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: 08/31/2015

 

Date of reporting period: 02/28/2015

 

Item 1 – Report to Stockholders

 

 

 
 

 

FEBRUARY 28, 2015

SEMI-ANNUAL REPORT (UNAUDITED)  

BlackRock Defined Opportunity Credit Trust (BHL)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • May Lose Value • No Bank Guarantee
 
   

Table of Contents

 
           Page    
The Markets in Review
           3    
Semi-Annual Report:
                
Fund Summaries
           4    
The Benefits and Risks of Leveraging
           10    
Derivative Financial Instruments
           10    
Financial Statements
                
Schedules of Investments
           11    
Statements of Assets and Liabilities
           51    
Statements of Operations
           52    
Statements of Changes in Net Assets
           53    
Statements of Cash Flows
           56    
Financial Highlights
           57    
Notes to Financial Statements
           60    
Officers and Directors
           74    
Additional Information
           75    
2 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
The Markets in Review 

 
Dear Shareholder,

Market volatility, while remaining below the long-term average level, increased over the course of 2014 and into 2015, driven largely by higher valuations in risk assets (such as equities and high yield bonds), geopolitical risks, uneven global economic growth and uncertainty around policy moves from the world’s largest central banks. As the U.S. Federal Reserve (the “Fed”) gradually reduced its bond buying program (which ultimately ended in October 2014), U.S. interest rates surprisingly trended lower during the period.

The first half of 2014 was generally a strong period for most asset classes; however, volatility ticked up in the summer as geopolitical tensions intensified in Ukraine and the Middle East and investors feared that better U.S. economic indicators may compel the Fed to increase short-term interest rates sooner than previously anticipated. Global credit markets tightened as the U.S. dollar strengthened versus other currencies, ultimately putting a strain on investor flows, and financial markets broadly weakened in the third quarter.

Several themes dominated the markets in the fourth quarter that resulted in the strong performance of U.S. markets versus other areas of the world. Economic growth strengthened considerably in the United States while the broader global economy showed signs of slowing. The European Central Bank and the Bank of Japan took aggressive measures to stimulate growth while the Fed moved toward tighter policy, causing further strengthening in the U.S. dollar. Fixed income investors piled into U.S. Treasuries where yields remained persistently low, but were comparatively higher than yields on international sovereign debt, while equity investors favored the relative stability of U.S.-based companies amid rising global risks.

Oil prices, which had been gradually declining since mid-summer, plummeted in the fourth quarter due to a global supply-and-demand imbalance. Energy-related assets sold off sharply and emerging markets struggled as many of those economies rely heavily on oil exports. Conversely, the consumer sectors benefited from lower oil prices as savings at the gas pumps freed up discretionary income for other goods and services.

These trends shifted in early 2015. U.S. equities underperformed international markets given high valuations and the anticipation of a rate hike from the Fed. Oil prices showed signs of stabilizing as suppliers became more disciplined in their exploration and production efforts. Markets in Europe and Japan rebounded, driven largely by central bank policy accommodation and improving economic data.

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 markets.

Sincerely,

  

Rob Kapito
President, BlackRock Advisors, LLC




 

Rob Kapito
President, BlackRock Advisors, LLC


Total Returns as of February 28, 2015

         6-month      12-month
U.S. large cap equities (S&P 500® Index)
           6.12 %           15.51 %  
U.S. small cap equities (Russell 2000® Index)
           5.70            5.63   
International equities (MSCI Europe, Australasia, Far East Index)
           (1.26 )           (0.03 )  
Emerging market equities (MSCI Emerging Markets Index)
           (8.30 )           5.01   
3-month Treasury bills (BofA Merrill Lynch 3-Month U.S. Treasury Bill Index)
           0.01            0.03   
U.S. Treasury securities (BofA Merrill Lynch 10-Year U.S. Treasury Index)
           4.14            8.66   
U.S. investment grade bonds (Barclays U.S. Aggregate Bond Index)
           2.25            5.05   
Tax-exempt municipal bonds (S&P Municipal Bond Index)
           2.17            6.47   
U.S. high yield bonds (Barclays U.S. Corporate High Yield 2% Issuer Capped Index)
           (0.08 )           2.81   

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



THIS PAGE NOT PART OF YOUR FUND REPORT   3
 
   
Fund Summary as of February 28, 2015 BlackRock Defined Opportunity Credit Trust

Fund Overview

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

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

Portfolio Management Commentary

How did the Fund perform?

•    For the six-month period ended February 28, 2015, the Fund returned (0.79)% based on market price and 1.51% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% 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?

•    During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.
•    During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Fund’s modest position in equities was a negative contributor.

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. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral, and the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

•    At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining 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 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
    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 February 28, 2015 ($13.17)1
     
5.31%
Current Monthly Distribution per Common Share2
     
$0.0583
Current Annualized Distribution per Common Share2
     
$0.6996
Economic Leverage as of February 28, 20153
     
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 distribution rate is not constant and is subject to change.
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




   
2/28/15
   
8/31/14
   
Change
   
High
   
Low
Market Price
        $ 13.17         $ 13.84            (4.84 )%        $ 13.89         $ 12.61   
Net Asset Value
        $ 14.03         $ 14.41            (2.64 )%        $ 14.42         $ 13.72   

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


      

Overview of the Fund’s Total Investments

Portfolio Composition



   
2/28/15
   
8/31/144
Floating Rate Loan Interests
           93 %           94 %      
Corporate Bonds
           4             2    
Asset-Backed Securities
           3             2    
Short-Term Securities
                       1    
Common Stocks
           5           1    
Other6
                          
4   Information has been revised to conform to current year presentation.
5   Representing less than 1% of the Fund’s total investments.
6   Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities and Warrants.

Credit Quality Allocation7,8



   
2/28/15
   
8/31/14
BBB/Baa
           7 %           6 %  
BB/Ba
           45             43    
B
           42             44    
CCC/Caa
           3             4    
N/R
           3             3    
7   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.
8   Excludes short-term securities.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 5
 
   
Fund Summary as of February 28, 2015 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 six-month period ended February 28, 2015, the Fund returned (0.09)% based on market price and 1.48% based on net asset value (“NAV”). For the same period, the closed-end Lipper Loan Participation Funds category posted an average return of (0.11)% based on market price and 0.30% 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?

•    During the six months ended February 28, 2015, the loan market declined at the end of 2014, before experiencing a recovery that began around the latter part of January 2015. Overall, this resulted in a modest positive return on loans for the full period. Positive performance within the Fund was spread broadly throughout the portfolio, with the most significant contributions generally from among the Fund’s top 25 holdings. Given the positive returns experienced, the Fund’s use of leverage added to performance for the period.
•    During the six-month period, oil prices experienced a significant decline and most commodity prices came under pressure as well. As a result, prices for the Fund’s holdings within the energy sector fell notably during the period and detracted from returns. The metals & mining sector, while a smaller component of the portfolio, detracted as well. The electric segment, and in particular Texas Utilities, was also a detractor. Finally, the Fund’s modest position in equities was a negative contributor.

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. Since the average loan has recently been trading at a slight discount to par (i.e., with limited upside), the Fund has concentrated its investments in strong companies with stable cash flows, high quality collateral and with the ability to meet interest obligations and ultimately return principal. The Fund has been actively participating in the new-issue market when possible, however, new issuance for loans is at its lowest level in years. In view of limited upside within the CCC-rated loans space, the Fund reduced its exposure there to a modest amount in line with the benchmark. The Fund added fixed-coupon high yield bonds as valuations in that market moved to a more attractive point during the period.

Describe portfolio positioning at period end.

