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: 08/31/2016

Date of reporting period: 02/29/2016

Item 1 – Report to Stockholders

FEBRUARY 29, 2016

SEMI-ANNUAL REPORT (UNAUDITED)

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee


Table of Contents


	Page
The Markets in Review		3
Semi-Annual Report:
Fund Summaries		4
The Benefits and Risks of Leveraging		10
Derivative Financial Instruments		10
Financial Statements
Schedules of Investments		11
Statements of Assets and Liabilities		60
Statements of Operations		61
Statements of Changes in Net Assets		62
Statements of Cash Flows		64
Financial Highlights		65
Notes to Financial Statements		68
Officers and Directors		81
Additional Information		82



2	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016

The Markets in Review

Dear Shareholder,

Diverging monetary policies and shifting economic outlooks across regions have been the overarching themes driving financial markets over the past couple of years. With U.S. growth outpacing the global economic recovery while inflationary pressures remained low, investors spent most of 2015 anticipating the curtailment of the Federal Reserve’s near-zero interest rate policy, which ultimately came in December. In contrast, the European Central Bank and the Bank of Japan took measures to stimulate growth. In this environment, the U.S. dollar strengthened considerably, causing profit challenges for U.S. exporters and high levels of volatility in emerging market currencies and commodities.

Global market volatility increased in the latter part of 2015 and continued into early 2016. Oil prices collapsed in mid-2015 due to excess supply, and remained precarious while the world’s largest oil producers sought to negotiate a deal. Developing countries, many of which rely heavily on oil exports to sustain their economies, were particularly affected by falling oil prices. Meanwhile, China, one of the world’s largest oil consumers, exhibited further signs of slowing economic growth. This, combined with a depreciating yuan and declining confidence in the country’s policymakers, stoked worries about the potential impact of China’s weakness on the broader global economy.

Toward the end of the period, volatility abated as investors were relieved to find that conditions were not as bad as previously feared. While the recent selloff in risk assets has resulted in more reasonable valuations and some appealing entry points, investors continue to face mixed economic data and uncertainty relating to oil prices, corporate earnings and an unusual U.S. presidential election season.

For the 12-month period, higher quality assets such as U.S. Treasuries, municipal bonds and investment grade corporate bonds generated positive returns, while risk assets such as equities and high yield bonds broadly declined.

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 February 29, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		(0.92	)%		(6.19	)%
U.S. small cap equities (Russell 2000^® Index)		(10.16	)		(14.97	)
International equities (MSCI Europe, Australasia, Far East Index)		(9.48	)		(15.18	)
Emerging market equities (MSCI Emerging Markets Index)		(8.85	)		(23.41	)
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.06			0.08
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		5.01			4.11
U.S. investment-grade bonds (Barclays U.S. Aggregate Bond Index)		2.20			1.50
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.56			3.78
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		(5.57	)		(8.26	)
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, 2016				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.

BHL is scheduled to terminate no later than December 31, 2017.

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


Performance and Portfolio Management Commentary

Returns for the six months ended February 29, 2016 were as follows:


	Returns Based On
	Market Price			NAV
BHL^1,2		1.65	%		(3.71	)%
Lipper Loan Participation Funds³		(7.81	)%		(7.18	)%

All returns reflect reinvestment of dividends and/or distributions.

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.

Average return.

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

What factors influenced performance?

•

Credit markets, including floating rate loan interests (bank loans), were in negative territory for the six months ended February 29, 2016, driven in large part by a continued decline in commodity prices. Following a brief recovery entering the period, energy prices were the hardest hit as crude oil slid during the period to below $30 a barrel. The Fund’s modest exposure to the energy sector was the most notable detractor from returns. Positions in collateralized loan obligations (“CLOs”) and high yield bonds detracted from performance as well.

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 general credit quality. The Fund 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. Although there’s been tighter supply in the floating rate loan interests (bank loans) market, the Fund has maintained its highly selective investment approach. From a sector standpoint, the Fund added to names in the technology and health care sectors, while trimming exposure in the pharmaceuticals and lodging sectors. The Fund also reduced its exposure to CLOs during the period.

Describe portfolio positioning at period end.

•

At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with a small position in high yield corporate 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 reduced position in CCC-rated loans, while also avoiding the more volatile segments of that universe, such as oil field services, metals & mining and media companies. The largest individual positions included First Data Corp. (technology), Level 3 Communications, Inc. (wirelines), and Avago Technologies Ltd.

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, 2016


		BlackRock Defined Opportunity Credit Trust


Fund Information
Symbol on New York Stock Exchange (“NYSE”)		BHL
Initial Offering Date		January 31, 2008
Current Distribution Rate on Closing Market Price as of February 29, 2016 ($12.83)¹		4.77%
Current Monthly Distribution per Common Share²		$0.051
Current Annualized Distribution per Common Share²		$0.612
Economic Leverage as of February 29, 2016³		27%

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 distribution rate is not constant and is subject to change.

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


Market Price and Net Asset Value Per Share Summary


	2/29/16		8/31/15		Change			High		Low
Market Price	$	12.83	$	12.95		(0.93	)%	$	13.37	$	12.50
Net Asset Value	$	12.99	$	13.84		(6.14	)%	$	13.87	$	12.92


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

LOGO

Overview of the Fund’s Total Investments


Portfolio Composition	2/29/16			8/31/15
Floating Rate Loan Interests		94	%		94	%
Corporate Bonds		2			3
Asset-Backed Securities		2			3
Short-Term Securities		2			—	⁴
Other⁵		—			—

⁴

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

⁵

Includes less than 1% holding in each of the following investments types: Common Stocks, Investment Companies, Non-Agency Mortgage-Backed Securities, Short-Term Securities and Warrants.


Credit Quality Allocation^5,6	2/29/16			8/31/15
A		—			1	%
BBB/Baa		10	%		8
BB/Ba		46			45
B		35			40
CCC/Caa		3			3
N/R		6			3

⁵

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.

