N-CSR 1 d296099dncsr.htm BLACKROCK DEBT STRATEGIES FUND, INC. BLACKROCK DEBT STRATEGIES FUND, INC.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number: 811-08603

Name of Fund: BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Debt

Strategies Fund, Inc., 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: 12/31/2021

Date of reporting period: 12/31/2021


Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.


 

LOGO

  DECEMBER 31, 2021

 

 

  

 

  

2021 Annual Report

 

 

BlackRock Debt Strategies Fund, Inc. (DSU)

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

BlackRock Income Trust, Inc. (BKT)

BlackRock Limited Duration Income Trust (BLW)

 

 

 

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee

 


Supplemental Information  (unaudited)

 

Section 19(a) Notices

BlackRock Debt Strategies Fund, Inc.’s (DSU), BlackRock Floating Rate Income Strategies Fund, Inc.’s (FRA), BlackRock Income Trust, Inc.’s (BKT) and BlackRock Limited Duration Income Trust’s (BLW) (collectively, the “Funds” or individually, a “Fund”) amounts and sources of distributions reported are estimates and are being provided to you pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during its fiscal year and may be subject to changes based on tax regulations. Each Fund will provide a Form 1099-DIV each calendar year that will tell you how to report these distributions for U.S. federal income tax purposes.

December 31, 2021

 

       
       

Total Cumulative Distributions

for the Fiscal Period

         

% Breakdown of the Total Cumulative

Distributions for the Fiscal Period

       
       Fund Name    

Net

Income

 

 

   

Net Realized
Capital Gains

Short-Term

 
 

 

   

Net Realized

Capital Gains

Long-Term

 

 

 

   

Return of

Capital 

 

(a) 

   

Total Per

Common

Share

 

 

 

           

Net

Income


 

   

Net Realized
Capital Gains
Short-Term
 
 
 
   

Net Realized
Capital Gains
Long-Term
 
 
 
   
Return of
Capital
 
 
   

Total Per

Common

Share

 

 

 

   

    

 

 

 

 

DSU

  $  0.614086        $        $     $  0.111914     $  0.726000         85             15     100  
 

FRA

    0.664686                   0.135714       0.800400         83                   17       100    
 

BKT

    0.297632                   0.115168       0.412800         72                   28       100    
 

BLW

    1.003680                   0.173520       1.177200               85                   15       100    

 

  (a) 

Each Fund estimates that it has distributed more than its net income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in a Fund is returned to the shareholder. A return of capital does not necessarily reflect a Fund’s investment performance and should not be confused with “yield” or “income.” When distributions exceed total return performance, the difference will reduce a Fund’s net asset value per share.

 

Section 19(a) notices for the Funds, as applicable, are available on the BlackRock website at blackrock.com.

Section 19(b) Disclosure

DSU, FRA and BLW, acting pursuant to a U.S. Securities and Exchange Commission (“SEC”) exemptive order and with the approval of each Fund’s Board of Directors (the “Board”), each have adopted a managed distribution plan, consistent with its investment objectives and policies to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plans, the Funds currently distribute the following fixed amounts per share on a monthly basis:

 

Exchange Symbol   Amount Per
Common Share
 

DSU

  $ 0.0605  

FRA

    0.0667  

BLW

    0.0981  

The fixed amounts distributed per share are subject to change at the discretion of each Fund’s Board. Under its Plan, each Fund will distribute all available net income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net income and short-term capital gains) is not earned on a monthly basis, the Funds will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, each Fund may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the Investment Company Act of 1940, as amended (the “1940 Act”).

Shareholders should not draw any conclusions about each Fund’s investment performance from the amount of these distributions or from the terms of the Plan. Each Fund’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate a Fund’s Plan at any time without prior notice to the Fund’s shareholders if it deems such actions to be in the best interests of the Fund or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if the Fund’s stock is trading at or above net asset value) or widening an existing trading discount. The Funds are subject to risks that could have an adverse impact on their ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.

