blwfinal.htm - Generated by SEC Publisher for SEC Filing

UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
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: 08/31/2011

Date of reporting period: 08/31/2011

Item 1 – Report to Stockholders




Annual Report

BlackRock Defined Opportunity Credit Trust (BHL)

BlackRock Diversified Income Strategies Fund, Inc. (DVF)

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

BlackRock Limited Duration Income Trust (BLW)

Not FDIC Insured • No Bank Guarantee • May Lose Value



Table of Contents   
  Page 
Dear Shareholder  3 
Annual Report:   
Fund Summaries  4 
The Benefits and Risks of Leveraging  12 
Derivative Financial Instruments  12 
Financial Statements   
Schedules of Investments  13 
Statements of Assets and Liabilities  44 
Statements of Operations  45 
Statements of Changes in Net Assets  46 
Statements of Cash Flows  48 
Financial Highlights  49 
Notes to Financial Statements  53 
Report of Independent Registered Public Accounting Firm  64 
Important Tax Information  64 
Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements  65 
Automatic Dividend Reinvestment Plans  69 
Officers and Directors  70 
Additional Information  73 

 

2 ANNUAL REPORT AUGUST 31, 2011



Dear Shareholder

Market volatility has been extraordinary in recent months. Government debt and deficit issues in both
the US and Europe have taken a toll on investor sentiment while weaker-than-expected US economic
data raised concerns of another recession. Political instability and concerns that central banks have
nearly exhausted their stimulus measures have further compounded investor uncertainty.Although
markets remain volatile and conditions are highly uncertain, BlackRock remains focused on finding
opportunities in this environment.

The pages that follow reflect your fund’s reporting period ended August 31, 2011.Accordingly, the
following discussion is intended to provide you with additional perspective on the performance of
your investments during that period.

One year ago, the global economy appeared to solidly be in recovery mode and investors were opti-
mistic given the anticipated second round of quantitative easing from the US Federal Reserve (the
“Fed”). Stock markets rallied despite the ongoing sovereign debt crisis in Europe and inflationary pres-
sures looming over emerging markets. Fixed income markets, however, saw yields move sharply upward
(pushing prices down) especially on the long end of the historically steep yield curve.While high yield
bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter.The tax-
exempt municipal market faced additional headwinds as it became evident that the Build America
Bond program would not be extended and municipal finance troubles abounded.

The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa
region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted indus-
trial supply chains and concerns mounted over US debt and deficit issues. Equities generally performed
well early in the year, however, as investors chose to focus on the continuing stream of strong corporate
earnings and positive economic data. Credit markets were surprisingly resilient in this environment and
yields regained relative stability in 2011.The tax-exempt market saw relief from its headwinds and
steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced
higher-quality assets as investors increased their risk tolerance.

However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging
economies, many of which were overheating, and the European debt crisis continued to escalate.
Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer
to defaulting on its debt.This development rekindled fears about the broader debt crisis and its further
contagion among peripheral European countries. Concurrently, it became evident that the pace of global
economic growth had slowed as higher oil prices and supply chain disruptions finally showed up in
economic data. By mid-summer, confidence in policymakers was tarnished as the prolonged US debt
ceiling debate revealed the degree of polarization in Washington, DC.The downgrade of the US govern-
ment’s credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme
volatility persisted as Europe’s debt and banking crisis deepened and US economic data continued
to weaken. Investors fled from riskier assets, pushing stock and high yield bond indices into negative
territory for the six-month period ended August 31, while lower-risk investments including US Treasuries,
municipal securities and investment grade corporate bonds posted gains.Twelve-month returns on all
asset classes remained positive. Continued low short-term interest rates kept yields on money market
securities near their all-time lows.

“BlackRock remains focused
on managing risk and finding
opportunities in all market
environments.”

Rob Kapito
President, BlackRock Advisors, LLC

Total Returns as of August 31, 2011 
  6-month  12-month 
US large cap equities  (7.23)%  18.50% 
(S&P 500® Index)     
US small cap equities  (11.17)  22.19 
(Russell 2000® Index)     
International equities  (11.12)  10.01 
(MSCI Europe, Australasia,     
Far East Index)     
Emerging market  (5.11)  9.07 
equities (MSCI Emerging     
Markets Index)     
3-month Treasury  0.08  0.15 
bill (BofA Merrill Lynch     
3-Month Treasury     
Bill Index)     
US Treasury securities  13.04  6.21 
(BofA Merrill Lynch 10-     
Year US Treasury Index)     
US investment grade  5.49  4.62 
bonds (Barclays     
Capital US Aggregate     
Bond Index)     
Tax-exempt municipal  6.39  2.66 
bonds (Barclays Capital     
Municipal Bond Index)     
US high yield bonds  (1.57)  8.32 
(Barclays Capital US     
Corporate High Yield 2%     
Issuer Capped Index)     


Past performance is no guarantee of future results. Index performance is

shown for illustrative purposes only. You cannot invest directly in an index.

THIS PAGE NOT PART OF YOUR FUND REPORT 3



Fund Summary as of August 31, 2011 BlackRock Defined Opportunity Credit Trust

Investment Objective

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 months ended August 31, 2011, the Fund returned 4.17%
based on market price and 2.93% based on net asset value (“NAV”).
For the same period, the closed-end Lipper Loan Participation Funds cate-
gory posted an average return of 1.16% based on market price and 3.79%
based on NAV. All returns reflect reinvestment of dividends. The Fund's dis-
count 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?
Positive Fund performance was predominantly driven by security selection
within the higher-quality tiers of the market. Security selection continued
to reflect the higher-quality bias the Fund has employed over the last two
years, which has focused on sectors classified as “recession-resistant”
and not heavily reliant on a strong consumer, such as chemicals and non-
captive diversified (industrials). The Fund’s exposure to high yield bonds
was another contributor to performance as the asset class performed well
over the period.

Toward the end of 2010, the market was priced for slow-but-modest
growth. Credit fundamentals had materially improved and refinancing
was easier for non-investment grade issuers given a robust capital market.
Default activity was muted and expected to remain benign throughout
2011. In this environment, lower-quality loans staged a significant rally
and managed to outperform their higher-quality counterparts. Therefore,
the Fund’s limited exposure to low-quality credits negatively impacted
returns. The Fund uses foreign currency exchange contracts to manage
currency risk in the portfolio. The net effect of the contracts during the
period was negative.

Describe recent portfolio activity.
During the period, the Fund did not deviate from its higher quality bias in
terms of loan structure, overall credit quality and liquidity. This focus was
even more pressing in 2011, when loans traded close to par and gave
investors no incentive to forgo credit quality in order to pick up yield. Prior
to the correction in the last month of the period, when fund management
believed market conditions were weakening, fund management sold some
of the Fund’s lower-quality securities, therefore raising the cash reserve
level. Becoming more conservative overall, fund management continued to
navigate the market for deals, targeting issuers with superior credit funda-
mentals (i.e., stable income streams and attractive downside protection).

Describe portfolio positioning at period end.
At period end, the Fund held 86% of its total portfolio in floating rate loan
interests (bank loans) and 11% in corporate bonds, with the remainder in
asset-backed securities, other interests and common stocks. The Fund
ended the period with leverage at 27% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changesin 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, 2011



  BlackRock Defined Opportunity Credit Trust 
Fund Information   
Symbol on New York Stock Exchange (“NYSE”)  BHL 
Initial Offering Date  January 31, 2008 
Yield on Closing Market Price as of August 31, 2011 ($12.65)1  6.26% 
Current Monthly Distribution per Common Share2  $0.0660 
Current Annualized Distribution per Common Share2  $0.7920 
Leverage as of August 31, 20113  27% 


1
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of
liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by theFund, please see The Benefits and Risks of Leveraging
on page 12.

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

  8/31/11  8/31/10  Change  High  Low 
Market Price  $12.65  $12.86  (1.63)%  $15.71  $11.77 
Net Asset Value  $13.17  $13.55  (2.80)%  $14.37  $12.93 

 

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

Portfolio Composition     
  8/31/11  8/31/10 
Floating Rate Loan Interests  86%  83% 
Corporate Bonds  11  15 
Asset-Backed Securities  2   
Other Interests  1  1 
Common Stocks    1 

 

Credit Quality Allocations4     
  8/31/11  8/31/10 
BBB/Baa  12%  11% 
BB/Ba  33  44 
B  55  44 
CCC/Caa    1 
4 Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investors Service 
(“Moody’s”) ratings.     

 

ANNUAL REPORT AUGUST 31, 2011 5



Fund Summary as of August 31, 2011 BlackRock Diversified Income Strategies Fund, Inc.

Investment Objective

BlackRock Diversified Income Strategies Fund, Inc.’s (DVF) (the “Fund”) investment objective is to provide shareholders with high current income. The Fund
seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain
preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of
interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into
certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,
in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal
market conditions, a substantial portion of its assets in below investment grade quality securities. The Fund may invest directly in such securities or syntheti-
cally 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 months ended August 31, 2011, the Fund returned 0.91%
based on market price and 4.30% based on NAV. For the same period,
the closed-end Lipper Loan Participation Funds category posted an average
return of 1.16% based on market price and 3.79% 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 perform-
ance based on price and performance based on NAV. The following discus-
sion relates to performance based on NAV.

What factors influenced performance?
Positive Fund performance was predominantly driven by security selection
within the higher-quality tiers of the market. Security selection continued
to reflect the higher-quality bias the Fund has employed over the last two
years, which has focused on sectors classified as “recession-resistant” and
not heavily reliant on a strong consumer, such as chemicals and non-cap-
tive diversified (industrials). The Fund’s exposure to high yield bonds was
another contributor to performance as the asset class performed well over
the period.

Toward the end of 2010, the market was priced for slow-but-modest
growth. Credit fundamentals had materially improved and refinancing
was easier for non-investment grade issuers given a robust capital market.
Default activity was muted and expected to remain benign throughout
2011. In this environment, lower-quality loans staged a significant rally
and managed to outperform their higher-quality counterparts. Therefore,
the Fund’s limited exposure to low-quality credits negatively
impacted returns. The Fund uses foreign currency exchange contracts to
manage currency risk in the portfolio. The net effect of the contracts during
the period was negative.

Describe recent portfolio activity.
During the period, the Fund did not deviate from its higher quality bias in
terms of loan structure, overall credit quality and liquidity. This focus was
even more pressing in 2011, when loans traded close to par and gave
investors no incentive to forgo credit quality in order to pick up yield. Prior
to the correction in the last month of the period, when fund management
believed market conditions were weakening, fund management sold some
of the Fund’s lower-quality securities, therefore raising the cash reserve
level. Becoming more conservative overall, fund management continued to
navigate the market for deals, targeting issuers with superior credit funda-
mentals (i.e., stable income streams and attractive downside protection).

Describe portfolio positioning at period end.
At period end, the Fund held 80% of its total portfolio in floating rate loan
interests (bank loans) and 14% in corporate bonds, with the remainder in
asset-backed securities, common stocks and other interests. The Fund
ended the period with leverage at 27% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changesin 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, 2011



  BlackRock Diversified Income Strategies Fund, Inc. 
Fund Information   
Symbol on NYSE  DVF 
Initial Offering Date  January 31, 2005 
Yield on Closing Market Price as of August 31, 2011 ($9.84)1  7.13% 
Current Monthly Distribution per Common Share2  $0.0585 
Current Annualized Distribution per Common Share2  $0.7020 
Leverage as of August 31, 20113  27% 


1
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of lia-
bilities (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 12.

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

  8/31/11  8/31/10  Change  High  Low 
Market Price  $ 9.84  $10.45  (5.84)%  $12.02  $ 8.97 
Net Asset Value  $10.19  $10.47  (2.67)%  $11.09  $10.05 

 

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

Portfolio Composition     
  8/31/11  8/31/10 
Floating Rate Loan Interests  80%  76% 
Corporate Bonds  14  20 
Asset-Backed Securities  2   
Other Interests  2  2 
Common Stocks  2  2 

 

Credit Quality Allocations4     
  8/31/11  8/31/10 
BBB/Baa  8%  4% 
BB/Ba  30  32 
B  47  46 
CCC/Caa  8  11 
CC/Ca    1 
Not Rated  7  6 
4 Using the higher of S&P’s or Moody’s ratings.     

 

ANNUAL REPORT AUGUST 31, 2011 7



Fund Summary as of August 31, 2011 BlackRock Floating Rate Income Strategies Fund, Inc.

Investment Objective

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 months ended August 31, 2011, the Fund returned (2.91)%
based on market price and 4.04% based on NAV. For the same period, the
closed-end Lipper Loan Participation Funds category posted an average
return of 1.16% based on market price and 3.79% based on NAV. All
returns reflect reinvestment of dividends. The Fund moved from a premium
to NAV to a discount by period-end, which accounts for the difference
between performance based on price and performance based on NAV. The
following discussion relates to performance based on NAV.

What factors influenced performance?
Positive Fund performance was predominantly driven by security selection
within the higher-quality tiers of the market. Security selection continued to
reflect the higher-quality bias the Fund has employed over the last two
years, which has focused on sectors classified as “recession-resistant” and
not heavily reliant on a strong consumer, such as chemicals and non-cap-
tive diversified (industrials). The Fund’s exposure to high yield bonds was
another contributor to performance as the asset class performed well over
the period.

Toward the end of 2010, the market was priced for slow-but-modest growth.
Credit fundamentals had materially improved and refinancing was easier for
non-investment grade issuers given a robust capital market. Default activity
was muted and expected to remain benign throughout 2011. In this
environment, lower-quality loans staged a significant rally and managed to
outperform their higher-quality counterparts. Therefore, the Fund’s limited
exposure to low-quality credits negatively impacted returns.

Describe recent portfolio activity.
During the period, the Fund did not deviate from its higher quality bias in
terms of loan structure, overall credit quality and liquidity. This focus was
even more pressing in 2011, when loans traded close to par and gave
investors no incentive to forgo credit quality in order to pick up yield. Prior
to the correction in the last month of the period, when fund management
believed market conditions were weakening, fund management sold some
of the Fund’s lower-quality securities, therefore raising the cash reserve
level. Becoming more conservative overall, fund management continued to
navigate the market for deals, targeting issuers with superior credit funda-
mentals (i.e., stable income streams and attractive downside protection).

Describe portfolio positioning at period end.
At period end, the Fund held 81% of its total portfolio in floating rate loan
interests (bank loans) and 15% in corporate bonds, with the remainder in
asset-backed securities, other interests and common stocks. The Fund
ended the period with leverage at 26% of its total managed assets.

The views expressed reflect the opinions of BlackRock as of the date of this report and are subject to change based on changesin 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, 2011



  BlackRock Floating Rate Income Strategies Fund, Inc. 
Fund Information   
Symbol on NYSE  FRA 
Initial Offering Date  October 31, 2003 
Yield on Closing Market Price as of August 31, 2011 ($13.33)1  6.93% 
Current Monthly Distribution per Common Share2  $0.0770 
Current Annualized Distribution per Common Share2  $0.9240 
Leverage as of August 31, 20113  26% 


1
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of lia-
bilities (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 12.

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

  8/31/11  8/31/10  Change  High  Low 
Market Price  $13.33  $14.61  (8.76)%  $16.42  $12.66 
Net Asset Value  $14.04  $14.36  (2.23)%  $15.31  $13.80 

 

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

Portfolio Composition     
  8/31/11  8/31/10 
Floating Rate Loan Interests  81%  76% 
Corporate Bonds  15  22 
Asset-Backed Securities  3   
Other Interests  1  1 
Common Stocks    1 

 

Credit Quality Allocations4     
  8/31/11  8/31/10 
BBB/Baa  9%  5% 
BB/Ba  36  33 
B  49  50 
CCC/Caa  3  6 
CC/Ca    1 
Not Rated  3  5 
4 Using the higher of S&P’s or Moody’s ratings.     

 

ANNUAL REPORT AUGUST 31, 2011 9



Fund Summary as of August 31, 2011 BlackRock Limited Duration Income Trust

Investment Objective

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 and 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, in 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 months ended August 31, 2011, the Fund returned 2.77%
based on market price and 5.85% based on NAV. For the same period,
the closed-end Lipper High Current Yield Funds (Leveraged) category posted
an average return of 11.37% based on market price and 9.65% based on
NAV. All returns reflect reinvestment of dividends. The Fund's discount to
NAV, which widened during the period, accounts for the difference between
performance based on price and performance based on NAV. The following
discussion relates to performance based on NAV.

