Edgar Filing: BLACKROCK Ltd DURATION INCOME TRUST

BLACKROCK LTD DURATION INCOME TRUST

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-21349

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

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

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

Date of fiscal year end: 08/31/2015

Date of reporting period: 08/31/2015

Item 1 – Report to Stockholders

AUGUST 31, 2015

ANNUAL REPORT

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


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



2	ANNUAL REPORT	AUGUST 31, 2015

The Markets in Review

Dear Shareholder,

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

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

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

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

Sincerely,

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC


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



		THIS PAGE NOT PART OF YOUR FUND REPORT				3


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

Fund Overview

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

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


Portfolio Management Commentary

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


	Returns Based On
	Market Price			NAV³
BHL¹		0.15	%		2.80	%
Lipper Loan Participation Funds²		(3.67	)%		0.25	%

All returns reflect reinvestment of dividends and/or distributions.

Average return.

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

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

What factors influenced performance?

•

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

•

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

Describe recent portfolio activity.

•

Describe portfolio positioning at period end.

•

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

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



4	ANNUAL REPORT	AUGUST 31, 2015


		BlackRock Defined Opportunity Credit Trust


Fund Information
Symbol on New York Stock Exchange (“NYSE”)		BHL
Initial Offering Date		January 31, 2008
Current Distribution Rate on Closing Market Price as of August 31, 2015 ($12.95)¹		5.40%
Current Monthly Distribution per Common Share²		$0.0583
Current Annualized Distribution per Common Share²		$0.6996
Economic Leverage as of August 31, 2015³		26%

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

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

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


Market Price and Net Asset Value Per Share Summary


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


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

LOGO

Overview of the Fund’s Total Investments


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

⁴

Information has been revised to conform to current year presentation.

⁵

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

⁶

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


Credit Quality Allocation^7,8	8/31/15			8/31/14⁴
A		1	%		—
BBB/Baa		8			6	%
BB/Ba		45			43
B		40			44
CCC/Caa		3			4
N/R		3			3

⁷

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

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

⁸

Excludes short-term securities.



ANNUAL REPORT	AUGUST 31, 2015	5


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


Fund Overview

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

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


Portfolio Management Commentary

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


	Returns Based On
	Market Price			NAV³
FRA¹		(3.71	)%		2.88	%⁴
Lipper Loan Participation Funds²		(3.67	)%		0.25	%

All returns reflect reinvestment of dividends and/or distributions.

Average return.

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

⁴

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

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

What factors influenced performance?

•

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

•

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

Describe recent portfolio activity.

•

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

Describe portfolio positioning at period end.

•

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



6	ANNUAL REPORT	AUGUST 31, 2015


				BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information


Symbol on NYSE		FRA
Initial Offering Date		October 31, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2015 ($12.94)¹		6.25%
Current Monthly Distribution per Common Share²		$0.0674
Current Annualized Distribution per Common Share²		$0.8088
Economic Leverage as of August 31, 2015³		26%

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


Market Price and Net Asset Value Per Share Summary


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


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

LOGO

Overview of the Fund’s Total Investments


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

⁴

Information has been revised to conform to current year presentation.

⁵

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


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

⁶

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

⁷

Excludes short-term securities.



ANNUAL REPORT	AUGUST 31, 2015	7


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


Fund Overview

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

•

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

•

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

•

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

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

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


Portfolio Management Commentary

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


	Returns Based On
	Market Price			NAV³
BLW¹		(5.74	)%		2.23	%⁴
Lipper High Yield Funds (Leveraged)²		(12.17	)%		(5.11	)%

All returns reflect reinvestment of dividends and/or distributions.

Average return.

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

⁴

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

What factors influenced performance?

•

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

•

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

•

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

Describe recent portfolio activity.

•

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

Describe portfolio positioning at period end.

•

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



8	ANNUAL REPORT	AUGUST 31, 2015


		BlackRock Limited Duration Income Trust


Fund Information


Symbol on NYSE		BLW
Initial Offering Date		July 30, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2015 ($14.60)¹		8.18%
Current Monthly Distribution per Common Share²		$0.0995
Current Annualized Distribution per Common Share²		$1.1940
Economic Leverage as of August 31, 2015³		30%

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

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


Market Price and Net Asset Value Per Share Summary


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


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

LOGO


Overview of the Fund’s Total Investments


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

⁴

Information has been revised to conform to current year presentation.