⁶

Excludes Short-Term Securities.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	5


Fund Summary as of February 29, 2016				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.


Performance and Portfolio Management Commentary

Returns for the six months ended February 29, 2016 were as follows:


	Returns Based On
	Market Price			NAV
FRA^1,2		(2.59	)%		(3.36	)%
Lipper Loan Participation Funds³		(7.81	)%		(7.18	)%

All returns reflect reinvestment of dividends and/or distributions.

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.

Average return.

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

What factors influenced performance?

•

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

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 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. Although there’s been tighter supply in the floating rate loan interests (bank loans) market, the Fund has maintained its highly selective investment approach. From a sector standpoint, the Fund added to names in the technology and health care sectors, while trimming exposure in the pharmaceuticals and lodging sectors. The Fund also reduced its exposure to CLOs during the period.

Describe portfolio positioning at period end.

•

At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with a small position in asset-backed securities and high yield corporate 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 reduced position in CCC-rated loans, while also avoiding the more volatile segments of that universe, such as oil field services, metals & mining and media companies. The largest individual positions included First Data Corp. (technology), Level 3 Communications, Inc. (wirelines), and Avago Technologies Ltd.



6	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


				BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information


Symbol on NYSE		FRA
Initial Offering Date		October 31, 2003
Current Distribution Rate on Closing Market Price as of February 29, 2016 ($12.23)¹		5.99%
Current Monthly Distribution per Common Share²		$0.061
Current Annualized Distribution per Common Share²		$0.732
Economic Leverage as of February 29, 2016³		27%

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


Market Price and Net Asset Value Per Share Summary


	2/29/16		8/31/15		Change		High		Low
Market Price		$12.23		$12.94		(5.49)%		$13.20		$11.97
Net Asset Value		$13.99		$14.91		(6.17)%		$14.94		$13.91


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

LOGO

Overview of the Fund’s Total Investments


Portfolio Composition	2/29/16			8/31/15
Floating Rate Loan Interests		94	%		92	%
Asset-Backed Securities		3			4
Corporate Bonds		2			3
Common Stocks		—	⁴		1
Short-Term Securities		1			—	⁴
Other⁵		—			—

⁴

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

⁵

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


Credit Quality Allocation^5,6	2/29/16			8/31/15
A		—			1	%
BBB/Baa		10	%		8
BB/Ba		41			44
B		40			40
CCC/Caa		4			3
N/R		5			4

⁵

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.

⁶

Excludes Short-Term Securities.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	7


Fund Summary as of February 29, 2016				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.


Performance and Portfolio Management Commentary

Returns for the six months ended February 29, 2016 were as follows:


	Returns Based On
	Market Price			NAV
BLW^1,2		(0.64	)%		(3.56	)%
Lipper High Yield Funds (Leveraged)³		(3.57	)%		(8.51	)%

All returns reflect reinvestment of dividends and/or distributions.

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.

Average return.

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

What factors influenced performance?

•

The largest detractors from the Fund’s absolute performance over the period were its allocations to high yield corporate bonds and senior loans. Positions in asset backed securities (“ABS”), U.S. Treasuries, commercial mortgage-backed securities (“CMBS”) and investment-grade corporate bonds also detracted from performance as well.

•

The largest contributors to the Fund’s absolute performance over the period were its exposure to foreign exchange markets and non-U.S. dollar

securities. The Fund’s duration (sensitivity to interest rate movements) and yield curve positioning also supported returns.

•

The Fund held derivatives during the period including Treasury futures, currency forwards, options and credit default swaps. The derivatives were primarily used to adjust duration and yield curve exposure or to manage credit risk. The use of these derivatives did not have a material impact on Fund performance.

Describe recent portfolio activity.

•

While the Fund’s core exposures remained largely consistent over the six-month period, its allocation to ABS, specifically credit loan obligations, was reduced in order to decrease the credit risk in the Fund. In addition, the Fund moved to a longer duration stance.

Describe portfolio positioning at period end.

•

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, senior loans, CMBS and ABS, as well as agency and non-agency residential mortgage-backed securities.



8	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


		BlackRock Limited Duration Income Trust


Fund Information


Symbol on NYSE		BLW
Initial Offering Date		July 30, 2003
Current Distribution Rate on Closing Market Price as of February 29, 2016 ($13.92)¹		7.50%
Current Monthly Distribution per Common Share²		$0.087
Current Annualized Distribution per Common Share²		$1.044
Economic Leverage as of February 29, 2016³		28%

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

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


Market Price and Net Asset Value Per Share Summary


	2/29/16		8/31/15		Change			High		Low
Market Price	$	13.92	$	14.60		(4.66	)%	$	14.91	$	13.31
Net Asset Value	$	15.76	$	17.04		(7.51	)%	$	17.10	$	15.41


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

LOGO


Overview of the Fund’s Total Investments


Portfolio Composition	2/29/16			8/31/15
Corporate Bonds		39	%		38	%
Floating Rate Loan Interests		27			26
Asset-Backed Securities		14			16
Non-Agency Mortgage-Backed Securities		10			10
Preferred Securities		8			8
Foreign Agency Obligations		1			1
U.S. Government Sponsored Agency Securities		1			1
Other⁴		—			—

⁴

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


Credit Quality Allocation^5,6	2/29/16			8/31/15
AAA/Aaa⁷		3	%		2	%
AA/Aa		2			2
A		7			8
BBB/Baa		19			17
BB/Ba		33			31
B		23			25
CCC/Caa		4			5
N/R		9			10

⁵

⁶

Excludes Options Purchased, Options Written and Short-Term Securities.

⁷

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



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	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, a Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by a Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, a Fund’s financing cost of leverage is significantly lower than the income earned on a Fund’s longer-term investments acquired from such leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed 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 respective 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 NAV 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 shareholders and may reduce income to the shareholders. 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 33 1/3% 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 a 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 also 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, if any, are discussed in detail in the Notes to Financial Statements.



