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: 08/31/2013

 

Item 1 – Report to Stockholders

 
 

AUGUST 31, 2013

ANNUAL REPORT

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee
 
  

Table of Contents

 
           Page    
Dear Shareholder
           3    
Annual Report:
                
Fund Summaries
           4    
The Benefits and Risks of Leveraging
           10    
Derivative Financial Instruments
           10    
Financial Statements
                
Schedules of Investments
           11    
Statements of Assets and Liabilities
           49    
Statements of Operations
           50    
Statements of Changes in Net Assets
           51    
Statements of Cash Flows
           54    
Financial Highlights
           55    
Notes to Financial Statements
           58    
Report of Independent Registered Public Accounting Firm
           70    
Important Tax Information
           70    
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements
           71    
Automatic Dividend Reinvestment Plans
           75    
Officers and Directors
           76    
Additional Information
           79    
 
  
2 ANNUAL REPORT AUGUST 31, 2013
 
  
Dear Shareholder 

Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments. Financial markets rallied last fall after the European Central Bank and the US Federal Reserve announced aggressive monetary stimulus programs, substantially increasing global liquidity. But markets weakened later in the year amid slowing global trade as many European countries fell into recession and growth continued to decelerate in China. In the United States, investors became increasingly concerned about the “fiscal cliff” of tax increases and spending cuts that had been scheduled to take effect at the beginning of 2013. High levels of global market volatility persisted through year-end due to fears that bipartisan gridlock would preclude a timely resolution, putting the US economy at risk for recession.

The worst of the fiscal cliff was averted with a last-minute tax deal, allowing markets to get off to a good start in 2013. Money that had been pulled to the sidelines amid year-end tax-rate uncertainty poured back into the markets in January. Key indicators signaling modest but broad-based improvements in the world’s major economies coupled with the absence of negative headlines from Europe created an aura of comfort for investors. Global equities surged, while rising US Treasury yields pressured high quality fixed income assets. (Bond prices move in the opposite direction of yields.)

February brought a slowdown in global economic momentum and the pace of the rally moderated. In the months that followed, US equities outperformed international markets, as the US economic recovery showed greater stability compared to most other regions. Slow, but positive, growth in the United States was sufficient to support corporate earnings, while uncomfortably high unemployment reinforced investors’ expectations that the US Federal Reserve would keep interest rates low. International markets experienced higher levels of volatility given a resurgence of political instability in Italy and a severe banking crisis in Cyprus, while a poor outlook for European economies also dampened sentiment for overseas investment. Emerging markets significantly lagged the rest of the world as growth in these economies (particularly China and Brazil) fell short of expectations.

After peaking in late May, equity markets broadly sold off due to concerns about the US Federal Reserve reducing monetary stimulus. Volatility picked up considerably as investors abruptly retreated from risk assets and a sharp and dramatic rise in US Treasury yields resulted in tumbling prices for higher-quality fixed income investments. The downswing bottomed out in late June as a more dovish tone from the US central bank served to quell the extreme level of volatility in interest rates. Improving economic data and a positive outlook for corporate earnings helped financial markets regain strength in July, with major US equity indices hitting new record highs. However, markets slumped again in August as investors became more wary amid a number of unknowns. Mixed economic data spurred heightened uncertainty about the future of global growth and investors grew anxious about the timing and extent to which the US Federal Reserve would scale back on its asset-purchase program. Meanwhile, escalating political turmoil in Egypt and Syria renewed concerns about the impact of the broader issue of growing unrest in many countries across the Middle East-North Africa region.

On the whole, developed market equities generated strong returns for the 6- and 12-month periods ended August 31, 2013. Emerging markets, in contrast, suffered the impact of slowing growth and concerns about a shrinking global money supply. Extraordinary levels of interest rate volatility in the latter part of the period resulted in poor performance for most fixed income assets, especially US Treasury bonds and other higher quality sectors such as tax-exempt municipals and investment grade corporate bonds. Conversely, high yield bonds posted gains as the sector continued to benefit from investors’ ongoing search for income in the low-rate environment. Short-term interest rates remained near zero, keeping yields on money market securities near historical lows.

Markets remain volatile, and investors continue to face a number of uncertainties in the current environment. At BlackRock, we believe investors need to think globally and extend their scope across a broader array of asset classes and be prepared to move freely as market conditions change over time. We encourage you to talk with your financial advisor and visit www.blackrock.com for further insight about investing in today’s world.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC

 
“Though we’ve seen spates of volatility over the past year, riskier asset classes generally outperformed lower-risk investments.”

Rob Kapito
President, BlackRock Advisors, LLC


Total Returns as of August 31, 2013

         6-month      12-month
US large cap equities (S&P 500® Index)
           8.95 %           18.70 %  
US small cap equities (Russell 2000® Index)
           11.73            26.27   
International equities (MSCI Europe, Australasia, Far East Index)
           3.71            18.66   
Emerging market equities (MSCI Emerging Markets Index)
           (10.29 )           0.54   
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)
           (6.10 )           (7.51 )  
US investment grade bonds (Barclays US Aggregate Bond Index)
           (2.61 )           (2.47 )  
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           (5.99 )           (3.74 )  
US high yield bonds (Barclays US Corporate High Yield 2% Issuer Capped Index)
           0.84            7.56   

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


  THIS PAGE NOT PART OF YOUR FUND REPORT 3
 
  
Fund Summary as of August 31, 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 12-month period ended August 31, 2013, the Fund returned 4.82% based on market price and 8.52% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 6.05% based on market price and 9.92% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which widened during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

The Fund benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection in the healthcare, technology and gaming industries 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, the Fund’s exposure to names in the media non cable industry detracted from performance. From a quality perspective, the Fund’s exposure to higher rated loan instruments hindered overall results as this segment of the market underperformed lower quality loans.

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. The Fund continued to seek issuers with attractive risk-reward characteristics and superior fundamentals while remaining cautious of lower-rated segments of the market. The bank loan market was strong in 2012 and continued to rally in 2013, attributable largely to robust demand from investors seeking protection from interest rate risk in their fixed income portfolios. Despite the positive market environment, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macro risks. As the average loan has been trading at or just above par, leaving little or no potential for capital appreciation, the Fund’s principal emphasis is on investing in strong companies with the ability to pay their debts despite a slow growth environment. Over the 12-month period, the Fund added to positions in the technology and gaming industries.

Describe portfolio positioning at period end.

At period end, the Fund held 94% of its total portfolio in floating rate loan interests, with the remainder in corporate bonds, asset-backed securities and common stocks. The Fund’s highest-conviction holdings included Caesars Entertainment Corp. (gaming), Federal-Mogul Corp. (automotive) and Level 3 Financing, Inc. (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 ANNUAL REPORT AUGUST 31, 2013
 
  
    BlackRock Defined Opportunity Credit Trust

Fund Information

Symbol on New York Stock Exchange (“NYSE”)
     
BHL
Initial Offering Date
     
January 31, 2008
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($13.77)1
     
5.75%
Current Monthly Distribution per Common Share2
     
$0.066
Current Annualized Distribution per Common Share2
     
$0.792
Economic Leverage as of August 31, 20133
     
27%
1   Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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.