What factors influenced performance?
The Fund invests in high yield bonds, floating rate loan interests and
investment grade bonds, whereas most funds in the Lipper category invest
primarily in high yield bonds. The largest detractor from performance for the
period was the Fund’s allocation to bank loans and investment grade bonds,
both of which underperformed high yield bonds for the 12-month period.
During the period, the Fund maintained leverage at an average of 23%,
which was below the average level for the Lipper category. This lower average
leverage detracted from Fund performance, as would be expected in a
rising market.

Lower-quality and higher-beta segments (those with higher sensitivity to
market volatility) outperformed higher-quality and lower-beta segments for
the period, despite a sharp reversal in August 2011. The Fund’s limited
exposure to high yield credits near the high end of the quality range helped
performance over the period, although an underexposure to lower-quality
credits slightly detracted.

Describe recent portfolio activity.
During the first half of the period, the Fund shifted its overall positioning
from a more conservative stance to one that was more consistent with a
gradually improving economy. As the US economic outlook worsened and
the potential for contagion from the continued debt crisis in Europe
increased, Fund positioning once again became more conservative.
Specifically, the Fund reduced positions in more cyclical credits and
increased exposure to market sectors with stronger assets and more
stable cash flows. These adjustments detracted from performance initially
but were positive for performance in the August sell-off.

Describe portfolio positioning at period end.
At period end, the Fund held 40% of its total portfolio in high yield bonds,
31% in floating rate loan interests (bank loans), 11% in US Government
sponsored agency securities and 10% in non-agency mortgage-backed
securities. The remainder of the portfolio was invested in asset-backed secu-
rities, taxable municipal bonds, common stocks and other interests, while
the Fund’s cash position was negligible. The Fund ended the period with
leverage at 29% of its total managed assets.

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

10 ANNUAL REPORT AUGUST 31, 2011



  BlackRock Limited Duration Income Trust 
Fund Information   
Symbol on NYSE  BLW 
Initial Offering Date  July 30, 2003 
Yield on Closing Market Price as of August 31, 2011 ($16.01)1  7.68% 
Current Monthly Distribution per Common Share2  $0.1025 
Current Annualized Distribution per Common Share2  $1.2300 
Leverage as of August 31, 20113  29% 


1
Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.
2 The distribution rate is not constant and is subject to change.
3 Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrow-
ing) 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 12.

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

  8/31/11  8/31/10  Change  High  Low 
Market Price  $16.01  $16.76  (4.47)%  $18.40  $14.30 
Net Asset Value  $16.52  $16.79  (1.61)%  $17.75  $16.34 

 

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

Portfolio Composition     
  8/31/11  8/31/10 
Corporate Bonds  40%  34% 
Floating Rate Loan Interests  31  39 
US Government Sponsored Agency Securities  11  7 
Non-Agency Mortgage-Backed Securities  10  11 
Asset-Backed Securities  5  5 
Taxable Municipal Bonds  1  1 
Other Interests  1  1 
Common Stocks  1   
Foreign Agency Obligations    2 

 

Credit Quality Allocations4     
  8/31/11  8/31/10 
AAA/Aaa5  17%  18% 
AA/Aa  2  2 
A  5  6 
BBB/Baa  15  8 
BB/Ba  26  30 
B  27  28 
CCC/Caa  7  6 
D  1   
Not Rated    2 
4 Using the higher of S&P’s or Moody’s ratings.     
5 Includes US Government Sponsored Agency securities and US Treasury Obligations, 
which were deemed AAA/Aaa by the investment advisor.     

 

ANNUAL REPORT AUGUST 31, 2011 11



The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance the yield and NAV.
However, these objectives cannot be achieved in all interest rate
environments.

The Funds may utilize leverage by borrowing through a credit facility or
through entering into reverse repurchase agreements. In general, the con-
cept of leveraging is based on the premise that the financing cost of assets
to be obtained from leverage, which will be based on short-term interest
rates, will normally be lower than the income earned by each Fund on its
longer-term portfolio investments. To the extent that the total assets of each
Fund (including the assets obtained from leverage) are invested in higher-
yielding portfolio investments, each Fund’s shareholders will benefit from
the incremental net income.

The interest earned on securities purchased with the proceeds from lever-
age is paid to shareholders in the form of dividends, and the value of these
portfolio holdings is reflected in the per share NAV. However, in order to
benefit shareholders, the yield curve must be positively sloped; that is,
short-term interest rates must be lower than long-term interest rates. If the
yield curve becomes negatively sloped, meaning short-term interest rates
exceed long-term interest rates, income to shareholders will be lower than if
the Funds had not used leverage.

To illustrate these concepts, assume a Fund’s capitalization is $100 million
and it borrows for an additional $30 million, creating a total value of $130
million available for investment in long-term securities. If prevailing short-
term interest rates are 3% and long-term interest rates are 6%, the yield
curve has a strongly positive slope. In this case, the Fund pays borrowing
costs and interest expense on the $30 million of borrowings based on the
lower short-term interest rates. At the same time, the securities purchased
by the Fund with assets received from the borrowings earn income based
on long-term interest rates. In this case, the borrowing costs and interest
expense of the borrowings is significantly lower than the income earned
on the Fund’s long-term investments, and therefore the Fund’s shareholders
are the beneficiaries of the incremental net income.

If short-term interest rates rise, narrowing the differential between short-term
and long-term interest rates, the incremental net income pickup will be
reduced or eliminated completely. Furthermore, if prevailing short-term
interest rates rise above long-term interest rates, the yield curve has a
negative slope. In this case, the Fund pays higher short-term interest rates
whereas the Fund’s total portfolio earns income based on lower long-term
interest rates.

Furthermore, the value of the Funds’ portfolio investments generally varies
inversely with the direction of long-term interest rates, although other
factors can influence the value of portfolio investments. In contrast, the
redemption value of the Funds’ borrowings does not fluctuate in relation
to interest rates. As a result, changes in interest rates can influence the
Funds’ NAV positively or negatively in addition to the impact on Fund
performance from leverage from borrowings discussed above.

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

Under the Investment Company Act of 1940, the Funds are permitted
to borrow through their credit facility or by entering into reverse repurchase
agreements up to 33 1 / 3 % of their total managed assets. As of August 31,
2011, the Funds had outstanding leverage from borrowings as a percent-
age of their total managed assets as follows:

  Percent of 
  Leverage 
BHL  27% 
DVF  27% 
FRA  26% 
BLW  29% 

 

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments, including
financial futures contracts, foreign currency exchange contracts, options
and swaps as specified in Note 2 of the Notes to Financial Statements,
which may constitute forms of economic leverage. Such derivative financial
instruments are used to obtain exposure to a market without owning or tak-
ing physical custody of securities or to hedge market, equity, credit, interest
rate and/or foreign currency exchange rate risks. Derivative financial instru-
ments 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 suc-
cessfully depends on the investment advisor’s ability to predict pertinent
market movements accurately, which cannot be assured. The use of deriva-
tive 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 appre-
ciation a Fund can realize on an investment, may result in lower dividends
paid to shareholders or may cause a Fund to hold an investment that it
might otherwise sell. The Funds’ investments in these instruments are
discussed in detail in the Notes to Financial Statements.

12 ANNUAL REPORT AUGUST 31, 2011



BlackRock Defined Opportunity Credit Trust (BHL)
Schedule of Investments
August 31, 2011
(Percentages shown are based on Net Assets)

    Par   
Asset-Backed Securities    (000)  Value 
ARES CLO Funds, Series 2005-10A, Class B,       
0.64%, 9/18/17 (a)(b)  USD  250  $ 222,767 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,       
0.73%, 6/19/21 (a)(b)    345  276,811 
Flagship CLO, Series 2006-1A, Class B,       
0.60%, 9/20/19 (a)(b)    1,000  807,500 
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,       
0.65%, 12/20/20 (a)(b)    500  400,000 
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,       
0.61%, 10/27/20 (b)    265  198,088 
Goldman Sachs Asset Management CLO Plc,       
Series 2007-1A, Class B, 0.70%, 8/01/22 (a)(b)    580  430,650 
Landmark CDO Ltd., Series 2006-8A, Class B,       
0.61%, 10/19/20 (a)(b)    495  405,261 
MAPS CLO Fund LLC, Series 2005-1A, Class C,       
1.20%, 12/21/17 (a)(b)    260  230,334 
Portola CLO Ltd., Series 2007-1X, Class B1,       
1.74%, 11/15/21 (b)    350  311,990 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,       
0.85%, 7/15/19 (a)(b)    300  267,960 
Total Asset-Backed Securities — 3.0%      3,551,361 
Common Stocks (c)    Shares   
Capital Markets — 0.1%       
E*Trade Financial Corp.    16,300  201,468 
Hotels, Restaurants & Leisure — 0.2%       
BLB Worldwide Holdings, Inc.    21,020  208,456 
Software — 0.1%       
HMH Holdings/EduMedia    53,267  106,534 
Total Common Stocks — 0.4%      516,458 
    Par   
Corporate Bonds    (000)   
Airlines — 0.4%       
Air Canada, 9.25%, 8/01/15 (a)  USD  210  201,600 
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16    209  213,942 
      415,542 
Auto Components — 1.0%       
Icahn Enterprises LP, 7.75%, 1/15/16    1,125  1,136,250 
Chemicals — 0.4%       
CF Industries, Inc., 6.88%, 5/01/18    415  470,506 
Commercial Banks — 1.0%       
CIT Group, Inc.:       
7.00%, 5/01/15    140  139,300 
7.00%, 5/01/16    180  179,100 
7.00%, 5/01/17    808  797,900 
7.00%, 5/02/17 (a)    130  128,375 
      1,244,675 
Commercial Services & Supplies — 0.4%       
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    453  437,292 
Consumer Finance — 0.3%       
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)    325  338,000 

 

    Par   
Corporate Bonds    (000)  Value 
Containers & Packaging — 0.7%       
Berry Plastics Corp., 8.25%, 11/15/15  USD  700  $ 721,000 
Graphic Packaging International, Inc., 9.50%, 6/15/17    100  108,750 
      829,750 
Diversified Financial Services — 1.3%       
Ally Financial, Inc., 2.45%, 12/01/14 (b)    1,025  960,535 
FCE Bank Plc, 7.13%, 1/15/13  EUR  50  72,005 
Reynolds Group Issuer, Inc. (a):       
7.13%, 4/15/19  USD  245  232,137 
7.88%, 8/15/19    100  99,000 
6.88%, 2/15/21    185  172,050 
      1,535,727 
Diversified Telecommunication Services — 0.4%       
ITC Deltacom, Inc., 10.50%, 4/01/16    140  143,500 
Qwest Communications International, Inc., Series B,       
7.50%, 2/15/14    347  351,337 
      494,837 
Electronic Equipment, Instruments & Components — 0.1%     
CDW LLC, 8.00%, 12/15/18 (a)    170  168,300 
Health Care Providers & Services — 1.1%       
HCA, Inc.:       
6.50%, 2/15/20    535  541,019 
7.25%, 9/15/20    670  688,425 
7.50%, 2/15/22    130  128,700 
      1,358,144 
Health Care Technology — 0.8%       
IMS Health, Inc., 12.50%, 8/26/17 (a)    850  977,500 
Hotels, Restaurants & Leisure — 0.2%       
MGM Resorts International, 11.13%, 11/15/17    240  267,600 
Household Durables — 0.6%       
Beazer Homes USA, Inc., 12.00%, 10/15/17    715  725,725 
IT Services — 0.3%       
First Data Corp., 7.38%, 6/15/19 (a)    400  376,000 
Independent Power Producers & Energy Traders — 1.5%       
Energy Future Holdings Corp., 10.00%, 1/15/20    400  401,548 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    1,325  1,336,754 
      1,738,302 
Media — 1.9%       
AMC Networks, Inc., 7.75%, 7/15/21 (a)    105  108,675 
CCH II LLC, 13.50%, 11/30/16    500  577,500 
Clear Channel Worldwide Holdings, Inc.:       
9.25%, 12/15/17    185  196,100 
Series B, 9.25%, 12/15/17    850  909,500 
Unitymedia Hessen GmbH & Co. KG (FKA UPC       
Germany GmbH), 8.13%, 12/01/17 (a)    500  510,000 
      2,301,775 
Metals & Mining — 0.8%       
FMG Resources August 2006 Property Ltd.,       
7.00%, 11/01/15 (a)    550  548,625 
Novelis, Inc., 8.38%, 12/15/17    430  443,975 
      992,600 

 

Portfolio Abbreviations         
To simplify the listings of portfolio holdings in the  CAD  Canadian Dollar  GO  General Obligation 
Schedules of Investments, the names and descriptions of  EUR  Euro  LIBOR  London Interbank Offered Rate 
many of the securities have been abbreviated according  FKA  Formerly Known As  USD  US Dollar 
to the following list:  GBP  British Pound     

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 13



BlackRock Defined Opportunity Credit Trust (BHL)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Oil, Gas & Consumable Fuels — 0.5%       
Alpha Natural Resources, Inc.:       
6.00%, 6/01/19  USD  170  $ 166,175 
6.25%, 6/01/21    305  298,519 
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)    126  133,560 
      598,254 
Paper & Forest Products — 0.3%       
Longview Fibre Paper & Packaging, Inc.,       
8.00%, 6/01/16 (a)    155  153,450 
Verso Paper Holdings LLC, 11.50%, 7/01/14    180  190,800 
      344,250 
Pharmaceuticals — 0.5%       
Valeant Pharmaceuticals International,       
6.50%, 7/15/16 (a)    575  546,250 
Wireless Telecommunication Services — 1.2%       
Cricket Communications, Inc., 7.75%, 5/15/16    1,125  1,139,063 
Nextel Communications, Inc., Series E, 6.88%, 10/31/13  275  273,281 
      1,412,344 
Total Corporate Bonds — 15.7%      18,709,623 
Floating Rate Loan Interests (b)       
Aerospace & Defense — 1.7%       
DynCorp International LLC, Term Loan B, 6.25%, 7/05/16  404  384,510 
SI Organization, Inc., New Term Loan B, 4.50%, 11/22/16  421  378,563 
TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17  846  811,920 
Wesco Aircraft Hardware Corp., Term Loan B,       
4.25%, 4/07/17    419  404,997 
      1,979,990 
Airlines — 0.9%       
Delta Air Lines, Inc., Credit — New Term Loan B,       
5.50%, 4/20/17    1,150  1,059,920 
Auto Components — 2.5%       
Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14  1,709  1,602,133 
Autoparts Holdings, Ltd., First Lien Term Loan,       
6.50%, 7/28/17    650  637,000 
Federal-Mogul Corp.:       
Term Loan B, 2.16%, 12/29/14    276  250,333 
Term Loan C, 2.15%, 12/28/15    141  127,633 
UCI International, Inc., Term Loan, 5.50%, 7/26/17    348  338,238 
      2,955,337 
Automobiles — 0.4%       
Ford Motor Co.:       
Tranche B-1 Term Loan, 2.96%, 12/16/13    522  512,922 
Tranche B-2 Term Loan, 2.96%, 12/16/13    9  8,581 
      521,503 
Biotechnology — 0.3%       
Grifols SA, Term Loan B, 6.00%, 6/01/17    420  409,920 
Building Products — 3.4%       
Armstrong World Industries, Inc., Term Loan B,       
4.00%, 3/09/18    449  421,382 
CPG International I, Inc., Term Loan B, 6.00%, 2/18/17  796  744,260 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/28/16    2,154  2,117,449 
Momentive Performance Materials (Blitz 06-103 GmbH),     
Tranche B-2B Term Loan, 4.79%, 5/05/15  EUR  566  729,382 
      4,012,473 

 

  Par   
Floating Rate Loan Interests (b)  (000)  Value 
Capital Markets — 1.8%     
American Capital Ltd., Term Loan B, 7.50%, 12/31/13 USD  229  $ 222,357 
HarbourVest Partners, Term Loan (First Lien),     
6.25%, 12/14/16  906  878,829 
Nuveen Investments, Inc. (First Lien):     
3.25%, 11/13/14  391  361,360 
5.75% – 5.81%, 5/12/17  782  730,816 
    2,193,362 
Chemicals — 6.3%     
American Rock Salt Holdings LLC, Term Loan,     
5.50%, 4/25/17  603  578,594 
Arizona Chemical Co., LLC, Term Loan B,     
4.75%, 11/21/16  204  196,527 
Ashland, Inc., Term Loan B, 3.75%, 7/30/18  550  537,724 
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16  750  733,747 
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15  683  637,739 
MDI Holdings LLC (FKA MacDermid, Inc.), Term Loan B,     
2.26%, 4/11/14  450  430,303 
Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17  574  528,153 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term     
Loan (First Lien), 3.48% – 3.51%, 7/30/14  641  585,672 
Styron Sarl, Term Loan B, 6.00%, 8/02/17  835  767,066 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15  1,368  1,352,734 
Univar, Inc., Term Loan B, 5.00%, 6/30/17  1,194  1,101,763 
    7,450,022 
Commercial Services & Supplies — 4.1%     
ARAMARK Corp.:     
Letter of Credit — 1 Facility, 2.06%, 1/27/14  9  8,842 
Letter of Credit — 2 Facility, 3.44%, 7/26/16  14  12,963 
US Term Loan, 2.12%, 1/27/14  116  109,757 
US Term Loan B, 3.50%, 7/26/16  211  197,109 
AWAS Finance Luxembourg Sarl, Term Loan B,     
5.25%, 6/10/16  282  271,081 
Adesa Inc. (KAR Holdings, Inc.), Initial Term Loan B,     
5.00%, 5/19/17  1,200  1,140,000 
Altegrity, Inc. (FKA US Investigations Services, Inc.),     
Tranche D Term Loan, 7.75%, 2/20/15  697  678,397 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16  825  819,497 
Synagro Technologies, Inc., Term Loan (First Lien),     
2.21% – 2.23%, 4/02/14  870  755,643 
Volume Services America, Inc. (Centerplate),     
Term Loan B, 10.50% – 10.75%, 9/16/16  496  474,748 
West Corp., Term Loan B, 4.50%, 7/15/16  397  376,214 
    4,844,251 
Communications Equipment — 1.8%     
Avaya, Inc.:     
Term Loan B, 3.06%, 10/24/14  450  400,485 
Term Loan B-3, 4.81%, 10/26/17  905  779,308 
CommScope, Inc., Term Loan B, 5.00%, 1/14/18  998  957,600 
    2,137,393 
Construction & Engineering — 0.9%     
BakerCorp., Inc., Term Loan B, 5.00%, 6/01/18  340  323,000 
Safway Services, LLC, First Out Tranche Loan,     
9.00%, 12/16/17  750  750,000 
    1,073,000 
Consumer Finance — 1.9%     
Springleaf Financial Funding Co. (FKA AGFS     
Funding Co.), Term Loan, 5.50%, 5/10/17  2,450  2,269,312 
Containers & Packaging — 1.3%     
Anchor Glass Container Corp., Term Loan (First Lien),     
6.00%, 3/02/16  148  145,947 
Berry Plastics Holding Corp., Term Loan C,     
2.21%, 4/03/15  503  447,606 
Graham Packaging Co., LP, Term Loan D, 6.00%, 9/23/16  993  982,575 
    1,576,128 

 

See Notes to Financial Statements.

14 ANNUAL REPORT AUGUST 31, 2011



BlackRock Defined Opportunity Credit Trust (BHL)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Consumer Services — 3.4%       
Coinmach Laundry Corp., Delayed Draw Term Loan,       
3.22%, 11/20/14  USD  244  $ 212,594 
Coinmach Service Corp., Term Loan,       
3.22% – 3.30%, 11/20/14    1,101  958,228 
Laureate Education, Extended Term Loan,       
5.25%, 8/15/18    1,965  1,735,386 
ServiceMaster Co.:       
Closing Date Term Loan, 2.69% – 2.76%, 7/24/14    108  99,941 
Delayed Draw Term Loan, 2.72%, 7/24/14    1,086  1,003,570 
      4,009,719 
Diversified Financial Services — 1.0%       
Reynolds Group Holdings, Inc., Term Loan E,       
5.25%, 2/09/18    1,237  1,179,693 
Diversified Telecommunication Services — 4.6%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 11/01/15 (d)    655  653,971 
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15    817  768,766 
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan,       
2.49% – 2.50%, 3/13/14    1,200  1,108,800 
Term Loan B, 11.50%, 3/13/14    550  571,543 
Term Loan B2, 2.49%, 9/03/18    1,800  1,696,500 
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17    748  720,256 
      5,519,836 
Electronic Equipment, Instruments & Components — 2.2%     
Aeroflex Inc., Term Loan B, 4.25%, 5/09/18    650  601,790 
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 4.25%, 7/14/17    516  467,855 
Non-Extended Term Loan, 3.71%, 10/10/14    631  593,081 
Sensata Technologies Finance Company, LLC, New Term       
Loan, 4.00%, 5/11/18    950  913,187 
      2,575,913 
Energy Equipment & Services — 2.6%       
CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14    750  665,171 
Dynegy Holdings, Inc.:       
Coal Co. Term Loan, 9.25%, 8/04/16    318  307,134 
Gas Co. Term Loan, 9.25%, 8/04/16    582  571,815 
MEG Energy Corp., Tranche D Term Loan, 4.00%, 3/16/18  1,550  1,482,188 
      3,026,308 
Food & Staples Retailing — 2.1%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.61%, 7/09/15  GBP  900  1,256,098 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50% – 5.75%, 2/11/16    228  221,791 
US Foodservice, Inc.:       
New Term Loan B, 5.75%, 3/31/17  USD  100  92,767 
Term Loan B, 2.71% – 2.72%, 7/03/14    1,018  911,184 
      2,481,840 
Food Products — 4.2%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/30/16    953  921,243 
11.25%, 9/29/17    500  490,000 
Del Monte Corp., Term Loan B, 4.50%, 3/08/18    2,345  2,210,163 
Michaels Foods Group, Inc. (FKA M-Foods       
Holdings, Inc.), Term Loan B, 4.25%, 2/23/18    131  125,108 
Pinnacle Foods Finance LLC, Tranche D Term Loan,       
6.00%, 4/02/14    532  524,256 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 6.00%, 7/06/18    282  271,325 
Tranche C-1 Term Loan, 5.00% – 6.00%, 7/06/18    523  503,890 
      5,045,985 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Health Care Equipment & Supplies — 1.6%       
Biomet, Inc., Dollar Term Loan,       
3.22% – 3.25%, 3/25/15  USD  315  $ 298,935 
DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),     
Term Loan, 3.22%, 5/20/14    428  399,063 
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18    797  735,065 
Immucor, Inc., Term Loan B, 7.25%, 8/17/18    495  477,368 
      1,910,431 
Health Care Providers & Services — 5.4%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.47% – 2.57%, 7/25/14  37  34,323 
Extended Term Loan B, 3.72% – 3.82%, 1/25/17  80  73,100 
Non Extended Term Loan, 2.47% – 2.57%, 7/25/14  727  674,129 
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16    597  563,168 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16  896  868,635 
Emergency Medical Services, Term Loan,       
5.25% – 6.00%, 5/25/18    858  793,419 
HCA, Inc., Tranche B-1 Term Loan, 3.50%, 5/01/18    380  356,618 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15  521  511,013 
Tranche A Term Loan, 8.50%, 3/02/15    346  339,127 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):       
Incremental Term Loan B3, 6.75%, 5/15/18    300  282,000 
Term Loan B, 6.50%, 8/04/16    863  814,174 
Medpace, Inc., Term Loan, 6.50%, 6/22/17    550  522,500 
Renal Advantage Holdings, Inc., Tranche B Term Loan,     
5.75%, 12/16/16    597  584,564 
      6,416,770 
Health Care Technology — 0.8%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
4.50%, 8/25/17    556  532,874 
MedAssets, Inc., Term Loan B, 5.25%, 11/16/16    402  380,116 
      912,990 
Hotels, Restaurants & Leisure — 7.8%       
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18  698  670,320 
Caesars Entertainment Operating Co., Inc.:       
Incremental Term Loan B4, 9.50%, 10/31/16    266  265,595 
Term Loan B-1, 3.25%, 1/28/15    175  150,719 
Term Loan B-2, 3.22% – 3.25%, 1/28/15    145  124,926 
Term Loan B-3, 3.25%, 1/28/15    2,463  2,120,143 
Dunkin' Brands, Inc., New Term Loan B,       
4.00%, 11/23/17    1,049  1,007,835 
Golden Living, Term Loan, 5.00%, 5/04/18    840  745,500 
Las Vegas Sands LLC:       
Delayed Draw Term Loan, 1.72%, 5/23/14    91  84,344 
Term Loan B, 1.72%, 5/23/14    359  334,560 
Penn National Gaming, Inc., Term Loan B,       
3.75%, 7/16/18    175  170,188 
SeaWorld Parks & Entertainment, Inc. (FKA SW       
Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17  807  778,568 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.25%, 6/30/16    727  709,218 
Twin River Worldwide Holdings, Inc., Term Loan,       
8.50%, 11/05/15    554  549,615 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.73%, 5/27/13    269  266,321 
Term B Delayed Draw Project Loan, 4.73%, 5/25/12  480  474,931 
Term B Funded Project Loan, 4.73%, 5/27/13    836  825,722 
      9,278,505 
Household Durables — 0.0%       
Visant Corp. (FKA Jostens), Term Loan B,       
5.25%, 12/22/16    37  33,289 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 15



BlackRock Defined Opportunity Credit Trust (BHL)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
IT Services — 4.7%       
Ceridian Corp., US Term Loan, 3.22%, 11/10/14  USD  792  $ 676,838 
First Data Corp.:       
Extended Term Loan B, 4.22%, 3/23/18    3,012  2,521,207 
Initial Tranche B-1 Term Loan, 2.97%, 9/24/14    113  99,609 
Initial Tranche B-3 Term Loan, 2.97%, 9/24/14    149  131,048 
infoGROUP, Inc., Term Loan, 5.75%, 5/22/18    346  317,152 
iPayment, Inc., Term Loan B, 5.75%, 5/08/17    505  477,572 
TransUnion LLC, Replacement Term Loan,       
4.75%, 2/12/18    1,465  1,389,093 
      5,612,519 
Independent Power Producers & Energy Traders — 3.9%       
The AES Corp., Term Loan B, 4.25%, 6/01/18    998  958,099 
Calpine Corp., Term Loan B, 4.50%, 4/02/18    1,770  1,631,555 
Texas Competitive Electric Holdings Co., LLC (TXU),       
Extended Term Loan, 4.71% – 4.77%, 10/10/17    2,734  2,006,990 
      4,596,644 
Industrial Conglomerates — 1.4%       
Sequa Corp., Term Loan, 3.50% – 3.51%, 12/03/14    1,763  1,647,076 
Insurance — 0.8%       
CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16    988  965,870 
Machinery — 1.7%       
Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12    372  361,925 
Terex Corp.:       
Term Loan, 6.03%, 4/28/17  EUR  60  85,901 
Term Loan B, 5.50%, 4/28/17  USD  500  489,975 
Tomkins Plc, Term Loan A, 4.25%, 9/29/16    1,184  1,139,618 
      2,077,419 
Marine — 0.3%       
Horizon Lines, LLC:       
Revolving Loan, 0.50% – 6.30%, 8/08/12    285  277,454 
Term Loan, 6.25%, 8/08/12    120  115,927 
      393,381 
Media — 20.1%       
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18    800  771,000 
Acosta, Inc., Term Loan, 4.75%, 3/01/18    938  884,326 
Affinion Group, Inc., Tranche B Term Loan,       
5.00%, 7/16/15    739  665,676 
Atlantic Broadband Finance, LLC, Term Loan B,       
4.00%, 3/08/16    448  423,861 
Bresnan Telecommunications Co. LLC, Term Loan,       
4.50%, 12/14/17    1,443  1,376,802 
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18    600  579,600 
Catalina Marketing Corp., Term Loan B, 2.97%, 10/01/14  105  96,022 
Cengage Learning Acquisitions, Inc. (Thomson Learning):       
Term Loan, 2.50%, 7/03/14    1,008  833,696 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14    373  356,334 
Cequel Communications LLC, New Term Loan,       
2.21%, 11/05/13    528  502,934 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    12  12,330 
Term Loan C, 3.50%, 9/06/16    1,602  1,525,029 
Clarke American Corp., Term Facility B,       
2.72% – 2.75%, 6/30/14    453  375,832 
Clear Channel Communications, Inc., Term Loan B,       
3.87%, 1/28/16    995  744,698 
Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18    550  514,937 
Getty Images, Inc., Initial Term Loan, 5.25%, 11/07/16    221  215,999 
Gray Television, Inc., Term Loan B, 3.71%, 12/31/14    559  510,800 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.21%, 6/12/14    609  489,800 
Hubbard Broadcasting, Term Loan B (Second Lien),       
5.25%, 4/28/17    500  475,835 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18    2,993  2,865,319 

 

Par
Floating Rate Loan Interests (b)    (000)  Value 
Media (concluded)       
Interactive Data Corp., New Term Loan B,       
4.50%, 2/12/18  USD           1,322  $ 1,249,827 
Knology, Inc., Term Loan B, 4.00%, 8/18/17    247  234,064 
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):       
Facility B1, 4.20%, 3/06/15  EUR  460  513,086 
Facility C1, 4.45%, 3/04/16    460  516,393 
Mediacom Illinois, LLC (FKA Mediacom Communications,       
LLC), Tranche D Term Loan, 5.50%, 3/31/17  USD  198  189,076 
Mediacom LLC, Term Loan E (FKA Mediacom       
Communications, LLC), 4.50%, 10/23/17    495  459,731 
Newsday LLC, Fixed Rate Term Loan:       
6.50%, 8/01/13    500  500,000 
10.50%, 8/01/13    800  826,000 
Nielsen Finance LLC, Class B Dollar Term Loan,       
3.96%, 5/02/16    637  598,875 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
4.00%, 10/28/16    338  333,333 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.51%, 6/01/12    1,012  973,245 
UPC Broadband Holding B.V., Term U, 5.44%, 12/31/17 EUR  980  1,316,631 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.47%, 3/31/17  USD  813  698,890 
WC Luxco Sarl, New Term Loan B3, 4.25%, 3/15/18    219  210,536 
Weather Channel, Term Loan B, 4.25%, 2/13/17    1,042  1,003,910 
      23,844,427 
Metals & Mining — 2.9%       
Novelis, Inc., Term Loan, 3.75%, 3/10/17    1,328  1,254,482 
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18    450  427,500 
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18    1,794  1,713,258 
      3,395,240 
Multi-Utilities — 0.1%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),       
Term B Advance (First Lien), 2.75%, 11/01/13    184  174,528 
Multiline Retail — 2.2%       
Dollar General Corp., Tranche B-2 Term Loan,       
2.96% – 2.97%, 7/07/14    316  306,077 
Hema Holding BV, Facility D, 6.43%, 1/05/17  EUR          1,800  2,344,378 
      2,650,455 
Oil, Gas & Consumable Fuels — 2.1%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/26/18  USD  723  693,356 
Gibson Energy, Term Loan B, 5.75%, 6/14/18    800  756,000 
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15  1,017  1,006,813 
      2,456,169 
Paper & Forest Products — 0.5%       
Georgia-Pacific LLC, Term Loan B, 2.32%, 12/21/12    545  541,001 
Pharmaceuticals — 2.5%       
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17    995  897,490 
Endo Pharmaceuticals Holdings, Inc., Term Loan B,       
4.00%, 6/18/18    600  586,878 
Quinteles Transnational Corp., Term Loan,       
5.00%, 6/08/18    595  551,863 
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18    500  485,000 
Warner Chilcott Corp.:       
Term Loan B-1, 4.25%, 3/15/18    319  305,835 
Term Loan B-2, 4.25%, 3/15/18    160  153,117 
      2,980,183 
Professional Services — 1.1%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/03/17    525  513,257 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 4.50%, 11/03/16    796  766,656 
      1,279,913 

 

See Notes to Financial Statements.

16 ANNUAL REPORT AUGUST 31, 2011



BlackRock Defined Opportunity Credit Trust (BHL)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

  Par   
Floating Rate Loan Interests (b)  (000)  Value 
Real Estate Investment Trusts (REITs) — 0.8%     
iStar Financial, Inc., Term Loan (Second Lien),     
5.00%, 6/28/13  USD 1,016 $ 987,169 
Real Estate Management & Development — 1.3%     
Realogy Corp.:     
Delayed Draw Term Loan, 3.30%, 10/10/13  737  650,125 
Extended Synthetic Letter of Credit Loan,     
4.44%, 10/10/16  32  25,963 
Extended Term Loan B, 4.52%, 10/10/16  809  666,207 
Letter of Credit, 3.19%, 10/10/13  30  26,655 
Term Loan, 3.27%, 10/10/13  240  211,620 
    1,580,570 
Road & Rail — 0.3%     
The Hertz Corp., Term Loan B, 3.75%, 3/09/18  349  330,796 
Semiconductors & Semiconductor Equipment — 0.7%     
Freescale Semiconductor, Inc., Extended Term Loan B,     
4.44%, 12/01/16  440  400,216 
Microsemi Corp., Term Loan B, 4.00%, 11/02/17  498  474,700 
    874,916 
Software — 0.6%     
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18  449  431,670 
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16  308  293,413 
    725,083 
Specialty Retail — 4.8%     
Academy Ltd., Term Loan, 6.00%, 8/03/18  800  759,400 
Burlington Coat Factory Warehouse Corp., Term Loan B,     
6.25%, 2/23/17  444  418,824 
General Nutrition Centers, Inc., Term Loan B,     
4.25%, 3/02/18  1,125  1,061,719 
J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18  374  333,151 
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18  294  273,420 
Michaels Stores, Inc.:     
Term Loan B-1, 2.50%, 10/31/13  334  315,942 
Term Loan B-2, 4.75%, 7/31/16  641  603,013 
Petco Animal Supplies, Inc., Term Loan B,     
4.50%, 11/24/17  1,089  1,023,660 
Toys ‘R’ Us Delaware, Inc., Initial Loan, 6.00%, 9/01/16  911  853,770 
    5,642,899 
Wireless Telecommunication Services — 2.0%     
Digicel International Finance Ltd., US Term Loan     
(Non-Rollover), 2.75%, 3/30/12  469  462,250 
MetroPCS Wireless, Inc., Tranche B-2 Term Loan,     
4.07%, 11/04/16  769  719,140 
Vodafone Americas Finance 2, Inc.:     
Initial Loan, 6.88%, 8/11/15  803  806,759 
Term Loan B, 6.25%, 7/11/16 (d)  400  402,000 
    2,390,149 
Total Floating Rate Loan Interests — 117.8%    140,020,297 
  Beneficial   
  Interest   
Other Interests (e)  (000)   
Auto Components — 0.7%     
Delphi Debtor-in-Possession Holding Co. LLP, Class B     
Membership Interests  —(f)  869,044 
Total Other Interests — 0.7%    869,044 
Total Long-Term Investments     
(Cost — $169,251,866) — 137.6%    163,666,783 

 

Short-Term Securities  Shares  Value 
BlackRock Liquidity Funds, TempFund, Institutional     
Class, 0.07% (g)(h)  2,230,753  $ 2,230,753 
Total Short-Term Securities     
(Cost — $2,230,753) — 1.9%    2,230,753 
Total Investments (Cost — $171,482,619*) — 139.5%    165,897,536 
Liabilities in Excess of Other Assets — (39.5)%    (47,000,641) 
Net Assets — 100.0%    $118,896,895 


* The cost and unrealized appreciation (depreciation) of investments as of

August 31, 2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $171,460,615 
Gross unrealized appreciation  $ 1,938,490 
Gross unrealized depreciation  (7,501,569) 
Net unrealized depreciation  $ (5,563,079) 


(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.

These securities may be resold in transactions exempt from registration to qualified
institutional investors.
(b) Variable rate security. Rate shown is as of report date.
(c) Non-income producing security.
(d) Represents a payment-in-kind security which may pay interest/dividends in
additional face/shares.
(e) Other interests represent beneficial interest in liquidation trusts and other
reorganization entities and are non-income producing.
(f) Amount is less than $500.
(g) Investments in companies considered to be an affiliate of the Fund during the
year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  August 31, 2011  Income 
BlackRock Liquidity       
Funds, TempFund,       
Institutional Class     1,172,197  1,058,556  2,230,753  $ 28 


(h) Represents the current yield as of report date.

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 rating group indexes, and/or as defined by Fund management.
These definitions may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease.
Foreign currency exchange contracts as of August 31, 2011 were as follows:

            Unrealized 
Currency    Currency             Settlement                         Appreciation 
Purchased    Sold  Counterparty    Date                              (Depreciation) 
USD  1,136,235  CAD  1,123,500  Citibank NA  10/07/11 $ (10,054) 
USD  257,571  GBP  160,000  Citibank NA  10/07/11   (2,056) 
USD  449,835  GBP  276,000  Citibank NA  10/07/11  1,979 
USD  671,104  GBP  420,000  Royal Bank     
        of Scotland Plc  10/07/11  (10,417) 
CAD                     1,000,000       USD                    1,017,246  Citibank NA  10/07/11  3,037 
USD  5,226,079  EUR  3,645,500  Citibank NA  10/26/11  (7,246) 
USD  230,818  EUR  160,000  USB AG  10/26/11  1,129 
USD  472,174  EUR  330,000  Morgan Stanley     
        Capital SE  10/26/11  (1,560) 
USD  85,410  EUR  60,000  Citibank NA  10/26/11  (723) 
Total          $ (25,911) 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 17



BlackRock Defined Opportunity Credit Trust (BHL)
Schedule of Investments (concluded)

Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivative financial instruments. These inputs are categorized in three
broad levels for financial statement purposes as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
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)
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 does not necessarily correspond to the Fund’s perceived risk
of investing in those securities. For information about the Fund’s policy regarding val-
uation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.

The following tables summarize the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Fund’s investments and derivative financial instruments:

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Investments:         
Long-Term         
Investments:         
Asset-Backed         
Securities  $ 1,172,800 $ 2,378,561   $3,551,361 
Common Stocks .  $ 201,468  208,456  106,534  516,458 
Corporate Bonds.    18,709,623    18,709,623 
Floating Rate         
Loan Interests  —       129,198,106  10,822,191 140,020,297 
Other Interests    869,044    869,044 
Short-Term          
Securities:  2,230,753      2,230,753 
Liabilities:         
Unfunded Loan         
Commitments    (38,703)    (38,703) 
Total  $ 2,432,221      $150,119,326    $ 13,307,286   165,858,833 

 

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Derivative Financial Instruments1       
Assets:         
Foreign currency         
exchange         
contracts   —  $6,145   $ 6,145 
Liabilities:         
Foreign currency         
exchange         
contracts     (32,056)    (32,056) 
Total      $ (25,911)  $ (25,911) 
1 Derivative financial instruments are foreign currency exchange contracts, which 
are valued at the unrealized appreciation/depreciation on the instrument. 

 

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

  Asset-Backed  Common  Corporate Floating Rate  Unfunded Loan   
  Securities  Stocks  Bonds  Loan Interests  Commitments  Total 
Assets/Liabilities:             
Balance, as of August 31, 2010    $ 270,181 $ 12,664  $20,437,083  $ (46,743)  $20,673,185 
Accrued discounts/premiums  $ 25,212    46  127,335    152,593 
Net realized gain (loss)      508  21,213    21,721 
Net change in unrealized appreciation/depreciation2  (174,879)  (163,647)  (295)  (46,441)  33,657  (351,605) 
Purchases  2,528,228      8,140,603    10,668,831 
Sales      (12,923)  (11,269,604)    (11,282,527) 
Transfers in3        983,762  13,086  996,848 
Transfers out3        (7,571,760)    (7,571,760) 
Balance, as of August 31, 2011  $ 2,378,561  $ 106,534    $10,822,191    $13,307,286 


2
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments
still held on August 31, 2011 was $(629,494).
3 The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the year in relation to net assets.

See Notes to Financial Statements.

18 ANNUAL REPORT AUGUST 31, 2011



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments
August 31, 2011
(Percentages shown are based on Net Assets)

  Par   
Asset-Backed Securities  (000)  Value 
ARES CLO Funds, Series 2005-10A, Class B,     
0.64%, 9/18/17 (a)(b)  USD 250  $ 222,767 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,     
0.73%, 6/19/21 (a)(b)  365  292,858 
Chatham Light CLO Ltd., Series 2005-2A, Class A2,     
0.66%, 8/03/19 (a)(b)  850  762,875 
Flagship CLO, Series 2006-1A, Class B,     
0.60%, 9/20/19 (a)(b)  1,000  807,500 
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,     
0.65%, 12/20/20 (a)(b)  500  400,000 
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,     
0.61%, 10/27/20 (b)  280  209,300 
Landmark CDO Ltd., Series 2006-8A, Class B,     
0.61%, 10/19/20 (a)(b)  525  429,823 
MAPS CLO Fund LLC, Series 2005-1A, Class C,     
1.20%, 12/21/17 (a)(b)  275  243,622 
Portola CLO Ltd., Series 2007-1X, Class B1,     
1.74%, 11/15/21 (b)  370  329,818 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,     
0.85%, 7/15/19 (a)(b)  320  285,824 
Total Asset-Backed Securities — 3.2%    3,984,387 
Common Stocks  Shares   
Capital Markets — 0.1%     
E*Trade Financial Corp.  14,300  176,748 
Chemicals — 0.0%     
Wellman Holdings, Inc.  272  884 
Wellman Holdings, Inc. (acquired 1/30/09,     
cost $313) (d)  1,341  4,358 
    5,242 
Diversified Financial Services — 1.3%     
Kcad Holdings I Ltd.  142,194,803  1,604,953 
Electrical Equipment — 0.0%     
Medis Technologies Ltd.  176,126  1,937 
Hotels, Restaurants & Leisure — 0.0%     
Buffets Restaurants Holdings, Inc.  688  1,720 
Metals & Mining — 0.1%     
Euramax International  468  130,900 
Paper & Forest Products — 0.5%     
Ainsworth Lumber Co. Ltd.  300,167  613,024 
Software — 0.1%     
Bankruptcy Management Solutions, Inc.  536  3 
HMH Holdings/EduMedia  45,526  91,052 
    91,055 
Total Common Stocks — 2.1%    2,625,579 
  Par   
Corporate Bonds  (000)   
Airlines — 0.4%     
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16  USD 209  213,942 
United Air Lines, Inc., 12.75%, 7/15/12  295  307,882 
    521,824 
Auto Components — 0.9%     
Icahn Enterprises LP, 7.75%, 1/15/16  1,065  1,075,650 
Capital Markets — 0.1%     
E*Trade Financial Corp., 3.95%, 8/31/19 (a)(e)(f)  83  99,185 
KKR Group Finance Co., 6.38%, 9/29/20 (a)  80  85,116 
    184,301 

 

    Par   
Corporate Bonds    (000)  Value 
Chemicals — 1.6%       
CF Industries, Inc., 6.88%, 5/01/18  USD  445  $ 504,519 
Wellman Holdings, Inc., Subordinate Note (e):       
(Second Lien), 10.00%, 1/29/19    894  1,242,660 
(Third Lien), 5.00%, 1/29/19 (g)    308  218,938 
      1,966,117 
Commercial Banks — 1.1%       
CIT Group, Inc.:       
7.00%, 5/01/14    22  22,418 
7.00%, 5/01/15    170  169,150 
7.00%, 5/01/16    120  119,400 
7.00%, 5/01/17    888  876,900 
7.00%, 5/02/17 (a)    140  138,250 
Glitnir Banki HF, 6.38%, 9/25/12 (a)(c)(h)    365   
      1,326,118 
Commercial Services & Supplies — 0.6%       
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    480  463,015 
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)    260  245,050 
      708,065 
Consumer Finance — 0.3%       
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)    350  364,000 
Containers & Packaging — 0.4%       
Graphic Packaging International, Inc., 9.50%, 6/15/17    105  114,187 
Smurfit Kappa Acquisitions (a):       
7.25%, 11/15/17  EUR  160  220,647 
7.75%, 11/15/19    135  185,201 
      520,035 
Diversified Financial Services — 1.9%       
Ally Financial, Inc.:       
6.88%, 9/15/11  USD  150  150,000 
7.50%, 12/31/13    20  20,600 
2.45%, 12/01/14 (b)    750  702,830 
8.00%, 3/15/20    20  20,200 
7.50%, 9/15/20    160  157,200 
8.00%, 11/01/31    210  203,563 
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16    80  83,400 
Reynolds Group DL Escrow, Inc., 8.50%, 10/15/16 (a)    300  306,750 
Reynolds Group Issuer, Inc. (a):       
8.75%, 10/15/16  EUR  200  278,681 
7.13%, 4/15/19  USD  260  246,350 
7.88%, 8/15/19    100  99,000 
6.88%, 2/15/21    195  181,350 
      2,449,924 
Diversified Telecommunication Services — 0.4%       
ITC Deltacom, Inc., 10.50%, 4/01/16    180  184,500 
Qwest Communications International, Inc., Series B,       
7.50%, 2/15/14    347  351,338 
      535,838 
Electronic Equipment, Instruments & Components — 0.2%     
CDW LLC, 8.00%, 12/15/18 (a)    190  188,100 
Health Care Providers & Services — 1.2%       
HCA, Inc.:       
6.50%, 2/15/20    565  571,356 
7.25%, 9/15/20    235  241,463 
7.50%, 2/15/22    660  653,400 
      1,466,219 
Health Care Technology — 0.6%       
IMS Health, Inc., 12.50%, 3/01/18 (a)    700  805,000 
Hotels, Restaurants & Leisure — 1.0%       
Little Traverse Bay Bands of Odawa Indians,       
9.00%, 8/31/20 (a)    192  159,360 
MGM Resorts International, 11.13%, 11/15/17    390  434,850 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 19



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Hotels, Restaurants & Leisure (concluded)       
Travelport LLC:       
4.88%, 9/01/14 (b)  USD  665  $ 507,062 
9.88%, 9/01/14    145  123,613 
Tropicana Entertainment LLC, Series WI,       
9.63%, 12/15/14 (c)(h)    120  12 
      1,224,897 
Household Durables — 0.4%       
Beazer Homes USA, Inc., 12.00%, 10/15/17    500  507,500 
IT Services — 0.3%       
First Data Corp., 7.38%, 6/15/19 (a)    390  366,600 
Independent Power Producers & Energy Traders — 1.4%     
Energy Future Holdings Corp., 10.00%, 1/15/20    400  401,549 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    1,325  1,336,754 
      1,738,303 
Industrial Conglomerates — 0.6%       
Sequa Corp., 13.50%, 12/01/15 (a)    722  764,863 
Media — 2.8%       
AMC Networks, Inc., 7.75%, 7/15/21 (a)    110  113,850 
CCH II LLC, 13.50%, 11/30/16    500  577,500 
CSC Holdings, Inc., 8.50%, 4/15/14    180  194,850 
Cengage Learning Acquisitions, Inc.,       
10.50%, 1/15/15 (a)    315  242,550 
Checkout Holding Corp., 10.69%, 11/15/15 (a)(f)    325  191,750 
Clear Channel Worldwide Holdings, Inc., Series B,       
9.25%, 12/15/17    884  945,880 
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)  300  303,000 
Unitymedia Hessen GmbH & Co. KG (FKA UPC       
Germany GmbH), 8.13%, 12/01/17 (a)    1,000  1,020,000 
      3,589,380 
Metals & Mining — 0.6%       
FMG Resources August 2006 Property Ltd.,       
7.00%, 11/01/15 (a)    320  319,200 
Novelis, Inc., 8.38%, 12/15/17    455  469,787 
RathGibson, Inc., 11.25%, 2/15/14 (c)(h)    1,390  70 
      789,057 
Multiline Retail — 0.2%       
Dollar General Corp., 11.88%, 7/15/17 (g)    215  238,113 
Oil, Gas & Consumable Fuels — 0.5%       
Alpha Natural Resources, Inc.:       
6.00%, 6/01/19    135  131,962 
6.25%, 6/01/21    365  357,244 
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)    135  143,100 
      632,306 
Paper & Forest Products — 0.9%       
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)    738  516,947 
Clearwater Paper Corp., 10.63%, 6/15/16    190  208,050 
Longview Fibre Paper & Packaging, Inc.,       
8.00%, 6/01/16 (a)    165  163,350 
Verso Paper Holdings LLC:       
11.50%, 7/01/14    144  152,640 
Series B, 4.00%, 8/01/14 (b)    170  139,400 
      1,180,387 
Pharmaceuticals — 0.3%       
Valeant Pharmaceuticals International,       
6.50%, 7/15/16 (a)    460  437,000 
Professional Services — 0.1%       
FTI Consulting, Inc., 6.75%, 10/01/20    85  83,831 

 

    Par   
Corporate Bonds    (000)  Value 
Wireless Telecommunication Services — 1.4%       
Cricket Communications, Inc., 7.75%, 5/15/16  USD  850  $ 860,625 
Digicel Group Ltd. (a):       
9.13%, 1/15/15    279  279,000 
8.25%, 9/01/17    255  255,000 
iPCS, Inc., 2.38%, 5/01/13 (b)    200  185,500 
Nextel Communications, Inc., Series E,       
6.88%, 10/31/13    225  223,594 
      1,803,719 
Total Corporate Bonds — 20.2%      25,467,147 
Floating Rate Loan Interests (b)       
Aerospace & Defense — 1.6%       
DynCorp International LLC, Term Loan B, 6.25%, 7/05/16  401  382,308 
SI Organization, Inc., New Term Loan B, 4.50%, 11/22/16  420  377,662 
TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17    896  859,680 
Wesco Aircraft Hardware Corp., Term Loan B,       
4.25%, 4/07/17    466  449,996 
      2,069,646 
Airlines — 0.8%       
Delta Air Lines, Inc., Credit New Term Loan B,       
5.50%, 4/20/17    1,150  1,059,921 
Auto Components — 2.5%       
Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14    1,772  1,661,583 
Autoparts Holdings, Ltd., First Lien Term Loan,       
6.50%, 7/28/17    700  686,000 
Federal-Mogul Corp.:       
Term Loan B, 2.16%, 12/29/14    315  285,076 
Term Loan C, 2.15%, 12/28/15    160  145,347 
UCI International, Inc., Term Loan, 5.50%, 7/26/17    348  338,238 
      3,116,244 
Biotechnology — 0.3%       
Grifols SA, Term Loan B, 6.00%, 6/01/17    420  409,920 
Building Products — 3.1%       
Armstrong World Industries, Inc., Term Loan B,       
4.00%, 3/09/18    574  538,432 
CPG International I, Inc., Term Loan B, 6.00%, 2/18/17    846  790,776 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/28/16    2,154  2,117,449 
Momentive Performance Materials (Blitz 06-103 GmbH),       
Tranche B-2B Term Loan, 4.79%, 5/05/15  EUR  317  408,060 
      3,854,717 
Capital Markets — 1.9%       
American Capital Ltd., Term Loan B, 7.50%, 12/31/13  USD  261  253,870 
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 12/14/16    906  878,829 
Nuveen Investments, Inc.:       
Extended Term Loan (First Lien),       
5.75% – 5.81%, 5/12/17    862  805,455 
Non-Extended Term Loan (First Lien),       
3.25%, 11/13/14    438  404,767 
      2,342,921 
Chemicals — 5.8%       
American Rock Salt Holdings LLC, Term Loan,       
5.50%, 4/25/17    608  583,375 
Arizona Chemical Co., LLC, New Term Loan B,       
4.75%, 11/21/16    172  165,448 
Ashland, Inc., Term Loan B, 3.75%, 7/30/18    550  537,724 
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16    700  684,831 
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15    721  673,031 

 

See Notes to Financial Statements.

20 ANNUAL REPORT AUGUST 31, 2011



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Chemicals (concluded)       
MDI Holdings, LLC (FKA MacDermid, Inc.), Tranche C       
Term Loan, 3.54%, 4/11/14  EUR  220  $ 301,141 
Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17  USD  599  551,117 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term       
Loan (First Lien), 3.48% – 3.51%, 7/30/14    627  572,763 
Styron Sarl, Term Loan B, 6.00%, 8/02/17    885  812,660 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15    1,323  1,308,462 
Univar, Inc., Term Loan B, 5.00%, 6/30/17    1,294  1,193,577 
      7,384,129 
Commercial Services & Supplies — 3.5%       
ARAMARK Corp.:       
Letter of Credit — 1 Facility, 2.06%, 1/27/14    7  6,533 
Letter of Credit — 2 Facility, 3.44%, 7/26/16    10  9,106 
US Term Loan, 2.12%, 1/27/14    86  81,092 
US Term Loan B, 3.50%, 7/26/16    148  138,470 
AWAS Finance Luxembourg Sarl, Term Loan B,       
5.25%, 6/10/16    301  289,545 
Adesa Inc. (KAR Holdings, Inc.), Initial Term Loan B,       
5.00%, 5/19/17    1,250  1,187,500 
Altegrity, Inc. (FKA US Investigations Services, Inc.),       
Tranche D Term Loan, 7.75%, 2/20/15    790  768,850 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    925  918,830 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.21% – 2.23%, 4/02/14    639  554,829 
Volume Services America, Inc. (Centerplate),       
Term Loan B, 10.50% – 10.75%, 9/16/16    496  474,747 
      4,429,502 
Communications Equipment — 1.7%       
Avaya, Inc.:       
Term Loan B, 3.06%, 10/24/14    485  431,512 
Term Loan B-3, 4.81%, 10/26/17    910  783,586 
CommScope, Inc., Term Loan B, 5.00%, 1/14/18    998  957,600 
      2,172,698 
Construction & Engineering — 1.0%       
BakerCorp., Inc., Term Loan B, 5.00%, 6/01/18    435  413,250 
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/16/17    800  800,000 
      1,213,250 
Consumer Finance — 1.9%       
Springleaf Financial Funding Co. (FKA AGFS       
Funding Co.), Term Loan, 5.50%, 5/10/17    2,600  2,408,250 
Containers & Packaging — 0.7%       
Anchor Glass Container Corp., Term Loan (First Lien),       
6.00%, 3/02/16    135  132,695 
Graham Packaging Co., LP, Term Loan D,       
6.00%, 9/23/16    794  786,060 
      918,755 
Diversified Consumer Services — 3.2%       
Coinmach Service Corp., Term Loan,       
3.22% – 3.30%, 11/20/14    1,343  1,168,045 
Laureate Education, Extended Term Loan,       
5.25%, 8/15/18    2,113  1,866,409 
ServiceMaster Co.:       
Closing Date Term Loan, 2.69% – 2.76%, 7/24/14    1,037  958,101 
Delayed Draw Term Loan, 2.72%, 7/24/14    103  95,413 
      4,087,968 
Diversified Financial Services — 0.4%       
Reynolds Group Holdings, Inc., Term Loan E,       
6.50%, 2/09/18    574  547,035 
Diversified Telecommunication Services — 4.9%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 11/01/15 (g)    1,366  1,363,925 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Telecommunication Services (concluded)       
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15  USD  817  $ 768,766 
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan,       
2.49% – 2.50%, 3/13/14    1,175  1,085,700 
Term Loan B, 11.50%, 3/13/14    575  597,523 
Term Loan B2, 2.49%, 9/03/18    1,700  1,602,250 
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17    748  720,256 
      6,138,420 
Electronic Equipment, Instruments & Components — 2.2%     
Aeroflex Inc., Term Loan B, 4.25%, 5/09/18    725  671,227 
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 4.25%, 7/14/17    494  448,682 
Non-Extended Term Loan, 3.71%, 10/10/14    663  623,385 
Flextronics International Ltd., Delayed Draw:       
Term Loan A-2, 2.47%, 10/01/14    24  22,648 
Term Loan A-3, 2.44%, 10/01/14    21  19,413 
Sensata Technologies Finance Company, LLC, New Term       
Loan, 4.00%, 5/11/18    1,000  961,250 
      2,746,605 
Energy Equipment & Services — 2.5%       
CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14    801  709,989 
Dynegy Holdings, Inc.:       
Coal Co. Term Loan, 9.25%, 8/04/16    336  324,197 
Gas Co. Term Loan, 9.25%, 8/04/16    614  603,583 
MEG Energy Corp., Tranche D Term Loan,       
4.00%, 3/16/18    1,600  1,530,000 
      3,167,769 
Food & Staples Retailing — 1.9%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.61%, 7/09/15  GBP  750  1,046,749 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50% – 5.75%, 2/11/16  USD  259  252,142 
US Foodservice, Inc.:       
New Term Loan B, 5.75%, 3/31/17    299  278,302 
Term Loan B, 2.71% – 2.72%, 7/03/14    879  786,453 
      2,363,646 
Food Products — 4.1%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/30/16    923  892,611 
11.25%, 9/29/17    500  490,000 
Del Monte Corp., Term Loan B, 4.50%, 3/08/18    2,495  2,351,537 
Michaels Foods Group, Inc. (FKA M-Foods Holdings, Inc.),     
Term Loan B, 4.25%, 2/23/18    111  106,016 
Pinnacle Foods Finance LLC, Tranche D Term Loan,       
6.00%, 4/02/14    581  573,075 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 6.00%, 7/06/18    291  279,752 
Tranche C-1 Term Loan, 5.00% – 6.00%, 7/06/18    540  519,539 
      5,212,530 
Health Care Equipment & Supplies — 2.0%       
Biomet, Inc., Dollar Term Loan, 3.22% – 3.25%, 3/25/15  195  185,055 
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18    700  676,200 
DJO Finance LLC (FKA ReAble Therapeutics       
Finance LLC), Term Loan, 3.22%, 5/20/14    446  415,862 
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18    777  716,624 
Immucor, Inc., Term Loan B, 7.25%, 8/17/18    525  506,300 
      2,500,041 
Health Care Providers & Services — 5.0%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.47% – 2.57%, 7/25/14    33  30,506 
Extended Term Loan B, 3.72% – 3.82%, 1/25/17    85  77,669 
Non Extended Term Loan, 2.47% – 2.57%, 7/25/14    638  591,361 
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16    597  563,168 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16    796  772,120 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 21



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Health Care Providers & Services (concluded)       
Emergency Medical Services, Term Loan,       
5.25%, 5/25/18  USD  953  $ 881,062 
HCA, Inc.:       
Tranche B-1 Term Loan, 3.50%, 5/01/18    104  97,175 
Tranche B-2 Term Loan, 3.50%, 3/31/17    57  53,398 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15  552  540,822 
Tranche A Term Loan, 8.50%, 3/02/15    346  339,127 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):       
Incremental Term Loan B3, 6.75%, 5/15/18    500  470,000 
Term Loan B, 6.50%, 8/04/16    810  764,225 
Medpace, Inc., Term Loan, 6.50%, 6/22/17    600  570,000 
Renal Advantage Holdings, Inc., Tranche B Term Loan,     
5.75%, 12/16/16    597  584,564 
      6,335,197 
Health Care Technology — 0.7%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
4.50%, 8/25/17    586  562,490 
MedAssets, Inc., Term Loan B, 5.25%, 11/16/16    397  375,589 
      938,079 
Hotels, Restaurants & Leisure — 7.2%       
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18  748  718,200 
Caesars Entertainment Operating Co., Inc.:       
Term Loan B-2, 3.22% – 3.25%, 1/28/15    155  133,542 
Term Loan B-3, 3.25%, 1/28/15    2,771  2,385,718 
Term Loan B-4, 9.50%, 10/31/16    383  382,259 
Dunkin' Brands, Inc., New Term Loan B,       
4.00%, 11/23/17    1,049  1,007,823 
Golden Living, Term Loan, 5.00%, 5/04/18    840  745,500 
Penn National Gaming, Inc., Term Loan B,       
3.75%, 7/16/18    150  145,875 
SeaWorld Parks & Entertainment, Inc. (FKA SW       
Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17  860  830,207 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.25%, 6/30/16    745  726,344 
Twin River Worldwide Holdings, Inc., Term Loan,       
8.50%, 11/05/15    388  385,007 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.73%, 5/27/13    294  290,532 
Term B Delayed Draw Project Loan, 4.73%, 5/25/12  374  370,361 
Term B Funded Project Loan, 4.73%, 5/27/13    986  973,205 
      9,094,573 
Household Durables — 0.0%       
Visant Corp. (FKA Jostens), Term Loan B,       
5.25%, 12/22/16    20  17,819 
IT Services — 4.7%       
Ceridian Corp., US Term Loan, 3.22%, 11/10/14    1,025  876,157 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 2.97%, 9/24/14    112  98,815 
Initial Tranche B-2 Term Loan, 4.22%, 3/23/18    3,174  2,657,585 
Initial Tranche B-3 Term Loan, 2.97%, 9/24/14    80  69,879 
infoGROUP, Inc., Term Loan, 5.75%, 5/22/18    346  317,152 
iPayment, Inc., Term Loan B, 5.75%, 5/08/17    553  523,055 
TransUnion LLC, Replacement Term Loan, 4.75%, 2/12/18  1,465  1,389,093 
      5,931,736 
Independent Power Producers & Energy Traders — 3.7%     
The AES Corp., Term Loan B, 4.25%, 6/01/18    998  958,099 
Calpine Corp., Term Loan B, 4.50%, 4/02/18    1,845  1,700,523 
Texas Competitive Electric Holdings Co., LLC (TXU),       
Extended Term Loan, 4.71% – 4.77%, 10/10/17    2,704  1,985,014 
      4,643,636 
Industrial Conglomerates — 1.2%       
Sequa Corp., Term Loan, 3.50% – 3.51%, 12/03/14  1,597  1,491,503 

 

Par
Floating Rate Loan Interests (b)    (000)  Value 
Insurance — 0.8%       
CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16  USD  988  $ 965,870 
Leisure Equipment & Products — 0.4%       
EB Sports Corp., Loan, 11.50%, 12/31/15    502  481,948 
Machinery — 1.8%       
Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12    397  386,053 
Terex Corp.:       
Term Loan, 6.03%, 4/28/17  EUR  65  90,571 
Term Loan B, 5.50%, 4/28/17  USD  500  490,000 
Tomkins Plc, Term Loan B, 4.25%, 9/29/16    1,366  1,314,944 
      2,281,568 
Marine — 0.3%       
Horizon Lines, LLC:       
Revolving Loan, 0.50% – 6.30%, 8/08/12    285  277,439 
Term Loan, 6.25%, 8/08/12    120  115,927 
      393,366 
Media — 18.2%       
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18    800  771,000 
Acosta, Inc., Term Loan, 4.75%, 3/01/18    948  893,663 
Affinion Group, Inc., Tranche B Term Loan,       
5.00%, 7/16/15    765  688,645 
Atlantic Broadband Finance, LLC, Term Loan B,       
4.00%, 3/08/16    472  446,170 
Bresnan Telecommunications Co. LLC, Term Loan,       
4.50%, 12/14/17    1,368  1,305,588 
Catalina Marketing Corp., Term Loan B,       
2.97%, 10/01/14    115  105,167 
Cengage Learning Acquisitions, Inc. (Thomson Learning):       
Term Loan, 2.50%, 7/03/14    787  650,874 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14    480  458,263 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    14  14,385 
Term Loan C, 3.50%, 9/06/16    1,176  1,119,820 
Clarke American Corp., Term Facility B,       
2.72% – 2.75%, 6/30/14    398  330,016 
Clear Channel Communications, Inc., Term Loan B,       
3.87%, 1/28/16    1,115  834,511 
Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18    550  514,937 
Getty Images, Inc., Initial Term Loan, 5.25%, 11/07/16    274  267,940 
Gray Television, Inc., Term Loan B, 3.71%, 12/31/14    593  542,805 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.21%, 6/12/14    724  582,049 
Hubbard Broadcasting, Term Loan B (Second Lien),       
5.25%, 4/28/17    500  475,835 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18    2,993  2,865,319 
Interactive Data Corp., New Term Loan B,       
4.50%, 2/12/18    1,421  1,344,154 
Knology, Inc., Term Loan B, 4.00%, 8/18/17    322  304,828 
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),       
Facility B1, 4.20%, 3/06/15  EUR  304  338,574 
Mediacom Illinois, LLC (FKA Mediacom Communications,       
LLC), Tranche D Term Loan, 5.50%, 3/31/17  USD  714  681,854 
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13    2,000  2,065,000 
Nielsen Finance LLC, Class B Dollar Term Loan,       
3.96%, 5/02/16    678  637,446 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
4.00%, 10/28/16    508  499,999 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.51%, 6/01/12    913  877,953 
UPC Broadband Holding B.V., Term U, 5.44%, 12/31/17 EUR 1,035  1,390,520 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.47%, 3/31/17  USD  864  743,407 
WC Luxco Sarl, New Term Loan B3, 4.25%, 3/15/18    219  210,536 
Weather Channel, Term Loan B, 4.25%, 2/13/17    1,112  1,071,223 
      23,032,481 

 

See Notes to Financial Statements.

22 ANNUAL REPORT AUGUST 31, 2011



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Metals & Mining — 2.8%       
Novelis, Inc., Term Loan, 3.75%, 3/10/17  USD           1,428  $ 1,348,474 
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18    450  427,500 
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18    1,864  1,779,893 
      3,555,867 
Multi-Utilities — 0.2%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),       
Term B Advance (First Lien), 2.75%, 11/01/13    200  189,478 
Multiline Retail — 1.7%       
Dollar General Corp., Tranche B-2 Term Loan,       
2.96% – 2.97%, 7/07/14    270  262,164 
Hema Holding BV, Facility D, 6.43%, 1/05/17  EUR          1,400  1,823,405 
      2,085,569 
Oil, Gas & Consumable Fuels — 2.1%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/26/18  USD  798  765,082 
Gibson Energy, Term Loan B, 5.75%, 6/14/18    850  803,250 
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15  1,097  1,085,811 
      2,654,143 
Pharmaceuticals — 2.5%       
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17    1,045  942,364 
Endo Pharmaceuticals Holdings, Inc., Term Loan B,       
4.00%, 6/18/18    650  635,785 
Quinteles Transnational Corp., Term Loan,       
5.00%, 6/08/18    690  639,975 
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18    500  485,000 
Warner Chilcott Corp.:       
Term Loan B-1, 4.25%, 3/15/18    319  305,835 
Term Loan B-2, 4.25%, 3/15/18    160  153,117 
      3,162,076 
Professional Services — 0.8%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/03/17    382  374,150 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 4.50%, 11/03/16    697  670,824 
      1,044,974 
Real Estate Investment Trusts (REITs) — 0.8%       
iStar Financial, Inc., Term Loan (Second Lien),       
5.00%, 6/28/13    1,052  1,022,425 
Real Estate Management & Development — 1.7%       
Realogy Corp.:       
Delayed Draw Term Loan, 3.30%, 10/10/13    791  698,185 
Extended Synthetic Letter of Credit Loan,       
4.44%, 10/10/16    60  49,156 
Extended Term Loan B, 4.52%, 10/10/16    1,323  1,088,791 
Letter of Credit, 3.19%, 10/10/13    32  28,135 
Term Loan, 3.27%, 10/10/13    253  223,377 
      2,087,644 
Road & Rail — 0.3%       
The Hertz Corp., Term Loan B, 3.75%, 3/09/18    399  378,053 
Semiconductors & Semiconductor Equipment — 0.6%       
Freescale Semiconductor, Inc., Extended Term Loan B,       
4.44%, 12/01/16    366  332,935 
Microsemi Corp., Term Loan B, 4.00%, 11/02/17    498  474,700 
      807,635 
Software — 0.6%       
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18    499  479,633 
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16    333  317,075 
      796,708 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Specialty Retail — 4.7%       
Academy Ltd., Term Loan, 6.00%, 8/03/18  USD  900 $ 854,325 
Burlington Coat Factory Warehouse Corp., Term Loan B,       
6.25%, 2/23/17    420  395,556 
General Nutrition Centers, Inc., Term Loan B,       
4.25%, 3/02/18    1,200  1,132,500 
J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18    399  355,361 
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18    284  264,120 
Michaels Stores, Inc.:       
Term Loan B-1, 2.50%, 10/31/13    223  210,269 
Term Loan B-2, 4.75%, 7/31/16    791  743,946 
Petco Animal Supplies, Inc., Term Loan B,       
4.50%, 11/24/17    1,139  1,070,190 
Toys ‘R’ Us Delaware, Inc.:       
Initial Loan, 6.00%, 9/01/16    817  765,680 
Term Loan B, 5.25%, 5/25/18    200  185,202 
      5,977,149 
Wireless Telecommunication Services — 1.6%       
MetroPCS Wireless, Inc.:       
Term Loan B, 4.00%, 3/16/18    249  233,050 
Tranche B-2 Term Loan, 4.07%, 11/04/16    504  470,953 
Vodafone Americas Finance 2, Inc.:       
Initial Loan, 6.88%, 8/11/15    1,070  1,075,678 
Term Loan B, 6.25%, 7/11/16 (g)    200  201,000 
      1,980,681 
Total Floating Rate Loan Interests — 110.4%    139,494,145 
    Beneficial   
    Interest   
Other Interests (i)    (000)   
Auto Components — 0.7%       
Delphi Debtor-in-Possession Holding Co. LLP, Class B       
Membership Interests (c)    —(j)  925,294 
Intermet Liquidating Trust, Class A (c)    256  2 
      925,296 
Diversified Financial Services — 0.5%       
DVF JGW SPV, LLC (J.G. Wentworth LLC Preferred Equity       
Interests) (c)(k)    —(j)  647,746 
Hotels, Restaurants & Leisure — 0.0%       
Buffets, Inc. (c)    360  4 
Household Durables — 0.7%       
DVF (S-Martin) SPV, LLC (Stanley Martin, Class B       
Membership Units) (c)(k)    1  845,673 
Metals & Mining — 0.8%       
DVF (R-Gibson) SPV, LLC (RathGibson Acquisition       
Corp.) (k)    88  1,057,282 
Total Other Interests — 2.7%      3,476,001 
Preferred Securities       
Preferred Stocks    Shares   
Diversified Financial Services — 0.0%       
Ally Financial, Inc. (a)    50  38,045 
Total Preferred Stocks — 0.0%      38,045 
Trust Preferred       
Diversified Financial Services — 0.1%       
GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)(e)    3,700  78,822 
Total Trust Preferred — 0.1%      78,822 
Total Preferred Securities — 0.1%      116,867 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 23



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Warrants (l)  Shares  Value 
Hotels, Restaurants & Leisure — 0.0%     
Buffets Restaurants Holdings, Inc. (Expires 4/29/14)  304  $ 3 
Software — 0.0%     
Bankruptcy Management Solutions, Inc.     
(Expires 9/29/17)  357  4 
HMH Holdings/EduMedia (Expires 3/09/17)  4,970   
    4 
Total Warrants — 0.0%    7 
Total Long-Term Investments     
(Cost — $191,367,117) — 138.7%    175,164,133 
Options Purchased  Contracts   
Over-the-Counter Call Options — 0.0%     
Marsico Parent Superholdco LLC,     
Strike Price USD 942.86, Expires 12/21/19,     
Broker Goldman Sachs Bank USA  13   
Total Options Purchased (Cost — $12,711) — 0.0%     
Total Investments (Cost — $191,379,828*) — 138.7%    175,164,133 
Liabilities in Excess of Other Assets — (38.7)%    (48,857,375) 
Net Assets — 100.0%    $126,306,758 


* The cost and unrealized appreciation (depreciation) of investments as of

August 31, 2011, as computed for federal income tax purposes, were as follows:

Aggregate cost  $189,490,515 
Gross unrealized appreciation  $ 3,190,985 
Gross unrealized depreciation  (17,517,367) 
Net unrealized depreciation  $ (14,326,382) 

 

(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. 
These securities may be resold in transactions exempt from registration to qualified 
institutional investors. 
(b) Variable rate security. Rate shown is as of report date. 
(c) Non-income producing security. 
(d) Restricted security as to resale. As of report date the Fund held less than 0.1% of 
its net assets, with a current market value of $4,358 and an original cost of $313, 
in this security. 
(e) Convertible security. 
(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of 
report date. 
(g) Represents a payment-in-kind security which may pay interest/dividends in 
additional par/shares. 
(h) Issuer filed for bankruptcy and/or is in default of interest payments. 
(i) Other interests represent beneficial interests in liquidation trusts and other 
reorganization or private entities. 
(j) Amount is less than $500. 
(k) The investment is held by a wholly owned subsidiary of the Fund. 
(l) 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. 

 

Investments in companies considered to be an affiliate of the Fund during the
period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,
as amended, were as follows:

  Shares Held at  Net  Shares Held at   
Affiliate  August 31, 2010  Activity  August 31, 2011  Income 
BlackRock Liquidity       
Funds, TempFund,       
Institutional Class     1,822,139  (1,822,139)    $3,467 

 

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 rating group indexes, and/or as defined by Fund management.
These definitions may not apply for purposes of this report, which may combine
such industry sub-classifications for reporting ease.
Foreign currency exchange contracts as of August 31, 2011 were as follows:

            Unrealized 
Currency  Currency    Settlement             Appreciation 
Purchased    Sold  Counterparty  Date  (Depreciation) 
USD  745,354  CAD  737,000  Citibank NA  10/07/11  $ (6,595) 
CAD  737,000  USD  749,711  Citibank NA  10/07/11  2,238 
USD           4,720,029  EUR  3,292,500  Citibank NA  10/26/11  (6,544) 
USD  99,645  EUR  70,000  Citibank NA  10/26/11  (844) 
USD  310,162  EUR  215,000  UBS AG  10/26/11  1,517 
EUR  100,300  USD  143,690  Citibank NA  10/26/11  296 
USD  516,530  EUR  361,000  Morgan Stanley  10/26/11  (1,706) 
EUR  110,000  USD  156,558  Deutsche Bank AG                 10/26/11  1,353 
USD  685,485  GBP  429,000  Royal Bank     
        of Scotland Plc  10/07/11  (10,640) 
USD  201,227  GBP  125,000  Citibank NA  10/07/11  (1,606) 
Total            $ (22,531) 

 

Fair Value Measurements — Various inputs are used in determining the fair value of
investments and derivative financial instruments. These inputs are categorized in
three broad levels for financial statement purposes as follows:
Level 1 — price quotations in active markets/exchanges for identical assets
and liabilities
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 cir-
cumstances, 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)

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 does not necessarily correspond to the Fund’s perceived
risk of investing in those securities. For information about the Fund’s policy regarding
valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to Note 1 of the Notes to Financial Statements.

See Notes to Financial Statements.

24 ANNUAL REPORT AUGUST 31, 2011



BlackRock Diversified Income Strategies Fund, Inc. (DVF)
Schedule of Investments (concluded)

The following tables summarize the inputs used as of August 31, 2011 in determin-
ing the fair valuation of the Fund’s investments and derivative financial instruments:

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Assets:         
Investments:         
Long-Term         
Investments:         
Asset-Backed         
Securities  $ 1,231,272  $ 2,753,115   $3,984,387 
Common Stocks  $ 180,405  743,926  1,701,248  2,625,579 
Corporate Bonds. .    23,846,107  1,621,040  25,467,147 
Floating Rate         
Loan Interests.  —      27,138,663  12,355,482 139,494,145 
Other Interests    925,294  2,550,707  3,476,001 
Preferred         
Securities  78,822  38,045    116,867 
Warrants.      7  7 
Liabilities:         
Unfunded Loan         
Commitments    (45,062)    (45,062) 
Total  $ 259,227   $153,878,245  $ 20,981,599   $175,119,071 

 

Valuation Inputs  Level 1  Level 2  Level 3  Total 
Derivative Financial Instruments1       
Assets:         
Foreign currency         
exchange         
contracts    $ 5,404  $ 5,404 
Liabilities:         
Foreign currency         
exchange         
contracts     (27,935)    (27,935) 
Total   —  $(22,531)  $ (22,531) 
1 Derivative financial instruments are foreign currency exchange contracts, which 
are valued at the unrealized appreciation/depreciation on the instrument. 

 

The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

  Asset-Backed  Common  Corporate  Floating Rate  Other    Unfunded Loan                              
  Securities  Stocks  Bonds  Loan Interests  Interests  Warrants  Commitments  Total 
Assets/Liabilities:                 
Balance, as of August 31, 2010  $ 338,985  $ 230,600  $ 904,927  $22,878,826             $ 1,589,042     $ 3 $ (46,660)  $25,895,723 
Accrued discounts/premiums  26,592    (14,766)  136,339           148,165 
Net realized gain (loss)      6,525  (252,033)   —          (245,508) 
Net change in unrealized appreciation/                 
depreciation2  889,701  (1,475,536)  451,244  1,588,616            830,945     33,379  2,318,349 
Purchases  2,847,837  3,025,315  230,968  7,737,800  130,720   4   13,972,644 
Sales  (1,350,000)  (79,131)  (76,913)  (16,760,979)        (18,267,023) 
Transfers in3      119,055  2,257,262       13,281  2,389,598 
Transfers out3        (5,230,349)        (5,230,349) 
Balance, as of August 31, 2011  $ 2,753,115  $ 1,701,248  $ 1,621,040  $12,355,482  $ 2,550,707  $ 7   $20,981,599 


2
Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments
still held on August 31, 2011 was $(641,187).
3 The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the period of the event or the change in circumstances that caused the transfer.
A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial
instruments at the beginning and/or end of the year in relation to net assets.

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 25



 BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Schedule of Investments
August 31, 2011
(Percentages shown are based on Net Assets)

  Par   
Asset-Backed Securities  (000)  Value 
ARES CLO Funds, Series 2005-10A, Class B,     
0.64%, 9/18/17 (a)(b)  USD 750  $ 668,302 
Ballyrock CDO Ltd., Series 2006-1A, Class B,     
0.67%, 8/28/19 (a)(b)  1,000  785,000 
Canaras Summit CLO Ltd., Series 2007-1A, Class B,     
0.73%, 6/19/21 (a)(b)  750  601,763 
Chatham Light CLO Ltd., Series 2005-2A Class A2,     
0.66%, 8/03/19 (a)(b)  1,000  897,500 
Flagship CLO, Series 2006-1A, Class B,     
0.60%, 9/20/19 (a)(b)  1,304  1,052,980 
Franklin CLO Ltd., Series 6A, Class B,     
0.72%, 8/09/19 (a)(b)  1,910  1,639,926 
Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,     
0.65%, 12/20/20 (a)(b)  500  400,000 
Gannett Peak CLO Ltd., Series 2006-1X, Class A2,     
0.61%, 10/27/20 (b)  575  429,813 
Goldman Sachs Asset Management CLO Plc,     
Series 2007-1A, Class B, 0.70%, 8/01/22 (a)(b)  1,255  931,837 
Landmark CDO Ltd., Series 2006-8A, Class B,     
0.61%, 10/19/20 (a)(b)  1,075  880,113 
MAPS CLO Fund LLC, Series 2005-1A, Class C,     
1.20%, 12/21/17 (a)(b)  575  509,393 
Portola CLO Ltd., Series 2007-1X, Class B1,     
1.74%, 11/15/21 (b)  765  681,921 
T2 Income Fund CLO Ltd., Series 2007-1A, Class B,     
0.85%, 7/15/19 (a)(b)  655  585,046 
Total Asset-Backed Securities — 3.9%    10,063,594 
Common Stocks (c)  Shares   
Chemicals — 0.0%     
GEO Specialty Chemicals, Inc.  13,117  5,036 
Wellman Holdings, Inc.  430  1,397 
    6,433 
Electrical Equipment — 0.0%     
Medis Technologies Ltd.  71,654  788 
Paper & Forest Products — 0.2%     
Ainsworth Lumber Co. Ltd.  133,089  271,804 
Ainsworth Lumber Co. Ltd. (a)  152,951  312,368 
Western Forest Products, Inc. (a)  84,448  56,914 
    641,086 
Software — 0.1%     
HMH Holdings/EduMedia  92,606  185,212 
Total Common Stocks — 0.3%    833,519 
  Par   
Corporate Bonds  (000)   
Airlines — 0.2%     
Delta Air Lines, Inc., Series B, 9.75%, 12/17/16  USD 417  427,885 
Auto Components — 0.9%     
Icahn Enterprises LP, 7.75%, 1/15/16  2,215  2,237,150 
Chemicals — 1.2%     
CF Industries, Inc., 6.88%, 5/01/18  905  1,026,044 
GEO Specialty Chemicals, Inc.:     
7.50%, 3/31/15  857  856,987 
10.00%, 3/31/15  844  780,848 
Wellman Holdings, Inc., Subordinate Note (Third Lien),     
5.00%, 1/29/19 (d)(e)  487  346,118 
    3,009,997 

 

    Par   
Corporate Bonds    (000)  Value 
Commercial Banks — 1.0%       
CIT Group, Inc.:       
7.00%, 5/01/14  USD  84  $ 84,069 
7.00%, 5/01/15    290  288,550 
7.00%, 5/01/16    400  398,000 
7.00%, 5/01/17    1,621  1,600,738 
7.00%, 5/02/17 (a)    250  246,875 
      2,618,232 
Commercial Services & Supplies — 0.5%       
AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)    951  917,761 
Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)    530  499,525 
      1,417,286 
Consumer Finance — 0.5%       
Credit Acceptance Corp., 9.13%, 2/01/17    360  364,500 
Inmarsat Finance Plc, 7.38%, 12/01/17 (a)    775  806,000 
      1,170,500 
Containers & Packaging — 1.2%       
Berry Plastics Corp., 8.25%, 11/15/15    1,600  1,648,000 
Graphic Packaging International, Inc., 9.50%, 6/15/17    220  239,250 
OI European Group BV, 6.88%, 3/31/17  EUR  143  195,148 
Smurfit Kappa Acquisitions (a):       
7.25%, 11/15/17    335  461,979 
7.75%, 11/15/19    338  463,688 
      3,008,065 
Diversified Financial Services — 1.9%       
Ally Financial, Inc., 2.53%, 12/01/14 (b)  USD     2,600  2,436,478 
Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16    160  166,800 
Reynolds Group DL Escrow, Inc., 8.50%, 10/15/16 (a)    597  610,433 
Reynolds Group Issuer, Inc. (a):       
8.75%, 10/15/16  EUR  472  657,687 
7.13%, 4/15/19  USD  530  502,175 
7.88%, 8/15/19    300  297,000 
6.88%, 2/15/21    395  367,350 
      5,037,923 
Diversified Telecommunication Services — 0.6%       
ITC Deltacom, Inc., 10.50%, 4/01/16    430  440,750 
Qwest Communications International, Inc.:       
8.00%, 10/01/15    600  640,500 
Series B, 7.50%, 2/15/14    434  439,425 
      1,520,675 
Electronic Equipment, Instruments & Components — 0.1%     
CDW LLC, 8.00%, 12/15/18 (a)    370  366,300 
Health Care Equipment & Supplies — 0.5%       
DJO Finance LLC:       
10.88%, 11/15/14    1,175  1,214,656 
7.75%, 4/15/18 (a)    210  195,300 
      1,409,956 
Health Care Providers & Services — 1.7%       
HCA, Inc.:       
6.50%, 2/15/20    1,170  1,183,162 
7.25%, 9/15/20    485  498,338 
7.50%, 2/15/22    1,370  1,356,300 
Tenet Healthcare Corp.:       
9.00%, 5/01/15    160  169,600 
8.88%, 7/01/19    1,085  1,150,100 
      4,357,500 
Health Care Technology — 0.8%       
IMS Health, Inc., 12.50%, 8/20/17 (a)    1,860  2,139,000 
Hotels, Restaurants & Leisure — 0.3%       
Little Traverse Bay Bands of Odawa Indians,       
9.00%, 8/31/20 (a)    373  309,590 
MGM Resorts International, 10.38%, 5/15/14    490  537,775 
      847,365 

 

See Notes to Financial Statements.

26 ANNUAL REPORT AUGUST 31, 2011



BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Corporate Bonds    (000)  Value 
Household Durables — 0.5%       
Beazer Homes USA, Inc., 12.00%, 10/15/17  USD      1,200  $ 1,218,000 
IT Services — 0.3%       
First Data Corp., 7.38%, 6/15/19 (a)    815  766,100 
Independent Power Producers & Energy Traders — 1.4%     
Energy Future Holdings Corp., 10.00%, 1/15/20    1,000  1,003,871 
Energy Future Intermediate Holding Co. LLC,       
10.00%, 12/01/20    2,700  2,723,952 
      3,727,823 
Industrial Conglomerates — 0.6%       
Sequa Corp., 13.50%, 12/01/15 (a)    1,557  1,650,776 
Media — 2.8%       
AMC Networks, Inc., 7.75%, 7/15/21 (a)    225  232,875 
CCH II LLC, 13.50%, 11/30/16    1,050  1,212,750 
CSC Holdings, Inc., 8.50%, 4/15/14    420  454,650 
Checkout Holding Corp., 10.69%, 11/15/15 (a)(f)    665  392,350 
Clear Channel Worldwide Holdings, Inc.:       
9.25%, 12/15/17    401  425,060 
Series B, 9.25%, 12/15/17    1,834  1,962,380 
NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)  615  621,150 
Unitymedia Hessen GmbH & Co. KG (FKA UPC       
Germany GmbH), 8.13%, 12/01/17 (a)    2,000  2,040,000 
      7,341,215 
Metals & Mining — 0.7%       
FMG Resources August 2006 Property Ltd.,       
7.00%, 11/01/15 (a)    840  837,900 
Novelis, Inc., 8.38%, 12/15/17    935  965,388 
      1,803,288 
Multiline Retail — 0.2%       
Dollar General Corp., 11.88%, 7/15/17 (d)    445  492,838 
Oil, Gas & Consumable Fuels — 0.5%       
Alpha Natural Resources, Inc.:       
6.00%, 6/01/19    435  425,212 
6.25%, 6/01/21    665  650,869 
Coffeyville Resources LLC, 9.00%, 4/01/15 (a)    275  291,500 
      1,367,581 
Paper & Forest Products — 0.6%       
Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(d)  1,298  908,544 
Longview Fibre Paper & Packaging, Inc.,       
8.00%, 6/01/16 (a)    340  336,600 
Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (b)  340  278,800 
      1,523,944 
Pharmaceuticals — 0.4%       
Valeant Pharmaceuticals International,       
6.50%, 7/15/16 (a)    980  931,000 
Professional Services — 0.1%       
FTI Consulting, Inc., 6.75%, 10/01/20    170  167,663 
Wireless Telecommunication Services — 1.5%       
Cricket Communications, Inc., 7.75%, 5/15/16    1,700  1,721,250 
Digicel Group Ltd. (a):       
9.13%, 1/15/15    278  278,000 
8.25%, 9/01/17    315  315,000 
iPCS, Inc., 2.38%, 5/01/13 (b)    1,500  1,391,250 
Nextel Communications, Inc., Series E, 6.88%, 10/31/13  275  273,281 
      3,978,781 
Total Corporate Bonds — 21.0%      54,536,843 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Aerospace & Defense — 1.6%       
DynCorp International LLC, Term Loan B,       
6.25%, 7/05/16  USD  939  $ 894,273 
SI Organization, Inc., New Term Loan B,       
4.50%, 11/22/16    840  756,338 
TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17    1,791  1,719,360 
Wesco Aircraft Hardware Corp., Term Loan B,       
4.25%, 4/07/17    931  899,993 
      4,269,964 
Airlines — 0.9%       
Delta Air Lines, Inc., Credit New Term Loan B,       
5.50%, 4/20/17    2,400  2,212,008 
Auto Components — 2.4%       
Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14    3,431  3,216,774 
Autoparts Holdings, Ltd., First Lien Term Loan,       
6.50%, 7/28/17    1,450  1,421,000 
Federal-Mogul Corp.:       
Term Loan B, 2.16%, 12/29/14    600  543,461 
Term Loan C, 2.15%, 12/28/15    306  277,086 
GPX International Tire Corp., Tranche B Term Loan:       
8.37%, 3/31/12    549   
12.00%, 3/31/12    9   
UCI International, Inc., Term Loan, 5.50%, 7/26/17    746  724,795 
      6,183,116 
Biotechnology — 0.3%       
Grifols SA, Term Loan B, 6.00%, 6/01/17    850  829,600 
Building Products — 3.1%       
Armstrong World Industries, Inc., Term Loan B,       
4.00%, 3/09/18    1,172  1,100,274 
CPG International I, Inc., Term Loan B, 6.00%, 2/18/17    1,791  1,674,585 
Goodman Global, Inc., Initial Term Loan (First Lien),       
5.75%, 10/28/16    4,548  4,470,170 
Momentive Performance Materials (Blitz 06-103 GmbH),       
Tranche B-2B Term Loan, 4.79%, 5/05/15  EUR  648  835,248 
      8,080,277 
Capital Markets — 1.8%       
American Capital Ltd., Term Loan B, 7.50%, 12/31/13  USD  515  500,539 
HarbourVest Partners, Term Loan (First Lien),       
6.25%, 12/14/16    1,812  1,757,659 
Nuveen Investments, Inc.:       
Extended Term Loan (First Lien),       
5.75% – 5.81%, 5/12/17    1,753  1,637,899 
Non-Extended Term Loan (First Lien),       
3.25%, 11/13/14    897  829,049 
      4,725,146 
Chemicals — 6.0%       
American Rock Salt Holdings LLC, Term Loan B,       
5.50%, 4/25/17    1,222  1,171,533 
Arizona Chemical Co., LLC, Term Loan, 4.75%, 11/21/16    528  509,266 
Ashland, Inc., Term Loan B, 3.75%, 7/30/18    1,200  1,173,216 
Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16    1,400  1,369,662 
Gentek, Inc., Term Loan B, 5.00% – 5.75%, 10/06/15    1,490  1,390,414 
MDI Holdings, LLC (FKA MacDermid, Inc.), Tranche C       
Term Loan, 3.54%, 4/11/14  EUR  507  692,624 
Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17  USD            1,197  1,102,234 
PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term       
Loan (First Lien), 3.48% – 3.51%, 7/30/14    1,450  1,325,120 
Styron Sarl, Term Loan B, 6.00%, 8/02/17    1,819  1,670,913 
Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15    2,761  2,730,062 
Univar, Inc., Term Loan B, 5.00%, 6/30/17    2,687  2,478,968 
      15,614,012 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 27



BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Commercial Services & Supplies — 3.8%       
ARAMARK Corp.:       
Letter of Credit — 1 Facility, 2.06%, 1/27/14  USD  16  $ 15,412 
Letter of Credit — 2 Facility, 3.44%, 7/26/16    24  22,000 
US Term Loan, 2.12%, 1/27/14    203  191,326 
US Term Loan B, 3.50%, 7/26/16    358  334,531 
AWAS Finance Luxembourg Sarl, Term Loan B,       
5.25%, 6/10/16    652  627,216 
Adesa Inc. (KAR Holdings, Inc.), Term Loan B,       
5.00%, 5/19/17    2,600  2,470,000 
Altegrity, Inc. (FKA US Investigations Services, Inc.),       
Tranche D Term Loan, 7.75%, 2/20/15    1,627  1,582,926 
Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16    1,875  1,862,495 
Synagro Technologies, Inc., Term Loan (First Lien),       
2.21% – 2.23%, 4/02/14    1,520  1,319,596 
Volume Services America, Inc. (Centerplate),       
Term Loan B, 10.50% – 10.75%, 9/16/16    993  949,495 
West Corp.:       
Term Loan 4.50%, 7/15/16    294  278,909 
Term Loan B, 4.50%, 7/15/16    152  144,453 
      9,798,359 
Communications Equipment — 1.7%       
Avaya, Inc. Term Loan B:       
3.06%, 10/24/14    1,016  904,079 
4.81%, 10/26/17    1,917  1,651,361 
CommScope, Inc., Term Loan B, 5.00%, 1/14/18    1,995  1,915,200 
      4,470,640 
Construction & Engineering — 1.0%       
BakerCorp., Inc., Term Loan B, 5.00%, 6/01/18    865  821,750 
Safway Services, LLC, First Out Tranche Loan,       
9.00%, 12/16/17    1,700  1,700,000 
      2,521,750 
Consumer Finance — 1.9%       
Springleaf Financial Funding Co. (FKA AGFS       
Funding Co.), Term Loan, 5.50%, 5/10/17    5,350  4,955,437 
Containers & Packaging — 0.9%       
Anchor Glass Container Corp., Term Loan (First Lien),       
6.00%, 3/02/16    265  261,296 
Berry Plastics Holding Corp., Term Loan C,       
2.21%, 4/03/15    277  246,310 
Graham Packaging Co., LP:       
Term Loan C, 6.75%, 4/04/14    623  616,269 
Term Loan D, 6.00%, 9/23/16    1,092  1,080,833 
      2,204,708 
Diversified Consumer Services — 3.0%       
Coinmach Service Corp., Term Loan,       
3.22% – 3.30%, 11/20/14    2,478  2,155,925 
Laureate Education, Inc., Extended Term Loan,       
5.25%, 8/15/18    3,784  3,342,154 
ServiceMaster Co.:       
Closing Date Term Loan, 2.69% – 2.76%, 7/24/14    2,182  2,016,048 
Delayed Draw Term Loan, 2.72%, 7/24/14    217  200,769 
      7,714,896 
Diversified Financial Services — 0.5%       
Reynolds Group Holdings, Inc., Term Loan E,       
6.50%, 2/09/18    1,426  1,360,453 
Diversified Telecommunication Services — 4.3%       
Hawaiian Telcom Communications, Inc., Term Loan,       
9.00%, 11/01/15 (d)    1,350  1,348,312 
Integra Telecom Holdings, Inc., Term Loan,       
9.25%, 4/15/15    1,609  1,514,236 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Diversified Telecommunication Services (concluded)       
Level 3 Financing, Inc.:       
Incremental Tranche A Term Loan,       
2.49% – 2.50%, 3/13/14  USD       2,525  $ 2,333,100 
Term Loan B, 11.50%, 3/13/14    1,150  1,195,046 
Term Loan B2, 2.49%, 9/03/18    3,450  3,251,625 
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17    1,497  1,440,513 
      11,082,832 
Electronic Equipment, Instruments & Components — 2.2%     
Aeroflex Inc., Term Loan B, 4.25%, 5/09/18    1,475  1,365,599 
CDW LLC (FKA CDW Corp.):       
Extended Term Loan B, 4.25%, 7/14/17    1,037  941,081 
Non-Extended Term Loan, 3.71%, 10/10/14    1,372  1,290,059 
Flextronics International Ltd., Delayed Draw:       
Term Loan A-2, 2.47%, 10/01/14    45  42,780 
Term Loan A-3, 2.44%, 10/01/14    39  36,669 
Sensata Technologies Finance Company, LLC, New Term       
Loan, 4.00%, 5/11/18    2,100  2,018,625 
      5,694,813 
Energy Equipment & Services — 2.5%       
CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14    1,617  1,434,526 
Dynegy Holdings, Inc.:       
Coal Co. Term Loan, 9.25%, 8/04/16    689  665,457 
Gas Co. Term Loan, 9.25%, 8/04/16    1,261  1,238,933 
MEG Energy Corp., Tranche D Term Loan,       
4.00%, 3/16/18    3,350  3,203,437 
      6,542,353 
Food & Staples Retailing — 2.0%       
AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),       
Facility B1, 3.61%, 7/09/15  GBP        1,825  2,547,088 
Bolthouse Farms, Inc., Term Loan (First Lien),       
5.50% – 5.75%, 2/11/16  USD  508  494,666 
US Foodservice, Inc.:       
New Term Loan B, 5.75%, 3/31/17    698  649,373 
Term Loan B, 2.71% – 2.72%, 7/03/14    1,772  1,586,191 
      5,277,318 
Food Products — 4.2%       
Advance Pierre Foods, Term Loan (Second Lien):       
7.00%, 9/30/16    1,956  1,890,793 
11.25%, 9/29/17    1,100  1,078,000 
Del Monte Corp., Term Loan B, 4.50%, 3/08/18    5,115  4,820,887 
Michaels Foods Group, Inc. (FKA M-Foods       
Holdings, Inc.), Term Loan B, 4.25%, 2/23/18    292  278,800 
Pinnacle Foods Finance LLC, Tranche D Term Loan,       
6.00%, 4/02/14    1,213  1,195,380 
Solvest, Ltd. (Dole):       
Tranche B-1 Term Loan, 5.00% – 6.00%, 7/06/18    558  537,595 
Tranche C-1 Term Loan, 5.00% – 6.00%, 7/06/18    1,037  998,390 
      10,799,845 
Health Care Equipment & Supplies — 2.1%       
Biomet, Inc., Dollar Term Loan, 3.22% – 3.25%, 3/25/15  685  650,065 
Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18    1,300  1,255,800 
DJO Finance LLC (FKA ReAble Therapeutics       
Finance LLC), Term Loan, 3.22%, 5/20/14    986  919,784 
Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18    1,639  1,511,389 
Immucor, Inc., Term Loan B, 7.25%, 8/17/18    1,080  1,041,530 
      5,378,568 
Health Care Providers & Services — 5.5%       
CHS/Community Health Systems, Inc.:       
Delayed Draw Term Loan, 2.47% – 2.57%, 7/25/14    82  76,115 
Extended Term Loan B, 3.72% – 3.82%, 1/25/17    175  159,906 
Non Extended Term Loan, 2.47% – 2.57%, 7/25/14    1,584  1,468,477 
ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16    1,294  1,220,197 
DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16    1,692  1,640,755 
Emergency Medical Services, Term Loan B,       
5.25% – 6.00%, 5/25/18    1,910  1,766,750 

 

See Notes to Financial Statements.