10	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016

Schedule of Investments February 29, 2016 (Unaudited)

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)


Asset-Backed Securities (a)(b)	Par (000)			Value
Asset-Backed Securities — 2.0%
ALM Loan Funding, Series 2013-7RA, Class C, 4.07%, 4/24/24		USD	500	$	451,309
ALM XIV Ltd., Series 2014-14A, Class C, 4.07%, 7/28/26			463		386,836
ALM XVII, Ltd., Series 2015-17A, Class C1, 4.75%, 1/15/28			250		240,710
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 4.32%, 10/15/26			250		208,726
Atrium CDO Corp., Series 9A, Class D, 4.14%, 2/28/24			250		213,519
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 5.12%, 1/20/25			250		235,098
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.82%, 10/25/25			250		198,172
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.27%, 11/14/26			250		205,774
Webster Park CLO Ltd., Series 2015-1A, Class B1, 3.61%, 1/20/27			250		242,995
Total Asset-Backed Securities — 2.0%					2,383,139



Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (a)			247		251,660
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16			39		41,431
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18			590		587,788

					880,879
Commercial Services & Supplies — 0.1%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.39%, 12/01/17 (b)			68		68,000
Containers & Packaging — 0.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 3.51%, 12/15/19 (a)(b)			260		252,850
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.:
4.10%, 1/15/18 (b)			228		229,566
6.13%, 1/15/21			127		132,715

					362,281
Health Care Equipment & Supplies — 0.1%
DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (a)			75		62,813
Health Care Providers & Services — 0.3%
Tenet Healthcare Corp., 4.01%, 6/15/20 (a)(b)			310		305,350
Media — 1.2%
Altice Financing SA, 6.63%, 2/15/23 (a)			200		197,000
Altice US Finance I Corp., 5.38%, 7/15/23 (a)			275		278,438
CCO Safari II LLC, 4.91%, 7/23/25 (a)			420		430,878
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22			358		347,260


Corporate Bonds	Par (000)			Value
Media (continued)
Numericable Group SA, 6.00%, 5/15/22 (a)		USD	200	$	198,000

					1,451,576
Oil, Gas & Consumable Fuels — 0.1%
CONSOL Energy, Inc., 5.88%, 4/15/22			90		58,725
MEG Energy Corp., 7.00%, 3/31/24 (a)			100		46,000

					104,725
Total Corporate Bonds — 3.0%					3,488,474



Floating Rate Loan Interests (b)
Aerospace & Defense — 1.7%
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21			629		628,356
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21			275		257,812
Transdigm, Inc.:
2015 Term Loan E, 3.50%, 5/14/22			218		208,268
Term Loan C, 3.75%, 2/28/20			649		629,478
Term Loan D, 3.75%, 6/04/21			260		247,988

					1,971,902
Air Freight & Logistics — 0.6%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21			156		120,084
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			162		124,418
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			25		19,486
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			223		171,611
XPO Logistics, Inc., Term Loan, 5.50%, 11/01/21			305		302,523

					738,122
Airlines — 0.7%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			319		318,216
Northwest Airlines, Inc.:
2.39%, 3/10/17			90		88,440
1.77%, 9/10/18			164		158,595
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			255		252,331

					817,582
Auto Components — 2.2%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20			239		238,897
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17			593		475,503
2nd Lien Term Loan, 11.00%, 1/29/18			200		95,760
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19			218		213,563
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			323		234,417
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21			1,110		975,413
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19			200		200,500


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	SEK	Swedish Krona
CHF	Swiss Franc	LIBOR	London Interbank Offered Rate	USD	U.S. Dollar
CLO	Collateralized Loan Obligation	NOK	Norwegian Krone

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	11


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


Floating Rate Loan Interests (b)	Par (000)			Value
Auto Components (continued)
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20		USD	156	$	155,554

					2,589,607
Automobiles — 0.6%
Chrysler Group LLC, Term Loan B:
2018, 3.25%, 12/31/18			187		184,887
3.50%, 5/24/17			515		512,293

					697,180
Banks — 0.3%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			255		250,871
2nd Lien Term Loan, 8.25%, 6/03/21			69		64,312

					315,183
Biotechnology — 0.2%
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21			193		185,823
Building Materials — 0.5%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.50%, 7/28/23			145		133,400
2015 Term Loan, 4.75%, 7/28/22			551		514,135

					647,535
Building Products — 2.7%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20			283		276,046
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,178		1,107,782
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			268		251,996
Hanson Building Products Ltd., 1st Lien Term Loan, 6.50%, 3/13/22			12		10,517
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			418		413,298
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			221		208,535
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			383		373,115
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			108		104,746
Term Loan B, 4.00%, 10/31/19			492		477,814

					3,223,849
Capital Markets — 1.0%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			296		258,181
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17			193		191,335
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20			780		776,686

					1,226,202
Chemicals — 3.6%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19			250		246,495
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19			130		127,894
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			486		478,932
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			26		25,891
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22			259		254,556
Chemours Co., Term Loan B, 3.75%, 5/12/22			190		171,073
Chemtura Corp., Term Loan B, 3.50%, 8/27/16			62		61,991
Chromaflo Technologies Corp., 2nd Lien Term Loan, 8.25%, 6/02/20			110		81,397
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			69		51,163
Huntsman International LLC, 2013 Incremental Term Loan, 3.75%, 10/01/21			305		294,101


Floating Rate Loan Interests (b)	Par (000)			Value
Chemicals (continued)
Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20		USD	164	$	162,466
MacDermid, Inc.:
1st Lien Term Loan, 5.50%, 6/07/20			389		352,646
Term Loan B2, 5.50%, 6/07/20			32		29,172
Term Loan B3, 5.50%, 6/07/20			234		213,022
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			572		550,754
Royal Holdings, Inc.:
2015 1st Lien Term Loan, 4.50%, 6/19/22			259		249,213
2015 2nd Lien Term Loan, 8.50%, 6/19/23			110		105,234
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			351		331,502
2nd Lien Term Loan, 7.75%, 7/31/22			390		307,125
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			120		116,144