•    At period end, the Fund held a majority of its total portfolio in floating rate loan interests (bank loans), with the small remainder in corporate bonds and other interests. The Fund maintained its highest concentration in higher coupon B-rated loans of select issuers while limiting exposure to low coupon BB-rated loans. Additionally, the Fund held a modest position in CCC-rated loans, while generally maintaining 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 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
    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 February 28, 2015 ($13.83)1
     
5.85%
Current Monthly Distribution per Common Share2
     
$0.0674
Current Annualized Distribution per Common Share2
     
$0.8088
Economic Leverage as of February 28, 20153
     
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 distribution rate is not constant and is subject to change.
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




   
2/28/15
   
8/31/14
   
Change
   
High
   
Low
Market Price
        $ 13.83         $ 14.26            (3.02 )%        $ 14.32         $ 12.96   
Net Asset Value
        $ 15.15         $ 15.38            (1.50 )%        $ 15.38         $ 14.69   

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


 
    

Overview of the Fund’s Total Investments

Portfolio Composition



   
2/28/15
   
8/31/144
Floating Rate Loan Interests
           92 %           93 %      
Corporate Bonds
           4             3    
Asset-Backed Securities
           3             2    
Common Stocks
           1             1    
Other5
                       1    
4   Information has been revised to conform to current year presentation.
5   Includes a less than 1% holding in each of the following investment types: Investment Companies, Non-Agency Mortgage-Backed Securities, Options Purchased, Other Interests, Short-Term Securities and Warrants.


Credit Quality Allocation6,7



   
2/28/15
   
8/31/14
BBB/Baa
           7 %           6 %  
BB/Ba
           44             43    
B
           41             43    
CCC/Caa
           4             4    
N/R
           4             4    
6   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.
7   Excludes short-term securities.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 7
 
   
Fund Summary as of February 28, 2015 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 U.S. Government and agency securities;
  senior, secured floating rate loans made to corporate and other business entities; and
  U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade.

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

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

Portfolio Management Commentary

How did the Fund perform?

•    For the six-month period ended February 28, 2015, the Fund returned (0.71)% based on market price and 1.32% based on net asset value (“NAV”). For the same period, the closed-end Lipper High Yield Funds (Leveraged) category posted an average return of (2.46)% based on market price and (1.60)% 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?

•    The main contributors to the Fund’s absolute performance were its exposure to non-U.S. dollar securities, high yield, term loans, asset-backed securities (“ABS”) and commercial mortgage-backed securities (“CMBS”). Other contributors included agency mortgage-backed securities (“MBS”) 15-year pass-throughs and emerging market debt.
•    The main detractors from the Fund’s absolute performance during the period were its positions in preferred equities, its duration exposure through U.S. Treasuries and its positions in investment grade credit.

•    The Fund held derivatives during the reporting period, which had a neutral effect on performance..

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

•    At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield and investment grade corporate credit, as well as CMBS, ABS and agency and non-agency residential 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 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
    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 February 28, 2015 ($15.98)1
     
7.47%
Current Monthly Distribution per Common Share2
     
$0.0995
Current Annualized Distribution per Common Share2
     
$1.1940
Economic Leverage as of February 28, 20153
     
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 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




   
2/28/15
   
8/31/14
   
Change
   
High
   
Low
Market Price
        $ 15.98         $ 16.81            (4.94 )%        $ 16.84         $ 14.99   
Net Asset Value
        $ 17.55         $ 18.09            (2.99 )%        $ 18.10         $ 17.12   

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


 
    

Overview of the Fund’s Total Investments

Portfolio Composition



   
2/28/15
   
8/31/144
Corporate Bonds
           38 %           42 %      
Floating Rate Loan Interests
           30             32    
Asset-Backed Securities
           11             5    
Non-Agency Mortgage-Backed Securities
           9             7    
Preferred Securities
           7             8    
U.S. Government Sponsored Agency Securities
           4             4    
Foreign Agency Obligations
           1             5  
Common Stocks
           5           1    
Short-Term Securities
           5           1    
Other6
           6           7  

4   Information has been revised to conform to current year presentation.
5   Representing less than 1% of the Fund’s total investments.
6   Includes a less than 1% holding in each of the following investment types: Options Purchased, Options Written, Other Interests and Warrants.
7   Includes a less than 1% holding in each of the following investment types: Options Purchased, Other Interests and Warrants.


Credit Quality Allocation8, 9



   
2/28/15
   
8/31/14
AAA/Aaa10
           6 %           6 %  
AA/Aa
           2             2    
A
           6             3    
BBB/Baa
           16             15    
BB/Ba
           31             32    
B
           29             31    
CCC/Caa
           5             7    
N/R
           5             4    
8   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.
9   Excludes short-term securities.
10   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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 9
 
   
The Benefits and Risks of Leveraging      

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 such 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 is 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 NAV 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. Derivative financial instruments are used to obtain exposure to a security, index and/or market without owning or taking physical custody of securities or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage. 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 limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments are discussed in detail in the Notes to Financial Statements.



10 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments February 28, 2015 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
 
Common Stocks (a)
          Shares    Value
Diversified Consumer Services — 0.1%
                           
Cengage Thomson Learning
     
 
    8,922      $  192,385  
Software — 0.4%
                           
HMH Holdings/EduMedia.
     
 
    24,355       481,742  
Total Common Stocks — 0.5%
     
 
            674,127  

Asset-Backed Securities (b)
     
  
    Par
(000
        
ALM Loan Funding, Series 2013-7RA, Class C, 3.71%, 4/24/24 (c)
     
USD
    500       485,153  
ALM XIV Ltd., Series 2014-14A, Class C, 3.71%, 7/28/26 (b)
     
 
    713       676,264  
Atlas Senior Loan Fund Ltd., Series 2014-6A, Class D, 3.96%, 10/15/26 (c)
     
 
    250       237,940  
Atrium CDO Corp., Series 9A, Class D, 3.76%, 2/28/24 (c)
     
 
    250       240,265  
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.76%, 1/20/25 (c)
     
 
    250       252,739  
Cent CLO 22, Ltd., Series 2014-22A, Class C, 3.98%, 11/07/26 (c)
     
 
    250       237,350  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.26%, 4/20/23 (c)
     
 
    215       212,614  
LCM LP, 0.00%, 4/20/27 (d)(e)
     
 
    500       431,250  
North End CLO Ltd., Series 2013-1A, Class D, 3.76%, 7/17/25 (c)
     
 
    250       234,781  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.46%, 10/25/25 (c)
     
 
    250       233,021  
Octagon Investment Partners XX Ltd., Series 2014-1A, Class C, 3.06%, 8/12/26 (c)
     
 
    250       242,313  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.51%, 7/23/23 (c)
     
 
    350       350,322  
Voya CLO, Ltd., Series 2014-4A, Class SUB, 0.00%, 10/14/26 (e)
     
 
    1,000       940,700  
Total Asset-Backed Securities — 3.8%
     
 
            4,774,712  

Corporate Bonds
Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (b)
     
 
    250       252,500  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 12/17/16
     
 
    44       49,397  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18
     
 
    590       609,175  
 
     
 
            911,072  
Auto Components — 0.4%
                           
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
3.50%, 3/15/17
     
 
    164       166,050  
4.88%, 3/15/19
     
 
    325       334,360  
 
     
 
            500,410  
Chemicals — 0.1%
                           
INEOS Finance PLC, 8.38%, 2/15/19 (b)
     
 
    110       117,315  
Commercial Services & Supplies — 0.3%
                           
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.01%, 12/01/17 (c)
     
 
    68       68,340  

 

Corporate Bonds           Par
(000)
  Value
Commercial Services & Supplies (concluded)
                           
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b)
     
USD
    232      $  236,526  
United Rentals North America, Inc., 5.75%, 7/15/18
     
 
    80       83,050  
 
     
 
            387,916  
Communications Equipment — 0.4%
                           
Avaya, Inc., 7.00%, 4/01/19 (b)
     
 
    101       102,010  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20
     
 
    342       362,520  
 
     
 
