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: 08/31/2013

 

Date of reporting period: 02/28/2013

 

Item 1 – Report to Stockholders

 

 
 

FEBRUARY 28, 2013

SEMI-ANNUAL REPORT (UNAUDITED)  

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee
 
  

Table of Contents

 
           Page    
Dear Shareholder
           3    
Semi-Annual Report:
                
Fund Summaries
           4    
The Benefits and Risks of Leveraging
           10    
Derivative Financial Instruments
           10    
Financial Statements
                
Schedules of Investments
           11    
Statements of Assets and Liabilities
           47    
Statements of Operations
           48    
Statements of Changes in Net Assets
           49    
Statements of Cash Flows
           51    
Financial Highlights
           52    
Notes to Financial Statements
           55    
Officers and Directors
           67    
Additional Information
           68    
 
  
2 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
Dear Shareholder 

Despite a number of headwinds, risk assets generated strong returns during the 6- and 12-month periods as investors sought meaningful yields in the ongoing low-interest-rate environment. About this time one year ago, the European debt crisis returned to the headlines as unresolved policy decisions left it unclear as to how troubled peripheral countries would finance their sovereign debt, causing yields to soar. In the second quarter of 2012, political instability in Greece and severe deficit and liquidity problems in Spain raised the specter of a full-blown euro collapse. 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, emerged as a particular concern. As the outlook for the global economy worsened, however, investors grew increasingly optimistic that the world’s largest central banks would soon intervene to stimulate growth. This theme, along with the announcement of the European Central Bank’s (“ECB’s”) firm commitment to preserve the euro currency bloc, drove most asset classes higher through the summer. Policy relief came in early September, when the ECB announced its decision to support the eurozone’s debt-laden countries with unlimited purchases of short term sovereign debt. Days later, the US Federal Reserve announced its own much-anticipated stimulus package.

Although financial markets world-wide were buoyed by accommodative monetary policies, risk assets weakened in the fall. Global trade began to slow as many European countries fell into recession and growth continued to decelerate in China, where a once-a-decade leadership change compounded uncertainty. In the United States, stocks slid on lackluster corporate earnings reports and market volatility rose in advance of the US Presidential election. In the post-election environment, investors grew increasingly concerned over the “fiscal cliff,” the automatic tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. There was widespread fear that the fiscal cliff would push the United States into recession unless politicians could agree upon alternate measures to reduce the deficit before the end of 2012. Worries that bipartisan gridlock would preclude a timely budget deal triggered higher levels of volatility in financial markets around the world in the months leading up to the last day of the year. Ultimately, the worst of the fiscal cliff was averted with a last-minute tax deal; however, decisions relating to spending cuts and the debt ceiling continued to weigh on investors’ minds.

Investors shook off the nerve-wracking finale to 2012 and began the New Year with a powerful equity rally. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaled modest but broad-based improvements in the world’s major economies, particularly in China. Global equities soared through January while rising US Treasury yields pressured high-quality fixed income assets. However, bond markets strengthened in February when economic momentum slowed and investors toned down their risk appetite. US stocks continued to rise, but at a more moderate pace. Uncertainty about how long the Federal Reserve would maintain its easing bias drove high levels of volatility later in the month, but these fears abated as the budget sequester (automatic spending cuts scheduled to take effect March 1) began to appear imminent and was deemed likely to deter any near-term curtailment of monetary easing policies. Outside the United States, equities largely declined as political uncertainty escalated after the Italian presidential election ended in a stalemate.

On the whole, riskier asset classes outperformed lower-risk investments for the 6- and 12-month periods ended February 28, 2013. International, US small cap and emerging market equities were the leading asset classes for the 6-month period, while US stocks and high yield bonds generated the strongest returns for the 12-month period. US Treasury yields remained relatively low overall, but have inched higher in recent months, pressuring Treasuries and investment-grade bonds. Tax-exempt municipal bonds, however, continued to benefit from favorable supply-and-demand dynamics. Near-zero short term interest rates continued to keep yields on money market securities near their all-time lows.

Investors continue to face many of the same risks as in years past. But we see a world of possibilities. BlackRock was built to provide the global market insight, breadth of capabilities, unbiased investment advice and deep risk management expertise these times require. Investors everywhere are asking, “So what do I do with my money?” Visit www.blackrock.com for answers.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC

“Despite a number of headwinds, risk assets generated strong returns during the 6- and 12-month periods as investors sought meaningful yields in the ongoing low-interest-rate environment.”

Rob Kapito
President, BlackRock Advisors, LLC


Total Returns as of February 28, 2013

         6-month      12-month
US large cap equities (S&P 500® Index)
           8.95 %           13.46 %  
US small cap equities (Russell 2000® Index)
           13.02            14.02   
International equities (MSCI Europe, Australasia, Far East Index)
           14.41            9.84   
Emerging market equities (MSCI Emerging Markets Index)
           12.06            0.28   
3-month Treasury bill (BofA Merrill Lynch 3-Month US Treasury
Bill Index)
           0.05            0.11   
US Treasury securities (BofA Merrill Lynch
10-Year US Treasury Index)
           (1.51 )           3.66   
US investment grade bonds (Barclays US Aggregate Bond Index)
           0.15            3.12   
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           2.40            5.71   
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)
           6.67            11.79   

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


THIS PAGE NOT PART OF YOUR FUND REPORT

3

 
  
Fund Summary as of February 28, 2013 BlackRock Defined Opportunity Credit Trust

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six months ended February 28, 2013, the Fund returned 9.13% based on market price and 5.55% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 10.24% based on market price and 6.30% 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 higher quality loan instruments (where the Fund maintained a quality bias) had a positive impact on performance. From an industry perspective, holdings within healthcare, chemicals and gaming boosted results. The Fund’s tactical allocation to high yield bonds generated additional gains as the asset class outperformed floating rate loan interests (bank loans) during the period.
Conversely, security selection in the media non-cable and automotive industries detracted from results.

Describe recent portfolio activity.

During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Given mixed economic data and a tepid outlook for global growth, along with lingering global policy uncertainty, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. Monetary stimulus measures from global central banks largely supported risk asset prices in 2012; however, this development did not significantly influence the way the Fund invests in 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 macro risks. With the average loan trading at or just below par recently (i.e., with little or no upside), the Fund’s principal emphasis is on investing in strong companies with the ability to pay their debts despite a slow growth environment.

Describe portfolio positioning at period end.

At period end, the Fund held 90% of its total portfolio in floating rate loan interests and 7% in corporate bonds, with the remainder in asset-backed securities. The Fund’s largest industry exposures included healthcare, consumer services (housing-related) and wirelines.

    

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

4 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
    BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”)
     
BHL
Initial Offering Date
     
January 31, 2008
Yield on Closing Market Price as of February 28, 2013 ($14.75)1
     
5.57%
Current Monthly Distribution per Common Share2
     
$0.0685
Current Annualized Distribution per Common Share2
     
$0.8220
Economic Leverage as of February 28, 20133
     
27%
1   Yield 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.
2   The distribution rate is not constant and is subject to change.
3   Represents 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 10.

