
|
$
|
14.52
|
|
$
|
13.33
|
|
$
|
14.61
|
|
$
|
12.26
|
|
$
|
14.49
|
|
$
|
16.70
|
|
|
Total Investment Return
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
8.76
|
%
4
|
|
4.04
|
%
|
|
18.91
|
%
|
|
(8.88
|
)%
|
|
(2.56
|
)%
|
|
2.74
|
%
|
Based on market price
|
|
12.69
|
%
4
|
|
(2.91
|
)%
|
|
27.59
|
%
|
|
(3.88
|
)%
|
|
(4.28
|
)%
|
|
3.85
|
%
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
1.60
|
%
5
|
|
1.60
|
%
|
|
1.45
|
%
|
|
1.96
|
%
|
|
2.61
|
%
|
|
3.33
|
%
|
Total expenses after fees waived and paid indirectly
|
|
1.60
|
%
5
|
|
1.60
|
%
|
|
1.45
|
%
|
|
1.96
|
%
|
|
2.60
|
%
|
|
3.33
|
%
|
Total expenses after fees waived and paid indirectly and excluding
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
interest expense
|
|
1.30
|
%
5
|
|
1.30
|
%
|
|
1.22
|
%
|
|
1.31
|
%
|
|
1.18
|
%
|
|
1.20
|
%
|
Net investment income
|
|
6.68
|
%
5
|
|
6.44
|
%
|
|
6.43
|
%
|
|
10.18
|
%
|
|
8.49
|
%
|
|
7.88
|
%
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000)
|
$
|
272,652
|
|
$
|
259,205
|
|
$
|
264,379
|
|
$
|
237,160
|
|
$
|
295,005
|
|
$
|
334,065
|
|
Borrowings outstanding, end of period (000)
|
$
|
78,000
|
|
$
|
93,000
|
|
$
|
53,000
|
|
$
|
38,000
|
|
$
|
101,500
|
|
$
|
107,000
|
|
Average borrowings outstanding during the period (000)
|
$
|
83,484
|
|
$
|
79,195
|
|
$
|
48,258
|
|
$
|
50,591
|
|
$
|
102,272
|
|
$
|
133,763
|
|
Portfolio turnover
|
|
21
|
%
|
|
91
|
%
|
|
96
|
%
|
|
58
|
%
|
|
49
|
%
|
|
69
|
%
|
Asset coverage, end of period per $1,000
|
$
|
4,496
|
|
$
|
3,787
|
|
$
|
5,988
|
|
$
|
7,241
|
|
$
|
3,906
|
|
$
|
4,122
|
|
1
|
|
Consolidated Financial Highlights.
|
2
|
|
Based on average shares outstanding.
|
3
|
|
Total investment returns based on market value, which can be significantly greater
or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
4
|
|
Aggregate total investment return.
|
See Notes to Financial Statements.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
51
|
|
|
Financial Highlights
|
BlackRock Limited Duration Income Trust (BLW)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months
Ended
February 29,
2012
(Unaudited)
1
|
Year Ended August 31,
|
Period
November 1,
2007
to
August 31,
2008
|
Year Ended October 31,
|
|
2011
|
2010
|
2009
|
2007
|
2006
|
Per Share Operating Performance
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value, beginning of period
|
$
|
16.52
|
|
$
|
16.79
|
|
$
|
14.95
|
|
$
|
16.71
|
|
$
|
18.52
|
|
$
|
19.01
|
|
$
|
19.17
|
|
Net investment income
|
|
0.64
|
2
|
|
1.34
|
2
|
|
1.12
|
2
|
|
1.01
|
2
|
|
1.14
|
2
|
|
1.50
|
|
|
1.35
|
|
Net realized and unrealized gain (loss)
|
|
0.67
|
|
|
(0.37
|
)
|
|
1.62
|
|
|
(1.61
|
)
|
|
(1.76
|
)
|
|
(0.49
|
)
|
|
0.03
|
|
Net increase (decrease) from investment operations
|
|
1.31
|
|
|
0.97
|
|
|
2.74
|
|
|
(0.60
|
)
|
|
(0.62
|
)
|
|
1.01
|
|
|
1.38
|
|
Dividends and distributions from:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
(0.69
|
)
|
|
(1.24
|
)
|
|
(0.90
|
)
|
|
(1.16
|
)
|
|
(1.19
|
)
|
|
(1.41
|
)
|
|
(1.52
|
)
|
Net realized gain
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.06
|
)
|
|
|
|
Tax return of capital
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.03
|
)
|
|
(0.02
|
)
|
Total dividends and distributions
|
|
(0.69
|
)
|
|
(1.24
|
)
|
|
(0.90
|
)
|
|
(1.16
|
)
|
|
(1.19
|
)
|
|
(1.50
|
)
|
|
(1.54
|
)
|
Net asset value, end of period
|
$
|
17.14
|
|
$
|
16.52
|
|
$
|
16.79
|
|
$
|
14.95
|
|
$
|
16.71
|
|
$
|
18.52
|
|
$
|
19.01
|
|
Market price, end of period
|
$
|
16.96
|
|
$
|
16.01
|
|
$
|
16.76
|
|
$
|
14.09
|
|
$
|
14.57
|
|
$
|
16.68
|
|
$
|
18.85
|
|
|
Total Investment Return
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Based on net asset value
|
|
8.20
|
%
4
|
|