⁵

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

⁶

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

⁷

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


Credit Quality Allocation^8,9	8/31/15			8/31/14⁴
AAA/Aaa¹⁰		2	%		6	%
AA/Aa		2			2
A		8			3
BBB/Baa		17			15
BB/Ba		31			32
B		25			31
CCC/Caa		5			7
N/R		10			4

⁸

⁹

Excludes short-term securities.

¹⁰

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



ANNUAL REPORT	AUGUST 31, 2015	9


The Benefits and Risks of Leveraging

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

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

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

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

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

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

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

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


Derivative Financial Instruments

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



10	ANNUAL REPORT	AUGUST 31, 2015

Schedule of Investments August 31, 2015

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)


Common Stocks		Shares		Value
Diversified Consumer Services — 0.4%
Cengage Thomson Learning			8,922	$	233,087
Houghton Mifflin Harcourt Co. (a)			12,055		272,202
Total Common Stocks — 0.4%					505,289



Asset-Backed Securities (b)		Par (000)
ALM Loan Funding, Series 2013-7RA, Class C, 3.74%, 4/24/24 (c)	USD		500		487,710
ALM XIV Ltd., Series 2014-14A, Class C, 3.74%, 7/28/26 (c)			713		682,492
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class B, 3.16%, 7/15/27 (c)			350		347,620
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.98%, 10/15/26 (c)			250		240,778
Atrium CDO Corp., Series 9A, Class D, 3.83%, 2/28/24 (c)			250		241,959
Benefit Street Partners CLO VII Ltd., Series 2015-VIIA, Class B, 3.23%, 7/18/27 (c)			295		290,280
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.79%, 1/20/25 (c)			250		250,168
Cent CLO 22 Ltd., Series 2014-22A, Class C, 4.06%, 11/07/26 (c)			250		243,950
LCM XVIII LP, Series 18A, Class INC, 0.00%, 4/20/27 (d)			500		430,000
North End CLO Ltd., Series 2013-1A, Class D, 3.79%, 7/17/25 (c)			250		240,000
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.48%, 10/25/25 (c)			250		230,796
Sound Point CLO IV Ltd., Series 2013-3A, Class A, 1.66%, 1/21/26 (c)			250		248,177
Venture XXI CLO Ltd., Series 2015-21A, Class A, 1.77%, 7/15/27 (c)			250		249,250
Voya CLO Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26 (d)			1,000		785,915
Total Asset-Backed Securities — 4.0%					4,969,095



Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)			247		252,894
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16			42		44,550
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18			590		594,425

					891,869
Auto Components — 0.1%
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 3.50%, 3/15/17			164		163,180
Corporate Bonds		Par (000)		Value
Commercial Services & Supplies — 0.2%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.07%, 12/01/17 (c)	USD		68	$	67,660
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)			187		187,806

					255,466
Communications Equipment — 0.1%
Avaya, Inc., 7.00%, 4/01/19 (b)			101		90,648
Containers & Packaging — 0.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 3.34%, 12/15/19 (b)(c)			260		254,800
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.:
3.91%, 1/15/18 (c)			228		229,710
6.13%, 1/15/21			127		133,033

					362,743
Health Care Equipment & Supplies — 0.1%
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)			75		77,588
Health Care Providers & Services — 0.2%
Tenet Healthcare Corp., 3.84%, 6/15/20 (b)(c)			310		311,705
Media — 0.9%
Altice Financing SA, 6.63%, 2/15/23 (b)			200		199,000
Altice US Finance I Corp., 5.38%, 7/15/23 (b)			275		272,250
CCO Safari II LLC, 4.91%, 7/23/25 (b)			420		416,007
Numericable Group SA, 6.00%, 5/15/22 (b)			200		200,000

					1,087,257
Metals & Mining — 0.0%
Novelis, Inc., 8.38%, 12/15/17			60		60,075
Oil, Gas & Consumable Fuels — 0.5%
California Resources Corp., 5.50%, 9/15/21			400		310,152
CONSOL Energy, Inc., 5.88%, 4/15/22			140		100,100
MEG Energy Corp., 7.00%, 3/31/24 (b)			200		163,500

					573,752
Pharmaceuticals — 0.5%
Valeant Pharmaceuticals International, Inc. (b):
5.38%, 3/15/20			315		320,512
5.88%, 5/15/23			190		193,800
6.13%, 4/15/25			105		108,150

					622,462
Wireless Telecommunication Services — 0.2%
Sprint Communications, Inc., 7.00%, 3/01/20 (b)			275		292,105
Total Corporate Bonds — 4.0%					5,043,650