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





   
2/28/13
   
8/31/12
   
Change
   
High
   
Low
Market Price
        $ 14.75         $ 13.94            5.81 %        $ 14.93         $ 12.92   
Net Asset Value
        $ 14.45         $ 14.12            2.34 %        $ 14.48         $ 14.12   

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

Portfolio Composition




   
2/28/13
   
8/31/12
Floating Rate Loan Interests
           90 %           90 %  
Corporate Bonds
           7             7    
Asset-Backed Securities
           3             2    
Common Stocks
                       1    

Credit Quality Allocation4




   
2/28/13
   
8/31/12
BBB/Baa
           6 %           12 %  
BB/Ba
           25             40    
B
           65             46    
CCC/Caa
           4             2    
4   Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.
SEMI-ANNUAL REPORT FEBRUARY 28, 2013 5
 
  
Fund Summary as of February 28, 2013 BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Overview

BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA) (the “Fund”) investment objective is to provide shareholders with high current income and such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in floating rate debt securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in 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 October 5, 2012, the Fund acquired substantially all of the assets and assumed substantially all of the liabilities of BlackRock Diversified Income Strategies Fund, Inc. and BlackRock Floating Rate Income Strategies Fund II, Inc. in exchange for newly issued shares of the Fund.

How did the Fund perform?

For the six months ended February 28, 2013, the Fund returned 12.50% based on market price and 6.53% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 10.24% based on market price and 6.30% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Security selection among higher quality loan instruments (where the Fund maintained a quality bias) had a positive impact on performance, as did the Fund’s high-conviction holdings of lower quality loan credits. From an industry perspective, holdings within paper, chemicals and gaming boosted results. The Fund’s tactical allocation to high yield bonds generated additional gains as the asset class outperformed floating rate loan interests (bank loans) during the period.
Conversely, security selection in the media non-cable, independent energy and automotive industries detracted from results.

Describe recent portfolio activity.

During the period, the Fund maintained its focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. Given mixed economic data and a tepid outlook for global growth, along with lingering global policy uncertainty, the Fund remained cautious of lower-rated less-liquid loans. Instead, the Fund sought issuers with attractive risk-reward characteristics and superior fundamentals. Monetary stimulus measures from global central banks largely supported risk asset prices in 2012; however, this development did not significantly influence the way the Fund invests in 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 macro risks. With the average loan trading at or just below par recently (i.e., with little or no upside), the Fund’s principal emphasis is on investing in strong companies with the ability to pay their debts despite a slow growth environment.

Describe portfolio positioning at period end.

At period end, the Fund held 88% of its total portfolio in floating rate loan interests and 8% in corporate bonds, with the remainder in asset-backed securities and common stocks. The Fund’s largest industry exposures included healthcare, building materials and wirelines.

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.

6 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
    BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE
     
FRA
Initial Offering Date
     
October 31, 2003
Yield on Closing Market Price as of February 28, 2013 ($16.47)1
     
5.61%
Current Monthly Distribution per Common Share2
     
$0.077
Current Annualized Distribution per Common Share2
     
$0.924
Economic Leverage as of February 28, 20133
     
27%
1   Yield 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.
2   The distribution rate is not constant and is subject to change.
3   Represents 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 10.

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





   
2/28/13
   
8/31/12
   
Change
   
High
   
Low
Market Price
        $ 16.47         $ 15.20            8.36 %        $ 16.51         $ 13.91   
Net Asset Value
        $ 15.37         $ 14.98            2.60 %        $ 15.38         $ 14.96   

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

Portfolio Composition




   
2/28/13
   
8/31/12
Floating Rate Loan Interests
           88 %           88 %  
Corporate Bonds
           8             10    
Asset-Backed Securities
           3             2    
Common Stocks
           1                

Credit Quality Allocation4




   
2/28/13
   
8/31/12
BBB/Baa
           6 %           8 %  
BB/Ba
           25             34    
B
           57             44    
CCC/Caa
           6             8    
Not Rated
           6             6    
4   Using the higher of S&P’s or Moody’s ratings.
SEMI-ANNUAL REPORT FEBRUARY 28, 2013 7
 
  
Fund Summary as of February 28, 2013 BlackRock Limited Duration Income Trust

Fund Overview

BlackRock Limited Duration Income Trust’s (BLW) (the “Fund”) investment objective is to provide current income and capital appreciation. The Fund seeks to achieve its investment objective by investing primarily in three distinct asset classes:

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

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

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

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended February 28, 2013, the Fund returned 9.10% based on market price and 7.17% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 4.30% based on market price and 8.66% based on NAV. All returns reflect reinvestment of dividends. The Fund’s premium to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

Spread sectors outperformed government-related debt for the six-month period as accommodative monetary policy in the United States and Europe along with the continued recovery of the US economy drove credit spreads tighter. The Fund’s allocations to high yield bonds and floating rate loan interests (bank loans) were the largest contributors to performance, followed by its positions in non-US sovereign securities. The Fund also benefited from its exposure to structured products including commercial mortgage-backed securities (“CMBS”), asset-backed securities (“ABS”) and non-agency residential mortgage-backed securities (“MBS”). An allocation to investment grade credit also had a positive impact.
The Fund’s duration profile (sensitivity to interest rate movements) detracted from performance as interest rates moved higher during the period.

Describe recent portfolio activity.

During the six-month period, the Fund maintained a positive view on spread sectors and increased exposure to high yield credit, floating rate loan interests and securitized products such as CMBS and ABS. Within investment grade credit, the Fund favored financials over industrials and utilities. In financials, the Fund rotated out of senior bank debt into subordinated bank debt to take advantage of the yield differential. In addition, the Fund added to positions in floating rate preferred securities to benefit from a potential rise in interest rates.

Describe portfolio positioning at period end.

At period end, the Fund held 46% in corporate bonds and 34% of its total portfolio in floating rate loan interests (bank loans). The remainder of the portfolio was invested in MBS, structured products (including CMBS and ABS), US government sponsored agency securities and common stocks.

    

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.

8 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
    BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE
     
BLW
Initial Offering Date
     
July 30, 2003
Yield on Closing Market Price as of February 28, 2013 ($18.84)1
     
6.97%
Current Monthly Distribution per Common Share2
     
$0.1095
Current Annualized Distribution per Common Share2
     
$1.3140
Economic Leverage as of February 28, 20133
     
32%
1   Yield 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.
2   The distribution rate is not constant and is subject to change.
3   Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on page 10.