            464,530  
Diversified Financial Services — 0.1%
                           
Reynolds Group Issuer, Inc., 7.13%, 4/15/19
     
 
    120       124,575  
Diversified Telecommunication Services — 0.3%
Level 3 Financing, Inc.:
                           
3.83%, 1/15/18 (c)
     
 
    228       230,850  
6.13%, 1/15/21
     
 
    127       134,461  
 
     
 
            365,311  
Health Care Providers & Services — 0.7%
                           
CHS/Community Health Systems, Inc., 6.88%, 2/01/22
     
 
    71       75,926  
HCA, Inc.:
                           
5.88%, 5/01/23
     
 
    85       93,075  
5.38%, 2/01/25
     
 
    185       196,100  
Tenet Healthcare Corp. (b):
                           
5.00%, 3/01/19
     
 
    325       326,625  
5.50%, 3/01/19
     
 
    240       244,500  
 
     
 
            936,226  
Independent Power and Renewable Electricity Producers — 0.3%
                           
Dynegy Finance I, Inc./Dynegy Finance II, Inc., 6.75%, 11/01/19 (b)
     
 
    325       340,031  
Media — 0.4%
                           
Altice Financing SA, 6.63%, 2/15/23 (b)
     
 
    200       208,250  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (b)
     
 
    96       99,240  
Numericable Group SA, 6.00%, 5/15/22 (b)
     
 
    200       203,500  
 
     
 
            510,990  
Metals & Mining — 0.0%
                           
Novelis, Inc., 8.38%, 12/15/17
     
 
    60       62,700  
Oil, Gas & Consumable Fuels — 0.3%
                           
Antero Resources Finance Corp., 5.38%, 11/01/21
     
 
    150       151,125  
CONSOL Energy, Inc., 5.88%, 4/15/22
     
 
    140       134,400  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19
     
 
    145       148,625  
 
     
 
            434,150  
Pharmaceuticals — 0.2%
                           
Endo Finance LLC/Endo Finco, Inc., 6.00%, 2/01/25 (b)
     
 
    225       238,219  
Road & Rail — 0.2%
                           
Florida East Coast Holdings Corp., 6.75%,
5/01/19 (b)
     
 
    196       202,125  
Wireless Telecommunication Services — 1.0%
                           
Digicel Group Ltd., 8.25%, 9/30/20 (b)
     
 
    310       313,565  
Sprint Communications, Inc., 7.00%, 3/01/20 (b)
     
 
    800       886,248  
T-Mobile USA, Inc., 6.13%, 1/15/22
     
 
    50       52,625  
 
     
 
            1,252,438  
Total Corporate Bonds — 5.4%
     
 
            6,848,008  


Portfolio Abbreviations

  
                                   
ABS
ADS
BROIS
CAD
CLO
     
Asset-Backed Security
American Depositary Shares
Brazilian Overnight Indexed Swap
Canadian Dollar
Collateralized Loan Obligation
 
CR
DIP
EUR
GBP
OTC
 
Custodian Receipt
Debtor-In-Possession
Euro
British Pound
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.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 11
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Aerospace & Defense — 2.3%
                           
BE Aerospace, Inc., 2014 Term Loan B, 4.00%, 12/16/21
     
USD
    670      $  671,394  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20
     
 
    506       505,198  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21
     
 
    275       288,406  
Transdigm, Inc.:
                           
Term Loan C, 3.75%, 2/28/20
     
 
    221       219,481  
Term Loan D, 3.75%, 6/04/21
     
 
    199       198,222  
TransUnion LLC, Term Loan, 4.00%, 4/09/21
     
 
    1,082       1,076,870  
 
     
 
            2,959,571  
Air Freight & Logistics — 0.4%
                           
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21
     
 
    156       144,061  
CEVA Intercompany BV, Synthetic LC, 6.50%, 3/19/21
     
 
    163       150,780  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21
     
 
    26       23,615  
CEVA Logistics US Holdings, Inc., Term Loan, 6.50%, 3/19/21
     
 
    225       207,973  
 
     
 
            526,429  
Airlines — 0.7%
                           
Delta Air Lines, Inc., 2018 Term Loan B1, 3.25%, 10/18/18
     
 
    322       321,832  
Northwest Airlines, Inc.:
                           
2.18%, 3/10/17
     
 
    148       145,166  
1.56%, 9/10/18
     
 
    218       208,190  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19
     
 
    257       256,515  
 
     
 
            931,703  
Auto Components — 4.5%
                           
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20
     
 
    282       281,271  
Armored Autogroup, Inc., Term Loan B, 6.00%, 11/05/16
     
 
    57       56,999  
Autoparts Holdings Ltd.:
                           
1st Lien Term Loan, 6.50%, 7/29/17
     
 
    623       622,638  
2nd Lien Term Loan, 10.50%, 1/29/18
     
 
    200       194,014  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19
     
 
    356       353,282  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19
     
 
    327       322,175  
Gates Global, Inc., Term Loan B, 4.25%, 7/05/21
     
 
    2,005       1,989,436  
Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19
     
 
    958       962,531  
INA Beteiligungsgesellschaft mbH, Term Loan B, 4.25%, 5/15/20
     
 
    575       578,594  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17
     
 
    336       336,000  
 
     
 
            5,696,940  
Automobiles — 0.3%
                           
Chrysler Group LLC, Term Loan B:
                           
3.25%, 12/31/18
     
 
    189       188,070  
3.50%, 5/24/17
     
 
    198       198,334  
 
     
 
            386,404  
Banks — 0.3%
                           
Redtop Acquisitions Ltd.:
                           
1st Lien Term Loan, 4.50%, 12/03/20
     
 
    257       257,078  
2nd Lien Term Loan, 8.25%, 6/03/21
     
 
    69       69,300  
 
     
 
            326,378  
Building Products — 3.9%
                           
Continental Building Products LLC, 1st Lien Term Loan, 4.00%, 8/28/20
     
 
    336       329,406  
CPG International, Inc., Term Loan, 4.75%, 9/30/20
     
 
    1,264       1,241,603  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21
     
 
    318       310,454  
Floating Rate Loan Interests (c)           Par
(000)
  Value
Building Products (concluded)
                           
Interline Brands, Inc., 2021 Term Loan, 4.00%, 3/17/21
     
USD
    392      $  387,463  
Jeld-Wen, Inc., Term Loan B, 5.25%, 10/15/21
     
 
    700       701,750  
Nortek, Inc., Term Loan, 3.75%, 10/30/20
     
 
    478       473,722  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21
     
 
    223       219,498  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20
     
 
    383       381,499  
Wilsonart LLC:
                           
Incremental Term Loan B2, 4.00%, 10/31/19
     
 
    109       107,901  
Term Loan B, 4.00%, 10/31/19
     
 
    784       776,812  
 
     
 
            4,930,108  
Capital Markets — 0.4%
                           
Affinion Group, Inc.:
                           
2nd Lien Term Loan, 8.50%, 10/12/18
     
 
    39       34,474  
Term Loan B, 6.75%, 4/30/18
     
 
    299       284,119  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17
     
 
    195       194,386  
 
     
 
            512,979  
Chemicals — 4.9%
                           
Allnex (Luxembourg) & Cy SCA, Term Loan B1, 4.50%, 10/03/19
     
 
    253       252,404  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19
     
 
    131       130,960  
Axalta Coating Systems US Holdings, Inc., Term Loan, 3.75%, 2/01/20
     
 
    450       445,900  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/30/20
     
 
    27       26,623  
Charter NEX US Holdings, Inc., Term Loan B, 5.25%, 1/15/22
     
 
    270       270,508  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16
     
 
    128       127,721  
Chromaflo Technologies Corp.:
                           