5.85
|
%
|
|
19.00
|
%
|
|
(1.57
|
)%
|
|
(2.60
|
)%
4
|
|
5.66
|
%
|
|
7.85
|
%
|
Based on market price
|
|
10.48
|
%
4
|
|
2.77
|
%
|
|
26.04
|
%
|
|
6.40
|
%
|
|
(5.70
|
)%
4
|
|
(4.03
|
)%
|
|
17.31
|
%
|
|
Ratios to Average Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total expenses
|
|
1.04
|
%
5
|
|
1.01
|
%
|
|
0.82
|
%
|
|
0.72
|
%
|
|
1.39
|
%
5
|
|
2.16
|
%
|
|
2.20
|
%
|
Total expenses after fees waived and before
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
fees paid indirectly
|
|
1.04
|
%
5
|
|
1.00
|
%
|
|
0.81
|
%
|
|
0.71
|
%
|
|
1.39
|
%
5
|
|
2.16
|
%
|
|
2.20
|
%
|
Total expenses after fees waived and paid indirectly
|
|
1.04
|
%
5
|
|
1.00
|
%
|
|
0.81
|
%
|
|
0.71
|
%
|
|
1.38
|
%
5
|
|
2.14
|
%
|
|
2.19
|
%
|
Total expenses after fees waived and paid indirectly and
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
excluding interest expense
|
|
0.89
|
%
5
|
|
0.87
|
%
|
|
0.73
|
%
|
|
0.69
|
%
|
|
0.76
|
%
5
|
|
0.83
|
%
|
|
0.91
|
%
|
Net investment income
|
|
7.83
|
%
5
|
|
7.75
|
%
|
|
6.90
|
%
|
|
7.42
|
%
|
|
7.84
|
%
5
|
|
7.92
|
%
|
|
7.10
|
%
|
|
Supplemental Data
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets, end of period (000)
|
$
|
632,912
|
|
$
|
609,818
|
|
$
|
619,381
|
|
$
|
551,505
|
|
$
|
616,393
|
|
$
|
638,109
|
|
$
|
699,206
|
|
Borrowings outstanding, end of period (000)
|
$
|
238,561
|
|
$
|
244,120
|
|
$
|
123,233
|
|
|
|
|
$
|
64,538
|
|
$
|
109,287
|
|
$
|
220,000
|
|
Average borrowings outstanding during the period (000)
|
$
|
226,649
|
|
$
|
191,303
|
|
$
|
44,160
|
|
$
|
11,705
|
|
$
|
120,295
|
|
$
|
172,040
|
|
$
|
179,366
|
|
Portfolio turnover
|
|
23
|
%
|
|
106
|
%
6
|
|
248
|
%
7
|
|
287
|
%
8
|
|
191
|
%
9
|
|
65
|
%
|
|
132
|
%
|
Asset coverage, end of period per $1,000
|
$
|
3,653
|
|
$
|
3,498
|
|
$
|
6,026
|
|
|
|
|
$
|
10,551
|
|
$
|
7,251
|
|
$
|
4,178
|
|
1
|
|
Consolidated Financial Highlights.
|
2
|
|
Based on average shares outstanding.
|
3
|
|
Total investment returns based on market value, which can be significantly greater
or lesser than the net asset value, may result in substantially different returns. Where applicable, total investment returns
exclude the effects of any sales charges and include the reinvestment of dividends and distributions.
|
4
|
|
Aggregate total investment return.
|
6
|
|
Includes mortgage dollar roll and to-be-announced (TBA) transactions.
Excluding these transactions the portfolio turnover rate would have been 87%.
|
7
|
|
Includes mortgage dollar roll transactions. Excluding these transactions the portfolio
turnover rate would have been 113%.
|
8
|
|
Includes mortgage dollar roll transactions. Excluding these transactions the portfolio
turnover rate would have been 79%.
|
9
|
|
Includes TBA transactions. Excluding these transactions, the portfolio turnover rate
would have been 24%.
|
See Notes to Financial Statements.
52
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Notes to Financial Statements
(Unaudited)
1. Organization and Significant Accounting Policies:
BlackRock Defined Opportunity Credit Trust (BHL), BlackRock Diversified Income Strategies Fund, Inc. (DVF), BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) and BlackRock Limited Duration Income Trust (BLW) (collectively, the Funds or individually as a Fund) are registered under the 1940 Act, as diversified, closed-end management investment companies. BHL and BLW are organized as Delaware Statutory trusts. DVF and FRA are organized as Maryland corporations. The Funds financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP), which may require management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Boards of Directors and the 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.
