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: 08/31/2016

Item 1 – Report to Stockholders

AUGUST 31, 2016

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		65
Statements of Operations		67
Statements of Changes in Net Assets		68
Statements of Cash Flows		69
Financial Highlights		71
Notes to Financial Statements		74
Report of Independent Registered Public Accounting Firm		88
Important Tax Information		88
Disclosure of Investment Advisory Agreements		89
Automatic Dividend Reinvestment Plans		93
Officers and Directors		94
Additional Information		97



2	ANNUAL REPORT	AUGUST 31, 2016

The Markets in Review

Dear Shareholder,

Uneven economic outlooks and the divergence of monetary policies across regions have been the overarching themes driving financial markets over the past couple of years. In the latter half of 2015, investors were focused largely on the timing of the Federal Reserve’s (the “Fed”) decision to end its near-zero interest rate policy. The Fed ultimately hiked rates in December, while, in contrast, the European Central Bank and the Bank of Japan increased stimulus, even introducing negative interest rates. The U.S. dollar had strengthened considerably, causing profit challenges for U.S. companies that generate revenues overseas, and pressuring emerging market currencies and commodities prices. Also during this time period, oil prices collapsed due to excess global supply. China showed signs of slowing economic growth and declining confidence in the country’s policymakers stoked worries about the potential impact on the global economy. Risk assets (such as equities and high yield bonds) struggled as volatility increased.

The elevated market volatility spilled over into 2016, but as the first quarter wore on, fears of a global recession began to fade, allowing markets to calm and risk assets to rebound. Central bank stimulus in Europe and Japan, combined with a more tempered outlook for rate hikes in the United States, helped bolster financial markets. A softening in U.S. dollar strength brought relief to U.S. exporters and emerging market economies, and oil prices rebounded as the world’s largest producers agreed to reduce supply.

Volatility spiked in late June when the United Kingdom shocked investors with its vote to leave the European Union. Uncertainty around how the British exit might affect the global economy and political landscape drove investors to high-quality assets, pushing already low global yields to even lower levels. However, risk assets recovered swiftly in July as economic data suggested that the consequences had thus far been contained to the United Kingdom.

With a number of factors holding interest rates down — central bank accommodation, an aging population in need of income, and institutions such as insurance companies and pension plans needing to meet liabilities — assets offering decent yield have become increasingly scarce. As a result, income-seeking investors have stretched into riskier assets despite high valuations in many sectors.

Market volatility touched a year-to-date low in August, which may be a signal that investors have become complacent given persistent macro risks: Geopolitical turmoil continues to loom. A surprise move from the Fed — i.e., raising rates sooner than expected — has the potential to roil markets. And perhaps most likely to stir things up — the U.S. presidential election.

At BlackRock, we believe investors need to think globally, extend their scope across a broad array of asset classes and be prepared to adjust accordingly 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, 2016
	6-month			12-month
U.S. large cap equities (S&P 500^® Index)		13.60	%		12.55	%
U.S. small cap equities (Russell 2000^® Index)		20.87			8.59
International equities (MSCI Europe, Australasia, Far East Index)		10.35			(0.12	)
Emerging market equities (MSCI Emerging Markets Index)		22.69			11.83
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)		0.17			0.23
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)		2.22			7.35
U.S. investment grade bonds (Bloomberg Barclays U.S. Aggregate Bond Index)		3.68			5.97
Tax-exempt municipal bonds (S&P Municipal Bond Index)		3.35			7.03
U.S. high yield bonds (Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index)		15.56			9.12
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, 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 managed 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 by a nationally recognized credit rating organization or unrated securities that are deemed to be of comparable quality by the investment adviser; 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 12 months ended August 31, 2016 were as follows:


	Returns Based On
	Market Price			NAV
BHL^1,2		8.79	%		3.91	%
Lipper Loan Participation Funds³		10.37	%		3.86	%

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.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

What factors influenced performance?

•

Credit markets produced positive returns during the 12-month period, with initial declines during the first half of the period giving way to a rebound in the second half. Floating rate loan interests (bank loans) benefited from the steadily improving appetite for credit during the period, but underperformed high yield bonds. Commodity-focused assets make up less of the overall bank loan universe compared to the high yield bond market, and so the recovery in the energy and metals & mining industries during the period did not benefit loans to the same degree. The Fund’s tactical allocation to high yield bonds contributed to performance.

•

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

•

Primary detractors from the Fund’s performance included small positions in equities and equity-like assets, as well as credit positions in the oilfield services and integrated energy industries within the energy sector.

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. In order to capture momentum from the recovery in commodity-related assets, the Fund selectively added to its fixed rate high yield bond allocation. 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.

Describe portfolio positioning at period end.

•

The Fund held a majority of its total portfolio in floating rate bank loans, with a modest position in relatively conservative 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 oilfield services, metals & mining, and media companies. Leading individual positions included Level 3 Communications, Inc. (wirelines), Altice NV (cable & satellite), and First Data Corp. (technology).

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, 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 August 31, 2016 ($13.42)¹		4.56%
Current Monthly Distribution per Common Share²		$0.051
Current Annualized Distribution per Common Share²		$0.612
Economic Leverage as of August 31, 2016³		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 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


	8/31/16		8/31/15		Change			High		Low
Market Price	$	13.42	$	12.95		3.63	%	$	13.61	$	12.50
Net Asset Value	$	13.70	$	13.84		(1.01	)%	$	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	8/31/16			8/31/15
Floating Rate Loan Interests		95	%		94	%
Corporate Bonds		4			3
Asset-Backed Securities		1			3
Short-Term Securities⁴		—			—
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 and Warrants.


Credit Quality Allocation^6,7	8/31/16			8/31/15
A		—	⁴		1	%
BBB/Baa		11	%		8
BB/Ba		45			45
B		39			40
CCC/Caa		2			3
N/R		3			3

⁶

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.

⁷

Excludes Short-Term Securities.



ANNUAL REPORT	AUGUST 31, 2016	5


Fund Summary as of August 31, 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 managed assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

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


Performance and Portfolio Management Commentary

Returns for the 12 months ended August 31, 2016 were as follows:


	Returns Based On
	Market Price			NAV
FRA^1, 2		12.14	%		5.00	%
Lipper Loan Participation Funds³		10.37	%		3.86	%

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.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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 loan holdings within technology, health care, and consumer services.

•

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. In order to capture momentum from the recovery in commodity-related assets, the Fund selectively added to its fixed rate high yield bond allocation. From a sector standpoint, the Fund added to positions in the technology and health care sectors, while trimming exposure in the pharmaceuticals and lodging sectors.

Describe portfolio positioning at period end.

•



6	ANNUAL REPORT	AUGUST 31, 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 August 31, 2016 ($13.70)¹		5.34%
Current Monthly Distribution per Common Share²		$0.061
Current Annualized Distribution per Common Share²		$0.732
Economic Leverage as of August 31, 2016³		29%

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


Market Price and Net Asset Value Per Share Summary


	8/31/16		8/31/15		Change		High		Low
Market Price		$13.70		$12.94		5.87%		$13.70		$11.97
Net Asset Value		$14.78		$14.91		(0.87)%		$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	8/31/16			8/31/15
Floating Rate Loan Interests		93	%		92	%
Asset-Backed Securities		3			4
Corporate Bonds		4			3
Common Stocks		—	⁴		1
Short-Term Securities⁴		—			—
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: Investment Companies, Non-Agency Mortgage-Backed Securities, Options Purchased, Other Interests, Preferred Securities and Warrants.


Credit Quality Allocation^6,7	8/31/16			8/31/15
A		—	⁴		1	%
BBB/Baa		11	%		8
BB/Ba		44			44
B		39			40
CCC/Caa		3			3
N/R		3			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, 2016	7


Fund Summary as of August 31, 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 or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality.

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

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


Performance and Portfolio Management Commentary

Returns for the 12 months ended August 31, 2016 were as follows:


	Returns Based On
	Market Price			NAV
BLW^1,2		17.59	%		7.78	%
Lipper High Yield Funds (Leveraged)³		18.69	%		7.88	%

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.

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

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

What factors influenced performance?

•

The largest contributors to the Fund’s absolute performance over the period were its exposures to high yield corporate bonds, senior loans, investment grade corporate bonds and capital securities. Allocations to domestic commercial mortgage-backed securities (“CMBS”) and asset backed securities (“ABS”) also supported returns.

•

The largest detractor from the Fund’s absolute performance over the period was its allocation to non-U.S.-domiciled CMBS, especially issuers located in the United Kingdom and Europe.

•

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 (sensitivity to interest rate movements) and yield curve exposure, and to manage credit and currency risk.

Describe recent portfolio activity.

•

Over the period, the Fund maintained a generally consistent spread duration (sensitivity to credit spreads) while rotating its sector exposure. Given the investment adviser’s view that interest rates will likely remain range-bound in the near term, the Fund’s allocation to collateralized loan obligations was reduced and was reallocated toward emerging market debt and high-beta sovereign names. This scenario would reduce the risk of a sharply rising U.S. dollar and expand the potential for emerging market countries to cut interest rates. In addition, the Fund’s high yield exposure was rotated toward European issuers to take advantage of favorable technical market conditions caused by the European Central Bank’s buying program, and to diversify away from U.S. commodity-related issuers. In addition, the Fund’s duration was increased and its exposure to floating rate securities was reduced, consistent with the investment adviser’s view that rates will not move materially higher any time soon.

Describe portfolio positioning at period end.

•

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



8	ANNUAL REPORT	AUGUST 31, 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 August 31, 2016 ($15.74)¹		6.63%
Current Monthly Distribution per Common Share²		$0.087
Current Annualized Distribution per Common Share²		$1.044
Economic Leverage as of August 31, 2016³		30%

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


	8/31/16		8/31/15		Change			High		Low
Market Price	$	15.74	$	14.60		7.81	%	$	15.82	$	13.31
Net Asset Value	$	16.84	$	17.04		(1.17	)%	$	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	8/31/16			8/31/15
Corporate Bonds		42	%		38	%
Floating Rate Loan Interests		26			26
Asset-Backed Securities		10			16
Non-Agency Mortgage-Backed Securities		8			10
Preferred Securities		8			8
Foreign Agency Obligations		4			1
U.S. Government Sponsored Agency Securities		1			1
U.S. Treasury Obligations		1			—
Other⁴		—			—

⁴

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


Credit Quality Allocation^5,6	8/31/16			8/31/15
AAA/Aaa⁷		4	%		2	%
AA/Aa		1			2
A		7			8
BBB/Baa		19			17
BB/Ba		32			31
B		25			25
CCC/Caa		4			5
N/R		8			10

⁵

⁶

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

⁷

The investment adviser 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 adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.



ANNUAL REPORT	AUGUST 31, 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.

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

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

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

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



10	ANNUAL REPORT	AUGUST 31, 2016

Schedule of Investments August 31, 2016

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)


Common Stocks (a)			Shares		Value
Oil, Gas & Consumable Fuels — 0.0%
Vantage Drilling International				46		—
Specialty Retail — 0.0%
Things Remembered, Inc.				215,057	$	2



Asset-Backed Securities (b)(c)	Par (000)
Asset-Backed Securities — 1.5%
ALM XIV Ltd., Series 2014-14A, Class C, 4.19%, 7/28/26		USD		463		448,357
ALM XVII Ltd., Series 2015-17A, Class C1, 4.83%, 1/15/28				250		238,125
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 4.38%, 10/15/26				250		236,643
Atrium CDO Corp., Series 9A, Class D, 4.33%, 2/28/24				250		243,816
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 5.20%, 1/20/25				250		250,023
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, 4.47%, 11/14/26				250		235,974
Webster Park CLO Ltd., Series 2015-1A, Class B1, 3.80%, 1/20/27				250		251,268
Total Asset-Backed Securities — 1.5%						1,904,206



Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)				244		246,633
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18				37		38,180
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18				590		611,387

						896,200
Commercial Services & Supplies — 0.2%
ADT Corp., 4.13%, 6/15/23				224		219,520
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.59%, 12/01/17 (c)				68		68,170

						287,690
Communications Equipment — 0.1%
Avaya, Inc., 7.00%, 4/01/19 (b)				85		63,325
Containers & Packaging — 1.3%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (b)(c):
3.86%, 12/15/19				260		262,600
4.07%, 5/15/21				249		253,357


Corporate Bonds	Par (000)			Value
Containers & Packaging (continued)
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer, 4.13%, 7/15/21 (b)(c)		USD	1,160	$	1,177,400

					1,693,357
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.:
4.41%, 1/15/18 (c)			228		229,140
6.13%, 1/15/21			127		131,763

					360,903
Electric Utilities — 0.1%
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20 (a)(b)(d)			234		76,006
Health Care Providers & Services — 0.1%
RegionalCare Hospital Partners Holdings, Inc., 8.25%, 5/01/23 (b)			75		76,406
Independent Power and Renewable Electricity Producers — 0.3%
NRG Energy, Inc., 6.25%, 7/15/22			340		347,225
Media — 1.2%
Altice Financing SA (b):
6.63%, 2/15/23			200		208,250
7.50%, 5/15/26			200		210,500
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22			358		375,005
SFR Group SA (b):
6.00%, 5/15/22			200		204,400
6.25%, 5/15/24			240		241,800
7.38%, 5/01/26			255		263,288

					1,503,243
Metals & Mining — 0.4%
Freeport-McMoRan, Inc., 2.38%, 3/15/18			506		497,778
Oil, Gas & Consumable Fuels — 1.1%
Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24 (b)			155		165,850
Concho Resources, Inc., 5.50%, 4/01/23			20		20,650
CONSOL Energy, Inc., 5.88%, 4/15/22			376		340,280
CrownRock LP/CrownRock Finance, Inc., 7.13%, 4/15/21 (b)			20		20,800
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b)			50		50,500
MEG Energy Corp., 7.00%, 3/31/24 (b)			60		48,300
Newfield Exploration Co., 5.63%, 7/01/24			20		20,650
NGPL PipeCo LLC, 7.12%, 12/15/17 (b)			85		88,719
RSP Permian, Inc., 6.63%, 10/01/22			20		20,800
Sabine Pass Liquefaction LLC:
5.63%, 4/15/23			345		363,112
5.88%, 6/30/26 (b)			140		149,800
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 5.50%, 9/15/24 (b)(e)			70		71,750

					1,361,211
Total Corporate Bonds — 5.8%					7,163,344


Portfolio Abbreviations


ABS	Asset-Backed Security	EUR	Euro	PIK	Payment-In-Kind
ADS	American Depositary Shares	GBP	British Pound	RUB	Russian Ruble
AUD	Australian Dollar	JPY	Japanese Yen	SEK	Swedish Krona
BRL	Brazilian Real	KRW	South Korean Won	SGD	Singapore Dollar
CAD	Canadian Dollar	LIBOR	London Interbank Offered Rate	S&P	Standard and Poor’s
CHF	Swiss Franc	LOC	Letter of Credit	USD	U.S. Dollar
CLO	Collateralized Loan Obligation	MXN	Mexican Peso	ZAR	South African Rand
DIP	Debtor-In-Possession	NOK	Norwegian Krone
ETF	Exchange-Traded Fund	OTC	Over-the-Counter

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2016	11


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


Floating Rate Loan Interests (c)	Par (000)			Value
Aerospace & Defense — 1.9%
BE Aerospace, Inc., 2014 Term Loan B, 3.75%, 12/16/21		USD	507	$	511,334
Camp International Holding Co., 2016 1st Lien Term Loan, 4.75%, 8/11/23			230		228,372
Engility Corp.:
Term Loan B1, 4.88%, 8/12/20			80		80,450
Term Loan B2, 5.75%, 8/12/23			155		156,363
TransDigm, Inc.:
2015 Term Loan E, 3.75%, 5/14/22			217		216,716
2016 Delayed Draw Term Loan F, 3.75%, 6/09/23			133		132,683
2016 Extended Term Loan F, 3.75%, 6/09/23			647		645,655
2016 Term Loan F, 3.75%, 6/09/23			148		147,425
Term Loan D, 3.75%, 6/04/21			259		257,939

					2,376,937
Air Freight & Logistics — 1.0%
CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21			156		124,243
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21			161		128,072
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21			25		20,059
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21			222		176,651
XPO Logistics, Inc., Term Loan B2, 4.25%, 10/30/21			803		806,994

					1,256,019
Airlines — 0.6%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18			317		317,784
Northwest Airlines, Inc.:
2.75%, 3/10/17			60		59,108
2.13%, 9/10/18			136		132,844
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19			252		252,044

					761,780
Auto Components — 1.8%
Autoparts Holdings Ltd.:
1st Lien Term Loan, 7.00%, 7/29/17			569		537,835
2nd Lien Term Loan, 11.00%, 1/29/18			200		171,570
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19			322		273,014
Gates Global, Inc., Term Loan B, 4.25%, 7/06/21			1,088		1,070,745
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 3.75%, 4/30/19			200		200,150

					2,253,314
Automobiles — 0.6%
FCA US LLC, Term Loan B:
2018, 3.25%, 12/31/18			109		109,454
3.50%, 5/24/17			602		602,550

					712,004
Banks — 0.3%
Redtop Acquisitions Ltd.:
1st Lien Term Loan, 4.50%, 12/03/20			254		253,183
2nd Lien Term Loan, 8.25%, 6/03/21			68		66,885

					320,068
Biotechnology — 0.2%
AMAG Pharmaceuticals, Inc., 2015 1st Lien Term Loan, 4.75%, 8/13/21			188		187,687
Building Materials — 1.2%
USAGM HoldCo LLC:
2015 2nd Lien Term Loan, 9.50%, 7/28/23			145		143,187
2015 Term Loan, 4.75%, 7/28/22			548		537,145


Floating Rate Loan Interests (c)	Par (000)			Value
Building Materials (continued)
USAGM HoldCo LLC (continued):
2016 Incremental Term Loan, 5.50%, 7/28/22		USD	801	$	799,985

					1,480,317
Building Products — 2.8%
Continental Building Products LLC, 1st Lien Term Loan, 3.50%, 8/10/23			259		259,615
CPG International, Inc., Term Loan, 4.75%, 9/30/20			1,172		1,169,533
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21			267		266,050
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21			416		418,359
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21			289		289,244
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20			503		504,512
Wilsonart LLC:
Incremental Term Loan B2, 4.00%, 10/31/19			107		107,116
Term Loan B, 4.00%, 10/31/19			489		488,598

					3,503,027
Capital Markets — 0.7%
Affinion Group, Inc., Term Loan B, 6.75%, 4/30/18			145		140,019
RPI Finance Trust, Term Loan B4, 3.50%, 11/09/20			776		780,362

					920,381
Chemicals — 4.6%
Allnex (Luxembourg) & Cy SCA:
2016 Term Loan B2, 5.00%, 5/31/23			97		97,380
Term Loan B1, 4.50%, 10/03/19			249		248,305
Allnex USA, Inc.:
Term Loan B2, 4.50%, 10/03/19			129		128,834
Term Loan B3, 5.00%, 5/31/23			73		73,365
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20			459		461,087
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20			26		26,383
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 2/07/22			257		258,970
Chemours Co., Term Loan B, 3.75%, 5/12/22			280		275,900
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19			68		59,291
Huntsman International LLC:
2013 Incremental Term Loan, 3.75%, 10/01/21			303		304,040
2016 Term Loan B, 4.25%, 4/01/23			200		200,374
Klockner-Pentaplast of America, Inc., Term Loan, 5.00%, 4/28/20			268		269,159
MacDermid, Inc.:
1st Lien Term Loan, 5.50%, 6/07/20			387		386,358
Term Loan B2, 5.50%, 6/07/20			32		31,884
Term Loan B3, 5.50%, 6/07/20			722		721,645
OXEA Finance LLC, Term Loan B2, 4.25%, 1/15/20			720		684,186
PQ Corp., Term Loan, 5.75%, 11/04/22			314		315,906
Royal Holdings, Inc.:
2015 1st Lien Term Loan, 4.50%, 6/19/22			257		257,964
2015 2nd Lien Term Loan, 8.50%, 6/19/23			110		108,350
Solenis International LP:
1st Lien Term Loan, 4.25%, 7/31/21			349		344,815
2nd Lien Term Loan, 7.75%, 7/31/22			390		372,645
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20			105		104,934

					5,731,775
Commercial Services & Supplies — 7.3%
ADMI Corp., 2015 Term Loan B, 5.25%, 4/30/22			262		263,438
ADS Waste Holdings, Inc., Term Loan B2, 3.75%, 10/09/19			700		698,830

See Notes to Financial Statements.



12	ANNUAL REPORT	AUGUST 31, 2016


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


Floating Rate Loan Interests (c)	Par (000)			Value
Commercial Services & Supplies (continued)
Aramark Services, Inc.:
Term Loan E, 3.25%, 9/07/19		USD	450	$	450,877
Term Loan F, 3.25%, 2/24/21			192		192,109
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20			636		628,362
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21			947		952,110
Connolly Corp.:
1st Lien Term Loan, 4.50%, 5/14/21			853		854,005
2nd Lien Term Loan, 8.00%, 5/14/22			35		35,266
Creative Artists Agency LLC, Term Loan B, 5.00%, 12/17/21			236		236,991
Dealer Tire LLC, Term Loan B, 5.50%, 12/22/21			212		212,763
Employbridge LLC, Exit Term Loan, 7.50%, 5/16/20			141		120,373
GCA Services Group, Inc., 2016 Term Loan, 5.75%, 3/01/23			429		431,426
KAR Auction Services, Inc.:
Term Loan B2, 3.94%, 3/11/21			302		303,958
Term Loan B3, 4.25%, 3/09/23			404		408,787
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19			301		278,147
Prime Security Services Borrower LLC:
1st Lien Term Loan, 4.75%, 7/01/21			43		43,365
2016 Incremental Term Loan B1, 4.75%, 5/02/22			273		274,288
PSSI Holdings LLC, Term Loan B, 5.00%, 12/02/21			369		370,298
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19			981		971,359
TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23			230		231,150
US Ecology, Inc., Term Loan, 3.75%, 6/17/21			154		154,532
US Security Associates Holdings, Inc., 2016 Term Loan, 6.00%, 7/14/23			454		453,596
Waste Industries USA, Inc., 2016 Term Loan, 3.50%, 2/27/20			503		503,667

					9,069,697
Communications Equipment — 1.9%
Applied Systems, Inc.:
1st Lien Term Loan, 4.00%, 1/25/21			176		176,323
2nd Lien Term Loan, 7.50%, 1/24/22			84		84,308
CommScope, Inc., Term Loan B5, 3.75%, 12/29/22			208		209,077
Riverbed Technology, Inc., 2016 Term Loan, 5.00%, 4/24/22			441		443,507
Telesat Canada, Term Loan B2, 3.50%, 3/28/19			139		139,106
Zayo Group LLC, Term Loan B, 3.75%, 5/06/21			1,270		1,271,276

					2,323,597
Construction & Engineering — 0.8%
AECOM Technology Corp., 2014 Term Loan B, 3.75%, 10/15/21			84		84,176
CNT Holdings III Corp., Term Loan B, 5.25%, 1/22/23			284		285,234
Safway Group Holding LLC, Term Loan B, 5.75%, 8/19/23			655		655,000

					1,024,410
Construction Materials — 1.5%
Filtration Group Corp., 1st Lien Term Loan, 4.25%, 11/21/20			795		793,558
HD Supply, Inc., 2015 Term Loan B, 3.75%, 8/13/21			839		843,106
Headwaters, Inc., 2016 Term Loan B, 4.00%, 3/24/22			163		162,519
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19			99		96,150

					1,895,333


Floating Rate Loan Interests (c)	Par (000)			Value
Containers & Packaging — 2.1%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19		USD	503	$	504,260
Berry Plastics Holding Corp., Term Loan H, 3.75%, 10/03/22			1,243		1,242,320
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20			861		863,746

					2,610,326
Distributors — 0.4%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20			338		338,230
American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.25%, 9/01/21			215		212,031

					550,261
Diversified Consumer Services — 3.3%
AssuredPartners, Inc., 2015 1st Lien Term Loan, 5.75%, 10/21/22			707		709,357
Bright Horizons Family Solutions, Inc.:
Incremental Term Loan B1, 4.25%, 1/30/20			79		78,918
Term Loan B, 3.75%, 1/30/20			622		624,081
CT Technologies Intermediate Holdings, Inc., 1st Lien Term Loan, 5.25%, 12/01/21			272		266,150
J.D. Power and Associates, 1st Lien Term Loan, 5.25%, 5/24/23			285		286,069
Laureate Education, Inc., Term Loan B, 8.16%, 3/17/21			55		54,787
ROC Finance LLC, Term Loan, 5.00%, 6/20/19			383		373,438
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21			1,693		1,703,340

					4,096,140
Diversified Financial Services — 0.9%
AlixPartners LLP, 2015 Term Loan B, 4.50%, 7/28/22			432		433,896
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21			222		217,931
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20			402		400,677

					1,052,504
Diversified Telecommunication Services — 3.6%
Hawaiian Telcom Communications, Inc., Term Loan B, 5.25%, 6/06/19			510		511,543
Integra Telecom, Inc.:
2015 1st Lien Term Loan, 5.25%, 8/14/20			504		499,021
2nd Lien Term Loan, 9.75%, 2/12/21			168		158,692
Level 3 Financing, Inc.:
2013 Term Loan B, 4.00%, 1/15/20			2,330		2,341,650
2019 Term Loan, 4.00%, 8/01/19			350		350,995
Telenet International Finance Sarl, Term Loan AD, 4.25%, 6/30/24			550		551,071

					4,412,972
Electrical Equipment — 0.7%
Texas Competitive Electric Holdings Co. LLC:
2016 DIP Term Loan B, 5.00%, 10/31/17			614		615,789
2016 DIP Term Loan C, 5.00%, 10/31/17			140		140,375
Extended Term Loan, 4.97%, 10/10/17 (a)(d)			380		121,600

					877,764
Electronic Equipment, Instruments & Components — 0.1%
CPI Acquisition, Inc., Term Loan B, 5.50%, 8/17/22			176		171,092
Energy Equipment & Services — 0.3%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20			173		172,426
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21			235		188,870

					361,296

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2016	13


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


Floating Rate Loan Interests (c)	Par (000)			Value
Food & Staples Retailing — 3.2%
Albertsons LLC:
2016 Term Loan B4, 4.50%, 8/25/21		USD	1,011	$	1,015,210
2016 Term Loan B5, 4.75%, 12/21/22			82		82,280
Hostess Brands LLC:
1st Lien Term Loan, 4.50%, 8/03/22			491		493,621
2nd Lien Term Loan, 8.50%, 8/03/23			16		15,645
Rite Aid Corp.:
5.75%, 8/21/20			278		279,088
4.88%, 6/21/21			562		562,364
US Foods, Inc., 2016 Term Loan B, 4.00%, 6/27/23			1,485		1,491,504

					3,939,712
Food Products — 2.5%
Blue Ribbon LLC, Term Loan, 5.00%, 11/13/21			399		401,505
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20			243		233,414
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18			604		606,059
Pinnacle Foods Finance LLC:
2016 Term Loan I, 3.27%, 1/13/23			114		115,045
Term Loan G, 3.25%, 4/29/20			605		606,723
Reddy Ice Corp., 1st Lien Term Loan, 6.75%, 5/01/19			359		327,255
Reynolds Group Holdings, Inc., 2016 Term Loan, 4.25%, 2/05/23			791		791,966

					3,081,967
Health Care Equipment & Supplies — 4.0%
Alere, Inc.:
2015 Term Loan A, 3.50%, 6/18/20			106		104,255
2015 Term Loan B, 4.25%, 6/18/22			432		426,374
Auris Luxembourg III Sarl, Term Loan B4, 4.25%, 1/15/22			555		556,026
Capsugel Holdings US, Inc., Term Loan B, 4.00%, 7/31/21			869		873,285
DJO Finance LLC, 2015 Term Loan, 4.25%, 6/08/20			1,067		1,027,844
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18			143		141,516
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18			513		496,924
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21			694		681,733
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21			616		600,621

					4,908,578
Health Care Providers & Services — 9.8%
Acadia Healthcare Co., Inc.:
Term Loan B, 3.75%, 2/11/22			110		110,182
Term Loan B2, 4.50%, 2/16/23			488		489,378
Air Medical Group Holdings, Inc., Term Loan B, 4.25%, 4/28/22			103		101,894
Amsurg Corp., 1st Lien Term Loan B, 3.50%, 7/16/21			686		686,288
CHG Healthcare Services, Inc., 2016 Term Loan B, 4.75%, 6/07/23			768		772,399
Community Health Systems, Inc.:
Term Loan F, 4.08%, 12/31/18			298		293,086
Term Loan G, 3.75%, 12/31/19			554		532,182
Curo Health Services Holdings, Inc., 2015 1st Lien Term Loan, 6.50%, 2/07/22			346		345,625
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21			2,171		2,182,096
Envision Healthcare Corp., Term Loan:
4.25%, 5/25/18			965		965,363
B2, 4.50%, 10/28/22			204		204,167
HC Group Holdings III, Inc., Term Loan B, 6.00%, 4/07/22			326		326,570


Floating Rate Loan Interests (c)	Par (000)			Value
Health Care Providers & Services (continued)
HCA, Inc.:
Term Loan B6, 3.77%, 3/17/23		USD	1,179	$	1,192,253
Term Loan B7, 3.57%, 2/15/24			163		164,720
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21			105		104,907
NVA Holdings, Inc.:
1st Lien Term Loan, 4.75%, 8/14/21			4		3,676
2016 Term Loan, 5.50%, 8/14/21			256		255,788
Precyse Acquisition Corp., 2016 1st Lien Term Loan, 6.50%, 10/20/22			376		376,732
Sterigenics-Nordion Holdings LLC, 2015 Term Loan B, 4.25%, 5/15/22			715		712,370
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20			435		435,010
Surgical Care Affiliates, Inc., Term Loan B, 4.25%, 3/17/22			504		505,821
Team Health, Inc., 2016 Term Loan, 3.75%, 11/23/22			486		487,068
U.S. Renal Care, Inc., 2015 Term Loan B, 5.25%, 12/31/22			392		377,565
Vizient, Inc., 1st Lien Term Loan, 6.25%, 2/13/23			464		468,768

					12,093,908
Health Care Technology — 0.8%
Emdeon Business Services LLC, Term Loan B3, 3.75%, 11/02/18			55		54,897
IMS Health, Inc., Term Loan, 3.50%, 3/17/21			943		942,902

					997,799
Hotels, Restaurants & Leisure — 8.6%
Amaya Holdings BV:
1st Lien Term Loan, 5.00%, 8/01/21			575		568,835
2nd Lien Term Loan, 8.00%, 8/01/22			227		224,807
AMF Bowling Centers, Inc., 2016 Term Loan, 6.00%, 8/17/23			263		260,809
Boyd Gaming Corp.:
Term Loan B, 4.00%, 8/14/20			218		218,341
Term Loan B2, 4.00%, 8/16/23			480		481,800
Burger King Newco Unlimited Liability Co., Term Loan B2, 3.75%, 12/10/21			1,073		1,076,891
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20			1,733		1,693,403
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21			316		317,871
Diamond Resorts Corp., Term Loan, 7.00%, 5/09/21			436		436,329
Eldorado Resorts LLC, Term Loan B, 4.25%, 7/23/22			481		481,149
ESH Hospitality, Inc., 2016 Term Loan B, 3.80%, 8/16/23			730		731,518
Hilton Worldwide Finance LLC:
2016 Term Loan B2, 3.21%, 10/26/23			540		542,303
Term Loan B1, 3.50%, 10/26/20			53		52,822
La Quinta Intermediate Holdings LLC, Term Loan B, 3.75%, 4/14/21			188		186,194
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20			585		586,831
MPH Acquisition Holdings LLC, 2016 Term Loan B, 5.00%, 6/07/23			620		626,460
RHP Hotel Properties LP, Term Loan B, 3.50%, 1/15/21			289		289,678
Sabre, Inc.:
Incremental Term Loan, 4.50%, 2/19/19			93		92,966
Term Loan B, 4.00%, 2/19/19			490		491,307
Scientific Games International, Inc.:
2014 Term Loan B1, 6.00%, 10/18/20			266		265,908
2014 Term Loan B2, 6.00%, 10/01/21			181		180,875
Station Casinos LLC, 2016 Term Loan B, 3.75%, 6/08/23			574		574,242

See Notes to Financial Statements.



14	ANNUAL REPORT	AUGUST 31, 2016


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


Floating Rate Loan Interests (c)	Par (000)			Value
Hotels, Restaurants & Leisure (continued)
Yum! Brands, Inc., 1st Lien Term Loan B, 3.26%, 6/16/23		USD	330	$	331,944

					10,713,283
Household Products — 0.8%
Bass Pro Group LLC, 2015 Term Loan, 4.00%, 6/05/20			180		178,902
Spectrum Brands, Inc., Term Loan, 3.50%, 6/23/22			833		836,327

					1,015,229
Independent Power and Renewable Electricity Producers — 4.1%
Aria Energy Operating LLC, Term Loan, 5.50%, 5/27/22			280		268,513
Calpine Construction Finance Co., LP, Term Loan B1, 3.00%, 5/03/20			362		357,332
Calpine Corp.:
Term Loan B5, 3.50%, 5/27/22			116		115,586
Term Loan B6, 4.00%, 1/15/23			483		484,886
Term Loan B7, 3.64%, 5/02/23			299		299,662
Dynegy, Inc., Escrow, 5.00%, 6/27/23			800		800,128
Energy Future Intermediate Holding Co. LLC, DIP Term Loan, 4.25%, 12/19/16			1,370		1,375,256
Granite Acquisition, Inc.:
Term Loan B, 5.00%, 12/19/21			750		729,996
Term Loan C, 5.00%, 12/19/21			33		32,610
NRG Energy, Inc., 2016 Term Loan B, 3.50%, 6/30/23			385		384,457
Terra-Gen Finance Co. LLC, Term Loan B, 5.25%, 12/09/21			346		292,096

					5,140,522
Industrial Conglomerates — 0.1%
Sequa Corp., Term Loan B, 5.25%, 6/19/17			111		95,610
Insurance — 2.0%
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20			144		144,964
Asurion LLC:
2nd Lien Term Loan, 8.50%, 3/03/21			245		244,020
Term Loan B1, 5.00%, 5/24/19			622		621,974
Term Loan B4, 5.00%, 8/04/22			444		443,508
Sedgwick Claims Management Services, Inc.:
2016 1st Lien Term Loan, 5.25%, 3/01/21			205		206,154
1st Lien Term Loan, 3.75%, 3/01/21			450		444,030
2nd Lien Term Loan, 6.75%, 2/28/22			410		405,215

					2,509,865
Internet & Catalog Retail — 0.6%
Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.00%, 8/19/23			692		692,949
Internet Software & Services — 0.7%
Go Daddy Operating Co. LLC, Term Loan B, 4.25%, 5/13/21			564		565,878
WaveDivision Holdings LLC, Term Loan B, 4.00%, 10/15/19			334		334,135

					900,013
IT Services — 5.0%
Abacus Innovations Corp., Term Loan B, 3.57%, 1/26/23			918		922,305
Cision US Inc., Term Loan B, 7.00%, 6/16/23			280		265,650
First Data Corp., 2021 Extended Term Loan, 4.52%, 3/24/21			3,003		3,017,196
Global Payments Inc., Term Loan B, 4.02%, 4/22/23			660		663,869
Vantiv LLC, 2014 Term Loan B, 3.50%, 6/13/21			383		384,221
WEX, Inc., Term Loan B, 4.25%, 7/01/23			910		916,334

					6,169,575


Floating Rate Loan Interests (c)	Par (000)			Value
Machinery — 2.1%
Allison Transmission, Inc., Term Loan B3, 3.50%, 8/23/19		USD	272	$	272,051
Faenza Acquisition GmbH:
Term Loan B1, 4.25%, 8/30/20			237		238,021
Term Loan B3, 4.25%, 8/30/20			72		72,750
Infiltrator Systems, Inc., 2016 Term Loan B, 4.50%, 5/27/22			336		336,300
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/26/21			177		177,596
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20			528		527,561
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19			808		718,711
Wabash National Corp., 2015 Term Loan B, 4.25%, 3/16/22			200		200,211

					2,543,201
Manufacture Goods — 0.1%
KP Germany Erste GmbH, 1st Lien Term Loan, 5.00%, 4/28/20			114		115,025
Media — 13.4%
Altice U.S. Finance I Corp., Extended Term Loan, 4.25%, 12/14/22			1,070		1,073,604
Cengage Learning Acquisitions, Inc., 2016 Term Loan B, 5.25%, 6/07/23			511		509,795
Charter Communications Operating LLC:
2016 Term Loan H, 3.25%, 8/24/21			239		240,099
2016 Term Loan I, 3.50%, 1/24/23			1,881		1,890,744
CSC Holdings LLC, 2015 Term Loan B, 5.00%, 10/09/22			1,107		1,115,762
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20			365		364,073
Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.00%, 5/31/21			555		550,303
iHeartCommunications, Inc.:
Extended Term Loan E, 8.02%, 7/30/19			110		84,059
Term Loan D, 7.27%, 1/30/19			1,321		1,012,527
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19			759		719,823
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22			275		270,875
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/16/20			112		112,048
MCC Iowa LLC, Term Loan J, 3.75%, 6/30/21			123		122,705
Mediacom Communications Corp., Term Loan F, 2.95%, 3/31/18			249		248,951
MGOC, Inc., Term Loan B, 4.00%, 7/31/20			484		483,961
Numericable Group SA, Term Loan B5, 4.56%, 7/31/22			85		84,802
Numericable U.S. LLC:
Term Loan B6, 4.75%, 2/10/23			925		927,801
Term Loan B7, 5.00%, 1/15/24			279		280,766
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21			1,022		1,020,633
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20			39		38,962
Trader Corp., Term Loan, 5.50%, 8/09/23			350		350,220
Tribune Media Co., Term Loan, 3.75%, 12/27/20			888		890,055
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20			1,782		1,780,799
UPC Financing Partnership, Term Loan AN, 3.00%, 8/31/24			345		343,761
Virgin Media Investment Holdings Ltd.:
Term Loan E, 4.25%, 6/30/23		GBP	650		852,412
Term Loan F, 3.65%, 6/30/23		USD	525		525,117

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2016	15


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


Floating Rate Loan Interests (c)	Par (000)			Value
Media (continued)
Ziggo Financing Partnership:
Term Loan B1, 3.65%, 1/15/22		USD	280	$	278,124
Term Loan B2A, 3.70%, 1/15/22			182		181,320
Term Loan B3, 3.70%, 1/15/22			299		297,775

					16,651,876
Metals & Mining — 0.8%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20			100		12,000
FMG Resources August 2006 Property Ltd., Term Loan B, 3.75%, 6/30/19			74		73,998
Freeport McMoran Copper & Gold Inc., Term Loan A, 3.28%, 5/31/18			151		149,826
Novelis, Inc., 2015 Term Loan B, 4.00%, 6/02/22			781		781,881

					1,017,705
Multiline Retail — 2.2%
BJ’s Wholesale Club, Inc.:
1st Lien Term Loan, 4.50%, 9/26/19			800		798,735
2nd Lien Term Loan, 8.50%, 3/26/20			199		199,380
Dollar Tree, Inc., Term Loan B1, 3.50%, 7/06/22			856		857,538
Hudson’s Bay Co., 2015 Term Loan B, 4.75%, 9/30/22			497		497,406
Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20			372		349,186

					2,702,245
Oil, Gas & Consumable Fuels — 4.2%
California Resources Corp.:
Second Out Term Loan, 11.50%, 8/04/21			570		597,075
Term Loan A, 3.70%, 10/01/19			403		383,113
Chesapeake Energy Corp., Term Loan, 8.50%, 8/15/21			739		761,721
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 5/12/18			238		239,063
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21			230		105,510
Energy Transfer Equity LP, Term Loan:
2015, 4.04%, 12/02/19			225		223,031
3.29%, 12/02/19			47		45,792
EP Energy LLC, 2016 Term Loan, 9.75%, 8/16/21			106		104,308
EWT Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21			132		131,954
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21			205		193,213
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20			715		656,255
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20			319		302,974
Power Buyer LLC, 1st Lien Term Loan, 4.25%, 5/06/20			114		113,602
PowerTeam Services LLC, 2nd Lien Term Loan, 8.25%, 11/06/20			105		103,950
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/20			60		52,211
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21			12		9,750
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/28/22			179		181,657
TPF II Power LLC, Term Loan B, 5.00%, 10/02/21			471		473,080
Veresen Midstream Limited Partnership, Term Loan B1, 5.25%, 3/31/22			575		568,778

					5,247,037
Personal Products — 1.0%
Prestige Brands, Inc., Term Loan B3, 3.50%, 9/03/21			541		543,164
Revlon Consumer Products Corp., 2016 Term Loan B, 1.00%, 7/22/23			680		678,980

					1,222,144


Floating Rate Loan Interests (c)	Par (000)			Value
Pharmaceuticals — 6.1%
Akorn, Inc., Term Loan B, 5.25%, 4/16/21		USD	563	$	567,780
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19			207		206,892
DPx Holdings BV, 2014 Incremental Term Loan, 4.25%, 3/11/21			1,499		1,492,835
Endo Luxembourg Finance Co. I Sarl, 2015 Term Loan B, 3.75%, 9/26/22			515		511,830
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.44%, 2/27/21			1,412		1,421,064
Jaguar Holding Co. II, 2015 Term Loan B, 4.25%, 8/18/22			1,314		1,317,913
NBTY, Inc., Term Loan B, 5.00%, 5/05/23			400		399,640
Valeant Pharmaceuticals International, Inc.:
Series A3 Tranche A, 4.28%, 10/20/18			120		120,385
Series A4 Tranche A, 4.26%, 4/01/20			130		129,086
Series C2 Term Loan B, 5.25%, 12/11/19			884		884,726
Series D2 Term Loan B, 5.00%, 2/13/19			350		349,792
Series E Term Loan B, 5.25%, 8/05/20			209		208,638

					7,610,581
Professional Services — 2.9%
Advantage Sales & Marketing, Inc.:
2014 1st Lien Term Loan, 4.25%, 7/23/21			581		576,474
2014 2nd Lien Term Loan, 7.50%, 7/25/22			160		152,133
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18			816		815,275
Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.75%, 6/20/22			367		365,249
TransUnion LLC, Term Loan B2, 3.50%, 4/09/21			1,667		1,672,144

					3,581,275
Real Estate Investment Trusts (REITs) — 1.5%
Communications Sales & Leasing, Inc., Term Loan B, 5.00%, 10/24/22			539		538,738
MGM Growth Properties LLC, 2016 Term Loan B, 4.00%, 4/25/23			1,248		1,258,304

					1,797,042
Real Estate Management & Development — 1.6%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20			489		491,618
DTZ U.S. Borrower LLC, 2015 1st Lien Term Loan, 4.25%, 11/04/21			545		542,161
Realogy Corp.:
2016 Term Loan B, 3.75%, 7/20/22			714		717,864
Term Loan A, 2.50%, 10/23/20			252		249,254

					2,000,897
Semiconductors & Semiconductor Equipment — 2.8%
Avago Technologies Cayman Ltd., Term Loan B3, 3.51%, 2/01/23			2,046		2,063,758
Cavium, Inc., Term Loan B, 3.75%, 8/16/22			210		210,525
Microsemi Corp., 2015 Term Loan B, 3.75%, 1/15/23			100		100,692
NXP BV, 2015 Term Loan B, 3.75%, 12/07/20			1,010		1,015,446
ON Semiconductor Corp., Term Loan B, 5.25%, 3/31/23			125		126,540

					3,516,961
Software — 6.2%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20			236		225,035
Evertec Group LLC, Term Loan B, 3.25%, 4/17/20			114		112,204
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20			842		831,989
Informatica Corp., Term Loan, 4.50%, 8/05/22			923		890,798
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21			142		120,372

See Notes to Financial Statements.



16	ANNUAL REPORT	AUGUST 31, 2016


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


Floating Rate Loan Interests (c)	Par (000)			Value
Software (continued)
Kronos, Inc.:
2nd Lien Term Loan, 9.75%, 4/30/20		USD	409	$	417,420
Initial Incremental Term Loan, 4.50%, 10/30/19			485		486,933
Mitchell International, Inc.:
1st Lien Term Loan, 4.50%, 10/13/20			491		489,336
2nd Lien Term Loan, 8.50%, 10/11/21			350		339,063
SolarWinds, Inc., 2016 Term Loan, 5.50%, 2/03/23			730		732,373
Solera LLC, Term Loan B, 5.75%, 3/03/23			239		240,683
Sophia LP, 2015 Term Loan B, 4.75%, 9/30/22			403		403,067
SS&C Technologies, Inc.:
2015 Term Loan B1, 4.00%, 7/08/22			1,136		1,142,609
2015 Term Loan B2, 4.00%, 7/08/22			144		144,964
Vertafore, Inc., 2016 1st Lien Term Loan, 4.75%, 6/30/23			1,085		1,086,660

					7,663,506
Specialty Retail — 2.4%
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20			294		294,976
Leslie’s Poolmart, Inc., 2016 Term Loan, 5.25%, 7/27/23			275		276,719
Michaels Stores, Inc.:
Incremental 2014 Term Loan B2, 4.00%, 1/28/20			534		537,590
Term Loan B, 3.75%, 1/28/20			507		509,026
Party City Holdings, Inc., 2015 Term Loan B, 4.49%, 8/19/22			705		705,404
Petco Animal Supplies, Inc.:
2016 Term Loan B1, 5.00%, 1/26/23			179		180,567
2016 Term Loan B2, 5.00%, 1/26/23			373		375,748
Things Remembered, Inc., 2016 Term Loan, 1.00%, 2/29/20			215		94,517

					2,974,547
Technology Hardware, Storage & Peripherals — 1.3%
Dell International LLC, Term Loan B2, 4.00%, 4/29/20			314		314,893
Dell, Inc.:
2016 Term Loan B, 4.00%, 5/24/23			575		578,082
Term Loan C, 3.75%, 10/29/18			514		513,339
Linxens France SA, Term Loan, 5.00%, 10/14/22			179		179,213

					1,585,527
Textiles, Apparel & Luxury Goods — 0.6%
Ascend Performance Materials Operations LLC, Term Loan B, 6.75%, 8/12/22			552		543,584
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21			77		60,521
Samsonite International SA, Term Loan B, 4.00%, 5/12/23			115		116,150

					720,255
Thrifts & Mortgage Finance — 0.4%
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21			494		494,836
Trading Companies & Distributors — 0.3%
Beacon Roofing Supply, Inc., Term Loan B, 4.00%, 10/01/22			317		317,573
Nexeo Solutions LLC, 2016 Term Loan, 5.25%, 6/09/23			60		60,188

					377,761
Transportation — 0.2%
Gruden Acquisition, Inc., 1st Lien Term Loan, 5.75%, 8/18/22			289		257,713


Floating Rate Loan Interests (c)	Par (000)				Value
Wireless Telecommunication Services — 2.7%
Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 9.75%, 6/15/20 (a)(d)(f)		USD		1,677	$	1,521,934
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20				1,132		1,130,388
T-Mobile USA, Inc., Term Loan B, 3.50%, 11/09/22				631		635,133

						3,287,455
Total Floating Rate Loan Interests — 133.6%						165,575,300



Non-Agency Mortgage-Backed Securities — 0.3%
Collateralized Mortgage Obligations — 0.3%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)				304		304,763



Investment Companies			Shares
Capital Markets — 0.4%
Eaton Vance Floating-Rate Income Trust				12		169
Eaton Vance Senior Income Trust				3,347		21,086
iShares iBoxx $ High Yield Corporate Bond ETF (g)				5,864		508,467
Total Investment Companies — 0.4%						529,722



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		1,408
Total Long-Term Investments (Cost — $176,025,294) — 141.6%						175,478,745



Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.33% (g)(h)				220,100		220,100
Total Short-Term Securities (Cost — $220,100) — 0.2%						220,100
Total Investments (Cost — $176,245,394) — 141.8%						175,698,845
Liabilities in Excess of Other Assets — (41.8)%						(51,782,581	)

Net Assets — 100.0%					$	123,916,264

See Notes to Financial Statements.



ANNUAL REPORT	AUGUST 31, 2016	17


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

Notes to Schedule of Investments

(a)

Non-income producing security.

(b)

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

(c)

Variable rate security. Rate as of period end.

(d)

Issuer filed for bankruptcy and/or is in default.

(e)

When-issued security.

(f)

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.

(g)

During the year ended August 31, 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		Shares Purchased		Shares Sold			Shares Held at August 31, 2016		Value at August 31, 2016		Income
BlackRock Liquidity Funds, TempFund, Institutional Class		254,052		—		(33,952	)¹		220,100	$	220,100	$	1,098
iShares iBoxx $ High Yield Corporate Bond ETF		—		5,864		—			5,864		508,467		2,015
Total										$	728,567	$	3,113

¹Represents net shares sold.

(h)

Current yield as of period end.

•

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


Derivative Financial Instruments Outstanding as of Period End

Futures Contracts


Contracts Short			Issue	Expiration	Notional Value	Unrealized Depreciation
	(4	)	10-Year U.S. Treasury Note	December 2016	$523,688	$	(340	)

Forward Foreign Currency Exchange Contracts


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	857,832		GBP	651,000	HSBC Bank PLC		9/06/16	$	2,920
USD	853,722		GBP	651,000	Royal Bank of Scotland PLC		10/05/16		(1,833	)
Total								$	1,087

OTC Total Return Swaps

Reference Entity

Fixed Rate/
Floating Rate

Counterparty

Effective
Date

Expiration
Date

Notional
Amount
(000)

Value

Premiums
(Received)

Unrealized
Appreciation

IBoxx USD Liquid High Yield Index

3-Month LIBOR Plus 0.00%¹

JPMorgan Chase Bank N.A.

N/A

12/20/16

USD

125

6,714

—

6,714

¹ Fund pays the total return of the reference entity and receives the floating rate.

See Notes to Financial Statements.



18	ANNUAL REPORT	AUGUST 31, 2016


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

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 Contacts		Total
Forward foreign currency exchange contracts	Net unrealized appreciation on forward foreign currency exchange contracts		—		—		—	$	2,920		—		—	$	2,920
Swaps — OTC	Unrealized appreciation on OTC swaps		—		—		—		—	$	6,714		—		6,714

Total			—		—		—	$	2,920	$	6,714		—	$	9,634


Liabilities — Derivative Financial Instruments
Futures contracts	Net unrealized depreciation¹		—		—		—		—	$	340		—	$	340
Forward foreign currency exchange contracts	Net unrealized depreciation on forward foreign currency exchange contracts		—		—		—	$	1,833		—		—		1,833

Total			—		—		—	$	1,833	$	340		—	$	2,173

¹ Includes cumulative appreciation (depreciation) on 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 year ended August 31, 2016, the effect of derivative financial instruments in the Statements of Operations was as follows:


Realized Gain (Loss) From:	Commodity Contracts		Credit Contracts			Equity Contracts		Foreign Currency Exchange Contracts			Interest Rate Contracts			Other Contacts		Total
Futures contracts		—		—			—		—		$	(22,589	)		—	$	(22,589	)
Forward foreign currency exchange contracts		—		—			—	$	156,900			—			—		156,900
Swaps		—	$	(20,991	)		—		—			(113	)		—		(21,104	)

Total		—	$	(20,991	)		—	$	156,900		$	(22,702	)		—	$	113,207


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts		—		—			—		—		$	(843	)		—	$	(843	)
Forward foreign currency exchange contracts		—		—			—	$	(10,253	)		—			—		(10,253	)
Swaps		—	$	7,012			—		—			6,714			—		13,726

Total		—	$	7,012			—	$	(10,253	)	$	5,871			—	$	2,630


Average Quarterly Balances of Outstanding Derivative Financial Instruments


Futures contracts:
Average notional value of contracts — short	$	517,563
Forward foreign currency exchange contracts:
Average amounts purchased — in USD	$	1,534,673
Credit default swaps:
Average notional value — sell protection	$	1,243,500	¹
Total return swaps:
Average notional value	$	62,500
¹Actual amounts for the period are shown due to limited outstanding derivative financial instruments as of each quarter end.

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.



ANNUAL REPORT	AUGUST 31, 2016	19


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
Derivative Financial Instruments:
Forward foreign currency exchange contracts	$	2,920	$	1,833
Swaps — OTC		6,714		—

Total derivative assets and liabilities in the Statements of Assets and Liabilities		9,634		1,833

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		—

Total derivative assets and liabilities subject to an MNA	$	9,634	$	1,833

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


Counterparty	Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset		Non-cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets¹
HSBC Bank PLC	$	2,920		—		—		—	$