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





   
2/28/13
   
8/31/12
   
Change
   
High
   
Low
Market Price
        $ 18.84         $ 18.00            4.67 %        $ 19.17         $ 16.80   
Net Asset Value
        $ 17.87         $ 17.38            2.82 %        $ 17.92         $ 17.38   

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

Portfolio Composition




   
2/28/13
   
8/31/12
Corporate Bonds
           46 %           46 %  
Floating Rate Loan Interests
           34             34    
Non-Agency Mortgage-Backed Securities
           8             8    
Asset-Backed Securities
           6             4    
US Government Sponsored Agency Securities
           5             6    
Common Stocks
           1             1    
Taxable Municipal Bonds
                       1    

Credit Quality Allocation4




   
2/28/13
   
8/31/12
AAA/Aaa5
           10 %           12 %  
AA/Aa
           1             1    
A
           6             6    
BBB/Baa
           14             15    
BB/Ba
           24             26    
B
           29             30    
CCC/Caa
           5             8    
Not Rated
           11             2    
4   Using the higher of S&P’s or Moody’s ratings.
5   Includes US Government Sponsored Agency securities and US Treasury Obligations, which were deemed AAA/Aaa by the investment advisor.
SEMI-ANNUAL REPORT FEBRUARY 28, 2013 9
 
  
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 through a credit facility or by 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 3313% of their total managed assets (each Fund’s net assets plus the proceeds of any outstanding borrowings). If the Funds segregate liquid assets having a value not less than the repurchase price (including accrued interest), a reverse repurchase agreement will not be considered a senior security and therefore will not be subject to this limitation. In addition, each Fund voluntarily limits its aggregate economic leverage to 50% of its managed assets. As of February 28, 2013, 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
           27 %  
FRA
           27 %  
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.Report of Independent Registered Public Accounting Firm

10 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
Schedule of Investments February 28, 2013 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Asset-Backed Securities                 Par
(000)
     Value
ACAS CLO Ltd., Series 2012-1A, Class D, 5.58%, 9/20/23 (a)(b)
           USD             250          $     251,250     
Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 3.16%, 1/13/25 (a)(b)
                         500             479,450   
Atrium CDO Corp., Series 9A, Class D, 3.96%, 2/28/24 (a)(b)
                         250             241,750   
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.89%, 1/20/25 (a)(b)
                         250             250,375   
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.30%, 4/20/23 (a)(b)
                         215             214,998   
Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.50%, 4/17/22 (a)(b)
                         350             348,005   
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.71%, 9/20/22 (a)(b)
                         350             352,100   
ING Investment Management, Series 2012-2A, Class D, 4.85%, 10/15/22 (a)(b)
                         350             350,875   
LCM XI LP, Series 11A, Class D2, 4.25%, 4/19/22 (a)(b)
                         375             371,250   
Marea CLO Ltd., Series 2012-1A, Class D, 4.85%, 10/16/23 (a)(b)
                         400             402,000   
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class C, 4.56%, 1/15/24 (a)(b)
                         250             242,500   
OZLM Funding Ltd., Series 2013-3A, Class C, 4.15%, 1/22/25 (a)(b)
                         250             244,425   
Race Point VI CLO Ltd., Series 2012-6A, Class D, 4.79%, 5/24/23 (a)(b)
                         250             252,400   
Symphony CLO IX LP, Series 2012-9A, Class D, 4.55%, 4/16/22 (a)(b)
                         500             496,850   
Symphony CLO X Ltd., Series 2012-10A, Class D, 5.55%, 7/23/23 (a)(b)
                         350             354,375   
West CLO Ltd., Series 2012-1A, Class C, 5.05%, 10/30/23 (a)(b)
                         250             253,227   
Total Asset-Backed Securities — 3.9%
                                       5,105,830   

Common Stocks (c)
                         Shares                  
Hotels, Restaurants & Leisure — 0.3%
                                                            
BLB Worldwide Holdings, Inc.
                         21             453,254   
Software — 0.2%
                                                            
HMH Holdings/EduMedia
                         14             247,582   
Total Common Stocks — 0.5%
                                       700,836   

Corporate Bonds
                         Par (000)                  
Airlines — 0.2%
                                                            
American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23
           USD             79             82,130   
Continental Airlines Pass-Through Trust, Series 2012-3, Class C, 6.13%, 4/29/18
                         155             154,612   
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
                         51             57,035   
 
                                       293,777   
Auto Components — 0.3%
                                                            
Icahn Enterprises LP, 8.00%, 1/15/18
                         340             364,225   
Building Products — 0.1%
                                                            
Momentive Performance Materials, Inc., 8.88%, 10/15/20
                         160             164,200     
Corporate Bonds                 Par
(000)
     Value
Chemicals — 0.1%
                                                            
INEOS Finance Plc, 8.38%, 2/15/19 (a)
           USD             110          $     120,450     
Commercial Services & Supplies — 0.3%
                                                            
ARAMARK Corp., 3.80%, 2/01/15 (b)
                         65             65,098   
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)
                         304             318,999   
 
                                       384,097   
Communications Equipment — 0.7%
                                                            
Avaya, Inc., 7.00%, 4/01/19 (a)
                         206             196,730   
Zayo Group LLC/Zayo Capital, Inc.:
                                                            
8.13%, 1/01/20
                         380             424,650   
10.13%, 7/01/20
                         250             293,125   
 
                                       914,505   
Consumer Finance — 0.3%
                                                            
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)
                         325             347,750   
Diversified Financial Services — 1.3%
                                                            
Ally Financial, Inc., 2.62%, 12/01/14 (b)
                         440             441,107   
Reynolds Group Issuer, Inc.:
                                                            
7.13%, 4/15/19
                         120             128,850   
5.75%, 10/15/20
                         930             960,225   
6.88%, 2/15/21
                         185             197,488   
 
                                       1,727,670   
Diversified Telecommunication Services — 0.2%
                                                            
Lynx I Corp., 5.38%, 4/15/21 (a)
                         200             205,000   
Energy Equipment & Services — 0.3%
                                                            
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
                         113             116,955   
Tervita Corp., 8.00%, 11/15/18 (a)
                         232             238,960   
 
                                       355,915   
Health Care Providers & Services — 1.1%
                                                            
CHS/Community Health Systems, Inc., 5.13%, 8/15/18
                         358             376,347   
HCA, Inc., 6.50%, 2/15/20 (a)
                         375             420,000   
inVentiv Health, Inc., 9.00%, 1/15/18 (a)
                         190             198,075   
Tenet Healthcare Corp.:
                                                            
6.25%, 11/01/18
                         185             204,888   
4.50%, 4/01/21 (a)
                         264             260,370   
 
                                       1,459,680   
Health Care Technology — 0.8%
                                                            
IMS Health, Inc., 12.50%, 3/01/18 (a)
                         850             1,024,250   
Hotels, Restaurants & Leisure — 0.3%
                                                            
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20 (a)
                         67             66,163   
Caesars Operating Escrow LLC, 9.00%, 2/15/20 (a)
                         319             315,012   
 