The following is a summary of significant accounting policies followed by the Funds:
Basis of Consolidation:
The accompanying consolidated financial statements include the accounts of DVF JGW SPV, LLC, DVF (S-MARTIN) SPV, LLC, FRA JGW SPV, LLC and BLW JGW SPV, LLC (the Taxable Subsidiaries), all of which are wholly owned taxable subsidiaries of each Fund. The Taxable Subsidiaries enable the Funds to hold investments that are organized as an operating partnership and still satisfy Regulated Investment Company (RIC) tax requirements. Income earned and gains realized on the investments held by the Taxable Subsidiaries is taxable to such subsidiaries. An income tax provision for all income, including realized and unrealized gains, if any, is reflected as either a reduction in investment income or as component of realized and unrealized gain (loss) on the Consolidated Statements of Operations. The Funds may invest up to 25% of their total assets in the Taxable Subsidiary. Intercompany accounts and transactions have been eliminated. The Taxable Subsidiary is subject to the same investment policies and restrictions that apply to the Funds.
Valuation:
US 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 fair value their financial instruments at market value using independent dealers or pricing services under policies approved by the Board. The Funds value their bond investments 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. 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. Investments in open-end registered investment companies are valued at NAV each business day. Short-term securities with remaining maturities of 60 days or less may be valued at amortized cost, which approximates fair value.
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.
Equity investments traded on a recognized securities exchange or the NAS-DAQ Global Market System (NASDAQ) are valued at the last reported sale price that day or the NASDAQ official closing price, if applicable. For equity investments traded on more than one exchange, the last reported sale 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. If no bid or ask price is available, the prior days price will be used, unless it is determined that such prior days price no longer reflects the fair value of the security.
Securities and other assets and liabilities denominated in foreign currencies are translated into US dollars using exchange rates determined as of the close of business on the NYSE. 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 days price will be used, unless it is determined that the prior days price no longer reflects the fair value of the option. Over-the-counter (OTC) options and 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.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
53
|
Notes to Financial Statements (continued)
In the event that application of these methods of valuation results in a price for an investment which 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 in accordance with a policy approved by the Board as reflecting fair value (Fair Value Assets). When determining the price for Fair Value Assets, the investment advisor and/or the sub-advisor seeks to determine the price that each Fund might reasonably expect to receive from the current sale of that asset in an arms-length transaction. Fair value determinations shall be based upon all available factors that the investment advisor and/or sub-advisor deems relevant. The pricing of all Fair Value Assets is subsequently reported to the Board or a committee thereof.
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 each Funds net assets. If events (for example, 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 Assets and be valued at their fair value, as determined in good faith by the investment advisor using a pricing service and/or policies approved by the Board.
Foreign Currency Transactions:
The Funds books and records are maintained in US 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 US dollar rises in value against a foreign currency, the Funds investments denominated in that currency will lose value because its currency is worth fewer US dollars; the opposite effect occurs if the US 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 on the Statement 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 treated as ordinary income for federal income tax purposes.
Asset-Backed and Mortgage-Backed Securities:
Certain Funds may invest in asset-backed securities. Asset-backed securities are generally issued as pass-through certificates, which represent undivided fractional ownership interests in an underlying pool of assets, or as debt instruments, which are also known as collateralized obligations, and are generally issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security subject to such a prepayment feature will have the effect of shortening the maturity of the security. If a Fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
Certain Funds may purchase certain mortgage pass-through securities. There are a number of important differences among the agencies and instrumentalities of the US 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 Treasury.
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 a bankruptcy remote entity which 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.
Zero-Coupon Bonds:
The 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.
Preferred Stock:
Certain Funds may invest in preferred stocks. Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well) but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with
54
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Notes to Financial Statements (continued)
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 issuers board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.
Floating Rate Loan Interests:
Certain Funds may invest in floating rate loan interests. The floating rate loan interests the Funds hold are typically issued to companies (the borrower) by banks, other financial institutions, and privately and publicly offered corporations (the lender). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged. The Funds may invest in obligations of borrowers who are in bankruptcy proceedings. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as LIBOR (London Interbank Offered Rate), the prime rate offered by one or more US 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 their investment policies.
When a Fund purchases a floating rate loan interest it may receive a facility fee and when it
sells a floating rate loan interest it may pay a facility fee. On an ongoing basis, 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 borrowers option. The Funds may invest in such loans in the form of participations in loans (Participations) or assignments (Assignments) of all or a portion of loans from third parties. Participations typically will result in the Funds having a contractual relationship only with the lender, not with the borrower. The Funds will have the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, the Funds generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower, and the Funds may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. 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 general creditors 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.
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.
TBA Commitments:
Certain Funds may enter into TBA commitments. TBA commitments are forward agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. The Funds generally enter into TBA commitments with the intent to take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date.
Mortgage Dollar Roll Transactions:
Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, the Funds will not be entitled to receive interest and principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realizes gains and losses on these transactions. These transactions may increase the Funds portfolio turnover rate. Mortgage dollar rolls involve the risk that the market value of the securities that the Funds are required to purchase may decline below the agreed upon repurchase price of those securities.
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
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
55
|
Notes to Financial Statements (continued)
broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. 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 that the Funds are obligated to repurchase under the agreement may decline below the repurchase price. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Funds use of the proceeds of the agreement may be restricted while the other party, or its trustee or receiver, determines whether or not to enforce the Funds obligation to repurchase the securities.