1st Lien Term Loan, 4.50%, 12/02/19
     
 
    257       254,504  
2nd Lien Term Loan, 8.25%, 5/30/20
     
 
    110       108,625  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19
     
 
    473       463,756  
INEOS US Finance LLC, 6 Year Term Loan, 3.75%, 5/04/18
     
 
    193       192,360  
MacDermid, Inc.:
                           
1st Lien Term Loan, 4.50%, 6/07/20
     
 
    654       655,701  
Term Loan B2, 4.75%, 6/07/20
     
 
    167       167,447  
Minerals Technologies, Inc., Term Loan B, 4.00%, 5/07/21
     
 
    461       462,404  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17
     
 
    578       562,637  
OXEA Finance LLC:
                           
2nd Lien Term Loan, 8.25%, 7/15/20
     
 
    315       296,494  
Term Loan B2, 4.25%, 1/15/20
     
 
    578       558,555  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18
     
 
    155       155,118  
Solenis International LP:
                           
1st Lien Term Loan, 4.25%, 7/31/21
     
 
    354       349,686  
2nd Lien Term Loan, 7.75%, 7/31/22
     
 
    390       377,976  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20
     
 
    133       131,978  
Univar, Inc., Term Loan B, 5.00%, 6/30/17
     
 
    221       219,272  
 
     
 
            6,210,629  
Commercial Services & Supplies — 6.3%
                           
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19
     
 
    726       717,743  
ARAMARK Corp.:
                           
Extended Synthetic Line of Credit 2, 3.65%, 7/26/16
     
 
    14       13,718  
Extended Synthetic Line of Credit 3, 3.65%, 7/26/16
     
 
    9       9,277  
Term Loan E, 3.25%, 9/07/19
     
 
    645       643,297  
Term Loan F, 3.25%, 2/24/21
     
 
    195       193,598  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20
     
 
    863       841,877  


See Notes to Financial Statements.

12 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Commercial Services & Supplies (concluded)
                           
Catalent Pharma Solutions, Inc., Term Loan B, 4.25%, 5/20/21
     
USD
    1,035      $  1,037,370  
Connolly Corp.:
                           
1st Lien Term Loan, 5.00%, 5/14/21
     
 
    672       674,567  
2nd Lien Term Loan, 8.00%, 5/14/22
     
 
    325       320,937  
Creative Artists Agency LLC, Term Loan B, 5.50%, 12/17/21
     
 
    240       241,200  
Dealer Tire LLC, Term Loan B, 5.50%, 12/17/21
     
 
    182       183,845  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21
     
 
    308       304,983  
Koosharem LLC, Exit Term Loan, 7.50%, 5/15/20
     
 
    547       541,093  
Livingston International, Inc., 1st Lien Term Loan, 5.00%, 4/18/19
     
 
    305       295,426  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19
     
 
    984       975,910  
US Ecology, Inc., Term Loan, 3.75%, 6/17/21
     
 
    214       213,596  
Waste Industries USA, Inc., Term Loan B, 4.25%, 2/20/20
     
 
    207       207,248  
West Corp., Term Loan B10, 3.25%, 6/30/18
     
 
    598       596,430  
 
     
 
            8,012,115  
Communications Equipment — 1.6%
                           
Applied Systems, Inc.:
                           
1st Lien Term Loan, 4.25%, 1/25/21
     
 
    327       326,400  
2nd Lien Term Loan, 7.50%, 1/24/22
     
 
    85       84,235  
Avaya, Inc., Extended Term Loan B3, 4.67%, 10/26/17
     
 
    343       332,684  
CommScope, Inc., Term Loan B3, 2.83%, 1/21/17
     
 
    156       155,904  
Riverbed Technology, Inc., Term Loan B, 6.00%, 2/19/22
     
 
    135       136,012  
Zayo Group LLC/Zayo Capital, Inc., Term Loan B, 4.00%, 7/02/19
     
 
    1,033       1,032,043  
 
     
 
            2,067,278  
Construction & Engineering — 0.4%
                           
AECOM Technology Corp., Term Loan B, 3.75%, 10/15/21
     
 
    192       192,852  
Centaur Acquisition LLC, 2nd Lien Term Loan, 8.75%, 2/20/20
     
 
    280       281,750  
 
     
 
            474,602  
Construction Materials — 1.5%
                           
Filtration Group Corp., 1st Lien Term Loan, 4.50%, 11/21/20
     
 
    218       217,460  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18
     
 
    1,596       1,591,353  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19
     
 
    148       142,941  
 
     
 
            1,951,754  
Containers & Packaging — 1.2%
                           
Ardagh Holdings USA, Inc., Incremental Term Loan, 4.00%, 12/17/19
     
 
    208       207,643  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21
     
 
    571       570,420  
BWAY Holding Company, Inc., Term Loan B, 5.50%, 8/14/20
     
 
    343       344,562  
PODS LLC, 1st Lien Term Loan, 5.25%, 1/08/22
     
 
    250       250,520  
Rexam PLC, 1st Lien Term Loan, 4.25%, 5/02/21
     
 
    169       169,150  
 
     
 
            1,542,295  
Distributors — 1.1%
                           
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20
     
 
    666       661,884  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18
     
 
    328       329,277  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19
     
 
    230       226,558  
VWR Funding, Inc., Term Loan, 3.42%, 4/03/17
     
 
    204       203,220  
 
     
 
            1,420,939  
                             

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Diversified Consumer Services — 2.2%
                           
Allied Security Holdings LLC:
                           
1st Lien Term Loan, 4.25%, 2/12/21
     
USD
    651      $  649,979  
2nd Lien Term Loan, 8.00%, 8/13/21
     
 
    91       90,378  
Bright Horizons Family Solutions, Inc.:
                           
Incremental Term Loan B1, 4.25%, 1/30/20
     
 
    80       80,100  
Term Loan B, 3.75%, 1/30/20
     
 
    632       631,013  
CT Technologies Intermediate Holdings, Inc., 2014 Term Loan, 6.00%, 12/01/21
     
 
    135       135,506  
Garda World Securities Corp.:
                           
Delayed Draw Term Loan, 4.00%, 11/06/20
     
 
    11       10,543  
Term Loan B, 4.00%, 11/06/20
     
 
    42       41,215  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19
     
 
    247       234,119  
ServiceMaster Company, 2014 Term Loan B, 4.25%, 7/01/21
     
 
    813       812,670  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20
     
 
    295       155,216  
 
     
 
            2,840,739  
Diversified Financial Services — 2.4%
                           
AssuredPartners Capital, Inc., 1st Lien Term Loan, 5.00%, 3/31/21
     
 
    599       594,297  
Diamond US Holding LLC, Term Loan B, 4.75%, 12/17/21
     
 
    225       223,969  
Onex Wizard US Acquisition, Inc., Term Loan, 5.50%, 1/14/22
     
 
    465       467,823  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18
     
 
    742       743,650  
SAM Finance Luxembourg Sarl, Term Loan, 4.25%, 12/17/20
     
 
    589       587,430  
TransFirst, Inc.:
                           
2014 1st Lien Term Loan, 5.50%, 11/12/21
     
 
    313       315,017  
2014 2nd Lien Term Loan, 9.00%, 11/12/22
     
 
    165       163,098  
 
     
 
            3,095,284  
Diversified Telecommunication Services — 5.1%
Altice Financing SA, Term Loan:
                           
Delayed Draw, 5.50%, 7/02/19
     
 
    395       397,499  
5.25%, 2/04/22
     
 
    160       160,650  
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20
     
 
    686       687,734  
GCI Holdings, Inc., Term Loan B, 4.75%, 2/02/22
     
 
    540       540,448  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19
     
 
    518       519,597  
Integra Telecom, Inc.:
                           
2nd Lien Term Loan, 9.75%, 2/21/20
     
 
    190       188,337  
Term Loan B, 5.25%, 2/22/19
     
 
    457       453,664  
Level 3 Financing Inc., Incremental Term Loan B5, 4.50%, 1/31/22
     
