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 52nd Street, New York, NY 10055

 

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

 

Date of fiscal year end: 08/31/2012

 

Date of reporting period: 02/29/2012

 

Item 1 – Report to Stockholders

 
 

 

February 29, 2012

Semi-Annual Report (Unaudited)

BlackRock Defined Opportunity Credit Trust (BHL)

BlackRock Diversified Income Strategies Fund, Inc. (DVF)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • No Bank Guarantee • May Lose Value

 
 

Table of Contents

Page
Dear Shareholder 3
Semi-Annual Report:  
Fund Summaries 4
The Benefits and Risks of Leveraging 12
Derivative Financial Instruments 12
Financial Statements  
Schedules of Investments 13
Statements of Assets and Liabilities 44
Statements of Operations 45
Statements of Changes in Net Assets 46
Statements of Cash Flows 48
Financial Highlights 49
Notes to Financial Statements 53
Officers and Directors 63
Additional Information 64


2SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

Dear Shareholder

Risk assets were advancing at this time last year despite a wave of geopolitical revolutions, soaring oil prices and natural disasters in Japan. Markets reversed sharply in May, however, when escalating political strife in Greece rekindled fears about sovereign debt problems spreading across Europe. Concurrently, global economic indicators signaled that the recovery had slowed. Confidence was further shaken by the prolonged debt ceiling debate in Washington, DC. On August 5, 2011, Standard & Poor’s downgraded the US government’s credit rating and turmoil erupted in financial markets around the world. Extraordinary levels of volatility persisted in the months that followed as Greece teetered on the brink of default, debt problems escalated in Italy and Spain, and exposure to European sovereign bonds stressed banks globally. Financial markets whipsawed on hopes and fears. Macro news flow became a greater influence on trading decisions than the fundamentals of the securities traded. By the end of the third quarter, equity markets had fallen nearly 20% from their April peak while safe-haven assets such as US Treasuries and gold had rallied to historic highs.

October brought enough positive economic data to assuage fears of a global double-dip recession. Additionally, European leaders began to show progress toward stemming the region’s debt crisis. Investors began to reenter the markets and risk assets recovered through the month. But a lack of definitive details about Europe’s rescue plan eventually raised doubts among investors and thwarted the rally at the end of October. The last two months of 2011 saw more political instability in Greece, unsustainable yields on Italian government bonds, and US policymakers in gridlock over budget issues. Global central bank actions and improving economic data invigorated the markets, but investor confidence was easily tempered by sobering news flow.

Investors showed more optimism at the start of 2012. Risk assets rallied through January and February as economic data grew stronger and debt problems in Europe stabilized. In the United States, jobs data signaled solid improvement in the labor market and the Federal Reserve indicated that it would keep short-term interest rates low through 2014. In Europe, policymakers made significant progress toward securing a Greek bailout plan and restructuring the nation’s debt. Nevertheless, considerable headwinds remain. Europe faces a prolonged recession, the US economy still remains somewhat shaky and the risks of additional flare ups of euro-zone debt problems and slowing growth in China weigh heavily on the future of the global economy.

Risk assets, including equities and high yield bonds, recovered their late-summer losses and posted strong returns for the 6-month period ended February 29, 2012. On a 12-month basis, US large-cap stocks and high yield bonds delivered positive results, while small-cap and emerging-market stocks finished slightly negative. International markets, which experienced some significant downturns in 2011, lagged the broader rebound. Fixed income securities, which benefited from declining yields, advanced over the 6- and 12-month periods. Despite their quality rating downgrade, US Treasury bonds performed particularly well. Municipal bonds also delivered superior results. Continued low short-term interest rates kept yields on money market securities near their all-time lows.

Many of the themes that caused uncertainty in 2011 remain. For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times. Visit blackrock.com/newworld for more information.

Sincerely,

Rob Kapito
President, BlackRock Advisors, LLC

“For investors, the risks appear daunting, but this challenging environment offers new opportunities. BlackRock was built for these times.”

Rob Kapito
President, BlackRock Advisors, LLC

Total Returns as of February 29, 2012

  6-month 12-month
 
US large cap equities 13.31 % 5.12 %
(S&P 500® Index)        
 
US small cap equities 12.40   (0.15 )
(Russell 2000® Index)        
 
International equities 4.13   (7.45 )
(MSCI Europe, Australasia,        
Far East Index)        
 
Emerging market 5.27   (0.11 )
equities (MSCI Emerging        
Markets Index)        
 
3-month Treasury 0.00   0.08  
bill (BofA Merrill Lynch        
3-Month Treasury        
Bill Index)        
 
US Treasury securities 3.70   17.22  
(BofA Merrill Lynch 10-        
Year US Treasury Index)        
 
US investment grade 2.73   8.37  
bonds (Barclays US        
Aggregate Bond Index)        
 
Tax-exempt municipal 5.93   12.88  
bonds (S&P Municipal        
Bond Index)        
 
US high yield bonds 8.62   6.92  
(Barclays US Corporate        
High Yield 2% Issuer        
Capped Index)        

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



 THIS PAGE NOT PART OF YOUR FUND REPORT3
 

Fund Summary as of February 29, 2012 BlackRock Defined Opportunity Credit Trust

Investment Objective

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 29, 2012, the Fund returned 9.69% based on market price and 8.88% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 12.07% based on market price and 8.96% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher-quality and non-rated floating rate loans and common stock had a positive impact on the Fund’s performance. Selection in the chemicals and electric sectors also boosted returns. The Fund’s tactical exposure to high yield bonds contributed positively as the asset class outperformed loans given improving investor demand for riskier assets over the six-month period.
Detracting from performance was security selection among lower-quality loan instruments, an area of the market that generally carried a less favorable risk-return profile during the period. The Fund’s exposure to the paper sector had a negative effect on returns, as did a tactical allocation to asset-backed securities via collateralized loan obligations.

Describe recent portfolio activity.

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.
During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias.

Describe portfolio positioning at period end.

At period end, the Fund held 87% of its total portfolio in floating rate loan interests (bank loans), 10% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included wireless, non-captive diversified financials and chemicals. The Fund ended the period with economic leverage at 22% of its total managed assets.

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

4SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”) BHL
Initial Offering Date January 31, 2008
Yield on Closing Market Price as of February 29, 2012 ($13.45)1 5.89%
Current Monthly Distribution per Common Share2 $0.066
Current Annualized Distribution per Common Share2 $0.792
Economic Leverage as of February 29, 20123 22%

1Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2The distribution rate is not constant and is subject to change.
3Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/29/12 8/31/11 Change High Low
Market Price $13.45 $12.65 6.32% $13.58 $11.59
Net Asset Value $13.90 $13.17 5.54% $13.90 $12.93

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

Portfolio Composition

   2/29/12   8/31/11 
Floating Rate Loan Interests  87%  86%
Corporate Bonds  10   11 
Asset-Backed Securities  2   2 
Common Stocks  1    
Other Interests     1 

Credit Quality Allocations4

   2/29/12   8/31/11 
BBB/Baa  11%  12%
BB/Ba  44   33 
B  45   55 

4Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.
SEMI-ANNUAL REPORTFEBRUARY 29, 20125
 

Fund Summary as of February 29, 2012 BlackRock Diversified Income Strategies Fund, Inc.

Investment Objective

BlackRock Diversified Income Strategies Fund, Inc.’s (DVF) (the “Fund”) investment objective is to provide shareholders with high current income. The Fund seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements, in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal market conditions, a substantial portion of its assets in below investment grade quality securities. The Fund may invest directly in such securities or synthetically through the use of derivatives.

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 29, 2012, the Fund returned 6.70% based on market price and 8.73% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 12.07% based on market price and 8.96% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher-quality loan instruments had a positive impact on the Fund’s performance. The Fund’s tactical exposure to high yield bonds also contributed positively as the asset class outperformed loans during the period. Selection in the electric, chemicals and transportation services sectors boosted returns. The Fund’s use of leverage was an additional contributor.
Detracting from performance was security selection among lower-quality loan instruments, an area of the market that generally carried a less favorable risk-return profile during the period. Selection within the independent energy and non-cable media sectors also had a negative impact on returns.

Describe recent portfolio activity.

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.
During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias.

Describe portfolio positioning at period end.

At period end, the Fund held 83% of its total portfolio in floating rate loan interests (bank loans), 12% in corporate bonds, with the remainder in asset-backed securities, common stocks and other interests. The Fund’s largest sector exposures included cable media, chemicals and wireless. The Fund ended the period with economic leverage at 23% of its total managed assets.

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

6SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

BlackRock Diversified Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE DVF
Initial Offering Date January 31, 2005
Yield on Closing Market Price as of February 29, 2012 ($10.12)1 6.94%
Current Monthly Distribution per Common Share2 $0.0585
Current Annualized Distribution per Common Share2 $0.7020
Economic Leverage as of February 29, 20123 23%

1Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2The distribution rate is not constant and is subject to change.
3Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/29/12 8/31/11 Change High Low
Market Price $10.12 $  9.84 2.85% $10.22 $8.84
Net Asset Value $10.68 $10.19 4.81% $10.68 $9.95

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

Portfolio Composition

    
   2/29/12   8/31/11 
Floating Rate Loan Interests  83%  80%
Corporate Bonds  12   14 
Asset-Backed Securities  2   2 
Common Stocks  2   2 
Other Interests  1   2 

Credit Quality Allocations4

    
   2/29/12   8/31/11 
BBB/Baa  8%  8%
BB/Ba  44   30 
B  36   47 
CCC/Caa  7   8 
Not Rated  5   7 

4Using the higher of S&P’s or Moody’s ratings.
SEMI-ANNUAL REPORTFEBRUARY 29, 20127
 

Fund Summary as of February 29, 2012 BlackRock Floating Rate Income Strategies Fund, Inc.

Investment Objective

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 29, 2012, the Fund returned 12.69% based on market price and 8.76% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 12.07% based on market price and 8.96% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher-quality and non-rated floating rate loans and common stock had a positive impact on the Fund’s performance. Selection in the chemicals and electric sectors also boosted returns. The Fund’s tactical exposure to high yield bonds contributed positively as the asset class outperformed loans given improving investor demand for riskier assets over the six-month period.
Detracting from performance was security selection among lower-quality loan instruments, an area of the market that generally carried a less favorable risk-return profile during the period. The Fund’s exposure to the paper sector had a negative effect on returns, as did a tactical allocation to asset-backed securities via collateralized loan obligations.

Describe recent portfolio activity.

The period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shut-down. However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets.
During the period, the Fund maintained its focus on the higher quality portions of the loan market in terms of loan structure, liquidity and overall credit quality. Given the weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. The Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. While the developments during the period bode well for the posture of risk markets going forward, the Fund continues to maintain a high quality bias.

Describe portfolio positioning at period end.

At period end, the Fund held 83% of its total portfolio in floating rate loan interests (bank loans), 13% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included wireless, non-captive diversified financials and chemicals. The Fund ended the period with economic leverage at 22% of its total managed assets.