28 ANNUAL REPORT AUGUST 31, 2011



BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Health Care Providers & Services (concluded)       
HCA, Inc.:       
Tranche B-1 Term Loan, 3.50%, 5/01/18  USD  636  $ 596,813 
Tranche B-2 Term Loan, 3.50%, 3/31/17    787  741,040 
Harden Healthcare, Inc.:       
Tranche A Additional Term Loan, 7.75%, 3/02/15  1,130  1,107,195 
Tranche A Term Loan, 8.50%, 3/02/15    692  678,253 
inVentiv Health, Inc. (FKA Ventive Health, Inc.):       
Incremental Term Loan B3, 6.75%, 5/15/18    800  752,000 
Term Loan B, 6.50%, 8/04/16    1,796  1,693,955 
Medpace, Inc., Term Loan, 6.50%, 6/22/17    1,250  1,187,500 
Renal Advantage Holdings, Inc., Tranche B Term Loan,     
5.75%, 12/16/16    1,194  1,169,129 
      14,258,085 
Health Care Technology — 0.7%       
IMS Health, Inc., Tranche B Dollar Term Loan,       
4.50%, 8/25/17    1,207  1,157,545 
MedAssets, Inc., Term Loan B, 5.25%, 11/16/16    779  737,599 
      1,895,144 
Hotels, Restaurants & Leisure — 7.6%       
Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18  1,546  1,484,280 
Caesars Entertainment Operating Co., Inc.:       
Term Loan B-1, 3.30%, 1/28/15    192  165,550 
Term Loan B-2, 3.22% – 3.25%, 1/28/15    315  271,391 
Term Loan B-3, 3.25%, 1/28/15    5,795  4,988,965 
Term Loan B-4, 9.50%, 10/31/16    572  570,906 
Dunkin’ Brands, Inc., New Term Loan B,       
4.00%, 11/23/17    2,198  2,111,197 
Golden Living, Term Loan, 5.00%, 5/04/18    1,775  1,575,313 
Las Vegas Sands LLC:       
Delayed Draw Term Loan, 1.72%, 5/23/14    202  187,430 
Term Loan B, 1.72%, 5/23/14    798  743,467 
Penn National Gaming, Inc., Term Loan B,       
3.75%, 7/16/18    350  340,375 
SeaWorld Parks & Entertainment, Inc. (FKA SW       
Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17  1,764  1,701,825 
Six Flags Theme Parks, Inc., Tranche B Term Loan       
(First Lien), 5.25%, 6/30/16    1,585  1,545,312 
Twin River Worldwide Holdings, Inc., Term Loan,       
8.50%, 11/05/15    809  802,497 
VML US Finance LLC (FKA Venetian Macau):       
New Project Term Loan, 4.73%, 5/27/13    587  581,064 
Term B Delayed Draw Project Loan, 4.73%, 5/25/12  926  915,690 
Term B Funded Project Loan, 4.73%, 5/27/13    1,765  1,743,372 
      19,728,634 
Household Durables — 0.0%       
Visant Corp. (FKA Jostens), Tranche B Term Loan,       
5.25%, 12/22/16    48  43,612 
IT Services — 4.5%       
Ceridian Corp., US Term Loan, 3.22%, 11/10/14    1,241  1,060,911 
First Data Corp.:       
Initial Tranche B-1 Term Loan, 2.97%, 9/24/14    250  219,854 
Initial Tranche B-2 Term Loan, 4.22%, 3/23/18    6,476  5,421,774 
Initial Tranche B-3 Term Loan, 2.97%, 9/24/14    115  100,737 
InfoGROUP, Inc., Term Loan, 5.75%, 5/22/18    709  650,567 
iPayment, Inc., Term Loan B, 5.75%, 5/08/17    1,106  1,046,111 
TransUnion LLC, Replacement Term Loan,       
4.75%, 2/12/18    3,227  3,060,724 
      11,560,678 
Independent Power Producers & Energy Traders — 3.7%     
The AES Corp., Term Loan B, 4.25%, 6/01/18    1,995  1,916,197 
Calpine Corp., Term Loan B, 4.50%, 4/02/18    3,789  3,492,888 
Texas Competitive Electric Holdings Co., LLC (TXU),       
Extended Term Loan, 4.71% – 4.77%, 10/10/17    5,748  4,219,357 
      9,628,442 

 

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Industrial Conglomerates — 1.2%       
Sequa Corp., Term Loan, 3.50% – 3.51%, 12/03/14  USD           3,318  $ 3,099,331 
Insurance — 0.8%       
CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16    1,997  1,951,863 
Machinery — 1.8%       
Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12    819  796,234 
Terex Corp.:       
Term Loan, 6.03%, 4/28/17  EUR  135  188,110 
Term Loan B, 5.50%, 4/28/17  USD           1,000  980,000 
Tomkins Plc, Term Loan B, 4.25%, 9/29/16    2,732  2,629,888 
      4,594,232 
Marine — 0.3%       
Horizon Lines, LLC:       
Revolving Loan, 0.50% – 6.30%, 8/08/12    569  554,874 
Term Loan, 6.25%, 8/08/12    239  231,853 
      786,727 
Media — 17.7%       
AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18    1,700  1,638,375 
Acosta, Inc., Term Loan, 4.75%, 3/01/18    1,995  1,881,544 
Affinion Group, Inc., Tranche B Term Loan,       
5.00%, 7/16/15    1,604  1,444,384 
Atlantic Broadband Finance, LLC, Term Loan B,       
4.00%, 3/08/16    1,014  959,265 
Bresnan Telecommunications Co. LLC, Term Loan B,       
4.50%, 12/14/17    2,910  2,777,342 
Catalina Marketing Corp., Term Loan B, 2.97%, 10/01/14  235  214,908 
Cengage Learning Acquisitions, Inc. (Thomson Learning):       
Term Loan, 2.50%, 7/03/14    2,292  1,894,749 
Tranche 1 Incremental Term Loan, 7.50%, 7/03/14    767  732,481 
Charter Communications Operating, LLC:       
Term Loan B, 7.25%, 3/06/14    28  28,085 
Term Loan C, 3.50%, 9/06/16    2,685  2,556,372 
Clarke American Corp., Term Facility B,       
2.72% – 2.75%, 6/30/14    881  731,616 
Clear Channel Communications, Inc., Term Loan B,       
3.87%, 1/28/16    2,180  1,631,599 
Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18    1,400  1,310,750 
Getty Images, Inc., Initial Term Loan, 5.25%, 11/07/16    463  453,632 
Gray Television, Inc., Term Loan B, 3.71%, 12/31/14    1,222  1,117,539 
HMH Publishing Co., Ltd., Tranche A Term Loan,       
6.21%, 6/12/14    1,453  1,167,581 
Hubbard Broadcasting, Term Loan B (Second Lien),       
5.25%, 4/28/17    1,000  951,670 
Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson       
Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18    6,484  6,208,191 
Interactive Data Corp., New Term Loan B,       
4.50%, 2/12/18    2,918  2,759,053 
Knology, Inc., Term Loan B, 4.00%, 8/18/17    619  585,989 
Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):       
Facility B1, 4.20%, 3/06/15  EUR  304  338,575 
Facility C1, 4.45%, 3/04/16    304  340,757 
Mediacom Illinois, LLC (FKA Mediacom       
Communications, LLC), Tranche D Term Loan,       
5.50%, 3/31/17  USD  445  425,420 
Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13    2,500  2,581,250 
Nielsen Finance LLC, Class B Dollar Term Loan,       
3.96%, 5/02/16    1,391  1,307,162 
Sinclair Television Group, Inc., New Tranche B Term Loan,       
4.00%, 10/28/16    846  833,332 
Sunshine Acquisition Ltd. (FKA HIT Entertainment),       
Term Facility, 5.51%, 6/01/12    1,882  1,810,150 
UPC Broadband Holding B.V., Term U,       
5.44%, 12/31/17  EUR          2,231  2,996,020 
Univision Communications, Inc., Extended First Lien       
Term Loan, 4.47%, 3/31/17  USD          1,768  1,520,883 

 

See Notes to Financial Statements.

ANNUAL REPORT AUGUST 31, 2011 29



BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

    Par   
Floating Rate Loan Interests (b)    (000)  Value 
Media (concluded)       
WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18  USD  439  $ 421,072 
Weather Channel, Term Loan B, 4.25%, 2/13/17    2,274  2,190,372 
      45,810,118 
Metals & Mining — 2.8%       
Novelis, Inc., Term Loan, 3.75%, 3/10/17    2,850  2,692,224 
SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18    950  902,500 
Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18    3,907  3,731,233 
      7,325,957 
Multi-Utilities — 0.1%       
FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),       
Term B Advance (First Lien), 2.75%, 11/01/13    379  359,054 
Multiline Retail — 0.6%       
Dollar General Corp., Tranche B-2 Term Loan,       
2.96% – 2.97%, 7/07/14    616  597,567 
Hema Holding BV:       
Facility B, 3.43%, 7/06/15  EUR  399  532,788 
Facility C, 4.18%, 7/05/16    399  535,652 
      1,666,007 
Oil, Gas & Consumable Fuels — 2.1%       
EquiPower Resources Holdings, LLC, Term Loan B,       
5.75%, 1/26/18  USD           1,646  1,577,983 
Gibson Energy, Term Loan B, 5.75%, 6/14/18    1,800  1,701,000 
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15  2,234  2,211,832 
      5,490,815 
Paper & Forest Products — 1.2%       
Georgia-Pacific LLC, Term Loan B, 2.32%, 12/21/12    1,122  1,114,076 
Verso Paper Finance Holdings LLC, Term Loan,       
6.51% – 7.26%, 2/01/13    2,268  1,950,152 
      3,064,228 
Pharmaceuticals — 2.5%       
Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17    2,189  1,974,478 
Endo Pharmaceuticals Holdings, Inc., Term Loan B,       
4.00%, 6/18/18    1,300  1,271,569 
Quinteles Transnational Corp., Term Loan,       
5.00%, 6/08/18    1,360  1,261,400 
RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18    1,000  970,000 
Warner Chilcott Corp.:       
Term Loan B-1, 4.25%, 3/15/18    638  611,670 
Term Loan B-2, 4.25%, 3/15/18    319  306,234 
      6,395,351 
Professional Services — 1.0%       
Booz Allen Hamilton, Inc., Tranche B Term Loan,       
4.00%, 8/03/17    1,148  1,123,102 
Fifth Third Processing Solutions, LLC, Term Loan B       
(First Lien), 4.50%, 11/03/16    1,493  1,437,481 
      2,560,583 
Real Estate Investment Trusts (REITs) — 0.8%       
iStar Financial, Inc., Term Loan (Second Lien),       
5.00%, 6/28/13    2,195  2,132,991 
Real Estate Management & Development — 1.8%       
Mattamy Funding Partnership, Term Loan,       
2.56%, 4/11/13    405  380,382 
Realogy Corp.:       
Delayed Draw Term Loan, 3.30%, 10/10/13    1,603  1,414,570 
Extended Synthetic Letter of Credit,       
4.44%, 10/10/13    66  58,245 
Extended Term Loan B, 4.52%, 10/10/16    2,736  2,252,165 
Term Loan, 3.27%, 10/10/13    524  462,430 
      4,567,792 

 

    Par     
Floating Rate Loan Interests (b)    (000)    Value 
Road & Rail — 0.3%         
The Hertz Corp., Term Loan B, 3.75%, 3/09/18  USD  798  $ 756,105 
Semiconductors & Semiconductor Equipment — 0.7%         
Freescale Semiconductor, Inc., Extended Term Loan B,         
4.44%, 12/01/16    851    773,508 
Microsemi Corp., Term Loan B, 4.00%, 11/02/17    1,095    1,044,339 
        1,817,847 
Software — 0.6%         
Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18    998    959,266 
Vertafore, Inc., Term Loan B, 5.25%, 7/29/16    682    648,348 
        1,607,614 
Specialty Retail — 4.8%         
Academy Ltd., Term Loan, 6.00%, 8/03/18    1,700    1,613,725 
Burlington Coat Factory Warehouse Corp., Term Loan B,         
6.25%, 2/23/17    938    884,183 
General Nutrition Centers, Inc., Term Loan B,         
4.25%, 3/02/18    2,400    2,265,000 
J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18    823    732,933 
Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18    663    616,357 
Michaels Stores, Inc.:         
Term Loan B-1, 2.50%, 10/31/13    736    695,392 
Term Loan B-2, 4.75%, 7/31/16    1,470    1,383,000 
Petco Animal Supplies, Inc., Term Loan B,         
4.50%, 11/24/17    2,351    2,210,175 
Toys ‘R’ Us Delaware, Inc.:         
Initial Loan, 6.00%, 9/01/16    1,743    1,633,435 
Term Loan B, 5.25%, 5/25/18    399    370,404 
        12,404,604 
Wireless Telecommunication Services — 1.5%         
MetroPCS Wireless, Inc.:         
Term Loan B, 4.00%, 3/16/18    498    466,100 
Tranche B-2 Term Loan, 4.07%, 11/04/16    981    917,626 
Vodafone Americas Finance 2, Inc.:         
Initial Loan, 6.88%, 8/11/15    1,873    1,882,436 
Term Loan B, 6.25%, 7/11/16 (d)    700    703,500 
        3,969,662 
Total Floating Rate Loan Interests — 110.8%      287,191,571 
    Beneficial   
    Interest     
Other Interests (g)    (000)     
Auto Components — 0.8%         
Delphi Debtor-in-Possession Holding Co. LLP, Class B         
Membership Interests    —(h)    1,975,725 
Diversified Financial Services — 0.3%         
FRA JGW SPV, LLC (J.G. Wentworth LLC Preferred Equity         
Interests) (c)(i)    —(h)    742,860 
Total Other Interests — 1.1%        2,718,585 
Warrants (j)    Shares     
Software — 0.0%         
HMH Holdings/EduMedia (Expires 3/09/17)    11,690     
Total Warrants — 0.0%         
Total Long-Term Investments         
(Cost — $377,495,034) — 137.1%      355,344,112 

 

See Notes to Financial Statements.

30 ANNUAL REPORT AUGUST 31, 2011



BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)
Schedule of Investments (continued)
(Percentages shown are based on Net Assets)

Short-Term Securities  Shares  Value 
BlackRock Liquidity Funds, TempFund, Institutional     
Class, 0.07% (k)(l)  5,396,667  $ 5,396,667 
Total Short-Term Securities