 
    835       838,482  
Level 3 Financing, Inc.:
                           
2019 Term Loan, 4.00%, 8/01/19
     
 
    350       349,289  
2020 Term Loan B, 4.00%, 1/15/20
     
 
    2,330       2,328,835  
 
     
 
            6,464,535  
Electric Utilities — 0.4%
                           
American Energy — Marcellus LLC, 1st Lien Term Loan, 5.25%, 8/04/20
     
 
    209       177,519  
American Energy — Utica LLC:
                           
2nd Lien Delayed Draw Term Loan, 11.00%, 9/30/18
     
 
    52       45,875  
2nd Lien Term Loan, 5.50%, 9/30/18
     
 
    238       215,290  
Incremental 2nd Lien Term Loan, 11.00%, 9/30/18
     
 
    52       45,882  
 
     
 
            484,566  
Electrical Equipment — 1.4%
                           
Southwire Co., Term Loan, 3.25%, 2/10/21
     
 
    263       256,876  
Texas Competitive Electric Holdings Co. LLC:
                           
DIP Term Loan, 3.75%, 5/05/16
     
 
    448       450,132  
Extended Term Loan, 4.66%, 10/10/17 (a)(f)
     
 
    1,705       1,088,353  
 
     
 
            1,795,361  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 13
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Electronic Equipment, Instruments & Components — 0.5%
CDW LLC, Term Loan, 3.25%, 4/29/20
     
USD
    650      $  643,834  
Energy Equipment & Services — 1.1%
                           
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20
     
 
    256       255,260  
Exgen Texas Power LLC, Term Loan B, 5.75%, 9/16/21
     
 
    264       264,264  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20
     
 
    956       918,498  
 
     
 
            1,438,022  
Food & Staples Retailing — 1.1%
                           
New Albertson’s, Inc., Term Loan, 4.75%, 6/27/21
     
 
    334       333,578  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20
     
 
    235       237,204  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19
     
 
    509       509,706  
US Foods, Inc., Refinancing Term Loan, 4.50%, 3/31/19
     
 
    380       378,989  
 
     
 
            1,459,477  
Food Products — 3.4%
                           
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20
     
 
    257       256,750  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18
     
 
    678       676,776  
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18
     
 
    587       585,383  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19
     
 
    54       54,142  
Hearthside Group Holdings LLC, Term Loan, 4.50%, 6/02/21
     
 
    468       468,235  
Pabst Brewing Company, Inc., Term Loan, 5.75%, 10/21/21
     
 
    439       439,175  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19
     
 
    372       371,807  
Pinnacle Foods Finance LLC:
                           
Incremental Term Loan H, 3.00%, 4/29/20
     
 
    123       122,710  
Term Loan G, 3.00%, 4/29/20
     
 
    605       601,492  
Reddy Ice Corp.:
                           
1st Lien Term Loan, 6.75%, 5/01/19
     
 
    560       484,422  
2nd Lien Term Loan, 10.75%, 11/01/19
     
 
    270       205,200  
 
     
 
            4,266,092  
Health Care Equipment & Supplies — 5.0%
                           
Auris Luxembourg III Sarl, Term Loan B, 5.50%, 1/17/22
     
 
    265       267,539  
Biomet, Inc., Term Loan B2, 3.67%, 7/25/17
     
 
    707       705,712  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18
     
 
    438       435,754  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17
     
 
    970       969,883  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18
     
 
    614       614,869  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18
     
 
    798       797,426  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21
     
 
    506       505,228  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21
     
 
    572       574,270  
National Vision, Inc., 1st Lien Term Loan, 4.00%, 3/12/21
     
 
    704       693,512  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.75%, 6/30/21
     
 
    695       686,923  
Sage Products Holdings III LLC, Refinancing Term Loan B2, 5.00%, 12/13/19
     
 
    100       100,623  
 
     
 
            6,351,739  
Health Care Providers & Services — 7.4%
                           
Acadia Healthcare Co., Inc., Term Loan B, 4.25%, 2/11/22
     
 
    112       112,373  
Amedisys, Inc., 2nd Lien Term Loan, 8.50%, 6/25/20
     
 
    335       331,650  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Health Care Providers & Services (concluded)
                           
Amsurg Corp., 1st Lien Term Loan B, 3.75%, 7/16/21
     
USD
    299      $  298,688  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18
     
 
    241       241,499  
CHG Healthcare Services Inc., Term Loan, 4.25%, 11/19/19
     
 
    392       391,588  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21
     
 
    1,945       1,949,085  
ConvaTec, Inc., Term Loan, 4.00%, 12/22/16
     
 
    540       538,988  
Curo Health Services LLC, 2015 1st Lien Term Loan, 6.50%, 2/02/22
     
 
    350       351,971  
DaVita HealthCare Partners, Inc., Term Loan B, 3.50%, 6/24/21
     
 
    2,204       2,206,129  
Envision Acquisition Co. LLC, Term Loan, 5.75%, 11/04/20
     
 
    237       237,000  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18
     
 
    422       421,398  
Genesis HealthCare Corp., Term Loan B, 10.00%, 12/04/17
     
 
    265       270,212  
HCA, Inc., Term Loan B5, 2.92%, 3/31/17
     
 
    315       314,962  
Ikaria, Inc., 1st Lien Term Loan, 5.00%, 2/12/21
     
 
    81       80,395  
MPH Acquisition Holdings LLC, Term Loan, 3.75%, 3/31/21
     
 
    480       475,832  
National Mentor Holdings, Inc., Term Loan B, 4.25%, 1/31/21
     
 
    318       315,266  
Surgery Center Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/03/20
     
 
    226       223,909  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18
     
 
    419       416,184  
U.S. Renal Care, Inc., 2013 Term Loan, 4.25%, 7/03/19
     
 
    195       194,187  
 
     
 
            9,371,316  
Health Care Technology — 0.9%
                           
IMS Health, Inc., Term Loan, 3.50%, 3/17/21
     
 
    754       749,587  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19
     
 
    434       431,610  
 
     
 
            1,181,197  
Hotels, Restaurants & Leisure — 11.3%
                           
Amaya Holdings BV:
                           
1st Lien Term Loan, 5.00%, 8/01/21
     
 
    190       188,104  
2nd Lien Term Loan, 8.00%, 8/01/22
     
 
    1,225       1,217,723  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20
     
 
    252       252,119  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/15/20
     
 
    678       650,965  
Burger King Newco Unlimited Liability Co., 2014 Term Loan B, 4.50%, 12/12/21
     
 
    1,280       1,286,630  
Caesars Entertainment Operating Co., Inc., Term Loan B7, 9.75%, 1/28/18
     
 
    39       36,217  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/11/20
     
 
    1,001       964,094  
CCM Merger, Inc., Term Loan B, 4.50%, 8/08/21
     
 
    376       376,651  
Dave & Buster’s, Inc., Term Loan, 4.25%, 7/25/20
     
 
    154       154,151  
Diamond Resorts Corp., Term Loan, 5.50%, 5/09/21
     
 
    452       454,511  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20
     
 
    941       940,186  
Intrawest ULC, Term Loan, 5.50%, 12/09/20
     
 
    366       367,216  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21
     
 
    1,977       1,974,460  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20
     
 
    594       593,875  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19
     
 
    782       778,657  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20
     
 
    370       369,328  
RHP Hotel Properties LP, Term Loan B, 3.75%, 1/15/21
     
 
    294       294,182  


See Notes to Financial Statements.