                                       381,175   
Household Durables — 0.2%
                                                            
Beazer Homes USA, Inc., 6.63%, 4/15/18
                         180             192,375   
United Rentals North America, Inc., 5.75%, 7/15/18
                         80             86,100   
 
                                       278,475   
Independent Power Producers & Energy Traders — 1.6%
                                  
Calpine Corp., 7.25%, 10/15/17 (a)
                         220             234,025   
Energy Future Intermediate Holding Co. LLC:
                                                            
10.00%, 12/01/20 (a)
                         230             259,325   
10.00%, 12/01/20
                         1,405            1,594,675   
 
                                       2,088,025   

Portfolio Abbreviations

To simplify the listings of portfolio holdings in the Schedules of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:
     
CAD
DIP
EBITDA
  
Canadian Dollar
Debtor-In-Possession
Earnings Before Interest, Taxes, Depreciation and Amortization
  
EUR
GBP
TBA

USD
  
Euro
British Pound
To Be Announced
US Dollar

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2013 11
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Corporate Bonds                 Par
(000)
     Value
IT Services — 0.2%
                                                            
First Data Corp., 6.75%, 11/01/20 (a)
           USD             245          $     251,431     
Media — 0.8%
                                                            
AMC Networks, Inc., 7.75%, 7/15/21
                         105             119,175   
Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)
                         195             181,350   
Clear Channel Worldwide Holdings, Inc. (a):
                                                            
6.50%, 11/15/22
                         192             200,640   
6.50%, 11/15/22
                         517             544,142   
 
                                       1,045,307   
Oil, Gas & Consumable Fuels — 0.1%
                                                            
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
                         145             158,050   
Paper & Forest Products — 0.1%
                                                            
Longview Fibre Paper & Packaging, Inc., 8.00%, 6/01/16 (a)
                         155             162,750   
Real Estate Management & Development — 0.1%
                                                            
Realogy Corp., 7.63%, 1/15/20 (a)
                         165             186,038   
Wireless Telecommunication Services — 0.8%
                                                            
Sprint Nextel Corp. (a):
                                                            
9.00%, 11/15/18
                         290             359,600   
7.00%, 3/01/20
                         550             643,500   
 
                                       1,003,100   
Total Corporate Bonds — 9.9%
                                       12,915,870   

Floating Rate Loan Interests (b)
                                            
Aerospace & Defense — 1.4%
                                                            
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/24/20
                         515             517,092   
DynCorp International LLC, Term Loan B, 6.25%, 7/07/16
                         255             256,748   
The SI Organization, Inc., Term Loan B, 4.50%, 11/22/16
                         414             412,905   
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19
                         367             368,756   
Transdigm, Inc., Term Loan C, 4.00%, 2/28/20
                         225             225,423   
 
                                       1,780,924   
Airlines — 2.1%
                                                            
Delta Air Lines, Inc.:
                                                            
Term Loan, 3.56%, 9/16/15
                         352             328,867   
Term Loan B, 4.50%, 4/20/17
                         997             1,005,870   
Northwest Airlines, Inc.:
                                                            
Term Loan, 2.32%, 3/10/17
                         134             124,754   
Term Loan, 2.32%, 3/10/17
                         242             225,302   
Term Loan, 1.70%, 9/10/18
                         110             98,208   
Term Loan, 1.70%, 9/10/18
                         109             97,315   
US Airways Group, Inc., Term Loan, 2.70%, 3/21/14
                         815             812,669   
 
                                       2,692,985   
Auto Components — 3.6%
                                                            
Autoparts Holdings Ltd., First Lien Term Loan, 6.50%, 7/28/17
                         642             645,617   
Federal-Mogul Corp.:
                                                            
Term Loan B, 2.14%, 12/29/14
                         1,293            1,203,326   
Term Loan C, 2.14%, 12/28/15
                         542             504,073   
The Goodyear Tire & Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19
                         1,150            1,154,313   
Schaeffler AG, Term Loan B2, 6.00%, 1/27/17
                         420             419,895   
Transtar Holding Co., First Lien Term Loan, 5.50%, 10/09/18
                         494             498,700   
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
                         343             343,751   
 
                                       4,769,675   
Biotechnology — 0.5%
                                                            
Grifols, Inc., Term Loan B, 4.25%, 6/01/17
                         634             636,869   
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Building Products — 1.8%
                                                            
Armstrong World Industries, Inc., Term Loan B, 4.00%, 3/09/18
           USD             760          $     760,256     
CPG International, Inc., Term Loan, 5.75%, 9/18/19
                         818             824,085   
Wilsonart International Holdings LLC, Term Loan B, 5.50%, 10/31/19
                         800             808,400   
 
                                       2,392,741   
Capital Markets — 1.7%
                                                            
American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16
                         603             609,030   
HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17
                         370             371,725   
Nuveen Investments, Inc.:
                                                            
Extended First Lien Term Loan,
5.70%—5.81%, 5/13/17
                         391             395,604   
Extended Term Loan, 5.70% – 5.81%, 5/12/17
                         637             645,901   
Incremental Term Loan, 7.25%, 5/13/17
                         115             115,575   
Second Lien Term Loan, 8.25%, 2/28/19
                         147             149,940   
 
                                       2,287,775   
Chemicals — 4.5%
                                                            
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17
                         604             598,353   
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16
                         655             659,912   
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
                         483             486,978   
General Chemical Corp., Term Loan, 5.00% – 5.75% 10/06/15
                         356             357,102   
INEOS US Finance LLC:
                                                            
3 Year Term Loan, 5.50%, 5/04/15
                         89             90,978   
6 Year Term Loan, 6.50%, 5/04/18
                         365             372,053   
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
                         590             587,971   
Tronox Pigments (Netherlands) BV, Term Loan B, 4.25%, 2/08/18
                         602             601,209   
Univar, Inc., Term Loan B, 5.00%, 6/30/17
                         412             410,129   
US Coatings Acquisition, Inc.:
                                                            
Term Loan, 4.75%, 2/03/20
                         1,510            1,528,331   
Term Loan B, 5.25%, 2/03/20
           EUR             145             191,232   
 
                                       5,884,248   
Commercial Banks — 0.5%
                                                            
Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18
           USD             660             665,537   
Commercial Services & Supplies — 5.5%
                                                            
ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19
                         605             609,885   
ADS Waste Holdings, Inc., Term Loan B, 5.25%, 10/09/19
                         1,305            1,306,227   
Altegrity, Inc.:
                                                            
Term Loan, 3.20%, 2/21/15
                         225             217,125   
Tranche D Term Loan, Tranche D Term Loan, 7.75%, 2/20/15
                         279             279,288   
ARAMARK Corp.:
                                                            
Extended Synthetic LC, 3.46%, 7/26/16
                         9             9,420   
Extended Term Loan B, 3.45%, 7/26/16
                         211             211,797   
Extended Term Loan C, 3.45% – 3.56%, 7/26/16
                         116             116,936   
Letter of Credit, 3.46%, 7/26/16
                         14             13,929   
AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18
                         309             314,013   
AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16
                         327             329,269   
Delos Aircraft, Inc., Term Loan 2, 4.75%, 4/12/16
                         825             829,810   
Garda World Security Corp., Term Loan B, 4.50%, 11/13/19
                         165             166,131   
KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17
                         1,182            1,193,820   
Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19
                         315             317,756   
Protection One, Inc., Term Loan, 5.75%, 3/21/19
                         561             565,669   
WEST Corp., Term Loan B8, 5.75%, 2/07/18
                         690             692,015   
 
                                       7,173,090   

See Notes to Financial Statements.