					4,210,771
Commercial Services & Supplies — 7.0%
ADMI Corp., 2015 Term Loan B, 5.50%, 4/30/22			263		261,755
ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19			700		678,856
ARAMARK Corp.:
Extended Synthetic Line of Credit 2, 0.28%, 7/26/16			2		1,628
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16			1		1,101
Term Loan E, 3.25%, 9/07/19			571		567,926
Term Loan F, 3.25%, 2/24/21			193		191,066
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			640		588,562
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			952		941,925
Connolly Corp.:
1st Lien Term Loan, 4.50%, 5/14/21			675		651,181
2nd Lien Term Loan, 8.00%, 5/14/22			325		318,500
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21			238		235,421
Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21			214		212,865
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21			304		302,584
Koosharem LLC, Exit Term Loan, 7.50%, 5/16/20			482		436,009
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			302		275,048
PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21			371		367,537
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			986		936,468
US Ecology, Inc., Term Loan, 3.75%, 6/17/21			163		162,305
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/27/20			505		503,372
West Corp., Term Loan B10, 3.25%, 6/30/18			590		579,644

					8,213,753
Communications Equipment — 1.7%
Applied Systems, Inc.:
1st Lien Term Loan, 4.25%, 1/25/21			184		178,205
2nd Lien Term Loan, 7.50%, 1/24/22			85		76,925
Avaya, Inc., Term Loan B7, 6.25%, 5/29/20			166		96,991
CommScope, Inc., Term Loan B5, 3.83%, 12/29/22			209		207,554
Riverbed Technology, Inc., Term Loan B, 6.00%, 4/24/22			91		88,700
Telesat Canada, Term Loan B2, 3.50%, 3/28/19			140		136,500
Zayo Group LLC:
Term Loan B, 3.75%, 5/06/21			1,023		1,008,043
Term Loan B2, 4.50%, 5/06/21			220		219,505

					2,012,423

See Notes to Financial Statements.



12	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


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


Floating Rate Loan Interests (b)	Par (000)			Value
Construction & Engineering — 0.1%
AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21		USD	133	$	132,986
Construction Materials — 1.2%
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20			309		297,167
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21			843		824,521
Headwaters, Inc., Term Loan B, 4.50%, 3/24/22			163		163,035
McJunkin Red Man Corp., Term Loan, 4.75%, 11/08/19			99		87,193

					1,371,916
Containers & Packaging — 1.8%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19			505		498,822
Berry Plastics Holding Corp.:
Term Loan E, 3.75%, 1/06/21			286		281,215
Term Loan F, 4.00%, 10/01/22			1,182		1,174,387
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			185		175,243

					2,129,667
Distributors — 0.6%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			366		360,501
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			347		336,738

					697,239
Diversified Consumer Services — 3.5%
Allied Security Holdings LLC:
1st Lien Term Loan, 4.25%, 2/12/21			645		620,433
2nd Lien Term Loan, 8.00%, 8/13/21			321		280,662
AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22			390		372,938
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.50%, 1/30/20			79		78,804
Term Loan B, 4.00%, 1/30/20			626		622,966
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21			273		263,400
ROC Finance LLC, Term Loan, 5.00%, 6/20/19			244		219,021
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21			1,702		1,686,192

					4,144,416
Diversified Financial Services — 3.1%
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22			434		429,122
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			223		217,738
Jefferies Finance LLC, Term Loan, 4.50%, 5/14/20			597		586,553
Onex Wizard US Acquisition, Inc., Term Loan, 4.25%, 3/13/22			462		448,766
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.50%, 12/01/18			856		852,796
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			415		409,794
TransFirst, Inc.:
2014 2nd Lien Term Loan, 9.00%, 11/12/22			190		189,033
Incremental Term Loan B, 4.75%, 11/12/21			494		493,297

					3,627,099
Diversified Telecommunication Services — 4.2%
Altice Financing SA, Term Loan:
Delayed Draw, 5.50%, 7/02/19			676		668,174
5.25%, 2/04/22			9		8,707
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19			513		506,296
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/14/20			507		476,777
2nd Lien Term Loan, 9.75%, 2/12/21			168		158,377


Floating Rate Loan Interests (b)	Par (000)				Value
Diversified Telecommunication Services (continued)
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20		USD	2,330		$	2,325,643
2019 Term Loan, 4.00%, 8/01/19			350			349,027
Virgin Media Investment Holdings Ltd., Term Loan F, 3.50%, 6/30/23			525			508,122

						5,001,123
Electrical Equipment — 0.9%
Texas Competitive Electric Holdings Co. LLC:
DIP Term Loan, 3.75%, 11/07/16			1,023			1,013,582
Extended Term Loan, 4.91%, 10/10/17 (c)(d)			380			103,740

						1,117,322
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.25%, 4/29/20			370			365,401
CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22			176			171,091

						536,492
Energy Equipment & Services — 0.9%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			174			162,512
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			262			156,969
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			1,070			758,940

						1,078,421
Food & Staples Retailing — 3.0%
Albertsons LLC, Term Loan B4, 5.50%, 8/25/21			900			877,814
Hostess Brands LLC:
1st Lien Term Loan, 4.50%, 8/03/22			494			486,973
2nd Lien Term Loan, 8.50%, 8/03/23			16			14,883
Rite Aid Corp.:
5.75%, 8/21/20			235			234,608
4.88%, 6/21/21			405			403,566
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19			505			475,456
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19			1,035			1,020,666