14 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Hotels, Restaurants & Leisure (concluded)
                           
Sabre, Inc.:
                           
Incremental Term Loan, 4.50%, 2/19/19
     
USD
    114      $  113,563  
Term Loan B, 4.00%, 2/19/19
     
 
    524       522,851  
Scientific Games International, Inc., 2014 Term Loan B1, 6.00%, 10/18/20
     
 
    348       347,001  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20
     
 
    1,142       1,140,154  
Travelport Finance (Luxembourg) Sarl, 2014 Term Loan B, 6.00%, 9/02/21
     
 
    763       768,811  
Twin River Management Group, Inc., Term Loan B, 5.25%, 7/10/20
     
 
    258       258,634  
Wendy’s International, Inc., Term Loan B, 3.25%, 5/15/19
     
 
    366       364,761  
 
     
 
            14,414,844  
Household Products — 1.1%
                           
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19
     
 
    631       629,520  
Prestige Brands, Inc., Term Loan, 4.13%, 1/31/19
     
 
    238       237,841  
Spectrum Brands, Inc.:
                           
Term Loan A, 3.00%, 9/04/17
     
 
    176       175,077  
Term Loan C, 3.50%, 9/04/19
     
 
    339       338,182  
 
     
 
            1,380,620  
Independent Power and Renewable Electricity Producers — 2.1%
                           
Calpine Corp., Term Loan B1, 4.00%, 4/01/18
     
 
    873       872,948  
Energy Future Intermediate Holding Co LLC, DIP Term Loan, 4.25%, 6/19/16
     
 
    648       650,821  
Granite Acquisition Inc.:
                           
Term Loan B, 5.00%, 12/19/21
     
 
    710       717,697  
Term Loan C, 5.00%, 12/19/21
     
 
    31       31,579  
Terra-Gen Finance Company, LLC, Term Loan B, 5.25%, 12/09/21
     
 
    375       376,406  
 
     
 
            2,649,451  
Industrial Conglomerates — 0.5%
                           
Sequa Corp., Term Loan B, 5.25%, 6/19/17
     
 
    629       613,068  
Insurance — 2.5%
                           
Alliant Holdings I, Inc., Term Loan B, 5.00%, 12/20/19
     
 
    412       411,131  
AmWINS Group LLC, 2014 2nd Lien Term Loan, 9.50%, 9/04/20
     
 
    249       242,316  
CNO Financial Group, Inc.:
                           
Term Loan B1, 3.00%, 9/28/16
     
 
    215       214,174  
Term Loan B2, 3.75%, 9/28/18
     
 
    515       512,028  
Cooper Gay Swett & Crawford of Delaware Holding Corp.:
                           
1st Lien Term Loan, 5.00%, 4/16/20
     
 
    414       380,604  
2nd Lien Term Loan C, 8.25%, 10/16/20
     
 
    200       172,334  
Onex York Acquisition Corp., Term Loan B, 4.75%, 10/01/21
     
 
    483       480,869  
Sedgwick Claims Management Services, Inc.:
                           
1st Lien Term Loan, 3.75%, 3/01/21
     
 
    457       449,930  
2nd Lien Term Loan, 6.75%, 2/28/22
     
 
    260       254,150  
 
     
 
            3,117,536  
Internet Software & Services — 1.9%
                           
Dealertrack Technologies, Inc., Term Loan B, 3.25%, 2/28/21
     
 
    420       417,146  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21
     
 
    572       572,394  
Interactive Data Corp., 2014 Term Loan, 4.75%, 5/02/21
     
 
    862       864,255  
W3 Co.:
                           
1st Lien Term Loan, 5.75%, 3/13/20
     
 
    403       362,543  
2nd Lien Term Loan, 9.25%, 9/11/20
     
 
    155       145,722  
 
     
 
            2,362,060  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
IT Services — 3.8%
                           
First Data Corp.:
                           
2018 Extended Term Loan, 3.67%, 3/24/18
     
USD
    2,845      $  2,839,533  
2018 Term Loan, 3.67%, 9/24/18
     
 
    295       294,723  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19
     
 
    428       426,577  
InfoGroup, Inc., Term Loan, 7.50%, 5/26/18
     
 
    245       228,254  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/31/19
     
 
    123       108,988  
SunGard Data Systems, Inc.:
                           
Term Loan C, 3.92%, 2/28/17
     
 
    350       349,671  
Term Loan E, 4.00%, 3/08/20
     
 
    126       126,356  
Vantiv, LLC, 2014 Term Loan B, 3.75%, 6/13/21
     
 
    392       392,233  
 
     
 
            4,766,335  
Leisure Products — 0.4%
                           
Bauer Performance Sports Ltd., Term Loan B, 4.00%, 4/15/21
     
 
    364       361,231  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19
     
 
    93       89,778  
 
     
 
            451,009  
Machinery — 2.3%
                           
Alliance Laundry Systems LLC:
                           
2nd Lien Term Loan, 9.50%, 12/10/19
     
 
    131       131,073  
Refinancing Term Loan, 4.25%, 12/10/18
     
 
    344       342,857  
Faenza Acquisition GmbH:
                           
Term Loan B1, 4.25%, 8/30/20
     
 
    266       265,798  
Term Loan B3, 4.25%, 8/30/20
     
 
    79       78,799  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20
     
 
    305       302,689  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18
     
 
    191       188,481  
Mueller Water Products, Inc., Term Loan B, 4.00%, 11/25/21
     
 
    180       180,164  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20
     
 
    564       562,443  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19
     
 
    664       638,146  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19
     
 
    237       235,539  
 
     
 
            2,925,989  
Media — 13.7%
                           
Cengage Learning Acquisitions, Inc.:
                           
1st Lien Term Loan, 7.00%, 3/31/20
     
 
    1,365       1,364,346  
Term Loan, 0.00%, 7/03/15 (a)(f)
     
 
    591        
Charter Communications Operating LLC:
                           
Term Loan E, 3.00%, 7/01/20
     
 
    458       456,307  
Term Loan G, 4.25%, 9/12/21
     
 
    935       942,003  
Clear Channel Communications, Inc., Term Loan D, 6.92%, 1/30/19
     
 
    1,364       1,304,683  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20
     
 
    525       521,575  
Gray Television, Inc., 2014 Term Loan B, 3.75%, 6/10/21
     
 
    254       252,721  
Hemisphere Media Holdings LLC, Term Loan B, 5.00%, 7/30/20
     
 
    453       451,460  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19
     
 
    343       343,395  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19
     
 
    983       975,046  
Liberty Cablevision of Puerto Rico LLC, 2014 1st Lien Term Loan, 4.50%, 1/07/22
     
 
    350       344,750  
Live Nation Entertainment, Inc., 2020 Term Loan B1, 3.50%, 8/17/20
     
 
    114       112,995  
MCC Iowa LLC:
                           
Term Loan I, 2.65%, 6/30/17
     
 
    249       247,506  
Term Loan J, 3.75%, 6/30/21
     
 
    124       123,753  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20
     
 
    637       638,557  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 15
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Media (concluded)
                           
Mediacom Communications Corp., Term Loan F, 2.65%, 3/31/18
     
USD
    253      $  249,038  
Mediacom ILLC, Term Loan E, 3.15%, 10/23/17
     
 
    478       474,315  
Mediacom Illinois LLC, Term Loan G, 3.75%, 6/30/21
     
 
    309       306,037  
Numericable U.S. LLC:
                           
Term Loan B1, 4.50%, 5/21/20
     
 
    509       509,312  
Term Loan B2, 4.50%, 5/21/20
     
 
    440       440,624  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20
     
 
    365       362,290  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21
     
 
    706       701,251  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20
     
 
    368       364,607  
Tribune Co., 2013 Term Loan, 4.00%, 12/27/20
     
 
    1,144       1,142,916  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20
     
 
    519       518,068  
UPC Financing Partnership, Term Loan AG, 3.75%, 3/31/21
     
EUR
    281       313,775  
Virgin Media Investment Holdings Ltd.:
                           
Term Loan B, 3.50%, 6/07/20
     
USD
    780       777,598  
Term Loan E, 4.25%, 6/30/23
     
GBP
    650       1,002,981  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19
     
