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: 08/31/2014

 

Date of reporting period: 08/31/2014

 

Item 1 – Report to Stockholders

 
 

AUGUST 31, 2014

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    
Shareholder Letter
           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
           50    
Statements of Operations
           51    
Statements of Changes in Net Assets
           52    
Statements of Cash Flows
           55    
Financial Highlights
           56    
Notes to Financial Statements
           59    
Report of Independent Registered Public Accounting Firm
           75    
Important Tax Information
           75    
Disclosure of Investment Advisory Agreements
           76    
Automatic Dividend Reinvestment Plans
           80    
Officers and Directors
           81    
Additional Information
           84    
2 ANNUAL REPORT AUGUST 31, 2014
 
  
Shareholder Letter 

 

Dear Shareholder,

The latter part of 2013 was a strong period for most risk assets such as equities and high yield bonds, despite the mixed tone of economic and financial news and uncertainty as to when and by how much the U.S. Federal Reserve would begin to gradually reduce (or “taper”) its asset purchase programs. Stock markets rallied in September when the Fed defied investors’ expectations with its decision to delay tapering. The momentum was disrupted temporarily, however, when the U.S. debt ceiling debate led to a partial government shutdown, roiling financial markets globally until a compromise was struck in mid-October. The remainder of 2013 was generally positive for developed market stocks, while fixed income and emerging market investments struggled as Fed tapering became increasingly imminent. When the central bank ultimately announced its tapering plans in mid-December, equity investors reacted positively, as this action signaled the Fed’s perception of real improvement in the economy.

Most asset classes moved higher in 2014 despite the pull back in Fed stimulus. The year got off to a rocky start, however, as a number of developing economies showed signs of stress while facing the onset of diminishing global liquidity. These risks, combined with disappointing U.S. economic data, caused equities to decline in January while bond markets found renewed strength from investors seeking relatively safer assets. Although these headwinds persisted, equities were back on the rise in February as investors were relieved by a one-year extension of the U.S. debt ceiling and market-friendly comments from the Fed’s new Chairwoman, Janet Yellen. While it was clear that U.S. economic data had softened, investors were assuaged by increasing evidence that the trend was temporary and weather-related, and continued to take on risk with the expectation that growth would pick up later in the year.

In the months that followed, interest rates trended lower and bond prices climbed higher in the modest growth environment. Financial markets exhibited a remarkably low level of volatility despite rising geopolitical risks and mixed global economic news. Tensions in Russia and Ukraine and signs of decelerating growth in China caused some turbulence, but markets were resilient as investors focused on signs of improvement in the U.S. recovery, stronger corporate earnings and increased merger-and-acquisition activity. Importantly, investors were comforted by reassurance from the Fed that no changes to short-term interest rates were on the horizon.

In the ongoing low-rate environment, investors looked to equities as a source of yield, pushing major indices to record levels. As stock prices continued to move higher, investors soon became wary of stretched valuations and a new theme emerged. Stocks that had experienced significant price appreciation in 2013, particularly growth and momentum names, broadly declined as investors fled to stocks with cheaper valuations. This rotation resulted in the strongest performers of 2013 struggling most in 2014, and vice versa. Especially hard hit were U.S. small cap and European stocks, where earnings growth had not kept pace with recent market gains. In contrast, emerging market stocks benefited from the trend after having suffered heavy selling pressure earlier in the year.

However, asset prices tend to be more vulnerable to bad news when investors believe valuations are high. Consequently, markets came under pressure in July as geopolitical turmoil intensified in Gaza, Iraq and Ukraine and financial troubles boiled over in Argentina and Portugal. Investors regained confidence in August and, although volatility ticked up, markets rebounded as low rates and an improving U.S. economy trumped full valuations and lingering geopolitical risks. Concurrently, a slowdown in Europe’s recovery fueled hopes for further monetary accommodation from the European Central Bank, driving global equities higher. Additionally, lower yields on European sovereign bonds made U.S. Treasuries more appealing by comparison, contributing to the persistence of low rates in the United States.

Despite a host of challenges, most asset classes generated solid returns for the six- and 12-month periods ended August 31, 2014, with equities generally outperforming fixed income. Emerging market equities delivered impressive gains. Developed markets also performed well, although the expensive U.S. small cap stocks lagged in 2014. Most fixed income assets produced positive results even as the Fed reduced its open-market purchases. Tax-exempt municipal bonds benefited from a favorable supply-and-demand environment. Short-term interest rates remained near zero, keeping yields on money market securities close to historic lows.

At BlackRock, we believe investors need to think globally, extend their scope across a broad 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 blackrock.com for further insight about investing in today’s world.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC



 
 
Asset prices pushed higher over the period despite modest global growth, geopolitical risks and a shift toward tighter U.S. monetary policy.

Rob Kapito

President, BlackRock Advisors, LLC


Total Returns as of August 31, 2014

         6-month      12-month
U.S. large cap equities (S&P 500® Index)
           8.84 %           25.25 %  
U.S. small cap equities (Russell 2000® Index)
           (0.06 )           17.68   
International equities (MSCI Europe, Australasia, Far East Index)
           1.24            16.44   
Emerging market equities (MSCI Emerging Markets Index)
           14.52            19.98   
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury
Bill Index)
           0.02            0.05   
U.S. Treasury securities (BofA Merrill Lynch
10-Year U.S. Treasury Index)
           4.35            7.07   
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)
           2.74            5.66   
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           4.21            10.55   
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)
           2.89            10.57   

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



 THIS PAGE NOT PART OF YOUR FUND REPORT3
 
Fund Summary as of August 31, 2014 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, 2014, the Fund returned 6.75% based on market price and 5.98% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.03% based on market price and 6.55% based on NAV. All returns reflect reinvestment of dividends. The Fund’s discount to NAV, which narrowed during the period, accounts for the difference between performance based on price and performance based on NAV. The following discussion relates to performance based on NAV.

What factors influenced performance?