Segregation and Collateralization:
In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (SEC) require that the Funds either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, TBA sale commitments, financial futures contracts, foreign currency exchange contracts and swaps), or certain borrowings (e.g., reverse repurchase agreements and loan payable), the Funds will, consistent with SEC rules and/or certain interpretive letters issued by the SEC, segregate collateral or designate on their books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party to such transactions has requirements to deliver/deposit securities as collateral for certain investments.
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 dates. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Funds are informed of the ex-dividend date. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. Consent fees are compensation for agreeing to changes in the terms of debt instruments and are included in interest income in the Statements of Operations.
Dividends and Distributions:
Dividends from net investment income are declared and paid monthly. Distributions of capital gains are recorded on the ex-dividend dates. If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital. The amount and timing of dividends and distributions are determined in accordance with federal income tax regulations, which may differ from US GAAP.
Income Taxes:
It is each Funds policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and to distribute substantially all of its taxable income to its shareholders. Therefore, no federal income tax provision is required.
Each Fund files US federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Funds US federal tax returns remains open for each of the three years ended August 31, 2011 and the period ended August 31, 2008 for BHL and BLW and the four years ended August 31, 2011 for DVF and FRA. The statutes of limitations on the Funds state and local tax returns may remain open for an additional year depending upon the jurisdiction. Management does not believe there are any uncertain tax positions that require recognition of a tax liability.
Recent Accounting Standards:
In May 2011, the Financial Accounting Standards Board (the FASB) issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds financial statement disclosures.
In December 2011, the FASB issued guidance that will expand current disclosure requirements on the offsetting of certain assets and liabilities. The new disclosures will be required for investments and derivative financial instruments subject to master netting or similar agreements which are eligible for offset in the Statements of Assets and Liabilities and will require an entity to disclose both gross and net information about such investments and transactions in the financial statements. The guidance is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds financial statement disclosures.
Deferred Compensation and BlackRock Closed-End Share Equivalent Investment Plan:
Under the deferred compensation plan approved by each Funds Board, 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 approximately 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.
56
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Notes to Financial Statements (continued)
The deferred compensation plan is not funded and obligations there-under represent general unsecured claims against the general assets of each Fund. Each Fund may, however, elect to invest in common shares of certain other BlackRock Closed-End Funds selected by the Independent Directors in order to match its deferred compensation obligations. Investments to cover each Funds deferred compensation liability, if any, are included in other assets in the Statements of Assets and Liabilities. Dividends and distributions from the BlackRock Closed-End Fund investments under the plan are included in dividends affiliated in the Statements of Operations.
Other:
Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds are pro rated 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.
2. Derivative Financial Instruments:
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and to economically hedge, or protect, their exposure to certain risks such as credit risk, equity risk, interest rate risk and foreign currency exchange rate risk. These contracts may be transacted on an exchange or OTC.
Losses may arise if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument or if the counterparty does not perform under the contract. The Funds maximum risk of loss from counterparty credit risk on OTC derivatives is generally the aggregate unrealized gain netted against any collateral pledged by/posted to the counterparty. For OTC options purchased, the Funds bear the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral received on the options should the counter-party fail to perform under the contracts. Options written by the Funds do not give rise to counterparty credit risk, as options written obligate the Funds to perform and not the counterparty. Counterparty risk related to exchange-traded financial futures contracts and options is deemed to be minimal due to the protection against defaults provided by the exchange on which these contracts trade.
The Funds may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. master agreement (ISDA Master Agreement) implemented between a Fund and each of its respective counterparties. An ISDA Master Agreement allows each Fund to offset with each separate counterparty certain derivative financial instruments payables and/or receivables with collateral held. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $500,000. To the extent amounts due to the Funds from their counterparties are not fully collateralized contractually or otherwise, the Funds bear the risk of loss from counterparty non-performance. See Note 1 Segregation and Collateralization for information with respect to collateral practices. In addition, the Funds manage counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event the Funds net assets decline by a stated percentage or the Funds fail to meet the terms of their ISDA Master Agreements, which would cause the Funds to accelerate payment of any net liability owed to the counterparty.
Financial Futures Contracts:
The Funds purchase or sell financial futures contracts and options on financial futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk). Financial futures contracts are agreements between the Funds and the 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, 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. 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 margin variation and are recorded by the Funds as unrealized appreciation or depreciation. 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 rates and the underlying assets.
Foreign Currency Exchange Contracts:
The Funds enter into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A 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. Foreign currency exchange contracts, when used by the Funds, help to manage the overall exposure to the currencies, in which some of the investments held by the Funds are denominated. 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 foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Options:
The Funds purchase and write call and put options to increase or decrease their exposure to underlying instruments (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
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
57
|
Notes to Financial Statements (continued)
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 holds 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 swap option 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.
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 at a price different from the current market value.