USD
    947       946,917  
William Morris Endeavor Entertainment LLC, 1st Lien Term Loan, 5.25%, 5/06/21
     
 
    57       56,647  
Ziggo Financing Partnership:
                           
Term Loan B1, 3.50%, 1/15/22
     
 
    425       420,928  
Term Loan B2A, 3.50%, 1/15/22
     
 
    276       273,051  
Term Loan B3, 3.50%, 1/15/22
     
 
    453       449,071  
 
     
 
            17,388,523  
Metals & Mining — 1.1%
                           
Ameriforge Group, Inc., 2nd Lien Term Loan, 8.75%, 12/19/20
     
 
    100       92,500  
Novelis, Inc., Term Loan, 3.75%, 3/10/17
     
 
    780       778,517  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17
     
 
    580       579,655  
 
     
 
            1,450,672  
Multiline Retail — 2.3%
                           
99¢ Only Stores, Term Loan, 4.50%, 1/11/19
     
 
    449       449,378  
BJ’s Wholesale Club, Inc.:
                           
1st Lien Term Loan, 4.50%, 9/26/19
     
 
    1,035       1,030,665  
2nd Lien Term Loan, 8.50%, 3/26/20
     
 
    200       198,250  
Dollar Tree, Inc., Term Loan B, 4.25%, 1/26/22
     
 
    470       473,408  
Hudson’s Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20
     
 
    151       151,465  
The Neiman Marcus Group, Inc., 2020 Term Loan, 4.25%, 10/25/20
     
 
    580       574,650  
 
     
 
            2,877,816  
Oil, Gas & Consumable Fuels — 4.5%
                           
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18
     
 
    426       340,504  
CITGO Holding, Inc., 2015 Term Loan B, 9.50%, 1/26/20
     
 
    430       427,493  
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21
     
 
    848       660,897  
EP Energy LLC/Everest Acquisition Finance, Inc., Term Loan B3, 3.50%, 5/24/18
     
 
    440       424,235  
Fieldwood Energy LLC:
                           
1st Lien Term Loan, 3.88%, 9/28/18
     
 
    311       297,340  
2nd Lien Term Loan, 8.38%, 9/30/20
     
 
    135       103,179  
Green Energy Partners/Stonewall LLC, Term Loan B1, 6.50%, 11/13/21
     
 
    205       206,281  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15
     
 
    119       118,271  
Offshore Group Investment Ltd., Term Loan B, 5.75%, 3/28/19
     
 
    27       16,306  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Oil, Gas & Consumable Fuels (concluded)
                           
Packers Holdings LLC, Term Loan B, 5.00%, 12/02/21
     
USD
    375      $  376,875  
Panda Patriot LLC, Term Loan B1, 6.75%, 12/19/20
     
 
    325       328,250  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19
     
 
    360       352,800  
Power Buyer LLC, 2nd Lien Term Loan, 8.25%, 11/06/20
     
 
    105       101,325  
Samchully Midstream 3 LLC, Term Loan B, 5.75%, 10/20/21
     
 
    405       384,750  
Seventy Seven Operating LLC, Term Loan B, 3.75%, 6/25/21
     
 
    61       55,019  
Southcross Energy Partners LP, 1st Lien Term Loan, 5.25%, 8/04/21
     
 
    269       261,262  
Southcross Holdings Borrower LP, Term Loan B, 6.00%, 8/04/21
     
 
    214       199,752  
Stonewall Gas Gathering LLC, Term Loan B, 8.75%, 1/08/22
     
 
    250       248,750  
TPF II Power LLC, Term Loan B, 5.50%, 10/02/21
     
 
    360       363,449  
Veresen Midstream Limited Partnership, Term Loan B, 6.00%, 2/19/22
     
 
    380       378,100  
WTG Holdings III Corp., 1st Lien Term Loan, 4.75%, 1/15/21
     
 
    134       132,648  
 
     
 
            5,777,486  
Personal Products — 0.1%
                           
Prestige Brands, Inc., Term Loan B2, 4.50%, 9/03/21
     
 
    93       93,027  
Pharmaceuticals — 6.2%
                           
Akorn, Inc., Term Loan B, 4.50%, 4/16/21
     
 
    569       570,235  
Amneal Pharmaceuticals LLC, Term Loan, 5.00%, 11/01/19
     
 
    277       277,084  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19
     
 
    211       208,066  
Endo Luxembourg Finance Co. I Sarl, 2014 Term Loan B, 3.25%, 3/01/21
     
 
    357       356,407  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.17%, 2/27/21
     
 
    976       973,772  
JLL/Delta Dutch Newco BV, Term Loan, 4.25%, 3/11/21
     
 
    363       360,360  
Mallinckrodt International Finance SA:
                           
Incremental Term Loan B1, 3.50%, 3/19/21
     
 
    329       328,283  
Term Loan B, 3.25%, 3/19/21
     
 
    526       522,869  
Par Pharmaceutical Cos., Inc., Term Loan B2, 4.00%, 9/30/19
     
 
    845       839,365  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18
     
 
    981       979,404  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18
     
 
    568       568,397  
Salix Pharmaceuticals, Ltd., Term Loan, 4.25%, 1/02/20
     
 
    469       468,540  
Valeant Pharmaceuticals International, Inc., Term Loan B:
                           
Series C2, 3.50%, 12/11/19
     
 
    524       523,157  
Series D2, 3.50%, 2/13/19
     
 
    568       566,214  
Series E, 3.50%, 8/05/20
     
 
    326       325,399  
 
     
 
            7,867,552  
Professional Services — 2.5%
                           
Acosta Holdco, Inc., 2014 Term Loan, 5.00%, 9/26/21
     
 
    305       306,439  
Advantage Sales & Marketing, Inc.:
                           
2014 1st Lien Term Loan, 4.25%, 7/23/21
     
 
    469       466,364  
2014 2nd Lien Term Loan, 7.50%, 7/25/22
     
 
    160       159,450  
Ceridian LLC, 2014 Term Loan, 4.50%, 9/15/20
     
 
    393       388,262  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18
     
 
    717       715,008  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 4/16/22
     
 
    275       273,166  


See Notes to Financial Statements.

16 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
(Percentages shown are based on Net Assets)
Floating Rate Loan Interests (c)           Par
(000)
  Value
Professional Services (concluded)
                           
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19
     
USD
    422      $  418,250  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19
     
 
    391       386,080  
 
     
 
            3,113,019  
Real Estate Management & Development — 1.8%
CityCenter Holdings LLC, Term Loan B, 4.25%, 10/16/20
     
 
    523       522,989  
DTZ US Borrower LLC, 1st Lien Term Loan, 5.50%, 11/04/21
     
 
    492       493,219  
Realogy Corp.:
                           
Extended Letter of Credit, 4.40%, 10/10/16
     
 
    40       39,643  
Term Loan B, 3.75%, 3/05/20
     
 
    1,182       1,180,191  
 
     
 
            2,236,042  
Road & Rail — 0.8%
                           
Hertz Corp., Term Loan B2, 3.50%, 3/11/18
     
 
    328       325,765  
Road Infrastructure Investment LLC:
                           
1st Lien Term Loan, 4.25%, 3/31/21
     
 
    462       447,667  
2nd Lien Term Loan, 7.75%, 9/21/21
     
 
    225       200,250  
 
     
 
            973,682  
Semiconductors & Semiconductor Equipment — 1.7%
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21
     
 
    1,169       1,169,791  
Freescale Semiconductor, Inc.:
                           
Term Loan B4, 4.25%, 2/28/20
     
 
    529       527,709  
Term Loan B5, 5.00%, 1/15/21
     
 
    163       163,694  
NXP BV, Term Loan D, 3.25%, 1/11/20
     
 
    326       323,431  
 
     
 