Floating Rate Loan Interests (c)
Aerospace & Defense — 1.4%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21			629		630,782


Portfolio Abbreviations


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

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2015	11

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)



Floating Rate Loan Interests (c)		Par (000)		Value
Aerospace & Defense (concluded)
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20	USD		429	$	426,743
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			275		282,562
Transdigm, Inc.:
2015 Term Loan E, 3.50%, 5/14/22			219		216,717
Term Loan D, 3.75%, 6/04/21			198		195,773

					1,752,577
Air Freight & Logistics — 0.4%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			156		140,228
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			162		146,028
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			25		22,871
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			224		201,419

					510,546
Airlines — 0.7%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			320		319,603
Northwest Airlines, Inc.:
2.25%, 3/10/17			120		116,432
1.63%, 9/10/18			127		121,203
1.64%, 9/10/18			64		61,440
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			255		253,207

					871,885
Auto Components — 3.7%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			282		281,449
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17			593		521,964
2nd Lien Term Loan, 11.00%, 1/29/18			200		169,575
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			355		354,157
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			325		313,625
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			1,970		1,883,741
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19			633		634,384
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20			407		407,855
UCI International, Inc., Term Loan B, 5.50%, 7/26/17			52		51,742

					4,618,492
Automobiles — 0.4%
Chrysler Group LLC, Term Loan B:
3.25%, 12/31/18			188		186,805
3.50%, 5/24/17			317		316,149

					502,954
Banks — 0.3%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			256		256,100
2nd Lien Term Loan, 8.25%, 6/03/21			69		68,376

					324,476
Biotechnology — 0.1%
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21			195		194,513
Building Products — 3.7%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			316		313,721
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,185		1,173,421
Floating Rate Loan Interests (c)		Par (000)		Value
Building Products (concluded)
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21	USD		316	$	308,694
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 2/18/22			144		143,298
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			697		695,908
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			222		219,633
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			383		380,779
Universal Services of America LP:
2015 2nd Lien Term Loan, 9.50%, 7/28/23			136		134,761
2015 Delayed Draw Term Loan, 6.00%, 7/28/22			1		1,302
2015 Term Loan, 4.75%, 7/28/22			515		507,718
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			108		107,335
Term Loan B, 4.00%, 10/31/19			635		629,051

					4,615,621
Capital Markets — 1.0%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			298		280,455
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			193		192,784
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20			784		783,220

					1,256,459
Chemicals — 4.7%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			252		251,248
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			131		130,361
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			512		509,752
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			27		26,505
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22			260		260,325
The Chemours Co., Term Loan B, 3.75%, 5/12/22			191		184,213
Chemtura Corp., Term Loan B, 3.50%, 8/27/16			62		62,173
Chromaflo Technologies Corp.:
1st Lien Term Loan, 4.50%, 12/02/19			51		49,591
2nd Lien Term Loan, 8.25%, 6/02/20			110		103,396
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			334		310,904
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18			159		158,609
Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20			165		164,517
Kronos Worldwide, Inc., 2015 Term Loan, 4.00%, 2/18/20			114		109,304
MacDermid, Inc.:
1st Lien Term Loan, 4.50%, 6/07/20			651		648,248
Term Loan B2, 4.75%, 6/07/20			166		165,697
Minerals Technologies Inc., 2015 Term Loan B, 3.75%, 5/09/21			334		334,017
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17			325		315,691
OXEA Finance LLC:
2nd Lien Term Loan, 8.25%, 7/15/20			315		293,999
Term Loan B2, 4.25%, 1/15/20			575		559,675
Royal Holdings, Inc.:
2015 1st Lien Term Loan, 4.50%, 6/19/22			260		258,809
2015 2nd Lien Term Loan, 8.50%, 6/19/23			110		109,588

See Notes to Financial Statements.