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

8SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE FRA
Initial Offering Date October 31, 2003
Yield on Closing Market Price as of February 29, 2012 ($14.52)1 6.36%
Current Monthly Distribution per Common Share2 $0.077
Current Annualized Distribution per Common Share2 $0.924
Economic Leverage as of February 29, 20123 22%

1Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2The distribution rate is not constant and is subject to change.
3Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/29/12 8/31/11 Change High Low
Market Price $14.52 $13.33 8.93% $14.60 $12.33
Net Asset Value $14.76 $14.04 5.13% $14.76 $13.74

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond investments:

Portfolio Composition

   2/29/12   8/31/11 
Floating Rate Loan Interests  83%  81%
Corporate Bonds  13   15 
Asset-Backed Securities  3   3 
Common Stocks  1    
Other Interests     1 

Credit Quality Allocations4

   2/29/12   8/31/11 
BBB/Baa  9%  9%
BB/Ba  39   36 
B  43   49 
CCC/Caa  4   3 
Not Rated  5   3 

4 Using the higher of S&P’s or Moody’s ratings.

SEMI-ANNUAL REPORTFEBRUARY 29, 20129
 

Fund Summary as of February 29, 2012 BlackRock Limited Duration Income Trust

Investment Objective

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 and asset-backed securities and US Government and agency securities;
senior, secured floating rate loans made to corporate and other business entities; and
US dollar-denominated securities of US and non-US issuers rated below investment grade, and to a limited extent, non-US dollar denominated securities of non-US issuers rated below investment grade.

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 29, 2012, the Fund returned 10.48% based on market price and 8.20% based on NAV. For the same period, the closed-end Lipper High Current Yield Funds (Leveraged) category posted an average return of 13.38% based on market price and 10.05% based on NAV. All returns reflect reinvestment of dividends. The Fund's discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher-quality credit instruments had a positive impact on the Fund’s performance. Selection in the consumer services and electric sectors also boosted returns. The Fund’s tactical exposure to equity securities was rewarding as equities outperformed high yield debt amid improving investor demand for riskier assets over the six-month period.
The Fund differs from its Lipper category competitors, which invest primarily in high yield bonds, in that the Fund also invests in floating rate loan interests (bank loans), investment grade credits and securitized assets. While the Fund’s allocations to these other asset classes did not detract from performance on an absolute basis, they underperformed high yield bonds for the period. Security selection in the non-cable media and paper sectors pared the Fund’s gains for the period.

Describe recent portfolio activity.

In the early part of the period, as the outlook for global growth worsened and the potential for further spreading of the ongoing debt crisis in Europe increased, the Fund shifted its positioning to a more conservative posture. Specifically, the Fund reduced positions in the more cyclical credits and increased exposure to market sectors with more stable cash flows.
However, the environment shifted in December when the European Central Bank announced a long-term refinancing operation. This liquidity program provided a much-needed short-term solution for the financial markets and mitigated the risk of a collapse in the European banking system. Moreover, it was the catalyst for a positive turn in the valuation of risk assets. Given these developments, the Fund maintained its higher-quality income-oriented bias, but started selectively adding back some risk in names with appealing risk-reward characteristics. Despite this modest shift to “risk-on,” the Fund continued to seek issuers with superior fundamentals while avoiding higher-beta credits (i.e., those with higher sensitivity to market volatility) and the more economically sensitive areas of the market.

Describe portfolio positioning at period end.

At period end, the Fund held 45% of its total portfolio in corporate bonds, 31% in floating rate loan interests (bank loans), 11% in non-agency mortgage-backed securities, with the remainder in US Government sponsored agency securities, asset-backed securities, common stocks and taxable municipal bonds. The Fund’s largest sector exposures included cable media, independent energy and chemicals. The Fund ended the period with economic leverage at 27% of its total managed assets.

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

10SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE BLW
Initial Offering Date July 30, 2003
Yield on Closing Market Price as of February 29, 2012 ($16.96)1 7.43%
Current Monthly Distribution per Common Share2 $0.105
Current Annualized Distribution per Common Share2 $1.260
Economic Leverage as of February 29, 20123 27%

1Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2The distribution rate is not constant and is subject to change.
3Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 12.

The table below summarizes the changes in the Fund’s market price and NAV per share:

  2/29/12 8/31/11 Change High Low
Market Price $16.96 $16.01 5.93% $17.33 $15.00
Net Asset Value $17.14 $16.52 3.75% $17.14 $15.92

The following charts show the portfolio composition of the Fund’s long-term investments and credit quality allocations of the Fund’s corporate bond and US government securities investments:

Portfolio Composition

    
   2/29/12   8/31/11 
Corporate Bonds  45%  40%
Floating Rate Loan Interests  31   31 
Non-Agency Mortgage-Backed Securities  11   10 
US Government Sponsored Agency Securities  6   11 
Asset-Backed Securities  4   5 
Common Stocks  2   1 
Taxable Municipal Bonds  1   1 
Other Interests     1 

Credit Quality Allocations4

    
   2/29/12   8/31/11 
AAA/Aaa5  12%  17%
AA/Aa  2   2 
A  7   5 
BBB/Baa  15   15 
BB/Ba  33   26 
B  25   27 
CCC/Caa  5   7 
D     1 
Not Rated  1    

4Using the higher of S&P’s or Moody’s ratings.
5Includes US Government Sponsored Agency securities and US Treasury Obligations, which were deemed AAA/Aaa by the investment advisor.
SEMI-ANNUAL REPORTFEBRUARY 29, 201211
 

The Benefits and Risks of Leveraging

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

The Funds may utilize leverage by borrowing through a credit facility or through entering into reverse repurchase agreements. In general, the concept of leveraging is based on the premise that the financing cost of assets to be obtained from leverage, which will be based on short-term interest rates, will normally be lower than the income earned by each Fund on its longer-term portfolio investments. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders will benefit from the incremental net income.

The interest earned on securities purchased with the proceeds from leverage is paid to shareholders in the form of dividends, and the value of these portfolio holdings is reflected in the per share NAV. However, in order to benefit shareholders, the yield curve must be positively sloped; that is, short-term interest rates must be lower than long-term interest rates. If the yield curve becomes negatively sloped, meaning short-term interest rates exceed long-term interest rates, income to shareholders will be lower than if the Funds had not used leverage.

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it borrows for an additional $30 million, creating a total value of $130 million available for investment in long-term securities. If prevailing short-term interest rates are 3% and long-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund pays borrowing costs and interest expense on the $30 million of borrowings based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with assets received from the borrowings earn income based on long-term interest rates. In this case, the borrowing costs and interest expense of the borrowings is significantly lower than the income earned on the Fund’s long-term investments, and therefore the Fund’s shareholders are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term and long-term interest rates, the incremental net income pickup will be reduced or eliminated completely. Furthermore, if prevailing short-term interest rates rise above long-term interest rates, the yield curve has a negative slope. In this case, the Fund pays higher short-term interest rates whereas the Fund’s total portfolio earns income based on lower long-term interest rates.

Furthermore, the value of the Funds’ portfolio investments generally varies inversely with the direction of long-term interest rates, although other factors can influence the value of portfolio investments. In contrast, the redemption value of the Funds’ borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively in addition to the impact on Fund performance from leverage from borrowings discussed above.

The use of leverage may enhance opportunities for increased income to the Funds, but as described above, it also creates risks as short- or long-term interest rates fluctuate. Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. If the income derived from securities purchased with assets received from leverage exceeds the cost of leverage, the Funds’ net income will be greater than if leverage had not been used. Conversely, if the income from the securities purchased is not sufficient to cover the cost of leverage, each Fund’s net income will be less than if leverage had not been used, and therefore the amount available for distribution to shareholders will be reduced. Each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause a Fund to incur losses. The use of leverage may limit each Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue senior securities representing indebtedness up to 33 1/3% of their total managed assets (each Fund’s net assets plus the proceeds of any outstanding borrowings). If the Funds segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Fund voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of February 29, 2012, the Funds had aggregate economic leverage from any reverse repurchase agreements and borrowings through a credit facility as a percentage of their total managed assets as follows:

  Percent of
Economic
Leverage
BHL 22%
DVF 23%
FRA 22%
BLW 27%

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts, foreign currency exchange contracts, options and swaps as specified in Note 2 of the Notes to Financial Statements, which may constitute forms of economic leverage. Such derivative financial instruments are used to obtain exposure to a market without owning or taking physical custody of securities or to hedge market, equity, credit, interest rate and/or foreign currency exchange rate risks. Derivative financial instruments involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the derivative financial instrument. The Funds’ ability to use a derivative financial instrument successfully depends on the investment 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 require a Fund to sell or purchase portfolio investments at inopportune times or for distressed values, may limit the amount of appreciation a Fund can realize on an investment, may result in lower dividends paid to shareholders or may cause a Fund to hold an investment that it might otherwise sell. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.

12SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

Schedule of Investments February 29, 2012 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
  (Percentages shown are based on Net Assets)

    Par  
Asset-Backed Securities   (000) Value
 
ARES CLO Funds, Series 2005-10A, Class B,      
0.95%, 9/18/17 (a)(b) USD 250 $ 231,345
Canaras Summit CLO Ltd., Series 2007-1A, Class B,      
1.04%, 6/19/21 (a)(b)   345 293,350
Flagship CLO, Series 2006-1A, Class B,      
0.91%, 9/20/19 (a)(b)   1,000 772,500
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,      
0.96%, 12/20/20 (a)(b)   500 425,000
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,      
0.92%, 10/27/20 (b)   265 213,988
Goldman Sachs Asset Management CLO Plc,      
Series 2007-1A, Class B, 1.00%, 8/01/22 (a)(b)   580 464,000
Landmark CDO Ltd., Series 2006-8A, Class B,      
0.92%, 10/19/20 (a)(b)   495 414,404
MAPS CLO Fund LLC, Series 2005-1A, Class C,      
1.52%, 12/21/17 (a)(b)   260 234,260
Portola CLO Ltd., Series 2007-1X, Class B1,      
1.95%, 11/15/21 (b)   350 300,125
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,      
1.17%, 7/15/19 (a)(b)   300 260,175
Total Asset-Backed Securities — 2.9%     3,609,147
 
 
Common Stocks (c)   Shares  
Auto Components — 0.8%      
Delphi Automotive Plc (180-day lock)      
(acquired 11/17/11, cost $176,777) (d)   30,737 958,994
Hotels, Restaurants & Leisure — 0.1%      
BLB Worldwide Holdings, Inc.   20,020 196,180
Software — 0.0%      
HMH Holdings/EduMedia   53,267 13,317
Total Common Stocks — 0.9%     1,168,491
 
