UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

 

 

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: 08/31/2013

 

Date of reporting period: 11/30/2012

 

Item 1 – Schedule of Investments

  
  
Consolidated Schedule of Investments November 30, 2012 (Unaudited)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

    Par
(000)
  Value  
Asset-Backed Securities  
 
321 Henderson Receivables I LLC (a):  
  Series 2010-2A, Class A, 4.07%, 1/15/48 USD 1,508 $ 1,630,696  
  Series 2010-3A, Class A, 3.82%, 12/15/48   4,249   4,524,432  
AmeriCredit Automobile Receivables Trust:  
  Series 2012-2, Class D, 3.38%, 4/09/18   1,990   2,062,539  
  Series 2012-5, Class E, 3.29%, 5/08/20 (a)   1,480   1,480,306  
Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 1.00%, 1/13/25 (a)(b)(c)   4,000   3,780,000  
Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17 (b) GBP 2,650   4,390,915  
Carlyle Global Market Strategies, Series 2012-4A, Class D, 1.00%, 1/20/25 (a)(b)(c) USD 800   773,456  
CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19   2,530   2,530,428  
Conseco Financial Corp., Series 1995-5, Class M1, 7.65%, 9/15/26 (b)   467   473,654  
Countrywide Asset-Backed Certificates (b):  
  Series 2007-10, Class 2A1, 0.26%, 6/25/47   64   63,868  
  Series 2007-12, Class 2A1, 0.56%, 8/25/47   861   851,919  
  Series 2007-7, Class 2A2, 0.37%, 10/25/47   2,873   2,753,549  
CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16 (a)   750   780,975  
Ford Credit Floorplan Master Owner Trust:  
  Series 2010-5, Class C, 2.07%, 9/15/15 (a)   890   896,298  
  Series 2011-2, Class C, 2.37%, 9/15/15   1,125   1,127,688  
  Series 2011-2, Class D, 2.86%, 9/15/15   1,145   1,147,683  
Fraser Sullivan CLO Ltd., Series 2012-7A, Class C, 4.32%, 4/20/23 (a)(b)   1,090   1,026,442  
Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.53%, 4/17/22 (a)(b)   1,500   1,429,950  
GSAA Trust, Series 2007-3, Class 1A2, 0.38%, 3/25/47 (b)   3,028   1,362,630  
ING Investment Management (a)(b):  
  Series 2012-2A, Class D, 4.99%, 10/15/22   1,800   1,737,000  
    Par
(000)
  Value  
Asset-Backed Securities  
 
ING Investment Management (a)(b) (concluded):  
  Series 2012-4A, Class C, 4.73%, 10/15/23 USD 800 $ 770,720  
Octagon Investment Partners Ltd., Series 2012-1A, Class C, 4.31%, 1/15/24 (a)(b)(c)   1,050   970,200  
Santander Consumer Acquired Receivables Trust, Series 2011-S1A, Class D, 3.15%, 8/15/16 (a)   2,147   2,162,335  
Santander Drive Auto Receivables Trust:  
  Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)   915   918,277  
  Series 2011-S2A, Class B, 2.06%, 6/15/17 (a)   481   485,510  
  Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)   498   502,894  
  Series 2012-3, Class D, 3.64%, 5/15/18   2,865   2,980,967  
SLC Student Loan Trust, Series 2006-A, Class A4, 0.46%, 1/15/19 (b)   836   834,482  
Spirit Issuer Plc, Series A2, 3.30%, 12/28/31 (b) GBP 1,800   2,018,710  
Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a) USD 11,253   882,648  
Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 (a)   9,974   757,413  
World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22   3,000   3,059,580  
 
Total Asset-Backed Securities – 7.8%   51,168,164  

 

   
Shares
     
Common Stocks (d)  
 
Auto Components — 0.3%  
Delphi Automotive Plc   58,171   1,977,229  
 
Construction & Engineering — 0.0%  
USI United Subcontractors   6,454   12,908  
 
Diversified Financial Services — 0.5%  
Kcad Holdings I Ltd. 384,412,912   2,888,479  
 
Hotels, Restaurants & Leisure — 0.1%  
BLB Worldwide Holdings, Inc.   51,947   746,738  
Travelport Worldwide Ltd.   176,501   22,945  
         
  769,683  
 
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    1
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

   
Shares
  Value  
Common Stocks (d)  
 
Metals & Mining — 0.0%  
Euramax International   234 $ 45,961  
 
Software — 0.2%  
Bankruptcy Management Solutions, Inc.   880   18  
HMH Holdings/EduMedia   71,219   1,424,382  
         
  1,424,400  
 
Total Common Stocks – 1.1%   7,118,660  

 

    Par
(000)
     
Corporate Bonds  
 
Aerospace & Defense — 0.5%  
Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 (e) USD 650   702,813  
Kratos Defense & Security Solutions, Inc., 10.00%, 6/01/17 (e)   1,966   2,142,940  
Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)(e)   559   542,450  
         
  3,388,203  
 
Airlines — 1.0%  
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 (e)   539   549,469  
Continental Airlines, Inc., 6.75%, 9/15/15 (a)(e)   1,350   1,415,812  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 (e)   253   283,185  
US Airways Pass-Through Trust (e):  
  Series 2011-1, Class C, 10.88%, 10/22/14   1,333   1,383,416  
  Series 2012-1, Class C, 9.13%, 10/01/15   2,706   2,814,240  
         
  6,446,122  
 
Auto Components — 1.4%  
Continental Rubber of America Corp., 4.50%, 9/15/19 (a)   150   151,500  
Icahn Enterprises LP (b)(f):  
  4.00%, 8/15/13 (a)   4,500   4,528,350  
  4.00%, 8/15/13   2,305   2,319,521  
Jaguar Land Rover Plc, 8.25%, 3/15/20 GBP 554   976,351  
Titan International, Inc., 7.88%, 10/01/17 (e) USD 1,330   1,399,825  
         
  9,375,547  
 
    Par
(000)
  Value  
Corporate Bonds  
 
Beverages — 0.2%  
Crown European Holdings SA:  
  7.13%, 8/15/18 (a) EUR 440 $ 629,467  
  7.13%, 8/15/18   324   463,516  
         
  1,092,983  
 
Building Products — 0.7%  
Building Materials Corp. of America (a)(e):  
  7.00%, 2/15/20 USD 1,345   1,466,050  
  6.75%, 5/01/21   1,030   1,127,850  
Momentive Performance Materials, Inc., 8.88%, 10/15/20 (a)   530   526,025  
USG Corp., 9.75%, 1/15/18   1,390   1,549,850  
         
  4,669,775  
 
Capital Markets — 0.6%  
E*Trade Financial Corp.:  
  12.50%, 11/30/17   1,785   2,008,750  
  1.74%, 8/31/19 (a)(f)(g)   249   221,610  
Nuveen Investments, Inc., 9.13%, 10/15/17 (a)   431   427,767  
SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a)   1,183   1,233,858  
         
  3,891,985  
 
Chemicals — 2.7%  
Ashland, Inc., 4.75%, 8/15/22 (a)(e)   675   693,563  
Celanese US Holdings LLC:  
  5.88%, 6/15/21 (e)   805   899,587  
  4.63%, 11/15/22   360   371,700  
Ciech Group Financing AB, 9.50%, 11/30/19 EUR 180   243,758  
Hexion US Finance Corp., 6.63%, 4/15/20 USD 92   91,770  
Huntsman International LLC:  
  4.88%, 11/15/20 (a)   1,134   1,122,660  
  8.63%, 3/15/21 (e)   655   741,787  
INEOS Finance Plc, 7.50%, 5/01/20 (a)(e)   445   459,463  
LyondellBasell Industries NV, 5.75%, 4/15/24 (e)   1,790   2,148,000  
Nova Chemicals Corp., 8.38%, 11/01/16 (e)   5,500   6,022,500  
Nufarm Australia Ltd., 6.38%, 10/15/19 (a)   320   331,200  
Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (a)   898   972,085  
Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (e)   1,330   1,359,925  
Tronox Finance LLC, 6.38%, 8/15/20 (a)(e)   2,040   2,009,400  
         
  17,467,398  
 
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    2
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Commercial Banks — 4.3%  
BNP Paribas SA, 2.38%, 9/14/17 (e) USD 3,225 $ 3,283,756  
CIT Group, Inc. (e):  
  5.25%, 4/01/14 (a)   3,614   3,740,490  
  4.75%, 2/15/15 (a)   1,709   1,773,088  
  5.00%, 5/15/17   890   932,275  
  5.50%, 2/15/19 (a)   2,040   2,172,600  
HSBC Bank Plc, 3.10%, 5/24/16 (a)(e)   2,560   2,722,857  
HSBC Holdings Plc, 6.25%, 3/19/18 EUR 1,000   1,547,364  
ING Bank NV, 2.00%, 9/25/15 (a)(e) USD 3,245   3,265,129  
Nordea Bank AB, 4.50%, 3/26/20 EUR 1,020   1,454,132  
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (a)(e) USD 6,155   6,161,352  
Regions Financial Corp., 4.88%, 4/26/13 (e)   907   919,471  
         
  27,972,514  
 
Commercial Services & Supplies — 1.1%  
ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)   292   305,140  
ARAMARK Holdings Corp., 8.63%, 5/01/16 (a)(h)   890   912,259  
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)   63   64,575  
Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (a)   375   378,750  
Clean Harbors, Inc.:  
  5.25%, 8/01/20 (e)   607   623,692  
  5.13%, 6/01/21 (a)   510   521,475  
Covanta Holding Corp., 6.38%, 10/01/22 (e)   1,130   1,225,380  
EC Finance Plc, 9.75%, 8/01/17 EUR 100   140,459  
HDTFS, Inc. (a):  
  5.88%, 10/15/20 USD 205   211,663  
  6.25%, 10/15/22   605   626,931  
Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (a)   100   103,750  
Mobile Mini, Inc., 7.88%, 12/01/20 (e)   915   993,919  
Verisure Holding AB:  
  8.75%, 9/01/18 EUR 526   728,556  
  8.75%, 12/01/18   221   281,673  
West Corp., 8.63%, 10/01/18 USD 165   170,363  
         
  7,288,585  
 
Communications Equipment — 1.6%  
ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)   6,670   6,673,335  
Avaya, Inc., 9.75%, 11/01/15 (e)   510   404,175  
Zayo Group LLC/Zayo Capital, Inc.:  
  8.13%, 1/01/20 (e)   1,800   1,966,500  
    Par
(000)
  Value  
Corporate Bonds  
 
Communications Equipment (concluded)  
Zayo Group LLC/Zayo Capital, Inc. (concluded):  
  10.13%, 7/01/20 USD 1,460 $ 1,635,200  
         
  10,679,210  
 
Construction Materials — 0.8%  
Buzzi Unicem SpA, 6.25%, 9/28/18 EUR 154   210,479  
HD Supply, Inc. (a):  
  8.13%, 4/15/19 (e) USD 3,085   3,478,337  
  11.50%, 7/15/20   1,385   1,513,113  
         
  5,201,929  
 
Consumer Finance — 1.7%  
Ally Financial, Inc., 3.13%, 1/15/16 (a)   6,500   6,518,362  
Ford Motor Credit Co. LLC (e):  
  3.88%, 1/15/15   2,475   2,570,570  
  7.00%, 4/15/15   400   444,386  
Hyundai Capital America, 3.75%, 4/06/16 (a)(e)   1,285   1,365,630  
         
  10,898,948  
 
Containers & Packaging — 0.5%  
Ardagh Packaging Finance Plc:  
  7.38%, 10/15/17 (a)(e)   299   325,536  
  7.38%, 10/15/17 EUR 200   277,797  
  7.38%, 10/15/17 (a)   587   815,336  
  7.38%, 10/15/17   100   138,899  
Berry Plastics Corp.:  
  4.27%, 9/15/14 (b) USD 700   700,000  
  8.25%, 11/15/15 (e)   490   512,050  
  9.75%, 1/15/21   290   329,875  
Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 EUR 274   358,133  
         
  3,457,626  
 
Distributors — 0.1%  
VWR Funding, Inc., 7.25%, 9/15/17 (a) USD 874   902,405  
 
Diversified Consumer Services — 0.9%  
313 Group, Inc. (a):  
  6.38%, 12/01/19   566   557,510  
  8.75%, 12/01/20   579   568,867  
Laureate Education, Inc., 9.25%, 9/01/19 (a)   1,460   1,489,200  
The Unique Pub Finance Co. Plc:  
  Series A4, 5.66%, 6/30/27 GBP 1,686   2,350,067  
  Series M, 7.40%, 3/28/24   742   945,093  
         
  5,910,737  
 
Diversified Financial Services — 5.7%  
Aircastle Ltd., 6.25%, 12/01/19 (a) USD 367   372,505  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    3
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Diversified Financial Services (concluded)  
Ally Financial, Inc. (e):  
  8.30%, 2/12/15 USD 2,460 $ 2,749,050  
  7.50%, 9/15/20   1,630   1,964,150  
  8.00%, 11/01/31   2,050   2,603,500  
Banque Paribas, 6.95%, 7/22/13 (e)   2,100   2,164,298  
Citigroup, Inc., 5.95% (b)(i)   1,370   1,393,975  
CNG Holdings, Inc., 9.38%, 5/15/20 (a)   700   712,250  
Co-Operative Group Ltd., 5.63%, 7/08/20 (j) GBP 300   497,083  
DPL, Inc., 7.25%, 10/15/21 (e) USD 255   269,025  
Gala Group Finance Plc, 8.88%, 9/01/18 GBP 700   1,146,739  
The Goldman Sachs Group, Inc. (e):  
  6.00%, 5/01/14 USD 1,150   1,227,863  
  5.13%, 1/15/15   3,515   3,780,885  
  3.30%, 5/03/15   3,285   3,421,935  
Intesa Sanpaolo SpA, 2.38%, 12/21/12 (e)   3,335   3,335,000  
Leucadia National Corp., 8.13%, 9/15/15 (e)   1,870   2,113,100  
Morgan Stanley, 5.30%, 3/01/13 (e)   825   834,112  
Reynolds Group Issuer, Inc.:  
  7.75%, 10/15/16 EUR 63   84,803  
  7.13%, 4/15/19 (e) USD 1,990   2,149,200  
  9.00%, 4/15/19 (e)   180   185,400  
  9.88%, 8/15/19   795   842,700  
  5.75%, 10/15/20 (a)   1,800   1,840,500  
  6.88%, 2/15/21 (e)   820   883,550  
SLM Corp., Series A, 5.00%, 10/01/13 (e)   150   153,750  
Spirit Issuer Plc, 5.86%, 12/28/21 GBP 1,570   2,288,993  
         
  37,014,366  
 
Diversified Telecommunication Services — 1.4%  
ITC Deltacom, Inc., 10.50%, 4/01/16 USD 1,215   1,300,050  
Level 3 Communications, Inc., 8.88%, 6/01/19 (a)   735   771,750  
Level 3 Financing, Inc.:  
  4.47%, 2/15/15 (b)   1,725   1,720,687  
  8.13%, 7/01/19   3,083   3,298,810  
  7.00%, 6/01/20 (a)   495   503,663  
OTE Plc, 7.25%, 2/12/15 (j) EUR 151   181,654  
Telenet Finance V Luxembourg SCA:  
  6.25%, 8/15/22   171   233,625  
  6.75%, 8/15/24   397   545,362  
Windstream Corp., 8.13%, 8/01/13 (e) USD 590   613,600  
         
  9,169,201  
 
    Par
(000)
  Value  
Corporate Bonds  
 
Electric Utilities — 0.3%  
Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (e) USD 677 $ 739,239  
Nisource Finance Corp. (e):  
  6.40%, 3/15/18   440   531,030  
  5.25%, 2/15/43   800   857,863  
         
  2,128,132  
 
Electrical Equipment — 0.2%  
Belden, Inc., 5.50%, 9/01/22 (a)(e)   510   516,375  
Pentair Finance SA, 1.88%, 9/15/17 (a)(e)   371   373,931  
Techem GmbH, 6.13%, 10/01/19 EUR 300   412,600  
         
  1,302,906  
 
Energy Equipment & Services — 2.4%  
Calfrac Holdings LP, 7.50%, 12/01/20 (a)(e) USD 1,105   1,082,900  
Compagnie Générale de Géophysique, Veritas (e):  
  7.75%, 5/15/17   330   343,200  
  6.50%, 6/01/21   2,115   2,220,750  
FTS International Services LLC/FTS International Services, Inc., 8.13%, 11/15/18 (a)(e)   1,690   1,740,700  
Gulfmark Offshore, Inc., 6.38%, 3/15/22 (a)(e)   185   188,700  
Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (e)   375   384,375  
Key Energy Services, Inc., 6.75%, 3/01/21 (e)   1,040   1,042,600  
MEG Energy Corp., 6.38%, 1/30/23 (a)(e)   445   461,688  
Oil States International, Inc., 6.50%, 6/01/19 (e)   725   770,312  
Peabody Energy Corp., 6.25%, 11/15/21 (e)   2,085   2,163,187  
Seadrill Ltd., 5.63%, 9/15/17 (a)   3,090   3,090,000  
Transocean, Inc. (e):  
  4.95%, 11/15/15   1,040   1,141,004  
  5.05%, 12/15/16   180   200,382  
  2.50%, 10/15/17   725   728,848  
  6.00%, 3/15/18   230   268,039  
         
  15,826,685  
 
Food & Staples Retailing — 0.2%  
Bakkavor Finance 2 Plc, 8.25%, 2/15/18 GBP 321   502,719  
Rite Aid Corp., 9.25%, 3/15/20 USD 1,095   1,116,900  
         
  1,619,619  
 
Food Products — 0.4%  
Constellation Brands, Inc., 6.00%, 5/01/22 (e)   660   754,875  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    4
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Food Products (concluded)  
Post Holdings, Inc., 7.38%, 2/15/22 (a)(e) USD 780 $ 833,625  
Smithfield Foods, Inc., 6.63%, 8/15/22 (e)   783   829,980  
         
  2,418,480  
 
Gas Utilities — 0.3%  
Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (a)(e)   2,000   2,129,022  
 
Health Care Equipment & Supplies — 1.5%  
Biomet, Inc. (a):  
  6.50%, 8/01/20   1,720   1,797,400  
  6.50%, 10/01/20   1,445   1,430,550  
CareFusion Corp., 5.13%, 8/01/14 (e)   3,000   3,197,004  
DJO Finance LLC:  
  8.75%, 3/15/18 (a)(e)   413   450,170  
  7.75%, 4/15/18   540   503,550  
  9.88%, 4/15/18 (a)   500   501,250  
Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (a)(e)   960   1,024,800  
Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (a)   210   197,400  
Teleflex, Inc., 6.88%, 6/01/19 (e)   675   727,312  
         
  9,829,436  
 
Health Care Providers & Services — 3.2%  
Aviv Healthcare Properties LP, 7.75%, 2/15/19 (e)   995   1,044,750  
Care UK Health & Social Care Plc, 9.75%, 8/01/17 GBP 130   223,380  
CHS/Community Health Systems, Inc.:  
  5.13%, 8/15/18 (e) USD 490   515,725  
  7.13%, 7/15/20   471   498,083  
Crown Newco 3 Plc, 7.00%, 2/15/18 GBP 541   910,102  
DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 (e) USD 939   981,255  
HCA, Inc. (e):  
  6.50%, 2/15/20   1,895   2,127,137  
  5.88%, 3/15/22   2,390   2,599,125  
  4.75%, 5/01/23   1,410   1,424,100  
Hologic, Inc., 6.25%, 8/01/20 (a)(e)   1,289   1,369,562  
IASIS Healthcare LLC, 8.38%, 5/15/19   1,351   1,276,695  
Omnicare, Inc., 7.75%, 6/01/20 (e)   1,135   1,255,594  
Tenet Healthcare Corp.:  
  10.00%, 5/01/18 (e)   2,152   2,453,280  
  8.88%, 7/01/19 (e)   395   442,400  
  6.75%, 2/01/20 (a)   475   481,531  
  4.75%, 6/01/20 (a)(e)   738   743,535  
    Par
(000)
  Value  
Corporate Bonds  
 
Health Care Providers & Services (concluded)  
Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (a) USD 800 $ 824,000  
WellPoint, Inc., 1.25%, 9/10/15 (e)   1,430   1,442,766  
         
  20,613,020  
 
Health Care Technology — 0.8%  
IMS Health, Inc., 12.50%, 3/01/18 (a)(e)   4,300   5,084,750  
 
Hotels, Restaurants & Leisure — 3.4%  
Affinity Gaming LLC/Affinity Gaming Finance Corp., 9.00%, 5/15/18 (a)   198   205,920  
Caesars Entertainment Operating Co., Inc., 11.25%, 6/01/17   475   510,328  
Caesars Operating Escrow LLC (a)(e):  
  8.50%, 2/15/20   1,010   989,800  
  9.00%, 2/15/20   1,358   1,358,000  
Carlson Wagonlit BV, 6.88%, 6/15/19 (a)(e)   370   386,650  
Choice Hotels International, Inc., 5.75%, 7/01/22 (e)   240   262,800  
Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 EUR 355   440,919  
Enterprise Inns Plc:  
  6.50%, 12/06/18 GBP 2,232   3,287,059  
  6.88%, 2/15/21   2,070   2,860,440  
Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 EUR 290   394,132  
Spirit Issuer Plc:  
  1.15%, 12/28/28 GBP 3,325   3,622,463  
  5.47%, 12/28/34 (b)   4,500   5,623,549  
Station Casinos LLC, 3.66%, 6/18/18 USD 440   372,900  
Travelport LLC, 6.36%, 12/01/16 (a)(b)(e)(h)   977   723,126  
Tropicana Entertainment LLC, 9.63%, 12/15/14 (d)(k)   375    
Wynn Las Vegas LLC, 5.38%, 3/15/22 (e)   888   941,280  
         
  21,979,366  
 
Household Durables — 1.2%  
Algeco Scotsman Global Finance Plc, 9.00%, 10/15/18 EUR 630   843,928  
Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)(e) USD 910   969,150  
K Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)   2,130   2,284,425  
Libbey Glass, Inc., 6.88%, 5/15/20 (a)(e)   250   267,500  
Spie BondCo 3 SCA, 11.00%, 8/15/19 EUR 348   482,010  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    5
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Household Durables (concluded)  
Standard Pacific Corp., 8.38%, 1/15/21 (e) USD 2,400 $ 2,748,000  
         
  7,595,013  
 
Household Products — 0.1%  
Ontex IV SA, 9.00%, 4/15/19 EUR 253   335,620  
Spectrum Brands Escrow Corp. (a):  
  6.38%, 11/15/20 USD 250   259,375  
  6.63%, 11/15/22   285   298,538  
         
  893,533  
 
Independent Power Producers & Energy Traders — 2.4%  
The AES Corp. (e):  
  7.75%, 10/15/15   1,730   1,941,925  
  9.75%, 4/15/16   710   844,900  
  7.38%, 7/01/21   185   204,888  
Calpine Corp. (a)(e):  
  7.25%, 10/15/17   365   390,550  
  7.50%, 2/15/21   478   528,190  
Energy Future Holdings Corp., 10.00%, 1/15/20 (e)   2,105   2,236,562  
Energy Future Intermediate Holding Co. LLC:  
  6.88%, 8/15/17 (a)   1,015   1,040,375  
  10.00%, 12/01/20   4,415   4,922,725  
GenOn REMA LLC (e):  
  9.24%, 7/02/17   560   611,925  
  Series C, 9.68%, 7/02/26   650   695,500  
Laredo Petroleum, Inc.:  
  9.50%, 2/15/19   630   705,600  
  7.38%, 5/01/22   515   557,487  
NRG Energy, Inc., 6.63%, 3/15/23 (a)(e)   790   817,650  
QEP Resources, Inc., 5.38%, 10/01/22 (e)   476   502,180  
         
  16,000,457  
 
Industrial Conglomerates — 1.4%  
Sequa Corp. (a):  
  11.75%, 12/01/15   2,950   3,053,250  
  13.50%, 12/01/15   5,870   6,104,799  
         
  9,158,049  
 
Insurance — 1.8%  
Allied World Assurance Co. Holdings, Ltd., 7.50%, 8/01/16 (e)   3,000   3,549,264  
American International Group, Inc., 3.00%, 3/20/15 (e)   3,120   3,242,073  
CNH Capital LLC, 3.88%, 11/01/15 (a)(e)   1,320   1,354,650  
CNO Financial Group, Inc., 6.38%, 10/01/20 (a)(e)   304   317,680  
Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)(e)   750   956,546  
    Par
(000)
  Value  
Corporate Bonds  
 
Insurance (concluded)  
Genworth Financial, Inc., 7.63%, 9/24/21 (e) USD 990 $ 1,069,413  
MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)   595   554,838  
Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b) EUR 400   585,342  
TMF Group Holding B.V., 9.88%, 12/01/19 (c)   130   171,396  
         
  11,801,202  
 
IT Services — 1.2%  
Ceridian Corp., 8.88%, 7/15/19 (a) USD 1,395   1,492,650  
Epicor Software Corp., 8.63%, 5/01/19   1,260   1,313,550  
First Data Corp.:  
  7.38%, 6/15/19 (a)(e)   1,175   1,207,313  
  6.75%, 11/01/20 (a)(e)   1,235   1,244,262  
  8.25%, 1/15/21 (a)   69   68,828  
  12.63%, 1/15/21   1,018   1,071,445  
SunGard Data Systems, Inc., 6.63%, 11/01/19 (a)   1,040   1,060,800  
WMG Acquisition Corp., 6.00%, 1/15/21 (a)   265   271,625  
         
  7,730,473  
 
Machinery — 1.0%  
Terex Corp., 6.00%, 5/15/21   1,205   1,250,187  
UR Merger Sub Corp. (a)(e):  
  5.75%, 7/15/18   1,244   1,340,410  
  7.38%, 5/15/20   805   879,463  
  7.63%, 4/15/22   2,518   2,788,685  
         
  6,258,745  
 
Media — 4.9%  
AMC Networks, Inc., 7.75%, 7/15/21 (e)   865   981,775  
Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(e)   1,000   830,000  
Checkout Holding Corp., 14.28%, 11/15/15 (a)(g)   1,570   1,051,900  
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)(e)   1,202   1,089,313  
Clear Channel Worldwide Holdings, Inc.:  
  6.50%, 11/15/22 (a)   965   960,175  
  6.50%, 11/15/22 (a)   2,608   2,621,040  
  Series B, 7.63%, 3/15/20 (e)   1,045   1,024,100  
DIRECTV Holdings LLC, 3.13%, 2/15/16 (e)   3,000   3,153,093  
DISH DBS Corp. (e):  
  7.00%, 10/01/13   1,267   1,320,847  
  7.13%, 2/01/16   200   224,250  
  5.88%, 7/15/22   2,025   2,169,281  
Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (a)(e)   1,660   1,767,900  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    6
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Media (concluded)  
Intelsat Luxembourg SA:  
  11.25%, 2/04/17 USD 360 $ 381,600  
  11.50%, 2/04/17 (h)   280   297,150  
Interactive Data Corp., 10.25%, 8/01/18 (e)   2,210   2,475,200  
Lamar Media Corp., 5.88%, 2/01/22 (e)   675   718,031  
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)(e)   1,301   1,437,605  
Nara Cable Funding Ltd., 8.88%, 12/01/18 EUR 310   391,076  
ProQuest LLC, 9.00%, 10/15/18 (a) USD 600   552,000  
ProtoStar I Ltd., 18.00%, 10/15/13 (a)(d)(f)(k)   3,454   1,727  
Truven Health Analytics, Inc., 10.63%, 6/01/20 (a)   540   577,800  
Unitymedia Hessen GmbH & Co. KG:  
  8.13%, 12/01/17 (a)(e)   4,090   4,437,650  
  7.50%, 3/15/19   1,440   1,577,596  
  5.50%, 1/15/23 (a)(c)   720   720,000  
Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (e)   1,000   1,085,000  
         
  31,846,109  
 
Metals & Mining — 2.1%  
ArcelorMittal, 9.50%, 2/15/15   1,240   1,381,179  
Eco-Bat Finance Plc, 7.75%, 2/15/17 EUR 495   659,867  
FMG Resources August 2006 Property Ltd. (a):  
  6.38%, 2/01/16 (e) USD 625   629,687  
  6.88%, 4/01/22   155   151,125  
Global Brass and Copper, Inc., 9.50%, 6/01/19 (a)   695   747,125  
Kaiser Aluminum Corp., 8.25%, 6/01/20 (e)   510   558,450  
New Gold, Inc. (a):  
  7.00%, 4/15/20 (e)   175   185,937  
  6.25%, 11/15/22   685   700,412  
New World Resources NV, 7.88%, 5/01/18 EUR 494   656,928  
Novelis, Inc., 8.75%, 12/15/20 (e) USD 3,875   4,340,000  
Perstorp Holding AB, 8.75%, 5/15/17 (a)   290   291,450  
Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19 EUR 365   387,119  
Steel Dynamics, Inc., 6.38%, 8/15/22 (a)(e) USD 555   579,975  
Xstrata Canada Financial Corp., 2.85%, 11/10/14 (a)(e)   2,450   2,512,691  
         
  13,781,945  
 
    Par
(000)
  Value  
Corporate Bonds  
 
Multiline Retail — 0.2%  
Dollar General Corp., 4.13%, 7/15/17 (e) USD 342 $ 359,100  
Dufry Finance SCA, 5.50%, 10/15/20 (a)(e)   706   725,415  
         
  1,084,515  
 
Oil, Gas & Consumable Fuels — 6.7%  
Access Midstream Partners LP, 6.13%, 7/15/22 (e)   510   540,600  
Berry Petroleum Co., 6.38%, 9/15/22 (e)   485   499,550  
BP Capital Markets Plc, 5.25%, 11/07/13 (e)   6,000   6,261,786  
CCS, Inc., 11.00%, 11/15/15 (a)   1,310   1,326,375  
Chaparral Energy, Inc., 7.63%, 11/15/22   305   313,388  
Chesapeake Energy Corp. (e):  
  6.88%, 11/15/20   405   427,275  
  6.13%, 2/15/21   620   627,750  
Concho Resources, Inc., 5.50%, 10/01/22 (e)   560   578,200  
CONSOL Energy, Inc., 8.25%, 4/01/20 (e)   1,890   2,017,575  
Denbury Resources, Inc., 8.25%, 2/15/20   71   80,230  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (e)   630   681,975  
Halcon Resources Corp., 8.88%, 5/15/21 (a)   525   543,375  
Holly Energy Partners LP, 6.50%, 3/01/20 (a)(e)   215   225,750  
Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 (e)   3,215   3,869,645  
Kodiak Oil & Gas Corp., 8.13%, 12/01/19   865   942,850  
Linn Energy LLC (e):  
  6.25%, 11/01/19 (a)   1,170   1,174,387  
  8.63%, 4/15/20   515   562,638  
  7.75%, 2/01/21   695   733,225  
MarkWest Energy Partners LP, 5.50%, 2/15/23 (e)   370   389,425  
Newfield Exploration Co., 5.63%, 7/01/24 (e)   575   615,250  
Oasis Petroleum, Inc.:  
  7.25%, 2/01/19   380   404,700  
  6.50%, 11/01/21   410   431,525  
Offshore Group Investments Ltd., 11.50%, 8/01/15   1,045   1,149,500  
OGX Petroleo e Gas Participacoes SA (a):  
  8.50%, 6/01/18 (e)   875   761,250  
  8.38%, 4/01/22   405   330,075  
ONEOK Partners LP, 2.00%, 10/01/17 (e)   355   359,032  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    7
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Oil, Gas & Consumable Fuels (concluded)  
PDC Energy, Inc., 7.75%, 10/15/22 (a) USD 475 $ 479,750  
PetroBakken Energy Ltd., 8.63%, 2/01/20 (a)   1,760   1,760,000  
Plains Exploration & Production Co., 6.88%, 2/15/23 (e)   1,240   1,277,200  
Range Resources Corp. (e):  
  5.75%, 6/01/21   1,235   1,312,187  
  5.00%, 8/15/22   805   839,212  
Ruby Pipeline LLC, 4.50%, 4/01/17 (a)(e)   1,215   1,308,534  
Sabine Pass Liquified Natural Gas LP (e):  
  7.50%, 11/30/16   4,110   4,438,800  
  6.50%, 11/01/20 (a)   745   745,000  
SandRidge Energy, Inc. (e):  
  7.50%, 3/15/21   750   781,875  
  8.13%, 10/15/22   290   310,300  
  7.50%, 2/15/23   1,685   1,752,400  
SESI LLC (e):  
  6.38%, 5/01/19   755   804,075  
  7.13%, 12/15/21   745   828,813  
SM Energy Co. (e):  
  6.50%, 11/15/21   605   638,275  
  6.50%, 1/01/23   285   300,675  
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)   176   183,040  
         
  43,607,467  
 
Paper & Forest Products — 0.5%  
Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)   810   834,300  
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a)(e)   395   413,763  
NewPage Corp., 11.38%, 12/31/14 (d)(k)   3,445   1,653,600  
Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a)(e)   305   323,300  
         
  3,224,963  
 
Pharmaceuticals — 0.2%  
Mylan, Inc., 6.00%, 11/15/18 (a)   80   88,200  
Valeant Pharmaceuticals International (a)(e):  
  6.50%, 7/15/16   590   622,450  
  6.38%, 10/15/20   915   972,188  
         
  1,682,838  
 
Real Estate Investment Trusts (REITs) — 0.4%  
Felcor Lodging LP, 6.75%, 6/01/19   1,170   1,231,425  
    Par
(000)
  Value  
Corporate Bonds  
 
Real Estate Investment Trusts (REITs) (concluded)  
Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (e) USD 1,300 $ 1,444,366  
         
  2,675,791  
 
Real Estate Management & Development — 1.3%  
Mattamy Group Corp., 6.50%, 11/15/20 (a)(e)   620   620,000  
Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20 GBP 1,173   1,831,715  
Realogy Corp.:  
  11.50%, 4/15/17 USD 215   232,737  
  12.00%, 4/15/17   225   243,000  
  7.88%, 2/15/19 (a)(e)   1,765   1,870,900  
  7.63%, 1/15/20 (a)(e)   1,015   1,131,725  
  9.00%, 1/15/20 (a)   435   482,850  
Shea Homes LP, 8.63%, 5/15/19 (e)   1,750   1,925,000  
         
  8,337,927  
 
Road & Rail — 1.0%  
Asciano Finance Ltd., 3.13%, 9/23/15 (a)(e)   3,400   3,460,554  
The Hertz Corp.:  
  7.50%, 10/15/18   540   591,300  
  6.75%, 4/15/19   375   405,000  
  6.75%, 4/15/19 (a)   405   437,400  
  7.38%, 1/15/21 (e)   1,530   1,663,875  
         
  6,558,129  
 
Software — 0.5%  
Infor US, Inc., 9.38%, 4/01/19   2,000   2,230,000  
Nuance Communications, Inc., 5.38%, 8/15/20 (a)(e)   875   901,250  
         
  3,131,250  
 
Specialty Retail — 0.7%  
Claire's Stores, Inc., 9.00%, 3/15/19 (a)(e)   1,034   1,099,917  
Michaels Stores, Inc., 7.75%, 11/01/18 (a)   317   343,549  
Party City Holdings, Inc., 8.88%, 8/01/20 (a)   599   634,940  
Penske Automotive Group, Inc., 5.75%, 10/01/22 (a)   705   717,337  
QVC, Inc., 5.13%, 7/02/22 (a)(e)   370   392,070  
Sally Holdings LLC (e):  
  6.88%, 11/15/19   920   1,023,500  
  5.75%, 6/01/22   425   460,063  
         
  4,671,376  
 
Textiles, Apparel & Luxury Goods — 0.1%  
Berkline/Benchcraft LLC, 4.50%, 11/03/13 (d)(k)   200    
Levi Strauss & Co., 6.88%, 5/01/22 (e)   380   398,525  
         
  398,525  
 
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    8
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Corporate Bonds  
 
Tobacco — 0.5%  
Reynolds American, Inc., 7.63%, 6/01/16 (e) USD 2,500 $ 2,999,415  
 
Transportation Infrastructure — 0.8%  
Aguila 3 SA, 7.88%, 1/31/18 (a)   498   527,880  
Federal Express Corp. 2012 Pass Through Trust, 2.63%, 1/15/18 (a)(e)   1,468   1,482,612  
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.13%, 5/11/15 (a)(e)   3,372   3,442,900  
         
  5,453,392  
 
Wireless Telecommunication Services — 2.5%  
Cricket Communications, Inc., 7.75%, 5/15/16 (e)   2,250   2,379,375  
Crown Castle International Corp., 5.25%, 1/15/23 (a)   725   757,625  
Crown Castle Towers LLC, 4.52%, 1/15/35 (a)   3,000   3,170,886  
Digicel Group Ltd. (a):  
  8.25%, 9/01/17   1,335   1,431,787  
  8.25%, 9/30/20   1,215   1,290,938  
Sprint Capital Corp., 6.88%, 11/15/28 (e)   1,410   1,452,300  
Sprint Nextel Corp. (a)(e):  
  9.00%, 11/15/18   3,070   3,783,775  
  7.00%, 3/01/20   1,510   1,747,825  
Sunrise Communications International SA, 7.00%, 12/31/17 EUR 150   209,714  
         
  16,224,225  
 
Total Corporate Bonds – 69.4%   452,874,289  

 

Floating Rate Loan Interests (b)  
 
Aerospace & Defense — 0.2%  
TransDigm, Inc., Term Loan B, 4.00%, 2/14/17 USD 1,155   1,158,987  
 
Airlines — 0.1%  
Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17   688   690,760  
US Airways Group, Inc., Term Loan, 2.71%, 3/21/14   145   141,774  
         
  832,534  
 
Auto Components — 1.6%  
Autoparts Holdings Ltd.:  
  First Lien Term Loan, 6.50%, 7/28/17   990   984,436  
  Second Lien Term Loan, 10.50%, 1/29/18   1,500   1,399,995  
    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Auto Components (concluded)  
Federal-Mogul Corp.:  
  Term Loan B, 2.15%, 12/29/14 USD 2,144 $ 1,989,888  
  Term Loan C, 2.15%, 12/28/15   350   324,852  
FleetPride Corp., First Lien Term Loan, 11/20/19   915   913,289  
The Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19   2,985   2,999,925  
Schaeffler AG, Term Loan B, 1/27/15 EUR 675   860,314  
Transtar Holding Co., First Lien Term Loan, 10/02/18 USD 1,285   1,291,425  
         
  10,764,124  
 
Beverages — 0.0%  
Le-Nature's, Inc., Tranche B Term Loan, 3/01/11 (d)(f)(k)   1,000   100  
 
Biotechnology — 0.2%  
Grifols, Inc., Term Loan B, 4.50%, 6/01/17   1,073   1,084,215  
 
Building Products — 0.6%  
Armstrong World Industries, Inc., Term Loan B, 4.00%, 3/09/18   1,261   1,270,081  
CPG International, Inc., Term Loan, 5.75%, 9/18/19   1,375   1,381,875  
United Subcontractors, Inc., First Lien Term Loan, 4.37%, 6/30/15   160   150,519  
Wilsonart International Holdings LLC, Term Loan B, 10/19/19   820   824,100  
         
  3,626,575  
 
Capital Markets — 0.6%  
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16   1,462   1,480,275  
HarbourVest Partners LLC, Term Loan B, 11/21/17   970   971,212  
Nuveen Investments, Inc.:  
  Extended First Lien Term Loan, 5.81% - 5.86%, 5/13/17   198   197,576  
  Extended Term Loan, 5.81% - 5.86%, 5/12/17   302   301,610  
  Incremental Term Loan, 7.25%, 5/13/17   580   582,900  
  Second Lien Term Loan, 2/28/19   675   685,125  
         
  4,218,698  
 
Chemicals — 1.6%  
ADS Waste Holdings, Inc., Term Loan B, 5.25%, 10/09/19   1,625   1,642,062  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    9
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Chemicals (concluded)  
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 USD 1,229 $ 1,213,717  
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16   1,005   1,016,939  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19   783   783,625  
General Chemical Corp., Term Loan, 5.00% - 5.75%, 10/06/15   111   110,588  
INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18   2,072   2,095,307  
MacDermid, Inc., Tranche C Term Loan, 2.30%, 4/11/14 EUR 435   560,881  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 USD 1,281   1,255,287  
Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17   556   532,294  
Tronox Pigments (Netherlands) BV:  
  Delayed Draw Term Loan, 4.25%, 2/08/18   213   213,804  
  Term Loan B, 4.25%, 2/08/18   780   783,949  
         
  10,208,453  
 
Commercial Banks — 0.3%  
Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18   1,690   1,705,497  
 
Commercial Services & Supplies — 1.7%  
ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19   721   725,937  
Altegrity, Inc.:  
  Term Loan, 2.96%, 2/21/15   905   839,388  
  Tranche D Term Loan, 7.75%, 2/20/15   1,386   1,385,051  
AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18   1,332   1,348,946  
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16   1,017   1,029,673  
Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16   1,450   1,465,413  
KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17   1,480   1,489,011  
Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19   785   790,888  
Protection One, Inc., Term Loan, 5.75%, 3/21/19   826   830,665  
West Corp., Term Loan B6, 5.75%, 6/29/18   1,292   1,311,139  
         
  11,216,111  
 
Communications Equipment — 1.8%  
Avaya, Inc.:  
  Extended Term Loan B3, 4.81%, 10/26/17   206   180,213  
    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Communications Equipment (concluded)  
Avaya, Inc. (concluded):  
  Term Loan B1, 3.06%, 10/24/14 USD 1,386 $ 1,305,484  
CommScope, Inc., Term Loan, 4.25%, 1/12/18   1,231   1,236,643  
Telesat Canada, Term Loan A, 4.39%, 3/28/17 CAD 3,500   3,382,494  
Zayo Group LLC, Term Loan B, 5.25%, 7/02/19 USD 5,830   5,866,011  
         
  11,970,845  
 
Construction & Engineering — 0.6%  
Safway Services LLC, First Out Term Loan, 9.00%, 12/16/17   3,750   3,750,000  
 
Construction Materials — 0.4%  
HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17   2,334   2,394,698  
 
Consumer Finance — 0.6%  
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17   3,265   3,273,162  
Springleaf Financial Funding Co.(FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17   925   913,669  
         
  4,186,831  
 
Containers & Packaging — 0.1%  
Sealed Air Corp., Term Loan, 10/03/18   525   528,938  
 
Diversified Consumer Services — 0.9%  
Coinmach Service Corp., Term Loan B, 3.21%, 11/20/14   3,286   3,178,929  
Education Management LLC, Term Loan C3, 8.25%, 3/29/18   1,107   953,512  
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18   947   938,118  
ServiceMaster Co.:  
  Non-Extended Delayed Draw, 2.71%, 7/24/14   102   101,166  
  Non-Extended Term Loan, 2.71%, 7/24/14   1,009   1,005,099  
         
  6,176,824  
 
Diversified Financial Services — 1.5%  
Residential Capital LLC, DIP Term Loan A1, 5.00%, 11/18/13   2,905   2,906,220  
Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/20/18   2,055   2,069,241  
Telesat LLC, Term Loan B, 4.25%, 3/28/19   3,716   3,735,195  
WMG Acquisition Corp., Term Loan, 5.25%, 10/25/18   930   936,687  
         
  9,647,343  
 
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    10
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Diversified Telecommunication Services — 1.7%  
Consolidated Communications, Inc., Term Loan B3, 11/29/18 USD 2,255 $ 2,246,544  
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17   1,755   1,784,625  
Level 3 Financing, Inc.:  
  2016 Term Loan B, 4.75%, 2/01/16   765   765,000  
  2019 Term Loan B, 5.25%, 8/01/19   625   628,906  
  Term Loan, 4.75%, 8/01/19   5,080   5,105,400  
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17   495   488,890  
         
  11,019,365  
 
Electric Utilities — 0.0%  
TPF Generation Holdings LLC, Synthetic Letter of Credit Deposit, First Lien, 2.36%, 12/13/13 (d)   47   47,015  
 
Electronic Equipment, Instruments & Components — 0.1%  
Sensata Technologies Finance Co. LLC, Term Loan, 4.00%, 5/11/18   569   569,872  
 
Energy Equipment & Services — 1.4%  
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16   2,017   2,081,730  
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16   3,255   3,388,788  
MEG Energy Corp., Term Loan B, 4.00%, 3/16/18   1,980   1,988,415  
Tervita Corp., Term Loan B, 3.21%, 11/14/14   1,825   1,790,909  
         
  9,249,842  
 
Food & Staples Retailing — 0.1%  
Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19   610   613,050  
US Foods, Inc., Extended Term Loan B, 5.75%, 3/31/17   224   220,717  
         
  833,767  
 
Food Products — 0.5%  
Advance Pierre Foods, Inc., Second Lien Term Loan, 5.75%, 7/10/17   785   792,261  
Del Monte Foods Co., Term Loan, 4.50%, 3/08/18   918   918,595  
Pinnacle Foods Finance LLC, Term Loan E, 4.75%, 10/17/18   1,127   1,131,745  
Solvest Ltd. (Dole):  
  Term Loan B-2, 5.00% - 6.00%, 7/06/18   97   96,729  
    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Food Products (concluded)  
Solvest Ltd. (Dole) (concluded):  
  Term Loan C-2, 5.00% - 6.00%, 7/06/18 USD 173 $ 173,095  
         
  3,112,425  
 
Health Care Equipment & Supplies — 1.6%  
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19   2,050   2,075,486  
BSN Medical Acquisition Holding GmbH, Term Loan B, 5.00%, 7/27/19   700   701,400  
DJO Finance LLC, Term Loan B3, 6.25%, 9/15/17   2,159   2,166,858  
Hologic, Inc., Term Loan B, 4.50%, 8/01/19   2,439   2,462,252  
Hupah Finance, Inc., Term Loan B, 6.25% - 7.25%, 1/21/19   995   1,003,706  
Immucor, Inc., Term Loan B1, 5.75%, 8/17/18   644   650,554  
Kinetic Concepts, Inc., Term Loan B1, 7.00%, 5/04/18   615   619,528  
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18   858   864,284  
         
  10,544,068  
 
Health Care Providers & Services — 2.2%  
Ardent Health Services, First Lien Term Loan, 9/15/15   1   1,283  
Ardent Medical Services, Inc., Term Loan, 6.50%, 5/23/18   480   482,400  
CHG Buyer Corp., First Lien Term Loan, 11/22/19   850   847,875  
ConvaTec, Inc., Term Loan, 5.00%, 12/22/16   1,258   1,265,325  
DaVita, Inc., Term Loan B, 4.50%, 10/20/16   1,965   1,974,825  
Emergency Medical Services Corp., Term Loan, 5.25%, 5/25/18   279   281,813  
Genesis Healthcare Corp., Term Loan B, 9/25/17   855   822,938  
Harden Healthcare LLC:  
  Add on Term Loan A, 7.75%, 3/02/15   2,990   2,897,976  
  Term Loan A, 8.50%, 3/02/15   496   486,208  
HCA, Inc., Extended Term Loan B3, 3.46%, 5/01/18   890   890,507  
inVentiv Health, Inc.:  
  Combined Term Loan, 6.50%, 8/04/16   102   95,835  
  Incremental Term Loan B-3, 6.75%, 5/15/18   430   419,563  
Medpace, Inc., Term Loan, 6.50% - 7.25%, 6/16/17   2,629   2,497,194  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    11
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Health Care Providers & Services (concluded)  
Sheridan Holdings, Inc., First Lien Term Loan, 6.00%, 6/29/18 USD 369 $ 371,496  
US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19   858   866,429  
         
  14,201,667  
 
Health Care Technology — 0.1%  
IMS Health, Inc., Term Loan B, 4.50%, 8/25/17   899   905,133  
 
Hotels, Restaurants & Leisure — 3.6%  
Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/29/19   1,677   1,696,018  
Caesars Entertainment Operating Co., Inc.:  
  Extended Term Loan B6, 5.46%, 1/26/18   579   518,461  
  Incremental Term Loan B4, 9.50%, 10/31/16   867   884,130  
  Term Loan B1, 3.21%, 1/28/15   2,310   2,237,812  
  Term Loan B2, 3.21%, 1/28/15   1,990   1,927,812  
Dunkin' Brands, Inc., Term Loan B2, 4.00%, 11/23/17   2,344   2,354,553  
Harrah's Property Co., Mezzanine Term Loan, 2/13/13   3,246   2,725,109  
Kronos, Inc., Second Lien Term Loan, 4/24/20   1,170   1,170,000  
OSI Restaurant Partners, LLC, Term Loan B, 4.75%, 10/24/19   865   872,569  
Sabre, Inc., Non-Extended Initial Term Loan, 2.21%, 9/30/14   159   158,422  
SeaWorld Parks & Entertainment, Inc., Term Loan B, 4.00%, 8/17/17   827   832,662  
Six Flags Theme Parks, Inc., Term Loan B, 4.25%, 12/20/18   705   707,517  
Station Casinos, Inc.:  
  2011 Term Loan B2, 4.21%, 6/17/16   2,355   2,255,902  
  Term Loan B, 5.50%, 9/07/19   2,175   2,180,437  
Travelport LLC:  
  Extended Tranche A Term Loan, 6.31%, 12/01/16   450   134,988  
  Extended Tranche B Term Loan, 13.81%, 12/01/16   1,479   110,895  
Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15   1,195   1,200,820  
Wendy’s International, Inc., Term Loan B, 4.75%, 5/15/19   1,235   1,245,547  
         
  23,213,654  
 
    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Household Durables — 0.0%  
Berkline/Benchcraft LLC, Term Loan B, 14.00%, 11/03/13 (d)(k) USD 172 $ 36,379  
 
Household Products — 0.5%  
Prestige Brands, Inc., Term Loan, 5.25% - 6.25%, 1/31/19   735   742,807  
Spectrum Brands, Inc.:  
  Term Loan, 11/06/19   1,210   1,217,562  
  Term Loan, 11/06/19 CAD 1,075   1,082,197  
         
  3,042,566  
 
Independent Power Producers & Energy Traders — 0.4%  
The AES Corp., Term Loan, 4.25%, 6/01/18 USD 1,156   1,165,898  
Calpine Corp., Term Loan, 4.50%, 4/02/18   1,067   1,073,962  
GenOn Energy, Inc., Term Loan B, 6.50%, 12/01/17   437   438,531  
         
  2,678,391  
 
Industrial Conglomerates — 0.2%  
Sequa Corp., Term Loan, 3.46% - 3.61%, 12/03/14   1,344   1,338,926  
 
Insurance — 0.8%  
Asurion LLC, First Lien Term Loan, 5.50%, 5/24/18   1,512   1,524,403  
CNO Financial Group, Inc.:  
  Term Loan B-1, 4.25%, 9/28/16   1,045   1,047,613  
  Term Loan B-2, 5.00%, 9/20/18   1,415   1,422,075  
Cunningham Lindsey Group, Inc., Term Loan B, 10/29/19   930   932,325  
         
  4,926,416  
 
Internet Software & Services — 0.1%  
Web.com Group, Inc., Term Loan B, 11.00%, 10/27/17   949   943,529  
 
IT Services — 2.1%  
Ceridian Corp., Extended Term Loan, 5.96%, 5/09/17   1,087   1,083,353  
First Data Corp.:  
  2018 Add-on Term Loan, 5.21%, 9/24/18   1,805   1,765,741  
  Extended 2018 Term Loan B, 4.21%, 3/23/18   5,119   4,870,921  
Genpact International, Inc., Term Loan B, 4.25%, 8/30/19   1,070   1,078,025  
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18   910   803,158  
NeuStar, Inc., Term Loan B, 5.00%, 11/08/18   1,054   1,061,040  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    12
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
IT Services (concluded)  
TransUnion LLC, Term Loan B, 5.50%, 2/12/18 USD 2,724 $ 2,760,320  
         
  13,422,558  
 
Leisure Equipment & Products — 0.3%  
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13   1,454   1,451,849  
FGI Operating Company LLC, Term Loan, 5.50% - 6.50%, 4/19/19   484   487,642  
         
  1,939,491  
 
Machinery — 1.0%  
Intelligrated, Inc., First Lien Term Loan, 6.75%, 7/30/18   1,100   1,109,625  
Rexnord Corp., Term Loan B, 4.50%, 4/02/18   1,477   1,488,225  
Terex Corp., Term Loan B:  
  4.50%, 4/28/17   990   998,355  
  5.00%, 4/28/17 EUR 307   398,141  
Wabash National Corp., Term Loan B, 6.00%, 5/02/19 USD 2,751   2,778,687  
         
  6,773,033  
 
Media — 5.7%  
Affinion Group, Inc., Term Loan B, 6.50%, 7/16/15   517   476,319  
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18   1,708   1,710,915  
Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18   646   650,996  
Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 7.50%, 7/03/14   2,020   1,633,981  
Charter Communications Operating LLC:  
  Extended Term Loan C, 3.46%, 9/06/16   2,342   2,351,532  
  Term Loan D, 4.00%, 5/15/19   912   918,934  
Clear Channel Communications, Inc.:  
  Term Loan A, 3.76%, 7/30/14   1,689   1,649,106  
  Term Loan B, 3.86%, 1/29/16   712   577,593  
  Term Loan C, 3.86%, 1/29/16   903   715,072  
Cumulus Media, Inc., First Lien Term Loan, 5.75%, 9/17/18   1,488   1,493,125  
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18   768   775,372  
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17   1,760   1,779,800  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19   1,820   1,826,315  
    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Media (concluded)  
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18 USD 2,169 $ 2,125,718  
Hubbard Broadcasting, Term Loan B, 5.25%, 4/28/17   766   766,784  
Intelsat Jackson Holdings SA, Tranche B Term Loan, 4.50%, 4/02/18   4,179   4,206,418  
Interactive Data Corp., Term Loan B, 4.50%, 2/12/18   2,376   2,388,450  
Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19   3,195   3,213,371  
Lavena Holding 4 GmbH:  
  Term Loan B, 2.95%, 3/06/15 EUR 304   369,761  
  Term Loan C, 3.32%, 3/04/16   304   371,736  
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG), Second Lien Term Loan, 4.45%, 9/02/16   904   1,051,251  
Sinclair Television Group, Inc., Term Loan B, 4.00%, 10/28/16 USD 1,216   1,218,076  
Univision Communications, Inc., Extended Term Loan, 4.46%, 3/31/17   2,654   2,590,561  
UPC Broadband Holding BV, Term Loan U, 4.11%, 12/29/17 EUR 97   125,782  
UPC Financing Partnership, Term Loan T, 3.71%, 12/30/16 USD 355   353,150  
WC Luxco Sarl, Term Loan B-3, 4.25%, 3/15/18   528   530,197  
Weather Channel, Term Loan B, 4.25%, 2/13/17   522   526,295  
WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18   743   751,082  
         
  37,147,692  
 
Metals & Mining — 1.5%  
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18   1,302   1,301,737  
Metals USA, Inc., Term Loan, 11/15/19   1,155   1,143,450  
Novelis, Inc.:  
  Incremental Term Loan B2, 4.00%, 3/10/17   2,467   2,472,364  
  Term Loan, 4.00%, 3/10/17   2,937   2,945,354  
Walter Energy, Inc., Term Loan B, 5.75%, 4/02/18   298   298,749  
Windsor Financing LLC, Term Loan B, 10/31/19   1,640   1,623,600  
         
  9,785,254  
 
Multiline Retail — 0.9%  
99 Cents Only Stores, Term Loan, 5.25%, 1/11/19   908   916,776  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    13
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Multiline Retail (concluded)  
BJ's Wholesale Club, Inc.:  
  First Lien Term Loan, 5.75%, 9/26/19 USD 595 $ 601,610  
  Second Lien Term Loan, 9.75%, 3/26/20   545   559,170  
HEMA Holding BV:  
  Second Lien Term Loan, 5.11%, 1/05/17 EUR 2,600   3,043,289  
  Term Loan B, 2.11%, 7/06/15   334   406,284  
  Term Loan C, 2.86%, 7/05/16   334   408,453  
         
  5,935,582  
 
Oil, Gas & Consumable Fuels — 1.9%  
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 USD 2,710   2,662,575  
Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18   1,233   1,245,658  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15   2,213   2,213,365  
Plains Exploration & Production, 7-Year Term Loan B, 9/13/19   2,270   2,278,513  
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18   740   744,625  
Vantage Drilling Co., Term Loan, 10/26/17   3,450   3,398,250  
         
  12,542,986  
 
Paper & Forest Products — 0.3%  
NewPage Corp., DIP Term Loan, 8.75%, 3/07/13   1,450   1,449,101  
Verso Paper Finance Holdings LLC, Term Loan, 6.56% - 7.31%, 2/01/13 (h)   748   374,009  
         
  1,823,110  
 
Pharmaceuticals — 1.3%  
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17   1,474   1,473,293  
Par Pharmaceutical Cos., Inc., Term Loan B, 5.00%, 9/30/19   1,975   1,968,423  
Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18   1,723   1,748,011  
RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18   462   464,609  
Valeant Pharmaceuticals International, Inc., Series C Tranche B, 9/27/19   1,120   1,123,360  
Warner Chilcott Corp.:  
  Incremental Term Loan B-1, 4.25%, 3/15/18   291   292,869  
  Term Loan B-1, 4.25%, 3/15/18   767   771,196  
    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Pharmaceuticals (concluded)  
Warner Chilcott Corp. (concluded):  
  Term Loan B-2, 4.25%, 3/15/18 USD 384 $ 385,598  
         
  8,227,359  
 
Professional Services — 0.6%  
Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19   1,390   1,400,717  
Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18   929   939,807  
ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19   586   588,726  
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/06/19   1,187   1,186,728  
         
  4,115,978  
 
Real Estate Investment Trusts (REITs) — 0.5%  
iStar Financial, Inc., Term Loan, 5.75%, 9/28/17   3,414   3,415,279  
 
Real Estate Management & Development — 0.8%  
Realogy Corp.:  
  Extended Letter of Credit Loan, 4.46%, 10/10/16   114   113,739  
  Extended Term Loan, 4.46%, 10/10/16   4,773   4,764,186  
Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17   425   419,687  
         
  5,297,612  
 
Road & Rail — 0.1%  
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18   642   640,171  
 
Semiconductors & Semiconductor Equipment — 0.2%  
Freescale Semiconductor, Inc., Extended Term Loan B, 4.46%, 12/01/16   1,137   1,102,161  
NXP BV, Term Loan A-2, 5.50%, 3/03/17   400   406,150  
         
  1,508,311  
 
Software — 1.2%  
GCA Services Group, Inc.:  
  Second Lien Term Loan, 11/01/20   700   693,000  
  Term Loan B, 11/01/19   560   557,665  
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18   2,110   2,129,227  
Sophia LP, Term Loan B, 6.25%, 7/19/18   903   912,942  
SS&C Technologies, Inc.:  
  Term Loan B-1, 5.00%, 6/07/19   1,292   1,305,848  
  Term Loan B-2, 5.00%, 6/07/19   134   135,088  
                   
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    14
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Floating Rate Loan Interests (b)  
 
Software (concluded)  
WaveDivision Holdings LLC, Term Loan B, 5.50%, 8/09/19 USD 1,770 $ 1,792,125  
             
  7,525,895  
 
Specialty Retail — 1.5%  
Academy Ltd., Term Loan, 4.75%, 8/03/18   1,787   1,790,966  
Bass Pro Group LLC, Term Loan, 6.25%, 11/30/19   840   839,849  
Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17   216   217,422  
David's Bridal, Inc., Term Loan B, 5.00%, 10/11/19   955   950,225  
Equinox Fitness Clubs, First Lien Term Loan, 11/16/19   1,140   1,137,150  
Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17   529   531,757  
Party City Holdings Inc., Term Loan B, 5.75%, 7/26/19   1,285   1,296,244  
PETCO Animal Supplies, Inc., Term Loan, 4.50%, 11/24/17   1,213   1,217,960  
Toys ‘R’ Us Delaware, Inc.:  
  Term Loan, 6.00%, 9/01/16   434   427,859  
  Term Loan B3, 5.25%, 5/25/18   617   601,866  
The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19   662   667,604  
             
  9,678,902  
 
Textiles, Apparel & Luxury Goods — 0.3%  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18   1,269   1,243,253  
Wolverine Worldwide, Inc., Term Loan B, 4.00%, 7/31/19   771   775,053  
             
  2,018,306  
 
Thrifts & Mortgage Finance — 0.1%  
Insight Global, Inc., First Lien Term Loan, 10/31/19   870   865,650  
 
Wireless Telecommunication Services — 1.7%  
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19   1,160   1,165,081  
MetroPCS Wireless, Inc., Term Loan B-3, 4.00%, 3/16/18   1,029   1,030,718  
Vodafone Americas Finance 2, Inc., Term Loan, 6.88%, 8/11/15 (h)   8,583   8,755,004  
             
  10,950,803  
 
Total Floating Rate Loan Interests – 48.1%   313,747,760  

 

    Par
(000)
  Value  
Municipal Bonds  
 
State of California, GO:  
  5.25%, 4/01/14 USD 1,075 $ 1,138,586  
  5.65%, 4/01/39 (b)   455   462,480  
  Various Purpose 3, Mandatory Put Bonds, 5.10%, 8/01/14   1,350   1,411,520  
State of Illinois, GO, 3.32%, 1/01/13   5,075   5,086,317  
 
Total Municipal Bonds – 1.2%   8,098,903  

 

Non-Agency Mortgage-Backed Securities  
 
Collateralized Mortgage Obligations — 2.9%  
Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 5.88%, 3/25/37 (b)   1,348   1,318,276  
Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35   6,777   5,751,807  
Countrywide Home Loan Mortgage Pass-Through Trust:  
  Series 2005-17, Class 1A6, 5.50%, 9/25/35   2,078   2,027,060  
  Series 2006-17, Class A2, 6.00%, 12/25/36   4,357   3,945,104  
  Series 2007-HY5, Class 3A1, 5.68%, 9/25/37 (b)   2,764   2,466,630  
GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.96%, 10/25/35 (b)   2,352   1,983,450  
Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, 0.47%, 2/26/37 (a)(b)   1,743   1,665,105  
             
  19,157,432  
 
Commercial Mortgage-Backed Securities — 8.3%  
Banc of America Commercial Mortgage, Inc. (b):  
  Series 2007-3, Class A2, 5.80%, 6/10/49   425   424,769  
  Series 2007-4, Class A4, 5.92%, 2/10/51   2,150   2,549,857  
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.21%, 12/11/49   285   289,083  
Credit Suisse Mortgage Capital Certificates:  
  Series 2006-C5, Class AM, 5.34%, 12/15/39   1,850   1,969,083  
  Series 2007-C2, Class A2, 5.45%, 1/15/49 (b)   87   87,788  
  Series 2007-C4, Class A3, 5.95%, 9/15/39 (b)   2,815   2,931,454  
                     
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    15
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
Non-Agency Mortgage-Backed Securities  
 
Commercial Mortgage-Backed Securities (continued)  
Credit Suisse Mortgage Capital Certificates (concluded):  
  Series 2007-C5, Class AAB, 5.62%, 9/15/40 (b) USD 2,051 $ 2,186,405  
Extended Stay America Trust, Series 2010-ESHA, Class C, 4.86%, 11/05/27 (a)   2,320   2,327,013  
First Union Commercial Mortgage Securities, Inc., Series 1997-C2, Class G, 7.50%, 11/18/29 (b)   1,665   1,770,001  
Greenwich Capital Commercial Funding Corp.:  
  Series 2006-GG7, Class AM, 6.06%, 7/10/38 (b)   1,610   1,792,308  
  Series 2007-GG9, Class A4, 5.44%, 3/10/39   2,110   2,433,556  
GS Mortgage Securities Corp. II, Series 2006-GG6, Class AM, 5.62%, 4/10/38 (b)   3,680   4,043,050  
JPMorgan Chase Commercial Mortgage Securities Corp.:  
  Series 2004-LN2, Class A2, 5.12%, 7/15/41   2,315   2,448,691  
  Series 2007-CB18, Class A4, 5.44%, 6/12/47   2,110   2,436,525  
  Series 2007-CB19, Class A4, 5.92%, 2/12/49 (b)   2,140   2,515,228  
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.86%, 7/15/40 (b)   4,745   5,675,599  
Morgan Stanley Capital I (b):  
  Series 2007-IQ15, Class A2, 6.04%, 6/11/49   1,719   1,746,961  
  Series 2012-C4, Class XA, 2.88%, 3/15/45 (a)   15,521   2,301,012  
Talisman Finance PLC, 0.39%, 10/22/16 (b) EUR 2,268   2,661,755  
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33 (b):  
  Class A2, 6.08%, 2/15/51 USD 851   851,320  
  Class A4, 6.12%, 2/15/51   2,030   2,402,509  
WF-RBS Commercial Mortgage Trust:  
  Series 2012-C8, Class B, 4.31%, 8/15/45   1,085   1,175,690  
  Series 2012-C8, Class C, 5.04%, 8/15/45 (b)   1,395   1,507,776  
  Series 2012-C9, Class XA, 2.45%, 11/15/45 (a)(b)   17,130   2,481,246  
    Par
(000)
  Value  
Non-Agency Mortgage-Backed Securities  
 
Commercial Mortgage-Backed Securities (concluded)  
Windermere CMBS PLC, Series XI-X, Class A, 0.78%, 4/24/17 (b) GBP 1,819 $ 2,783,794  
         
  53,792,473  
 
Total Non-Agency Mortgage-Backed Securities – 11.2%   72,949,905  

 

Other Interests (l)   Beneficial Interest (000)      
Auto Components — 0.0%  
Lear Corp. Escrow   1,000   10,625  
 
Diversified Financial Interests — 0.2%          
J.G. Wentworth LLC Preferred Equity Interests (d)   1   1,598,297  
 
Household Durables — 0.0%  
Berkline Benchcraft Equity LLC   3    
         
  1,608,922  
 
Total Other Interests – 0.2%   1,608,922  

 

Preferred Securities  
 
Preferred Stocks – 0.1%  
Shares
     
 
Auto Components — 0.1%  
Dana Holding Corp., 4.00% (a)(f)   6,000   725,625  

 

Trust Preferreds - 0.5%  
 
Diversified Financial Services — 0.5%  
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)   116,120   3,013,133  
 
Total Preferred Securities – 0.6%   3,738,758  
       
                         
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    16
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

    Par
(000)
  Value  
US Government Sponsored Agency Securities  
 
Collateralized Mortgage Obligations — 0.5%  
Freddie Mac Mortgage-Backed Securities, Series 3986, Class M, 4.50%, 9/15/41 USD 3,107 $ 3,328,554  
 
Interest Only Collateralized Mortgage Obligations — 1.8%  
Fannie Mae Mortgage-Backed Securities:  
  Series 2010-126, Class UI, 5.50%, 10/25/40   11,405   1,761,941  
  Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)   21,151   3,601,005  
Freddie Mac Mortgage-Backed Securities (b):  
  Series K021, Class X1, 1.51%, 6/25/22   11,140   1,255,155  
  Series K707, Class XI, 1.70%, 12/25/18   43,278   3,478,839  
  Series K710, Class XI, 1.92%, 5/25/19   13,424   1,300,660  
         
  11,397,600  
 
Mortgage-Backed Securities — 6.2%  
Fannie Mae Mortgage-Backed Securities (e):  
  5.00%, 7/01/20 - 8/01/23   11,168   12,150,378  
  3.50%, 8/01/26   11,505   12,386,456  
Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 (e)   14,705   15,997,421  
         
  40,534,255  
 
Total US Government Sponsored Agency Securities – 8.5%   55,260,409  

 

   
Shares
     
Warrants (m)  
 
Software — 0.0%  
Bankruptcy Management Solutions, Inc. (Expires 9/28/17)   435    
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)   3,100    
 
Total Warrants – 0.0%    
                   
 
Shares
Value  
Total Long-Term Investments
(Cost – $953,087,267) – 148.1%
  $ 966,565,770  

 

Short-Term Securities  
 
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (n)(o)   4,951,071   4,951,071  
 
Total Short-Term Securities
(Cost – $4,951,071) – 0.8%
  4,951,071  

 

   
Contracts
     
Options Purchased  
 
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.   46   1  
 
Total Options Purchased
(Cost – $44,978) – 0.0%
  1  
 
Total Investments (Cost - $958,083,316*) – 148.9% 971,516,842  
Liabilities in Excess of Other Assets – (48.9)%   (319,202,471)  
         
Net Assets – 100.0% $ 652,314,371  
         
                       

 

 
* As of November 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:  
  Tax cost $ 956,844,163  
         
  Gross unrealized appreciation $ 36,312,951  
  Gross unrealized depreciation   (21,640,272)  
         
Net unrealized appreciation $ 14,672,679  
         
           

 

(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.

 

BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    17
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

(c) When-issued security. Unsettled when-issued transactions were as follows:

 

  Counterparty   Value   Unrealized Appreciation
  Deutsche Bank AG   $ 970,200 $
  Goldman Sachs Group, Inc.   $ 171,396 $ 2,325
  JPMorgan Chase & Co.   $ 4,500,000 $
  Wells Fargo & Co.   $ 773,456 $ 12,456
                     
                                 
(d) Non-income producing security.
(e) All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.
(f) Convertible security.
(g) Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.
(h) Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(i) Security is perpetual in nature and has no stated maturity date.
(j) Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.
(k) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(l) Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.
(m) Warrants entitle the Trust 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 of the warrants, if any.
(n) Represents the current yield as of report date.
(o) Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
 
  Affiliate   Shares
Held at
August 31, 2012
  Net
Activity
  Shares
Held at
November 30, 2012
  Income
  BlackRock Liquidity Funds, TempFund, Institutional Class   2,323,267   2,627,804   4,951,071 $ 2,321
                     
                                         
  Fund pays the fixed rate and receives the floating rate.

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
CAD Canadian Dollar
CNH Chinese Renminbi (offshore)
DIP Debtor-In-Possession
EBIDTA Earnings Before Interest, Taxes, Depreciation and Amortization
EUR Euro
FKA Formerly Known As
GBP British Pound
GO General Obligation Bonds
LIBOR London Interbank Offered Rate
TBA To Be Announced
USD US Dollar
For Trust compliance purposes, the Trust'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 Trust management. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
 
Reverse repurchase agreements outstanding as of November 30, 2012 were as follows:

 

   
  Counterparty   Interest
Rate
  Trade
Date
  Maturity
Date1
  Face Value   Face Value
Including
Accrued
Interest
 
   
  Barclays Capital, Inc.   0.60%   3/30/12   Open $ 1,368,400 $ 1,374,010  
  Barclays Capital, Inc.   0.40%   4/03/12   Open   6,117,520   6,133,969  
  Barclays Capital, Inc.   0.60%   4/03/12   Open   3,308,826   3,322,171  
  Barclays Capital, Inc.   0.60%   4/04/12   Open   730,235   733,168  
  Barclays Capital, Inc.   0.35%   4/09/12   Open   3,569,655   3,577,845  
  UBS Securities, LLC   0.35%   4/12/12   Open   3,541,363   3,549,385  
  UBS Securities, LLC   0.25%   4/17/12   Open   1,031,063   1,032,695  
  Barclays Capital, Inc.   0.40%   4/18/12   Open   8,260,600   8,281,435  
  Barclays Capital, Inc.   0.60%   4/23/12   Open   1,081,088   1,085,088  
  Barclays Capital, Inc.   0.60%   4/30/12   Open   947,468   950,864  
  Deutsche Bank Securities, Inc.   0.50%   4/30/12   Open   1,416,620   1,420,850  
  UBS Securities, LLC   0.55%   4/30/12   Open   1,556,650   1,561,763  
  Barclays Capital, Inc.   0.65%   5/02/12   Open   2,160,413   2,168,721  
                                 
BLACKROCK LIMITED DURATION INCOME TRUSTNOVEMBER 30, 2012    18
Consolidated Schedule of Investments (continued)

BlackRock Limited Duration Income Trust (BLW)

 

Reverse repurchase agreements outstanding as of November 30, 2012 were as follows (continued):  

 

  Counterparty   Interest
Rate
  Trade
Date
  Maturity
Date1
  Face Value   Face Value
Including
Accrued
Interest
 
   
  Barclays Capital, Inc.   0.60%   5/03/12   Open $ 673,035 $ 675,413  
  Barclays Capital, Inc.   0.00%   5/03/12   Open   340,706   340,706  
  UBS Securities, LLC   0.34%   5/03/12   Open   3,198,769   3,205,173  
  Barclays Capital, Inc.   0.60%   5/07/12   Open   425,914   427,390  
  Barclays Capital, Inc.   0.40%   5/07/12   Open   2,403,144   2,408,698  
  Credit Suisse Securities (USA) LLC   0.35%   5/07/12   Open   3,097,381   3,103,645  
  UBS Securities, LLC   0.40%   5/07/12   Open   1,175,513   1,178,229  
  UBS Securities, LLC   0.00%   5/07/12   Open   503,750   503,750  
  Barclays Capital, Inc.   0.60%   5/08/12   Open   861,358   864,330  
  Credit Suisse Securities (USA) LLC   0.35%   5/08/12   Open   2,560,000   2,565,152  
  Credit Suisse Securities (USA) LLC   0.38%   5/08/12   Open   1,277,250   1,280,041  
  Credit Suisse Securities (USA) LLC   0.65%   5/08/12   Open   1,011,250   1,015,030  
  Credit Suisse Securities (USA) LLC   0.65%   5/10/12   Open   1,154,554   1,158,827  
  UBS Securities, LLC   0.00%   5/10/12   Open   459,375   459,375  
  UBS Securities, LLC   0.55%   5/10/12   Open   2,979,465   2,988,751  
  Credit Suisse Securities (USA) LLC   0.35%   5/11/12   Open   3,119,100   3,125,286  
  Credit Suisse Securities (USA) LLC   0.35%   5/14/12   Open   1,034,800   1,036,822  
  UBS Securities, LLC   0.65%   5/14/12   Open   789,074   791,938  
  Barclays Capital, Inc.   0.55%   5/18/12   Open   1,768,145   1,773,466  
  Credit Suisse Securities (USA) LLC   0.35%   5/18/12   Open   243,800   244,267  
  Credit Suisse Securities (USA) LLC   0.00%   5/18/12   Open   182,025   182,028  
  Barclays Capital, Inc.   0.60%   5/23/12   Open   636,862   638,900  
  Credit Suisse Securities (USA) LLC   0.60%   5/23/12   Open   386,750   387,988  
  Barclays Capital, Inc.   0.35%   6/05/12   Open   3,155,100   3,160,591  
  Barclays Capital, Inc.   0.55%   6/05/12   Open   1,103,926   1,106,945  
  Barclays Capital, Inc.   0.60%   6/05/12   Open   557,356   559,019  
  Credit Suisse Securities (USA) LLC   0.65%   6/05/12   Open   862,174   864,961  
  UBS Securities, LLC   0.54%   6/05/12   Open   726,512   728,463  
  UBS Securities, LLC   0.45%   6/05/12   Open   748,125   749,799  
  UBS Securities, LLC.   0.65%   6/05/12   Open   894,400   897,291  
  UBS Securities, LLC.   0.55%   6/05/12   Open   3,565,000   3,574,749  
  UBS Securities, LLC   0.65%   6/07/12   Open   1,115,100   1,118,663  
  UBS Securities, LLC   0.65%   6/13/12   Open   310,912   311,872  
  Barclays Capital, Inc.   0.60%   6/26/12   Open   1,347,675   1,351,224  
  Barclays Capital, Inc.   0.60%   6/28/12   Open   1,540,425   1,544,430  
  Barclays Capital, Inc.   0.35%   6/28/12   Open   1,109,750   1,111,433  
  Barclays Capital, Inc.   0.60%   6/29/12   Open   1,567,681   1,571,732  
  Barclays Capital, Inc.   0.60%   7/05/12   Open   1,627,580   1,631,624  
  Barclays Capital, Inc.