Swaps:
The Funds enter into swap agreements, in which the Funds and a counterparty agree to either make periodic net payments on a specified notional amount or net payment upon termination. These payments received or made by the Funds are recorded in the Statements of Operations as realized gains or losses, respectively. Any upfront fees paid are recorded as assets and any upfront fees received are recorded as liabilities and amortized over the term of the swap. Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation). When the 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 contracts is the premium received or paid. 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 its 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 enter into credit default swap agreements to provide a measure of protection against the default of an issuer (as buyer
of protection) and/or gain credit exposure to an issuer to which it is not otherwise exposed (as seller of protection). 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 buyer pays fixed
periodic payments to the seller in consideration for a guarantee from the 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
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.
|
Derivative Financial Instruments Categorized by Risk Exposure:
Fair Values of Derivative Financial Instruments as of February 29, 2012
Asset Derivatives
|
|
BHL
|
DVF
|
FRA
|
BLW
|
|
Statements of Assets
and Liabilities Location
|
Value
|
Interest rate contracts
|
Net unrealized appreciation/
|
|
|
|
|
|
|
|
|
|
depreciation
1
; Investments at
|
|
|
|
|
|
|
|
|
|
value unaffiliated
|
|
|
|
|
|
|
$
|
169,010
|
Foreign currency exchange contracts
|
Unrealized appreciation on foreign
|
|
|
|
|
|
|
|
|
|
currency exchange contracts
|
$
|
6,894
|
$
|
7,053
|
$
|
11,875
|
|
28,085
|
Credit contracts
|
Unrealized appreciation on swaps;
|
|
|
|
|
|
|
|
|
|
Investments at value unaffiliated
|
|
|
|
|
|
|
|
125,306
|
Total
|
|
$
|
6,894
|
$
|
7,053
|
$
|
11,875
|
$
|
322,401
|
58
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Notes to Financial Statements (continued)
|
|
|
|
|
|
|
|
|
|
Liability Derivatives
|
|
|
BHL
|
DVF
|
FRA
|
BLW
|
|
Statements of Assets
and Liabilities Location
|
Value
|
Interest rate contracts
|
Net unrealized appreciation/
depreciation
1
; Investments at
|
|
|
|
|
|
|
|
|
|
value unaffiliated
|
|
|
|
|
|
|
$
|
45,571
|
Foreign currency exchange contracts
|
Unrealized appreciation on foreign
|
|
|
|
|
|
|
|
|
|
currency exchange contracts
|
$
|
211,088
|
$
|
179,668
|
$
|
325,415
|
|
1,962,413
|
Credit contracts
|
Unrealized appreciation on swaps;
|
|
|
|
|
|
|
|
|
|
Investments at value unaffiliated
|
|
|
|
|
|
|
|
8,049
|
Total
|
|
$
|
211,088
|
$
|
179,668
|
$
|
325,415
|
$
|
2,016,033
|
1
|
|
Includes cumulative appreciation/depreciation on financial futures contracts as reported
in the Schedules of Investments. Only current days margin variation is reported within the Statements of Assets and Liabilities.
|
The Effect of Derivative Financial Instruments in the Statements of Operations
Six Months Ended February 29, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Realized Gain (Loss) From
|
|
BHL
|
DVF
|
|
FRA
|
BLW
|
Interest rate contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts
|
|
|
|
|
|
|
|
|
|
$
|
1,150
|
|
Foreign currency exchange contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts
|
$
|
565,611
|
|
$
|
508,006
|
|
$
|
734,007
|
|
|
2,817,999
|
|
Credit contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
|
|
|
|
|
|
(236,726
|
)
|
Options
2
|
|
|
|
|
|
|
|
|
|
|
176,120
|
|
Total
|
$
|
565,611
|
|
$
|
508,006
|
|
$
|
734,007
|
|
$
|
2,758,543
|
|
|
|
Net Change in Unrealized Appreciation/Depreciation on
|
|
BHL
|
DVF
|
FRA
|
BLW
|
Interest rate contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial futures contracts
|
|
|
|
|
|
|
|
|
|
$
|
(39,630
|
)
|
Options
2
|
|
|
|
|
|
|
|
|
|
|
(74,027
|
)
|
Foreign currency exchange contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign currency exchange contracts
|
$
|
(178,283
|
)
|
$
|
(150,084
|
)
|
$
|
(255,990
|
)
|
|
(1,378,570
|
)
|
Credit contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Swaps
|
|
|
|
|
|
|
|
|
|
|
37,276
|
|
Options
2
|
|
|
|
|
|
|
|
|
|
|
178,638
|
|
Total
|
$
|
(178,283
|
)
|
$
|
(150,084
|
)
|
$
|
(255,990
|
)
|
$
|
(1,276,313
|
)
|
2
|
|
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 29, 2012, the average quarterly balances of outstanding derivative financial instruments were as follows:
|
|
|
|
|
|
|
|
|
|
BHL
|
DVF
|
FRA
|
BLW
|
Financial future contracts:
|
|
|
|
|
|
|
|
|
Average number of contracts purchased
|
|
|
|
|
|
|
|
66
|
Average number of contracts sold
|
|
|
|
|
|
|
|
8
|
Average notional value of contracts purchased
|
|
|
|
|
|
|
$
|
16,395,263
|
Average notional value of contracts sold
|
|
|
|
|
|
|
$
|
1,397,815
|
Foreign currency exchange contracts:
|
|
|
|
|
|
|
|
|
Average number of contracts US dollars purchased
|
|
4
|
|
4
|
|
4
|
|
5
|
Average number of contracts US dollars sold
|
|
4
|
|
3
|
|
3
|
|
5
|
Average US dollar amounts purchased
|
$
|
6,316,861
|
$
|
5,541,354
|
$
|
10,046,183
|
$
|
52,831,987
|
Average US dollar amounts sold
|
$
|
747,039
|
$
|
636,233
|
$
|
1,495,868
|
$
|
4,416,216
|
Options:
|
|
|
|
|
|
|
|
|
Average number of option contracts purchased
|
|
|
|
13
|
|
20
|
|
46
|
Average notional value of option contracts
|
|
|
$
|
12,257
|
$
|
18,857
|
$
|
43,372
|
Average number of swaption contracts purchased
|
|
|
|
|
|
|
|
|
Average number of swaption contracts written
|
|
|
|
|
|
|
|
1
|
Average notional value of swaption contracts purchased
|
|
|
|
|
|
|
|
|
Average notional value of swaption contracts written
|
|
|
|
|
|
|
$
|
3,850,000
|
Credit default swaps:
|
|
|
|
|
|
|
|
|
Average number of contracts buy protection
|
|
|
|
|
|
|
|
1
|
Average number of contracts sell protection
|
|
|
|
|
|
|
|
2
|
Average notional value-buy protection
|
|
|
|
|
|
|
$
|
7,700,000
|
Average notional value-sell protection
|
|
|
|
|
|
|
$
|
8,550,000
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
59
|
Notes to Financial Statements (continued)
3. Investment Advisory Agreement and Other Transactions with Affiliates:
The PNC Financial Services Group, Inc. (PNC) and Barclays Bank PLC (Barclays) are the largest stockholders of BlackRock, Inc. (BlackRock). Due to the ownership structure, PNC is an affiliate for 1940 Act purposes, but Barclays is not.
Each Fund entered into an Investment Advisory Agreement with BlackRock Advisors, LLC (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 Funds portfolio and provides the necessary personnel, facilities, equipment and certain other services necessary to the operations of each Fund. For such services, each Fund pays the Manager a monthly fee based on a percentage of each Funds average daily net assets, plus the proceeds of any outstanding borrowings used for leverage as follows:
|
|
|
BHL
|
1.00
|
%
|
DVF
|
0.75
|
%
|
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 pay 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 Funds investment
in other affiliated investment companies, if any. These amounts are shown as, or included in, fees waived by advisor in the Statements
of Operations. For the six months ended February 29, 2012, the amounts waived were as follows:
|
|
|
BHL
|
$
|
185
|
DVF
|
$
|
125
|
FRA
|
$
|
310
|
BLW
|
$
|
1,424
|
The Manager entered into a sub-advisory agreement with BlackRock Financial Management, Inc. (BFM), an affiliate of the Manager. The Manager pays BFM, for services they provide, a monthly fee that is a percentage of the investment advisory fees paid by each Fund to the Manager.
BlackRock provides investment management and other services to the Taxable Subsidiaries. BlackRock does not receive separate compensation from the Taxable Subsidiaries for providing investment management or administrative services. However, each Trust pays BlackRock based on the Trusts 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 compensation paid to the Funds Chief Compliance Officer.
4. Income Tax Information:
As of August 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates:
|
|
|
|
|
|
|
|
|
Expires August 31,
|
BHL
|
DVF
|
FRA
|
BLW
|
2013
|
|
|
|
|
$
|
691,829
|
|
|
2014
|
|
|
$
|
1,755,694
|
|
|
|
|
2015
|
|
|
|
2,237,399
|
|
|
|
|
2016
|
|
|
|
1,444,704
|
|
475,453
|
$
|
21,882,229
|
2017
|
|
|
|
20,249,830
|
|
20,954,032
|
|
9,996,868
|
2018
|
$
|
3,842,154
|
|
52,502,532
|
|
43,990,722
|
|
37,509,275
|
2019
|
|
|
|
7,153,981
|
|
2,206,081
|
|
|
Total
|
$
|
3,842,154
|
$
|
85,344,140
|
$
|
68,318,117
|
$
|
69,388,372
|
Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after August 31, 2011 will not be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.
As of February 29, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
BHL
|
DVF
|
FRA
|
BLW
|
Tax cost
|
$
|
161,731,334
|
|
$
|
178,945,341
|
|
$
|
356,083,778
|
|
$
|
862,343,227
|
|
Gross unrealized appreciation
|
$
|
3,469,111
|
|
$
|
3,784,963
|
|
$
|
7,938,098
|
|
$
|
31,579,288
|
|
Gross unrealized depreciation
|
|
(2,552,676
|
)
|
|
(9,354,768
|
)
|
|
(10,498,389
|
)
|
|
(28,428,057
|
)
|
Net unrealized appreciation (depreciation)
|
$
|
916,435
|
|
$
|
(5,569,805
|
)
|
$
|
(2,560,291
|
)
|
$
|
3,151,231
|
|
60
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Notes to Financial Statements (continued)
5. Investments:
Purchases and sales of investments including paydowns and excluding short-term securities and US government securities for the six months ended February 29, 2012, were as follows:
|
Purchases
|
|
Sales
|
BHL
|
$
|
33,690,415
|
|
$
|
44,901,492
|
DVF
|
$
|
36,911,188
|
|
$
|
48,167,977
|
FRA
|
$
|
73,612,690
|
|
$
|
94,672,701
|
BLW
|
$
|
192,260,792
|
|
$
|
196,418,870
|
For the six months ended February 29, 2012, purchases and sales of US government securities for BLW were $473,966 and $2,038,634, respectively.
Transactions in options written for the six months ended February 29, 2012, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Calls
|
|
Puts
|
BLW
|
Notional
(000
)
|
Premium
Received
|
|
Notional
(000
)
|
Premium
Received
|
Outstanding options,
|
|
|
|
|
|
|
|
|
|
|
|
beginning of year
|
7,400
|
|
$
|
76,220
|
|
|
15,100
|
|
$
|
229,830
|
|
Options written
|
|
|
|
|
|
|
|
|
|
|
|
Options expired
|
(7,400
|
)
|
|
(76,220
|
)
|
|
(15,100
|
)
|
|
(229,830
|
)
|
Outstanding options,
|
|
|
|
|
|
|
|
|
|
|
|
end of year
|
|
|
|
|
|
|
|
|
|
|
|
6. Borrowings:
BHL, DVF and FRA are entered into a senior committed secured, 364-day revolving line of credit and a separate security agreement (the SSB Agreement) with State Street Bank and Trust Company (SSB). The Funds have granted a security interest in substantially all of their assets to SSB. The SSB Agreement allowed for the following maximum commitment amounts:
|
|
|
|
Commitment
Amounts
|
BHL
|
$
|
63,300,000
|
DVF
|
$
|
66,800,000
|
FRA
|
$
|
137,200,000
|
Prior to March 2, 2012, advances were 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 the 7-day, 30-day, 60-day or 90-day LIBOR.
Effective March 2, 2012, advances were made by SSB to the Funds at the Funds option of (a) the higher of (i) 0.75% above the Fed Funds rate and (ii) 0.75% above the Overnight LIBOR or (b) 0.75% above the 7-day, 30-day, 60-day or 90-day LIBOR.
In addition, the Funds pay a facility fee and a commitment fee based upon SSBs total commitment to the Funds. 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 29, 2012 are shown in the Statements of Assets and Liabilities as loan payable.
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 29, 2012, the daily weighted average interest rate for BLW with borrowings from reverse repurchase agreements was as follows:
|
Daily Weighted
Average
Interest Rate
|
BLW
|
0.39%
|
For the six months ended February 29, 2012, the daily weighted average interest rates for Funds with loans under the revolving credit agreements were as follows:
|
Daily Weighted
Average
Interest Rate
|
BHL
|
0.96%
|
DVF
|
0.96%
|
FRA
|
0.96%
|
7. Commitments:
The Funds may invest in floating rate loan interests. In connection with these investments, the Funds may also enter into unfunded floating rate loan interests and bridge loan commitments (commitments). Bridge loan commitments may obligate the Funds to furnish temporary financing to a borrower until permanent financing can be arranged. At February 29, 2012, the Funds had outstanding bridge loan commitments as follows:
|
|
|
Commitment
Amounts
|
BHL
|
$1,415,000
|
DVF
|
$1,495,000
|
FRA
|
$3,060,000
|
BLW
|
$7,899,610
|
In connection with either of 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. The unrecognized commitment fee income is recorded on the Statements of Assets and Liabilities as deferred income. As of February 29, 2012, the Funds had no outstanding unfunded floating rate loan interests.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
61
|
Notes to Financial Statements (concluded)
8. Concentration, Market and Credit Risk:
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 and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counter-party 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 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 Funds Statements of Assets and Liabilities, less any collateral held by the Funds.
The 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. Please see the Schedules of Investments for these securities. 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.
9. 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. DVF and FRA are 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.
Common Shares
For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:
|
|
|
|
Six Months Ended
February 29,
2012
|
Year Ended
August 31,
2011
|
BHL
|
|
18,402
|
DVF
|
|
42,239
|
FRA
|
|
58,212
|
BLW
|
3,518
|
30,417
|
At February 29, 2012, the shares owned by affiliates of the Manager of the Funds were as follows:
10. Subsequent Events:
Managements 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 item was noted:
The Funds will pay a net investment income dividend in the following amounts per share on March 30, 2012 to Common Shareholders of record on March 15, 2012:
|
Common Dividend
Per Share
|
BHL
|
$0.0660
|
DVF
|
$0.0585
|
FRA
|
$0.0770
|
BLW
|
$0.1050
|
62
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
Officers and Directors
1
Richard E. Cavanagh, Chairman of the Board and Director
Karen P. Robards, Vice Chairperson of the Board,
Chairperson of the Audit Committee and Director
Paul L. Audet, 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
Henry Gabbay, Director
Jerrold B. Harris, Director
R. Glenn Hubbard, Director
W. Carl Kester, Director and Member of the Audit Committee
John M. Perlowski, President and Chief Executive Officer
Anne Ackerley, Vice President
Brendan Kyne, Vice President
Neal Andrews, Chief Financial Officer
Jay Fife, Treasurer
Brian Kindelan, Chief Compliance Officer and
Anti-Money Laundering Officer
Ira P. Shapiro, Secretary
1
|
|
John F. Powers, who was a Director of the Funds,
resigned as of February 21, 2012.
|
Investment Advisor
BlackRock Advisors, LLC
Wilmington, DE 19809
Sub-Advisor
BlackRock Financial Management, Inc.