						3,513,966
Food Products — 2.2%
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20			254			240,172
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			608			590,351
Pabst Brewing Co., Inc., Term Loan, 5.50%, 10/21/21			400			392,765
Performance Food Group Co., 2nd Lien Term Loan, 6.00%, 11/14/19			155			155,140
Pinnacle Foods Finance LLC:
Incremental Term Loan I, 3.75%, 1/13/23			115			115,245
Term Loan G, 3.00%, 4/29/20			605			598,889
Post Holdings Inc., Series A Incremental Term Loan, 3.75%, 6/02/21			—	(e)		134
Reddy Ice Corp.:
1st Lien Term Loan, 6.75%, 5/01/19			361			289,783
2nd Lien Term Loan, 10.75%, 11/01/19			270			176,175

						2,558,654
Health Care Equipment & Supplies — 4.2%
Alere, Inc., 2015 Term Loan B, 4.25%, 6/18/22			708			706,625
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22			422			411,548
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18			433			428,462
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			746			717,429

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	13


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


Floating Rate Loan Interests (b)	Par (000)			Value
Health Care Equipment & Supplies (continued)
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18		USD	689	$	669,557
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			515		464,821
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			697		651,953
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			619		527,113
Sage Products Holdings III LLC, Refinancing Term Loan B2, 4.25%, 12/13/19			321		320,545

					4,898,053
Health Care Providers & Services — 8.8%
Acadia Healthcare Co., Inc.:
Term Loan B, 4.25%, 2/11/22			111		110,811
Term Loan B2, 4.50%, 2/16/23			490		489,084
Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22			104		98,801
Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21			690		685,763
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19			562		551,534
Community Health Systems, Inc.:
Term Loan F, 3.69%, 12/31/18			336		326,665
Term Loan G, 3.75%, 12/31/19			715		681,515
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/07/22			347		341,515
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			2,182		2,177,412
Envision Healthcare Corp., Term Loan:
4.25%, 5/25/18			418		415,855
B2, 4.50%, 10/28/22			205		203,770
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22			328		325,148
HCA, Inc., Term Loan B5, 3.19%, 3/31/17			312		311,420
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21			560		545,337
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			105		102,216
NVA Holdings, Inc.:
1st Lien Term Loan, 4.75%, 8/14/21			4		3,596
2016 Term Loan, 5.50%, 8/14/21			100		97,750
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			718		689,472
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			437		423,009
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22			507		501,727
Team Health, Inc., 2015 Term Loan B, 4.50%, 11/23/22			488		487,885
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			345		340,905
Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23			465		462,094

					10,373,284
Health Care Technology — 0.6%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			747		730,520
Hotels, Restaurants & Leisure — 8.7%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			483		446,683
2nd Lien Term Loan, 8.00%, 8/01/22			322		315,051
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20			219		217,322
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20			564		315,966
Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21			1,078		1,071,920


Floating Rate Loan Interests (b)	Par (000)			Value
Hotels, Restaurants & Leisure (continued)
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20		USD	1,742	$	1,579,254
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			340		337,455
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21			421		407,986
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22			484		477,331
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19			210		210,351
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20			593		590,271
La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21			370		352,741
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			588		585,060
MGM Resorts International, Term Loan B, 3.50%, 12/20/19			874		865,252
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20			128		127,946
RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21			291		288,904
Sabre, Inc.:
Incremental Term Loan, 4.00%, 2/19/19			112		111,288
Term Loan B, 4.00%, 2/19/19			593		587,028
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20			267		245,443
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20			1,085		1,068,247

					10,201,499
Household Durables — 0.3%
Jarden Corp., 2015 Term Loan B2, 3.19%, 7/30/22			354		353,153
Household Products — 0.9%
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20			181		169,714
Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22			925		921,858

					1,091,572
Independent Power and Renewable Electricity Producers — 3.6%
Aria Energy Operating LLC, Term Loan, 5.00%, 5/27/22			328		272,531
Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20			364		341,767
Calpine Corp.:
Term Loan B3, 4.00%, 10/09/19			247		238,966
Term Loan B5, 3.50%, 5/27/22			270		254,917
Term Loan B6, 4.00%, 1/15/23			485		468,025
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16			1,248		1,241,490
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			703		633,185
Term Loan C, 5.00%, 12/19/21			31		28,142
NRG Energy, Inc., Refinancing Term Loan B, 2.75%, 7/02/18			449		440,569
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21			348		278,149

					4,197,741
Industrial Conglomerates — 0.1%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			153		90,201
Insurance — 1.4%
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20			144		133,482
Asurion LLC:
Term Loan B1, 5.00%, 5/24/19			82		77,138
Term Loan B4, 5.00%, 8/04/22			278		254,305
Cooper Gay Swett & Crawford of Delaware Holding Corp., 1st Lien Term Loan, 5.00%, 4/16/20			365		357,850
Sedgwick Claims Management Services, Inc.:
1st Lien Term Loan, 3.75%, 3/01/21			452		430,202

See Notes to Financial Statements.



14	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


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


Floating Rate Loan Interests (b)	Par (000)			Value
Insurance (continued)
Sedgwick Claims Management Services, Inc. (continued):
2nd Lien Term Loan, 6.75%, 2/28/22		USD	410	$	358,065

					1,611,042
Internet Software & Services — 0.5%
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21			566		562,048
W3 Co., 2nd Lien Term Loan, 9.25%, 9/11/20			155		61,845

					623,893
IT Services — 3.7%
Blue Coat Holdings, Inc., 2015 Term Loan, 4.50%, 5/20/22			828		784,459
First Data Corp.:
2018 Extended Term Loan, 3.93%, 3/24/18			2,845		2,806,110
2018 Term Loan, 3.93%, 9/24/18			295		290,522
2021 Extended Term Loan, 4.43%, 3/24/21			125		122,949
Vantiv LLC, 2014 Term Loan B, 3.75%, 6/13/21			387		386,417