•    Selection among individual credits had a positive impact on performance. The Fund was broadly diversified across more than 300 issuers, many of which contributed positively to returns. Notably, the largest contributors were Caesars Entertainment Resort Properties LLC (gaming), First Data Corp. (software), La Quinta Intermediate Holdings (lodging) and HD Supply, Inc. (industrial distribution). The Fund’s preference for B-rated loans over BB-rated loans proved beneficial as the BB-rated segment underperformed during the period.
•    The Fund’s limited exposure to CCC and lower-rated as well as less liquid loan credits represented a missed opportunity for additional gains, as these segments performed well during the period.

Describe recent portfolio activity.

•    During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. As we expect modest growth and improving economic conditions, in the latter half of the period the Fund modestly increased exposure to CCC-rated loans and reduced exposure to fixed-coupon high yield bonds as valuations in that market moved closer to fair value.

Describe portfolio positioning at period end.

•    At period end, the Fund held 95% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund maintained a concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund favored CCC-rated loans, while maintaining generally low exposure to lower quality, less liquid loans.


  
  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, 2014
 
  
    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, 2014 ($13.84)1
     
5.25%
Current Monthly Distribution per Common Share2
     
$0.0605
Current Annualized Distribution per Common Share2
     
$0.7260
Economic Leverage as of August 31, 20143
     
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. Past performance does not guarantee future results.
2 The monthly distribution per common share, declared on October 1, 2014, was decreased to $0.0583 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.
3 Represents bank borrowings 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




   
8/31/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 13.84         $ 13.77            0.51 %        $ 14.20         $ 13.48   
Net Asset Value
        $ 14.41         $ 14.44            (0.21 )%        $ 14.56         $ 14.32   

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


 
    

Overview of the Fund’s Long-Term Investments

Portfolio Composition 



   
8/31/14
   
8/31/13
Floating Rate Loan Interests
           95 %           94 %  
Corporate Bonds
           2             3    
Asset-Backed Securities
           2             2    
Common Stocks
           1             1    
                     

 

Credit Quality Allocation4



   
8/31/14
   
8/31/135
BBB/Baa
           6 %           7 %  
BB/Ba
           43             40    
B
           44             43    
CCC/Caa
           4             4    
N/R
           3             6    
4 For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either Standard & Poor’s (“S&P”) or Moody’s Investors Service (“Moody’s”) if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
5 Information has been revised to conform to current year presentation.


ANNUAL REPORT AUGUST 31, 2014 5
 
  
Fund Summary as of August 31, 2014 BlackRock Floating Rate Income Strategies Fund, Inc.

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

•    For the 12-month period ended August 31, 2014, the Fund returned 1.33% based on market price and 6.45% based on NAV. For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of 1.03% based on market price and 6.55% 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?

•    Selection among individual credits had a positive impact on performance. The Fund was broadly diversified across more than 300 issuers, many of which contributed positively to returns. Notably, the largest contributors were Caesars Entertainment Resort Properties LLC (gaming), First Data Corp. (software), La Quinta Intermediate Holdings (lodging) and HD Supply, Inc. (industrial distribution). The Fund’s preference for B-rated loans over BB-rated loans proved beneficial as the BB-rated segment underperformed during the period.
•    The Fund’s limited exposure to CCC and lower-rated as well as less liquid loan credits represented a missed opportunity for additional gains, as these segments performed well during the period.

Describe recent portfolio activity.

•    During the period, the Fund maintained its overall focus on the higher quality segments of the loan market in terms of loan structure, liquidity and overall credit quality. With the average loan trading recently at or just above par (i.e., with limited or no upside), the Fund has concentrated its investments in strong companies with stable cash flows and high quality collateral, with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market, where the more appealing investment opportunities have been emerging. As we expect modest growth and improving economic conditions, in the latter half of the period the Fund modestly increased exposure to CCC-rated loans and reduced exposure to fixed-coupon high yield bonds as valuations in that market moved closer to fair value.

Describe portfolio positioning at period end.

•    At period end, the Fund held 94% of its total portfolio in floating rate loan interests (bank loans), with the remainder in corporate bonds and other interests. The Fund maintained a concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund favored CCC-rated loans, while maintaining generally low exposure to lower quality, less liquid loans.


  
  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, 2014
 
  
    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, 2014 ($14.26)1
     
5.89%
Current Monthly Distribution per Common Share2
     
$0.07
Current Annualized Distribution per Common Share2
     
$0.84
Economic Leverage as of August 31, 20143
     
29%
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. Past performance does not guarantee future results.
2 The monthly distribution per common share, declared on October 1, 2014, was decreased to $0.0674 per share. The current distribution rate on closing market price, current monthly distribution per common share and current annualized distribution per common share do not reflect the new distribution rate. The new distribution rate is not constant and is subject to change in the future.
3 Represents bank borrowings 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




   
8/31/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 14.26         $ 14.96            (4.68 )%        $ 15.02         $ 14.11   
Net Asset Value
        $ 15.38         $ 15.36            0.13 %        $ 15.54         $ 15.26   

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


 
    

Overview of the Fund’s Long-Term Investments

Portfolio Composition 



   
8/31/14
   
8/31/13
Floating Rate Loan Interests
           94 %           92 %  
Corporate Bonds
           3             4    
Asset-Backed Securities
           2             3    
Common Stocks
           1             1    
                     

 

Credit Quality Allocation4



   
8/31/14
   
8/31/135
BBB/Baa
           6 %           7 %  
BB/Ba
           43             39    
B
           43             44    
CCC/Caa
           4             4    
N/R
           4             6    
4 For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
5 Information has been revised to conform to current year presentation.


ANNUAL REPORT AUGUST 31, 2014 7
 
  
Fund Summary as of August 31, 2014 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, 2014, the Fund returned 6.89% based on market price and 10.77% based on NAV. For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of 15.47% based on market price and 14.60% 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?