Managed Distribution Plan

BKT, with the approval of BKT’s Board of Directors (the “Board”), adopted a managed distribution plan, consistent with its investment objectives and policies, to support a level distribution of income, capital gains and/or return of capital (the “Plan”). In accordance with the Plan, BKT currently distributes a fixed amount of $0.0344 per share on a monthly basis.

The fixed amount distributed per share is subject to change at the discretion of the Board. BKT is currently not relying on any exemptive relief from Section 19(b) of the Investment Company Act of 1940, as amended (the “1940 Act”). Under its Plan, BKT will distribute all available investment income to its shareholders as required by the Internal Revenue Code of 1986, as amended (the “Code”). If sufficient income (inclusive of net investment income and short-term capital gains) is not earned on a monthly basis, BKT will distribute long-term capital gains and/or return of capital to shareholders in order to maintain a level distribution. Each monthly distribution to shareholders is expected to be at the fixed amount established by the Board; however, BKT may make additional distributions from time to time, including additional capital gain distributions at the end of the taxable year, if required to meet requirements imposed by the Code and/or the 1940 Act.

 

 

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Supplemental Information  (unaudited) (continued)

 

Shareholders should not draw any conclusions about BKT’s investment performance from the amount of these distributions or from the terms of the Plan. BKT’s total return performance is presented in its financial highlights table.

The Board may amend, suspend or terminate the Plan at any time without prior notice to BKT’s shareholders if it deems such actions to be in the best interests of BKT or its shareholders. The suspension or termination of the Plan could have the effect of creating a trading discount (if BKT’s stock is trading at or above net asset value) or widening an existing trading discount. BKT is subject to risks that could have an adverse impact on its ability to maintain level distributions. Examples of potential risks include, but are not limited to, economic downturns impacting the markets, changes in interest rates, decreased market volatility, companies suspending or decreasing corporate dividend distributions and changes in the Code.

 

 

S U P P L E M E N T A L   I N F O R M A T I O N

  3


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of December 31, 2021 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. Continued growth meant that the U.S. economy regained and then surpassed its pre-pandemic output. However, a rapid rebound in consumer spending pushed up against supply constraints and led to elevated inflation.

Equity prices rose with the broader economy, as the implementation of mass vaccination campaigns and passage of an additional fiscal stimulus package and infrastructure bill further boosted stocks. In the United States, both large- and small-capitalization stocks posted a strong advance, and many equity indices neared or surpassed all-time highs late in the reporting period. International equities from developed markets also gained, although emerging market stocks declined, pressured by a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to solid returns for high-yield corporate bonds, outpacing investment-grade corporate bonds, which declined.

The Fed maintained accommodative monetary policy during the reporting period by maintaining near-zero interest rates and by asserting that inflation could exceed its 2% target for a sustained period without triggering a rate increase. However, the Fed’s tone shifted late in the year, as it reduced its bond-buying program and used its market guidance to raise the prospect of higher rates in 2022.

Looking ahead, we believe that the global expansion will continue to broaden as Europe and other developed market economies gain momentum, although the Delta and Omicron variants of the coronavirus remain a threat, particularly in emerging markets. While we expect inflation to abate somewhat as supply bottlenecks are resolved, we anticipate that inflation will remain higher than the pre-COVID norm. The Fed is poised to raise interest rates next year in response, but the Fed’s policy shift means that tightening is likely to be less aggressive than what we’ve seen in previous cycles.