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Communications Equipment — 4.0%
                                                            
Alcatel-Lucent:
                                                            
Term Loan B, 6.25%, 7/29/16
           USD             440          $     444,598     
Term Loan C, 7.25%, 1/31/19
                         755             763,305   
Term Loan D, 7.75%, 1/31/19
           EUR             245             320,704   
Arris Group, Inc., Term Loan B, 3.50%, 2/07/20
           USD             175             174,617   
Avaya, Inc.:
                                                            
Extended Term Loan B3, 4.79%, 10/26/17
                         182             169,600   
Term Loan B5, 8.00%, 3/30/18
                         121             121,268   
CommScope, Inc., Term Loan, 4.25%, 1/12/18
                         810             813,413   
Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19
                         380             384,275   
Zayo Group, LLC Refinancing, Term Loan B, 5.25%, 7/12/19
                         2,075            2,081,317   
 
                                       5,273,097   
Construction & Engineering — 1.5%
                                                            
BakerCorp International, Inc., Term Loan B, 5.00%, 2/14/20
                         360             360,486   
Centaur LLC:
                                                            
First Lien Term Loan, 8.75%, 2/15/19
                         570             570,359   
Second Lien Term Loan, 8.75%, 2/15/20
                         280             284,200   
Safway Services LLC, First Out Term Loan, 9.00%, 12/16/17
                         750             750,000   
 
                                       1,965,045   
Construction Materials — 1.9%
                                                            
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
                         2,537            2,544,124   
Consumer Finance — 0.8%
                                                            
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17
                         1,060            1,063,752   
Containers & Packaging — 0.5%
                                                            
Berry Plastics Holding Corp., Term Loan C, 2.20%, 4/03/15
                         247             247,223   
Sealed Air Corp., Term Loan, 4.00%, 10/03/18
                         379             383,567   
 
                                       630,790   
Distributors — 0.4%
                                                            
Crossmark Holdings, Inc., Term Loan, 4.50%, 1/31/20
                         235             235,099   
VWR Funding, Inc., Extended Term Loan B, 4.54%, 4/03/17
                         280             282,013   
 
                                       517,112   
Diversified Consumer Services — 2.9%
                                                            
Bright Horizons Family, Inc., Term Loan B, 4.00%, 1/16/20
                         645             648,225   
Coinmach Service Corp.:
                                                            
Delayed Draw Term Loan, 3.21%, 11/20/14
                         241             235,188   
Term Loan B, 3.21%, 11/20/14
                         886             866,304   
Education Management LLC, Term Loan C3, 8.25%, 3/29/18
                         113             96,946   
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
                         692             695,924   
ServiceMaster Co., Term Loan, 2.70%, 4/01/17
                         870             867,048   
Weight Watchers International, Inc., Term Loan F, 4.00%, 3/15/19
                         350             351,441   
 
                                       3,761,076   
Diversified Financial Services — 1.9%
                                                            
Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18
                         1,416            1,432,088   
Telesat LLC, Term Loan B, 4.25%, 3/28/19
                         741             746,464   
WMG Acquisition Corp., Term Loan, 5.25%, 11/01/18
                         370             374,162   
 
                                       2,552,714   
Diversified Telecommunication Services — 4.9%
                                                            
Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18
                         880             888,527   
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Diversified Telecommunication Services (concluded)
                                  
Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17
           USD             529          $     538,588     
Integra Telecom, Inc.:
                                                            
Second Lien Term Loan, 9.75%, 2/15/20
                         245             250,513   
Term Loan, 9.25%, 2/15/19
                         465             470,115   
Level 3 Financing, Inc.:
                                                            
2016 Term Loan B, 4.75%, 2/01/16
                         668             675,844   
2019 Term Loan B, 5.25%, 8/01/19
                         650             656,636   
Term Loan, 4.75%, 8/01/19
                         1,735            1,748,880   
Syniverse Holdings, Inc., Delayed Draw Term Loan, 4.00%, 4/23/19
                         460             459,425   
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
                         738             736,072   
 
                                       6,424,600   
Electronic Equipment, Instruments & Components — 0.4%
              
CDW LLC, Extended Term Loan, 4.00%, 7/14/17
                         503             503,994   
Energy Equipment & Services — 2.2%
                                                            
Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16
                         542             559,344   
Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16
                         632             657,214   
MEG Energy Corp., Term Loan, 3.75%, 3/20/20
                         965             967,413   
Tervita Corp., Incremental Term Loan, 3.20%, 5/01/18
                         450             452,322   
Unifrax I LLC/Unifrax Holding Co., Term Loan, 4.25%, 11/28/18
                         220             221,454   
 
                                       2,857,747   
Food & Staples Retailing — 2.2%
                                                            
Alliance Boots Holdings Ltd., Term Loan B1, 3.49%, 7/09/15
           GBP             900             1,337,192   
Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19
           USD             484             488,171   
Rite Aid Corp.:
                                                            
Second Lien Term Loan, 5.75%, 7/07/20
                         235             240,353   
Term Loan 6, 4.00%, 2/21/20
                         225             225,434   
Supervalu, Inc., Term Loan B, 6.25%, 2/05/18
                         520             525,850   
 
                                       2,817,000   
Food Products — 2.2%
                                                            
Advance Pierre Foods, Inc., Term Loan, 5.75%, 7/10/17
                         545             551,643   
Del Monte Foods Co., Term Loan, 4.50%, 3/08/18
                         888             890,600   
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18
                         170             171,447   
Pinnacle Foods Finance LLC:
                                                            
Extended Term Loan B, 3.70%, 10/03/16
                         39             39,647   
Term Loan E, 4.75%, 10/17/18
                         499             503,916   
Solvest Ltd. (Dole):
                                                            
Term Loan B-2, 5.00% – 6.00%, 7/06/18
                         278             277,699   
Term Loan C-2, 5.00% – 6.00%, 7/06/18
                         497             496,935   
 
                                       2,931,887   
Health Care Equipment & Supplies — 4.6%
                                                            
Bausch & Lomb, Inc., Term Loan B, 5.25%, 5/17/19
                         1,323            1,333,116   
Biomet, Inc., Extended Term Loan B, 3.95% – 4.06%, 7/25/17
                         465             468,037   
BSN Medical Acquisition Holding GmbH, Term Loan B, 5.00%, 8/28/19
                         385             386,540   
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
                         352             352,338   
DJO Finance LLC:
                                                            