					4,390,457
Leisure Products — 0.3%
Bauer Performance Sports Ltd., Term Loan B, 4.50%, 4/15/21			328		302,105
Machinery — 2.1%
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19			273		271,787
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			249		243,568
Term Loan B3, 4.25%, 8/30/20			76		74,223
Infiltrator Systems, Inc., 2015 Term Loan, 5.25%, 5/27/22			338		332,364
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21			178		177,977
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			558		533,616
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			747		606,560
Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22			201		199,462

					2,439,557
Manufacture Goods — 0.1%
KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20			70		69,430
Media — 12.7%
Altice US Finance I Corp., Extended Term Loan, 4.25%, 12/14/22			840		822,572
Cengage Learning Acquisitions, Inc., Term Loan:
1st Lien, 7.00%, 3/31/20			963		924,000
0.00%, 7/03/16 (c)(d)(f)			591		—
Charter Communications Operating LLC:
Term Loan H, 3.25%, 8/24/21			240		235,757
Term Loan I, 3.50%, 1/24/23			1,465		1,455,844
Clear Channel Communications, Inc., Term Loan D, 7.19%, 1/30/19			1,239		810,500
Gray Television, Inc., Term Loan C, 4.25%, 6/13/21			165		164,381
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			379		356,399
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			629		610,886
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			759		674,636
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22			275		262,281
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20			112		111,991


Floating Rate Loan Interests (b)	Par (000)			Value
Media (continued)
MCC Iowa LLC:
Term Loan I, 2.90%, 6/30/17		USD	246	$	243,684
Term Loan J, 3.75%, 6/30/21			123		121,524
Media General, Inc., Term Loan B, 4.00%, 7/31/20			242		241,277
Mediacom Communications Corp., Term Loan F, 2.90%, 3/31/18			251		244,587
Mediacom Illinois LLC, Term Loan E, 3.40%, 10/23/17			166		164,587
Neptune Finco Corp., 2015 Term Loan B, 5.00%, 10/09/22			910		900,672
Numericable U.S. LLC:
Term Loan B1, 4.50%, 5/21/20			504		484,453
Term Loan B2, 4.50%, 5/21/20			436		419,118
Term Loan B6, 4.75%, 2/10/23			530		509,023
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			1,028		1,008,646
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20			39		38,354
Tribune Media Co., Term Loan, 3.75%, 12/27/20			820		811,342
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			1,315		1,277,305
Virgin Media Investment Holdings Ltd., Term Loan E, 4.25%, 6/30/23		GBP	650		862,553
WideOpenWest Finance LLC, Term Loan B1, 3.75%, 7/17/17		USD	105		103,816
Ziggo Financing Partnership:
Term Loan B1, 3.50%, 1/15/22			425		407,770
Term Loan B2A, 3.60%, 1/15/22			276		264,516
Term Loan B3, 3.60%, 1/15/22			453		435,033

					14,967,507
Metals & Mining — 0.5%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			100		15,625
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			588		547,024

					562,649
Multiline Retail — 2.1%
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			822		780,136
2nd Lien Term Loan, 8.50%, 3/26/20			200		164,916
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22			863		862,788
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22			305		302,599
Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			374		313,229

					2,423,668
Oil, Gas & Consumable Fuels — 2.4%
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			250		245,904
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			278		78,459
Energy Transfer Equity LP, Term Loan, 3.25%, 12/02/19			47		37,567
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21			205		183,475
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			325		289,250
Power Buyer LLC:
1st Lien Term Loan, 4.25%, 5/06/20			114		111,582
2nd Lien Term Loan, 8.25%, 11/06/20			105		98,306
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21			329		225,862
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21			60		35,105
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			540		276,622

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	15


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


Floating Rate Loan Interests (b)	Par (000)			Value
Oil, Gas & Consumable Fuels (continued)
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21		USD	137	$	20,545
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22			270		265,474
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21			494		462,284
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			377		351,062
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			132		128,331

					2,809,828
Personal Products — 0.5%
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21			641		639,137
Pharmaceuticals — 6.3%
Akorn, Inc., Term Loan B, 6.00%, 4/16/21			333		331,191
Amneal Pharmaceuticals LLC, Term Loan, 4.50%, 11/01/19			397		389,468
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			209		201,424
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			782		740,769
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22			765		755,652
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.44%, 2/27/21			966		962,936
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			1,221		1,189,862
Valeant Pharmaceuticals International, Inc.:
Series C2 Term Loan B, 3.75%, 12/11/19			849		796,801
Series D2 Term Loan B, 3.50%, 2/13/19			568		531,437
Series E Term Loan B, 3.75%, 8/05/20			461		430,416
Term Loan B F1, 4.00%, 4/01/22			1,095		1,022,631

					7,352,587
Professional Services — 3.7%
Acosta Holdco, Inc., 2015 Term Loan, 4.25%, 9/26/21			181		170,105
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			484		458,827
2014 2nd Lien Term Loan, 7.50%, 7/25/22			160		132,800
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			710		694,419
ON Assignment, Inc., 2015 Term Loan, 3.75%, 6/03/22			551		549,665
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19			408		385,678
Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22			493		478,980
TransUnion LLC, Term Loan B2, 3.50%, 4/09/21			1,235		1,203,043
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19			287		285,733

					4,359,250
Real Estate Investment Trusts (REITs) — 0.2%
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22			219		203,236
Real Estate Management & Development — 1.9%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			508		504,516
DTZ US Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21			548		526,581
Realogy Corp.:
Extended Letter of Credit, 0.10%, 10/10/16			40		39,344
Term Loan B, 3.75%, 3/05/20			1,170		1,158,521

					2,228,962


Floating Rate Loan Interests (b)	Par (000)			Value
Road & Rail — 1.4%
Hertz Corp., Term Loan B2, 3.00%, 3/11/18		USD	974	$	954,383
Road Infrastructure Investment LLC:
1st Lien Term Loan, 4.25%, 3/31/21			457		435,541
2nd Lien Term Loan, 7.75%, 9/30/21			225		209,250