In this environment, we favor an overweight to equities, as we believe low interest rates and continued economic growth will support further gains, albeit likely more modest than what we saw in 2021. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. U.S. and other developed-market equities have room for further growth, while we believe Chinese equities stand to gain from a more accommodative monetary and fiscal environment as the Chinese economy slows. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit blackrock.com for further insight about investing in today’s markets.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of December 31, 2021
     
      6-Month     12-Month 
   

U.S. large cap equities
(S&P 500® Index)

  11.67%   28.71%
   

U.S. small cap equities
(Russell 2000® Index)

  (2.31)   14.82
   

International equities

(MSCI Europe, Australasia,
Far East Index)

   2.24   11.26
   

Emerging market equities

(MSCI Emerging Markets Index)

  (9.30)   (2.54)
   

3-month Treasury bills

(ICE BofA 3-Month
U.S. Treasury Bill Index)

   0.02    0.05
   

U.S. Treasury securities

(ICE BofA 10-Year
U.S. Treasury Index)

   0.44   (3.68)
   

U.S. investment grade bonds

(Bloomberg U.S. Aggregate
Bond Index)

   0.06   (1.54)
   

Tax-exempt municipal bonds

(S&P Municipal Bond Index)

   0.52    1.77
   

U.S. high yield bonds

(Bloomberg U.S. Corporate
High Yield 2%
Issuer Capped Index)

   1.59    5.26

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

4  

T H I S   P A G E   I S   N O T   P A R T   O F   Y O U R   F U N D   R E P O R T


Table of Contents

 

     

Page

 

 

Supplemental Information

     2  

The Markets in Review

     4  

Annual Report:

  

The Benefits and Risks of Leveraging

     6  

Derivative Financial Instruments

     6  

Fund Summary

     7  

Financial Statements:

  

Schedules of Investments

     19  

Statements of Assets and Liabilities

     120  

Statements of Operations

     122  

Statements of Changes in Net Assets

     123  

Statements of Cash Flows

     125  

Financial Highlights

     127  

Notes to Financial Statements

     131  

Report of Independent Registered Public Accounting Firm

     146  

Important Tax Information

     147  

Investment Objectives, Policies and Risks

     148  

Automatic Dividend Reinvestment Plan

     159  

Director and Officer Information

     160  

Additional Information

     164  

Glossary of Terms Used in this Report

     167  

 

 

  5


The Benefits and Risks of Leveraging

 

The Funds may utilize leverage to seek to enhance the distribution rate on, and net asset value (“NAV”) of, their common shares (“Common Shares”). However, there is no guarantee that these objectives can be achieved in all interest rate environments.

In general, the concept of leveraging is based on the premise that the financing cost of leverage, which is based on short-term interest rates, is normally lower than the income earned by a Fund on its longer-term portfolio investments purchased with the proceeds from leverage. To the extent that the total assets of each Fund (including the assets obtained from leverage) are invested in higher-yielding portfolio investments, each Fund’s shareholders benefit from the incremental net income. The interest earned on securities purchased with the proceeds from leverage (after paying the leverage costs) is paid to shareholders in the form of dividends, and the value of these portfolio holdings (less the leverage liability) is reflected in the per share NAV.

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

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

The use of leverage also generally causes greater changes in each Fund’s NAV, market price and dividend rates than comparable portfolios without leverage. In a declining market, leverage is likely to cause a greater decline in the NAV and market price of a Fund’s shares than if the Fund were not leveraged. In addition, each Fund may be required to sell portfolio securities at inopportune times or at distressed values in order to comply with regulatory requirements applicable to the use of leverage or as required by the terms of leverage instruments, which may cause the Fund to incur losses. The use of leverage may limit a Fund’s ability to invest in certain types of securities or use certain types of hedging strategies. Each Fund incurs expenses in connection with the use of leverage, all of which are borne by shareholders and may reduce income to the shareholders. Moreover, to the extent the calculation of each Fund’s investment advisory fees includes assets purchased with the proceeds of leverage, the investment advisory fees payable to each Fund’s investment adviser will be higher than if the Funds did not use leverage.

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

Under the Investment Company Act of 1940, as amended (the “1940 Act”), each Fund is permitted to issue debt up to 33 1/3% of its total managed assets. A Fund may voluntarily elect to limit its leverage to less than the maximum amount permitted under the 1940 Act. In addition, a Fund may also be subject to certain asset coverage, leverage or portfolio composition requirements imposed by its credit facility, which may be more stringent than those imposed by the 1940 Act.

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

Derivative Financial Instruments

The Funds may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and 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 instrument. The Funds’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation a Fund can realize on an investment and/or may result in lower distributions paid to shareholders. The Funds’ investments in these instruments, if any, are discussed in detail in the Notes to Financial Statements.

 

 

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Fund Summary  as of December 31, 2021    BlackRock Debt Strategies Fund, Inc. (DSU)

 

Investment Objective

BlackRock Debt Strategies Fund, Inc.’s (DSU) (the “Fund”) primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including corporate loans, which are rated in the lower rating categories of the established rating services (BBB or lower by S&P Global Ratings or Baa or lower by Moody’s Investors Service, Inc. (“Moody’s”)) or unrated debt instruments, which are in the judgment of the investment adviser of equivalent quality. Corporate loans include senior and subordinated corporate loans, both secured and unsecured. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund’s secondary investment objective is to provide capital appreciation.

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

Fund Information

 

   

Symbol on New York Stock Exchange

  DSU

Initial Offering Date

  March 27, 1998

Current Distribution Rate on Closing Market Price as of December 31, 2021 ($11.70)(a)

  6.21%

Current Monthly Distribution per Common Share(b)

  $0.0605

Current Annualized Distribution per Common Share(b)

  $0.7260

Leverage as of December 31, 2021(c)

  32%

 

  (a)

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b)

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/21      12/31/20      Change     High      Low      

 

Closing Market Price

  $ 11.70      $ 10.45        11.96   $ 12.14      $ 10.37      

Net Asset Value

 

   

 

11.56

 

 

 

    

 

11.55

 

 

 

    

 

0.09

 

 

 

   

 

11.76

 

 

 

    

 

11.54    

 

 

 

TOTAL RETURN BASED ON A $10,000 INVESTMENT

 

LOGO

 

  (a)

Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b)

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

 

 

F U N D    S U M M A R Y

  7


Fund Summary  as of December 31, 2021 (continued)    BlackRock Debt Strategies Fund, Inc. (DSU)

 

Performance

Returns for the period ended December 31, 2021 were as follows:

 

     Average Annual Total Returns  
      1 Year     5 Years     10 Years  

Fund at NAV(a)(b)

     6.67     6.08     7.45

Fund at Market Price(a)(b)

     19.33       8.32       7.82  

Reference Benchmark(c)

     5.24       5.28       5.76  

Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index(d)

     5.26       6.28       6.82  

S&P/LSTA Leveraged Loan Index

     5.20       4.27       4.69  

 

  (a)

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b)

The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c)

The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (50%) and the S&P/LSTA Leveraged Loan Index (50%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 
  (d)

Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (formerly Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index), an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

More information about the historical performance can be found in the “Closed-End Funds” section of blackrock.com.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

Floating rate loan interests (“bank loans”) delivered positive returns and outpaced the broader U.S. fixed-income market in 2021. The category benefited from the acceleration in economic growth and corporate earnings, which led to an improvement in credit conditions. In addition, floating rate assets experienced rising investor demand due to the Fed’s shift toward tighter monetary policy.

From an asset allocation perspective, the Fund’s core exposure to bank loans and tactical allocations to high yield bonds, equities and investment-grade corporates contributed to performance. From a sector perspective, the largest contributors included technology, energy and health care. With respect to credit tiers, the Fund’s positions in B rated debt made the largest contribution to absolute returns, followed by CCCs and BBs.

There were no significant detractors from absolute performance given the positive performance for the bank loan market.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

Describe recent portfolio activity.

The investment adviser marginally reduced the Fund’s allocation to investment-grade bonds in favor of bank loans due to supportive supply-and-demand conditions and attractive relative values. The investment adviser’s credit rating views remained consistent over the past several quarters, with a focus on avoiding the more volatile stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the rest of the portfolio primarily invested in high yield bonds. The Fund’s largest sector positions were in technology, health care and consumer cyclical services, while it had lower weightings in energy, banking and supermarkets. From a credit rating perspective, the Fund continued to emphasize BB and B rated issues, with a higher allocation to the latter. The Fund also held a smaller position in CCC rated debt.

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

 

 

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Fund Summary  as of December 31, 2021 (continued)    BlackRock Debt Strategies Fund, Inc. (DSU)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

 

Asset Type(a)   12/31/21     12/31/20  

Floating Rate Loan Interests

    85     82

Corporate Bonds

    14       16  

Preferred Securities

    1       1  

Investment Companies

          1  

Other*

    (b)      (b) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(a)(c)   12/31/21     12/31/20  

AAA/Aaa

    %(b)     

AA/Aa

    (b)       

A

    (b)       

BBB/Baa

    4       7  

BB/Ba

    26       21  

B

    61       64  

CCC/Caa

    7       7  

N/R

    2       1  

 

 
(a)

Excludes short-term securities.

(b)

Rounds to less than 1% of total investments.

(c)

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

*

Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

F U N D    S U M M A R Y

  9


Fund Summary  as of December 31, 2021    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

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 managed 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 at the time of investment or, if unrated, are considered by the investment adviser to be of comparable quality. The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

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

Fund Information

 

   

Symbol on New York Stock Exchange

  FRA

Initial Offering Date

  October 31, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2021 ($13.43)(a)

  5.96%

Current Monthly Distribution per Common Share(b)

  $0.0667

Current Annualized Distribution per Common Share(b)

  $0.8004

Leverage as of December 31, 2021(c)

  31%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents bank borrowings outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings), minus the sum of liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/21      12/31/20      Change      High      Low  

Closing Market Price

  $ 13.43      $ 12.11        10.90    $  13.77      $  11.96  

Net Asset Value

    13.85        13.81        0.29        14.07        13.81  

TOTAL RETURN BASED ON A $10,000 INVESTMENT

 

LOGO

 

  (a) 

Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 

 

 

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Fund Summary  as of December 31, 2021 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

Performance

Returns for the period ended December 31, 2021 were as follows:

 

          Average Annual Total Returns  
            1 Year      5 Years      10 Years  

Fund at NAV(a)(b)

      6.48      4.94      6.18

Fund at Market Price(a)(b)

      17.74        5.08        6.53  

S&P/LSTA Leveraged Loan Index

            5.20        4.27        4.69  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

The Fund’s discount to NAV narrowed during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

More information about the Fund’s historical performance can be found in the “Closed-End Funds” section of blackrock.com.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

Floating rate loan interests (“bank loans”) delivered positive returns and outpaced the broader U.S. fixed-income market in 2021. The category benefited from the acceleration in economic growth and corporate earnings, which led to an improvement in credit conditions. In addition, floating-rate assets experienced rising investor demand due to the Fed’s shift toward tighter monetary policy.

From an asset allocation perspective, the Fund’s core exposure to bank loans and tactical allocations to high yield bonds, equities and investment-grade corporates contributed to performance. From a sector perspective, the largest contributors included technology, health care and consumer cyclical services. With respect to credit tiers, the Fund’s positions in B rated debt made the largest contribution to absolute returns, followed by CCCs and BBs.

There were no significant detractors from absolute performance given the positive performance for the bank loan market.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

Describe recent portfolio activity.

The investment adviser marginally reduced the Fund’s allocation to investment-grade bonds in favor of bank loans due to supportive supply-and-demand conditions and attractive relative values. The investment adviser’s credit rating views remained consistent over the past several quarters, with a focus on avoiding the more volatile stressed CCC category. The investment adviser tactically managed the Fund’s sector positioning, although it placed a greater focus on individual security selection later in the period. The Fund continued to use liquid, index-based derivatives in the loan and high-yield markets in order to manage its positioning.

Describe portfolio positioning at period end.

The Fund remained predominately invested in bank loans, with the rest of the portfolio primarily invested in high yield bonds. By credit rating, B rated loans were the Fund’s largest position, and it had a much smaller weightings in the higher-risk CCC rated segment. Within the single B category, management remained focused on higher-quality B+ and B rated debt, with less of an emphasis on securities rated B-.

The investment adviser’s core sector views stayed largely intact. Some of the Fund’s top sector positions were technology companies, particularly in the enterprise software area. Health care, consumer cyclical services and building materials were also areas where the investment adviser identified compelling risk-reward opportunities. The Fund maintained a lower allocation to energy and the consumer cyclical sectors, such as retailers and leisure, on the belief that these market segments continued to face significant headwinds.

The Fund had a bias toward larger loan tranches of $1 billion and above. The investment adviser maintained a preference for loan/bond capital structures over the loan-only segment. The securities that the Fund did own in the latter category were typically transactions of $1 billion or more. The Fund remained underweight in the 2017 and 2018 vintages, arguably a period with more aggressive lending standards and weaker protections for loan holders.

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

 

 

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Fund Summary  as of December 31, 2021 (continued)    BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

 

Asset Type   12/31/21     12/31/20  

Floating Rate Loan Interests

    99     93

Corporate Bonds

    1       5  

Investment Companies

    (a)      2  

Other*

    (a)      (a) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(b)(c)   12/31/21     12/31/20  

AA/Aa

    %(a)     

BBB/Baa

    4       6  

BB/Ba

    24       19  

B

    64       67  

CCC/Caa

    6       6  

N/R

    2       2  

 

 
(a) 

Rounds to less than 1% of total investments.

(b) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(c) 

Excludes short-term securities.

*

Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Fund Summary  as of December 31, 2021    BlackRock Income Trust, Inc. (BKT)

 

Investment Objective

BlackRock Income Trust, Inc.’s (BKT) (the “Fund”) investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund seeks to achieve its investment objective by investing at least 65% of its assets in mortgage-backed securities. The Fund invests at least 80% of its assets in securities that are (i) issued or guaranteed by the U.S. government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings or Aaa by Moody’s Investors Service, Inc. 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.

Fund Information

 

   

Symbol on New York Stock Exchange

  BKT

Initial Offering Date

  July 22, 1988

Current Distribution Rate on Closing Market Price as of December 31, 2021 ($5.65)(a)

  7.31%

Current Monthly Distribution per Common Share(b)

  $0.0344

Current Annualized Distribution per Common Share(b)

  $0.4128

Leverage as of December 31, 2021(c)

  24%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/21      12/31/20      Change      High      Low  

Closing Market Price

  $ 5.65      $ 6.07        (6.92 )%     $  6.50      $  5.65  

Net Asset Value

    5.65        6.18        (8.58      6.22        5.65  

TOTAL RETURN BASED ON A $10,000 INVESTMENT

 

LOGO

 

  (a) 

Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

An unmanaged index that includes all outstanding government sponsored fixed rate mortgage-backed securities, weighted in proportion to their current market capitalization.

 

 

 

F U N D   S U M M A R Y

  13


Fund Summary  as of December 31, 2021 (continued)    BlackRock Income Trust, Inc. (BKT)

 

Performance

Returns for the period ended December 31, 2021 were as follows:

 

          Average Annual Total Returns  
            1 Year      5 Years      10 Years  

Fund at NAV(a)(b)

      (2.01 )%       2.88      2.83

Fund at Market Price(a)(b)

      (0.23      4.18        3.70  

FTSE Mortgage Index

            (1.27      2.55        2.29  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

The Fund moved from a discount to NAV to neither a premium nor discount during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

More information about the historical performance can be found in the “Closed-End Funds” section of blackrock.com.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

The largest contributor to the Fund’s return during the one-year period came from its heavy allocation to well-structured agency collateralized mortgage obligations (“CMOs”), which provided a steady source of income. The largest detractor from Fund performance resulted from its allocation to mortgage-backed security (“MBS”) derivatives including interest-only and inverse interest-only positions, which experienced a widening in risk premia in the adverse prepayment regime of 2021.