 
    Par  
Corporate Bonds   (000)  
Airlines — 0.2%      
American Airlines Pass-Through Trust, Series 2011-2,      
Class A, 8.63%, 4/15/23 USD 129 136,740
Delta Air Lines, Inc., Series 2009-1-B, Class B,      
9.75%, 6/17/18   55 58,663
      195,403
Auto Components — 0.9%      
Icahn Enterprises LP:      
7.75%, 1/15/16   785 822,287
8.00%, 1/15/18 (a)   340 360,400
      1,182,687
Chemicals — 0.6%      
CF Industries, Inc., 6.88%, 5/01/18   415 488,662
Ineos Finance Plc, 8.38%, 2/15/19 (a)   110 116,875
Lyondell Chemical Co., 11.00%, 5/01/18   130 142,256
LyondellBasell Industries NV, 6.00%, 11/15/21 (a)   45 49,388
      797,181

    Par  
Corporate Bonds   (000) Value
 
Commercial Banks — 0.2%      
CIT Group, Inc.:      
7.00%, 5/02/16 (a) USD 180 $         180,225
7.00%, 5/02/17 (a)   130 130,163
      310,388
Commercial Services & Supplies — 0.3%      
ARAMARK Corp., 4.05%, 2/01/15 (b)   65 64,756
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)   340 355,200
      419,956
Consumer Finance — 0.3%      
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)   325 347,750
Containers & Packaging — 0.1%      
Graphic Packaging International, Inc., 9.50%, 6/15/17   100 111,250
Diversified Financial Services — 1.1%      
Ally Financial, Inc., 2.73%, 12/01/14 (b)   1,025 959,330
FCE Bank Plc, 7.13%, 1/15/13 EUR 50 69,113
Reynolds Group Issuer, Inc. (a):      
7.13%, 4/15/19 USD 120 126,900
6.88%, 2/15/21   185 196,100
      1,351,443
Diversified Telecommunication Services — 0.1%      
ITC Deltacom, Inc., 10.50%, 4/01/16   140 145,950
Health Care Providers & Services — 0.5%      
HCA, Inc., 6.50%, 2/15/20   400 429,000
Tenet Healthcare Corp., 6.25%, 11/01/18 (a)   185 197,256
      626,256
Health Care Technology — 0.8%      
IMS Health, Inc., 12.50%, 3/01/18 (a)   850 1,011,500
Hotels, Restaurants & Leisure — 0.5%      
MGM Resorts International:      
10.38%, 5/15/14   175 199,062
11.13%, 11/15/17   390 443,625
      642,687
Household Durables — 0.6%      
Beazer Homes USA, Inc., 12.00%, 10/15/17   715 779,350
Independent Power Producers & Energy Traders — 2.0%      
Calpine Corp., 7.25%, 10/15/17 (a)   545 577,700
Energy Future Holdings Corp., 10.00%, 1/15/20   370 400,062
Energy Future Intermediate Holding Co. LLC,      
10.00%, 12/01/20   1,355 1,471,869
      2,449,631
Machinery — 0.1%      
UR Financing Escrow Corp., 5.75%, 7/15/18 (a)(e)   80 82,200
Media — 1.9%      
AMC Networks, Inc., 7.75%, 7/15/21 (a)   105 117,075
CCH II LLC, 13.50%, 11/30/16   500 575,000
Clear Channel Worldwide Holdings, Inc.:      
9.25%, 12/15/17   185 202,575
Series B, 9.25%, 12/15/17   850 935,000
Unitymedia Hessen GmbH & Co. KG,      
8.13%, 12/01/17 (a)   500 542,500
      2,372,150

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the
Schedules of Investments, the names and descriptions of
many of the securities have been abbreviated according
to the following list:
CAD Canadian Dollar GO General Obligation Bonds
EUR Euro USD US Dollar
GBP British Pound    

See Notes to Financial Statements.

SEMI-ANNUAL REPORTFEBRUARY 29, 201213
 

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

    Par  
Corporate Bonds   (000) Value
 
Oil, Gas & Consumable Fuels — 0.1%      
Coffeyville Resources LLC, 9.00%, 4/01/15 (a) USD 126 $ 134,820
Paper & Forest Products — 0.3%      
Longview Fibre Paper & Packaging, Inc.,      
8.00%, 6/01/16 (a)   155 159,263
Verso Paper Holdings LLC, 11.50%, 7/01/14   180 183,600
      342,863
Pharmaceuticals — 0.1%      
Valeant Pharmaceuticals International,      
6.50%, 7/15/16 (a)   185 188,700
Real Estate Management & Development — 0.1%      
Realogy Corp., 7.63%, 1/15/20 (a)   165 170,363
Wireless Telecommunication Services — 1.7%      
Cricket Communications, Inc., 7.75%, 5/15/16   1,125 1,198,125
Sprint Nextel Corp. (a):      
9.00%, 11/15/18   290 323,350
7.00%, 3/01/20   550 558,937
      2,080,412
Total Corporate Bonds — 12.5%     15,742,940
 
 
Floating Rate Loan Interests (b)      
Aerospace & Defense — 1.6%      
DynCorp International, Term Loan B, 6.25%, 7/07/16   326 324,524
SI Organization, Inc., New Term Loan B,      
4.50%, 11/22/16   419 401,072
TransDigm, Inc.:      
Add on Term Loan B2, 4.00%, 2/14/17   180 180,149
Term Loan (First Lien), 4.00%, 2/14/17   842 840,759
Wesco Aircraft Hardware Corp., Term Loan B,      
4.25%, 4/07/17   294 293,325
      2,039,829
Airlines — 0.8%      
Delta Air Lines, Inc., Credit New Term Loan B,      
5.50%, 4/20/17   1,067 1,041,761
Auto Components — 2.6%      
Allison Transmission, Inc., Term Loan B, 2.75%, 8/07/14   1,419 1,402,833
Autoparts Holdings Ltd., First Lien Term Loan,      
6.50%, 7/28/17   648 649,996
Federal-Mogul Corp.:      
Term Loan B, 2.19% – 2.20%, 12/29/14   275 262,844
Term Loan C, 2.19% – 2.20%, 12/28/15   140 134,104
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17   480 481,402
UCI International, Inc., Term Loan, 5.50%, 7/26/17   347 347,366
      3,278,545
Biotechnology — 0.7%      
Grifols SA, Term Loan B, 4.50%, 6/1/17   868 866,443
Building Products — 3.2%      
Armstrong World Industries, Inc., Term Loan B,      
4.00%, 3/19/18   447 444,812
CPG International, Inc., Term Loan B, 6.00%, 2/18/17   792 748,440
Goodman Global, Inc., Initial Term Loan (First Lien),      
5.75%, 10/28/16   2,094 2,104,553
Momentive Performance Materials, Inc. (Blitz 06-103      
GmbH), Tranche B-2B Term Loan, 4.08%, 5/05/15 EUR 563 710,195
      4,008,000
Capital Markets — 1.8%      
American Capital Ltd., Term Loan B, 7.50%, 12/31/13 USD 61 61,446
HarbourVest Partners, Term Loan (First Lien),      
6.25%, 12/16/16   838 838,853

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Capital Markets (concluded)      
Nuveen Investments, Inc., Incremental Term Loan,      
7.25%, 5/13/17 USD 160 $ 161,120
Nuveen Investments, Inc. (First Lien):      
3.30% – 3.58%, 11/13/14   391 388,468
5.74% – 5.83%, 5/12/17   782 780,021
      2,229,908
Chemicals — 5.0%      
American Rock Salt Holdings LLC, Term Loan B,      
5.50%, 4/25/17   610 567,273
Ashland, Inc., Term Loan B, 3.75%, 8/23/18   429 430,341
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16   750 752,347
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15   491 488,055
MDI Holdings LLC, Term Loan B, 2.24%, 4/11/14   446 443,147
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17   571 561,888
Polyone Corp., Term Loan, 5.00%, 12/20/17   185 185,278
PQ Corp., Original Term Loan (First Lien),      
3.50%, 7/30/14   706 688,474
Styron Sarl LLC, Term Loan B, 6.00% – 6.75%, 8/02/17   506 456,469
Tronox Worldwide LLC:      
Delayed Draw Term Loan, 1.00%, 2/09/18   176 175,517
Term Loan B, 4.25%, 2/08/18   644 643,564
Univar, Inc., Term Loan B, 5.00%, 6/30/17   934 926,108
      6,318,461
Commercial Services & Supplies — 3.9%      
Altegrity, Inc., Tranche D Term Loan, 7.75%, 2/20/15   697 696,257
ARAMARK Corp.:      
Letter of Credit, 3.55%, 7/26/16   23 23,012
Term Loan B, 3.83%, 7/26/16   327 323,984
AWAS Finance Luxembourg Sarl, Term Loan B,      
5.25%, 6/10/16   370 368,427
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16   825 825,883
International Lease Finance Corp., Term Loan B1,      
6.75%, 3/17/15   35 35,058
KAR Auction Services, Inc., Term Loan B,      
5.00%, 5/19/17   1,194 1,192,508
Synagro Technologies, Inc., Term Loan B,      
2.25% – 2.26%, 4/02/14   866 774,796
Volume Services America, Inc., Term Loan B,      
10.50% – 10.75%, 9/16/16   494 495,809
West Corp., Term Loan B4, 4.49% – 4.50%, 7/15/16   197 196,891
      4,932,625
Communications Equipment — 1.3%      
Avaya, Inc.:      
Term Loan B1, 3.24%, 10/26/14   513 501,799
Term Loan B3, 4.99%, 10/26/17   315 305,478
CommScope, Inc., Term Loan B, 5.00%, 1/14/18   818 817,813
      1,625,090
Construction & Engineering — 0.9%      
BakerCorp. International, Inc., Term Loan B,      
5.00%, 6/01/18   363 362,692
Safway Services, LLC, First Out Tranche Loan,      
9.00%, 12/16/17   750 750,000
      1,112,692
Consumer Finance — 1.6%      
Springleaf Finance Corp, Term Loan, 5.50%, 5/10/17   2,135 1,946,287
Containers & Packaging — 1.0%      
Berry Plastics Holding Corp., Term Loan C,      
2.25%, 4/03/15   500 486,620
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18   719 725,996
      1,212,616

See Notes to Financial Statements.

14SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

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

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Diversified Consumer Services — 3.3%      
Coinmach Corp., Delayed Draw Term Loan,      
3.41%, 11/20/14 USD 243 $ 223,902
Coinmach Service Corp., Term Loan, 3.41%, 11/20/14   1,021 940,249
Laureate Education, Inc., Extended Term Loan,      
5.25%, 8/15/18   1,955 1,866,229
ServiceMaster Co.:      
Delayed Draw Term Loan, 2.75%, 7/24/14   108 106,332
Term Loan, 2.77% – 3.03%, 7/24/14   1,081 1,067,749
      4,204,461
Diversified Financial Services — 1.9%      
Reynolds Group Holdings, Inc.:      
Tranche B Term Loan, 6.50%, 2/09/18   1,217 1,228,416
Tranche C Term Loan, 5.25% – 6.50%, 8/09/18   1,184 1,196,493
      2,424,909
Diversified Telecommunication Services — 4.4%      
Hawaiian Telcom Communications, Inc., Term Loan B,      
7.00%, 2/25/17   530 528,675
Integra Telecom Holdings, Inc., Term Loan,      
9.25%, 4/15/15   813 715,110
Level 3 Financing, Inc.:      
Term Loan B2, 5.75%, 9/03/18   1,800 1,812,384
Term Loan B3, 5.75%, 8/31/18   550 553,784
Tranche A Term Loan, 2.50% – 2.83%, 3/13/14   1,200 1,180,200
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17   745 705,845
      5,495,998
Electronic Equipment, Instruments & Components — 1.2%    
CDW LLC (FKA CDW Corp.), Extended Term Loan,      
4.00%, 7/14/17   816 797,620
Sensata Technologies Finance Co. LLC, Term Loan,      
4.00%, 5/11/18   700 698,787
      1,496,407
Energy Equipment & Services — 3.0%      
CCS Corp.:      
Incremental Term Loan, 6.50%, 10/17/14   350 350,350
Term Loan B, 3.24%, 11/14/14   746 721,878
Dynegy Midwest Generation LLC, Coal Co. Term Loan,      
9.25%, 8/04/16   517 513,801
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16   581 598,832
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18   1,546 1,542,956
      3,727,817
Food & Staples Retailing — 2.0%      
AB Acquisitions UK Topco 2 Ltd., Facility B1,      
3.60%, 7/09/15 GBP 900 1,307,801
B&G Foods, Inc., Term Loan B, 4.50%, 11/30/18 USD 175 175,394
Bolthouse Farms, Inc., Term Loan (First Lien),      
5.50% – 5.75%, 2/11/16   215 215,615
U.S. Foodservice, Inc., Term Loan B,      
2.74% – 2.75%, 7/03/14   789 760,976
      2,459,786
Food Products — 3.2%      
Advance Pierre Foods, Term Loan (Second Lien):      
7.00%, 9/30/16   948 948,000
11.25%, 9/29/17   550 550,456
Del Monte Corp., Term Loan, 4.50%, 3/08/18   1,170 1,147,571
Michaels Foods Group, Inc., Term Loan B,      
4.25%, 2/23/18   126 126,084
Pinnacle Foods Finance LLC:      
Tranche B Term Loan, 2.76% – 3.08%, 4/02/14   40 39,569
Tranche D Term Loan, 6.00% – 6.50%, 4/02/14   452 454,616
Solvest Ltd. (Dole):      
Tranche B-2 Term Loan, 5.00% – 6.00%, 7/06/18   280 281,275
Tranche C-2 Term Loan, 5.00% – 6.00%, 7/06/18   521 522,367
      4,069,938

  Par  
Floating Rate Loan Interests (b) (000) Value
 
Health Care Equipment & Supplies — 1.8%    
Biomet, Inc., Term Loan B, 3.24% – 3.57%, 3/25/15 USD 313 $ 309,873
DJO Finance LLC, Term Loan, 3.24%, 5/20/14 465 458,692
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19 355 354,780
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18 349 347,188
Immucor, Inc., Term Loan B, 7.25%, 8/17/18 823 828,492
    2,299,025
Health Care Providers & Services — 4.6%    
CHS/Community Health Systems, Inc.:    
Non-Extended Delayed Draw Term Loan,    
3.25%, 7/25/14 32 31,999
Non-Extended Term Loan, 2.49% – 4.50%, 7/25/14 639 630,085
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16 594 592,331
DaVita, Inc., Term Loan B, 4.50%, 10/20/16 891 893,040
Emergency Medical Services, Term Loan,    
5.25%, 5/25/18 773 770,968
Harden Healthcare LLC:    
Term Loan A, 8.50%, 3/02/15 328 321,325
Tranche A Additional Term Loan, 7.75%, 3/02/15 494 484,188
HCA, Inc., Tranche B-3 Term Loan, 3.49%, 5/01/18 225 221,286
Health Management Associates, Inc., Term Loan B,    
4.50%, 11/16/18 270 268,245
inVentiv Health, Inc.:    
Combined Term Loan, 6.50%, 8/04/16 642 616,734
Incremental Term Loan B-3, 6.75%, 5/15/18 347 333,600
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17 547 525,360
Vanguard Health Holding Co. II, LLC (Vanguard Health    
Systems, Inc.), Term Loan B, 5.00%, 1/29/16 60 59,700
    5,748,861
Health Care Technology — 1.3%    
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17 553 552,978
Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18 695 706,294
MedAssets, Inc., Term Loan, 5.25%, 11/16/16 399 399,422
    1,658,694
Hotels, Restaurants & Leisure — 5.7%    
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18 570 571,540
Boyd Gaming Corp., Incremental Term Loan,    
6.00%, 12/17/15 395 395,924
Caesars Entertainment Operating Co., Inc.:    
Incremental Term Loan B4, 9.50%, 10/31/16 495 508,895
Term Loan B1, 3.24%, 1/28/15 272 254,623
Term Loan B3, 3.24% – 3.47%, 1/28/15 2,272 2,128,487
Dunkin’ Brands, Inc., Term Loan B,    
4.00% – 5.25%, 11/23/17 898 894,849
Golden Living, Term Loan, 5.00%, 5/04/18 148 138,807
OSI Restaurant Partners LLC:    
Revolver, 2.56% – 2.79%, 6/14/13 4 4,378
Term Loan B, 2.56%, 6/14/14 46 44,413
Seaworld Parks & Entertainment, Inc., Term Loan B,    
4.00%, 8/17/17 619 617,866
Six Flags Theme Parks, Inc., Tranche B Term Loan    
(First Lien), 4.25%, 12/20/18 690 686,985
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 475 428,293
Twin River Worldwide Holdings, Inc., Term Loan,    
8.50%, 11/05/15 519 518,890
    7,193,950
Household Products — 0.6%    
Prestige Brands, Inc., Term Loan, 5.25%, 1/31/19 690 692,588
Independent Power Producers & Energy Traders — 1.0%    
The AES Corp., Term Loan, 4.25%, 6/01/18 993 991,508
Texas Competitive Electric Holdings Co. LLC, Extended    
Term Loan, 4.76%, 10/10/17 574 320,236
    1,311,744

See Notes to Financial Statements.

SEMI-ANNUAL REPORTFEBRUARY 29, 201215
 

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

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Industrial Conglomerates — 1.6%      
Sequa Corp.:      
Incremental Term Loan, 6.25%, 12/03/14 USD 305 $ 306,016
Term Loan, 3.76% – 3.84%, 12/03/14   1,763 1,744,049
      2,050,065
Insurance — 0.7%      
CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16   817 820,345
Internet Software & Services — 0.4%      
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17   545 532,463
IT Services — 5.4%      
Ceridian Corp., Term Loan, 3.24%, 11/10/14   656 620,748
First Data Corp.:      
Extended Term Loan B, 4.24%, 3/23/18   3,125 2,803,749
Term Loan B-1, 2.99%, 9/24/14   408 390,334
Term Loan B-3, 2.99%, 9/24/14   149 142,569
infoGROUP, Inc., Term Loan B, 5.75%, 5/25/18   345 322,382
iPayment, Inc., Term Loan B, 5.75%, 5/08/17   494 491,279
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18   409 409,997
SunGard Data Systems, Inc. (Solar Capital Corp.),      
Tranche B Term Loan, 3.99% – 5.86%, 2/26/16   143 142,470
TransUnion LLC, Term Loan B, 4.75%, 2/12/18   1,457 1,458,471
      6,781,999
Leisure Equipment & Products — 0.2%      
Eastman Kodak Co., DIP Term Loan B, 1.00%, 7/20/13   275 278,352
Machinery — 1.5%      
Terex Corp.:      
Term Loan, 6.00%, 4/28/17 EUR 60 79,140
Term Loan B, 5.50%, 4/28/17 USD 604 608,025
Tomkins LLC, Term Loan B, 4.25%, 9/23/16   1,169 1,167,792
      1,854,957
Media — 19.2%      
Acosta, Inc., Term Loan, 4.75%, 3/01/18   312 310,119
Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16   735 688,050
AMC Entertainment, Inc., Term Loan B3, 4.25%, 2/22/18 325 320,674
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18   796 791,025
Atlantic Broadband Finance LLC, Term Loan B,      
4.00%, 3/08/16   416 413,990
Bresnan Telecommunications Co., LLC, Term Loan,      
4.50% – 5.25%, 12/14/17   1,436 1,430,720
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18   599 601,917
Catalina Marketing Corp., Term Loan B,      
2.99%, 10/01/14   633 615,290
Cengage Learning Acquisitions, Inc.:      
Term Loan, 2.49%, 7/03/14   425 394,098
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14   371 359,138
Cequel Communications LLC, Term Loan B,      
4.00%, 2/11/19   1,095 1,083,798
Charter Communications Operating LLC:      
Term Loan B, 7.25%, 3/06/14   12 12,302
Term Loan C, 3.83%, 9/06/16   1,046 1,038,206
Clarke American Corp., Term Facility B,      
2.74% – 3.08%, 6/30/14   227 207,076
Clear Channel Communications:      
Term Loan B, 3.89%, 1/28/16   1,185 972,506
Term Loan C, 3.89%, 1/28/16   160 126,800
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18   615 615,510
Gray Television, Inc., Term Loan B, 3.77%, 12/31/14   640 632,734
HMH Publishing Co. Ltd., Tranche A Term Loan,      
6.51%, 6/12/14   604 373,459
Hubbard Broadcasting, Term Loan B (Second Lien),      
5.25%, 4/28/17   498 497,913
Intelsat Jackson Holdings SA, Tranche B Term Loan,      
5.25%, 4/02/18   2,978 2,972,438
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18   1,315 1,312,104

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Media (concluded)      
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19 USD 640 $ 636,800
Knology, Inc., Term Loan B, 4.00%, 8/18/17   246 243,670
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG):      
Term Loan B, 3.81%, 3/06/15 EUR 460 533,050
Term Loan C, 4.06%, 3/04/16   460 536,118
LIN Television Corp., Term Loan B, 5.00%, 12/21/18 USD 325 326,625
Mediacom LLC, Term Loan E, 4.50%, 10/23/17   493 487,452
Newsday LLC, Fixed Rate Term Loan:      
6.82%, 8/01/13   500 502,710
10.50%, 8/01/13   800 823,000
Nielsen Finance LLC, Class B Dollar Term Loan,      
4.01%, 5/02/16   634 635,918
Sinclair Television Group, Inc.:      
Incremental Term Loan B3, 4.00%, 10/28/16   130 129,390
Tranche B Term Loan, 4.00%, 10/28/16   421 418,935
Univision Communications, Inc., Extended First Lien      
Term Loan, 4.49%, 3/31/17   988 917,193
UPC Broadband Holding B.V., Term Loan U,      
4.72%, 12/29/17 EUR 196 256,005
UPC Financing Partnership:      
Term Loan, 4.75%, 12/29/17 USD 585 583,976
Term Loan T, 3.77%, 12/30/16   80 78,660
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18   218 217,837
Weather Channel, Term Loan B, 4.25%, 2/13/17   962 962,960
      24,060,166
Metals & Mining — 2.6%      
Novelis, Inc., Term Loan, 4.00%, 3/10/17   1,321 1,314,720
SunCoke Energy, Inc., Term Loan B,      
4.00% – 5.25%, 7/26/18   448 446,631
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18   1,514 1,507,007
      3,268,358
Multi-Utilities — 0.1%      
FirstLight Power Resources, Inc., Term B Advance      
(First Lien), 2.75%, 11/01/13   160 150,569
Multiline Retail — 2.5%      
99 Cents Only Stores, Term Loan B,      
6.00% – 7.00%, 1/11/19   525 528,376
Dollar General Corp., Tranche B-2 Term Loan,      
3.00% – 3.33%, 7/07/14   316 315,720
Hema Holding BV, Second Lien Term Loan,      
5.69%, 1/05/17 EUR 1,800 2,086,381
The Neiman Marcus Group, Inc., Term Loan,      
4.75%, 5/16/18 USD 175 173,600
      3,104,077
Oil, Gas & Consumable Fuels — 1.8%      
EquiPower Resources Holdings LLC, Term Loan B,      
5.75%, 1/26/18   699 656,731
Gibson Energy, Term Loan B, 5.75%, 6/15/18   796 796,828
Obsidian Natural Gas Trust, Term Loan,      
7.00%, 11/02/15   848 852,184
      2,305,743
Paper & Forest Products — 0.2%      
NewPage Corp., Term Loan, 8.00%, 3/07/13   200 201,500
Pharmaceuticals — 3.9%      
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17   990 981,585
Endo Pharmaceuticals Holdings, Inc., Term Loan B,      
4.00%, 6/18/18   162 161,811
Pharmaceutical Product Development, Inc., Term Loan B,      
6.25%, 12/05/18   830 837,262
Quintiles Transnational Corp., Term Loan B,      
5.00%, 6/08/18   592 588,112
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18   498 496,624
Taminco Global Chemical Corp., New Term Loan,      
6.25%, 2/15/19   290 291,192

See Notes to Financial Statements.

16SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

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

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Pharmaceuticals (concluded)      
Valeant Pharmaceuticals International, Add on      
Term Loan B, 3.75%, 2/08/19 USD 1,050 $ 1,046,724
Warner Chilcott Corp.:      
Term Loan B-1, 4.25%, 3/15/18   318 316,854
Term Loan B-2, 4.25%, 3/15/18   159 158,427
      4,878,591
Professional Services — 1.5%      
Booz Allen Hamilton, Inc., Tranche B Term Loan,      
4.00%, 8/03/17   273 274,000
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18   850 859,715
Fifth Third Processing Solutions LLC, Term Loan B      
(First Lien), 4.50%, 11/03/16   707 707,517
      1,841,232
Real Estate Investment Trusts (REITs) — 0.7%      
iStar Financial, Inc., Term Loan A1, 5.00%, 6/28/13   847 842,917
Real Estate Management & Development — 0.8%      
Realogy Corp.:      
Extended Synthetic Letter of Credit,      
3.25%, 10/10/13   25 23,868
Extended Synthetic Letter of Credit,      
4.53%, 10/10/16   46 42,868
Extended Term Loan, 4.77%, 10/10/16   1,060 983,229
      1,049,965
Road & Rail — 0.8%      
Avis Budget Car Rental LLC, Incremental Term Loan,      
6.25%, 9/21/18   484 488,504
RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19   480 478,800
      967,304
Semiconductors & Semiconductor Equipment — 0.8%      
Freescale Semiconductor, Inc., Extended Term Loan B,      
4.52%, 12/01/16   439 427,524
NXP B.V., Term Loan A-2, 5.50%, 3/03/17   524 520,020
      947,544
Software — 1.5%      
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18   255 251,601
Infor Enterprise Solutions Holdings, Inc.:      
Extended Delayed Draw Term Loan, 6.29%, 7/28/15   17 16,953
Extended Initial Term Loan, 6.29%, 7/28/15   33 31,922
Extended Initial Term Loan, 6.68%, 7/28/15 EUR 195 244,860
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18 USD 447 446,067
Sophia, LP, Term Loan B, 6.25%, 7/19/18   525 530,470
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16   307 304,292
      1,826,165
Specialty Retail — 4.5%      
Academy Ltd., Term Loan, 6.00%, 8/03/18   800 799,912
Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17   60 59,743
Burlington Coat Factory Warehouse Corp., Term Loan B,      
6.25%, 2/23/17   431 430,875
Claire’s Stores, Inc., Term Loan B,      
2.29% – 3.30%, 5/29/14   197 186,683
General Nutrition Centers, Inc., Term Loan B,      
4.25%, 3/02/18   835 832,528
The Gymboree Corp., Term Loan, 5.00%, 2/23/18   300 282,075
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18   293 288,586
Michaels Stores, Inc.:      
Extended Term Loan B3, 5.13%, 7/29/16   334 332,407
Term Loan B-2, 5.13%, 7/29/16   641 637,137
Petco Animal Supplies, Inc., Term Loan B,      
4.50%, 11/24/17   943 938,672
Toys ‘R’ Us Delaware, Inc., Term Loan B1,      
6.00%, 9/01/16   907 907,443
      5,696,061

  Par  
Floating Rate Loan Interests (b) (000) Value
 
Wireless Telecommunication Services — 2.4%    
Crown Castle International Corp., Term Loan B,    
4.00%, 1/31/19 USD   695 $ 691,838
Digicel International, Tranche A, 3.13%, 3/30/12 235 233,541
MetroPCS Wireless, Inc., Tranche B-2 Term Loan,    
4.07% – 4.13%, 11/03/16 765 758,400
Vodafone Americas Finance 2, Inc.:    
Term Loan, 6.88%, 8/11/15 934 934,121
Term Loan B, 6.25%, 7/11/16 413 411,469
    3,029,369
Total Floating Rate Loan Interests — 111.5%   139,884,177
Total Long-Term Investments    
(Cost — $159,479,952) — 127.8%   160,404,755
 
 
Short-Term Securities Shares  
BlackRock Liquidity Funds, TempFund, Institutional    
Class, 0.11% (f)(g) 2,243,014 2,243,014
Total Short-Term Securities    
(Cost — $2,243,014) — 1.8% 2,243,014  
Total Investments (Cost — $161,722,966) — 129.6%   $ 162,647,769
Liabilities in Excess of Other Assets — (29.6)%   (37,172,337)
Net Assets — 100.0%   $ 125,475,432
       

(a)Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)Variable rate security. Rate shown is as of report date.
(c)Non-income producing security.
(d)Restricted security as to resale. As of report date the Portfolio held 0.8% of its net assets, with a current value of $958,994 and an original cost of $176,777 in these securities.
(e)When-issued security. Unsettled when-issued transactions were as follows:
Counterparty Value Unrealized
Appreciation
Morgan Stanley Co. $82,200 $ 2,200

(f)Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:
Affiliate Shares Held at
August 31, 2011
Net
Activity
Shares Held at
February 29, 2012
Income
BlackRock Liquidity      
Funds, TempFund,      
Institutional Class 2,230,753 12,261 2,243,014 $ 278

(g)Represents the current yield as of report date.
Foreign currency exchange contracts as of February 29, 2012 were as follows:
Currency
Purchased
Currency
Sold
Counterparty Settlement
Date
Unrealized
Appreciation
(Depreciation)
USD 99,390 CAD 101,500 Royal Bank    
        of Scotland Plc 4/11/12 $ (3,101)
USD 1,181,882 GBP 771,000 UBS AG 4/11/12 (44,353)
EUR 200,000 USD 265,156 Deutsche Bank    
        AG London 4/18/12 1,356
EUR 190,000 USD 247,648 Royal Bank    
        of Scotland Plc 4/18/12 5,538
USD 4,093,702 EUR 3,187,000 Citibank NA 4/18/12 (153,170)
USD 455,932 EUR 350,000 Royal Bank    
        of Scotland Plc 4/18/12 (10,464)
Total         $ (204,194) 

See Notes to Financial Statements.

SEMI-ANNUAL REPORTFEBRUARY 29, 201217
 

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

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 Fund management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities
Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of February 29, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

Valuation Inputs   Level 1    Level 2    Level 3    Total 
Assets:                    
Investments:                    
Long-Term                    
Investments:                    
Asset-Backed                    
Securities      $1,199,274   $2,409,873   $3,609,147 
Common Stocks       958,995    209,496    1,168,491 
Corporate Bonds       15,742,940        15,742,940 
Floating Rate                    
Loan Interests       132,579,459    7,304,718    139,884,177 
Short-Term                    
Securities  $2,243,014            2,243,014 
Total  $2,243,014   $150,480,668   $9,924,087   $162,647,769 
                     
Valuation Inputs   Level 1    Level 2    Level 3    Total 
Derivative Financial Instruments1               
Assets:                    
Foreign currency                    
exchange                    
contracts      $6,894       $6,894 
Liabilities:                    
Foreign currency                    
exchange                    
contracts       (211,088)       (211,088)
Total      $(204,194)      $(204,194)

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

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

  Asset-Backed
Securities
  Common
Stocks
  Floating Rate
Loan Interests
  Total
Assets/Liabilities:                   
Balance, as of August 31, 2011 $2,378,561   $106,534   $10,822,191   $13,307,286 
Accrued discounts/premiums  20,234        9,960    30,194 
Net realized gain (loss)          8,884    8,884 
Net change in unrealized
      appreciation/depreciation2
 11,078    (105,493)   (86,118)   (180,533)
Purchases          515,497    515,497 
Sales          (542,817)   (542,817)
Transfers in3      208,455    1,773,414    1,981,869 
Transfers out3          (5,196,293)   (5,196,293)
Balance, as of February 29, 2012 $2,409,873   $209,496   $7,304,718   $9,924,087 

2Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held at February 29, 2012 was $(179,643).
3The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.

A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the year in relation to net assets.

See Notes to Financial Statements.

18SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

Consolidated Schedule of Investments BlackRock Diversified Income Strategies Fund, Inc. (DVF)
February 29, 2012 (Unaudited) (Percentages shown are based on Net Assets)

    Par  
Asset-Backed Securities   (000) Value
 
ARES CLO Funds, Series 2005-10A, Class B,    
0.95%, 9/18/17 (a)(b) USD 250 $ 231,345
Canaras Summit CLO Ltd., Series 2007-1A, Class B,    
1.04%, 6/19/21 (a)(b)   365 310,356
Chatham Light CLO Ltd., Series 2005-2A, Class A2,    
0.94%, 8/03/19 (a)(b)   850 728,875
Flagship CLO, Series 2006-1A, Class B,      
0.91%, 9/20/19 (a)(b)   1,000 772,500
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,    
0.96%, 12/20/20 (a)(b)   500 425,000
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,    
0.92%, 10/27/20 (b)   280 226,100
Landmark CDO Ltd., Series 2006-8A, Class B,    
0.92%, 10/19/20 (a)(b)   525 439,519
MAPS CLO Fund LLC, Series 2005-1A, Class C,    
1.52%, 12/21/17 (a)(b)   275 247,775
Portola CLO Ltd., Series 2007-1X, Class B1,      
1.95%, 11/15/21 (b)   370 317,275
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,    
1.17%, 7/15/19 (a)(b)   320 277,520
Total Asset-Backed Securities — 3.0%     3,976,265
 
 
Common Stocks (c)   Shares  
Auto Components — 0.8%      
Delphi Automotive Plc (180-day lock)      
(acquired 11/17/11, cost $189,716) (d)   32,726 1,021,064
Diversified Financial Services — 1.0%      
Kcad Holdings I Ltd. 144,281,996 1,320,902
Electrical Equipment — 0.0%      
Medis Technologies Ltd. 176,126 881
Hotels, Restaurants & Leisure — 0.0%      
Buffets Restaurants Holdings, Inc.   688 69
Metals & Mining — 0.1%      
Euramax International   468 135,575
Paper & Forest Products — 0.3%      
Ainsworth Lumber Co. Ltd. (a) 275,167 433,837
Software — 0.0%      
Bankruptcy Management Solutions, Inc.   536 11
HMH Holdings/EduMedia   45,526 11,381
      11,392
Total Common Stocks — 2.2%     2,923,720
 
 
    Par  
Corporate Bonds   (000)  
Airlines — 0.4%      
American Airlines Pass-Through Trust, Series 2011-2,    
Class A, 8.63%, 4/15/23 USD 133 140,980
Delta Air Lines, Inc., Series 2009-1-B, 9.75%, 6/17/18 55 58,663
United Air Lines, Inc., 12.75%, 7/15/12   295 304,936
      504,579
Auto Components — 0.9%      
Icahn Enterprises LP:      
7.75%, 1/15/16   735 769,912
8.00%, 1/15/18 (a)   330 349,800
      1,119,712

    Par  
Corporate Bonds   (000) Value
 
Capital Markets — 0.1%      
E*Trade Financial Corp., 3.98%, 8/31/19 (a)(e)(f) USD 83 $ 78,539
KKR Group Finance Co., 6.38%, 9/29/20 (a)   80 85,137
      163,676
Chemicals — 0.6%      
CF Industries, Inc., 6.88%, 5/01/18   445 523,987
Ineos Finance Plc, 8.38%, 2/15/19 (a)   115 122,188
Lyondell Chemical Co., 11.00%, 5/01/18   137 150,463
LyondellBasell Industries NV, 6.00%, 11/15/21 (a)   40 43,900
      840,538
Commercial Banks — 0.2%      
CIT Group, Inc.:      
7.00%, 5/01/16   27 26,628
7.00%, 5/02/16 (a)   130 130,162
7.00%, 5/02/17 (a)   140 140,175
Glitnir Banki HF, 6.38%, 9/25/12 (c)(f)(g)   365
      296,965
Commercial Services & Supplies — 0.3%      
ARAMARK Corp., 4.05%, 2/01/15 (b)   65 64,756
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)   343 358,034
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)   14 13,300
      436,090
Consumer Finance — 0.3%      
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)   350 374,500
Containers & Packaging — 0.4%      
Graphic Packaging International, Inc., 9.50%, 6/15/17   105 116,812
Smurfit Kappa Acquisitions (a):      
7.25%, 11/15/17 EUR 160 228,090
7.75%, 11/15/19   135 193,800
      538,702
Diversified Financial Services — 1.5%      
Ally Financial, Inc.:      
7.50%, 12/31/13 USD 20 21,300
2.73%, 12/01/14 (b)   750 701,949
7.50%, 9/15/20   160 176,200
8.00%, 11/01/31   70 78,137
8.00%, 11/01/31   80 86,804
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16   66 70,373
Reynolds Group Issuer, Inc. (a):      
8.75%, 10/15/16   300 319,500
8.75%, 10/15/16 EUR 200 283,114
6.88%, 2/15/21 USD 195 206,700
      1,944,077
Diversified Telecommunication Services — 0.1%      
ITC Deltacom, Inc., 10.50%, 4/01/16   180 187,650
Health Care Providers & Services — 0.5%      
HCA, Inc., 6.50%, 2/15/20   420 450,450
Tenet Healthcare Corp., 6.25%, 11/01/18 (a)   195 207,919
      658,369
Health Care Technology — 0.6%      
IMS Health, Inc., 12.50%, 3/01/18 (a)   700 833,000
Hotels, Restaurants & Leisure — 1.1%      
Little Traverse Bay Bands of Odawa Indians,      
9.00%, 8/31/20 (a)   192 168,960
MGM Resorts International:      
10.38%, 5/15/14   390 443,625
11.13%, 11/15/17   390 443,625

See Notes to Financial Statements.

SEMI-ANNUAL REPORTFEBRUARY 29, 201219
 

Consolidated Schedule of Investments (continued) BlackRock Diversified Income
Strategies Fund, Inc. (DVF)
  (Percentages shown are based on Net Assets)

    Par  
Corporate Bonds   (000) Value
 
Hotels, Restaurants & Leisure (concluded)      
Travelport LLC:      
5.15%, 9/01/14 (b) USD 665 $ 340,812
9.88%, 9/01/14   145 83,013
Tropicana Entertainment LLC, Series WI,      
9.63%, 12/15/14 (c)(g)   120
      1,480,035
Household Durables — 0.4%      
Beazer Homes USA, Inc., 12.00%, 10/15/17   500 545,000
Independent Power Producers & Energy Traders — 1.9%    
Calpine Corp., 7.25%, 10/15/17 (a)   575 609,500
Energy Future Holdings Corp., 10.00%, 1/15/20   370 400,062
Energy Future Intermediate Holding Co. LLC,      
10.00%, 12/01/20   1,355 1,471,869
      2,481,431
Industrial Conglomerates — 0.6%      
Sequa Corp., 13.50%, 12/01/15 (a)   722 770,275
Machinery — 0.1%      
UR Financing Escrow Corp., 5.75%, 7/15/18 (a)(h)   85 87,338
Media — 2.6%      
AMC Networks, Inc., 7.75%, 7/15/21 (a)   110 122,650
CCH II LLC, 13.50%, 11/30/16   500 575,000
Checkout Holding Corp., 10.68%, 11/15/15 (a)(e)   325 146,250
Clear Channel Worldwide Holdings, Inc., Series B,      
9.25%, 12/15/17   884 972,400
CSC Holdings LLC, 8.50%, 4/15/14   180 199,800
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a) 300 330,000
Unitymedia Hessen GmbH & Co. KG,      
8.13%, 12/01/17 (a)   1,000 1,085,000
      3,431,100
Metals & Mining — 0.0%      
RathGibson, Inc., 11.25%, 2/15/14 (c)(g)   1,390
Multiline Retail — 0.2%      
Dollar General Corp., 11.88%, 7/15/17 (b)   215 235,965
Oil, Gas & Consumable Fuels — 0.1%      
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)   135 144,450
Paper & Forest Products — 0.7%      
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(i)   296 215,867
Clearwater Paper Corp., 10.63%, 6/15/16   190 215,887
Longview Fibre Paper & Packaging, Inc.,      
8.00%, 6/01/16 (a)   165 169,538
Verso Paper Holdings LLC:      
11.50%, 7/01/14   144 146,880
Series B, 4.30%, 8/01/14 (b)   170 117,725
      865,897
Pharmaceuticals — 0.2%      
Valeant Pharmaceuticals International,      
6.50%, 7/15/16 (a)   195 198,900
Real Estate Management & Development — 0.1%      
Realogy Corp., 7.63%, 1/15/20 (a)   175 180,687
Wireless Telecommunication Services — 2.0%      
Cricket Communications, Inc., 7.75%, 5/15/16   850 905,250
Digicel Group Ltd. (a):      
9.13%, 1/15/15   279 284,580
8.25%, 9/01/17   255 270,300
iPCS, Inc., 2.67%, 5/01/13 (b)   200 192,500
Sprint Nextel Corp. (a):      
9.00%, 11/15/18   390 434,850
7.00%, 3/01/20   585 594,506
      2,681,986
Total Corporate Bonds — 15.9%     21,000,922

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Aerospace & Defense — 1.6%      
DynCorp International, Term Loan B,      
6.25% – 6.75%, 7/07/16 USD 324 $ 322,665
SI Organization, Inc., New Term Loan B,      
4.50%, 11/22/16   418 400,118
TransDigm, Inc.:      
Add on Term Loan B2, 4.00%, 2/14/17   190 190,158
Term Loan (First Lien), 4.00%, 2/14/17   891 890,216
Wesco Aircraft Hardware Corp., Term Loan B,      
4.25%, 4/07/17   337 336,469
      2,139,626
Airlines — 0.8%      
Delta Air Lines, Inc., Credit New Term Loan B,      
5.50%, 4/20/17   1,063 1,037,421
Auto Components — 2.6%      
Allison Transmission, Inc., Term Loan B, 2.75%, 8/07/14   1,467 1,450,330
Autoparts Holdings, Ltd., First Lien Term Loan,      
6.50%, 7/28/17   698 699,996
Federal-Mogul Corp.:      
Term Loan B, 2.19% – 2.20%, 12/29/14   313 299,323
Term Loan C, 2.19% – 2.20%, 12/28/15   160 152,716
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17   480 481,402
UCI International, Inc., Term Loan, 5.50%, 7/26/17   347 347,366
      3,431,133
Biotechnology — 0.7%      
Grifols Inc., Term Loan B, 4.50%, 6/1/17   918 916,374
Building Products — 2.9%      
Armstrong World Industries, Inc., Term Loan B,      
4.00%, 3/09/18   571 568,370
CPG International, Inc., Term Loan B, 6.00%, 2/18/17   842 795,217
Goodman Global Holdings, Inc., Initial Term Loan      
(First Lien), 5.75%, 10/28/16   2,094 2,104,554
Momentive Performance Materials, Inc. (Blitz 06-103      
GmbH), Tranche B-2B Term Loan, 4.08%, 5/05/15 EUR 315 397,326
      3,865,467
Capital Markets — 1.7%      
American Capital Ltd., Term Loan B, 7.50%, 12/31/13 USD 70 70,154
HarbourVest Partners, Term Loan (First Lien),      
6.25%, 12/16/16   838 838,853
Nuveen Investments, Inc.:      
(First Lien), Term Loan, 3.30% – 3.58%, 11/13/14   438 435,132
Extended Term Loan, 5.74% – 5.83%, 5/12/17   862 859,685
Incremental Term Loan, 7.25%, 5/13/17   85 85,595
      2,289,419
Chemicals — 4.7%      
American Rock Salt Holdings LLC, Term Loan B,      
5.50%, 4/25/17   605 562,615
Ashland, Inc., Term Loan B, 3.75%, 8/23/18   419 420,333
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16   700 702,191
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15   518 514,752
MDI Holdings LLC, Tranche C Term Loan,      
2.76%, 4/11/14 EUR 219 283,687
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 USD 596 586,317
PolyOne Corp., Term Loan, 5.00%, 12/20/17   195 195,293
PQ Corp., Original Term Loan (First Lien),      
3.50%, 7/30/14   697 679,573
Styron Sarl LLC, Term Loan B, 6.00% – 6.75%, 8/02/17   541 487,487
Tronox Worldwide LLC:      
Delayed Draw Term Loan, 1.00%, 2/09/18   185 185,150
Term Loan B, 4.25%, 2/08/18   680 678,882
Univar, Inc., Term Loan B, 5.00%, 6/30/17   988 979,784
      6,276,064

See Notes to Financial Statements.

20SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

Consolidated Schedule of Investments (continued) BlackRock Diversified Income
Strategies Fund, Inc. (DVF)
  (Percentages shown are based on Net Assets)

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Commercial Services & Supplies — 3.6%      
Altegrity, Inc., Tranche D Term Loan, 7.75%, 2/20/15 USD 790 $ 789,091
ARAMARK Corp.:      
Letter of Credit, 3.55%, 7/26/16   17 16,503
Extended Term Loan B, 3.83%, 7/26/16   234 231,786
AWAS Finance Luxembourg Sarl, Term Loan B,      
5.25%, 6/10/16   413 411,650
Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16   925 925,990
International Lease Finance Corp., Term Loan B1,      
6.75%, 3/17/15   40 40,067
KAR Auction Services, Inc., Term Loan B,      
5.00%, 5/19/17   1,244 1,242,195
Synagro Technologies, Inc., Term Loan B,      
2.25% – 2.26%, 4/02/14   636 568,892
Volume Services America, Inc., Term Loan B,      
10.50% – 10.75%, 9/16/16   494 495,809
      4,721,983
Communications Equipment — 1.2%      
Avaya, Inc.:      
Term Loan B1, 3.24%, 10/24/14   548 535,749
Term Loan B3, 4.99%, 10/26/17   330 320,024
CommScope, Inc., Term Loan B, 5.00%, 1/14/18   768 768,024
      1,623,797
Construction & Engineering — 0.9%      
BakerCorp. International, Inc., Term Loan B,      
5.00%, 6/01/18   433 432,176
Safway Services, LLC, First Out Tranche Loan,      
9.00%, 12/16/17   800 800,000
      1,232,176
Consumer Finance — 1.6%      
Springleaf Finance Corp., Term Loan, 5.50%, 5/10/17   2,270 2,069,355
Containers & Packaging — 0.6%      
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18   763 770,749
Diversified Consumer Services — 3.1%      
Coinmach Service Corp., Term Loan B,      
3.41%, 11/20/14   1,336 1,230,110
Laureate Education, Inc., Extended Term Loan,      
5.25%, 8/15/18   1,903 1,816,711
ServiceMaster Co.:      
Delayed Draw Term Loan, 2.75%, 7/24/14   103 101,514
Term Loan, 2.77% – 3.03%, 7/24/14   1,032 1,019,372
      4,167,707
Diversified Financial Services — 1.5%      
Reynolds Group Holdings, Inc.:      
Tranche B Term Loan, 6.50%, 2/09/18   565 569,629
Tranche C Term Loan, 5.25% – 6.50%, 8/09/18   1,382 1,395,908
      1,965,537
Diversified Telecommunication Services — 4.6%      
Hawaiian Telcom Communications, Inc.,      
Term Loan B, 9.00%, 2/25/17   1,105 1,102,238
Integra Telecom Holdings, Inc., Term Loan B,      
9.25%, 4/15/15   813 715,110
Level 3 Financing, Inc.:      
Term Loan B2, 5.75%, 9/03/18   1,700 1,711,696
Term Loan B3, 5.75%, 8/31/18   750 755,160
Tranche A Term Loan, 2.51% – 2.83%, 3/13/14   1,175 1,155,612
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17   745 705,845
      6,145,661

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Electronic Equipment, Instruments & Components — 1.2%    
CDW LLC (FKA CDW Corp.), Extended Term Loan,      
4.00%, 7/14/17 USD 851 $ 831,620
Flextronics International Ltd., Delayed Draw:      
Term Loan A-2, 2.52%, 10/01/14   24 23,590
Term Loan A-3, 2.49%, 10/01/14   20 20,220
Sensata Technologies Finance Co., LLC, Term Loan,      
4.00%, 5/11/18   740 738,453
      1,613,883
Energy Equipment & Services — 2.9%      
CCS Corp.:      
Incremental Term Loan, 6.50%, 10/17/14   370 370,370
Term Loan B, 3.24%, 11/14/14   796 770,516
Dynegy Midwest Generation LLC., Coal Co. Term Loan,      
9.25%, 8/04/16   484 481,730
Dynegy Power LLC., Gas Co. Term Loan, 9.25%, 8/04/16   613 632,101
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18   1,596 1,592,728
      3,847,445
Food & Staples Retailing — 1.8%      
AB Acquisitions UK Topco 2 Ltd., Facility B1,      
3.60%, 7/09/15 GBP 750 1,089,834
B&G Foods, Inc., Term Loan B, 4.50%, 11/30/18 USD 185 185,416
Bolthouse Farms, Inc., Term Loan (First Lien),      
5.50%, 2/11/16   245 245,122
U.S. Foodservice, Inc., Term Loan B,      
2.74% – 2.75%, 7/03/14   834 805,262
      2,325,634
Food Products — 3.1%      
Advance Pierre Foods:      
Term Loan (First Lien), 5.50%, 9/30/16   919 918,536
Term Loan (Second Lien), 11,25%, 9/29/17   550 550,456
Del Monte Corp., Term Loan, 4.50%, 3/08/18   1,235 1,210,716
Michaels Foods Group, Inc., Term Loan B,      
4.25%, 2/23/18   107 106,843
Pinnacle Foods Finance LLC:      
Tranche B Term Loan, 2.76% – 3.08%, 4/02/14   45 44,515
Tranche D Term Loan, 6.00% – 6.50%, 4/02/14   494 496,950
Solvest, Ltd. (Dole):      
Tranche B-2 Term Loan, 5.00%, 7/06/18   266 267,241
Tranche C-2 Term Loan, 5.00% – 6.00%, 7/06/18   495 496,306
      4,091,563
Health Care Equipment & Supplies — 1.7%      
Biomet, Inc., Term Loan B, 3.24% – 3.57%, 3/25/15   194 191,826
DJO Finance LLC, Term Loan B, 3.24%, 5/20/14   488 481,261
Hupah Finance, Inc., Term Loan B, 6.25%, 1/21/19   380 379,764
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18   369 367,063
Immucor, Inc., Term Loan B, 7.25%, 8/17/18   873 878,704
      2,298,618
Health Care Providers & Services — 4.3%      
CHS/Community Health Systems, Inc.:      
Delayed Draw Term Loan, 3.25%, 7/25/14   28 27,718
Non-Extended Term Loan, 2.49% – 4.50%, 7/25/14   545 537,660
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16   594 592,331
DaVita, Inc., Term Loan B, 4.50%, 10/20/16   792 793,814
Emergency Medical Services, Term Loan,      
5.25%, 5/25/18   813 810,117
Harden Healthcare LLC:      
Term Loan A, 8.50%, 3/02/15   328 321,325
Tranche A Additional Term Loan, 7.75%, 3/02/15   523 512,432
HCA, Inc.:      
Tranche B-1 Term Loan, 3.49%, 5/01/18   104 101,827
Tranche B-2 Term Loan, 3.83%, 3/31/17   57 55,951
Health Management Associates, Inc., Term Loan B,      
4.50%, 11/16/18   275 273,212

See Notes to Financial Statements.

SEMI-ANNUAL REPORTFEBRUARY 29, 201221
 

Consolidated Schedule of Investments (continued) BlackRock Diversified Income
Strategies Fund, Inc. (DVF)
  (Percentages shown are based on Net Assets)

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Health Care Providers & Services (concluded)      
inVentiv Health, Inc.:      
Combined Term Loan B, 6.50%, 8/04/16 USD 579 $ 556,606
Incremental Term Loan B-3, 6.75%, 5/15/18   496 476,400
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17 597 573,120
Vanguard Health Holding Co. II, LLC (Vanguard Health    
Systems, Inc.), Term Loan B, 5.00%, 1/29/16   65 64,675
      5,697,188
Health Care Technology — 1.3%      
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17   583 583,711
Kinetic Concepts, Inc., Term Loan B, 7.00%, 5/04/18 765 777,431
MedAssets, Inc., Term Loan, 5.25%, 11/16/16   395 394,666
      1,755,808
Hotels, Restaurants & Leisure — 5.6%      
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18 595 596,341
Boyd Gaming Corp., Incremental Term Loan,      
6.00%, 12/17/15   425 425,995
Caesars Entertainment Operating Co., Inc.:      
Incremental Term Loan B4, 9.50%, 10/31/16   637 655,050
Term Loan B-3, 3.24%, 1/28/15   103 96,899
Term Loan B-3, 3.24% – 3.47%, 1/28/15   2,556 2,395,108
Dunkin’ Brands, Inc., Term Loan B,      
4.00% – 5.25%, 11/23/17   917 914,582
Golden Living, Term Loan, 5.00%, 5/04/18   153 143,500
OSI Restaurant Partners LLC:      
Revolver, 2.56% – 2.79%, 6/14/13   4 4,378
Term Loan B, 2.56%, 6/14/14   46 44,412
SeaWorld Parks & Entertainment, Inc., Term Loan B,      
4.00%, 8/17/17   657 656,133
Six Flags Theme Parks, Inc., Tranche B Term Loan      
(First Lien), 4.25%, 12/20/18   735 731,788
Station Casinos, Inc., Term Loan B1, 3.24%, 6/17/16 500 450,835
Twin River Worldwide Holdings, Inc., Term Loan,      
8.50%, 11/05/15   363 363,484
      7,478,505
Household Products — 0.5%      
Prestige Brands, Inc., Term Loan, 5.25%, 1/31/19   725 727,719
Independent Power Producers & Energy Traders — 1.0%    
The AES Corp., Term Loan, 4.25%, 6/01/18   993 991,508
Texas Competitive Electric Holdings Co. LLC, Extended    
Term Loan, 4.76%, 10/10/17   594 331,427
      1,322,935
Industrial Conglomerates — 1.4%      
Sequa Corp.:      
Incremental Term Loan, 6.25%, 12/03/14   320 321,066
Term Loan, 3.76% – 3.84%, 12/03/14   1,597 1,579,316
      1,900,382
Insurance — 0.6%      
CNO Financial Group, Inc., Term Loan B,      
6.25%, 9/30/16   817 820,345
Internet Software & Services — 0.4%      
Web.com Group, Inc., Term Loan B, 7.00%, 10/27/17 575 561,507
IT Services — 5.1%      
Ceridian Corp., Term Loan, 3.24%, 11/10/14   694 656,062
First Data Corp.:      
Extended Term Loan B, 4.24%, 3/23/18   3,284 2,947,233
Term Loan B-1, 2.99%, 9/24/14   407 389,471
Term Loan B-3, 2.99%, 9/24/14   80 76,022
infoGROUP, Inc., Term Loan B, 5.75%, 5/25/18   345 322,382
iPayment, Inc., Term Loan B, 5.75%, 5/08/17   330 329,013
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18   434 434,997

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
IT Services (concluded)      
SunGard Data Systems, Inc. (Solar Capital Corp.),      
Tranche B Term Loan, 3.99% – 5.88%, 2/26/16 USD 150 $ 149,593
TransUnion LLC, Term Loan B, 4.75%, 2/12/18   1,457 1,458,472
      6,763,245
Leisure Equipment & Products — 0.6%      
Eastman Kodak Co., DIP Term Loan B, 8.50, 7/20/13   290 293,535
EB Sports Corp., Term Loan, 11.50%, 12/31/15   531 520,750
      814,285
Machinery — 1.6%      
Terex Corp.:      
Term Loan, 6.00%, 4/28/17 EUR 65 85,735
Term Loan B, 5.50%, 4/28/17 USD 639 643,272
Tomkins LLC, Term Loan B, 4.25%, 9/29/16   1,349 1,347,453
      2,076,460
Media — 18.4%      
Acosta, Inc., Term Loan, 4.75%, 3/01/18   327 324,943
Affinion Group, Inc., Term Loan B, 5.00%, 10/10/16   761 711,790
AMC Entertainment, Inc., Term Loan B3,      
4.25%, 2/22/18   350 345,341
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18   796 791,025
Atlantic Broadband Finance LLC, Term Loan B,      
4.00%, 3/08/16   438 435,779
Bresnan Telecommunications Co., LLC, Term Loan B,      
4.50% – 5.25%, 12/14/17   1,361 1,356,717
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18   633 636,866
Catalina Marketing Corp., Term Loan B,      
2.99%, 10/01/14   668 649,193
Cengage Learning Acquisitions, Inc.:      
Term Loan, 2.49%, 7/03/14   160 148,300
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14   477 461,868
Cequel Communications LLC, Term Loan B,      
4.00%, 2/11/19   1,155 1,143,184
Charter Communications Operating LLC:      
Term Loan B, 7.25%, 3/06/14   14 14,353
Term Loan C, 3.83%, 9/06/16   1,021 1,012,963
Clarke American Corp., Term Facility B,      
2.74% – 3.08%, 6/30/14   197 179,625
Clear Channel Communication:      
Term Loan B, 3.89%, 1/28/16   1,565 1,284,349
Term Loan C, 3.89%, 1/28/16   170 134,725
Cumulus Media, Inc., Term Loan, 5.75%, 9/17/18   550 550,456
Gray Television, Inc., Term Loan B, 3.77%, 12/31/14   680 671,972
HMH Publishing Co., Ltd., Term Loan, 6.51%, 6/12/14   718 443,796
Hubbard Broadcasting, Term Loan B (Second Lien),      
5.25%, 4/28/17   498 497,913
Intelsat Jackson Holdings SA, Tranche B Term Loan,      
5.25%, 4/02/18   2,978 2,972,438
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18   1,414 1,411,130
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19   675 671,625
Knology, Inc., Term Loan B, 4.00%, 8/18/17   320 317,338
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),      
Facility B1, 3.81%, 3/06/15 EUR 304 351,749
LIN Television Corp., Term Loan B, 5.00%, 12/21/18 USD 345 346,725
Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13   2,000 2,057,500
Nielsen Finance LLC, Class B Dollar Term Loan,      
4.00%, 5/02/16   675 676,875
Sinclair Television Group, Inc.:      
Incremental Term Loan B3, 1.00%, 10/28/16   140 139,343
New Tranche B Term Loan, 4.00%, 10/28/16   579 576,149
Univision Communications, Inc., Extended First Lien      
Term Loan, 4.49%, 3/31/17   1,034 960,620
UPC Broadband Holding B.V., Term Loan U,      
4.72%, 12/29/17 EUR 209 273,794

See Notes to Financial Statements.

22SEMI-ANNUAL REPORTFEBRUARY 29, 2012
 

Consolidated Schedule of Investments (continued) BlackRock Diversified Income
Strategies Fund, Inc. (DVF)
  (Percentages shown are based on Net Assets)

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Media (concluded)      
UPC Financing Partnership:      
Term Loan, 4.75%, 12/29/17 USD 415 $ 414,274
Term Loan T, 3.77%, 12/30/16   88 86,860
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18   218 217,837
Weather Channel, Term Loan B, 4.25%, 2/13/17   1,027 1,027,556
      24,296,971
Metals & Mining — 2.6%      
Novelis, Inc., Incremental Term Loan B2,      
4.00%, 3/10/17   1,420 1,413,225
SunCoke Energy, Inc., Term Loan B,      
4.00% – 5.25%, 7/26/18   448 446,631
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18   1,566 1,558,824
      3,418,680
Multi-Utilities — 0.1%      
FirstLight Power Resources, Inc., Term B Advance      
(First Lien), 2.75%, 11/01/13   174 163,466
Multiline Retail — 2.0%      
99 Cents Only Stores, Term Loan B,      
6.00% – 7.00%%, 1/11/19   550 553,536
Dollar General Corp., Tranche B-2 Term Loan,      
3.00% – 3.33%, 7/07/14   270 270,423
Hema Holding BV, Second Lien Term Loan,      
5.69%, 1/05/17 EUR 1,400 1,622,741
The Neiman Marcus Group, Inc., New Term Loan,      
4.75%, 5/16/18 USD 185 183,520
      2,630,220
Oil, Gas & Consumable Fuels — 1.9%      
EquiPower Resources Holdings LLC, Term Loan B,      
5.75%, 1/26/18   771 724,669
Gibson Energy, Term Loan B, 5.75%, 6/15/18   846 846,629
Obsidian Natural Gas Trust, Term Loan,      
7.00%, 11/02/15   914 919,049
      2,490,347
Paper & Forest Products — 0.2%      
NewPage Corp., Term Loan, 8.00%, 3/07/13   200 201,500
Pharmaceuticals — 3.9%      
Aptalis Pharma, Inc., Term Loan B,      
0.75% – 5.50%, 2/10/17   1,040 1,030,664
Endo Pharmaceuticals Holdings, Inc., Term Loan B,      
4.00%, 6/18/18   172 171,820
Pharmaceutical Product Development, Inc., Term Loan B,      
6.25%, 12/05/18   875 882,656
Quintiles Transnational Corp., Term Loan,      
5.00%, 6/08/18   687 682,012
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18   498 496,624
Taminco Global Chemical Corp., New Term Loan,      
6.25%, 2/15/19   305 306,254
Valeant Pharmaceuticals International, Add on      
Term Loan B, 3.75%, 2/08/19   1,115 1,111,521
Warner Chilcott Corp.:      
Term Loan B-1, 4.25%, 3/15/18   318 316,854
Term Loan B-2, 4.25%, 3/15/18   159 158,427
      5,156,832
Professional Services — 1.3%      
Booz Allen Hamilton, Inc., Tranche B Term Loan,      
4.00%, 8/03/17   132 132,136
Emdeon, Inc., Term Loan B, 6.75%, 11/02/18   925 935,573
Fifth Third Processing Solutions LLC, Term Loan B      
(First Lien), 4.50%, 11/03/16   623 623,455
      1,691,164

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Real Estate Investment Trusts (REITs) — 0.7%      
Istar Financial, Inc., Term Loan A1, 5.00%, 6/28/13 USD 877 $ 873,021
Real Estate Management & Development — 0.8%      
Realogy Corp.:      
Extended Letter of Credit Term Loan,      
4.53%, 10/10/16 (h)   24 21,809
Extended Synthetic Letter of Credit,      
3.25%, 10/10/13   27 25,194
Extended Term Loan, 4.77%, 10/10/16   1,133 1,051,026
      1,098,029
Road & Rail — 0.8%      
Avis Budget Car Rental LLC, Incremental Term Loan,      
6.25%, 9/21/18   514 518,721
RailAmerica, Inc., Term Loan B, 4.00%, 2/27/19   500 498,750
      1,017,471
Semiconductors & Semiconductor Equipment — 0.7%      
Freescale Semiconductor, Inc., Extended Term Loan B,      
4.52%, 12/01/16   365 355,652
NXP B.V., Term Loan A-2, 5.50%, 3/03/17   554 549,733
      905,385
Software — 1.5%      
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18   245 241,734
Infor Enterprise Solutions Holdings, Inc.:      
Extended Delayed Draw Term Loan, 0.00%, 7/28/15   19 18,648
Extended Initial Term Loan, 0.00%, 7/28/15   36 35,114
Extended Initial Term Loan, 1.00%, 7/28/15 EUR 205 257,417
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18 USD 496 495,630
Sophia, LP, Term Loan B, 6.25%, 7/19/18   555 560,783
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16   332 328,832
      1,938,158
Specialty Retail — 4.6%      
Academy Ltd., Term Loan, 6.00%, 8/03/18   900 899,901
Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17   65 64,721
Burlington Coat Factory Warehouse Corp., Term Loan B,      
6.25%, 2/23/17   407 406,937
Claire’s Stores, Inc., Term Loan B, 2.99% – 3.30%, 5/29/14 212 200,827
General Nutrition Centers, Inc., Term Loan B, 4.25%, 3/02/18 895 892,351
The Gymboree Corp., Term Loan B, 5.00%, 2/23/18   310 291,477
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18   283 278,770
Michaels Stores, Inc.:      
Extended Term Loan B3, 5.13%, 7/29/16   223 221,228
Term Loan B-2, 5.13%, 7/29/16   791 786,045
Petco Animal Supplies, Inc., Term Loan B,      
4.50%, 11/24/17   992 987,447
Toys ‘R’ Us Delaware, Inc.:      
Term Loan B1, 6.00%, 9/01/16   813 813,815
Term Loan B2, 5.25%, 5/25/18   199 196,144
      6,039,663
Wireless Telecommunication Services — 2.3%      
Crown Castle International Corp., Term Loan B,      
4.00%, 1/31/19   985 980,518
MetroPCS Wireless, Inc.:      
Term Loan B-3, 4.00% – 4.06%, 3/16/18   148 146,784
Tranche B-2 Term Loan, 4.07% – 4.13%, 11/03/16   501 496,666
Vodafone Americas Finance 2, Inc. (i):      
Term Loan, 6.88%, 8/11/15   1,211 1,211,003
Term Loan B, 6.25%, 7/11/16   206 205,734
      3,040,705
Total Floating Rate Loan Interests — 107.0%     141,709,603

See Notes to Financial Statements.

SEMI-ANNUAL REPORTFEBRUARY 29, 201223
 

Consolidated Schedule of Investments (continued) BlackRock Diversified Income
Strategies Fund, Inc. (DVF)
  (Percentages shown are based on Net Assets)

 
    Beneficial      
    Interest      
Other Interests (j)   (000)     Value
Auto Components — 0.0%       &nbs