Extended Term Loan B2, 5.20%, 11/01/16
                         189             190,044   
Term Loan B3, 6.25%, 9/15/17
                         1,052            1,060,604   
Hologic, Inc., Term Loan B, 4.50%, 8/01/19
                         1,118            1,129,784   
IASIS Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
                         96             96,807   
Immucor, Inc., Term Loan B1, 5.00%, 8/18/18
                         815             813,700   
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
                         214             218,738   
 
                                       6,049,708   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2013 13
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Health Care Providers & Services — 5.5%
                                                            
American Renal Holdings Co., Inc.:
                                                            
First Lien Term Loan, 4.00%, 8/14/19
           USD             660          $     658,350     
Second Lien Term Loan, 8.50%, 2/14/20
                         410             408,975   
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
                         265             268,644   
CHG Buyer Corp., First Lien Term Loan, 5.00%, 11/22/19
                         459             464,248   
ConvaTec, Inc., Term Loan, 5.00%, 12/22/16
                         581             586,854   
DaVita, Inc.:
                                                            
Term Loan B, 4.50%, 10/20/16
                         1,006            1,012,918   
Term Loan B2, 4.00%, 11/01/19
                         630             634,523   
Emergency Medical Services Corp., Term Loan, 4.00%, 5/25/18
                         631             631,973   
Genesis HealthCare Corp., Term Loan B, 10.00%—10.75%, 9/25/17
                         215             210,223   
Harden Healthcare LLC:
                                                            
Add on Term Loan A, 7.75%, 3/02/15
                         411             402,796   
Term Loan A, 8.50%, 3/02/15
                         273             270,586   
HCA, Inc., Extended Term Loan B3, 3.45%, 5/01/18
                         235             236,074   
inVentiv Health, Inc.:
                                                            
Combined Term Loan, 7.50%, 8/04/16
                         170             167,084   
Incremental Term Loan B-3, 7.75%, 5/15/18
                         219             215,289   
Medpace, Inc., Term Loan, 6.50% – 7.25%, 6/16/17
                         507             504,742   
US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19
                         512             519,471   
Vanguard Health Holding Co. II LLC (Vanguard Health Systems, Inc.), Term Loan B, 5.00%, 1/29/16
                         59             59,476   
 
                                       7,252,226   
Health Care Technology — 1.5%
                                                            
IMS Health, Inc., Term Loan B, 3.75%, 8/25/17
                         752             753,490   
Kinetic Concepts, Inc., Term Loan C1, 5.50% – 6.50%, 5/04/18
                         921             932,803   
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
                         285             286,662   
 
                                       1,972,955   
Hotels, Restaurants & Leisure — 7.7%
                                                            
Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/30/19
                         606             613,101   
Boyd Gaming Corp., Incremental Term Loan, 6.00%, 12/17/15
                         375             377,971   
Caesars Entertainment Operating Co., Inc.:
                                                            
Term Loan, 9.25%, 4/25/17
                         320             326,400   
Term Loan B1, 3.20%, 1/28/15
                         632             630,520   
Golden Living, Term Loan, 5.00%, 5/04/18
                         366             350,674   
Harrah’s Property Co., Mezzanine Term Loan, 3.69%, 2/13/14
                         1,333            1,226,084   
MGM Resorts International, Term Loan B, 4.25%, 12/20/19
                         775             783,912   
OSI Restaurant Partners LLC, Term Loan B, 4.75%, 10/24/19
                         580             587,313   
Sabre, Inc., Term Loan B, 5.25%, 2/01/19
                         320             319,773   
SeaWorld Parks & Entertainment, Inc., Term Loan B, 4.00%, 8/17/17
                         426             428,265   
Six Flags Theme Parks, Inc., Term Loan B,
4.00% – 5.25%, 12/20/18
                         342             345,835   
Station Casinos, Inc.:
                                                            
2011 Term Loan B2, 6.25%, 6/17/16
                         95             94,209   
Term Loan B, 5.50%, 9/27/19
                         793             797,636   
Term Loan B, 5.00%, 2/13/20
                         1,200            1,210,000   
Term Loan B1, 3.20%, 6/17/16
                         351             353,660   
Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15
                         484             486,965   
Wendy’s International, Inc., Term Loan B, 4.75%, 5/15/19
                         1,082            1,091,346   
 
                                       10,023,664   
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Household Products — 1.1%
                                                            
Prestige Brands, Inc., Term Loan,
5.25%—6.25%, 1/31/19
           USD             469          $     471,231     
Spectrum Brands, Inc., Term Loan, 4.50%, 12/17/19
                         955             966,536   
 
                                       1,437,767   
Independent Power Producers & Energy Traders — 0.8%
                                  
The AES Corp., Term Loan, 4.25%, 6/01/18
                         768             771,095   
Calpine Corp., Term Loan B1, 4.50%, 4/02/18
                         214             215,171   
 
                                       986,266   
Industrial Conglomerates — 1.2%
                                                            
Sequa Corp., Term Loan B, 5.25%, 6/19/17
                         1,496            1,513,545   
Insurance — 1.6%
                                                            
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
                         425             428,187   
Asurion LLC, Term Loan B1, 5.50%, 5/24/19
                         305             305,891   
CNO Financial Group, Inc.:
                                                            
Term Loan B-1, 4.25%, 9/28/16
                         390             392,421   
Term Loan B-2, 5.00%, 9/20/18
                         536             541,495   
Cunningham Lindsey Group, Inc., Term Loan B, 5.00%, 12/10/19
                         370             374,625   
 
                                       2,042,619   
Internet Software & Services — 0.4%
                                                            
Web.com Group, Inc., Term Loan B, 5.50%, 10/27/17
                         521             525,454   
IT Services — 5.9%
                                                            
CCC Information Services, Inc., Term Loan, 5.25%, 12/20/19
                         215             216,290   
Ceridian Corp., Extended Term Loan, 5.95%, 5/09/17
                         954             964,859   
First Data Corp.:
                                                            
2018 Add-on Term Loan, 5.20%, 9/24/18
                         595             594,732   
Extended 2018 Term Loan B, 4.20%, 3/23/18
                         2,910            2,872,851   
Genpact International, Inc., Term Loan B, 4.25%, 8/30/19
                         808             816,055   
InfoGroup, Inc., Term Loan, 5.75%, 5/25/18
                         272             246,696   
iPayment, Inc., Term Loan B, 5.75%, 5/08/17
                         74             73,914   
SunGard Data Systems, Inc., Term Loan D, 4.50%, 1/31/20
                         590             594,425   
TransUnion LLC, Term Loan B, 5.50%, 2/12/18
                         1,259            1,266,628   
 
                                       7,646,450   
Leisure Equipment & Products — 0.5%
                                                            
Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13
                         192             192,013   
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
                         413             411,632   
 
                                       603,645   
Life Sciences Tools & Services — 0.2%
                                                            
Patheon, Inc., Term Loan, 7.25%, 12/06/18
                         274             277,399   
Machinery — 2.7%
                                                            
Alliance Laundry Systems LLC:
                                                            
First Lien Term Loan, 5.50%, 12/07/18
                         230             230,934   
Second Lien Term Loan, 9.50%, 12/10/19
                         131             133,200   
Dematic S.A., Term Loan, 5.25%, 12/27/19
                         570             573,739   
Intelligrated, Inc., First Lien Term Loan, 4.50% – 6.75%, 7/30/18
                         399             399,000   
Rexnord Corp., Term Loan B, 4.50%, 4/02/18
                         312             313,802   
Silver II US Holdings LLC, First Lein Term Loan, 4.75%, 12/05/19
                         650             650,000   
Terex Corp. Term Loan B:
                                                            
4.50%, 4/28/17
                         598             603,504   
5.00%, 4/28/17
           EUR             59             77,573   
Wabash National Corp., Term Loan B, 6.00%, 5/02/19
           USD             516             519,316   
 
                                       3,501,068   

See Notes to Financial Statements.

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Media — 15.8%
                                                            
AMC Entertainment, Inc., Term Loan B3, 3.75%, 2/22/18
           USD             322          $     324,002     
BBHI Acquisition LLC, Term Loan B, 4.50%, 12/14/17
                         626             627,806   
Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18
                         541             546,296   
Catalina Marketing Corp., Extended Term Loan B, 5.70%, 9/29/17
                         508             508,623   
Cengage Learning Acquisitions, Inc.:
                                                            
Non-Extended Term Loan, 2.71%, 7/03/14
                         227             177,448   
Tranche 1 Incremental, 7.50%, 7/03/14
                         367             292,047   
Charter Communications Operating LLC:
                                                            
Extended Term Loan C, 3.46%, 9/06/16
                         538             540,169   
Term Loan D, 4.00%, 5/15/19
                         313             315,128   
Clarke American Corp., Term Facility B, 2.70%, 6/30/14
                         89             88,250   
Clear Channel Communications, Inc.:
                                                            
Term Loan B, 3.85%, 1/29/16
                         1,472            1,258,645   
Term Loan C, 3.85%, 1/29/16
                         167             141,178   
Cumulus Media, Inc., First Lien Term Loan, 4.50%, 9/17/18
                         609             614,132   
EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18
                         358             362,051   
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17
                         693             701,235   
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
                         515             519,007   
Gray Television, Inc., Term Loan B, 4.75%, 10/15/19
                         612             617,981   
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18
                         432             433,896   
Hubbard Broadcasting, Term Loan B, 4.50%, 4/28/17
                         403             406,430   
Intelsat Jackson Holdings SA, Term Loan B1, 4.50%, 4/02/18
                         2,357            2,379,334   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
                         1,312            1,313,613   
Kabel Deutschland GmbH, Term Loan F1, 3.50%, 2/01/19
                         770             771,240   
Lavena Holding 4 GmbH (Prosiebensat.1 Media AG):
                                                            
Term Loan B, 2.62%, 3/06/15
           EUR             460             591,572   
Term Loan C, 3.00%, 3/04/16
                         460             594,578   
Mediacom LLC, Term Loan E, 4.50%, 10/23/17
           USD             488             487,500   
NEP Supershooters LP:
                                                            
First Lien Term Loan, 5.25%, 1/18/20
                         330             330,927   
Second Lien Term Loan, 9.50%, 8/18/20
                         230             235,750   
Term Loan, 4.75%, 1/18/20
                         330             330,825   
Nielsen Finance LLC, Class B Term Loan, 3.95%, 5/02/16
                         627             628,702   
Sinclair Television Group, Inc., Term Loan B, 4.00%, 10/28/16
                         295             296,392   
Univision Communications, Inc., Extended Term Loan, 4.45%, 3/31/17
                         770             770,328   
UPC Broadband Holding BV, Term Loan U, 4.12%, 12/29/17
           EUR             196             255,508   
UPC Financing Partnership, Term Loan T, 3.70%, 12/30/16
           USD             80             80,186   
Virgin Media Investment Holdings:
                                                            
Term Loan B, 4.50%, 2/15/20
           GBP             650             982,227   
Term Loan B, 3.50%, 2/17/20
           USD             935             929,418   
WC Luxco Sarl, Term Loan B-3, 4.25%, 3/15/18
                         184             185,822   
Weather Channel, Term Loan B, 4.25%, 2/07/17
                         406             409,055   
WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18
                         517             523,479   
 
                                       20,570,780   
Metals & Mining — 5.0%
                                                            
Ameriforge Group, Inc.:
                                                            
First Lien Term Loan, 5.00%, 12/19/19
                         375             378,517   
Second Lien Term Loan, 8.75%, 12/18/20
                         185             187,544   
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Metals & Mining (concluded)
                                                            
Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18
           USD             517          $     527,748     
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
                         1,865            1,887,672   
Metals USA, Inc., Term Loan, 6.25%, 11/15/19
                         455             455,569   
Novelis, Inc., Term Loan, 4.00%, 3/10/17
                         1,154            1,154,923   
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18
                         137             136,844   
Walter Energy, Inc., Term Loan B, 5.75%, 4/02/18
                         1,141            1,143,299   
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
                         648             668,231   
 
                                       6,540,347   
Multiline Retail — 3.7%
                                                            
99¢ Only Stores, Term Loan, 5.25%, 1/11/19
                         460             462,863   
Apex Tool Group LLC, Term Loan B, 4.50%, 1/28/20
                         485             489,763   
BJ’s Wholesale Club, Inc.:
                                                            
First Lien Term Loan, 5.75%, 9/13/19
                         414             414,223   
Second Lien Term Loan, 9.75%, 3/26/20
                         285             294,442   
Dollar General Corp., Tranche B-2 Term Loan, 2.95%, 7/07/14
                         316             315,982   
HEMA Holding BV, Second Lien Term Loan, 5.12%, 1/05/17
           EUR             1,800            2,133,790   
The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18
           USD             690             689,773   
 
                                       4,800,836   
Oil, Gas & Consumable Fuels — 4.0%
                                                            
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
                         985             1,005,419   
Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18
                         738             745,191   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
                         447             451,564   
Plains Exploration & Production, 7-Year Term Loan B, 4.00%, 11/30/19
                         900             901,503   
Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18
                         295             297,767   
Tesoro Corp., Term Loan B, 2.55%, 1/30/16
                         540             544,725   
Vantage Drilling Co., Term Loan, 6.25%, 10/26/17
                         1,299            1,305,056   
 
                                       5,251,225   
Pharmaceuticals — 4.8%
                                                            
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17
                         1,109            1,111,559   
Par Pharmaceutical, Term Loan B, 4.25%, 9/28/19
                         1,302            1,300,110   
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
                         1,392            1,399,405   
Quintiles Transnational Corp., Term Loan B, 4.50%, 6/08/18
                         577             581,341   
RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18
                         89             90,087   
Valeant Pharmaceuticals International, Inc. Tranche B:
                                                            
Series C, 3.50%, 12/11/19
                         615             617,306   
Series D, 3.50%, 2/13/19
                         665             668,251   
Warner Chilcott Corp.:
                                                            
Incremental Term Loan B-1, 4.25%, 3/15/18
                         102             102,647   
Term Loan B-1, 4.25%, 3/15/18
                         268             270,286   
Term Loan B-2, 4.25%, 3/15/18
                         83             83,562   
 
                                       6,224,554   
Professional Services — 1.7%
                                                            
Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19
                         643             649,017   
Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18
                         787             796,828   
ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19
                         225             227,184   
Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/01/19
                         602             607,622   
 
                                       2,280,651   
Real Estate Investment Trusts (REITs) — 0.6%
                                                            
iStar Financial, Inc., Term Loan, 4.50%, 9/28/17
                         747             746,984   

See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2013 15
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Real Estate Management & Development — 1.5%
                                                            
Realogy Corp.:
                                                            
Extended Letter of Credit Loan, 4.46%, 10/10/16
           USD             88          $      87,748     
Extended Synthetic Letter of Credit, 3.23%, 10/10/13
                         21             21,046   
Extended Term Loan, 4.42%, 10/10/16
                         1,815            1,814,833   
 
                                       1,923,627   
Road & Rail — 0.4%
                                                            
Genesee & Wyoming, Inc., Term Loan A, 2.70%, 9/29/17
                         259             258,657   
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18
                         233             233,820   
 
                                       492,477   
Semiconductors & Semiconductor Equipment — 1.8%
                                  
Freescale Semiconductor, Inc.:
                                                            
Extended Term Loan B, 4.45%, 12/01/16
                         629             628,764   
Term Loan, 5.50%, 3/20/20
                         930             926,280   
NXP BV:
                                                            
Term Loan A-2, 5.50%, 3/03/17
                         390             397,066   
Term Loan C, 4.75%, 1/11/20
                         435             441,660   
 
                                       2,393,770   
Software — 3.7%
                                                            
Blackboard, Inc., Term Loan B2, 6.25%, 10/04/18
                         116             116,595   
GCA Services Group, Inc.:
                                                            
Second Lien Term Loan, 9.25%, 10/22/20
                         220             217,800   
Term Loan B, 5.25%, 11/01/19
                         440             440,000   
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
                         1,776            1,795,321   
Kronos, Inc., Second Lien Term Loan, 9.75%, 4/30/20
                         345             358,800   
RP Crown Parent LLC, First Lien Term Loan, 6.75%, 12/21/18
                         360             365,177   
Sophia LP, Term Loan B, 6.25%, 7/19/18
                         630             634,602   
SS&C Technologies, Inc.:
                                                            
Term Loan B-1, 5.00%, 6/07/19
                         819             826,333   
Term Loan B-2, 5.00%, 6/07/19
                         85             85,483   
 
                                       4,840,111   
Specialty Retail — 6.8%
                                                            
Academy Ltd., Term Loan, 4.75%, 8/03/18
                         792             801,171   
Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19
                         620             623,336   
Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17
                         152             153,605   
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
                         920             929,430   
Equinox Fitness Clubs, First Lien Term Loan, 5.50%, 11/16/19
                         455             459,550   
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
                         77             74,301   
Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17
                         458             462,277   
Jo-Ann Stores, Inc., Term Loan, 4.75%, 3/16/18
                         284             283,922   
Leslie’s Poolmart, Inc., Term Loan B, 2.00% – 5.25%, 10/16/19
                         741             749,289   
Michaels Stores, Inc., Term Loan, 4.81%, 1/31/20
                         1,025            1,027,275   
Party City Holdings, Inc., Term Loan B, 5.75%, 7/26/19
                         1,370            1,368,972   
PETCO Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
                         980             987,640   
Floating Rate Loan Interests (b)                 Par
(000)
     Value
Specialty Retail (concluded)
                                                            
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
           USD             314          $     309,499     
Toys ‘R’ Us Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
                         94             89,102   
The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19
                         518             520,992   
 
                                       8,840,361   
Textiles, Apparel & Luxury Goods — 1.4%
                                                            
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
                         918             927,243   
Phillips-Van Heusen Corp., Term Loan B, 3.25%, 12/19/19
                         390             393,128     
Wolverine Worldwide, Inc., Term Loan B, 4.00%, 7/31/19
                         496             499,515   
 
                                         1,819,886     
Thrifts & Mortgage Finance — 0.6%
                                                            
Insight Global, Inc., First Lien Term Loan, 6.00%, 10/31/19
                         450             451,125   
Ocwen Financial Corp., Term Loan, 5.00%, 1/22/18
                         375             379,530   
 
                                       830,655   
Trading Companies & Distributors — 0.4%
                                                            
WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19
                         510             514,677   
Wireless Telecommunication Services — 2.3%
                                                            
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19
                         490             491,534   
MetroPCS Wireless, Inc., Tranche B-2 Term Loan, 4.07%, 11/03/16
                         757             759,230   
Vodafone Americas Finance 2, Inc. (d):
                                                            
Term Loan, 6.88%, 8/11/15
                         1,314            1,340,404   
Term Loan B, 6.25%, 7/11/16
                         413             423,844   
 
                                       3,015,012   
Total Floating Rate Loan Interests — 135.6%
                                       177,045,501   

Warrants (e)
                         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)
                         1                
Total Warrants — 0.0%
                                          
Total Long-Term Investments
(Cost — $192,279,003) — 149.9%
                                       195,768,037   

Short-Term Securities
     
 
                           
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (f)(g)
                         4,275,893            4,275,893   
Total Short-Term Securities (Cost — $4,275,893) — 3.3%
                                       4,275,893   
Total Investments (Cost — $196,554,896) — 153.2%
                   200,043,930   
Liabilities in Excess of Other Assets — (53.2)%
                                       (69,493,029 )  
Net Assets — 100.0%
                                    $ 130,550,901   

Notes to Schedule of Investments

(a)      
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(b)      
Variable rate security. Rate shown is as of report date.
(c)      
Non-income producing security.

See Notes to Financial Statements.

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2013
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
(d)      
Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.
(e)      
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 of the warrants, if any.
(f)      
Investments in issuers considered to be an affiliate of the Fund during the six months ended February 28, 2013, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:

Affiliate



   
Shares
Held at
August 31, 2012

   
Net
Activity

   
Shares
Held at
February 28, 2013

   
Income
BlackRock Liquidity Funds, TempFund, Institutional Class
           2,326,441            1,949,452            4,275,893         $ 492    

(g)      
Represents the current yield as of report date.
     
Foreign currency exchange contracts as of February 28, 2013 were as follows:

Currency Purchased