•    In a generally positive environment for fixed income markets, high yield credit and bank loans performed well. In particular, the strong macroeconomic backdrop and market fundamentals that gave rise to net negative supply supported further spread tightening, particularly in asset-backed securities (“ABS”). The largest contributors to the Fund’s performance were its positions in high yield, bank loans and investment grade industrials. Exposure to non-US dollar positions also had a positive impact on performance, as did commercial mortgage-backed securities (“CMBS”), non-agency adjustable-rate mortgages and collateralized mortgage obligations (“CMOs”). In addition, the Fund’s ABS and equity positions enhanced results.
•    Based on the view that short-term rates would remain low, the Fund maintained a high level of leverage to augment income generation throughout the period.
•    Conversely, the principal detractor from the Fund’s performance over the past 12 months was the Fund’s derivatives exposure to manage duration.

Describe recent portfolio activity.

•    The Fund’s allocations remained consistent throughout the 12-month period, with its largest position in high yield, followed by allocations to bank loans and investment grade corporate credit and securitized credits, including CMBS and ABS.

Describe portfolio positioning at period end.

•    At period end, the Fund maintained diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, CMBS and ABS, as well as agency and non-agency residential mortgage-backed securities.


  
  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, 2014
 
  
    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, 2014 ($16.81)1
     
7.10%
Current Monthly Distribution per Common Share2
     
$0.0995
Current Annualized Distribution per Common Share2
     
$1.1940
Economic Leverage as of August 31, 20143
     
31%
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. 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




   
8/31/14
   
8/31/13
   
Change
   
High
   
Low
Market Price
        $ 16.81         $ 16.89            (0.47 )%        $ 17.62         $ 16.15   
Net Asset Value
        $ 18.09         $ 17.54            3.14 %        $ 18.31         $ 17.54   
 
     

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


 
    

Overview of the Fund’s Long-Term Investments

Portfolio Composition 



   
8/31/14
   
8/31/13
Corporate Bonds
           42 %           44 %  
Floating Rate Loan Interests
           32             36    
Preferred Securities
           8             1    
Non-Agency Mortgage-Backed Securities
           7             8    
Asset-Backed Securities
           5             6    
U.S. Government Sponsored Agency Securities
           4             4    
Common Stocks
           1             1    
Foreign Agency Obligations
           1             -    
                     

 

Credit Quality Allocation4



   
8/31/14
   
8/31/135
AAA/Aaa6
           6 %           4 %  
AA/Aa
           2             2    
A
           3             5    
BBB/Baa
           15             13    
BB/Ba
           32             27    
B
           31             32    
CCC/Caa
           7             7    
D
                       1    
N/R
           4             9    
4 For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P or Moody’s if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.
5 Information has been revised to conform to current year presentation.
6 The investment advisor evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment advisor has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.


ANNUAL REPORT AUGUST 31, 2014 9
 
  
The Benefits and Risks of Leveraging  BlackRock Limited Duration Income Trust

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

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which will be based on short-term interest rates, will normally be lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of the Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, the 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.

To illustrate these concepts, assume a Fund’s capitalization is $100 million and it utilizes leverage for an additional $30 million, creating a total value of $130 million available for investment in longer-term income securities. If prevailing short-term interest rates are 3% and longer-term interest rates are 6%, the yield curve has a strongly positive slope. In this case, the Fund’s financing costs on the $30 million of proceeds obtained from leverage are based on the lower short-term interest rates. At the same time, the securities purchased by the Fund with the proceeds from leverage earn income based on longer-term interest rates. In this case, the Fund’s financing cost of leverage are significantly lower than the income earned on the Fund’s longer-term investments acquired from leverage proceeds, and therefore the holders of Common Shares (“Common Shareholders”) are the beneficiaries of the incremental net income.

However, in order to benefit shareholders, the return on assets purchased with leverage proceeds must exceed the ongoing costs associated with the leverage. If interest and other costs of leverage exceed the Fund’s return on assets purchased with leverage proceeds, income to shareholders will be lower than if the Fund had not used leverage. Furthermore, the value of the Fund’s 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 value of the Fund’s obligations under its leverage arrangement generally does not fluctuate in relation to interest rates. As a result, changes in interest rates can influence the Fund’s NAVs positively or negatively. Changes in the future direction of interest rates are very difficult to predict accurately, and there is no assurance that a Fund’s intended leveraging strategy will be successful.

Leverage also will generally cause greater changes in the Funds’ NAVs, market prices and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the net asset value and market price of a Fund’s shares than if the Fund were not leveraged. In addition, the 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 the Fund to incur losses. The use of leverage may limit the Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. The Fund will incur expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shares.

Each Fund may utilize leverage through a credit facility or reverse repurchase agreements as described in the Notes to Financial Statements.

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 3313% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

If a Fund segregates or designates on its books and records cash or liquid assets having values not less than the value of the Fund’s obligations under the reverse repurchase agreement (including accrued interest), then such transaction will not be considered a senior security and will not be subject to the foregoing limitations and requirements under the 1940 Act.



Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including financial futures contracts, forward 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 and/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, 2014
 
  
Schedule of Investments August 31, 2014 BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Common Stocks (a)            
Shares
  Value
Diversified Consumer Services — 0.2%
Cengage Thomson Learning
     
 
    8,922      $  282,533  
Software — 0.4%
HMH Holdings/EduMedia
     
 
    24,355       467,616  
Total Common Stocks — 0.6%
     
 
            750,149  

Asset-Backed Securities (b)(c)
  
    Par
(000)
      
ALM Loan Funding, Series 2013-7RA, Class C, 3.68%, 4/24/24
     
USD
    500       477,941  
ALM XIV Ltd., Series 2014-14A:
                           
Class B, 3.18%, 7/28/26
     
 
    563       553,845  
Class C, 3.68%, 7/28/26
     
 
    713       676,305  
Atlas Senior Loan Fund Ltd., 3.94%, 10/15/26 (d)
     
 
    250       237,200  
Atrium CDO Corp., Series 9A, Class D, 3.74%, 2/28/24
     
 
    250       238,982  
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.73%, 1/20/25
     
 
    250       250,833  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23
     
 
    215       213,336  
North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25
     
 
    250       236,452  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.43%, 10/25/25
     
 
    250       233,424  
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.04%, 8/12/26
     
 
    250       245,275  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.48%, 7/23/23
     
 
    350       350,483  
Total Asset-Backed Securities — 2.8%
     
 
            3,714,076  

Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c)
     
 
    250       258,750  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16
     
 
    46       51,702  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
    590       600,325  
 
     
 
            910,777  
Auto Components — 0.2%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
                           
3.50%, 3/15/17
     
 
    164       165,025  
4.88%, 3/15/19
     
 
    105       107,887  
 
     
 
            272,912  
Chemicals — 0.1%
INEOS Finance PLC, 8.38%, 2/15/19 (c)
     
 
    110       119,350  
Commercial Services & Supplies — 0.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (b)
     
 
    68       67,660  
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)
     
 
    250       255,594  
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
    80       84,200  
 
     
 
            407,454  
Corporate Bonds           Par
(000)
  Value
Communications Equipment — 0.4%
Avaya, Inc., 7.00%, 4/01/19 (c)
     
USD
    101      $  100,495  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
    380       409,925  
 
     
 
            510,420  
Diversified Financial Services — 0.3%
Ally Financial, Inc., 2.91%, 7/18/16 (b)
     
 
    275       280,363  
Reynolds Group Issuer, Inc., 7.13%, 4/15/19
     
 
    120       124,650  
 
     
 
            405,013  
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc. (c):
                           
3.82%, 1/15/18 (b)
     
 
    228        229,140  
6.13%, 1/15/21
     
 
    127       133,985  
 
     
 
            363,125  
Hotels, Restaurants & Leisure — 0.4%
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20
     
 
    642       514,166  
Independent Power and Renewable Electricity Producers — 0.1%
             
Calpine Corp., 6.00%, 1/15/22 (c)
     
 
    80       86,200  
Media — 0.2%
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c)
     
 
    96       98,640  
Numericable Group SA, 6.00%, 5/15/22 (c)
     
 
    200       206,000  
 
     
 
            304,640  
Oil, Gas & Consumable Fuels — 0.1%
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
    145       152,975  
Road & Rail — 0.2%
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)
     
 
    196       206,780  
Wireless Telecommunication Services — 0.0%
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
    50       51,813  
Total Corporate Bonds — 3.3%
    4,305,625  

Floating Rate Loan Interests (b)
Aerospace & Defense — 1.7%
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
    509       506,274  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    275       269,500  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    222       220,120  
Term Loan D, 3.75%, 6/04/21
     
 
    200       198,584  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    1,087       1,082,295  
 
     
 
            2,276,773  
Air Freight & Logistics — 0.5%
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    166       160,225  
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21
     
 
    175       170,543  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    30       29,404  
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    241       235,233  
 
     
 
            595,405  


 

Portfolio Abbreviations

  
                   
ABS
ADS
CAD
CLO
DIP
 
Asset-Backed Security
American Depositary Shares
Canadian Dollar
Collateralized Loan Obligation
Debtor-In-Possession
 
EUR
GBP
LIBOR
OIS
OTC
 
Euro
British Pound
London Interbank Offered Rate
Overnight Indexed Swap
Over-the-Counter
 
PIK
REMIC
SGD
USD
 
Payment-In-Kind
Real Estate Mortgage Investment Conduit
Singapore Dollar
U.S. Dollar

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 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
Airlines — 0.8%
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18
     
USD
    324      $  320,573  
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
 
    178       173,753  
1.56%, 9/10/18
     
 
    245       233,803  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    257       254,826  
 
     
 
            982,955  
Auto Components — 4.5%
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    293       294,212  
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/04/16
     
 
    57       57,434  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/28/17
     
 
    625       624,485  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    238       228,990  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    358       358,200  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
    328        324,741  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    2,010       1,994,202  
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    1,150       1,153,232  
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18
     
 
    481       478,508  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
    338       337,433  
 
     
 
            5,851,437  
Automobiles — 0.3%
Chrysler Group LLC:
                           
2018 Term Loan B, 3.25%, 12/31/18
     
 
    190       187,582  
Term Loan B, 3.50%, 5/24/17
     
 
    199       199,201  
 
     
 
            386,783  
Banks — 0.3%
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    259       258,268  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    70       71,043  
 
     
 
            329,311  
Building Products — 3.1%
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    373       370,594  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    974       973,623  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    319       315,210  
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21
     
 
    394       389,336  
Nortek, Inc., Term Loan, 3.75%, 10/30/20
     
 
    480       477,998  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    224       220,299  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
    402       399,688  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    109       107,991  
Term Loan B, 4.00%, 10/31/19
     
 
    788       777,496  
 
     
 
            4,032,235  
Capital Markets — 0.5%
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    212       210,417  
Term Loan B, 6.75%, 4/30/18
     
 
    301       297,706  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    195       194,263  
 
     
 
            702,386  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Chemicals — 5.0%
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19
     
USD
    254      $  253,873  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19
     
 
    132       131,722  
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20
     
 
    473       469,535  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20
     
 
    27       26,758  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
    324       323,809  
Chromaflo Technologies Corp.:
                           
1st Lien Term Loan, 4.50%, 12/02/19
     
 
    259       257,730  
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
    110       109,450  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    476       475,788  
INEOS US Finance LLC:
                           
3 Year Term Loan, 2.20%, 5/04/15
     
 
    88       87,737  
6 Year Term Loan, 3.75%, 5/04/18
     
 
    194       192,691  
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20
     
 
    461       459,337  
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21
     
 
    500       499,375  
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/15/15
     
 
    100        99,875  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    581       578,082  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    315        315,526  
Term Loan B2, 4.25%, 1/15/20
     
 
    581       578,435  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    156       155,887  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/02/21
     
 
    355       352,561  
2nd Lien Term Loan, 7.75%, 7/02/22
     
 
    390       386,490  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    134       131,979  
Tronox Pigments (Netherlands) BV, 2013 Term Loan, 4.00%, 3/19/20
     
 
    406       404,954  
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
    222       222,330  
 
     
 
            6,513,924  
Commercial Services & Supplies — 5.2%
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    736       724,912  
ARAMARK Corp.:
                           
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
    14       13,753  
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
    9       9,301  
Term Loan E, 3.25%, 9/07/19
     
 
    664       656,611  
AWAS Finance Luxembourg 2012 SA, Term Loan, 3.50%, 7/16/18
     
 
    279       278,443  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    868       866,878  
Catalent Pharma Solutions, Inc., Term Loan, 6.50%, 12/29/17
     
 
    67       67,454  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    675       677,956  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    325       326,219  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21
     
 
    309       306,782  
Koosharem LLC, Exit Term Loan, 7.50%, 4/29/20
     
 
    550       550,687  
Livingston International, Inc.:
                           
1st Lien Term Loan, 5.00%, 4/16/19
     
 
    307       305,175  
2nd Lien Term Loan, 9.00%, 4/20/20
     
 
    200       198,362  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    924       915,709  
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
     
 
    225       225,000  
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
    598       591,691  
 
     
 
            6,714,933  


See Notes to Financial Statements.

12 ANNUAL REPORT AUGUST 31, 2014
 
  
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

Floating Rate Loan Interests (b)           Par
(000)
  Value
Communications Equipment — 2.7%
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
USD
    190      $  188,147  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    1,325       1,340,741  
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    184       183,615  
2nd Lien Term Loan, 7.50%, 1/23/22
     
 
    85       85,510  
Avaya, Inc., Extended Term Loan B3, 4.66%, 10/26/17
     
 
    345       333,911  
CommScope, Inc., Term Loan B3, 2.66% - 2.73%, 1/21/17
     
 
    157       157,576  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
 
    1,235       1,229,305  
 
     
 
            3,518,805  
Construction & Engineering — 0.4%
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20
     
 
    300       293,633  
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/15/20
     
 
    280       283,500  
 
     
 
            577,133  
Construction Materials — 1.5%
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    219        219,009  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    1,604       1,595,200  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    149       148,875  
 
     
 
            1,963,084  
Containers & Packaging — 1.1%
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    209       208,254  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    629       620,016  
BWAY Holding Co., Inc., Term Loan B, 5.50%, 8/14/20
     
 
    345       346,439  
CD&R Millennium Holdco 6 Sarl, 1st Lien Term Loan, 4.50%, 7/31/21
     
 
    25       24,836  
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21
     
 
    170       169,787  
Tekni-Plex, Inc., Term Loan B, 4.75%, 8/25/19
     
 
    111       110,609  
 
     
 
            1,479,941  
Distributors — 1.5%
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    1,141       1,129,722  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    329       329,289  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
    231       228,871  
VWR Funding, Inc., Term Loan, 3.41%, 4/03/17
     
 
    276       274,251  
 
     
 
            1,962,133  
Diversified Consumer Services — 2.5%
Allied Security Holdings LLC:
                           
1st Lien Term Loan, 4.25%, 2/12/21
     
 
    655       649,212  
2nd Lien Term Loan, 8.00%, 8/13/21
     
 
    91       89,963  
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75% - 5.00%, 1/30/20
     
 
    635       630,960  
Fitness International LLC, Term Loan B, 5.50%, 7/01/20
     
 
    250       248,958  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    68       67,945  
Term Loan B, 4.00%, 11/06/20
     
 
    268       265,602  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    248       240,527  
ServiceMaster Co., 2014 Term Loan B, 4.25%, 7/01/21
  610       604,968  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    627       492,601  
 
     
 
            3,290,736  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Diversified Financial Services — 1.3%
AssuredPartners Capital, Inc., 1st Lien Term Loan, 4.50%, 3/31/21
     
USD
    335      $  333,466  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    745       743,366  
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18
     
 
    86       86,388  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    592       591,101  
 
     
 
            1,754,321  
Diversified Telecommunication Services — 4.2%
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    689       689,270  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    521       522,979  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/22/20
     
 
    255       258,825  
Term Loan B, 5.25%, 2/22/19
     
 
    459       459,045  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    220       218,946  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    2,160       2,149,200  
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19
     
 
    446        441,520  
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17
     
 
    728       727,534  
 
     
 
            5,467,319  
Electric Utilities — 1.1%
American Energy—Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    400       399,879  
American Energy—Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    51       53,229  
2nd Lien Term Loan, 5.50%, 9/30/18
     
 
    231       247,609  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    51       53,237  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    325       325,325  
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20
     
 
    293       294,575  
 
     
 
            1,373,854  
Electrical Equipment — 1.5%
Southwire Co., Term Loan, 3.25%, 2/10/21
     
 
    264       262,553  
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    581       584,740  
Extended Term Loan, 4.65%, 10/10/17 (a)(e)
     
 
    1,505       1,163,787  
 
     
 
            2,011,080  
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
 
    653       644,353  
Energy Equipment & Services — 0.5%
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    257       256,919  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
    358       356,802  
 
     
 
            613,721  
Food & Staples Retailing — 1.7%
Alliance Boots Holdings Ltd., Term Loan B1, 3.48%, 7/09/15
     
GBP
    672       1,113,533  
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
USD
    335       333,010  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    235       237,545  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    510       506,112  
 
     
 
            2,190,200  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 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
Food Products — 3.6%
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17
     
USD
    199      $  199,753  
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
    258       257,297  
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25% - 5.50%, 2/18/21
     
 
    393       388,521  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    682       677,215  
Dole Food Co., Inc., Term Loan B, 4.50% - 5.75%, 11/01/18
     
 
    598       595,514  
GFA Brands, Inc., Term Loan B, 4.50%, 7/09/20
     
 
    109       109,036  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
    74       74,023  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    470       470,296  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    374       374,628  
Pinnacle Foods Finance LLC:
                           
Incremental Term Loan H, 3.25%, 4/29/20
     
 
    124       122,489  
Term Loan G, 3.25%, 4/29/20
     
 
    605       597,539  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75% - 7.75%, 5/01/19
     
 
    563       537,546  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    270       237,600  
 
     
 
            4,641,457  
Health Care Equipment & Supplies — 6.8%
Arysta LifeScience Corp.:
                           
1st Lien Term Loan, 4.50%, 5/29/20
     
 
    931        928,468  
2nd Lien Term Loan, 8.25%, 11/30/20
     
 
    380       383,089  
Biomet, Inc., Term Loan B2, 3.66% - 3.73%, 7/25/17
  707       704,907  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    467       461,270  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    975       973,735  
Fresenius SE & Co. KGaA:
                           
Incremental Term Loan B, 2.46%, 6/30/19
     
EUR
    119       156,658  
Term Loan B, 2.23%, 8/07/19
     
USD
    615       614,581  
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19
     
 
    760       755,518  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
    95       95,083  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    802       801,896  
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18
     
 
    119       118,569  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
    509       504,274  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    575       575,541  
National Vision, Inc.:
                           
1st Lien Term Loan, 4.00%, 3/12/21
     
 
    638       626,252  
2nd Lien Term Loan, 6.75%, 3/07/22
     
 
    120       118,000  
Onex Carestream Finance LP, 2nd Lien Term Loan, 9.50%, 12/07/19
     
 
    135       135,982  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    920       919,614  
 
     
 
            8,873,437  
Health Care Providers & Services — 7.4%
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    335       326,625  
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19
     
 
    652       646,588  
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
 
    300       299,625  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    243       242,871  
CHG Buyer Corp., Term Loan, 4.25%, 11/19/19
     
 
    394       393,123  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    1,955       1,959,183  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    540       537,865  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Health Care Providers & Services (concluded)
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
USD
    2,215      $  2,207,934  
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20
     
 
    238       239,391  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
    424       423,052  
Genesis HealthCare Corp., Term Loan B, 10.00%, 9/25/17
     
 
    269       272,554  
HCA, Inc., Extended Term Loan B4, 2.98%, 5/01/18
     
 
    233       232,510  
Ikaria, Inc.:
                           
1st Lien Term Loan, 5.00%, 2/12/21
     
 
    255       255,390  
2nd Lien Term Loan, 8.75%, 2/14/22
     
 
    70       70,788  
inVentiv Health, Inc., Incremental Term Loan B3, 7.75% - 8.50%, 5/15/18
     
 
    218       216,405  
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21
     
 
    524       520,206  
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21
     
 
    190       189,229  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 7/09/20
     
 
    226       225,888  
Surgical Care Affiliates, Inc., Class C, Incremental Term Loan, 4.00%, 6/29/18
     
 
    421       419,172  
 
     
 
            9,678,399  
Health Care Technology — 0.9%
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    758        747,867  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
    438       434,316  
 
     
 
            1,182,183  
Hotels, Restaurants & Leisure — 12.0%
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20
     
 
    321       320,894  
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21
     
 
    479       475,008  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
    261       258,670  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20
     
 
    699       699,620  
Caesars Entertainment Operating Co., Inc.:
                           
Extended Term Loan B6, 6.95%, 3/01/17
     
 
    393       368,531  
Term Loan B7, 9.75%, 3/01/17
     
 
    341       329,683  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20
     
 
    1,006       987,498  
CCM Merger, Inc., Term Loan B, 4.50%, 7/18/21
     
 
    385       384,037  
Dave & Buster’s, Inc., Term Loan, 4.50%, 7/25/20
     
 
    190       189,478  
Diamond Resorts Corporation, Term Loan, 5.50%, 5/09/21
     
 
    550       552,750  
ESH Hospitality, Inc., Term Loan, 5.00%, 6/24/19
     
 
    100       100,875  
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20
     
 
    330       330,825  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    1,883       1,870,811  
Intrawest ULC, Term Loan, 5.50%, 11/26/20
     
 
    368       369,991  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    2,477       2,472,768  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    597       595,257  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    786       780,272  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    410       408,158  
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19
     
 
    407       404,890  
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21
     
 
    295       294,923  
Sabre, Inc.:
                           
Incremental Term Loan, 4.00%, 2/19/19
     
 
    114       113,888  
Term Loan B, 4.00%, 2/19/19
     
 
    315       313,624  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    1,148       1,142,922  


See Notes to Financial Statements.

14 ANNUAL REPORT AUGUST 31, 2014
 
  
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
Hotels, Restaurants & Leisure (concluded)
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
USD
    765      $  768,190  
Travelport LLC:
                           
2nd Lien Term Loan 1, 9.50%, 1/29/16
     
 
    250       254,251  
Refinancing Term Loan, 6.25%, 6/26/19
     
 
    210       213,624  
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20
     
 
    265       265,220  
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
    368       367,264  
 
     
 
            15,633,922  
Household Products — 1.1%
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    634       631,383  
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19
     
 
    301       300,568  
Spectrum Brands, Inc.:
                           
Term Loan A, 3.00%, 9/07/17
     
 
    204       203,430  
Term Loan C, 3.50%, 9/04/19
     
 
    341       338,678  
 
     
 
            1,474,059  
Independent Power and Renewable Electricity Producers — 0.4%
             
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
 
    211       210,410  
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20
     
 
    309       309,366  
 
     
 
            519,776  
Industrial Conglomerates — 0.8%
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    1,039       1,016,731  
Insurance — 2.4%
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19
     
 
    414       411,394  
Asurion LLC:
                           
2nd Lien Term Loan, 8.50%, 3/03/21
     
 
    155       159,805  
Term Loan B1, 5.00%, 5/24/19
     
 
    455       456,523  
CNO Financial Group, Inc.:
                           
Term Loan B1, 3.00%, 9/28/16
     
 
    267       265,418  
Term Loan B2, 3.75%, 9/20/18
     
 
    518       513,429  
Cooper Gay Swett & Crawford Ltd.:
                           
1st Lien Term Loan, 5.00%, 4/16/20
     
 
    416       386,694  
2nd Lien Term Loan C, 8.25%, 10/16/20
     
 
    200       180,000  
Sedgwick, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    459       451,013  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    260       258,700  
 
     
 
            3,082,976  
Internet Software & Services — 1.5%
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21
     
 
    420       415,572  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    575       573,131  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    450       451,125  
W3 Co.:
                           
1st Lien Term Loan, 5.75%, 3/13/20
     
 
    405       401,839  
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
    155       151,520  
 
     
 
            1,993,187  
IT Services — 3.9%
First Data Corp.:
                           
2018 Extended Term Loan, 3.66%, 3/23/18
     
 
    2,845       2,812,510  
2018 Term Loan, 3.66%, 9/24/18
     
 
    295       292,327  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
    430       428,115  
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18
     
 
    245       229,928  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    349       345,742  
Floating Rate Loan Interests (b)           Par
(000)
  Value
IT Services (concluded)
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.91%, 2/28/17
     
USD
    350      $  349,562  
Term Loan E, 4.00%, 3/08/20
     
 
    126       126,132  
Vantiv LLC, 2014 Term Loan B, 3.75%, 5/12/21
     
 
    460       459,655  
 
     
 
            5,043,971  
Leisure Products — 0.4%
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    364       361,915  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
    204       204,797  
 
     
 
            566,712  
Machinery — 3.8%
Alliance Laundry Systems LLC:
                           
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
    131       131,727  
Refinancing Term Loan, 4.25%, 12/10/18
     
 
    357       357,135  
Faenza Acquisition GmbH:
                           
Term Loan B1, 4.25%, 8/31/20
     
 
    271       269,862  
Term Loan B3, 4.25%, 8/28/20
     
 
    81       81,238  
Gardner Denver, Inc., Term Loan:
                           
4.25%, 7/30/20
     
 
    885       883,290  
4.75%, 7/30/20
     
EUR
    126       165,958  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20
     
USD
    326       322,131  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
    393       389,322  
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19
     
 
    561       557,621  
Navistar International Corp., Term Loan B, 5.75%, 8/17/17
     
 
    206       207,375  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    567        563,079  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    657       654,320  
STS Operating, Inc., Term Loan, 4.75%, 2/19/21
     
 
    155       154,678  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    262       262,288  
 
     
 
            5,000,024  
Media — 14.9%
Acosta, Inc., Term Loan B, 4.25%, 3/02/18
     
 
    45       44,886  
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20
     
 
    589       588,795  
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20
     
 
    255       254,362  
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21
     
 
    170       168,810  
Cengage Learning Acquisitions, Inc.:
                           
0.00%, 7/03/15 (a)(e)
     
 
    591        
1st Lien Term Loan, 7.00%, 3/31/20
     
 
    1,372       1,379,847  
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    460       452,487  
Term Loan G, 4.25%, 7/24/21
     
 
    935       940,264  
Clear Channel Communications, Inc.:
                           
Term Loan B, 3.81%, 1/29/16
     
 
    292       290,083  
Term Loan D, 6.91%, 1/30/19
     
 
    1,564       1,539,858  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    550       548,117  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19
     
 
    45       42,387  
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21
     
 
    285       283,504  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    456       455,628  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
    367       365,508  
IMG Worldwide Holdings LLC:
                           
1st Lien Term Loan, 5.25%, 5/06/21
     
 
    515       509,531  
2nd Lien Term Loan, 8.25%, 5/01/22
     
 
    205       200,900  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    983       977,444  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 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
Media (concluded)
Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.50%, 1/07/22
     
USD
    350      $  349,783  
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20
     
 
    150       150,626  
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
    114       113,510  
MCC Iowa LLC:
                           
Term Loan I, 2.63%, 6/30/17
     
 
    250       248,750  
Term Loan J, 3.75%, 6/30/21
     
 
    125       124,323  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    390       390,601  
Mediacom Communications Corp., Term Loan F, 2.63%, 3/31/18
     
 
    254       249,911  
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/13/21
     
 
    310       306,900  
Mediacom LLC, Term Loan E, 3.13%, 10/23/17
     
 
    480       477,600  
NEP/NCP Holdco, Inc., Incremental Term Loan, 4.25%, 1/22/20
     
 
    527       522,688  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    509       510,268  
Term Loan B2, 4.50%, 5/21/20
     
 
    440       441,451  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    385       382,443  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21
     
 
    710       702,680  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
    370       364,300  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    844       842,658  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    522       518,499  
UPC Financing Partnership, Term Loan AG, 3.85%, 3/31/21
     
EUR
    281        369,992  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    780       769,127  
Term Loan E, 4.25%, 6/30/23
     
GBP
    650       1,076,983  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    510       510,668  
Ziggo BV:
                           
Term Loan B1A, 3.25%, 1/15/22
     
 
    425       416,644  
Term Loan B2A, 1.25% - 3.25%, 1/15/22
     
 
    264       258,462  
Term Loan B3, 0.50%, 1/15/22
     
 
    207       202,792  
 
     
 
            19,344,070  
Metals & Mining — 1.8%
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20
     
 
    100       101,625  
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19
     
 
    366       365,281  
FMG Resources Property Ltd., Term Loan B, 3.75%, 6/30/19
     
 
    543       540,420  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    784       781,326  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    599       607,892  
 
     
 
            2,396,544  
Multiline Retail — 2.0%
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
    451       450,043  
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    538       535,043  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    200       201,900  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    430       433,054  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    984       975,523  
 
     
 
            2,595,563  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Oil, Gas & Consumable Fuels — 3.3%
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
USD
    428      $  416,149  
Drillships Ocean Ventures Inc., Term Loan B, 5.50%, 7/18/21
     
 
    675       676,971  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    440       435,965  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    313       311,524  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    135       137,926  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    199       199,224  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    45       44,643  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    325       331,500  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    360       367,200  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    105       102,375  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    250       249,895  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    270       271,520  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 7/16/21
     
 
    215       215,806  
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20
     
 
    333       332,492  
WTG Holdings III Corp.:
                           
1st Lien Term Loan, 4.75%, 1/15/21
     
 
    134       133,821  
2nd Lien Term Loan, 8.50%, 1/15/22
     
 
    30       29,950  
 
     
 
            4,256,961  
Personal Products — 0.1%
Prestige Brands, Inc., Term Loan B2, 4.50%, 4/28/21
     
 
    100        100,500  
Pharmaceuticals — 6.5%
Akorn, Inc.:
                           
Incremental Term Loan, 4.50%, 4/16/21
     
 
    160       160,200  
Term Loan B, 4.50%, 4/16/21
     
 
    410       410,513  
Amneal Pharmaceuticals LLC, Term Loan, 4.75% - 6.00%, 11/01/19
     
 
    278       277,728  
Catalent Pharma Solutions, Inc., Term Loan B, 4.50%, 5/20/21
     
 
    815       815,513  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
    212       210,252  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 2/28/21
     
 
    359       356,633  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.16%, 2/27/21
     
 
    1,247       1,237,374  
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21
     
 
    365       362,036  
Mallinckrodt International Finance SA:
                           
Term Loan, 3.50%, 7/17/21
     
 
    330       328,941  
Term Loan B, 3.50%, 3/19/21
     
 
    529       526,164  
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    848       840,964  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    986       985,515  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
    577       571,789  
Valeant Pharmaceuticals International, Inc., Term Loan B:
                           
Series C2, 3.75%, 12/11/19
     
 
    524       523,026  
Series D2, 3.75%, 2/13/19
     
 
    568       565,743  
Series E, 3.75%, 8/05/20
     
 
    326       325,079  
 
     
 
            8,497,470  


See Notes to Financial Statements.

16 ANNUAL REPORT AUGUST 31, 2014
 
  
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
Professional Services — 2.9%
Advantage Sales & Marketing, Inc.:
                           
1st Lien Term Loan, 4.25%, 7/23/21
     
USD
    455      $  450,108  
2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    360       360,076  
Delayed Draw Term Loan, 0.50%, 7/23/21
     
 
    15       15,004  
Ceridian LLC:
                           
Term Loan B1, 4.16%, 5/09/17
     
 
    651       650,332  
Term Loan B2, 4.50%, 9/14/20
     
 
    515       514,152  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    720       715,697  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
 
    275       274,142  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
 
    425       433,117  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    393       390,992  
 
     
 
            3,803,620  
Real Estate Management & Development — 1.3%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    523       522,043  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    41       40,298  
Term Loan B, 3.75%, 3/05/20
     
 
    1,188       1,182,195  
 
     
 
            1,744,536  
Road & Rail — 0.8%
The Hertz Corp., Term Loan B2, 3.00%, 3/11/18
     
 
    330       323,812  
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    464       458,814  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    225       222,188  
 
     
 
            1,004,814  
Semiconductors & Semiconductor Equipment — 1.6%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    1,070       1,068,299  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    532       529,614  
Term Loan B5, 5.00%, 1/15/21
     
 
    164       164,275  
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
    328       324,413  
 
     
 
            2,086,601  
Software — 4.1%
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20
     
 
    538       535,906  
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    243       238,305  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    176       176,294  
Term Loan B, 4.25% - 5.50%, 11/01/19
     
 
    406       403,930  
Infor US, Inc.:
                           
Term Loan B3, 3.75%, 6/03/20
     
 
    197       194,534  
Term Loan B5, 3.75%, 6/03/20
     
 
    985       976,397  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    203       190,117  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    115       114,856  
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    409       419,459  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    508       506,663  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    350       352,408  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 6/30/21
     
 
    265       259,037  
RP Crown Parent LLC, 2013 Term Loan, 6.00%, 12/21/18
     
 
    216       211,921  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    665       661,976  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    115       114,281  
 
     
 
            5,356,084  
Floating Rate Loan Interests (b)           Par
(000)
  Value
Specialty Retail — 4.5%
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
USD
    521      $  519,599  
Equinox Holdings, Inc., Repriced Term Loan B, 4.25%, 1/31/20
     
 
    245       243,759  
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19
     
 
    330       325,498  
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18
     
 
    77       61,357  
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19
     
 
    452       451,741  
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18
     
 
    369       360,034  
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
    551       547,392  
Michaels Stores, Inc.:
                           
Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
 
    665       660,844  
Term Loan B, 3.75%, 1/28/20
     
 
    518       511,576  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    948       939,479  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    775       772,974  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
    393       391,246  
Toys ‘R’ Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18
     
 
    37       31,232  
 
     
 
            5,816,731  
Textiles, Apparel & Luxury Goods — 2.1%
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21
     
 
    499       497,503  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
    530       522,192  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    469       459,350  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21
     
 
    505       497,900  
Nine West Holdings, Inc.:
                           
Guarantee Term Loan, 6.25%, 1/08/20
     
 
    185       184,075  
Term Loan B, 4.75%, 10/08/19
     
 
    215       215,269  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    347       348,234  
 
     
 
            2,724,523  
Thrifts & Mortgage Finance — 0.3%
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19
     
 
    443       443,436  
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    604       600,379  
Total Floating Rate Loan Interests — 134.1%
174,711,488  

Non-Agency Mortgage Backed Securities — 0.2%
Commercial Mortgage-Backed Securities — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.61%, 11/05/30 (b)(c)
     
 
    304       311,025  

Investment Companies
     
 
    Shares          
Capital Markets — 0.0%
Eaton Vance Floating-Rate Income Trust
     
 
    12       179  
Eaton Vance Senior Income Trust
     
 
    3,347       22,325  
Total Investment Companies — 0.0%
     
 
            22,504  


See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2014 17
 
  
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)

 
Warrants (f)
       
   
Shares
  Value
Software — 0.0%
HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)
     
 
    691      $  3,214  
Total Long-Term Investments
(Cost — $183,616,880) — 141.0%
  183,818,081  
 
Short-Term Securities
       
   
Shares
  Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (g)(h)
     
 
    2,958,501      $  2,958,501  
Total Short-Term Securities
(Cost — $2,958,501) — 2.3%
  2,958,501  
Total Investments (Cost — $186,575,381) — 143.3%
  186,776,582  
Liabilities in Excess of Other Assets — (43.3)%
      (56,425,771
Net Assets — 100.0%
     
 
           $ 130,350,811  


Notes to Schedule of Investments

(a)      
Non-income producing security.
(b)      
Variable rate security. Rate shown is as of report date.
(c)      
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.
(d)      
When-issued security. Unsettled when-issued transactions were as follows:


Counterparty         Value     Unrealized
Appreciation
Deutsche Bank Securities, Inc.
        $ 237,200               

(e)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(f)      
Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
(g)