12	ANNUAL REPORT	AUGUST 31, 2015

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)



Floating Rate Loan Interests (c)		Par (000)		Value
Chemicals (concluded)
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21	USD		352	$	347,162
2nd Lien Term Loan, 7.75%, 7/31/22			390		373,425
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			128		128,292

					5,855,501
Commercial Services & Supplies — 6.8%
ADMI Corp., 2015 Term Loan B, 5.50%, 4/30/22			190		190,950
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19			710		702,924
ARAMARK Corp.:
Extended Synthetic Line of Credit 2, 0.04%, 7/26/16			14		13,735
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16			9		9,289
Term Loan E, 3.25%, 9/07/19			645		642,651
Term Loan F, 3.25%, 2/24/21			194		192,632
Asurion LLC, Term Loan B4, 5.00%, 8/04/22			280		276,850
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			859		771,757
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			756		755,338
Connolly Corp.:
1st Lien Term Loan, 4.50%, 5/14/21			678		676,529
2nd Lien Term Loan, 8.00%, 5/14/22			325		325,000
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21			239		240,293
Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21			181		182,019
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21			306		305,136
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20			545		537,255
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			304		296,205
PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21			373		372,192
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			1,072		1,056,670
US Ecology, Inc., Term Loan, 3.75%, 6/17/21			196		196,951
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20			206		206,388
West Corp., Term Loan B10, 3.25%, 6/30/18			598		592,140

					8,542,904
Communications Equipment — 1.8%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21			326		324,776
2nd Lien Term Loan, 7.50%, 1/24/22			85		84,448
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20			548		469,802
CommScope, Inc., Term Loan B5, 3.75%, 12/29/22			210		209,038
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22			135		134,606
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21			1,028		1,021,521

					2,244,191
Construction & Engineering — 0.1%
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21			178		178,484
Construction Materials — 0.4%
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20			309		308,588
Headwaters, Inc., Term Loan B, 4.50%, 3/24/22			164		164,366
McJunkin Red Man Corp., Term Loan, 4.75%, 11/08/19			100		97,676

					570,630
Floating Rate Loan Interests (c)		Par (000)		Value
Containers & Packaging — 0.8%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19	USD		182	$	181,429
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21			286		283,630
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			342		341,550
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21			168		167,879

					974,488
Distributors — 0.6%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			462		459,712
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			349		349,998

					809,710
Diversified Consumer Services — 2.6%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21			648		645,205
2nd Lien Term Loan, 8.00%, 8/13/21			321		318,085
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.25%, 1/30/20			80		79,600
Term Loan B, 3.75%, 1/30/20			629		627,749
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21			174		174,107
ROC Finance LLC, Term Loan, 5.00%, 6/20/19			246		233,754
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21			1,208		1,200,985

					3,279,485
Diversified Financial Services — 3.1%
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22			215		214,785
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21			596		595,792
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			224		223,781
Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20			600		594,000
Onex Wizard US Acquisition, Inc., Term Loan, 4.25%, 3/13/22			464		463,160
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			723		722,212
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			420		420,225
TransFirst, Inc.:
2014 2nd Lien Term Loan, 9.00%, 11/12/22			190		188,480
Incremental Term Loan B, 4.75%, 11/12/21			412		410,863

					3,833,298
Diversified Telecommunication Services — 4.1%
Altice Financing SA, Term Loan:
Delayed Draw, 5.50%, 7/02/19			393		394,344
5.25%, 2/04/22			160		160,800
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20			258		256,925
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			516		516,032
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/14/20			509		507,895
2nd Lien Term Loan, 9.75%, 2/21/20			168		166,896
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20			2,330		2,327,810
2019 Term Loan, 4.00%, 8/01/19			350		349,012
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23			525		518,815

					5,198,529

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2015	13

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)



Floating Rate Loan Interests (c)		Par (000)			Value
Electrical Equipment — 0.7%
Southwire Co., Term Loan, 3.00%, 2/10/21	USD		262		$	257,435
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 5/05/16			448			448,169
Extended Term Loan, 4.67%, 10/10/17 (a)(e)			380			171,433

						877,037
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20			372			368,991
CPI Acquisition, Inc., Term Loan B, 6.75%, 8/17/22			245			241,019

						610,010
Energy Equipment & Services — 1.1%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			255			254,056
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			263			251,982
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			951			885,077

						1,391,115
Food & Staples Retailing — 1.2%
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21			332			331,344
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20			235			237,204
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19			505			506,583
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			378			378,260

						1,453,391
Food Products — 3.4%
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20			255			250,980
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18			675			672,096
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			618			617,686
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21			320			318,460
New HB Acquisition LLC:
1st Lien Term Loan, 4.50%, 8/03/22			375			374,884
2nd Lien Term Loan, 8.50%, 8/03/23			80			80,100
Pabst Brewing Co., Inc., Term Loan, 5.75%, 10/21/21			428			427,258
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19			370			369,919
Pinnacle Foods Finance LLC, Term Loan G, 3.00%, 4/29/20			605			601,504
Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21			—	(f)		134
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			363			301,018
2nd Lien Term Loan, 10.75%, 11/01/19			270			189,000

						4,203,039
Health Care Equipment & Supplies — 4.1%
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22			285			284,803
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22			223			223,078
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			435			434,076
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			710			705,740
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			611			611,457
Floating Rate Loan Interests (c)		Par (000)			Value
Health Care Equipment & Supplies (concluded)
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18	USD		794		$	791,125
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21			500			497,633
Millennium Health LLC, Term Loan B, 5.25%, 4/16/21			348			170,107
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			701			683,010
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			622			612,024
Sage Products Holdings III LLC, Refinancing Term Loan B2, 4.25%, 12/13/19			169			168,279

						5,181,332
Health Care Providers & Services — 7.6%
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22			111			112,089
Air Medical Group Holdings, Inc., Term Loan B, 4.50%, 4/06/22			295			289,469
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21			297			296,667
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19			564			561,651
Community Health Systems, Inc.:
Term Loan F, 3.58%, 12/31/18			338			337,607
Term Loan G, 3.75%, 12/31/19			555			553,699
Term Loan H, 4.00%, 1/27/21			1,021			1,022,559
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22			349			349,561
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			2,193			2,186,907
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18			420			419,108
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17			265			268,887
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22			170			170,251
HCA, Inc., Term Loan B5, 2.95%, 3/31/17			313			312,662
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			438			432,265
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			316			314,073
Sterigenics-Nordion Holdings LLC, Term Loan B, 4.25%, 5/15/22			720			714,154
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			439			438,877
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22			509			507,438
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19			194			193,367

						9,481,291
Health Care Technology — 0.9%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			751			744,715
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19			419			416,007

						1,160,722
Hotels, Restaurants & Leisure — 10.4%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			285			282,466
2nd Lien Term Loan, 8.00%, 8/01/22			322			321,698
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			238			237,786
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			654			627,907
Burger King Newco Unlimited Liability Co., 2015 Term Loan B, 3.75%, 12/12/21			1,084			1,082,157

See Notes to Financial Statements.



14	ANNUAL REPORT	AUGUST 31, 2015

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)



Floating Rate Loan Interests (c)		Par (000)		Value
Hotels, Restaurants & Leisure (concluded)
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20	USD		1,349	$	1,285,088
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			353		352,278
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21			421		420,541
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/13/22			205		205,000
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19			210		211,445
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			607		605,249
Intrawest ULC, Term Loan, 4.75%, 12/09/20			364		363,539
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21			1,827		1,821,437
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			591		587,531
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			778		770,600
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			310		309,743
RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21			292		291,758
Sabre, Inc.:
Incremental Term Loan, 4.00%, 2/19/19			113		112,611
Term Loan B, 4.00%, 2/19/19			521		519,720
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20			746		737,248
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			1,091		1,087,788
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 5.75%, 9/02/21			759		758,883

					12,992,473
Household Durables — 0.3%
Jarden Corp., 2015 Term Loan B2, 2.95%, 7/27/22			355		353,846
Household Products — 1.0%
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20			533		529,727
Spectrum Brands, Inc., Term Loan, 3.75%, 6/23/22			689		688,201

					1,217,928
Independent Power and Renewable Electricity Producers — 1.9%
Aria Energy Operating LLC, Term Loan, 5.00%, 5/27/22			330		326,700
Calpine Corp., Term Loan B5, 3.50%, 5/27/22			320		315,501
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 6/19/16			648		648,118
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			707		706,010
Term Loan C, 5.00%, 12/19/21			31		31,221
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21			358		351,858

					2,379,408
Industrial Conglomerates — 0.2%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			298		252,541
Insurance — 1.0%
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20			249		248,529
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20			367		333,710
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			454		444,257
2nd Lien Term Loan, 6.75%, 2/28/22			260		253,744

					1,280,240
Floating Rate Loan Interests (c)		Par (000)		Value
Internet Software & Services — 1.6%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21	USD		420	$	418,195
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21			569		568,755
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21			858		856,515
W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20			155		122,659

					1,966,124
IT Services — 4.3%
Blue Coat Holdings Inc., 2015 Term Loan, 4.50%, 5/20/22			475		471,438
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22			700		697,249
First Data Corp.:
2018 Extended Term Loan, 3.70%, 3/24/18			2,845		2,820,816
2018 Term Loan, 3.70%, 9/24/18			295		292,566
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18			245		233,970
SunGard Data Systems, Inc.:
Term Loan C, 3.94%, 2/28/17			350		349,388
Term Loan E, 4.00%, 3/08/20			126		126,118
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21			390		389,444

					5,380,989
Leisure Products — 0.3%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21			364		361,987
Machinery — 2.1%
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19			274		273,555
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			258		257,833
Term Loan B3, 4.25%, 8/30/20			78		78,036
Infiltrator Systems, Inc., 2015 Term Loan, 5.25%, 5/27/22			340		338,848
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			179		179,100
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			561		555,408
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			764		711,415
Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22			247		246,728

					2,640,923
Manufacture Goods — 0.1%
KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20			70		70,307
Media — 11.2%
Cengage Learning Acquisitions, Inc.:
1st Lien Term Loan, 7.00%, 3/31/20			963		961,079
Term Loan, 0.00%, 7/03/16 (a)(e)			591		—
Charter Communications Operating LLC:
Term Loan H, 3.25%, 7/21/22			240		239,266
Term Loan I, 3.50%, 1/20/23			1,465		1,461,704
Clear Channel Communications, Inc., Term Loan D, 6.95%, 1/30/19			1,364		1,202,003
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			381		374,880
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			542		535,130
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			458		449,187
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22			320		310,666

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2015	15

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)



Floating Rate Loan Interests (c)		Par (000)		Value
Media (concluded)
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20	USD		113	$	112,310
MCC Iowa LLC:
Term Loan I, 2.66%, 6/30/17			248		245,800
Term Loan J, 3.75%, 6/30/21			124		123,193
Media General, Inc., Term Loan B, 4.00%, 7/31/20			246		245,483
Mediacom Communications Corp., Term Loan F, 2.66%, 3/31/18			252		249,420
Mediacom Illinois LLC, Term Loan E, 3.16%, 10/23/17			475		472,625
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			506		505,591
Term Loan B2, 4.50%, 5/21/20			438		437,405
SBA Senior Finance II LLC:
Incremental Term Loan B, 3.25%, 6/10/22			330		325,403
Term Loan B1, 3.25%, 3/24/21			703		694,880
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20			39		38,723
Tribune Media Co., Term Loan, 3.75%, 12/27/20			824		819,969
TWCC Holding Corp., Extended Term Loan, 5.75%, 2/13/20			354		351,088
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			1,012		1,003,790
Virgin Media Investment Holdings Ltd., Term Loan E, 4.25%, 6/30/23	GBP		650		991,101
WideOpenWest Finance LLC, 2015 Term Loan B, 4.50%, 4/01/19	USD		755		751,581
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			425		418,934
Term Loan B2A, 3.50%, 1/15/22			276		271,758
Term Loan B3, 3.50%, 1/15/22			453		446,945

					14,039,914
Metals & Mining — 1.1%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			100		67,500
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			1,116		1,102,331
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17			216		215,546

					1,385,377
Multiline Retail — 2.1%
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			826		822,365
2nd Lien Term Loan, 8.50%, 3/26/20			200		198,000
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22			545		544,717
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 8/10/22			445		445,000
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			577		570,046

					2,580,128
Oil, Gas & Consumable Fuels — 3.3%
CITGO Holding Inc., 2015 Term Loan B, 9.50%, 5/12/18			370		371,080
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			504		358,131
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18			440		416,535
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21			205		205,000
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15			40		39,485
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19			27		11,674
Floating Rate Loan Interests (c)		Par (000)		Value
Oil, Gas & Consumable Fuels (concluded)
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20	USD		325	$	313,625
Power Buyer LLC:
1st Lien Term Loan, 4.25%, 5/06/20			115		113,945
2nd Lien Term Loan, 8.25%, 11/06/20			105		103,162
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			403		392,901
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			61		51,440
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			467		446,271
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21			213		176,489
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22			311		307,706
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21			356		356,198
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			379		378,417
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			133		131,978

					4,174,037
Personal Products — 0.2%
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21			301		300,407
Pharmaceuticals — 8.5%
Akorn, Inc., Term Loan B, 5.50%, 4/16/21			566		564,842
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19			399		398,393
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			210		207,948
Concordia Healthcare Corp., Term Loan B, 4.75%, 4/21/22			285		285,180
Endo Luxembourg Finance Co. I Sarl:
2014 Term Loan B, 3.25%, 3/01/21			356		355,411
2015 Term Loan B, 3.75%, 6/11/22			1,015		1,014,817
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.20%, 2/27/21			971		969,274
Horizon Pharma Holdings USA, Inc., Term Loan B, 4.50%, 4/22/21			502		500,876
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			1,076		1,068,801
JLL/Delta Dutch Newco BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			786		776,087
Mallinckrodt International Finance SA:
Incremental Term Loan B1, 3.50%, 3/19/21			328		325,819
Term Loan B, 3.25%, 3/19/21			523		519,125
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19			966		963,993
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 3.75%, 12/11/19			524		522,501
Series D2 Term Loan B, 3.50%, 2/13/19			568		565,442
Series E Term Loan B, 3.75%, 8/05/20			326		325,138
Term Loan B F1, 4.00%, 4/01/22			1,267		1,266,919

					10,630,566
Professional Services — 3.9%
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21			433		428,107
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			486		480,529
2014 2nd Lien Term Loan, 7.50%, 7/25/22			160		155,120
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			714		710,563
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22			275		274,486

See Notes to Financial Statements.



16	ANNUAL REPORT	AUGUST 31, 2015

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)



Floating Rate Loan Interests (c)		Par (000)		Value
Professional Services (concluded)
ON Assignment, Inc., 2015 Term Loan, 3.75%, 5/19/22	USD		303	$	301,789
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			408		406,084
Sterling Infosystems, Inc., 1st Lien Term Loan B, 4.50%, 6/20/22			495		493,352
TransUnion LLC, Term Loan B2, 3.75%, 4/09/21			1,241		1,230,484
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			389		385,574

					4,866,088
Real Estate Investment Trusts (REITs) — 0.2%
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22			220		210,032
Real Estate Management & Development — 2.2%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			523		521,520
DTZ US Borrower LLC, 1st Lien Term Loan:
5.50%, 11/04/21			490		484,629
2015, 4.25%, 8/05/21			515		509,423
Realogy Corp.:
Extended Letter of Credit, 0.03%, 10/10/16			40		39,745
Term Loan B, 3.75%, 3/05/20			1,176		1,171,783

					2,727,100
Road & Rail — 1.0%
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18			327		323,392
Quality Distribution, Inc., 1st Lien Term Loan, 5.25%, 7/20/22			290		286,920
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			459		450,004
2nd Lien Term Loan, 7.75%, 9/30/21			225		210,375

					1,270,691
Semiconductors & Semiconductor Equipment — 1.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21			1,012		1,010,430
Freescale Semiconductor, Inc.:
Term Loan B4, 4.25%, 2/28/20			526		525,538
Term Loan B5, 5.00%, 1/15/21			162		162,215
NXP BV, Term Loan D, 3.25%, 1/11/20			324		322,335

					2,020,518
Software — 4.6%
Evertec Group LLC, Term Loan B, 3.25%, 4/17/20			240		230,796
GCA Services Group, Inc.:
2nd Lien Term Loan, 9.25%, 10/22/20			176		175,120
Term Loan B, 4.25%, 11/01/19			384		381,431
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			830		805,338
Informatica Corp., Term Loan, 4.50%, 8/05/22			874		868,188
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			202		163,465
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			409		415,706
Initial Incremental Term Loan, 4.50%, 10/30/19			243		242,999
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/12/20			496		493,507
2nd Lien Term Loan, 8.50%, 10/11/21			350		348,103
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18			635		633,546
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.00%, 7/08/22			803		803,260
2015 Term Loan B2, 4.00%, 7/08/22			130		130,137
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20			75		74,415

					5,766,011
Floating Rate Loan Interests (c)		Par (000)		Value
Specialty Retail — 3.7%
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20	USD		297	$	296,689
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19			288		285,349
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			546		539,503
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20			658		658,041
Term Loan B, 3.75%, 1/28/20			512		510,454
Party City Holdings Inc., 2015 Term Loan B, 4.25%, 7/28/22			635		633,812
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17			633		631,532
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22			823		821,226
Things Remembered, Inc., Term Loan B, 8.25%, 5/24/18			351		254,808

					4,631,414
Technology Hardware, Storage & Peripherals — 0.7%
Dell International LLC, Term Loan B2, 4.00%, 4/29/20			316		314,370
Dell, Inc., Term Loan C, 3.75%, 10/29/18			347		346,048
Linxens France SA, Term Loan, 5.00%, 7/27/22			180		179,100

					839,518
Textiles, Apparel & Luxury Goods — 0.8%
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21			120		119,803
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18			525		464,378
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19			377		376,700

					960,881
Thrifts & Mortgage Finance — 0.3%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			439		438,386
Trading Companies & Distributors — 0.5%
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21			700		695,044
Transportation Infrastructure — 0.2%
Penn Products Terminals LLC, Term Loan B, 4.75%, 4/13/22			255		252,770
Wireless Telecommunication Services — 1.8%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			943		936,908
New Lightsquared LLC, PIK Exit Term Loan, 9.75%, 6/15/20			1,300		1,267,500

					2,204,408
Total Floating Rate Loan Interests — 127.3%					159,382,736



Non-Agency Mortgage-Backed Securities
Collateralized Mortgage Obligations — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c)			304		304,952

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2015	17

Schedule of Investments (continued)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)


Investment Companies	Shares		Value
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust		12	$	163
Eaton Vance Senior Income Trust		3,347		20,517
Total Investment Companies — 0.0%				20,680



Warrants
Software — 0.0%
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)		691		5,940
Total Long-Term Investments (Cost — $172,368,741) — 136.0%				170,232,342
Short-Term Securities	Shares		Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.08% (g)(h)		254,052	$	254,052
Total Short-Term Securities (Cost — $254,052) — 0.2%				254,052
Total Investments (Cost — $172,622,793) — 136.2%				170,486,394
Liabilities in Excess of Other Assets — (36.2)%				(45,303,603	)

Net Assets — 100.0%			$	125,182,791

Notes to Schedule of Investments

(a)

Non-income producing security.

(b)

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

(c)

Variable rate security. Rate shown is as of report date.

(d)

Zero-coupon bond.

(e)

Issuer filed for bankruptcy and/or is in default of interest payments.

(f)

Amount is less than $500.

(g)

Represents the current yield as of report date.

(h)

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


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


Derivative Financial Instruments Outstanding as of August 31, 2015

Financial Futures Contracts

Contracts
Short

Issue

Exchange

Expiration

Notional Value

Unrealized
Appreciation

(4)

10-Year U.S. Treasury Note

Chicago Board of Trade

December 2015

USD 508,250

503

Forward Foreign Currency Exchange Contracts

Currency
Purchased

Currency
Sold

Counterparty

Settlement
Date

Unrealized
Appreciation

USD

812,141

GBP

522,000

HSBC Bank PLC

10/20/15

11,340

Centrally Cleared Credit Default Swaps — Sold Protection

Index

Receive
Fixed Rate

Clearinghouse

Expiration
Date

Credit
Rating

Notional
Amount
(000)

Unrealized
Depreciation

Dow Jones CDX North America High Yield Index,
Series 24, Version 2

5.00

Chicago Mercantile Exchange

6/20/20

USD 644

(7,012

)

See Notes to Financial Statements.



18	ANNUAL REPORT	AUGUST 31, 2015


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


Derivative Financial Instruments Categorized by Risk Exposure

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

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


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

Derivative Financial Instruments — Liabilities


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

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


	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Total
Net Realized Gain (Loss) from:
Financial futures contracts		—		—			—		—		$	(5,430	)	$	(5,430	)
Forward foreign currency exchange contracts		—		—			—	$	250,768			—			250,768
Swaps		—	$	(751	)		—		—			—			(751	)

Total		—	$	(751	)		—	$	250,768		$	(5,430	)	$	244,587


	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Total
Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—			—		—		$	503		$	503
Forward foreign currency exchange contracts		—		—			—	$	(67,873	)		—			(67,873	)
Swaps		—	$	(7,012	)		—		—			—			(7,012	)

Total		—	$	(7,012	)		—	$	(67,873	)	$	503		$	(74,382	)

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


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

Derivative Financial Instruments — Offsetting as of August 31, 2015

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


	Assets			Liabilities
Derivative Financial Instruments:
Financial futures contracts	$	563			—
Forward foreign currency exchange contracts		11,340			—
Swaps — Centrally cleared		—		$	1,640

Total derivative assets and liabilities in the Statement of Assets and Liabilities		11,903			1,640

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		(563	)		(1,640	)

Total derivative assets and liabilities subject to an MNA	$	11,340			—

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2015	19


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

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


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset¹		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets²
HSBC Bank PLC	$	11,340		—		—		—	$	11,340

Total	$	11,340		—		—		—	$	11,340

¹ The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.
² Net amount represents the net amount receivable from the counterparty in the event of default.

Fair Value Hierarchy as of August 31, 2015

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

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

Level 1

Level 2

Level 3

Total

Assets:

Investments:

Long-Term Investments:

&nbs