            2,184,625  
Software — 3.8%
                           
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20
     
 
    241       236,800  
GCA Services Group, Inc.:
                           
2nd Lien Term Loan, 9.25%, 10/22/20
     
 
    176       174,240  
Term Loan B, 4.25%, 11/01/19
     
 
    386       384,964  
Infor US, Inc.:
                           
Term Loan B3, 3.75%, 6/03/20
     
 
    196       193,758  
Term Loan B5, 3.75%, 6/03/20
     
 
    980       970,637  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21
     
 
    202       192,275  
Kronos Worldwide, Inc., 2014 Term Loan, 4.75%, 2/18/20
     
 
    114       114,232  
Kronos, Inc.:
                           
2nd Lien Term Loan, 9.75%, 4/30/20
     
 
    409       417,822  
Initial Incremental Term Loan, 4.50%, 10/30/19
     
 
    243       243,276  
Mitchell International, Inc.:
                           
1st Lien Term Loan, 4.50%, 10/12/20
     
 
    505       501,697  
2nd Lien Term Loan, 8.50%, 10/11/21
     
 
    350       345,551  
Regit Eins GmbH, 1st Lien Term Loan, 6.00%, 1/08/21
     
 
    219       213,188  
Sophia LP, 2014 Term Loan B, 4.00%, 7/19/18
     
 
    638       637,362  
Tibco Software, Inc., Term Loan B, 6.50%, 12/04/20
     
 
    75       74,696  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20
     
 
    130       124,962  
 
     
 
            4,825,460  
Specialty Retail — 4.8%
                           
Academy Ltd., Term Loan, 4.50%, 8/03/18
     
 
    519       517,821  
Equinox Holdings, Inc., Repriced Term Loan B, 5.00%, 1/31/20
     
 
    298       299,118  
General Nutrition Centers, Inc., Term Loan, 3.25%, 3/04/19
     
 
    329       322,582  
Leslie’s Poolmart, Inc., Term Loan, 4.25%, 10/16/19
     
 
    548       543,817  

 

Floating Rate Loan Interests (c)           Par
(000)
  Value
Specialty Retail (concluded)
                           
Michaels Stores, Inc.:
                           
Incremental 2014 Term Loan B2, 4.00%, 1/28/20
     
USD
    662      $ 659,710  
Term Loan B, 3.75%, 1/28/20
     
 
    515       511,680  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19
     
 
    944       937,429  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17
     
 
    771       770,211  
PetSmart, Inc., 1st Lien Term Loan, 5.00%, 2/18/22
     
 
    1,165       1,172,805  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18
     
 
    369       311,916  
 
     
 
            6,047,089  
Technology Hardware, Storage & Peripherals — 0.7%
Dell, Inc.:
                           
Term Loan C, 3.75%, 10/29/18
     
 
    385       385,686  
Term Loan B, 4.50%, 4/29/20
     
 
    447       448,727  
 
     
 
            834,413  
Textiles, Apparel & Luxury Goods — 1.8%
                           
ABG Intermediate Holdings 2 LLC, 1st Lien Term Loan, 5.50%, 5/27/21
     
 
    496       496,250  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18
     
 
    527       445,680  
J. Crew Group, Inc., Term Loan B, 4.00%, 3/05/21
     
 
    466       439,186  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21
     
 
    502       498,078  
Polymer Group, Inc., 1st Lien Term Loan, 5.25%, 12/19/19
     
 
    379       379,050  
 
     
 
            2,258,244  
Thrifts & Mortgage Finance — 0.3%
                           
IG Investment Holdings LLC, Term Loan B, 6.00%, 10/29/21
     
 
    441       438,795  
Wireless Telecommunication Services — 0.5%
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20
     
 
    601       594,841  
Total Floating Rate Loan Interests — 133.2%
          168,984,484  

Non-Agency Mortgage Backed Securities — 0.2%
 
Collateralized Mortgage Obligations — 0.2%
Hilton USA Trust, Series 2013-HLT, Class EFX, 5.22%, 11/05/30 (b)(c)
     
 
    304       309,564  

Investment Companies
     
  
    Shares           
Capital Markets — 0.0%
                           
Eaton Vance Floating-Rate Income Trust
     
 
    12       173  
Eaton Vance Senior Income Trust
     
 
    3,347       21,856  
Total Investment Companies — 0.0%
     
 
            22,029  

Warrants (g)
     
  
                 
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      $ 3,687  
Total Investments (Cost — $182,519,416) — 143.1%
  181,616,611  
Liabilities in Excess of Other Assets — (43.1)%
  (54,697,640
Net Assets — 100.0%
 $ 126,918,971  


See Notes to Financial Statements.

SEMI-ANNUAL REPORT FEBRUARY 28, 2015 17
 
   
Schedule of Investments (continued)  BlackRock Defined Opportunity Credit Trust (BHL)
 

Notes to Schedule of Investments

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


Counterparty       Value     Unrealized
Appreciation
Deutsche Bank Securities, Inc.
       $ 1,293,750        

(e)      
Zero-coupon bond.
(f)      
Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(g)      
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.
     
During the six months ended February 28, 2015, investments in issuers considered to be an affiliate of the Fund for purposes of Section 2(a)(3) of the 1940 Act, were as follows:


Affiliate       Shares
Held at
August 31, 2014
    Net
Activity
    Shares
Held at
February 28, 2015
    Income
BlackRock Liquidity Funds, TempFund, Institutional Class
        2,958,501       (2,958,501          $ 142  

     
As of February 28, 2015, forward foreign currency exchange contracts outstanding were as follows:

Currency Purchased   Currency Sold Counterparty   Settlement
Date
    Unrealized
Depreciation
EUR
        120,000    
 
 
USD 135,638    
Deutsche Bank AG
 
4/21/15
   $ (1,275
USD
        405,054    
 
  EUR 351,000    
Citibank N.A.
 
4/21/15
    12,042  
USD
        813,069    
 
  GBP 536,000    
Bank of America N.A.
 
4/21/15
    (14,156
Total
             
 
         
 
 
 
   $ (3,389

     
For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.
     
Fair Value Measurements — Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial statement purposes. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instrument and is not necessarily an indication of the risks associated with investing in those securities. The three levels of the fair value hierarchy are as follows:
     
Level 1 — unadjusted quoted prices in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
     
Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
     
Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)

       
Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to Note 2 of the Notes to Financial Statements.
       
As of February 28, 2015, the following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:


        Level 1   Level 2   Level 3   Total
Assets:
                                   
Investments:
                                   
Asset-Backed Securities
       $      $ 3,596,662      $ 1,178,050      $ 4,774,712  
Common Stocks
        481,742       192,385             674,127  
Corporate Bonds
              6,848,008             6,848,008  
Floating Rate Loan Interests
              157,949,885       11,034,599       168,984,484  
Investment Companies
        22,029                   22,029  
Non-Agency Mortgage-Backed Securities
              309,564             309,564  
Warrants
                    3,687       3,687  
Total
       $  503,771      $ 168,896,504      $  12,216,336      $ 181,616,611  


See Notes to Financial Statements.

18 SEMI-ANNUAL REPORT FEBRUARY 28, 2015
 
   
Schedule of Investments (concluded)  BlackRock Defined Opportunity Credit Trust (BHL)
 


        Level 1   Level 2   Level 3   Total
Derivative Financial Instruments1
                                   
Assets:
                                   
Foreign currency exchange contracts
             $ 12,042            $ 12,042  
Liabilities:
                                   
Foreign currency exchange contracts
              (15,431           (15,431
Total
             $  (3,389          $  (3,389
 
1 Derivative financial instruments are forward foreign currency exchange contracts, which are valued at the unrealized appreciation/depreciation on the instrument.

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of February 28, 2015, such assets and/or liabilities are categorized within the disclosure hierarchy as follows: