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: 08/31/2012

 

Item 1 – Report to Stockholders

 
 

August 31, 2012

Annual Report

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
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 57
Statements of Operations 58
Statements of Changes in Net Assets 59
Statements of Cash Flows 63
Financial Highlights 64
Notes to Financial Statements 68
Report of Independent Registered Public Accounting Firm 80
Important Tax Information 80
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements 81
Automatic Dividend Reinvestment Plans 85
Officers and Directors 86
Additional Information 89

 

2ANNUAL REPORTAUGUST 31, 2012
 

Dear Shareholder

About this time one year ago, financial markets had been upended by sovereign debt turmoil in the United States and Europe as well as growing concerns about the future of the global economy. Since then, asset prices have waxed and waned in broad strokes as investors reacted to developments in Europe’s financial situation, mixed US economic news and global central bank policy action.

After confidence crumbled in the third quarter of 2011, October brought improving economic data and more concerted efforts among European leaders toward stemming the region’s debt crisis, gradually drawing investors back to the markets. Improving sentiment carried over into early 2012 as investors felt some relief from the world’s financial woes. Volatility abated and risk assets (including stocks, commodities and high yield bonds) moved boldly higher through the first two months of 2012 while climbing Treasury yields pressured higher-quality fixed income assets.

Markets reversed course in the spring when Europe’s debt problems boiled over once again. High levels of volatility returned as political instability in Greece threatened the country’s membership in the euro zone. Spain faced severe deficit issues while the nation’s banks clamored for liquidity. Yields on Spanish and Italian government debt rose to levels deemed unsustainable. European leaders conferred and debated vehemently over the need for fiscal integration among the 17 nations comprising the euro currency bloc as a means to resolve the crisis for the long term.

Alongside the drama in Europe, investors were discouraged by gloomy economic reports from various parts of the world. A slowdown in China, a key powerhouse for global growth, became particularly worrisome. In the United States, disappointing jobs reports dealt a crushing blow to sentiment. Risk assets sold off in the second quarter as investors again retreated to safe haven assets.

Despite the continuation of heightened market volatility, most asset classes enjoyed a robust summer rally. Global economic data continued to be mixed, but the spate of downside surprises seen in the second quarter began to recede and, outside of Europe, the risk of recession largely subsided. Central bank policy action has been a major driver of market sentiment in 2012. Investors’ anticipation for economic stimulus drove asset prices higher over the summer as the European Central Bank stepped up its efforts to support the region’s troubled nations and the US Federal Reserve reiterated its readiness to take action if economic conditions warrant.

On the whole, most asset classes advanced during the reporting period. US large cap stocks delivered strong returns for the 12 months ended August 31, 2012, while small cap stocks and high yield bonds also performed well. Despite the risk-asset rally in recent months, higher-quality investments including tax-exempt municipal bonds and US Treasury bonds posted exceptional gains by historical standards and outperformed investment-grade corporate bonds. International and emerging equities, however, lagged other asset classes amid ongoing global uncertainty. Near-zero short term interest rates kept yields on money market securities near their all-time lows.

We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities. We remain committed to working with you and your financial professional to identify actionable ideas for your portfolio. We encourage you to visit www.blackrock.com/newworld for more information.

Sincerely,

 

Rob Kapito

President, BlackRock Advisors, LLC


“We know that investors continue to face a world of uncertainty and volatile markets, but we also believe these challenging times present many opportunities.”

Rob Kapito

President, BlackRock Advisors, LLC

Total Returns as of August 31, 2012

 6-month 12-month
US large cap equities4.14 % 18.00 %
(S&P 500® Index)        
US small cap equities 0.89   13.40  
(Russell 2000® Index)        
International equities (4.00 ) (0.04 )
(MSCI Europe, Australasia,        
Far East Index)        
Emerging market equities (10.51 ) (5.80 )
(MSCI Emerging Markets        
Index)        
3-month Treasury bill (BofA 0.06   0.06  
Merrill Lynch 3-Month        
US Treasury Bill Index)        
US Treasury securities 5.25   9.14  
(BofA Merrill Lynch 10- Year        
US Treasury Index)        
US investment grade bonds 2.97   5.78  
(Barclays US Aggregate        
Bond Index)        
Tax-exempt municipal 3.24   9.37  
bonds (S&P Municipal        
Bond Index )        
US high yield bonds 4.80   13.84  
(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 August 31, 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 12 months ended August 31, 2012, the Fund returned 17.12% based on market price and 13.94% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 22.06% based on market price and 14.37% 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 loan instruments across the credit quality spectrum had a positive impact on performance, with particular strength from the Fund’s higher-quality non-investment grade loan holdings. From a sector perspective, security selection within the consumer services, electric and gaming segments benefited results. The Fund’s tactical allocation to high yield bonds also boosted returns as the asset class outperformed loans and higher-duration fixed income instruments.
Conversely, on a sector basis, security selection in non-cable media, metals, and non-captive diversified financials detracted from performance during the period.

Describe recent portfolio activity.

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 mixed economic data along with global policy uncertainty and an overall weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. The European Central Bank’s long-term refinancing operations, introduced in December 2011, were supportive of risk markets in first half of 2012. However, this development did not have a significant influence on the Fund’s view on risk within the loan market. More specifically, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macroeconomic risks.

Describe portfolio positioning at period end.

At period end, the Fund held 90% of its total portfolio in floating rate loan interests (bank loans), 7% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest sector exposures included healthcare, technology and wireless. The Fund ended the period with economic leverage at 30% 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.

4ANNUAL REPORTAUGUST 31, 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 August 31, 2012 ($13.94)1 5.90%
Current Monthly Distribution per Common Share2 $0.0685
Current Annualized Distribution per Common Share2 $0.8220
Economic Leverage as of August 31, 20123 30%

 

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:

   8/31/12  8/31/11  Change  High  Low
Market Price   $13.94   $12.65    10.20%  $13.94   $11.59 
Net Asset Value   $14.12   $13.17    7.21%  $14.12   $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
  8/31/12 8/31/11
Floating Rate Loan Interests 90 % 86 %
Corporate Bonds 7   11  
Asset-Backed Securities 2   2  
Common Stocks 1    
Other Interests   1  

 

Credit Quality Allocations4
  8/31/12 8/31/11
BBB/Baa 12 % 12 %
BB/Ba 40   33  
B 46   55  
CCC/Caa 2    

 

4Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.
AUGUST 31, 2012ANNUAL REPORT5
 

Fund Summary as of August 31, 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

On May 23, 2012, the Board of Directors of DVF approved a plan of reorganization whereby BlackRock Floating Rate Income Strategies Fund, Inc. (FRA) will acquire all of the assets and assume all of the liabilities of DVF in exchange for newly issued shares of FRA in a merger transaction. At a shareholder meeting on September 13, 2012, DVF and FRA shareholders approved the plan of reorganization. The reorganization took place on October 5, 2012.

How did the Fund perform?

For the 12 months ended August 31, 2012, the Fund returned 14.97% based on market price and 14.08% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 22.06% based on market price and 14.37% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed slightly 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 loan instruments across the credit quality spectrum had a positive impact on performance, with particular strength from the Fund’s higher-quality non-investment grade loan holdings. From a sector perspective, security selection within the consumer services, electric and gaming segments benefited results. The Fund’s tactical allocation to high yield bonds also boosted returns as the asset class outperformed loans and higher-duration fixed income instruments.
Conversely, on a sector basis, security selection in non-cable media and independent energy detracted from performance during the period.

Describe recent portfolio activity.

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 mixed economic data along with global policy uncertainty and an overall weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. The European Central Bank’s long-term refinancing operations, introduced in December 2011, were supportive of risk markets in first half of 2012. However, this development did not have a significant influence on the Fund’s view on risk within the loan market. More specifically, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macroeconomic risks.

Describe portfolio positioning at period end.

At period end, the Fund held 87% of its total portfolio in floating rate loan interests (bank loans), 9% in corporate bonds, with the remainder in asset-backed securities, common stocks and other interests. The Fund’s largest sector exposures included healthcare, technology and wireless. The Fund ended the period with economic leverage at 31% 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.

6ANNUAL REPORTAUGUST 31, 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 August 31, 2012 ($10.54)1 6.66%
Current Monthly Distribution per Common Share2 $0.0585
Current Annualized Distribution per Common Share2 $0.7020
Economic Leverage as of August 31, 20123 31%

 

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:

   8/31/12  8/31/11  Change  High  Low
Market Price   $10.54   $9.84    7.11%  $10.59   $8.84 
Net Asset Value   $10.83   $10.19    6.28%  $10.83   $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
  8/31/12 8/31/11
Floating Rate Loan Interests 87 % 80 %
Corporate Bonds 9   14  
Asset-Backed Securities 2   2  
Common Stocks 1   2  
Other Interests 1   2  

 

Credit Quality Allocations4
  8/31/12 8/31/11
BBB/Baa 9 % 8 %
BB/Ba 38   30  
B 41   47  
CCC/Caa 11   8  
Not Rated 1   7  

 

4Using the higher of S&P’s or Moody’s ratings.
AUGUST 31, 2012ANNUAL REPORT7
 

Fund Summary as of August 31, 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

On May 23, 2012, the Board of Directors of FRA approved separate plans of reorganization whereby FRA will acquire all of the assets and assume all of the liabilities of DVF and Floating Rate Income Strategies Fund II, Inc. (FRB and with DVF, each a “Target Fund”) in exchange for newly issued shares of FRA in a merger transaction. At a shareholder meeting on September 13, 2012, each Target Fund’s and FRA’s shareholders approved their respective plan of reorganization. The reorganizations took place on October 5, 2012.

How did the Fund perform?

For the 12 months ended August 31, 2012, the Fund returned 21.74% based on market price and 13.91% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 22.06% based on market price and 14.37% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which 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 loan instruments in the middle and upper credit quality tiers had a positive impact on performance, with particular strength from the Fund’s higher-quality non-investment grade loan holdings. From a sector perspective, security selection within the consumer services, electric and gaming segments benefited results. The Fund’s tactical allocation to high yield bonds also boosted returns as the asset class outperformed loans and higher-duration fixed income instruments.
Conversely, on a sector basis, security selection among lower quality loan instruments detracted from performance during the period. On a sector basis, selection within non-cable media and paper had a negative impact on returns.

Describe recent portfolio activity.

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 mixed economic data along with global policy uncertainty and an overall weak outlook for global growth, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. The European Central Bank’s long-term refinancing operations, introduced in December 2011, were supportive of risk markets in first half of 2012. However, this development did not have a significant influence on the Fund’s view on risk within the loan market. More specifically, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macroeconomic risks.

Describe portfolio positioning at period end.

At period end, the Fund held 88% of its total portfolio in floating rate loan interests (bank loans), 10% in corporate bonds, with the remainder in asset-backed securities. The Fund’s largest sector exposures included healthcare, technology and wireless. The Fund ended the period with economic leverage at 30% 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.

8ANNUAL REPORTAUGUST 31, 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 August 31, 2012 ($15.20)1  6.08%
Current Monthly Distribution per Common Share2  $0.077
Current Annualized Distribution per Common Share2  $0.924
Economic Leverage as of August 31, 20123  30%

 

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:

   8/31/12  8/31/11  Change  High  Low
Market Price   $15.20   $13.33    14.03%  $15.31   $12.33 
Net Asset Value   $14.98   $14.04    6.70%  $14.98   $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
  8/31/12 8/31/11
Floating Rate Loan Interests 88 % 81 %
Corporate Bonds 10   15  
Asset-Backed Securities 2   3  
Common Stocks    
Other Interests   1  

 

Credit Quality Allocations4
  8/31/12 8/31/11
BBB/Baa 8 % 9 %
BB/Ba 34   36  
B 44   49  
CCC/Caa 8   3  
Not Rated 6   3  

 

4Using the higher of S&P’s or Moody’s ratings.
AUGUST 31, 2012ANNUAL REPORT9
 

Fund Summary as of August 31, 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, 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 12 months ended August 31, 2012, the Fund returned 21.68% based on market price and 13.86% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 22.72% based on market price and 16.49% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a discount to NAV to a premium by period end, which 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 in the wireless, consumer services and electric sectors had a positive impact on the Fund’s performance. The Fund’s tactical exposure to equity securities proved beneficial as demand for riskier assets improved over the 12-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, independent energy and paper sectors hindered returns for the period.

Describe recent portfolio activity.

The 12-month period began with severe market volatility in reaction to headwinds from Europe’s debt crisis and a possible US government shutdown. However, the environment shifted in December when the European Central Bank announced its program of long-term refinancing operations. As financial market conditions improved, the Trust selectively added back some risk in names with appealing risk-reward characteristics. Over the first eight months of 2012, the high yield market surged, prompting the Trust to moderate its risk profile. The Trust’s view on high yield remained positive throughout this period; however, as average prices moved north of par for the market, the Trust became increasingly focused on higher-quality, income-oriented credit names with stable fundamentals and an attractive coupon rate, since the potential for price appreciation had largely diminished. Given global growth concerns posing a persistent threat and fueling uncertainty, the Trust continued to favor issuers in mature industries that exhibit consistent cash flows and good earnings visibility and debt instruments that are backed by profitable assets. The Trust generally remained cautious of cyclical credits that tend to be more vulnerable to slower economic growth and/or macroeconomic weakness.

Describe portfolio positioning at period end.

At period end, the Fund held 46% of its total portfolio in corporate bonds, 34% in floating rate loan interests (bank loans) and 8% 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 healthcare, non-captive diversified financials and wireless. The Fund ended the period with economic leverage at 32% 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.

10ANNUAL REPORTAUGUST 31, 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 August 31, 2012 ($18.00)1  7.17%
Current Monthly Distribution per Common Share2  $0.1075
Current Annualized Distribution per Common Share2  $1.2900
Economic Leverage as of August 31, 20123  32%

 

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:

   8/31/12  8/31/11  Change  High  Low
Market Price   $18.00   $16.01    12.43%  $18.24   $15.00 
Net Asset Value   $17.38   $16.52    5.21%  $17.38   $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
  8/31/12 8/31/11
Corporate Bonds 46 % 40 %
Floating Rate Loan Interests 34   31  
Non-Agency Mortgage-Backed Securities 8   10  
US Government Sponsored Agency Securities 6   11  
Asset-Backed Securities 4   5  
Common Stocks 1   1  
Taxable Municipal Bonds 1   1  
Other Interests   1  

 

Credit Quality Allocations4
  8/31/12 8/31/11
AAA/Aaa5 12 % 17 %
AA/Aa 1   2  
A 6   5  
BBB/Baa 15   15  
BB/Ba 26   26  
B 30   27  
CCC/Caa 8   7  
D   1  
Not Rated 2    

 

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.
AUGUST 31, 2012ANNUAL REPORT11
 

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’ debt securities 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 331/3% 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 August 31, 2012, the Funds had aggregate economic leverage from reverse repurchase agreements and/or borrowings through a credit facility as a percentage of their total managed assets as follows:

  Percent of
  Economic
  Leverage
BHL 30 %
DVF 31 %
FRA 30 %
BLW 32 %

 

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.

12ANNUAL REPORTAUGUST 31, 2012
 

Schedule of Investments August 31, 2012 BlackRock Defined Opportunity Credit Trust (BHL)
  (Percentages shown are based on Net Assets)

 

    Par  
Asset-Backed Securities   (000) Value
Fraser Sullivan CLO Ltd., Series 2012-7A, Class C,      
4.47%, 4/20/23 (a)(b) USD 215 $ 191,049
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,      
0.81%, 10/27/20 (b)   265 223,263
Goldentree Loan Opportunities VI Ltd., Series      
2012-6A, Class D, 4.66%, 4/17/22 (a)(b)   350 318,185
Goldman Sachs Asset Management CLO Plc,      
Series 2007-1A, Class B, 0.89%, 8/01/22 (a)(b)   580 490,100
Highbridge Loan Management Ltd., Series 2012-1A,      
Class C, 5.71%, 9/20/22 (a)(b)(c)   350 323,050
ING Investment Management, Series 2012-2A,      
Class D, 4.99%, 10/15/22 (a)(b)   350 312,063
LCM LP, Series 11A, Class D2,      
4.41%, 4/19/22 (a)(b)   375 328,125
MAPS CLO Fund LLC, Series 2005-1A, Class C,      
1.42%, 12/21/17 (a)(b)   260 246,662
Race Point CLO, Series 2012-6A, Class D,      
4.93%, 5/24/23 (a)(b)   250 225,925
Symphony CLO Ltd., Class D (a)(b):      
Series 2012-10A, 5.69%, 7/23/23   350 323,750
Series 2012-9A, 4.71%, 4/16/22   500 445,600
Total Asset-Backed Securities — 2.7%     3,427,772
 
Common Stocks (d)   Shares  
Auto Components — 0.3%      
Delphi Automotive Plc   13,881 420,455
Hotels, Restaurants & Leisure — 0.2%      
BLB Worldwide Holdings, Inc.   21,020 241,730
Software — 0.3%      
HMH Holdings/EduMedia   13,505 330,866
Total Common Stocks — 0.8%     993,051
 
 
    Par  
Corporate Bonds   (000)  
Airlines — 0.2%      
American Airlines Pass-Through Trust, Series      
2011-2, Class A, 8.63%, 10/15/21 USD 125 132,704
Delta Air Lines, Inc., Series 2009-1 Series B,      
9.75%, 6/17/18   53 57,610
      190,314
Auto Components — 0.9%      
Icahn Enterprises LP:      
7.75%, 1/15/16   785 824,250
8.00%, 1/15/18   340 362,100
      1,186,350
Chemicals — 0.2%      
Hexion US Finance Corp., 6.63%, 4/15/20   130 131,300
INEOS Finance Plc, 8.38%, 2/15/19 (a)   110 115,775
      247,075
Commercial Banks — 0.1%      
CIT Group, Inc., 7.00%, 5/02/16 (a)   144 144,731

 

    Par  
Corporate Bonds   (000) Value
 
Commercial Services & Supplies — 0.3%      
ARAMARK Corp., 3.94%, 2/01/15 (b) USD 65 $ 64,838
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)   322 339,558
      404,396
Communications Equipment — 0.5%      
Zayo Group LLC/Zayo Capital, Inc.:      
8.13%, 1/01/20   380 403,750
10.13%, 7/01/20   250 268,125
      671,875
Consumer Finance — 0.3%      
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)   325 353,437
Diversified Financial Services — 0.7%      
Ally Financial, Inc., 2.62%, 12/01/14 (b)   440 432,458
FCE Bank Plc, 7.13%, 1/15/13 EUR 50 64,148
Reynolds Group Issuer, Inc.:      
7.13%, 4/15/19 USD 120 129,300
6.88%, 2/15/21   185 200,263
      826,169
Diversified Telecommunication Services — 0.1%      
ITC Deltacom, Inc., 10.50%, 4/01/16   140 150,850
Energy Equipment & Services — 0.1%      
FTS International Services LLC / FTS International      
Bonds Inc., 8.13%, 11/15/18 (a)   155 160,038
Health Care Providers & Services — 0.8%      
CHS/Community Health Systems, Inc.,      
5.13%, 8/15/18   358 369,187
HCA, Inc., 6.50%, 2/15/20   400 439,500
Tenet Healthcare Corp., 6.25%, 11/01/18   185 200,841
      1,009,528
Health Care Technology — 0.8%      
IMS Health, Inc., 12.50%, 3/01/18 (a)   850 998,750
Household Durables — 0.1%      
Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)   180 184,050
Independent Power Producers & Energy Traders — 1.7%      
Calpine Corp., 7.25%, 10/15/17 (a)   245 262,150
Energy Future Holdings Corp., 10.00%, 1/15/20   285 314,213
Energy Future Intermediate Holding Co. LLC,      
10.00%, 12/01/20   1,405 1,577,112
      2,153,475
IT Services — 0.2%      
First Data Corp., 6.75%, 11/01/20 (a)   245 243,163
Machinery — 0.1%      
UR Financing Escrow Corp., 5.75%, 7/15/18 (a)   80 84,600
Media — 1.4%      
AMC Networks, Inc., 7.75%, 7/15/21   105 118,913
Clear Channel Worldwide Holdings, Inc.:      
Series A, 9.25%, 12/15/17   185 200,262
Series B, 9.25%, 12/15/17   850 923,312
Unitymedia Hessen GmbH & Co. KG,      
8.13%, 12/01/17 (a)   500 541,250
      1,783,737

 

Portfolio Abbreviations
 
To simplify the listings of portfolio holdings in the CAD Canadian Dollar GBP British Pound
Schedule of Investments, the names and descriptions DIP Debtor-In-Possession GO General Obligation Bonds
of many of the securities have been abbreviated EBITDA Earnings Before Interest, Taxes, LIBOR London Interbank Offered Rate
according to the following list:   Depreciation and Amortization USD US Dollar
  EUR Euro    
  FKA Formerly Known As    

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT13
 

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 — 0.2%      
Coffeyville Resources LLC, 9.00%, 4/01/15 (a) USD 126 $ 134,190
EP Energy LLC/EP Energy Finance, Inc.,      
6.88%, 5/01/19 (a)   145 155,512
      289,702
Paper & Forest Products — 0.1%      
Longview Fibre Paper & Packaging, Inc.,      
8.00%, 6/01/16 (a)   155 160,425
Pharmaceuticals — 0.2%      
Valeant Pharmaceuticals International,      
6.50%, 7/15/16 (a)   185 195,175
Real Estate Management & Development — 0.1%      
Realogy Corp., 7.63%, 1/15/20 (a)   165 179,850
Wireless Telecommunication Services — 1.7%      
Cricket Communications, Inc., 7.75%, 5/15/16   1,125 1,186,875
Sprint Nextel Corp. (a):      
9.00%, 11/15/18   290 342,200
7.00%, 3/01/20   550 602,250
      2,131,325
Total Corporate Bonds — 10.8%     13,749,015
 
Floating Rate Loan Interests (b)      
Aerospace & Defense — 1.6%      
DynCorp International, Term Loan B,      
6.25%, 7/07/16   302 301,703
SI Organization, Inc., Term Loan B,      
4.50%, 11/22/16   416 404,947
Spirit Aerosystems, Inc., Term Loan B,      
3.75%, 4/18/19   369 369,691
TransDigm, Inc.:      
Add on Term Loan B2, 4.00%, 2/14/17   179 180,071
Term Loan B, 4.00%, 2/14/17   533 534,513
Wesco Aircraft Hardware Corp., Term Loan B,      
4.25%, 4/07/17   294 293,433
      2,084,358
Airlines — 0.8%      
Delta Air Lines, Inc., Credit, Term Loan B,      
5.50%, 4/20/17   1,002 1,009,413
US Airways Group, Inc., Term Loan,      
2.74%, 3/21/14   55 53,144
      1,062,557
Auto Components — 2.8%      
Autoparts Holdings Ltd., First Lien Term Loan,      
6.50%, 7/28/17   645 632,222
Federal-Mogul Corp.:      
Term Loan B, 2.17%—2.18%, 12/29/14   869 829,503
Term Loan C, 2.17%—2.18%, 12/28/15   296 282,464
The Goodyear Tire & Rubber Co., Term Loan      
(Second Lien), 4.75%, 4/30/19   1,150 1,145,687
Schaeffler AG, Term Loan C2,      
6.00%, 1/27/17   380 381,110
UCI International, Inc., Term Loan B,      
5.50%, 7/26/17   345 345,612
      3,616,598
Biotechnology — 0.5%      
Grifols, Inc., Term Loan B, 4.50%, 6/01/17   638 639,354
Building Products — 3.4%      
Armstrong World Industries, Inc., Term Loan B,      
4.00%, 3/09/18   764 761,307
CPG International, Inc., Term Loan B,      
6.00%, 2/18/17   788 775,195

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Building Products (concluded)      
Goodman Global, Inc., Initial Term Loan (First Lien),      
5.75%, 10/28/16 USD 2,094 $ 2,096,218
Momentive Performance Materials, Inc. (Nautilus),      
Extended Term Loan, 3.62%, 5/05/15 EUR 560 644,937
      4,277,657
Capital Markets — 2.0%      
American Capital Holdings, Term Loan,      
5.50%, 7/19/16 USD 513 514,924
HarbourVest Partners LLC, Term Loan B,      
6.25%, 12/16/16   754 753,082
Nuveen Investments, Inc.:      
Extended (First Lien), Term Loan,      
5.95%–5.96%, 5/13/17   391 391,256
Extended Term Loan, 5.92%–5.95%, 5/12/17   782 784,338
Incremental Term Loan, 7.25%, 5/13/17   160 160,720
      2,604,320
Chemicals — 6.0%      
American Rock Salt Holdings LLC, Term Loan,      
5.50%, 4/25/17   607 589,749
Ashland, Inc., Term Loan B, 3.75%, 8/23/18   278 279,085
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16   750 752,190
Evergreen Acqco 1 LP, Term Loan B,      
6.25%, 7/09/19   355 358,330
Gentek, Inc., Term Loan, 5.00%–5.75%, 10/06/15   384 381,623
INEOS US Finance LLC:      
3 Year Term Loan, 5.50%, 5/04/15   90 90,448
6 Year Term Loan, 6.50%, 5/04/18   1,883 1,886,112
Nexeo Solutions LLC, Term Loan B,      
5.00%, 9/08/17   568 552,555
PolyOne Corp., Term Loan, 5.00%, 12/20/17   184 184,627
PQ Corp.(FKA Niagara Acquisition, Inc.),      
Term Loan B, 3.98%, 7/30/14   1,071 1,051,505
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17   251 233,755
Tronox, Inc.:      
Delayed Draw Term Loan, 4.25%, 2/08/18   159 158,189
Term Loan B, 4.25%, 2/08/18   581 580,027
Univar, Inc., Term Loan B, 5.00%, 6/30/17   600 595,791
      7,693,986
Commercial Services & Supplies — 5.7%      
ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19   856 854,990
Altegrity, Inc.(FKA US Investigations Services, Inc.),      
Tranche D Term Loan, 7.75%, 2/20/15   629 625,877
ARAMARK Corp.:      
Extended Term Loan B, 3.48%, 7/26/16   211 210,008
Extended Term Loan C,      
3.48%–3.71%, 7/26/16   116 115,948
Letter of Credit, 3.50%, 7/26/16   14 13,811
Letter of Credit Facility, 3.50%, 7/26/16   9 9,341
AWAS Finance Luxembourg 2012 SA, Term Loan,      
5.75%, 7/16/18   315 315,000
AWAS Finance Luxembourg Sarl, Term Loan B,      
5.25%, 6/10/16   353 353,155
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16   825 833,250
KAR Auction Services, Inc., Term Loan B,      
5.00%, 5/19/17   1,187 1,186,365
Protection One, Inc., Term Loan, 5.75%, 3/21/19   564 569,223
Synagro Technologies, Inc., Term Loan B,      
2.24%, 4/02/14   861 763,746
Volume Services America, Inc., Term Loan B,      
10.50%–10.75%, 9/16/16   491 491,250
West Corp., Term Loan B6, 5.75%, 6/29/18   900 902,817
      7,244,781

 

See Notes to Financial Statements.

14ANNUAL REPORTAUGUST 31, 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
Communications Equipment — 3.0%      
Avaya, Inc.:      
Extended Term Loan B3, 4.93%, 10/26/17 USD 128 $ 114,492
Term Loan B1, 3.18%, 10/24/14   790 758,261
CommScope, Inc., Term Loan, 4.25%, 1/12/18   814 813,775
Zayo Group, LLC, Term Loan B, 7.13%, 7/02/19   2,085 2,115,629
      3,802,157
Construction & Engineering — 0.9%      
BakerCorp. International, Inc., Term Loan B,      
4.75%, 6/01/18   361 359,876
Safway Services LLC, First Out Term Loan,      
9.00%, 12/16/17   750 750,000
      1,109,876
Construction Materials — 2.0%      
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17   2,500 2,554,175
Consumer Finance — 0.8%      
Springleaf Financial Funding Co., Term Loan,      
5.50%, 5/10/17   1,060 1,023,695
Containers & Packaging — 0.7%      
Berry Plastics Holding Corp., Term Loan C,      
2.23%, 4/03/15   248 245,707
Sealed Air Corp., Term Loan B, 4.75%, 10/03/18   610 613,708
      859,415
Diversified Consumer Services — 3.3%      
Coinmach Service Corp.:      
Delayed Draw Term Loan,      
3.24%–3.33%, 11/20/14   242 232,031
Term Loan B, 3.33%, 11/20/14   891 854,720
Education Management LLC, Term Loan C3,      
8.25%, 3/29/18   309 272,061
Laureate Education, Inc., Extended Term Loan,      
5.25%, 6/18/18   1,021 995,728
ServiceMaster Co.:      
Delayed Draw Term Loan, 2.74%, 7/24/14   113 112,218
Term Loan, 2.75%–2.97%, 7/24/14   1,134 1,126,895
Weight Watchers International, Inc., Term Loan F,      
4.00%, 3/15/19   603 595,818
      4,189,471
Diversified Financial Services — 2.4%      
Residential Capital LLC:      
DIP Term Loan A1, 5.00%, 11/18/13   580 581,450
DIP Term Loan A2, 6.75%, 11/18/13   85 85,992
Reynolds Group Holdings, Inc.:      
Term Loan B, 6.50%, 2/09/18   1,211 1,218,224
Term Loan C, 6.50%, 8/09/18   1,113 1,127,380
      3,013,046
Diversified Telecommunication Services — 5.2%      
Hawaiian Telcom Communications, Inc., Term Loan      
B, 7.00%, 2/28/17   530 536,625
Integra Telecom Holdings, Inc., Term Loan B,      
9.25%, 4/15/15   809 796,372
Level 3 Financing, Inc.:      
2016 Term Loan B, 4.75%, 2/01/16   795 796,590
2019 Term Loan B, 5.25%, 8/01/19   650 650,949
Term Loan B2, 5.75%, 9/03/18   1,800 1,804,752
Term Loan B3, 5.75%, 8/31/18   550 551,452
Telesat LLC, Term Loan B, 4.25%, 3/28/19   745 743,257
US Telepacific Corp., Term Loan B,      
5.75%, 2/23/17   742 708,450
      6,588,447

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Electronic Equipment, Instruments & Components — 0.9%    
CDW LLC, Extended Term Loan, 4.00%, 7/14/17 USD 519 $ 512,160
Sensata Technologies Finance Co. LLC, Term Loan,      
4.00%, 5/11/18   602 602,723
      1,114,883
Energy Equipment & Services — 2.9%      
Dynegy Midwest Generation LLC, Coal Co. Term      
Loan, 9.25%, 8/04/16   514 533,286
Dynegy Power LLC, Gas Co. Term Loan,      
9.25%, 8/04/16   578 604,663
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18   1,538 1,540,113
Tervita Corp. (FKA CCS Corp.):      
Incremental Term Loan, 6.50%, 10/17/14   348 347,961
Term Loan B, 3.23%, 11/14/14   742 728,205
      3,754,228
Food & Staples Retailing — 1.9%      
AB Acquisitions UK Topco 2, Term Loan B1,      
3.52%, 7/09/15 GBP 900 1,348,681
Pilot Travel Centers LLC, Term Loan B2,      
4.25%, 8/07/19 USD 485 486,212
US Foods, Inc.(FKA U.S. Foodservice, Inc.),      
Extended Term Loan B, 5.75%, 3/31/17   620 599,115
      2,434,008
Food Products — 3.1%      
Advance Pierre Foods:      
Term Loan (First Lien), 7.00%, 9/30/16   848 852,259
Term Loan (Second Lien), 11.25%, 9/29/17   550 553,300
Del Monte Foods Co., Term Loan, 4.50%, 3/08/18   1,113 1,097,527
Michael Foods Group, Inc., Term Loan,      
4.25%, 2/23/18   181 181,149
Pinnacle Foods Finance LLC:      
Extended Term Loan B, 3.75%, 10/03/16   40 39,244
Term Loan E, 4.75%, 10/17/18   502 499,900
Solvest Ltd. (Dole):      
Term Loan B-2, 5.00%–6.00%, 7/06/18   279 279,281
Term Loan C-2, 5.00%–6.00%, 7/06/18   499 499,767
      4,002,427
Health Care Equipment & Supplies — 5.3%      
Bausch & Lomb, Inc., Term Loan B,      
5.25%, 5/17/19   1,330 1,334,429
Biomet, Inc., Term Loan B,      
3.23%–3.47%, 3/25/15   312 310,911
BSN Medical Acquisition Holding GmbH,      
Term Loan B, 6.00%, 7/27/19   385 385,962
DJO Finance LLC:      
Extended Term Loan B2, 5.23%, 11/01/16   190 189,731
Term Loan B3, 6.25%, 9/15/17   1,057 1,058,228
Hologic, Inc., Term Loan B, 4.50%, 8/01/19   1,760 1,770,683
Hupah Finance, Inc., Term Loan B,      
6.25%, 1/21/19   354 355,440
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18   348 342,109
Immucor, Inc., Term Loan B, 7.25%, 8/17/18   819 821,883
LHP Hospital Group, Inc., Term Loan,      
9.00%, 7/03/18   215 216,612
      6,785,988
Health Care Providers & Services — 4.7%      
Community Health Systems, Inc., Extended Term      
Loan B, 3.92%–3.96%, 1/25/17   41 41,442
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16   581 581,894
DaVita, Inc.:      
Term Loan B, 4.50%, 10/20/16   1,011 1,013,396
Term Loan B2, 4.00%, 9/02/19   630 626,951
Emergency Medical Services Corp., Term Loan,      
5.25%, 5/25/18   662 660,696

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT15
 

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
Health Care Providers & Services (concluded)      
Harden Healthcare LLC:      
Add on Term Loan A, 7.75%, 3/02/15 USD 443 $ 429,154
Term Loan A, 8.50%, 3/02/15   294 288,005
HCA, Inc., Extended Term Loan B3,      
3.48%, 5/01/18   235 231,292
inVentiv Health, Inc.:      
Combined Term Loan, 6.50%, 8/04/16   345 321,137
Incremental Term Loan B-3, 6.75%, 5/15/18   406 379,036
Medpace, Inc., Term Loan,      
6.50%–7.25%, 6/16/17   527 502,881
Sheridan Holdings, Inc., First Lien Term Loan,      
6.00%, 6/29/18   300 300,249
US Renal Care, Inc., First Lien Term Loan,      
6.25%–7.25%, 7/02/19   515 518,862
Vanguard Health Holding Co. II LLC (Vanguard      
Health Systems, Inc.), Term Loan B,      
5.00%, 1/29/16   60 59,812
      5,954,807
Health Care Technology — 1.4%      
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17   550 551,425
Kinetic Concepts, Inc., Term Loan B,      
7.00%, 5/04/18   926 933,800
MedAssets, Inc., Term Loan, 5.25%, 11/16/16   345 346,324
      1,831,549
Hotels, Restaurants & Leisure — 7.1%      
Alpha D2 Ltd., Term Loan B, 5.75%, 4/28/17   589 591,585
Ameristar Casinos, Inc., Term Loan B,      
4.00%, 4/16/18   563 564,289
Boyd Gaming Corp., Incremental Term Loan,      
6.00%, 12/17/15   385 388,221
Caesars Entertainment Operating Co., Inc.:      
Extended Term Loan B6, 5.49%, 1/26/18   95 83,511
Incremental Term Loan B4, 9.50%, 10/31/16   492 501,908
Term Loan B1, 3.24%, 1/28/15   177 167,610
Term Loan B3, 3.24%–3.46%, 1/28/15   2,260 2,143,089
DineEquity, Inc., Term Loan B,      
4.25%–5.25%, 10/19/17   37 37,170
Dunkin’ Brands, Inc., Term Loan B2,      
4.00%, 11/23/17   1,140 1,127,861
Golden Living, Term Loan, 5.00%, 5/04/18   147 140,156
OSI Restaurant Partners LLC:      
Revolver, 2.49%–2.56%, 6/14/13   4 4,454
Term Loan B, 2.56%, 6/14/14   45 44,893
Sabre, Inc., Non-Extended Initial Term Loan,      
2.23%, 9/30/14   146 144,811
SeaWorld Parks & Entertainment, Inc., Term Loan B,      
4.00%, 8/17/17   442 442,104
Six Flags Theme Parks, Inc., Term Loan B,      
4.25%, 12/20/18   690 691,615
Station Casinos, Inc., Term Loan B1,      
3.23%, 6/17/16   393 373,057
Twin River Worldwide Holdings, Inc., Term Loan,      
8.50%, 11/05/15   485 486,347
Wendy’s International, Inc., Term Loan B,      
4.75%, 5/15/19   1,085 1,089,839
      9,022,520
Household Products — 0.5%      
Prestige Brands, Inc., Term Loan,      
5.25%–6.25%, 1/31/19   591 595,195
Independent Power Producers & Energy Traders — 1.0%    
The AES Corp., Term Loan, 4.25%, 6/01/18   988 989,969
Calpine Corp., Term Loan B, 4.50%, 4/02/18   215 215,297
GenOn Energy, Inc., Term Loan B,      
6.00%, 12/01/17   125 125,899
      1,331,165

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Industrial Conglomerates — 2.0%      
Sequa Corp.:      
Incremental Term Loan, 6.25%, 12/03/14 USD 199 $ 199,235
Term Loan, 3.69%–3.72%, 12/03/14   2,388 2,371,737
      2,570,972
Insurance — 0.8%      
Asurion LLC, Term Loan (First Lien),      
5.50%, 5/24/18   299 299,376
CNO Financial Group, Inc., Term Loan B,      
6.25%, 9/30/16   716 717,687
      1,017,063
Internet Software & Services — 0.4%      
Web.com Group, Inc., Term Loan B,      
7.00%, 10/27/17   528 525,524
IT Services — 5.7%      
Ceridian Corp., Extended Term Loan,      
5.99%, 5/09/17   697 696,219
First Data Corp.:      
Extended 2018 Term Loan B, 4.24%, 3/23/18   2,910 2,747,073
Non-Extended Term Loan B-1, 2.99%, 9/24/14   140 137,612
Non-Extended Term Loan B-3, 2.99%, 9/24/14   86 84,349
Genpact International, Inc., Term Loan B,      
4.25, 8/16/19   765 765,000
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18   345 305,143
iPayment, Inc., Term Loan B, 5.75%, 5/08/17   494 493,500
Neustar, Inc., Term Loan B, 5.00%, 11/08/18   407 408,959
SunGard Data Systems, Inc. (Solar Capital Corp.),      
Term Loan B, 3.86%–4.06%, 2/26/16   143 142,656
TransUnion LLC, Term Loan B, 5.50%, 2/12/18   1,450 1,459,345
      7,239,856
Leisure Equipment & Products — 0.8%      
Eastman Kodak Co., DIP Term Loan B,      
8.50%, 7/19/13   522 517,493
FGI Operating Company, LLC, Term Loan,      
5.50%–6.50%, 4/19/19   515 516,612
      1,034,105
Machinery — 2.7%      
Intelligrated, Inc., First Lien Term Loan,      
6.75%, 7/30/18   400 396,000
Navistar International Corp., Term Loan B,      
7.00%, 8/17/17   437 438,909
Rexnord Corp., Term Loan B, 5.00%, 4/02/18   313 314,657
Terex Corp.:      
Term Loan, 6.00%, 4/28/17 EUR 60 74,528
Term Loan B, 5.50%, 4/28/17 USD 601 603,727
Tomkins LLC, Term Loan B, 4.25%, 9/29/16   1,113 1,115,910
Wabash National Corp., Term Loan B,      
6.00%, 5/02/19   549 552,054
      3,495,785
Media — 17.1%      
Acosta, Inc., Term Loan B, 5.75%, 3/01/18   236 236,982
Affinion Group, Inc., Term Loan B, 5.00%, 7/15/15   263 223,092
AMC Entertainment, Inc., Term Loan B3,      
4.25%, 2/22/18   323 323,698
AMC Networks, Inc., Term Loan B,      
4.00%, 12/31/18   792 791,509
Atlantic Broadband Finance LLC, 1st Lien      
Term Loan, 5.25%, 4/04/19   455 455,428
BBHI Acquisition LLC (FKA Bresnan      
Telecommunications Co. LLC), Term Loan B,      
4.50%, 12/14/17   1,180 1,183,391
Capsugel Holdings US, Inc., Term Loan B,      
4.75%, 8/01/18   569 570,125
Catalina Marketing Corp., Extended Term Loan B,      
5.73%, 9/29/17   538 530,240

 

See Notes to Financial Statements.

16ANNUAL REPORTAUGUST 31, 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
Media (concluded)      
Cengage Learning Acquisitions, Inc.:      
Non-Extended Term Loan, 2.49%, 7/03/14 USD 228 $ 209,873
Tranche 1 Incremental, 7.50%, 7/03/14   369 355,431
Charter Communications Operating LLC:      
Extended Term Loan C, 3.49%, 9/06/16   807 805,398
Term Loan D, 4.00%, 5/15/19   314 314,112
Clarke American Corp., Term Facility B,      
2.73%–2.96%, 6/30/14   89 79,996
Clear Channel Communications, Inc.:      
Term Loan B, 3.88%, 1/28/16   846 655,456
Term Loan C, 3.88%, 1/28/16   158 119,790
Cumulus Media, Inc., First Lien Term Loan,      
5.75%, 9/17/18   612 612,773
EMI Music Publishing Ltd., Term Loan B,      
5.50%, 6/29/18   360 362,430
Gray Television, Inc., Term Loan B,      
3.75%, 12/31/14   637 633,649
Houghton Mifflin Harcourt Publishing Co., DIP Term      
Loan B, 7.25%, 6/01/18   434 438,794
Hubbard Broadcasting, Term Loan B,      
5.25%, 4/28/17   438 438,970
Intelsat Jackson Holdings SA, Tranche B Term Loan,      
5.25%, 4/02/18   2,713 2,721,949
Interactive Data Corp., Term Loan B,      
4.50%, 2/12/18   1,312 1,313,665
Kabel Deutschland GmbH, Term Loan F,      
4.25%, 2/01/19   770 768,606
Lavena Holding 4 GmbH (Prosiebensat.1      
Media AG):      
Term Loan B, 2.95%, 3/06/15 EUR 460 530,082
Term Loan C, 3.32%, 3/04/16   460 532,978
LIN Television Corp., Term Loan B,      
5.00%, 12/21/18 USD 323 325,196
Mediacom LLC, Term Loan E, 4.50%, 10/23/17   490 482,650
Newsday LLC:      
Fixed Rate Term Loan, 10.50%, 8/01/13   800 804,336
Term Loan, 6.71%, 8/01/13   500 500,625
Nielsen Finance LLC, Class B Term Loan,      
3.99%, 5/02/16   631 632,595
Sinclair Television Group, Inc., Term Loan B,      
4.00%, 10/28/16   548 547,606
Univision Communications, Inc., Extended Term      
Loan, 4.48%, 3/31/17   866 836,746
UPC Broadband Holding BV, Term Loan U,      
4.15%, 12/29/17 EUR 196 244,730
UPC Financing Partnership:      
Term Loan, 4.75%, 12/29/17 USD 585 586,708
Term Loan T, 3.75%, 12/30/16   80 79,250
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18   185 184,085
Weather Channel, Term Loan B, 4.25%, 2/13/17   831 833,904
WideOpenWest Finance LLC, First Lien Term Loan,      
6.25%, 7/17/18   520 519,678
      21,786,526
Metals & Mining — 2.6%      
Constellium Holdco BV, Term Loan B,      
9.25%, 5/25/18   520 509,600
Novelis, Inc., Term Loan, 4.00%, 3/10/17   1,160 1,152,614
SunCoke Energy, Inc., Term Loan B,      
4.00%, 7/26/18   446 443,273
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18   1,289 1,266,904
      3,372,391
Multiline Retail — 2.7%      
99¢ Only Stores, Term Loan, 5.25%, 1/11/19   522 525,309
Dollar General Corp., Tranche B-2 Term Loan,      
2.98%, 7/07/14   316 316,121

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Multiline Retail (concluded)      
Hema Holding BV, Second Lien Term Loan,      
5.14%, 1/05/17 EUR 1,800 $ 2,122,537
The Neiman Marcus Group, Inc., Term Loan,      
4.75%, 5/16/18 USD 435 435,000
      3,398,967
Oil, Gas & Consumable Fuels — 2.0%      
Chesapeake Energy Corp., Unsecured Term Loan,      
8.50%, 12/01/17   545 546,172
Everest Acquisition LLC, Term Loan B1,      
5.00%, 4/24/18   660 661,650
Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18   742 744,923
Obsidian Natural Gas Trust, Term Loan,      
7.00%, 11/02/15   533 533,308
      2,486,053
Paper & Forest Products — 0.3%      
Ainsworth Lumber Co. Ltd., Term Loan,      
5.25%, 6/26/14   175 169,312
NewPage Corp., DIP Term Loan, 8.00%, 3/07/13   200 201,876
      371,188
Pharmaceuticals — 4.1%      
Aptalis Pharma, Inc., Term Loan B,      
5.50%, 2/10/17   1,115 1,110,819
Pharmaceutical Product Development, Inc., Term      
Loan B, 6.25%, 12/05/18   1,399 1,414,039
Quintiles Transnational Corp., Term Loan B,      
5.00%, 6/08/18   589 590,158
RPI Finance Trust:      
Incremental Tranche 2, 4.00%, 11/09/18   90 89,869
Term Loan Tranche 2, 4.00%, 5/09/18   494 494,516
Valeant Pharmaceuticals International, Inc.:      
Add-On Term Loan B, 4.75%, 2/13/19   588 589,402
Series A Tranche B, 4.75%, 2/13/19   435 436,009
Warner Chilcott Corp.:      
Incremental Term Loan B-1, 4.25%, 3/15/18   102 101,681
Term Loan B-1, 4.25%, 3/15/18   269 267,760
Term Loan B-2, 4.25%, 3/15/18   135 133,880
      5,228,133
Professional Services — 1.8%      
Booz Allen Hamilton, Inc., Term Loan B,      
4.50%, 7/31/19   645 645,806
Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18   791 791,813
ON Assignment, Inc., Term Loan B,      
5.00%, 5/15/19   268 266,288
Truven Health Analytics, Term Loan B,      
6.75%, 6/06/19   605 609,283
      2,313,190
Real Estate Investment Trusts (REITs) — 0.8%      
iStar Financial, Inc.:      
Term Loan A1, 5.00%, 6/28/13   1,035 1,035,290
Term Loan A2, 7.00%, 6/30/14   35 35,033
      1,070,323
Real Estate Management & Development — 1.5%      
Realogy Corp.:      
Extended Letter of Credit Loan,      
4.50%, 10/10/16   98 94,448
Extended Synthetic Letter of Credit,      
3.25%, 10/10/13   25 23,432
Extended Term Loan, 4.49%, 10/10/16   1,723 1,662,859
Stockbridge SBE Holdings LLC, Term Loan B,      
13.00%, 5/02/17   85 84,575
      1,865,314

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT17
 

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
Road & Rail — 0.8%      
Avis Budget Car Rental LLC, Incremental Term Loan,      
6.25%, 9/21/18 USD 274 $ 274,873
RailAmerica, Inc., Term Loan B, 4.00%, 3/01/19   449 448,597
Road Infrastructure Investment LLC, Term Loan B,      
6.25%, 3/30/18   234 233,240
      956,710
Semiconductors & Semiconductor Equipment — 0.9%      
Freescale Semiconductor, Inc., Extended Term Loan      
B, 4.50%, 12/01/16   784 751,928
NXP BV, Term Loan A-2, 5.50%, 3/03/17   392 396,303
      1,148,231
Software — 3.7%      
Blackboard, Inc., Term Loan B, 7.50%, 10/04/18   254 249,445
Infor US, Inc. (FKA Lawson Software, Inc.),      
Term Loan B, 6.25%, 4/05/18   1,781 1,798,841
Sophia, LP, Term Loan B, 6.25%, 7/19/18   648 653,724
SS&C Technologies, Inc.:      
Term Loan B-1, 5.00%, 6/07/19   895 896,091
Term Loan B-2, 5.00%, 6/07/19   93 92,699
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16   305 305,047
WaveDivision Holdings LLC, Term Loan B,      
5.50%, 8/23/19   700 702,611
      4,698,458
Specialty Retail — 6.5%      
Academy Ltd., Term Loan, 6.00%, 8/03/18   796 798,786
Bass Pro Group LLC, Term Loan, 5.25%, 6/13/17   565 568,843
Burlington Coat Factory Warehouse Corp., Term      
Loan B1, 5.50%, 2/23/17   164 164,778
Claire’s Stores, Inc., Term Loan B,      
2.98%–3.20%, 5/29/14   812 796,621
General Nutrition Centers, Inc., Term Loan B,      
4.25%, 3/02/18   870 868,773
The Gymboree Corp., Term Loan, 5.00%, 2/23/18   146 141,602
Harbor Freight Tools USA, Inc., Term Loan B,      
5.50%, 11/14/17   460 459,352
Jo-Ann Stores, Inc., Term Loan, 4.75%, 3/16/18   285 284,745
Michaels Stores, Inc.:      
Extended Term Loan B3, 5.00%, 7/29/16   334 336,002
Term Loan B2, 5.00%, 7/29/16   671 674,176
Party City Holdings, Inc., Term Loan B,      
5.75%, 7/26/19   855 858,916
PETCO Animal Supplies, Inc., Term Loan,      
4.50%, 11/24/17   983 983,619
Things Remembered, Inc., Term Loan B,      
8.00%, 5/24/18   315 308,700
Toys ‘R’ Us Delaware, Inc.:      
Term Loan, 6.00%, 9/01/16   300 294,418
Term Loan B3, 5.25%, 5/25/18   95 90,972
The Yankee Candle Co., Inc., Term Loan B,      
5.25%, 4/02/19   633 635,870
      8,266,173
Textiles, Apparel & Luxury Goods — 1.2%      
Ascend Performance Materials LLC, Term Loan B,      
6.75%, 4/10/18   923 914,227
Wolverine Worldwide, Inc., Term Loan B,      
4.21%, 6/26/19   580 583,613
      1,497,840
Wireless Telecommunication Services — 1.8%      
Crown Castle International Corp., Term Loan B,      
4.00%, 1/31/19   203 202,500
MetroPCS Wireless, Inc., Tranche B-2 Term Loan,      
4.07%, 11/03/16   761 759,946

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Wireless Telecommunication Services (concluded)      
Vodafone Americas Finance 2, Inc. (e):      
Term Loan, 6.88%, 8/11/15 USD 934 $ 971,486
Term Loan B, 6.25%, 7/11/16   413 420,750
      2,354,682
Total Floating Rate Loan Interests — 130.1%     165,888,147
 
Warrants (f) — 0.0%   Shares  
Software — 0.0%      
HMH Holdings/EduMedia (Issued/Exercisable      
3/09/10, 19 Shares for 1 Warrant, Expires      
6/22/19, Strike Price $42.27)   691
Total Long-Term Investments      
(Cost — $181,792,608) — 144.4%     184,057,985
 
Short-Term Securities      
 
BlackRock Liquidity Funds, TempFund,      
Institutional Class, 0.15% (g)(h) 2,326,441 2,326,441
Total Short-Term Securities      
(Cost — $2,326,441) — 1.8%     2,326,441
Total Investments (Cost—$184,119,049) — 146.2%     186,384,426
Liabilities in Excess of Other Assets — (46.2)%     (58,929,833)
Net Assets — 100.0%     $ 127,454,593
         

 

(a)Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)Variable rate security. Rate shown is as of report date.
(c)When-issued security. Unsettled when-issued transactions were as follows:
    Unrealized
Counterparty Value Appreciation
Credit Suisse Group AG $323,050

 

(d)Non-income producing security.
(e)Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(f)Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
(g)Investments in issuers considered to be an affiliate of the Fund during the year ended August 31 2012, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:
  Shares   Shares  
  Held at   Held at  
  August 31, Net August 31,  
Affiliate 2011 Activity 2012 Income
 
BlackRock Liquidity        
Funds, Temp Fund,        
Institutional Class 2,230,753 95,688 2,326,441 $662

 

(h)Represents the current yield as of report date.

See Notes to Financial Statements.

18ANNUAL REPORTAUGUST 31, 2012
 

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

 

Foreign currency exchange contracts as of August 31, 2012 were as follows:
              Unrealized
Currency Currency   Settlement   Appreciation
Purchased Sold Counterparty Date   (Depreciation)
USD 99,943 CAD 101,500 UBS AG 10/17/12  $ (2,931)
USD 101,840 GBP 65,000 Citigroup Inc. 10/17/12   (1,355)
USD 1,178,267 GBP 759,000 UBS AG 10/17/12   (26,734)
EUR 29,000 USD 36,350 Citigroup Inc. 10/22/12   145
USD 3,756,464 EUR 3,064,000 Citigroup Inc. 10/22/12   (99,423)
USD 124,244 EUR 100,000 Citigroup Inc. 10/22/12   (1,601)
Total            $ (131,899)

 

Credit default swaps on traded indexes — buy protection outstanding as of August 31, 2012 were as follows:
Index Pay Counterparty Expiration Notional Unrealized
  Fixed   Date Amount Depreciation
  Rate     (000)  
Dow Jones 5.00% JPMorgan 6/20/17 USD 1,634 $(66,320)
CDX North   Chase & Co.      
America          
High Yield          
Index          
Series 18,          
Version 2          

 

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 instrument. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
Level1—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)
Level3—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 instrument)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instrument is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with 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 Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy as of August 31, 2012:

   Level 1  Level 2  Level 3  Total
Assets:            
Investments:            
Long-Term Investments:               
Asset-Backed                    
Securities          $3,427,772   $3,427,772 
Common                    
Stocks  $420,455   $572,596        993,051 
Corporate                    
Bonds       13,749,015        13,749,015 
Floating Rate                    
Loan                    
Interests       155,684,119    10,204,028    165,888,147 
Short-Term                    
Securities.  $2,326,441            2,326,441 
Total  $2,746,896   $170,005,730   $13,631,800   $186,384,426 

 

   Level 1  Level 2  Level 3  Total
Derivative Financial Instruments1               
Assets:                    
Foreign currency                    
exchange                    
contracts      $145       $145 
Liabilities:                    
Foreign currency                    
exchange                    
contracts       (132,044)       (132,044)
Credit                    
contracts       (66,320)       (66,320)
Total      $(198,219)      $(198,219)

 

1Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument.

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:

   Level 1  Level 2  Level 3  Total
Assets:                    
Foreign currency                    
at value  $12,292           $12,292 
Liabilities:                    
Loan payable      $(55,000,000)       (55,000,000)
Total  $12,292   $(55,000,000)      $(54,987,708)

 

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT19
 

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

 

The following table summarizes the valuation techniques used and unobservable inputs developed by the BlackRock Global Valuation Methodologies Committee (“Global Valuation Committee”) to determine the fair value of certain of the Fund’s Level 3 investments as of August 31, 2012:

        Range of Weighted Average of
  Value Valuation Techniques Unobservable Inputs 1 Unobservable Inputs Unobservable Inputs 2
Assets:          
Floating Rate Loan Interests $1,467,159 Market Comparable Companies Yield 9.65% 9.65%
    Cost N/A3
Total4 $1,467,159        

 

1A change to the unobservable input may result in a significant change to the value of the investment as follows:
  Impact to Impact to
Unobservable Input Value if Input Increases Value if Input Decreases
Yield Decrease Increase

 

2Unobservable inputs are weighted based on the value of the investments included in the range.
3The Fund fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund.
4Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.

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

   Asset-Backed  Common  Floating Rate   
   Securities  Stocks  Loan Interests  Total
Assets:                    
Opening balance, as of August 31, 2011  $2,378,561   $106,534   $10,822,191   $13,307,286 
Transfers into Level 35           812,985    812,985 
Transfers out of Level 36           (5,478,303)   (5,478,303)
Accrued discounts/premiums   37,938        21,250    59,188 
Net realized gain (loss)   (38,467)   (503,772)   22,536    (519,703)
Net change in unrealized
     appreciation/depreciation7
   143,076    397,245    195,347    735,668 
Purchases   2,494,764        5,135,597    7,630,361 
Sales   (1,588,100)   (7)   (1,327,575)   (2,915,682)
Closing Balance, as of August 31, 2012  $3,427,772       $10,204,028   $13,631,800 

 

5As of August 31, 2011, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2012, the Fund used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $812,985 transferred from Level 2 to Level 3 in the disclosure hierarchy.
6As of August 31, 2011, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Fund used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $5,478,303 transferred from Level 3 to Level 2 in the disclosure hierarchy.
7Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments still held as of August 31, 2012 was $249,362.

See Notes to Financial Statements.

20ANNUAL REPORTAUGUST 31, 2012
 

Consolidated Schedule of Investments August 31, 2012 BlackRock Diversified Income Strategies Fund, Inc. (DVF)
  (Percentages shown are based on Net Assets)

 

    Par  
Asset-Backed Securities   (000) Value
Fraser Sullivan CLO Ltd., Series 2012-7A,      
Class C, 4.47%, 4/20/23 (a)(b) USD 230 $ 204,378
Gannett Peak CLO Ltd., Series 2006-1X,      
Class A2, 0.81%, 10/27/20 (b)   280 235,900
Goldentree Loan Opportunities VI Ltd.,      
Series 2012-6A, Class D,      
4.66%, 4/17/22 (a)(b)   375 340,912
Highbridge Loan Management Ltd.,      
Series 2012-1A, Class C,      
5.71%, 9/20/22 (a)(b)(c)   350 323,050
ING Investment Management, Series 2012-2A,      
Class D, 4.99%, 10/15/22 (a)(b)   375 334,354
LCM LP, Series 11A, Class D2,      
4.41%, 4/19/22 (a)(b)   400 350,000
MAPS CLO Fund LLC, Series 2005-1A, Class C,      
1.42%, 12/21/17 (a)(b)   275 260,893
Race Point CLO, Series 2012-6A, Class D,      
4.93%, 5/24/23 (a)(b)   250 225,925
Symphony CLO Ltd. (a)(b):      
Series 2012-10A, Class D,      
5.69%, 7/23/23   350 323,750
Series 2012-9A, Class D, 4.71%, 4/16/22   500 445,600
Total Asset-Backed Securities — 2.3%     3,044,762
 
Common Stocks (d)   Shares  
Auto Components — 0.3%      
Delphi Automotive Plc   14,778 447,638
Diversified Financial Services — 0.8%      
Kcad Holdings I Ltd.   170,157,152 1,128,312
Electrical Equipment — 0.0%      
Medis Technologies Ltd.   176,126 528
Metals & Mining — 0.1%      
Euramax International    468 99,733
Paper & Forest Products — 0.5%      
Ainsworth Lumber Co. Ltd. (a)   275,167 602,953
Software — 0.3%      
Bankruptcy Management Solutions, Inc.   536 5
HMH Holdings/EduMedia   16,048 393,182
      393,187
Total Common Stocks — 2.0%     2,672,351
 
 
    Par  
Corporate Bonds   (000)  
Airlines — 0.1%      
American Airlines Pass-Through Trust, Series      
2011-2, Class A, 8.63%, 4/15/23 USD 129 136,818
Delta Air Lines, Inc., Series 2009-1 Series B,      
9.75%, 6/17/18   53 57,610
      194,428
Auto Components — 0.8%      
Icahn Enterprises LP:      
7.75%, 1/15/16   735 771,750
8.00%, 1/15/18   330 351,450
      1,123,200
Capital Markets — 0.1%      
E*Trade Financial Corp.,      
2.25%, 8/31/19 (a)(e)(f)   83 70,965

 

    Par  
Corporate Bonds   (000) Value
Capital Markets (concluded)      
KKR Group Finance Co. LLC,      
6.38%, 9/29/20 (a) USD 80 $ 90,556
      161,521
Chemicals — 0.2%      
Hexion US Finance Corp., 6.63%, 4/15/20   135 136,350
INEOS Finance Plc, 8.38%, 2/15/19 (a)   115 121,037
      257,387
Commercial Banks — 0.1%      
CIT Group, Inc.,      
7.00%, 5/02/16 (a)   104 104,528
Glitnir Banki HF, 6.38%,      
9/25/12 (a)(d)(g)   365
      104,528
Commercial Services & Supplies — 0.3%      
ARAMARK Corp.,      
3.94%, 2/01/15 (b)   65 64,838
AWAS Aviation Capital Ltd.,      
7.00%, 10/17/16 (a)   324 342,267
Brickman Group Holdings, Inc.,      
9.13%, 11/01/18 (a)   14 14,140
      421,245
Communications Equipment — 0.5%      
Zayo Group LLC/Zayo Capital, Inc.:      
8.13%, 1/01/20   400 425,000
10.13%, 7/01/20   265 284,212
      709,212
Consumer Finance — 0.3%      
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)   350 380,625
Diversified Financial Services — 1.0%      
Ally Financial, Inc.:      
7.50%, 12/31/13   20 21,375
2.67%, 12/01/14 (b)   325 319,429
7.50%, 9/15/20   160 183,200
8.00%, 11/01/31   70 82,775
8.00%, 11/01/31   80 94,960
Reynolds Group Issuer, Inc.:      
7.75%, 10/15/16 EUR 200 259,736
6.88%, 2/15/21 USD 380 411,350
      1,372,825
Diversified Telecommunication Services — 0.1%      
ITC Deltacom, Inc., 10.50%, 4/01/16   180 193,950
Energy Equipment & Services — 0.1%      
FTS International Services LLC / FTS      
International Bonds Inc,      
8.13%, 11/15/18 (a)   165 170,363
Health Care Providers & Services — 0.8%      
CHS/Community Health Systems, Inc.,      
5.13%, 8/15/18   378 389,812
HCA, Inc., 6.50%, 2/15/20   420 461,475
Tenet Healthcare Corp., 6.25%, 11/01/18   195 211,697
      1,062,984
Health Care Technology — 0.6%      
IMS Health, Inc.,      
12.50%, 3/01/18 (a)   700 822,500
Hotels, Restaurants & Leisure — 0.6%      
Little Traverse Bay Bands of Odawa Indians,      
9.00%, 8/31/20 (a)   192 174,720
Travelport LLC:      
5.09%, 9/01/14 (b)   665 472,150
9.88%, 9/01/14   145 115,275

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT21
 

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)      
Tropicana Entertainment LLC,      
9.63%, 12/15/14 (d)(g) USD 120
      $ 762,145
Household Durables — 0.1%      
Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)   190 194,275
Independent Power Producers & Energy Traders — 1.7%    
Calpine Corp.,      
7.25%, 10/15/17 (a)   325 347,750
Energy Future Holdings Corp., 10.00%, 1/15/20   285 314,213
Energy Future Intermediate Holding Co. LLC,      
10.00%, 12/01/20   1,405 1,577,112
      2,239,075
Industrial Conglomerates — 0.6%      
Sequa Corp.,      
13.50%, 12/01/15 (a)   722 764,863
IT Services — 0.2%      
First Data Corp.,      
6.75%, 11/01/20 (a)   260 258,050
Machinery — 0.1%      
UR Financing Escrow Corp.,5.75%, 7/15/18 (a)   85 89,888
Media — 2.0%      
AMC Networks, Inc., 7.75%, 7/15/21   110 124,575
Checkout Holding Corp.,      
16.03%, 11/15/15 (a)(f)   325 198,250
Clear Channel Worldwide Holdings, Inc.,      
Series B, 9.25%, 12/15/17   884 960,245
NAI Entertainment Holdings LLC,      
8.25%, 12/15/17 (a)   270 301,050
Unitymedia Hessen GmbH & Co. KG,      
8.13%, 12/01/17 (a)   1,000 1,082,500
      2,666,620
Metals & Mining — 0.0%      
RathGibson, Inc., 11.25%, 2/15/14 (d)(g)   1,390
Oil, Gas & Consumable Fuels — 0.2%      
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)   60 63,900
EP Energy LLC/EP Energy Finance, Inc.,      
6.88%, 5/01/19 (a)   155 166,238
      230,138
Paper & Forest Products — 0.5%      
Ainsworth Lumber Co. Ltd.,      
11.00%, 7/29/15 (a)(h)   303 275,821
Clearwater Paper Corp., 10.63%, 6/15/16   190 212,325
Longview Fibre Paper & Packaging, Inc.,      
8.00%, 6/01/16 (a)   165 170,775
      658,921
Pharmaceuticals — 0.2%      
Valeant Pharmaceuticals International,      
6.50%, 7/15/16 (a)   195 205,725
Real Estate Management & Development — 0.1%      
Realogy Corp., 7.63%, 1/15/20 (a)   175 190,750
Wireless Telecommunication Services — 1.9%      
Cricket Communications, Inc., 7.75%, 5/15/16   850 896,750
Digicel Group Ltd. (a):      
9.13%, 1/15/15   279 281,790
8.25%, 9/01/17   255 270,300
Sprint Nextel Corp. (a):      
9.00%, 11/15/18   380 448,400
7.00%, 3/01/20   585 640,575
      2,537,815
Total Corporate Bonds — 13.2%     17,773,033

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Aerospace & Defense — 1.6%      
DynCorp International, Term      
Loan B, 6.25%, 7/07/16 USD 301 $ 299,974
SI Organization, Inc., Term Loan B,      
4.50%, 11/22/16   415 403,984
Spirit Aerosystems, Inc., Term Loan B,      
3.75%, 4/18/19   384 384,679
TransDigm, Inc.:      
Add on Term Loan B2, 4.00%, 2/14/17   189 190,075
Term Loan B, 4.00%, 2/14/17   602 603,912
Wesco Aircraft Hardware Corp., Term Loan B,      
4.25%, 4/07/17   337 336,593
      2,219,217
Airlines — 0.8%      
Delta Air Lines, Inc., Credit Term Loan B,      
5.50%, 4/20/17   993 999,947
US Airways Group, Inc., Term Loan,      
2.74%, 3/21/14   60 57,975
      1,057,922
Auto Components — 2.8%      
Autoparts Holdings Ltd., First Lien Term Loan,      
6.50%, 7/28/17   695 680,855
Federal-Mogul Corp.:      
Term Loan B, 2.17%–2.18%, 12/29/14   921 878,565
Term Loan C, 2.17%–2.18%, 12/28/15   312 297,410
The Goodyear Tire & Rubber Co., Term Loan      
(Second Lien), 4.75%, 4/30/19   1,215 1,210,444
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17   380 381,109
UCI International, Inc., Term Loan B,      
5.50%, 7/26/17   345 345,612
      3,793,995
Biotechnology — 0.5%      
Grifols, Inc., Term Loan B, 4.50%, 6/01/17   648 649,184
Building Products — 3.1%      
Armstrong World Industries, Inc., Term Loan B,      
4.00%, 3/09/18   897 894,392
CPG International, Inc., Term Loan B,      
6.00%, 2/18/17   837 823,645
Goodman Global, Inc., Initial Term Loan (First      
Lien), 5.75%, 10/28/16   2,094 2,096,218
Momentive Performance Materials, Inc.      
(Nautilus), Extended Term Loan,      
3.62%, 5/05/15 EUR 313 360,816
      4,175,071
Capital Markets — 2.0%      
American Capital Holdings, Term Loan,      
5.50%, 7/19/16 USD 539 541,021
HarbourVest Partners LLC, Term Loan B,      
6.25%, 12/16/16   754 753,082
Nuveen Investments, Inc.:      
Extended (First Lien), Term Loan,      
5.95%–5.96%, 5/13/17   438 438,255
Extended Term Loan,      
5.92%–5.96%, 5/12/17   862 864,443
Incremental Term Loan, 7.25%, 5/13/17   85 85,383
      2,682,184
Chemicals — 6.0%      
American Rock Salt Holdings LLC, Term Loan,      
5.50%, 4/25/17   602 584,906
Ashland, Inc., Term Loan B, 3.75%, 8/23/18   271 271,637
Chemtura Corp., Exit Term Loan B,      
5.50%, 8/27/16   700 702,044
Evergreen Acqco 1 LP, Term Loan B,      
6.25%, 7/09/19   370 373,471
Gentek, Inc., Term Loan, 10/06/15   338 336,177

 

See Notes to Financial Statements.

22ANNUAL REPORTAUGUST 31, 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
Chemicals (concluded)      
INEOS US Finance LLC:      
3 Year Term Loan, 5.50%, 5/04/15 USD 95 $ 95,473
6 Year Term Loan, 6.50%, 5/04/18   1,983 1,985,845
MacDermid, Inc., Tranche C Term Loan,      
2.32%, 4/11/14 EUR 208 259,161
Nexeo Solutions LLC, Term Loan B,      
5.00%, 9/08/17 USD 593 576,580
PolyOne Corp., Term Loan, 5.00%, 12/20/17   194 194,607
PQ Corp. (FKA Niagara Acquisition, Inc.),      
Term Loan B, 3.98%, 7/30/14   1,077 1,057,275
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17   268 249,927
Tronox, Inc.:      
Delayed Draw Term Loan, 4.25%, 2/08/18   167 166,740
Term Loan B, 4.25%, 2/08/18   613 611,380
Univar, Inc., Term Loan B, 5.00%, 6/30/17   633 629,453
      8,094,676
Commercial Services & Supplies — 5.5%      
ACCO Brands Corp., Term Loan B,      
4.25%, 4/30/19   905 904,699
Altegrity, Inc. (FKA US Investigations      
Services, Inc.), Tranche D Term Loan,      
7.75%, 2/20/15   713 709,327
ARAMARK Corp.:      
Extended Term Loan B, 3.48%, 7/26/16   148 147,531
Extended Term Loan C,      
3.48%–3.71%, 7/26/16   86 85,666
Letter of Credit, 3.50%, 7/26/16   10 9,702
Letter of Credit Facility, 3.50%, 7/26/16   7 6,901
AWAS Finance Luxembourg 2012 SA, Term      
Loan, 5.75%, 7/16/18   320 320,000
AWAS Finance Luxembourg Sarl, Term Loan B,      
5.25%, 6/10/16   395 394,586
Delos Aircraft, Inc., Term Loan B2,      
4.75%, 4/12/16   925 934,250
KAR Auction Services, Inc., Term Loan B,      
5.00%, 5/19/17   1,236 1,235,797
Protection One, Inc., Term Loan,      
5.75%, 3/21/19   594 599,448
Synagro Technologies, Inc., Term Loan B,      
2.24%, 4/02/14   632 560,779
Volume Services America, Inc., Term Loan B,      
10.50%–10.75%, 9/16/16   491 491,250
West Corp., Term Loan B6, 5.75%, 6/29/18   945 947,958
      7,347,894
Communications Equipment — 2.9%      
Avaya, Inc.:      
Extended Term Loan B3, 4.93%, 10/26/17   133 118,890
Term Loan B1, 3.18%, 10/24/14   849 815,319
CommScope, Inc., Term Loan,      
4.25%, 1/12/18   765 764,232
Zayo Group, LLC, Term Loan B,      
7.13%, 7/02/19   2,195 2,227,244
      3,925,685
Construction & Engineering — 0.9%      
BakerCorp. International, Inc., Term Loan B,      
4.75%, 6/01/18   431 428,820
Safway Services LLC, First Out Term Loan,      
9.00%, 12/16/17   800 800,000
      1,228,820
Construction Materials — 2.0%      
HD Supply, Inc., Senior Debt B,      
7.25%, 10/12/17   2,620 2,676,775
Consumer Finance — 0.8%      
Springleaf Financial Funding Co.(FKA AGFS      
Funding Co.), Term Loan, 5.50%, 5/10/17   1,115 1,076,811

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Containers & Packaging — 0.5%      
Sealed Air Corp., Term Loan B,      
4.75%, 10/03/18 USD 645 $ 647,993
Diversified Consumer Services — 3.3%      
Coinmach Service Corp., Term Loan B,      
3.33%, 11/20/14   1,204 1,155,088
Education Management LLC, Term Loan C3,      
8.25%, 3/29/18   324 285,226
Laureate Education, Inc., Extended Term Loan,      
5.25%, 6/18/18   1,069 1,042,565
ServiceMaster Co.:      
Delayed Draw Term Loan, 2.74%, 7/24/14   115 114,149
Term Loan, 2.75%–2.97%, 7/24/14   1,154 1,146,283
Weight Watchers International, Inc.,      
Term Loan F, 4.00%, 3/15/19   633 625,362
      4,368,673
Diversified Financial Services — 1.9%      
Residential Capital LLC:      
DIP Term Loan A1, 5.00%, 11/18/13   615 616,538
DIP Term Loan A2, 6.75%, 11/18/13   90 91,050
Reynolds Group Holdings, Inc.:      
Term Loan B, 6.50%, 2/09/18   562 564,902
Term Loan C, 6.50%, 8/09/18   1,205 1,220,163
      2,492,653
Diversified Telecommunication Services — 5.4%      
Hawaiian Telcom Communications, Inc.,      
Term Loan B, 7.00%, 2/28/17   1,105 1,118,812
Integra Telecom Holdings, Inc., Term Loan B,      
9.25%, 4/15/15   809 796,373
Level 3 Financing, Inc.:      
2016 Term Loan B, 4.75%, 2/01/16   780 781,560
2019 Term Loan B, 5.25%, 8/01/19   635 635,927
Term Loan B2, 5.75%, 9/03/18   1,675 1,679,422
Term Loan B3, 5.75%, 8/31/18   750 751,980
Telesat LLC, Term Loan B, 4.25%, 3/28/19   785 783,163
US Telepacific Corp., Term Loan B,      
5.75%, 2/23/17   742 708,450
      7,255,687
Electronic Equipment, Instruments & Components — 0.9%    
CDW LLC, Extended Term Loan,      
4.00%, 7/14/17   543 536,113
Flextronics International Ltd. Delay Draw:      
Term Loan A-2, 2.48%, 10/01/14   20 20,202
Term Loan A-3, 2.48%, 10/01/14   24 23,568
Sensata Technologies Finance Co. LLC,      
Term Loan, 4.00%, 5/11/18   642 642,323
      1,222,206
Energy Equipment & Services — 2.9%      
Dynegy Midwest Generation LLC, Coal Co.      
Term Loan, 9.25%, 8/04/16   482 499,999
Dynegy Power LLC, Gas Co. Term Loan,      
9.25%, 8/04/16   610 638,255
MEG Energy Corp., Term Loan B,      
4.00%, 3/16/18   1,588 1,589,794
Tervita Corp.:      
Incremental Term Loan, 6.50%, 10/17/14   368 367,844
Term Loan B, (FKA CCS Corp.),      
3.23%, 11/14/14   792 777,270
      3,873,162
Food & Staples Retailing — 1.7%      
AB Acquisitions UK Topco 2, Term Loan B1,      
3.52%, 7/09/15 GBP 750 1,123,901
Pilot Travel Centers LLC, Term Loan B2,      
4.25%, 8/07/19 USD 510 511,275

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT23
 

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
 
Food & Staples Retailing (concluded)      
US Foods, Inc. (FKA U.S. Foodservice, Inc.),      
Extended Term Loan B, 5.75%, 3/31/17 USD 661 $ 638,416
      2,273,592
Food Products — 3.0%      
Advance Pierre Foods:      
Term Loan (First Lien), 7.00%, 9/30/16   824 827,822
Term Loan (Second Lien),      
11.25%, 9/29/17   550 553,300
Del Monte Foods Co., Term Loan,      
4.50%, 3/08/18   1,130 1,114,339
Michael Foods Group, Inc., Term Loan,      
4.25%, 2/23/18   162 161,885
Pinnacle Foods Finance LLC:      
Extended Term Loan B, 3.75%, 10/03/16   45 44,150
Term Loan E, 4.75%, 10/17/18   547 544,600
Solvest Ltd. (Dole):      
Term Loan B-2, 5.00%–6.00%, 7/06/18   265 265,347
Term Loan C-2, 5.00%–6.00%, 7/06/18   474 474,833
      3,986,276
Health Care Equipment & Supplies — 5.2%      
Bausch & Lomb, Inc., Term Loan B,      
5.25%, 5/17/19   1,405 1,409,679
Biomet, Inc., Term Loan B,      
3.23%–3.47%, 3/25/15   193 192,468
BSN Medical Acquisition Holding GmbH,      
Term Loan B, 6.00%, 7/27/19   405 406,013
DJO Finance LLC:      
Extended Term Loan B2, 5.23%, 11/01/16   199 198,765
Term Loan B3, 6.25%, 9/15/17   1,117 1,118,127
Hologic, Inc., Term Loan B, 4.50%, 8/01/19   1,850 1,861,230
Hupah Finance, Inc., Term Loan B,      
6.25%, 1/21/19   379 380,471
Iasis Healthcare LLC, Term Loan,      
5.00%, 5/03/18   368 361,693
Immucor, Inc., Term Loan B, 7.25%, 8/17/18   868 871,694
LHP Hospital Group, Inc., Term Loan,      
9.00%, 7/03/18   225 226,688
      7,026,828
Health Care Providers & Services — 4.7%      
Community Health Systems, Inc., Extended      
Term Loan B, 3.92%–3.96%, 1/25/17   35 35,363
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16   581 581,894
DaVita, Inc.:      
Term Loan B, 4.50%, 10/20/16   917 919,637
Term Loan B2, 4.00%, 9/02/19   660 656,806
Emergency Medical Services Corp., Term Loan,      
5.25%, 5/25/18   695 694,246
Harden Healthcare LLC:      
Add on Term Loan A, 7.75%, 3/02/15   469 454,188
Term Loan A, 8.50%, 3/02/15   294 288,005
HCA, Inc.:      
Extended Term Loan B3, 3.48%, 5/01/18   354 347,982
Tranche B-2 Term Loan, 3.71%, 3/31/17   57 55,927
inVentiv Health, Inc.:      
Combined Term Loan, 6.50%, 8/04/16   277 257,959
Incremental Term Loan B-3,      
6.75%, 5/15/18   540 503,444
Medpace, Inc., Term Loan,      
6.50%–7.25%, 6/16/17   574 548,597
Sheridan Holdings, Inc., First Lien Term Loan,      
6.00%, 6/29/18   315 315,262
US Renal Care, Inc., First Lien Term Loan,      
6.25%–7.25%, 7/02/19   545 549,088

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Health Care Providers & Services (concluded)      
Vanguard Health Holding Co. II LLC (Vanguard      
Health Systems, Inc.), Term Loan B,      
5.00%, 1/29/16 USD 65 $ 64,796
      6,273,194
Health Care Technology — 1.4%      
IMS Health, Inc., Term Loan B,      
4.50%, 8/25/17   580 582,072
Kinetic Concepts, Inc., Term Loan B,      
7.00%, 5/04/18   971 978,898
MedAssets, Inc., Term Loan, 5.25%, 11/16/16   341 342,200
      1,903,170
Hotels, Restaurants & Leisure — 7.0%      
Alpha D2 Ltd., Term Loan B, 5.75%, 4/28/17   658 661,773
Ameristar Casinos, Inc., Term Loan B,      
4.00%, 4/16/18   588 588,775
Boyd Gaming Corp., Incremental Term Loan,      
6.00%, 12/17/15   414 417,707
Caesars Entertainment Operating Co., Inc.:      
Extended Term Loan B6, 5.49%, 1/26/18   100 87,906
Incremental Term Loan B4,      
9.50%, 10/31/16   634 646,057
Term Loan B1, 3.24%, 1/28/15   3 3,238
Term Loan B3, 3.24%–3.46%, 1/28/15   2,543 2,411,538
DineEquity, Inc., Term Loan B,      
4.25%–5.25%, 10/19/17   37 37,170
Dunkin’ Brands, Inc., Term Loan B2,      
4.00%, 11/23/17   1,180 1,167,023
Golden Living, Term Loan, 5.00%, 5/04/18   152 144,894
OSI Restaurant Partners LLC:      
Revolver, 2.49%–4.50%, 6/14/13   4 4,454
Term Loan B, 2.56%, 6/14/14   45 44,893
Sabre, Inc., Non-Extended Initial Term Loan,      
2.23%, 9/30/14   156 154,256
SeaWorld Parks & Entertainment, Inc. (FKA SW      
Acquisitions Co., Inc.), Term Loan B,      
4.00%, 8/17/17   465 465,322
Six Flags Theme Parks, Inc., Term Loan B,      
4.25%, 12/20/18   735 736,720
Station Casinos, Inc., Term Loan B1,      
3.23%, 6/17/16   413 392,691
Twin River Worldwide Holdings, Inc., Term Loan,      
8.50%, 11/05/15   340 340,688
Wendy’s International, Inc., Term Loan B,      
4.75%, 5/15/19   1,135 1,140,062
      9,445,167
Household Products — 0.5%      
Prestige Brands, Inc., Term Loan,      
5.25%–6.25%, 1/31/19   621 625,386
Independent Power Producers & Energy Traders — 1.0%    
The AES Corp., Term Loan, 4.25%, 6/01/18   988 989,969
Calpine Corp., Term Loan B, 4.50%, 4/02/18   225 225,310
GenOn Energy, Inc., Term Loan B,      
6.00%, 12/01/17   135 135,965
      1,351,244
Industrial Conglomerates — 1.9%      
Sequa Corp.:      
Incremental Term Loan, 6.25%, 12/03/14   209 209,197
Term Loan, 3.69%–3.72%, 12/03/14   2,387 2,370,212
      2,579,409
Insurance — 0.8%      
Asurion LLC, Term Loan (First Lien),      
5.50%, 5/24/18   318 318,384

 

See Notes to Financial Statements.

24ANNUAL REPORTAUGUST 31, 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
Insurance (concluded)      
CNO Financial Group, Inc., Term Loan B,      
6.25%, 9/30/16 USD 716 $ 717,687
      1,036,071
Internet Software & Services — 0.4%      
Web.com Group, Inc., Term Loan B,      
7.00%, 10/27/17   557 554,189
IT Services — 5.4%      
Ceridian Corp., Extended Term Loan,      
5.99%, 5/09/17   737 736,354
First Data Corp.:      
Extended 2018 Term Loan B,      
4.24%, 3/23/18   3,059 2,888,604
Non-Extended Term Loan B-1,      
2.99%, 9/24/14   139 137,101
Non-Extended Term Loan B-3,      
2.99%, 9/24/14   46 44,978
Genpact International, Inc., Term Loan B,      
4.25%, 8/16/19   805 805,000
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18   345 305,143
iPayment, Inc., Term Loan B, 5.75%, 5/08/17   330 330,500
Neustar, Inc., Term Loan B, 5.00%, 11/08/18   432 433,896
SunGard Data Systems, Inc. (Solar Capital      
Corp.), Term Loan B,      
3.86%–4.06%, 2/26/16   150 149,788
TransUnion LLC, Term Loan B, 5.50%, 2/12/18   1,450 1,459,344
      7,290,708
Leisure Equipment & Products — 1.2%      
Eastman Kodak Co., DIP Term Loan B,      
8.50%, 7/19/13   541 536,621
EB Sports Corp., Term Loan,      
11.50%, 12/31/15   562 551,026
FGI Operating Company, LLC, Term Loan,      
5.50%–6.50%, 4/19/19   510 511,596
      1,599,243
Machinery — 2.9%      
Intelligrated, Inc., First Lien Term Loan,      
6.75%, 7/30/18   500 495,000
Navistar International Corp., Term Loan B,      
7.00%, 8/17/17   461 462,794
Rexnord Corp., Term Loan B, 5.00%, 4/02/18   348 349,618
Terex Corp.:      
Term Loan, 6.00%, 4/28/17 EUR 65 80,738
Term Loan B, 5.50%, 4/28/17 USD 636 638,726
Tomkins LLC, Term Loan B, 4.25%, 9/29/16   1,287 1,290,282
Wabash National Corp., Term Loan B,      
6.00%, 5/02/19   579 582,166
      3,899,324
Media — 16.3%      
Acosta, Inc., Term Loan B, 5.75%, 3/01/18   246 246,591
Affinion Group, Inc., Term Loan B,      
5.00%, 7/16/15   268 227,587
AMC Entertainment, Inc., Term Loan B3,      
4.25%, 2/22/18   348 348,598
AMC Networks, Inc., Term Loan B,      
4.00%, 12/31/18   792 791,509
Atlantic Broadband Finance LLC, 1st Lien Term      
Loan, 5.25%, 4/04/19   485 485,456
BBHI Acquisition LLC (FKA Bresnan      
Telecommunications Co. LLC), Term Loan B,      
4.50%, 12/14/17   1,172 1,175,306
Capsugel Holdings US, Inc., Term Loan B,      
4.75%, 8/01/18   602 603,227
Catalina Marketing Corp., Extended Term Loan      
B, 5.73%, 9/29/17   567 559,456

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Media (concluded)      
Cengage Learning Acquisitions, Inc.:      
Non-Extended Term Loan, 2.49%, 7/03/14 USD 74 $ 68,305
Tranche 1 Incremental, 7.50%, 7/03/14   475 457,100
Charter Communications Operating LLC:      
Extended Term Loan C, 3.49%, 9/06/16   788 785,815
Term Loan D, 4.00%, 5/15/19   307 306,475
Clarke American Corp., Term Facility B,      
2.73%–2.96%, 6/30/14   65 57,849
Clear Channel Communications, Inc.:      
Term Loan B, 3.88%, 1/28/16   1,060 821,193
Term Loan C, 3.88%, 1/28/16   167 127,277
Cumulus Media, Inc., First Lien Term Loan,      
5.75%, 9/17/18   547 548,008
EMI Music Publishing Ltd., Term Loan B,      
5.50%, 6/29/18   475 478,206
Gray Television, Inc., Term Loan B,      
3.75%, 12/31/14   677 672,944
Houghton Mifflin Harcourt Publishing Co.,      
DIP Term Loan B, 7.25%, 6/01/18   459 464,012
Hubbard Broadcasting, Term Loan B,      
5.25%, 4/28/17   438 438,970
Intelsat Jackson Holdings SA (FKA Intelsat      
Jackson Holdings Ltd.), Tranche B Term Loan,      
5.25%, 4/02/18   2,698 2,706,938
Interactive Data Corp., Term Loan B,      
4.50%, 2/12/18   1,411 1,412,810
Kabel Deutschland GmbH, Term Loan F,      
4.25%, 2/01/19   810 808,534
Lavena Holding 4 GmbH (Prosiebensat.1      
Media AG), Term Loan B, 2.95%, 3/06/15 EUR 304 349,790
LIN Television Corp., Term Loan B,      
5.00%, 12/21/18 USD 343 345,208
Newsday LLC, Fixed Rate Term Loan,      
10.50%, 8/01/13   2,000 2,010,840
Nielsen Finance LLC, Class B Term Loan,      
3.99%, 5/02/16   671 673,338
Sinclair Television Group, Inc., Term Loan B,      
4.00%, 10/28/16   590 589,907
Univision Communications, Inc., Extended      
Term Loan, 4.48%, 3/31/17   912 881,739
UPC Broadband Holding BV, Term Loan U,      
4.15%, 12/29/17 EUR 209 261,735
UPC Financing Partnership:      
Term Loan, 4.75%, 12/29/17 USD 415 416,212
Term Loan T, 3.75%, 12/30/16   88 87,512
WC Luxco Sarl, Term Loan B3,      
4.25%, 3/15/18   185 184,085
Weather Channel, Term Loan B,      
4.25%, 2/13/17   890 892,566
WideOpenWest Finance LLC, First Lien Term      
Loan, 6.25%, 7/17/18   545 544,662
      21,829,760
Metals & Mining — 2.6%      
Constellium Holdco BV, Term Loan B,      
9.25%, 5/25/18   545 534,100
Novelis, Inc., Term Loan, 4.00%, 3/10/17   1,218 1,210,759
SunCoke Energy, Inc., Term Loan B,      
4.00%, 7/26/18   446 443,273
Walter Energy, Inc., Term Loan B,      
4.00%, 4/02/18   1,334 1,311,097
      3,499,229
Multiline Retail — 2.2%      
99¢ Only Stores, Term Loan,      
5.25%, 1/11/19   547 550,324
Dollar General Corp., Tranche B-2 Term Loan,      
2.98%, 7/07/14   270 270,766

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT25
 

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
Multiline Retail (concluded)      
Hema Holding BV, Second Lien Term Loan,      
5.14%, 1/05/17 EUR 1,400 $ 1,650,862
The Neiman Marcus Group, Inc., Term Loan,      
4.75%, 5/16/18 USD 455 455,000
      2,926,952
Oil, Gas & Consumable Fuels — 2.3%      
Chesapeake Energy Corp., Unsecured Term      
Loan, 8.50%, 12/01/17   975 977,096
Everest Acquisition LLC, Term Loan B1,      
6.50%, 4/24/18   695 696,738
Gibson Energy ULC, Term Loan B,      
4.75%, 6/15/18   787 789,603
Obsidian Natural Gas Trust, Term Loan,      
7.00%, 11/02/15   581 580,608
      3,044,045
Paper & Forest Products — 0.3%      
Ainsworth Lumber Co. Ltd., Term Loan,      
5.25%, 6/26/14   185 178,988
NewPage Corp., DIP Term Loan,      
8.00%, 3/07/13   200 201,876
      380,864
Pharmaceuticals — 4.1%      
Aptalis Pharma, Inc., Term Loan B,      
5.50%, 2/10/17   1,169 1,164,865
Pharmaceutical Product Development, Inc.,      
Term Loan B, 6.25%, 12/05/18   1,473 1,489,526
Quintiles Transnational Corp., Term Loan B,      
5.00%, 6/08/18   683 684,384
RPI Finance Trust:      
Incremental Tranche 2, 4.00%, 11/09/18   95 94,862
Term Loan Tranche 2, 4.00%, 5/09/18   494 494,517
Valeant Pharmaceuticals International, Inc.:      
Add-On Term Loan B, 4.75%, 2/13/19   623 624,358
Series A Tranche B, 4.75%, 2/13/19   460 461,067
Warner Chilcott Corp.:      
Incremental Term Loan B-1,      
4.25%, 3/15/18   102 101,681
Term Loan B-1, 4.25%, 3/15/18   269 267,760
Term Loan B-2, 4.25%, 3/15/18   135 133,880
      5,516,900
Professional Services — 1.8%      
Booz Allen Hamilton, Inc., Term Loan B,      
4.50%, 7/31/19   680 680,850
Emdeon, Inc., Term Loan B1,      
5.00%, 11/02/18   861 861,678
ON Assignment, Inc., Term Loan B,      
5.00%, 5/15/19   282 280,554
Truven Health Analytics, Term Loan B,      
6.75%, 6/06/19   635 639,496
      2,462,578
Real Estate Investment Trusts (REITs) — 0.8%      
iStar Financial, Inc.:      
Term Loan A1, 5.00%, 6/28/13   1,043 1,043,334
Term Loan A2, 7.00%, 6/30/14   40 40,038
      1,083,372
Real Estate Management & Development — 1.4%      
Realogy Corp.:      
Extended Letter of Credit Loan,      
4.50%, 10/10/16   77 74,749
Extended Synthetic Letter of Credit,      
3.25%, 10/10/13   27 24,734
Extended Term Loan, 4.49%, 10/10/16   1,823 1,760,245

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Real Estate Management & Development (concluded)      
Stockbridge SBE Holdings LLC, Term Loan B,      
13.00%, 5/02/17 USD 90 $ 89,550
      1,949,278
Road & Rail — 0.7%      
Avis Budget Car Rental LLC, Incremental Term      
Loan, 6.25%, 9/21/18   290 291,875
RailAmerica, Inc., Term Loan B,      
4.00%, 3/01/19   464 463,550
Road Infrastructure Investment LLC,      
Term Loan B, 6.25%, 3/30/18   249 248,128
      1,003,553
Semiconductors & Semiconductor Equipment — 0.8%      
Freescale Semiconductor, Inc., Extended Term      
Loan B, 4.50%, 12/01/16   810 777,469
NXP BV, Term Loan A-2, 5.50%, 3/03/17   357 360,838
      1,138,307
Software — 3.7%      
Blackboard, Inc., Term Loan B,      
7.50%, 10/04/18   244 239,662
Infor US, Inc. (FKA Lawson Software, Inc.),      
Term Loan B, 6.25%, 4/05/18   1,875 1,894,578
Sophia, LP, Term Loan B, 6.25%, 7/19/18   683 688,925
SS&C Technologies, Inc.:      
Term Loan B-1, 5.00%, 6/07/19   944 944,888
Term Loan B-2, 5.00%, 6/07/19   98 97,747
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16   330 329,647
WaveDivision Holdings LLC, Term Loan B,      
5.50%, 8/23/19   740 742,760
      4,938,207
Specialty Retail — 6.4%      
Academy Ltd., Term Loan, 6.00%, 8/03/18   896 898,634
Bass Pro Group LLC, Term Loan,      
5.25%, 6/13/17   594 598,667
Burlington Coat Factory Warehouse Corp., Term      
Loan B1, 5.50%, 2/23/17   151 151,222
Claire’s Stores, Inc., Term Loan B,      
2.98%–3.20%, 5/29/14   848 832,446
General Nutrition Centers, Inc., Term Loan B,      
4.25%, 3/02/18   920 918,703
The Gymboree Corp., Term Loan,      
5.00%, 2/23/18   132 127,346
Harbor Freight Tools USA, Inc., Term Loan B,      
5.50%, 11/14/17   485 484,316
Jo-Ann Stores, Inc., Term Loan,      
4.75%, 3/16/18   275 275,060
Michaels Stores, Inc.:      
Extended Term Loan B3, 5.00%, 7/29/16   223 223,620
Term Loan B2, 5.00%, 7/29/16   671 673,944
Party City Holdings, Inc., Term Loan B,      
5.75%, 7/26/19   895 899,099
PETCO Animal Supplies, Inc., Term Loan,      
4.50%, 11/24/17   1,032 1,032,650
Things Remembered, Inc., Term Loan B,      
8.00%, 5/24/18   330 323,400
Toys ‘R’ Us Delaware, Inc.:      
Incremental Term Loan B2,      
5.25%, 5/25/18   198 189,231
Term Loan, 6.00%, 9/01/16   267 261,680
Term Loan B3, 5.25%, 5/25/18   100 95,760
The Yankee Candle Co., Inc., Term Loan B,      
5.25%, 4/02/19   673 675,925
      8,661,703

 

See Notes to Financial Statements.

26ANNUAL REPORTAUGUST 31, 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
 
Textiles, Apparel & Luxury Goods — 1.2%      
Ascend Performance Materials LLC,      
Term Loan B, 6.75%, 4/10/18 USD 973 $ 963,644
Wolverine Worldwide, Inc., Term Loan B,      
6/26/19   610 613,800
      1,577,444
Wireless Telecommunication Services — 1.8%      
Crown Castle International Corp., Term Loan B,      
4.00%, 1/31/19   292 291,440
MetroPCS Wireless, Inc.:      
Term Loan B-3, 4.00%, 3/16/18   147 146,733
Tranche B-2 Term Loan, 4.07%, 11/03/16   498 497,678
Vodafone Americas Finance 2, Inc. (h):      
Term Loan, 6.88%, 8/11/15   1,211 1,259,443
Term Loan B, 6.25%, 7/11/16   206 210,375
      2,405,669
Total Floating Rate Loan Interests — 127.3%     171,050,270
 
 
    Beneficial  
  Interest  
Other Interests (i)   (000)  
Auto Components — 0.0%      
Intermet Liquidating Trust (d)   256
Chemicals — 0.0%      
Wellman Holdings, Inc., Litigation Trust      
Certificate   3,000 30
Diversified Financial Services — 0.6%      
J.G. Wentworth LLC Preferred Equity      
Interests (d)   —(j) 728,708
Hotels, Restaurants & Leisure — 0.0%      
Buffets, Inc. (d)   360 4
Household Durables — 1.2%      
Stanley Martin, Class B Membership Units (d)   1 1,633,649
Total Other Interests — 1.8%     2,362,391
 
Preferred Securities      
 
Preferred Stocks — 0.1%   Shares  
Diversified Financial Services — 0.1%      
Ally Financial, Inc., 7.00% (a)   270 245,860
 
Trust Preferreds — 0.1%      
Diversified Financial Services — 0.1%      
GMAC Capital Trust I, Series 2,      
8.13%, 2/15/40 (b)   3,160 78,092
Total Preferred Securities — 0.2%     323,952

 

Warrants (k)   Shares Value
Software — 0.0%      
Bankruptcy Management Solutions, Inc.,      
Expires 9/28/17   357
HMH Holdings/EduMedia (Issued/Exercisable      
3/09/10, 19 Shares for 1 Warrant, Expires      
6/22/19, Strike Price $42.27)   591
Total Warrants — 0.0%    
Total Long-Term Investments      
(Cost — $202,231,745) — 146.8%     $ 197,226,759
 
Short-Term Securities      
BlackRock Liquidity Funds, TempFund,      
Institutional Class, 0.15% (l)(m)   1,177,221 1,177,221
Total Short-Term Securities      
(Cost — $1,177,221) — 0.9%     1,177,221
 
Options Purchased   Contracts  
Over-the-Counter Call Options — 0.0%      
Marsico Parent Superholdco LLC, Strike Price      
USD 942.86, Expires 12/14/19, Broker      
Goldman Sachs Group, Inc.   13
Total Options Purchased      
(Cost — $12,711) — 0.0%    
Total Investments (Cost — $203,421,677) — 147.7% 198,403,980
Liabilities in Excess of Other Assets — (47.7)%     (64,072,066)
Net Assets — 100.0%     $ 134,331,914
        

 

(a)Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)Variable rate security. Rate shown is as of report date.
(c)When-issued security. Unsettled when-issued transactions were as follows:
    Unrealized
Counterparty Value Appreciation
Credit Suisse Group AG $323,050

 

(d)Non-income producing security.
(e)Convertible security.
(f)Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(g)Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(h)Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(i)Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(j)Amount is less than $500.
(k)Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT27
 

Consolidated Schedule of Investments (continued) BlackRock Diversified Income Strategies Fund, Inc. (DVF)

 

(l)Investments in issuers considered to be an affiliate of the Fund during the year ended August 31, 2012, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:
  Shares Held at Net Shares Held at  
Affiliate August 31, 2011 Activity August 31, 2012 Income
BlackRock Liquidity        
Funds, TempFund,        
Institutional Class 1,177,221 1,177,221 $588

 

(m) Represents the current yield as of report date.

• Foreign currency exchange contracts as of August 31, 2012 were as follows:

Currency Currency   Settlement Unrealized
Purchased Sold Counterparty Date Depreciation
USD 62,671 GBP 40,000 Citigroup, Inc. 10/17/12 $ (834)
USD 975,680 GBP 628,500 UBS AG 10/17/12 (22,138)
USD 2,900,716 EUR 2,366,000 Citigroup, Inc. 10/22/12 (76,773)
Total           $ (99,745)

 

• Credit default swaps on traded indexes—buy protection outstanding as of August 31, 2012 were as follows:

Index Pay Counterparty Expiration Notional Unrealized
  Fixed   Date Amount Depreciation
  Rate     (000)  
Dow Jones 5.00% JPMorgan 6/20/17 USD 1,733 $(70,339)
CDX North   Chase & Co.      
America High          
Yield Index          
Series 18,          
Version 2          

 

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 instrument. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes as follows:
Level1—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)
Level3—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 instrument)

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instrument is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with 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 Fund’s investments and derivative financial instrument categorized in the disclosure hierarchy as of August 31, 2012:

   Level 1  Level 2  Level 3  Total
Assets:            
Investments:            
Long-Term Investments:               
Asset-Backed                    
Securities          $3,044,762   $3,044,762 
Common                    
Stocks  $1,051,119   $492,915    1,128,317    2,672,351 
Corporate                    
Bonds       17,598,313    174,720    17,773,033 
Floating                    
Rate Loan                    
Interests       159,237,029    11,813,241    171,050,270 
Other Interests           2,362,391    2,362,391 
Preferred                    
Securities.   78,092    245,860        323,952 
Short-Term                    
Securities   1,177,221            1,177,221 
Total  $2,306,432   $177,574,117   $18,523,431   $198,403,980 

 

 
    Level 1    Level 2    Level 3    Total 
Derivative Financial Instruments1                    
Liabilities:                    
Foreign currency                    
exchange                    
contracts      $(99,745)      $(99,745)
Credit                    
contracts       (70,339)       (70,339)
Total      $(170,084)      $(170,084)

 

1Derivative financial instruments are swaps, financial futures contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.

Certain of the Fund’s assets and liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of August 31, 2012 such assets and liabilities are categorized within the disclosure hierarchy as follows:

   Level 1  Level 2  Level 3  Total
Assets:                    
Cash  $23,952           $23,952 
Foreign currency                    
     at value   29,476            29,476 
Liabilities:                    
Loan payable      $(60,000,000)       (60,000,000)
Total  $53,428   $(60,000,000)      $(59,946,572)

 

There were no transfers between Level 1 and Level 2 during the year ended August 31, 2012.

See Notes to Financial Statements.

28ANNUAL REPORTAUGUST 31, 2012
 

Consolidated Schedule of Investments (concluded) BlackRock Diversified Income Strategies Fund, Inc. (DVF)

 

The following table summarizes the valuation techniques used and unobservable inputs developed by the Global Valuation Committee to determine the value of certain of the Fund’s Level 3 investments as of August 31, 2012:

         Range of Weighted Average of
  Value  Valuation Techniques Unobservable Inputs 1 Unobservable Inputs Unobservable Inputs 2
Assets:           
Common Stocks $1,128,312  Market Comparable Companies EBITDA Multiple 5.9x 5.9x
       Forward EBITDA Multiple 4.6x 4.6x
Floating Rate Loan Interests 1,542,193  Market Comparable Companies Yield 9.65% 9.65%
     Cost N/A 3
Other Interests. 1,633,649  Market Comparable Companies Tangible Book Value Multiple 1.44x 1.44x
Total4 $4,304,154         

 

1A change to the unobservable input may result in a significant change to the value of the investment as follows:
  Impact to Impact to
Unobservable Input Value if Input Increases Value if Input Decreases
EBITDA Multiple Increase Decrease
Forward EBITDA Multiple Increase Decrease
Tangible Book Value Multiple Increase Decrease
Yield Decrease Increase

 

2Unobservable inputs are weighted based on the value of the investments included in the range.
3The Fund fair values certain of its Level 3 investments using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate. Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the private companies being valued, financial or operational information released by the company, and/or news or corporate events that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued by the Fund.
4Does not include Level 3 investments with values derived utilizing prices from recent prior transactions or third party pricing information without adjustment for which such inputs are unobservable. See above valuation input table for values of such Level 3 investments. A significant change in third party pricing information could result in a significantly lower or higher value in such Level 3 investments.

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

   Asset-Backed  Common  Corporate  Floating
Rate
Loan
  Other      
   Securities  Stocks  Bonds  Interests  Interests  Warrants  Total
Assets:                                   
Opening balance, as of August 31, 2011  $2,753,115   $1,701,248   $1,621,040   $12,355,482   $2,550,707   $7   $20,981,599 
Transfers into Level 35       3        812,985            812,988 
Transfers out of Level 36               (6,717,669)           (6,717,669)
Accrued discounts/premiums   38,599        2,251    25,434            66,284 
Net realized gain (loss)   (48,393)   (523,489)   (2,483,821)   20,906    553,993    (107,610)   (2,588,414)
Net change in unrealized appreciation/depreciation7 .   97,411    (178,802)   2,536,709    223,641    339,443    107,603    3,126,005 
Purchases   2,575,485    136,539        5,994,593            8,706,617 
Sales   (2,371,455)   (7,182)   (1,501,459)   (902,131)   (1,081,752)       (5,863,979)
Closing Balance, as of August 31, 2012  $3,044,762   $1,128,317   $174,720   $11,813,241   $2,362,391       $18,523,431 

 

5As of August 31, 2011, the Fund used observable inputs in determining the value of certain investments. As of August 31, 2012, the Fund used significant unobservable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $812,988 transferred from Level 2 to Level 3 in the disclosure hierarchy.
6As of August 31, 2011, the Fund used significant unobservable inputs in determining the value of certain investments. As of August 31, 2012, the Fund used observable inputs in determining the value on the same investments. As a result, investments with a beginning of year value of $6,717,669 transferred from Level 3 to Level 2 in the disclosure hierarchy.
7Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on securities still held as of August 31, 2012 was $647,964.

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT29
 

Consolidated Schedule of Investments August 31, 2012 BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
  (Percentages shown are based on Net Assets)

 

    Par  
Asset-Backed Securities   (000) Value
Fraser Sullivan CLO Ltd., Series 2012-7A,      
Class C, 4.47%, 4/20/23 (a)(b) USD 470 $ 417,642
Gannett Peak CLO Ltd., Series 2006-1X,      
Class A2, 0.81%, 10/27/20 (b)   575 484,438
Goldentree Loan Opportunities VI Ltd.,      
Series 2012-6A, Class D,      
4.66%, 4/17/22 (a)(b)   775 704,552
Goldman Sachs Asset Management CLO Plc,      
Series 2007-1A, Class B,      
0.89%, 8/01/22 (a)(b)   1,255 1,060,475
Highbridge Loan Management Ltd.,      
Series 2012-1A, Class C,      
5.71%, 9/20/22 (a)(b)(c)   750 692,250
ING Investment Management, Series 2012-2A,      
Class D, 4.99%, 10/15/22 (a)(b)   775 690,998
LCM LP, Series 11A, Class D2,      
4.41%, 4/19/22 (a)(b)   800 700,000
MAPS CLO Fund LLC, Series 2005-1A, Class C,      
1.42%, 12/21/17 (a)(b)   575 545,502
Race Point CLO, Series 2012-6A, Class D,      
4.93%, 5/24/23 (a)(b)   550 497,035
Symphony CLO Ltd. (a)(b):      
Series 2012-10A, Class D,      
5.69%, 7/23/23   750 693,750
Series 2012-9A, Class D, 4.71%, 4/16/22   625 557,000
Total Asset-Backed Securities — 2.5%     7,043,642
 
Common Stocks (d)   Shares  
Auto Components — 0.3%      
Delphi Automotive Plc   31,554 955,774
Chemicals — 0.0%      
GEO Specialty Chemicals, Inc. (a)   13,117 6,034
Electrical Equipment — 0.0%      
Medis Technologies Ltd.   71,654 215
Paper & Forest Products — 0.3%      
Ainsworth Lumber Co. Ltd. 133,089 291,628
Ainsworth Lumber Co. Ltd. (a) 152,951 335,150
Western Forest Products, Inc.   84,448 91,665
      718,443
Software — 0.3%      
HMH Holdings/EduMedia   32,192 788,716
Total Common Stocks — 0.9%     2,469,182
 
    Par  
Corporate Bonds   (000)  
Airlines — 0.1%      
American Airlines Pass-Through Trust,      
Series 2011-2, Class A, 8.63%, 4/15/23 USD 268 283,923
Delta Air Lines, Inc., Series 2009-1-B,      
9.75%, 6/17/18   107 115,220
      399,143
Auto Components — 0.8%      
Icahn Enterprises LP:      
7.75%, 1/15/16   1,535 1,611,750
8.00%, 1/15/18   680 724,200
      2,335,950
Chemicals — 0.9%      
GEO Specialty Chemicals, Inc.:      
7.50%, 3/31/15   857 1,028,384
10.00%, 3/31/15   987 987,390

 

    Par  
Corporate Bonds   (000) Value
 
Chemicals (concluded)      
Hexion US Finance Corp., 6.63%, 4/15/20 USD 280 $ 282,800
INEOS Finance Plc, 8.38%, 2/15/19 (a)   230 242,075
      2,540,649
Commercial Services & Supplies — 0.3%      
ARAMARK Corp., 3.94%, 2/01/15 (b)   135 134,662
AWAS Aviation Capital Ltd.,      
7.00%, 10/17/16 (a)   663 698,984
Brickman Group Holdings, Inc.,      
9.13%, 11/01/18 (a)   26 26,260
      859,906
Communications Equipment — 0.5%      
Zayo Group LLC/Zayo Capital, Inc.:      
8.13%, 1/01/20   820 871,250
10.13%, 7/01/20   540 579,150
      1,450,400
Consumer Finance — 0.3%      
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)   775 842,813
Containers & Packaging — 0.1%      
OI European Group BV, 6.88%, 3/31/17 EUR 143 185,711
Diversified Financial Services — 0.8%      
Ally Financial, Inc., 2.67%, 12/01/14 (b) USD 1,120 1,100,803
Reynolds Group Issuer, Inc.:      
7.75%, 10/15/16 EUR 472 612,976
6.88%, 2/15/21 USD 530 573,725
      2,287,504
Diversified Telecommunication Services — 0.2%      
ITC Deltacom, Inc., 10.50%, 4/01/16   430 463,325
Energy Equipment & Services — 0.1%      
FTS International Services LLC / FTS      
International Bonds Inc.,      
8.13%, 11/15/18 (a)   340 351,050
Health Care Equipment & Supplies — 0.2%      
DJO Finance LLC:      
10.88%, 11/15/14   263 274,506
7.75%, 4/15/18   210 192,150
      466,656
Health Care Providers & Services — 0.8%      
CHS/Community Health Systems, Inc.,      
5.13%, 8/15/18   778 802,312
HCA, Inc., 6.50%, 2/15/20   865 950,419
Tenet Healthcare Corp., 8.88%, 7/01/19   380 432,250
      2,184,981
Health Care Technology — 0.8%      
IMS Health, Inc., 12.50%, 3/01/18 (a)   1,860 2,185,500
Hotels, Restaurants & Leisure — 0.1%      
Little Traverse Bay Bands of Odawa Indians,      
9.00%, 8/31/20 (a)   373 339,430
Household Durables — 0.2%      
Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)   395 403,888
Independent Power Producers & Energy Traders — 1.9%      
Calpine Corp., 7.25%, 10/15/17 (a)   1,180 1,262,600
Energy Future Holdings Corp.,      
10.00%, 1/15/20   725 799,313
Energy Future Intermediate Holding Co. LLC,      
10.00%, 12/01/20   2,875 3,227,187
      5,289,100
Industrial Conglomerates — 0.6%      
Sequa Corp., 13.50%, 12/01/15 (a)   1,557 1,650,776

 

See Notes to Financial Statements.

30ANNUAL REPORTAUGUST 31, 2012
 

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

 

    Par  
Corporate Bonds   (000) Value
IT Services — 0.2%      
First Data Corp., 6.75%, 11/01/20 (a) USD 535 $ 530,988
Machinery — 0.1%      
UR Financing Escrow Corp.,      
5.75%, 7/15/18 (a)   175 185,063
Media — 2.1%      
AMC Networks, Inc., 7.75%, 7/15/21   225 254,813
Checkout Holding Corp.,      
16.03%, 11/15/15 (a)(e)   665 405,650
Clear Channel Worldwide Holdings, Inc.:      
Series A, 9.25%, 12/15/17   401 434,082
Series B, 9.25%, 12/15/17   1,834 1,992,182
NAI Entertainment Holdings LLC,      
8.25%, 12/15/17 (a)   553 616,595
Unitymedia Hessen GmbH & Co. KG,      
8.13%, 12/01/17 (a)   2,000 2,165,000
      5,868,322
Oil, Gas & Consumable Fuels — 0.2%      
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)   275 292,875
EP Energy LLC/EP Energy Finance, Inc.,      
6.88%, 5/01/19 (a)   315 337,838
      630,713
Paper & Forest Products — 0.3%      
Ainsworth Lumber Co. Ltd.,      
11.00%, 7/29/15 (a)(f)   576 523,849
Longview Fibre Paper & Packaging, Inc.,      
8.00%, 6/01/16 (a)   340 351,900
      875,749
Pharmaceuticals — 0.2%      
Valeant Pharmaceuticals International,      
6.50%, 7/15/16 (a)   395 416,725
Real Estate Management & Development — 0.2%      
Realogy Corp., 7.63%, 1/15/20 (a)   365 397,850
Wireless Telecommunication Services — 2.2%      
Cricket Communications, Inc., 7.75%, 5/15/16   1,700 1,793,500
Digicel Group Ltd. (a):      
9.13%, 1/15/15   278 280,780
8.25%, 9/01/17   315 333,900
iPCS, Inc., 2.57%, 5/01/13 (b)   1,500 1,488,750
Sprint Nextel Corp. (a):      
9.00%, 11/15/18   750 885,000
7.00%, 3/01/20   1,195 1,308,525
      6,090,455
Total Corporate Bonds — 14.2%     39,232,647
 
Floating Rate Loan Interests (b)      
Aerospace & Defense — 1.6%      
DynCorp International, Term      
Loan B, 6.25% , 7/07/16   703 701,684
SI Organization, Inc., Term Loan B, 4.50%,      
11/22/16   832 809,051
Spirit Aerosystems, Inc., Term      
Loan B, 3.75%, 4/18/19   793 794,337
TransDigm, Inc.:      
Add on Term Loan B2, 4.00%, 2/14/17   443 445,175
Term Loan B, 4.00%, 2/14/17   1,134 1,137,799
Wesco Aircraft Hardware Corp., Term Loan B,      
4.25%, 4/07/17   650 649,435
      4,537,481

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Airlines — 0.8%      
Delta Air Lines, Inc., Credit, Term Loan B,      
5.50%, 4/20/17 USD 2,075 $ 2,090,155
US Airways Group, Inc., Term Loan,      
2.74%, 3/21/14   125 120,781
      2,210,936
Auto Components — 2.8%      
Autoparts Holdings Ltd., First Lien Term Loan,      
6.50%, 7/28/17   1,439 1,410,343
Federal-Mogul Corp.:      
Term Loan B, 2.17%–2.18%, 12/29/14   1,886 1,799,422
Term Loan C, 2.17%–2.18%, 12/28/15   639 610,150
The Goodyear Tire & Rubber Co., Term Loan      
(Second Lien), 4.75%, 4/30/19   2,490 2,480,662
GPX International Tire Corp. (d)(g):      
Term Loan, 8.37%, 3/30/12   549
Term Loan, 12.00%, 3/30/12   9
Schaeffler AG, Term Loan C2, 6.00%, 1/27/17   785 787,292
UCI International, Inc., Term Loan B,      
5.50%, 7/26/17   739 740,597
      7,828,466
Biotechnology — 0.5%      
Grifols, Inc., Term Loan B, 4.50%, 6/01/17   1,345 1,348,078
Building Products — 3.2%      
Armstrong World Industries, Inc., Term Loan B,      
4.00%, 3/09/18   1,844 1,838,254
CPG International, Inc., Term      
Loan B, 6.00%, 2/18/17   1,773 1,744,189
Goodman Global, Inc., Initial Term Loan (First      
Lien), 5.75%, 10/28/16   4,421 4,425,349
Momentive Performance Materials, Inc.      
(Nautilus), Extended Term Loan,      
3.62%, 5/05/15 EUR 641 738,546
      8,746,338
Capital Markets — 2.0%      
American Capital Holdings, Term Loan,      
5.50%, 7/19/16 USD 1,114 1,118,177
HarbourVest Partners LLC, Term Loan B,      
6.25%, 12/16/16   1,508 1,506,163
Nuveen Investments, Inc.:      
Extended (First Lien), Term Loan,      
5.95%–5.96%, 5/13/17   897 897,639
Extended Term Loan, 5.92%–5.96%,      
5/12/17   1,753 1,757,852
Incremental Term Loan, 7.25%, 5/13/17   345 346,553
      5,626,384
Chemicals — 6.1%      
American Rock Salt Holdings LLC, Term Loan,      
5.50%, 4/25/17   1,210 1,174,607
Ashland, Inc., Term Loan B, 3.75%, 8/23/18   605 606,543
Chemtura Corp., Exit Term Loan B,      
5.50%, 8/27/16   1,400 1,404,088
Evergreen Acqco 1 LP, Term      
Loan B, 6.25%, 7/09/19   765 772,176
Gentek, Inc., Term Loan, 5.00%–5.75%,      
10/06/15   838 833,913
INEOS US Finance LLC:      
3 Year Term Loan, 5.50%, 5/04/15   195 195,971
6 Year Term Loan, 6.50%, 5/04/18   4,100 4,106,474
MacDermid, Inc., Tranche C Term Loan,      
2.32%, 4/11/14 EUR 479 596,069
Nexeo Solutions LLC, Term Loan B,      
5.00%, 9/08/17 USD 1,185 1,153,159
PolyOne Corp., Term Loan, 5.00%, 12/20/17   403 404,184
PQ Corp. (FKA Niagara Acquisition, Inc.),      
Term Loan B, 3.98%, 7/30/14   2,375 2,332,057

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT31
 

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

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Chemicals (concluded)      
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17 USD 545 $ 507,585
Tronox, Inc.:      
Delayed Draw Term Loan, 4.25%, 2/08/18   342 340,962
Term Loan B, 4.25%, 2/08/18   1,253 1,250,194
Univar, Inc., Term Loan B, 5.00%, 6/30/17   1,301 1,292,569
      16,970,551
Commercial Services & Supplies — 5.5%      
ACCO Brands Corp., Term Loan B,      
4.25%, 4/30/19   1,861 1,859,106
Altegrity, Inc. (FKA US Investigations      
Services, Inc.), Tranche D Term Loan,      
7.75%, 2/20/15   1,468 1,460,380
ARAMARK Corp.:      
Extended Term Loan B, 3.48%, 7/26/16   358 356,422
Extended Term Loan C,      
3.48%–3.71%, 7/26/16   203 202,119
Letter of Credit, 3.50%, 7/26/16   24 23,440
Letter of Credit Facility, 3.50%, 7/26/16   16 16,281
AWAS Finance Luxembourg 2012 SA,      
Term Loan, 5.75%, 7/16/18   660 660,000
AWAS Finance Luxembourg Sarl, Term Loan B,      
5.25%, 6/10/16   811 811,023
Delos Aircraft, Inc., Term Loan B2,      
4.75%, 4/12/16   1,875 1,893,750
KAR Auction Services, Inc., Term Loan B,      
5.00%, 5/19/17   2,571 2,570,458
Protection One, Inc., Term Loan,      
5.75%, 3/21/19   1,217 1,229,120
Synagro Technologies, Inc., Term Loan B,      
2.24%, 4/02/14   1,504 1,333,747
Volume Services America, Inc., Term Loan B,      
10.50%–10.75%, 9/16/16   983 982,500
West Corp., Term Loan B6, 5.75%, 6/02/18   1,950 1,956,103
      15,354,449
Communications Equipment — 3.5%      
Avaya, Inc.:      
Extended Term Loan B3, 4.93%, 10/26/17   281 251,065
Term Loan B1, 3.18%, 10/24/14   1,744 1,674,531
CommScope, Inc., Term Loan,      
4.25%, 1/12/18   1,579 1,578,006
Telesat Canada, Term Loan A, 4.41%, 3/24/17 CAD 1,630 1,579,153
Zayo Group, LLC, Term Loan B,      
7.13%, 7/02/19 USD 4,525 4,591,472
      9,674,227
Construction & Engineering — 0.9%      
BakerCorp. International, Inc., Term Loan B,      
4.75%, 6/01/18   856 852,711
Safway Services LLC, First Out Term Loan,      
9.00%, 12/16/17   1,700 1,700,000
      2,552,711
Construction Materials — 2.0%      
HD Supply, Inc., Senior Debt B,      
7.25%, 10/12/17   5,460 5,578,318
Consumer Finance — 0.8%      
Springleaf Financial Funding Co. (FKA AGFS      
Funding Co.), Term Loan, 5.50%, 5/10/17   2,300 2,221,225
Containers & Packaging — 0.5%      
Sealed Air Corp., Term Loan B,      
4.75%, 10/03/18   1,323 1,330,372
Diversified Consumer Services — 3.3%      
Coinmach Service Corp., Term Loan B,      
3.33%, 11/20/14   2,452 2,352,779
Education Management LLC, Term Loan C3,      
8.25%, 3/29/18   668 588,004

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Diversified Consumer Services (concluded)      
Laureate Education, Inc., Extended Term Loan,      
5.25%, 6/18/18 USD 2,217 $ 2,162,021
ServiceMaster Co.:      
Delayed Draw Term Loan, 2.74%, 7/24/14   238 236,146
Term Loan, 2.75%–2.97%, 7/24/14   2,387 2,371,381
Weight Watchers International, Inc.,      
Term Loan F, 4.00%, 3/15/19   1,306 1,290,108
      9,000,439
Diversified Financial Services — 1.8%      
Residential Capital LLC:      
DIP Term Loan A1, 5.00%, 11/18/13   1,265 1,268,163
DIP Term Loan A2, 6.75%, 11/18/13   185 187,159
Reynolds Group Holdings, Inc.:      
Term Loan B, 6.50%, 2/09/18   1,397 1,404,887
Term Loan C, 6.50%, 8/09/18   2,227 2,254,760
      5,114,969
Diversified Telecommunication Services — 4.4%      
Hawaiian Telcom Communications, Inc.,      
Term Loan B, 7.00%, 2/28/17   1,095 1,108,688
Integra Telecom Holdings, Inc., Term Loan B,      
9.25%, 4/15/15   1,593 1,568,612
Level 3 Financing, Inc.:      
2016 Term Loan B, 4.75%, 2/01/16   1,675 1,678,350
2019 Term Loan B, 5.25%, 8/01/19   1,370 1,372,000
Term Loan B2, 5.75%, 9/03/18   3,425 3,434,042
Term Loan B3, 5.75%, 8/31/18   1,475 1,478,894
US Telepacific Corp., Term Loan B,      
5.75%, 2/23/17   1,483 1,416,900
      12,057,486
Electronic Equipment, Instruments & Components — 0.9%    
CDW LLC (FKA CDW Corp.), Extended Term      
Loan, 4.00%, 7/14/17   1,124 1,109,923
Flextronics International Ltd. Delay Draw:      
Term Loan A-2, 2.48%, 10/01/14   38 38,159
Term Loan A-3, 2.48%, 10/01/14   45 44,518
Sensata Technologies Finance Co. LLC, Term      
Loan, 4.00%, 5/11/18   1,337 1,338,914
      2,531,514
Energy Equipment & Services — 2.9%      
Dynegy Midwest Generation LLC, Coal Co.      
Term Loan, 9.25%, 8/04/16   932 966,710
Dynegy Power LLC, Gas Co. Term Loan,      
9.25%, 8/04/16   1,252 1,310,102
MEG Energy Corp., Term Loan B,      
4.00%, 3/16/18   3,325 3,328,632
Tervita Corp.:      
Incremental Term Loan, 6.50%, 10/17/14   761 760,544
Term Loan B, 3.23%, 11/14/14   1,601 1,570,466
      7,936,454
Food & Staples Retailing — 1.8%      
AB Acquisitions UK Topco 2, Term Loan B1,      
3.52%, 7/09/15 GBP 1,825 2,734,825
Pilot Travel Centers LLC, Term Loan B2,      
4.25%, 8/07/19 USD 1,055 1,057,638
US Foods, Inc. (FKA U.S. Foodservice, Inc.),      
Extended Term Loan B, 5.75%, 3/31/17   1,351 1,305,365
      5,097,828
Food Products — 3.0%      
Advance Pierre Foods:      
Term Loan (First Lien), 7.00%, 9/30/16   1,741 1,749,188
Term Loan (Second Lien),      
11.25%, 9/29/17   1,205 1,212,230

 

See Notes to Financial Statements.

32ANNUAL REPORTAUGUST 31, 2012
 

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

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Food Products (concluded)      
Del Monte Foods Co., Term Loan,      
4.50%, 3/08/18 USD 2,326 $ 2,294,529
Michael Foods Group, Inc., Term Loan,      
4.25%, 2/23/18   391 391,139
Pinnacle Foods Finance LLC:      
Extended Term Loan B, 3.75%, 10/03/16   89 88,299
Term Loan E, 4.75%, 10/17/18   1,139 1,134,251
Solvest Ltd. (Dole):      
Term Loan B-2, 5.00%–6.00%, 7/06/18   553 553,358
Term Loan C-2, 5.00%–6.00%, 7/06/18   989 990,222
      8,413,216
Health Care Equipment & Supplies — 5.3%      
Bausch & Lomb, Inc., Term Loan B,      
5.25%, 5/17/19   2,890 2,899,624
Biomet, Inc., Term Loan B,      
3.23%–3.47%, 3/25/15   678 676,107
BSN Medical Acquisition Holding GmbH,      
Term Loan B, 6.00%, 7/27/19   835 837,088
DJO Finance LLC:      
Extended Term Loan B2, 5.23%, 11/01/16   437 436,682
Term Loan B3, 6.25%, 9/15/17   2,279 2,281,179
Hologic, Inc., Term Loan B, 4.50%, 8/01/19   3,820 3,843,187
Hupah Finance, Inc., Term Loan B,      
6.25%, 1/21/19   773 775,961
Iasis Healthcare LLC, Term Loan,      
5.00%, 5/03/18   759 747,353
Immucor, Inc., Term Loan B, 7.25%, 8/17/18   1,791 1,798,180
LHP Hospital Group, Inc., Term Loan,      
9.00%, 7/03/18   465 468,488
      14,763,849
Health Care Providers & Services — 4.9%      
Community Health Systems, Inc., Extended      
Term Loan B, 3.92%–3.96%, 1/25/17   91 90,648
ConvaTec, Inc., Term Loan, 5.75%, 12/22/16   1,258 1,260,770
DaVita, Inc.:      
Term Loan B, 4.50%, 10/20/16   1,943 1,947,994
Term Loan B2, 4.00%, 9/02/19   1,365 1,358,393
Emergency Medical Services Corp., Term Loan,      
5.25%, 5/25/18   1,437 1,435,453
Harden Healthcare LLC:      
Add on Term Loan A, 7.75%, 3/02/15   959 929,833
Term Loan A, 8.50%, 3/02/15   588 576,011
HCA, Inc.:      
Extended Term Loan B3, 3.48%, 5/01/18   515 506,873
Tranche B-2 Term Loan, 3.71%, 3/31/17   787 776,137
inVentiv Health, Inc.:      
Combined Term Loan, 6.50%, 8/04/16   707 657,438
Incremental Term Loan B-3,      
6.75%, 5/15/18   1,001 933,382
Medpace, Inc., Term Loan,      
6.50%–7.25%, 6/16/17   1,197 1,142,911
Sheridan Holdings, Inc., First Lien Term Loan,      
6.00%, 6/29/18   660 660,548
US Renal Care, Inc., First Lien Term Loan,      
6.25%–7.25%, 7/02/19   1,120 1,128,400
Vanguard Health Holding Co. II LLC      
(Vanguard Health Systems, Inc.),      
Term Loan B, 5.00%, 1/29/16   134 134,577
      13,539,368
Health Care Technology — 1.4%      
IMS Health, Inc., Term Loan B,      
4.50%, 8/25/17   1,195 1,197,842
Kinetic Concepts, Inc., Term      
Loan B, 7.00%, 5/04/18   1,981 1,997,916

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
Health Care Technology (concluded)      
MedAssets, Inc., Term Loan, 5.25%, 11/16/16 USD 670 $ 672,028
      3,867,786
Hotels, Restaurants & Leisure — 7.1%      
Alpha D2 Ltd., Term Loan B, 5.75%, 4/28/17   1,357 1,363,654
Ameristar Casinos, Inc., Term      
Loan B, 4.00%, 4/16/18   1,225 1,226,645
Boyd Gaming Corp., Incremental Term Loan,      
6.00%, 12/17/15   839 845,242
Caesars Entertainment Operating Co., Inc.:      
Extended Term Loan B6, 5.49%, 1/26/18   205 180,207
Incremental Term Loan B4,      
9.50%, 10/31/16   1,100 1,121,459
Term Loan B1, 3.24%, 1/28/15   197 187,187
Term Loan B3, 3.24%–3.46%, 1/28/15   5,318 5,042,960
DineEquity, Inc., Term Loan B,      
4.25%–5.25%, 10/19/17   79 78,985
Dunkin’ Brands, Inc., Term Loan B2,      
4.00%, 11/23/17   2,457 2,430,444
Golden Living, Term Loan, 5.00%, 5/04/18   323 308,536
OSI Restaurant Partners LLC:      
Revolver, 2.49%–2.56%, 6/14/13   9 9,354
Term Loan B, 2.56%, 6/14/14   95 94,275
Sabre, Inc., Non Extended Initial Term Loan,      
2.23%, 9/30/14   318 314,807
SeaWorld Parks & Entertainment, Inc. (FKA SW      
Acquisitions Co., Inc.), Term Loan B,      
4.00%, 8/17/17   963 963,272
Six Flags Theme Parks, Inc., Term Loan B,      
4.25%, 12/20/18   1,510 1,513,533
Station Casinos, Inc., Term Loan B1,      
3.23%, 6/17/16   847 805,017
Twin River Worldwide Holdings, Inc., Term Loan,      
8.50%, 11/05/15   708 710,120
Wendy’s International, Inc., Term Loan B,      
4.75%, 5/15/19   2,340 2,350,436
      19,546,133
Household Products — 0.5%      
Prestige Brands, Inc., Term Loan,      
5.25%–6.25%, 1/31/19   1,284 1,293,901
Independent Power Producers & Energy Traders — 1.0%    
The AES Corp., Term Loan, 4.25%, 6/01/18   1,975 1,979,937
Calpine Corp., Term Loan B, 4.50%, 4/01/18   465 465,642
GenOn Energy, Inc., Term Loan B,      
6.00%, 12/01/17   270 271,930
      2,717,509
Industrial Conglomerates — 1.9%      
Sequa Corp.:      
Incremental Term Loan, 6.25%, 12/03/14   427 428,345
Term Loan, 3.69%–3.72%, 12/03/14   4,898 4,864,090
      5,292,435
Insurance — 0.8%      
Asurion LLC, Term Loan (First Lien),      
5.50%, 5/24/18   654 655,776
CNO Financial Group, Inc., Term Loan B,      
6.25%, 9/30/16   1,447 1,450,326
      2,106,102
Internet Software & Services — 0.4%      
Web.com Group, Inc., Term Loan B,      
7.00%, 10/27/17   1,147 1,141,820
IT Services — 5.5%      
Ceridian Corp., Extended Term Loan,      
5.99%, 5/09/17   1,512 1,511,581

 

See Notes to Financial Statements.

AUGUST 31, 2012ANNUAL REPORT33
 

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

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
 
IT Services (concluded)      
First Data Corp.:      
2018 Term Loan B, 4.24%, 3/23/18 USD 6,251 $ 5,901,683
Non-Extended Term Loan B-1,      
2.99%, 9/24/14   298 294,155
Non-Extended Term Loan B-3,      
2.99%, 9/24/14   66 64,840
Genpact International, Inc., Term Loan B,      
4.25%, 8/16/19   1,660 1,660,000
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18   707 625,934
iPayment, Inc., Term Loan B, 5.75%, 5/08/17   681 681,000
Neustar, Inc., Term Loan B, 5.00%, 11/08/18   883 887,742
SunGard Data Systems, Inc.      
(Solar Capital Corp.), Term Loan B,      
3.86%–4.06%, 2/26/16   307 306,710
TransUnion LLC, Term Loan B, 5.50%, 2/12/18   3,195 3,215,516
      15,149,161
Leisure Equipment & Products — 0.8%      
Eastman Kodak Co., DIP Term Loan B,      
8.50%, 7/19/13   1,122 1,112,189
FGI Operating Company, LLC, Term Loan,      
5.50%–6.50%, 4/19/19   1,120 1,123,506
      2,235,695
Machinery — 2.9%      
Intelligrated, Inc., First Lien Term Loan,      
6.75%, 7/30/18   1,000 990,000
Navistar International Corp., Term Loan B,      
7.00%, 8/17/17   950 954,213
Rexnord Corp., Term Loan B, 5.00%, 4/02/18   697 699,237
Terex Corp.:      
Term Loan, 6.00%, 4/28/17 EUR 134 167,687
Term Loan B, 5.50%, 4/28/17 USD 1,306 1,312,451
Tomkins LLC, Term Loan B, 4.25%, 9/29/16   2,574 2,580,563
Wabash National Corp., Term      
Loan B, 6.00%, 5/02/19   1,197 1,204,481
      7,908,632
Media — 16.0%      
Acosta, Inc., Term Loan B, 5.75%, 3/01/18   512 512,683
Affinion Group, Inc., Term Loan B,      
5.00%, 7/15/15   565 479,667
AMC Entertainment, Inc., Term Loan B3,      
4.25%, 2/22/18   697 697,197
AMC Networks, Inc., Term Loan B,      
4.00%, 12/31/18   1,683 1,681,957
Atlantic Broadband Finance LLC, 1st Lien      
Term Loan, 5.25%, 4/04/19   1,030 1,030,968
BBHI Acquisition LLC (FKA Bresnan      
Telecommunications Co. LLC), Term Loan B,      
4.50%, 12/14/17   2,505 2,511,388
Capsugel Holdings US, Inc., Term Loan B,      
4.75%, 8/01/18   1,234 1,235,270
Catalina Marketing Corp., Extended Term Loan      
B, 5.73%, 9/29/17   1,169 1,152,316
Cengage Learning Acquisitions, Inc.:      
Non-Extended Term Loan, 2.49%, 7/03/14   529 487,267
Tranche 1 Incremental, 7.50%, 7/03/14   759 730,623
Charter Communications Operating LLC:      
Extended Term Loan C, 3.49%, 9/06/16   1,639 1,634,919
Term Loan D, 4.00%, 5/15/19   638 637,632
Clarke American Corp., Term Facility B,      
2.73%–2.96%, 6/30/14   160 143,042
Clear Channel Communications, Inc.:      
Term Loan B, 3.88%, 1/28/16   1,859 1,439,764
Term Loan C, 3.88%, 1/28/16   340 258,298
Cumulus Media, Inc., First Lien Term Loan,      
5.75%, 9/17/18   1,393 1,394,929

 

    Par  
Floating Rate Loan Interests (b)   (000) Value
Media (concluded)      
EMI Music Publishing Ltd., Term Loan B,