New York, NY 10055
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
BLW is managed by a team of investment professionals. Effective March 16, 2012, Tom Musmanno was added to the team of portfolio managers responsible for the day-to-day management of the Funds portfolio and the selection of its investments.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
63
|
Additional Information
Dividend Policy
Each Funds 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 Funds may at times pay out less than the entire amount of net investment income earned in any particular month and may at times in any particular month pay out such accumulated but undistributed income in addition to net investment income earned in that month. As a result, the dividends 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 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
On February 9, 2012, the Board of BLW approved the removal of BLW's non-fundamental investment policy requiring that counterparties with respect to swap transactions be rated A or A-1 or better by S&P's or Fitch Ratings, Inc. ("Fitch") or A or P-1 or better by Moody's. As a result of this investment policy change, BLW may enter into swap transactions with any counterparties approved by the Manager. Such counterparties may entail a greater degree of credit risk or risk of nonperformance than counterparties rated A or A-1 or better by S&P's or Fitch or A or P-1 or better by Moody's. The Manager will seek to minimize BLW's exposure to counterparty risk by entering into swap transactions with counterparties the Manager believe to be creditworthy at the time they enter into such transactions. To the extent BLW engages in swap transactions, shareholders of BLW will be dependent on the analytical ability of the Manager to evaluate the credit quality of counterparties to such transactions. In the event of the insolvency of a counterparty, BLW may not be able to recover its assets, in full or at all, during the insolvency process. In addition, counterparties to investments may have no obligation to make markets in such investments and may have the ability to apply essentially discretionary margin and credit requirements. The foregoing investment policy amendment will not alter BLW's investment objective.
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 Funds offerings and the information contained in each Funds 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 the shareholders or in the principal risk factors associated with investment in the Funds. Other than as disclosed on page 63, 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 BlackRocks website, which can be accessed at http://www.blackrock.com. This reference to BlackRocks website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRocks website in this report.
Electronic Delivery
Electronic copies of most financial reports are available on the Funds web-sites or shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual reports by enrolling in the Funds electronic delivery program.
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) 441-7762.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds Forms N-Q are available on the SECs website at http://www.sec.gov and may also be reviewed and copied at the SECs Public Reference Room in Washington, DC. Information on how to access documents on the SECs website without charge may be obtained by calling (800) SEC-0330. The Funds Forms N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
64
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
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 (1) without charge, upon request, by calling (800) 441-7762; (2) at http://www.blackrock.com; and (3) on the SECs 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) 441-7762 and (2) on the SECs 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. Investors and others are advised to periodically check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRocks website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRocks website in this report.
Section 19(a) Notices
These reported amounts and sources of distributions are estimates and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Funds 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 explain the character of these dividends and distributions for federal income tax purposes.
February 29, 2012
|
Total Fiscal Year-to-Date
Cumulative Distributions by Character
|
|
Percent of Fiscal Year-to-Date
Cumulative Distributions by Character
|
|
Net
Investment
Income
|
Net Realized
Capital
Gains
|
Return of
Capital
|
Total Per
Common
Share
|
|
Net
Investment
Income
|
Net Realized
Capital
Gains
|
Return of
Capital
|
Total Per
Common
Share
|
DVF
|
$0.337593
|
|
$0.013407
|
$0.351000
|
|
96%
|
0%
|
4%
|
100%
|
Each Fund estimates that it has distributed more than the amount of earned income and net realized gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholders investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Funds investment performance and should not be confused with yield or income.
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
65
|
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.
66
|
SEMI-ANNUAL REPORT
|
FEBRUARY 29, 2012
|
This report is transmitted to shareholders only. 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 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 BK4 2/12 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
|
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 Diversified Income Strategies Fund, Inc.
By:
|
|
/s/ John M. Perlowski
|
John
M. Perlowski
Chief
Executive Officer (principal executive officer) of
BlackRock
Diversified Income Strategies Fund, Inc.
Date: May 1, 2012
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
Diversified Income Strategies Fund, Inc.
Date: May 1, 2012
Neal
J. Andrews
Chief
Financial Officer (principal financial officer) of
BlackRock
Diversified Income Strategies Fund, Inc.
Date: May 1, 2012
Blackrock Diversified Income Strategies Fund, Inc. (NYSE:DVF)
Historical Stock Chart
From Jun 2024 to Jul 2024
Blackrock Diversified Income Strategies Fund, Inc. (NYSE:DVF)
Historical Stock Chart
From Jul 2023 to Jul 2024