Market Price and Net Asset Value Per Share Summary




   
8/31/13
   
8/31/12
   
Change
   
High
   
Low
Market Price
        $ 13.77         $ 13.94            (1.22 )%        $ 15.48         $ 12.92   
Net Asset Value
        $ 14.44         $ 14.12            2.27 %        $ 14.68         $ 14.12   

Market Price and Net Asset Value History For the Past Five Years



 

Overview of the Fund’s Long-Term Investments

Portfolio Composition



   
8/31/13
   
8/31/12
Floating Rate Loan Interests
           94 %           90 %  
Corporate Bonds
           3             7    
Asset-Backed Securities
           2             2    
Common Stocks
           1             1    

Corporate Bonds Credit Quality Allocation4



   
8/31/13
   
8/31/12
BBB/Baa
           11 %           12 %  
BB/Ba
           17             40    
B
           72             46    
CCC/Caa
                       2    
4   Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service (“Moody’s”) ratings.
ANNUAL REPORT AUGUST 31, 2013 5
 
  
Fund Summary as of August 31, 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.

On October 8, 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.

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

Portfolio Management Commentary

How did the Fund perform?

For the 12-month period ended August 31, 2013, the Fund returned 5.28% based on market price and 9.68% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 6.05% based on market price and 9.92% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount 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?

The Fund benefited from a tactical allocation to equities, which rallied during the period. In fixed income, security selection in the chemicals, paper and gaming industries 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, the Fund’s exposure to names in the media non cable and independent energy industries detracted from performance. From a quality perspective, the Fund’s exposure to higher rated loan instruments hindered overall results as this segment of the market underperformed lower quality loans.

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. The Fund continued to seek issuers with attractive risk-reward characteristics and superior fundamentals while remaining cautious of lower-rated segments of the market. The bank loan market was strong in 2012 and continued to rally in 2013, attributable largely to robust demand from investors seeking protection from interest rate risk in their fixed income portfolios. Despite the positive market environment, the Fund continued to adhere to a strict investment discipline with the goal of pursuing yield while minimizing exposure to macro risks. As the average loan has been trading at or just above par, leaving little or no potential for capital appreciation, the Fund’s principal emphasis is on investing in strong companies with the ability to pay their debts despite a slow growth environment. Over the 12-month period, the Fund added to positions in the technology and healthcare industries.

Describe portfolio positioning at period end.

At period end, the Fund held 92% of its total portfolio in floating rate loan interests, with the remainder in corporate bonds, asset-backed securities and common stocks. The Fund’s highest-conviction holdings included Caesars Entertainment Corp. (gaming), Federal-Mogul Corp. (automotive) and Ally Financial, Inc. (banking).
  
  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 ANNUAL REPORT AUGUST 31, 2013
 
  
    BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Information

Symbol on NYSE
     
FRA
Initial Offering Date
     
October 31, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($14.96)1
     
6.06%
Current Monthly Distribution per Common Share2
     
$0.0755
Current Annualized Distribution per Common Share2
     
$0.9060
Economic Leverage as of August 31, 20133
     
27%
1   Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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.

Market Price and Net Asset Value Per Share Summary




   
8/31/13
   
8/31/12
   
Change
   
High
   
Low
Market Price
        $ 14.96         $ 15.20            (1.58 )%        $ 16.81         $ 13.91   
Net Asset Value
        $ 15.36         $ 14.98            2.54 %        $ 15.64         $ 14.96   

Market Price and Net Asset Value History For the Past Five Years



 

Overview of the Fund’s Long-Term Investments

Portfolio Composition



   
8/31/13
   
8/31/12
Floating Rate Loan Interests
           92 %           88 %  
Corporate Bonds
           4             10    
Asset-Backed Securities
           3             2    
Common Stocks
           1                

Corporate Bonds Credit Quality Allocation4



   
8/31/13
   
8/31/12
BBB/Baa
           10 %           8 %  
BB/Ba
           15             34    
B
           57             44    
CCC/Caa
           5             8    
Not Rated
           13             6    
4   Using the higher of S&P’s or Moody’s ratings.
ANNUAL REPORT AUGUST 31, 2013 7
 
  
Fund Summary as of August 31, 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 12-month period ended August 31, 2013, the Fund returned 1.47% based on market price and 9.13% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.68)% based on market price and 10.20% based on NAV. All returns reflect reinvestment of dividends. The Fund moved from a premium to NAV to a discount 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?

Fixed income markets experienced two trends over the 12-month period. In the first half of the period, riskier assets rallied as investors sought higher-yielding investments amid historically low yields. Prices moved higher and spreads tightened across most fixed income sectors. However, a new trend took hold in May when US Federal Reserve Chairman Bernanke alluded to a potential tapering of the central bank’s bond-buying stimulus program toward the end of 2013, triggering a sharp decline in fixed income markets. Spreads widened rapidly across fixed income sectors as yields rose and volatility increased.
The main contributors to the Fund’s performance were its holdings of corporate bonds, commercial mortgage-backed securities (“CMBS”) and non-US dollar positions, particularly in the British pound sterling and the euro. The Fund benefited from anchored short-term rates (while longer-term rates increased) given strong demand for short-term paper from investors seeking to reduce duration (sensitivity to interest rate movements) in their portfolios.
The increase in interest rates in the latter part of the period had a negative impact on the Fund’s return. (Bond prices fall as rates rise.) Although, it is important to note that the Fund’s overall low duration profile served to limit downside risk in the challenging market environment. Also hindering results was the Fund’s exposure to 15-year agency pass-through mortgage-backed securities (“MBS”).

Describe recent portfolio activity.

During the 12-month period, the Fund only made slight changes to its overall asset allocation. The Fund slightly decreased exposure to high yield credit and 15-year agency pass-through MBS, and increased its allocation to asset-backed securities (“ABS”), particularly within collateralized loan obligations.

Describe portfolio positioning at period end.

At period end, the Fund maintained diversified exposure to non-government sectors including investment grade credit, high yield credit, floating rate loan interests (bank loans), CMBS, ABS and non-agency residential MBS. The Fund also held exposure to government-related sectors including US Treasury securities and agency MBS.
  
  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 ANNUAL REPORT AUGUST 31, 2013
 
  
    BlackRock Limited Duration Income Trust

Fund Information

Symbol on NYSE
     
BLW
Initial Offering Date
     
July 30, 2003
Current Distribution Rate on Closing Market Price as of August 31, 2013 ($16.89)1
     
7.42%
Current Monthly Distribution per Common Share2
     
$0.1045
Current Annualized Distribution per Common Share2
     
$1.2540
Economic Leverage as of August 31, 20133
     
30%
1   Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a tax return of capital. See the financial highlights for the actual sources and character of distributions. 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.

Market Price and Net Asset Value Per Share Summary




   
8/31/13
   
8/31/12
   
Change
   
High
   
Low
Market Price
        $ 16.89         $ 18.00            (6.17 )%        $ 19.21         $ 16.11   
Net Asset Value
        $ 17.54         $ 17.38            0.92 %        $ 18.29         $ 17.35   

Market Price and Net Asset Value History For the Past Five Years
     



 

Overview of the Fund’s Long-Term Investments

Portfolio Composition



   
8/31/13
   
8/31/12
Corporate Bonds
           44 %           46 %  
Floating Rate Loan Interests
           36             34    
Non-Agency Mortgage-Backed Securities
           8             8    
Asset-Backed Securities
           6             4    
US Government Sponsored Agency Securities
           4             6    
Common Stocks
           1             1    
Preferred Securities
           1                
Taxable Municipal Bonds
                       1    

Corporate Bonds Credit Quality Allocation4



   
8/31/13
   
8/31/12
AAA/Aaa5
           9 %           12 %  
AA/Aa
           1             1    
A
           6             6    
BBB/Baa
           17             15    
BB/Ba
           25             26    
B
           34             30    
CCC/Caa
           7             8    
Not Rated
           1             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.
ANNUAL REPORT AUGUST 31, 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’ borrowings does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Funds’ NAVs positively or negatively in addition to the impact on Fund performance from leverage from borrowings discussed above.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), the Funds are permitted to issue senior securities representing indebtedness up to 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 August 31, 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
           30 %  

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 4 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.

10 ANNUAL REPORT AUGUST 31, 2013
 
 
Schedule of Investments August 31, 2013 BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Asset-Backed Securities (a)(b)                 Par
(000)
     Value
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (c)
     
USD
        835        $     788,073     
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24
     
 
        250             237,625   
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.77%, 1/20/25
     
 
        250             250,885   
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.27%, 4/20/23
     
 
        215             212,076   
Highbridge Loan Management Ltd., Series 2012-1A, Class C, 5.27%, 9/20/22
     
 
        350             351,400   
LCM XI LP, Series 11A, Class D2, 4.22%, 4/19/22
     
 
        375             367,500   
Marea CLO Ltd., Series 2012-1A, Class D, 4.82%, 10/16/23
     
 
        400             401,396   
Mt. Wilson CLO Ltd., 1.02%, 7/15/18
     
 
        250             242,500   
North End CLO Ltd. 2013-1, 3.73%, 7/17/25
     
 
        250             237,450   
Octagon Investment Partners XVII Ltd., 3.47%, 10/25/25
     
 
        250             234,473   
OZLM Funding III Ltd., Series 2013-3A, Class C, 4.17%, 1/22/25
     
 
        250             244,375   
Race Point VI CLO Ltd., Series 2012-6A, Class D, 4.76%, 5/24/23
     
 
        250             250,500   
Symphony CLO X Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23
     
 
        350             352,625   
West CLO Ltd., Series 2012-1A, Class C, 5.02%, 10/30/23
     
 
        250             251,525   
Total Asset-Backed Securities — 3.4%
     
 
                      4,422,403   

Common Stocks (d)
     
 
        Shares                  
Hotels, Restaurants & Leisure — 0.4%
                                                            
BLB Worldwide Holdings, Inc.
     
 
        21,020            499,225   
Software — 0.3%
                                                            
HMH Holdings/EduMedia
     
 
        13,506            406,830   
Total Common Stocks — 0.7%
     
 
                      906,055   

Corporate Bonds
     
 
  
Par
(000)
  
  
Airlines — 0.5%
                                                            
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18
     
USD
        49             54,162   
US Airways 2012-2 Class C Pass Through Trust, 5.45%, 6/03/18
     
 
        590             550,175   
 
     
 
                      604,337   
Auto Components — 0.3%
                                                            
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 8.00%, 1/15/18
     
 
        340             357,850   
Chemicals — 0.1%
                                                            
INEOS Finance PLC, 8.38%, 2/15/19 (a)
     
 
        110             120,450   
Commercial Services & Supplies — 0.3%
                                                            
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (a)
     
 
        286             295,762   
UR Merger Sub Corp., 5.75%, 7/15/18
     
 
        80             85,400   
 
     
 
                      381,162   
Communications Equipment — 0.5%
                                                            
Avaya, Inc., 7.00%, 4/01/19 (a)
     
 
        206             188,490   
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
        380             412,300   
 
     
 
                      600,790   
                          
Corporate Bonds
                Par
(000)
     Value
Consumer Finance — 0.2%
                                                            
Inmarsat Finance PLC, 7.38%, 12/01/17 (a)
     
USD
        325        $     338,000     
Diversified Financial Services — 0.8%
                                                            
Ally Financial, Inc.:
                                                            
2.47%, 12/01/14
     
 
        440             440,219   
2.95%, 7/18/16
     
 
        550             553,487   
Reynolds Group Issuer, Inc., 7.13%, 4/15/19
     
 
        120             127,650   
 
     
 
                      1,121,356   
Energy Equipment & Services — 0.1%
                                                            
FTS International Services LLC/FTS International Bonds, Inc., 8.13%, 11/15/18 (a)
     
 
        100             106,750   
Health Care Technology — 0.8%
                                                            
IMS Health, Inc., 12.50%, 3/01/18 (a)
     
 
        850             1,003,000   
Household Durables — 0.1%
                                                            
Beazer Homes USA, Inc., 6.63%, 4/15/18
     
 
        180             189,675   
Household Products — 0.1%
                                                            
Spectrum Brands, Inc., 9.50%, 6/15/18
     
 
        115             126,500   
Independent Power Producers & Energy Traders — 0.7%
                                  
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.:
                                                            
10.00%, 12/01/20
     
 
        700             737,625   
10.00%, 12/01/20 (a)
     
 
        230             241,787   
 
     
 
                      979,412   
Media — 0.1%
                                                            
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (a)
     
 
        96             97,200   
Oil, Gas & Consumable Fuels — 0.1%
                                                            
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
        145             154,062   
Total Corporate Bonds — 4.7%
     
 
                      6,180,544   

Floating Rate Loan Interests (b)
Aerospace & Defense — 2.3%
                                                            
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
        514             517,082   
DynCorp International LLC, Term Loan B, 6.25%, 7/07/16
     
 
        255             257,215   
The SI Organization, Inc., Term Loan B, 5.50%, 11/22/16
     
 
        412             400,859   
Spirit Aerosystems, Inc., Term Loan B, 3.75%, 4/18/19
     
 
        365             367,659   
Transdigm, Inc., Term Loan C, 3.75%, 2/28/20
     
 
        224             223,564   
TransUnion LLC, Term Loan, 4.25%, 2/10/19
     
 
        1,253            1,259,862   
 
     
 
                      3,026,241   
Airlines — 1.4%
                                                            
Delta Air Lines, Inc.:
                                                            
Term Loan, 3.52%, 9/16/15
     
 
        335             322,974   
Term Loan B1, 4.00%, 10/18/18
     
 
        558             559,234   
Northwest Airlines, Inc., Term Loan:
                                                            
2.30%, 3/10/17
     
 
        119             110,243   
2.30%, 3/10/17
     
 
        119             110,243   
1.68%, 9/10/18
     
 
        99             87,620   
1.68%, 9/10/18
     
 
        101             89,243   
1.68%, 9/10/18
     
 
        100             88,431   
US Airways Group, Inc., Term Loan B1, 4.25%, 5/23/19
     
 
        460             453,390   
 
     
 
                      1,821,378   

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
EUR
FKA
  
Canadian Dollar
Debtor-In-Possession
Euro
Formerly Known As
  
GBP
HUF
USD
  
British Pound
Hungarian Forint
US Dollar

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 11
 
  
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
Auto Components — 4.5%
                                                            
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
USD
        360        $     360,000     
Armored Autogroup Inc., Term Loan B, 6.00%, 11/04/16
     
 
        60             58,350   
Autoparts Holdings Ltd., 1st Term Loan, 6.50%, 7/28/17
     
 
        627             601,837   
Federal-Mogul Corp.:
                                                            
Term Loan B, 2.12% – 2.13%, 12/29/14
     
 
        1,570            1,528,581   
Term Loan C, 2.12% – 2.13%, 12/28/15
     
 
        1,265            1,231,729   
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
        1,150            1,155,946   
Schaeffler AG, Term Loan C, 4.25%, 1/27/17
     
 
        50             50,078   
Transtar Holding Co., 1st Lien Term Loan, 5.50%, 10/09/18
     
 
        491             493,744   
UCI International, Inc., New Term Loan B, 5.50%, 7/26/17
     
 
        341             342,103   
 
     
 
                      5,822,368   
Biotechnology — 0.3%
                                                            
Grifols, Inc., Term Loan B, 4.25%, 6/01/17
     
 
        325             327,160   
Building Products — 1.6%
                                                            
Armstrong World Industries, Inc., Term Loan B, 3.50%, 3/16/20
     
 
        259             258,442   
Continental Building Products LLC, 1st Lien Term Loan, 4.50%, 8/14/20
     
 
        185             184,691   
CPG International, Inc., Term Loan, 5.75%, 9/18/19
     
 
        814             819,954   
Wilsonart International Holdings LLC, Term Loan B, 4.00%, 10/31/19
     
 
        796             789,202   
 
     
 
                      2,052,289   
Capital Markets — 1.4%
                                                            
American Capital Holdings, Inc., Term Loan, 4.00%, 8/22/16
     
 
        787             789,871   
HarbourVest Partners LLC, Term Loan B, 4.75%, 11/21/17
     
 
        329             330,898   
KCG Holdings, Inc., Term Loan B, 5.75%, 12/05/17
     
 
        435             433,099   
Nuveen Investments, Inc.:
                                                            
2nd Lien Term Loan, 6.50%, 2/28/19
     
 
        122             121,289   
Term Loan, 4.18%, 5/15/17
     
 
        161             159,733   
 
     
 
                      1,834,890   
Chemicals — 4.9%
                                                            
Allnex (Luxembourg) & Cy SCA:
                                                            
2nd Lien Term Loan, 8.25%, 4/03/20
     
 
        125             128,125   
Term Loan B1, 4.50%, 10/03/19
     
 
        257             256,773   
Term Loan B2, 4.50%, 10/03/19
     
 
        133             133,227   
American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17
     
 
        222             221,792   
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16
     
 
        496             498,416   
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
        480             482,735   
General Chemical Corp., Term Loan, 5.00% – 5.75%, 10/06/15
     
 
        272             272,493   
INEOS US Finance LLC:
                                                            
3 year Term Loan, 3.25%, 5/04/15
     
 
        89             88,745   
6 Year Term Loan, 4.00%, 5/04/18
     
 
        256             254,009   
MacDermid, Inc.:
                                                            
1st Lien Term Loan, 4.00%, 6/08/20
     
 
        355             355,224   
2nd Lien Term Loan, 7.75%, 12/07/20
     
 
        70             70,700   
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
        587             581,428   
OXEA Finance LLC:
                                                            
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
        315             314,115   
Term Loan B2, 4.25%, 1/15/20
     
 
        585             584,023   
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
        160             161,600   
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/15/20
     
 
        135             134,831   
Tronox Pigments (Netherlands) BV, Term Loan, 4.50%, 3/19/20
     
 
        692             698,208   
                          
Floating Rate Loan Interests (b)
                Par
(000)
     Value
Chemicals (concluded)
                                                            
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
USD
        410        $     399,460     
US Coatings Acquisition, Inc., Term Loan, 4.75%, 2/03/20
     
 
        733             737,928   
 
     
 
                      6,373,832   
Commercial Services & Supplies — 4.6%
                                                            
ADS Waste Holdings, Inc., Term Loan B, 4.25%, 10/09/19
     
 
        904             905,315   
ARAMARK Corp.:
                                                            
Extended Letter of Credit, 3.65%, 7/26/16
     
 
        14             13,891   
Extended Letter of Credit, 3.65%, 7/26/16
     
 
        9             9,395   
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
        300             300,539   
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
     
 
        115             115,360   
Garda World Security Corp., Term Loan B, 4.50%, 11/13/19
     
 
        164             164,991   
Interactive Data Corp., Term Loan B, 3.75%, 2/11/18
     
 
        875             872,379   
KAR Auction Services, Inc., Term Loan B, 3.75%, 5/19/17
     
 
        556             557,880   
Learning Care Group (US) No. 2, Inc., Term Loan B, 6.00%, 5/08/19
     
 
        260             259,134   
Livingston International, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/19
     
 
        310             308,450   
2nd Lien Term Loan, 9.00%, 4/16/20
     
 
        205             205,855   
Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19
     
 
        313             314,208   
Protection One, Inc., Term Loan, 4.25%, 3/21/19
     
 
        558             562,125   
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
        720             720,677   
West Corp., Term Loan B8, 3.75%, 6/29/18
     
 
        690             689,593   
 
     
 
                      5,999,792   
Communications Equipment — 2.6%
                                                            
Alcatel-Lucent USA, Inc.:
                                                            
Term Loan C, 5.75%, 1/30/19
     
 
        856             859,183   
Term Loan D, 6.25%, 1/30/19
     
EUR
        244             322,910   
Arris Group, Inc., Term Loan B, 3.50%, 4/17/20
     
USD
        175             172,162   
Avaya, Inc.:
                                                            
Extended Term Loan B3, 4.76%, 10/26/17
     
 
        579             514,589   
Term Loan B5, 8.00%, 3/30/18
     
 
        142             134,229   
CommScope, Inc., Term Loan, 3.75%, 1/12/18
     
 
        442             443,964   
Riverbed Technology, Inc., Term Loan, 4.00%, 12/18/19
     
 
        347             349,441   
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.50%, 7/02/19
     
 
        653             654,450   
 
     
 
                      3,450,928   
Construction & Engineering — 1.1%
                                                            
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20
     
 
        358             356,357   
Centaur LLC:
                                                            
1st Lien Term Loan, 5.25%, 2/15/19
     
 
        569             571,890   
2nd Lien Term Loan, 8.75%, 2/15/20
     
 
        280             282,100   
United States Infrastructure Corp., 1st Lien Term Loan, 4.75%, 7/31/20
     
 
        270             270,135   
 
     
 
                      1,480,482   
Construction Materials — 1.3%
                                                            
HD Supply, Inc., Senior Debt B, 4.50%, 10/12/17
     
 
        1,727            1,730,576   
Consumer Finance — 0.4%
                                                            
Springleaf Financial Funding Co., Term Loan, 5.50%, 5/10/17
     
 
        509             508,673   

See Notes to Financial Statements.

12 ANNUAL REPORT AUGUST 31, 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
Containers & Packaging — 1.7%
                                                            
Clondalkin Acquisitions B.V., 1st Lien Term Loan B, 5.75%, 5/29/20
     
USD
        235        $     235,588     
Pact Group Pty Ltd., Term Loan B, 3.75%, 5/29/20
     
 
        1,000            988,750   
Polarpak, Inc., 1st Lien Canadian Borrower, 4.50%, 6/05/20
     
 
        178             178,199   
Sealed Air Corp., Term Loan, 4.00%, 10/03/18
     
 
        378             381,179   
Tekni-Plex, Inc., Term Loan B, 5.50% – 6.50%, 8/25/19
     
 
        395             393,025   
WNA Holdings Inc., 1st Lien US Borrower, 4.50%, 6/05/20
     
 
        97             96,799   
 
     
 
                      2,273,540   
Distributors — 1.3%
                                                            
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
        1,150            1,142,525   
Crossmark Holdings, Inc., Term Loan, 4.50%, 12/20/19
     
 
        234             232,511   
VWR Funding, Inc., Extended Add-on Term Loan, 4.18%, 4/03/17
     
 
        279             278,600   
 
     
 
                      1,653,636   
Diversified Consumer Services — 2.3%
                                                            
Bright Horizons Family Solutions, Inc., Term Loan B, 4.00% – 5.25%, 1/30/20
     
 
        642             642,096   
Doncaster US Finance LLC, Term Loan, 5.50%, 4/09/20
     
 
        209             211,308   
Education Management LLC, Term Loan C3, 8.25%, 3/29/18
     
 
        57             54,465   
Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18
     
 
        495             492,736   
ROC Finance LLC, Term Loan, 5.00%, 5/15/19
     
 
        250             250,312   
ServiceMaster Co., Term Loan, 4.25%, 1/31/17
     
 
        786             761,688   
Weight Watchers International, Inc., Term Loan B2, 3.75%, 4/02/20
     
 
        633             622,429   
 
     
 
                      3,035,034   
Diversified Financial Services — 2.0%
                                                            
ION Trading Technologies Sarl:
                                                            
1st Lien Term Loan, 4.50%, 5/22/20
     
 
        395             394,755   
2nd Lien Term Loan, 8.25%, 5/21/21
     
 
        80             79,951   
Kasima LLC, Term Loan B, 3.25%, 5/17/21
     
 
        440             439,177   
Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/28/18
     
 
        751             755,529   
RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18
     
 
        88             88,419   
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20
     
 
        800             797,664   
 
     
 
                      2,555,495   
Diversified Telecommunication Services — 4.4%
                                                            
Consolidated Communications, Inc., Term Loan B3, 5.25%, 12/31/18
     
 
        876             883,699   
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
        525             525,554   
Integra Telecom, Inc.:
                                                            
1st Lien Term Loan, 5.25%, 2/22/19
     
 
        464             467,896   
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
        245             251,431   
Level 3 Financing, Inc.:
                                                            
2016 Term Loan, 4.00%, 1/15/20
     
 
        585             584,514   
2019 Term Loan B, 4.00%, 8/01/19
     
 
        220             219,589   
Term Loan, 4.75%, 8/01/19
     
 
        1,560            1,558,362   
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
        460             462,015   
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
        735             732,418   
 
     
 
                      5,685,478   
Electronic Equipment, Instruments & Components — 0.4%
CDW LLC, Term Loan, 3.50%, 4/29/20
     
 
        524             517,576   
                          
Floating Rate Loan Interests (b)
                Par
(000)
     Value
Energy Equipment & Services — 0.8%
                                                            
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
USD
        260        $     258,266     
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
        362             362,099   
Tervita Corp., Term Loan, 6.25%, 5/15/18
     
 
        183             180,588   
Unifrax Corp., Term Loan, 4.25%, 11/28/18
     
 
        219             219,228   
 
     
 
                      1,020,181   
Food & Staples Retailing — 2.0%
                                                            
Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15
     
GBP
        900             1,378,273   
Rite Aid Corp.:
                                                            
2nd Lien Term Loan, 5.75%, 8/21/20
     
USD
        235             240,802   
Term Loan 6, 4.00%, 2/21/20
     
 
        224             224,718   
Supervalu, Inc., Refinancing Term Loan B, 5.00%, 3/21/19
     
 
        518             519,533   
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/29/19
     
 
        200             200,166   
 
     
 
                      2,563,492   
Food Products — 3.6%
                                                            
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
 
        542             546,852   
CTI Foods Holding Co, LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
        260             257,400   
Del Monte Foods Co., Term Loan, 4.00%, 3/08/18
     
 
        647             646,302   
Dole Food Co., Inc., Term Loan, 3.75% – 5.00%, 4/01/20
     
 
        688             687,043   
GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20
     
 
        110             110,046   
H.J. Heinz Company, Term Loan B1, 3.25%, 6/07/19
     
 
        75             75,211   
Michael Foods Group, Inc., Term Loan, 4.25%, 2/23/18
     
 
        170             170,980   
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
        715             706,062   
Pinnacle Foods Finance LLC, Term Loan G, 3.25%, 4/29/20
     
 
        698             690,688   
Reddy Ice Group, Inc.:
                                                            
1st Lien Term Loan, 6.75% – 7.75%, 3/28/19
     
 
        569             567,154   
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
        270             265,950   
 
     
 
                      4,723,688   
Health Care Equipment & Supplies — 5.1%
                                                            
Arysta LifeScience Corp.:
                                                            
1st Lien Term Loan, 4.50%, 5/29/20
     
 
        940             939,220   
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
        380             378,735   
Biomet, Inc., Extended Term Loan B, 3.93% – 4.02%, 7/25/17
     
 
        462             463,378   
Capital Safety North America Holding, Inc., Term Loan, 4.50%, 1/21/19
     
 
        351             349,261   
DJO Finance LLC, Term Loan B3, 4.75%, 9/15/17
     
 
        1,050            1,055,587   
Faenza Acquisition Gmbh, Term Loan B, 4.25%, 8/14/20
     
 
        385             385,162   
Fresenius SE, Term Loan B, 2.25%, 8/01/19
     
 
        620             619,808   
Hologic Inc., Term Loan B, 3.75%, 8/01/19
     
 
        835             837,637   
IASIS Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
        96             96,408   
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
        811             813,685   
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18
     
 
        213             210,721   
Onex Carestream Finance LP:
                                                            
1st Lien Term Loan, 5.00%, 6/07/19
     
 
        310             312,325   
2nd Lien Term Loan, 9.50%, 6/07/19
     
 
        245             242,856   
 
     
 
                      6,704,783   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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 — 4.9%
                                                            
American Renal Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 9/20/19
     
USD
        658        $     652,589     
2nd Lien Term Loan, 8.50%, 2/14/20
     
 
        410             404,875   
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
        264             263,016   
CHG Buyer Corp., 1st Lien Term Loan, 5.00%, 11/19/19
     
 
        414             416,704   
ConvaTec, Inc., Term Loan, 5.00%, 12/22/16
     
 
        563             565,396   
DaVita, Inc.:
                                                            
Term Loan B, 4.50%, 10/20/16
     
 
        1,001            1,006,850   
Term Loan B2, 4.00%, 11/01/19
     
 
        407             408,856   
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
        428             429,319   
Genesis HealthCare Corp., Term Loan B, 10.00% – 10.75%, 9/25/17
     
 
        283             290,934   
HCA, Inc., Extended Term Loan B4, 2.93%, 5/01/18
     
 
        235             234,739   
Ikaria Acquisition, Inc.:
                                                            
1st Lien Term Loan, 7.25%, 7/03/18
     
 
        140             140,263   
2nd Lien Term Loan, 11.00%, 7/03/19
     
 
        90             90,000   
inVentiv Health, Inc.:
                                                            
Combined Term Loan, 7.50%, 8/04/16
     
 
        260             253,347   
Incremental Term Loan B3, 7.75%, 5/15/18
     
 
        219             214,561   
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.25%, 6/29/18
     
 
        425             425,000   
US Renal Care, Inc., Incremental 1st Lien Term Loan, 5.25%, 7/03/19
     
 
        483             482,647   
Vanguard Health Holdings Co. II LLC, Term Loan B, 3.75%, 1/29/16
     
 
        169             168,704   
 
     
 
                      6,447,800   
Health Care Technology — 0.8%
                                                            
IMS Health, Inc., Term Loan B1, 3.75%, 9/01/17
     
 
        745             745,312   
Kinetic Concepts, Inc., Term Loan D1, 4.50%, 5/04/18
     
 
        120             120,150   
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
        231             231,614   
 
     
 
                      1,097,076   
Hotels, Restaurants & Leisure — 8.2%
                                                            
Bally Technologies, Inc., Term Loan B, 4.25%, 8/31/20
     
 
        705             703,682   
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
        270             270,335   
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
        750             748,125   
Caesars Entertainment Operating Co., Inc.:
                                                            
Extended Term Loan B6, 5.43%, 1/26/18
     
 
        125             112,257   
Term Loan, 9.25%, 4/25/17
     
 
        320             321,600   
Drumm Investors LLC, Term Loan, 5.00%, 5/04/18
     
 
        364             347,126   
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
        330             334,950   
Harrah’s Property Co., Mezzanine Term Loan, 3.68%, 2/13/14
     
 
        3,051            2,902,741   
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
        542             539,651   
OSI Restaurant Partners LLC, Term Loan, 3.50%, 10/25/19
     
 
        240             239,400   
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
        520             521,295   
Playa Resorts Holding BV, Term Loan B, 4.75%, 8/06/19
     
 
        410             411,197   
Sabre, Inc., Term Loan B, 5.25%, 2/19/19
     
 
        318             321,243   
Six Flags Theme Parks, Inc., Term Loan B, 4.00% – 5.25%, 12/20/18
     
 
        304             306,693   
Station Casinos, Inc., Term Loan B, 5.00%, 3/01/20
     
 
        1,197            1,204,984   
Travelport LLC:
                                                            
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
        250             258,380   
Refinancing Term Loan, 6.25%, 6/26/19
     
 
        270             272,565   
                          
Floating Rate Loan Interests (b)
                Par
(000)
     Value
Hotels, Restaurants & Leisure (concluded)
                                                            
Twin River Worldwide Holdings, Inc., Term Loan B, 5.25%, 11/09/18
     
USD
        569        $     572,973     
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
        372             370,781   
 
     
 
                      10,759,978   
Household Products — 1.3%
                                                            
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19
     
 
        457             460,016   
Spectrum Brands, Inc.:
                                                            
Term Loan, 4.50% – 5.50%, 12/17/19
     
 
        832             836,524   
Term Loan A, 3.00%, 9/07/17
     
 
        235             234,763   
Term Loan C, 3.50%, 9/04/19
     
 
        50             49,989   
Waddington North America Holdings, Inc., 2nd Lien Term Loan, 8.50%, 12/07/20
     
 
        95             95,475   
 
     
 
                      1,676,767   
Independent Power Producers & Energy Traders — 1.9%
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18
     
 
        764             768,073   
Calpine Corp., Term Loan B1, 4.00%, 4/02/18
     
 
        213             213,191   
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
        1,080            1,080,680   
Star West Generation LLC, Term Loan B, 4.25%, 3/13/20
     
 
        409             412,042   
 
     
 
                      2,473,986   
Industrial Conglomerates — 0.8%
                                                            
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
        1,050            1,053,514   
Insurance — 2.3%
                                                            
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
     
 
        423             424,198   
Asurion LLC, Term Loan B1, 4.50%, 5/24/19
     
 
        647             638,394   
CNO Financial Group, Inc.:
                                                            
Term Loan B1, 3.00%, 9/28/16
     
 
        349             349,124   
Term Loan B2, 3.75%, 9/20/18
     
 
        519             520,010   
Cooper Gay Swett & Crawford Ltd.:
                                                            
1st Lien Term Loan, 5.00%, 4/16/20
     
 
        420             422,100   
2nd Lien Term Loan, 8.25%, 10/16/20
     
 
        200             202,500   
Cunningham Lindsey US, Inc., 1st Lien Term Loan, 5.00%, 12/10/19
     
 
        368             363,548   
National Financial Partners Corp., Term Loan, 5.25%, 7/01/20
     
 
        130             130,732   
 
     
 
                      3,050,606   
Internet Software & Services — 0.3%
                                                            
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17
     
 
        327             327,613   
IT Services — 4.1%
                                                            
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
        214             213,123   
Ceridian Corp., Term Loan B, 4.43%, 5/09/17
     
 
        899             898,482   
First Data Corp.:
                                                            
2018 Term Loan, 4.18%, 9/24/18
     
 
        445             439,437   
Extended 2018 Term Loan B, 4.18%, 3/23/18
     
 
        2,250            2,225,756   
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
        661             661,228   
InfoGroup, Inc., Term Loan, 8.00%, 5/25/18
     
 
        245             219,883   
Moneygram International, Inc., Term Loan B, 4.25%, 3/27/20
     
 
        314             314,998   
SunGard Data Systems, Inc.:
                                                            
Term Loan D, 4.50%, 1/31/20
     
 
        264             265,813   
Term Loan E, 4.00%, 3/09/20
     
 
        145             145,497   
 
     
 
                      5,384,217   
Leisure Equipment & Products — 0.2%
                                                            
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
        206             206,622   

See Notes to Financial Statements.

14 ANNUAL REPORT AUGUST 31, 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
Life Sciences Tools & Services — 0.2%
                                                            
Patheon, Inc., Term Loan, 7.25%, 12/06/18
     
USD
        273        $     274,985     
Machinery — 3.5%
                                                            
Alliance Laundry Systems LLC:
                                                            
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
        131             131,727   
Refinancing Term Loan, 4.25%, 12/07/18
     
 
        215             215,534   
Gardner Denver, Inc.:
                                                            
EUR Term Loan, 4.75%, 7/30/20
     
EUR
        286             376,855   
Term Loan, 4.25%, 7/30/20
     
USD
        761             756,707   
Generac Power Systems, Inc., Term Loan B, 3.50%, 5/29/20
     
 
        785             780,337   
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
        397             397,496   
Mirror Bidco Corp., Term Loan, 5.25%, 12/27/19
     
 
        567             569,986   
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
        206             208,490   
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/20/20
     
 
        481             475,437   
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
        292             289,016   
Terex Corp., Refinancing Term Loan B, 5.00%, 4/28/17
     
EUR
        34             45,330   
Wabash National Corp., Term Loan B, 4.50%, 5/02/19
     
USD
        339             340,023   
 
     
 
                      4,586,938   
Marine — 0.3%
                                                            
HGIM Corp., Term Loan B, 5.50%, 6/18/20
     
 
        445             446,113   
Media — 14.1%
                                                            
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
        255             254,363   
Capsugel Holdings US, Inc., Term Loan B, 4.25%, 8/01/18
     
 
        525             528,224   
Catalina Marketing Corp., Extended Term Loan B, 5.68%, 9/29/17
     
 
        508             512,940   
Cengage Learning Acquisitions, Inc.:
                                                            
Non-Extended Term Loan, 4.75%, 7/03/14
     
 
        226             161,003   
Tranche 1 Incremental, 6.00%, 7/03/14
     
 
        365             258,086   
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20
     
 
        465             459,964   
Clear Channel Communications, Inc.:
                                                            
Term Loan B, 3.83%, 1/29/16
     
 
        148             137,546   
Term Loan C, 3.83%, 1/29/16
     
 
        42             38,773   
Term Loan D, 6.93%, 1/30/19
     
 
        1,564            1,434,462   
Cumulus Media Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/17/18
     
 
        581             583,593   
EMI Music Publishing Ltd., Term Loan B, 4.25%, 6/29/18
     
 
        357             358,464   
Fender Musical Instrument Corp., 2019 Term Loan B, 5.75%, 4/03/19
     
 
        70             70,058   
Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17
     
 
        690             691,935   
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
        155             149,439   
Gray Television, Inc., Term Loan B, 4.75%, 10/15/19
     
 
        392             394,689   
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20
     
 
        505             505,000   
Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 5.50%, 6/01/18
     
 
        430             429,563   
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
        403             404,414   
Intelsat Jackson Holdings SA, Term Loan B1, 4.25%, 4/02/18
     
 
        1,462            1,471,135   
Kabel Deutschland GmbH, Term Loan F1, 3.25%, 2/01/19
     
 
        64             63,896   
Lavena Holding 3 GmbH:
                                                            
Term Loan E2, 4.09%, 3/06/17
     
EUR
        452             589,324   
Term Loan E3, 4.09%, 3/06/17
     
 
        452             589,324   
                         
Floating Rate Loan Interests (b)
                Par
(000)
     Value
Media (concluded)
                                                            
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
USD
        150        $     150,125     
Live Nation Entertainment, Inc., 2020 Term Loan B, 3.50%, 8/16/20
     
 
        115             115,179   
Mediacom LLC, Term Loan E, 4.50%, 10/23/17
     
 
        485             484,273   
NEP Supershooters LP:
                                                            
2nd Lien Term Loan, 9.50%, 8/18/20
     
 
        131             134,140   
Term Loan, 4.75%, 1/22/20
     
 
        657             658,013   
Nielsen Finance LLC, Term Loan E, 2.94%, 5/02/16
     
 
        539             540,853   
Rentpath, Inc., Term Loan B, 6.25%, 5/29/20
     
 
        540             529,427   
Salem Communications Corp., Term Loan B, 4.50%, 3/16/20
     
 
        395             396,474   
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
        374             373,127   
Springer Science & Business Media Deutschland GmbH, Term Loan B2, 5.00%, 7/31/20
     
 
        715             708,300   
TWCC Holding Corp., 2nd Lien Term Loan, 7.00%, 6/26/20
     
 
        465             476,625   
Univision Communications, Inc., Converted Extended Term Loan, 4.50%, 3/02/20
     
 
        713             710,637   
UPC Financing Partnership, Term Loan AG, 3.88%, 3/26/21
     
EUR
        281             371,088   
Virgin Media Investment Holdings Ltd.:
                                                            
Term Loan B, 3.50%, 6/08/20
     
USD
        935             930,297   
Term Loan C, 4.50%, 6/05/20
     
GBP
        650             1,010,186   
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18
     
USD
        183             183,339   
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
 
        515             517,852   
 
     
 
                      18,376,130   
Metals & Mining — 4.5%
                                                            
Ameriforge Group, Inc.:
                                                            
1st Lien Term Loan, 5.00%, 12/19/19
     
 
        373             372,894   
2nd Lien Term Loan, 8.75%, 12/18/20
     
 
        185             186,619   
API Heat Transfer Inc., Term Loan, 5.25%, 5/03/19
     
 
        375             370,313   
Constellium Holdco BV, Term Loan B, 6.00%, 3/25/20
     
 
        828             846,553   
FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17
     
 
        1,133            1,136,789   
Murray Energy Corp., Term Loan B, 4.75%, 5/24/19
     
 
        195             194,610   
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
        1,148            1,146,699   
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18
     
 
        137             135,479   
Walter Energy, Inc., Term Loan B, 6.75%, 4/02/18
     
 
        935             890,535   
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
        631             645,739   
 
     
 
                      5,926,230   
Multiline Retail — 3.7%
                                                            
99¢ Only Stores, Term Loan, 5.25% – 6.25%, 1/11/19
     
 
        454             457,339   
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20
     
 
        484             484,910   
BJ’s Wholesale Club, Inc.:
                                                            
2nd Lien Term Loan, 9.75%, 3/26/20
     
 
        285             290,523   
Replacement Term Loan, 4.25%, 9/26/19
     
 
        412             411,843   
HEMA Holding BV, Extended 2nd Lien Term Loan, 5.88%, 1/05/18
     
EUR
        1,800            2,236,232   
JC Penney Corp., Inc., 1st Lien Term Loan, 6.00%, 5/21/18
     
USD
        260             253,391   
The Neiman Marcus Group, Inc., Extended Term Loan, 4.00%, 5/16/18
     
 
        656             655,225   
 
     
 
                      4,789,463   
Oil, Gas & Consumable Fuels — 6.3%
                                                            
Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17
     
 
        985             1,003,055   
Drillships Financing Holding Inc., Term Loan B2, 5.50%, 7/15/16
     
 
        840             846,300   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 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
Oil, Gas & Consumable Fuels (concluded)
                                                            
EP Energy LLC, Term Loan B3, 3.50%, 5/24/18
     
USD
        440        $     437,985     
GIM Channelview Cogeneration LLC, Term Loan B, 4.25%, 5/08/20
     
 
        455             455,760   
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
        362             361,574   
Pacific Drilling SA, Term Loan B, 4.50%, 6/04/18
     
 
        555             557,081   
Panda Temple II Power LCC, Term Loan B, 7.25%, 4/03/19
     
 
        360             364,500   
Philadelphia Energy Solutions LLC, Term Loan B, 6.25%, 4/04/18
     
 
        374             358,596   
Power Team Services LLC, 1st Lien Term Loan, 4.25%, 5/06/20
     
 
        196             193,356   
Power Team Services, LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
        105             102,900   
Quicksilver Resources, Inc., 2nd Lien Term Loan, 7.00%, 6/21/19
     
 
        220             209,000   
Ruby Western Pipeline Holdings LLC, Term Loan B, 3.50%, 3/27/20
     
 
        428             426,032   
Samson Investment Co., 2nd Lien Term Loan, 6.00%, 9/25/18
     
 
        295             296,292   
State Class Tankers II LLC, Term Loan B, 6.75%, 6/22/20
     
 
        400             402,000   
Tesoro Corp., Term Loan B, 2.51%, 1/29/16
     
 
        539             539,097   
Total Safety US, Inc.:
                                                            
1st Lien Term Loan, 5.75%, 3/13/20
     
 
        409             411,531   
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
        155             157,318   
Vantage Drilling Co.:
                                                            
Term Loan, 6.25%, 10/26/17
     
 
        705             710,260   
Term Loan B, 5.75%, 3/22/19
     
 
        349             351,744   
 
     
 
                      8,184,381   
Paper & Forest Products — 0.2%
                                                            
NewPage Corp., Exit Term Loan, 7.75%, 12/21/18
     
 
        314             318,628   
Pharmaceuticals — 4.4%
                                                            
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17
     
 
        1,104            1,105,755   
Par Pharmaceutical, Refinancing Term Loan B, 4.25%, 9/30/19
     
 
        1,071            1,065,107   
Pharmaceutical Product Development, Inc., Term Loan B, 4.25%, 12/05/18
     
 
        921             919,627   
Quintiles Transnational Corp., Term Loan B, 4.00%, 6/08/18
     
 
        577             578,457   
Valeant Pharmaceuticals International, Inc.:
                                                            
Series C1 Term Loan B, 4.38%, 12/11/19
     
 
        609             610,068   
Series D1 Term Loan B, 4.38%, 2/13/19
     
 
        659             660,626   
Term Loan E, 4.50%, 8/05/20
     
 
        438             441,289   
Warner Chilcott Corp.:
                                                            
Incremental Term Loan B1, 4.25%, 3/15/18
     
 
        101             101,282   
Term Loan B1, 4.25%, 3/15/18
     
 
        233             232,658   
 
     
 
                      5,714,869   
Professional Services — 1.7%
                                                            
Emdeon Business Services, LLC, Term Loan B2, 3.75%, 11/02/18
     
 
        724             725,187   
ON Assignment, Inc., Refinancing Term Loan B, 3.50%, 4/30/20
     
 
        248             247,235   
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
        429             427,853   
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20
     
 
        260             257,400   
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/01/19
     
 
        599             600,710   
 
     
 
                      2,258,385   
Real Estate Investment Trusts (REITs) — 0.5%
                                                            
iStar Financial, Inc., Term Loan, 4.50%, 10/16/17
     
 
        690             689,623   
Real Estate Management & Development — 1.2%
                                                            
Realogy Corp.:
                                                            
Extended Letter of Credit, 4.45%, 10/10/16
     
 
        87             87,811   
Extended Term Loan, 4.50%, 3/05/20
     
 
        1,486            1,494,009   
Letter of Credit, 3.20%, 10/10/13
     
 
        21             20,731   
 
     
 
                      1,602,551   
                          
Floating Rate Loan Interests (b)
                Par
(000)
     Value
Road & Rail — 0.4%
                                                            
Genesee & Wyoming, Inc., Term Loan A, 2.19%, 9/29/17
     
USD
        244        $     243,756     
Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18
     
 
        229             230,212   
 
     
 
                      473,968   
Semiconductors & Semiconductor Equipment — 0.9%
Freescale Semiconductor, Inc., Term Loan B4, 5.00%, 2/28/20
     
 
        748             750,527   
NXP BV, Term Loan C, 4.75%, 1/11/20
     
 
        433             438,642   
 
     
 
                      1,189,169   
Software — 4.6%
                                                            
Blackboard, Inc., Term Loan B2, 6.25%, 10/04/18
     
 
        115             115,532   
BMC Software, Inc., Term Loan, 5.00%, 8/07/20
     
 
        560             558,835   
CompuCom Systems, Inc., Refinancing Term Loan B, 4.25%, 5/11/20
     
 
        200             198,000   
Evertec, Inc., Term Loan B, 3.50%, 4/15/20
     
 
        245             243,285   
GCA Services Group, Inc.:
                                                            
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
        220             223,300   
Term Loan B, 5.25%, 11/01/19
     
 
        438             438,517   
Infor US, Inc., Term Loan B2, 5.25%, 4/05/18
     
 
        927             931,597   
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
        345             356,644   
RP Crown Parent LLC, 1st Lien Term Loan, 6.75%, 12/21/18
     
 
        358             361,334   
Sophia LP, Term Loan B, 4.50%, 7/19/18
     
 
        627             628,739   
SS&C Technologies, Inc.:
                                                            
Term Loan B1, 3.50%, 6/07/19
     
 
        724             722,695   
Term Loan B2, 3.50%, 6/07/19
     
 
        75             74,762   
StoneRiver Holdings, Inc.:
                                                            
1st Lien Term Loan, 4.50%, 11/20/19
     
 
        455             452,725   
2nd Lien Term Loan, 8.50%, 11/20/20
     
 
        325             327,632   
Websence, Inc.:
                                                            
2nd Lien Term Loan, 8.25%, 11/24/20
     
 
        170             169,363   
Term Loan B, 4.50%, 6/25/20
     
 
        185             184,769   
 
     
 
                      5,987,729   
Specialty Retail — 6.4%
                                                            
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
        788             790,890   
Atlantic Aviation FBO, Inc., Term Loan B, 3.25%, 6/01/20
     
 
        135             133,819   
Bass Pro Group LLC, Term Loan, 4.00%, 11/20/19
     
 
        606             606,227   
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17
     
 
        152             152,870   
David’s Bridal, Inc., Term Loan B, 5.00%, 10/11/19
     
 
        851             855,020   
Equinox Holdings, Inc., Repriced Term Loan B, 4.50% – 5.50%, 1/31/20
     
 
        454             455,564   
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
     
 
        77             74,156   
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/16/19
     
 
        457             460,659   
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18
     
 
        282             282,003   
Leslie’s Poolmart, Inc., Term Loan B, 5.25%, 10/16/19
     
 
        698             702,103   
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20
     
 
        668             670,203   
Party City Holdings, Inc., Refinancing Term Loan B, 4.25%, 7/29/19
     
 
        1,199            1,195,339   
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
        783             785,983   
Sprouts Farmers Markets Holdings LLC, Term Loan, 4.00%, 4/23/20
     
 
        177             177,576   
SRAM LLC, Term Loan B, 4.00% – 5.25%, 4/10/20
     
 
        190             188,452   
The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19
     
 
        388             390,471   
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
        397             395,226   
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
     
 
        38             36,159   
 
     
 
                      8,352,720   

See Notes to Financial Statements.

16 ANNUAL REPORT AUGUST 31, 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
Textiles, Apparel & Luxury Goods — 1.3%
                                                            
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
USD
        913        $     874,616     
PVH Corp., Term Loan B, 3.25%, 2/13/20
     
 
        309             310,011   
True Religion Apparel, Inc., 1st Lien Term Loan, 5.88%, 7/30/19
     
 
        75             70,735   
Wolverine Worldwide, Inc., Term Loan B, 4.00% – 5.25%, 7/31/19
     
 
        452             454,246   
 
     
 
                      1,709,608   
Thrifts & Mortgage Finance — 0.6%
                                                            
Insight Global Holdings, Inc., 1st Lien Term Loan, 6.00%, 10/31/19
     
 
        448             452,228   
Ocwen Financial Corp., Term Loan, 5.00%, 2/15/18
     
 
        374             377,616   
 
     
 
                      829,844   
Trading Companies & Distributors — 0.4%
                                                            
WESCO Distribution, Inc., Term Loan B, 4.50%, 12/12/19
     
 
        500             502,505   
Wireless Telecommunication Services — 0.8%
                                                            
Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19
     
 
        373             373,481   
Light Tower Fiber LLC, 1st Lien Term Loan, 4.50%, 4/13/20
     
 
        610             613,050   
 
     
 
                      986,531   
Total Floating Rate Loan Interests — 130.8%
     
 
                      170,840,061   
    
Warrants (e)
             
         
Shares
         
Value
Mortgage-Backed Securities — 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 — $180,882,576) — 139.6%
     
 
                 $ 182,349,063     

Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.04% (f)(g)
     
 
        1,298,269            1,298,269   
Total Short-Term Securities
(Cost — $1,298,269) — 1.0%
     
 
                      1,298,269   
Total Investments (Cost — $182,180,845) — 140.6%
                   183,647,332   
Liabilities in Excess of Other Assets — (40.6)%
     
 
                      (53,048,156 )  
Net Assets — 100.0%
     
 
                 $ 130,599,176   

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

Counterparty



   
Value
   
Unrealized
Appreciation
(Depreciation)

J.P. Morgan Securities LLC
      $ 788,073               

(d)      
Non-income producing security.
(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 year ended August 31, 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
August 31, 2013

   
Income
   
Realized
Gain

BlackRock Liquidity Funds, TempFund, Institutional Class
           2,326,441            (1,028,172 )           1,298,269       $ 849        $ 6    

(g)      
Represents the current yield as of report date.
     
Foreign currency exchange contracts as of August 31, 2013 were as follows:

Currency Purchased


Currency Sold


Counterparty


Settlement
Date


Unrealized
Appreciation
(Depreciation)

USD
  552,624   
EUR
   414,000   
Barclays Bank PLC
  
9/25/13
   $ 5,423     
USD
  4,020,240   
EUR
   2,992,000   
UBS Securities LLC
  
9/25/13
        65,591   
USD
  96,098   
CAD
   100,000   
JPMorgan Chase Bank N.A.
  
10/22/13
        1,271   
USD
  2,162,479   
GBP
   1,434,000   
Deutsche Bank AG
  
10/22/13
        (58,967 )  
Total
       
 
       
 
  
 
   $ 13,318   

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2013 17
 
  
Schedule of Investments (continued)   BlackRock Defined Opportunity Credit Trust (BHL)
 

     
Credit default swaps — buy protection outstanding as of August 31, 2013 were as follows:

Issuer/Index



   
Pay
Fixed
Rate

   
Clearinghouse
   
Expiration
Date

   
Notional
Amount
(000)

   
Market
Value

   
Unrealized
Appreciation

Markit CDX North American HY
Index Series 20, Version 1
           5.00 %     
Chicago Mercantile Exchange
        6/20/18      
USD  1,000
  
$(39,425)
   $ 11,396   

     
Credit default swaps — sold protection outstanding as of August 31, 2013 were as follows:

Issuer/Index



   
Receive
Fixed
Rate
   
Counterparty

   
Expiration
Date
   
Credit
Rating1
   
Notional
Amount
(000)2