					1,599,174
Semiconductors & Semiconductor Equipment — 3.8%
Avago Technologies Cayman Ltd., 2016 Term Loan B1, 4.25%, 2/01/23			2,640		2,601,641
Microsemi Corp., 2015 Term Loan B, 5.25%, 1/15/23			223		222,862
NXP BV:
2015 Term Loan B, 3.75%, 12/07/20			1,292		1,288,822
Term Loan D, 3.25%, 1/11/20			323		316,469

					4,429,794
Software — 6.2%
Epicor Software Corp., 1st Lien Term Loan, 4.75%, 6/01/22			499		438,116
Evertec Group LLC, Term Loan B, 3.25%, 4/17/20			239		226,633
GCA Services Group, Inc.:
2016 Term Loan, 5.75%, 2/19/23			430		427,046
2nd Lien Term Loan, 9.25%, 11/01/20			176		173,800
Term Loan B, 4.25%, 11/01/19			351		348,975
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			710		654,014
Informatica Corp., Term Loan, 4.50%, 8/05/22			787		739,508
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			114		88,499
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20			409		395,688
Initial Incremental Term Loan, 4.50%, 10/30/19			485		471,943
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/13/20			493		450,672
2nd Lien Term Loan, 8.50%, 10/11/21			350		281,750
SolarWinds, Inc., Term Loan, 6.50%, 2/03/23			655		626,835
Solera Holdings, Inc., Term Loan B, 5.75%, 2/10/23			240		234,300
Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22			245		234,287
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.00%, 7/08/22			1,249		1,237,681
2015 Term Loan B2, 4.08%, 7/08/22			179		177,711

					7,207,458
Specialty Retail — 3.0%
CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23			285		282,863
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20			295		289,761
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19			250		240,609
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20			538		532,462
Term Loan B, 3.75%, 1/28/20			510		503,046
Party City Holdings, Inc., 2015 Term Loan B, 4.25%, 8/19/22			708		678,657
Petco Animal Supplies, Inc.:
2016 Term Loan B1, 5.75%, 1/26/23			180		176,240
2016 Term Loan B2, 5.62%, 1/26/23			375		367,110
PetSmart, Inc., Term Loan B, 4.25%, 3/11/22			275		266,083
Things Remembered, Inc., Term Loan B, 8.25%, 5/24/18			344		154,618

					3,491,449
Technology Hardware, Storage & Peripherals — 0.9%
Dell International LLC, Term Loan B2, 4.00%, 4/29/20			315		313,033
Dell, Inc., Term Loan C, 3.75%, 10/29/18			617		615,463
Linxens France SA, Term Loan, 5.00%, 10/14/22			180		171,900

					1,100,396

See Notes to Financial Statements.



16	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


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


Floating Rate Loan Interests (b)	Par (000)			Value
Textiles, Apparel & Luxury Goods — 0.4%
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18		USD	522	$	473,232
Thrifts & Mortgage Finance — 0.4%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			437		432,497
Trading Companies & Distributors — 0.2%
Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22			244		242,333
Transportation — 0.2%
Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22			290		240,158
Transportation Infrastructure — 0.2%
Penn Products Terminals LLC, Term Loan B, 4.75%, 4/13/22			254		223,558
Wireless Telecommunication Services — 2.6%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20			1,138		1,106,217
New Lightsquared LLC, PIK Exit Term Loan, (9.75% PIK), 9.75%, 6/15/20 (g)			1,300		1,131,000
T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22			835		835,526

					3,072,743
Total Floating Rate Loan Interests — 129.6%					152,191,356



Non-Agency Mortgage-Backed Securities — 0.3%
Collateralized Mortgage Obligations — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (a)(b)			304		302,398


Investment Companies	Shares		Value
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust		12	$	144
Eaton Vance Senior Income Trust		3,347		17,907
Total Investment Companies — 0.0%				18,051



Warrants — 0.0%
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		2,279
Total Long-Term Investments (Cost — $165,981,717) — 134.9%				158,385,697



Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.37% (h)(i)		3,803,278		3,803,278
Total Short-Term Securities (Cost — $3,803,278) — 3.2%				3,803,278
Total Investments (Cost — $169,784,995) — 138.1%				162,188,975
Liabilities in Excess of Other Assets — (38.1)%				(44,754,167	)

Net Assets — 100.0%			$	117,434,808

Notes to Schedule of Investments

(a)

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.

(b)

Variable rate security. Rate as of period end.

(c)

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

(d)

Non-income producing security.

(e)

Amount is less than $500.

(f)

Zero-coupon bond.

(g)

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

(h)

During the period ended February 29, 2016, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


Affiliate	Shares Held at August 31, 2015		Net Activity		Shares Held at February 29, 2016		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		254,052		3,549,226		3,803,278	$	258

(i)

Current yield as of period end.

•

For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.


Derivative Financial Instruments Outstanding as of Period End

Financial Futures Contracts

Contracts
Short

Issue

Expiration

Notional Value

Unrealized
Depreciation

)

10-Year U.S. Treasury Note

June 2016

USD 522,063

(455

)

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	17


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

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	727,124	GBP	509,000	UBS AG		3/03/16	$	18,672
USD	705,301	GBP	509,000	Royal Bank of Scotland PLC		4/05/16		(3,244	)
Total							$	15,428

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:


Assets — Derivative Financial Instruments		Commodity Contracts		Credit Contracts		Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts		Other Contracts		Total
Forward foreign currency exchange contracts	Unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	18,672		—		—	$	18,672
Liabilities — Derivative Financial Instruments
Financial futures contracts	Net unrealized depreciation¹		—		—		—		—	$	455		—	$	455
Forward foreign currency exchange contracts	Unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	3,244		—		—		3,244
Total			—		—		—	$	3,244	$	455		—	$	3,699

¹Includes cumulative appreciation (depreciation) on financial futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

For the six months ended February 29, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Net Realized Gain (Loss) from:	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts		Interest Rate Contracts			Other Contracts		Total
Financial futures contracts		—		—			—		—	$	(16,603	)		—	$	(16,603	)
Forward foreign currency exchange contracts		—		—			—	$	40,699		—			—		40,699
Swaps		—	$	(15,068	)		—		—		—			—		(15,068	)

Total		—	$	(15,068	)		—	$	40,699	$	(16,603	)		—	$	9,028


Net Change in Unrealized Appreciation (Depreciation) on:
Financial futures contracts		—		—			—		—	$	(958	)		—	$	(958	)
Forward foreign currency exchange contracts		—		—			—	$	4,088		—			—		4,088
Swaps		—	$	7,012			—		—		—			—		7,012

Total		—	$	7,012			—	$	4,088	$	(958	)		—	$	10,142


Average Quarterly Balances of Outstanding Derivative Financial Instruments


Financial futures contracts:
Average notional value of contracts — short	$	513,906
Forward foreign currency exchange contracts:
Average amounts purchase — in USD	$	1,489,307
Credit default swaps:
Average notional value — sell protection	$	643,500	¹
¹ Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter.

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

See Notes to Financial Statements.



18	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016


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

Derivative Financial Instruments — Offsetting as of Period End

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


	Assets		Liabilities
Financial futures contracts		—	$	563
Forward foreign currency exchange contracts	$	18,672		3,244

Total derivative assets and liabilities in the Statements of Assets and Liabilities		18,672		3,807

Derivatives not subject to a master netting agreement or similar agreement (“MNA”)		—		(563	)

Total derivative assets and liabilities subject to an MNA	$	18,672	$	3,244


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets¹
UBS AG	$	18,672		—		—		—	$	18,672


Counterparty	Derivative Liabilities Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Pledged		Cash Collateral Pledged		Net Amount of Derivative Liabilities²
Royal Bank of Scotland PLC	$	3,244		—		—		—	$	3,244
¹Net amount represents the net amount receivable from the counterparty in the event of default.
²Net amount represents the net amount payable due to the counterparty in the event of default.

Fair Value Hierarchy as of Period End

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:
Asset-Backed Securities		—		$	1,899,434		$	483,705	$	2,383,139
Corporate Bonds		—			3,488,474			—		3,488,474
Floating Rate Loan Interests		—			140,830,836			11,360,520		152,191,356
Investment Companies	$	18,051			—			—		18,051
Non-Agency Mortgage-Backed Securities		—			302,398			—		302,398
Warrants		—			—			2,279		2,279
Short-Term Securities		3,803,278			—			—		3,803,278

Total	$	3,821,329		$	146,521,142		$	11,846,504	$	162,188,975


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Foreign currency exchange contracts		—		$	18,672			—	$	18,672
Liabilities:
Interest contracts	$	(455	)		—			—		(455	)
Foreign currency exchange contracts		—			(3,244	)		—		(3,244	)

Total	$	(455	)	$	15,428			—	$	14,973

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

See Notes to Financial Statements.



SEMI-ANNUAL REPORT	FEBRUARY 29, 2016	19


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


The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	241,200		—			—	$	241,200
Cash pledged for financial futures contracts		5,700		—			—		5,700
Foreign currency at value		1,878		—			—		1,878
Liabilities:
Bank borrowings payable		—	$	(43,000,000	)		—		(43,000,000	)

Total	$	248,778	$	(43,000,000	)		—	$	(42,751,222	)

During the period ended February 29, 2016, there were no transfers between Level 1 and Level 2.

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


	Asset-Backed Securities			Floating Rate Loan Interests			Warrants			Total
Opening balance, as of August 31, 2015	$	1,801,100		$	7,593,019		$	5,940		$	9,400,059
Transfers into Level 3¹		—			6,810,499			—			6,810,499
Transfers out of Level 3²		—			(2,572,329	)		—			(2,572,329	)
Accrued discounts/premiums		3,180			5,527			—			8,707
Net realized gain (loss)		(234,932	)		(8,918	)		—			(243,850	)
Net change in unrealized appreciation (depreciation)^3,4		(5,830	)		(1,051,708	)		(3,661	)		(1,061,199	)
Purchases		488,209			1,980,768			—			2,468,977
Sales		(1,568,022	)		(1,396,338	)		—			(2,964,360	)
Closing Balance, as of February 29, 2016	$	483,705		$	11,360,520		$	2,279		$	11,846,504

Net change in unrealized appreciation (depreciation) on investments still held at February 29, 2016⁴	$	(4,566	)	$	(1,052,363	)	$	(3,661	)	$	(1,060,540	)

¹ As of August 31, 2015, the Fund used observable inputs in determining the value of certain investments. As of February 29, 2016, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $6,810,499 transferred from Level 2 to Level 3 in the disclosure hierarchy.
² As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of February 29, 2016, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $2,572,329 transferred from Level 3 to Level 2 in the disclosure hierarchy.
³ Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.
⁴ Any difference between net change in unrealized appreciation (depreciation) on investments still held at February 29, 2016 is generally due to investments no longer held or categorized as Level 3 at period end.

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

See Notes to Financial Statements.



20	SEMI-ANNUAL REPORT	FEBRUARY 29, 2016

Consolidated Schedule of Investments February 29, 2016 (Unaudited)

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

(Percentages shown are based on Net Assets)


Common Stocks (a)	Shares		Value
Capital Markets — 0.1%
E*Trade Financial Corp.		12,476	$	292,683
Chemicals — 0.0%
GEO Specialty Chemicals, Inc.		143,928		57,571
GEO Specialty Chemicals, Inc. (b)		23,849		9,540

				67,111
Diversified Financial Services — 0.0%
Kcad Holdings I Ltd.		309,827,230		3,098
Health Care Management Services — 0.0%
New Millennium HoldCo, Inc.		14,906		191,289
Semiconductors & Semiconductor Equipment — 0.0%
SunPower Corp.		1,860		43,933
Total Common Stocks — 0.1%				598,114