The Fund’s positioning in MBS pass-throughs benefited from its focus on call-protected specified pools, which outperformed the generic seasoned collateral of the Reference Benchmark. However, this advantage was offset by the Fund’s positioning on the MBS coupon stack, where its relative overweight to higher coupon MBS lagged the performance of lower coupons in 2021.

The Fund held derivatives during the period as a part of its investment strategy. Derivatives are utilized by the Fund in order to manage risk and/or take outright views on interest rates in the portfolio. In particular, the portfolio employed U.S. Treasury futures and interest rate swaps to manage duration and yield curve bias. The Fund’s interest rate derivatives positions contributed positively to performance during the 12-month period.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

Describe recent portfolio activity.

During the period, the Fund modestly increased its allocation to agency MBS derivatives and agency collateralized mortgage obligations (“CMOs”). The Fund also increased its exposure to lower coupon MBS in the form of both pass-through pools and “to-be-announced” securities.

Describe portfolio positioning at period end.

The Fund held a substantial allocation to well-structured agency CMOs, with a focus on bonds collateralized by call-protected and seasoned collateral that demonstrates more favorable prepayment characteristics. The Fund also held an allocation to agency MBS interest-only derivatives, which are expected to benefit from improving prepayment fundamentals in year 2022. Within its allocation to agency MBS pass-throughs, the Fund held an overweight in higher coupon MBS, motivated by higher income and an outlook for refinance fatigue on the higher coupon borrower set. The Fund also held exposure to lower coupon MBS as a hedge against prepayment risk in the mortgage derivatives strategy. The Fund is positioned marginally long convexity (i.e., the rate at which duration changes in response to interest rate movements) relative to the Reference Benchmark, primarily through its allocation to agency CMOs and call-protected specified pools.

The Fund held only marginal positions in other securitized assets such as non-agency residential MBS and collateralized MBS, preferring to focus on prepayment and structural opportunities in higher quality agency-backed assets rather than seek credit exposure.

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

 

 

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Fund Summary  as of December 31, 2021 (continued)    BlackRock Income Trust, Inc. (BKT)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

 

Asset Type(a)   12/31/21     12/31/20  

U.S. Government Sponsored Agency Securities

    97     97

Non-Agency Mortgage-Backed Securities

    3       3  

Asset-Backed Securities

    (b)      (b) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(a)(c)   12/31/21     12/31/20  

AAA/Aaa

    97     98

AA/Aa

    3       2  

CCC/Caa

          (b) 

N/R

          (b) 
 
(a) 

Excludes short-term securities.

(b) 

Rounds to less than 1% of total investments.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

F U N D   S U M M A R Y

  15


Fund Summary  as of December 31, 2021    BlackRock Limited Duration Income Trust (BLW)

 

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, asset-backed securities and U.S. Government and agency securities;

   

senior, secured floating rate loans made to corporate and other business entities; and

   

U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade at the time of investment or unrated and deemed by the investment adviser to be of comparable quality and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade or unrated and deemed by the investment adviser to be of comparable quality.

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.

Fund Information

 

   

Symbol on New York Stock Exchange

  BLW

Initial Offering Date

  July 30, 2003

Current Distribution Rate on Closing Market Price as of December 31, 2021 ($16.85)(a)

  6.99%

Current Monthly Distribution per Common Share(b)

  $0.0981

Current Annualized Distribution per Common Share(b)

  $1.1772

Leverage as of December 31, 2021(c)

  35%

 

  (a) 

Current distribution rate on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. The current distribution rate may consist of income, net realized gains and/or a return of capital. Past performance is not an indication of future results.

 
  (b) 

The distribution rate is not constant and is subject to change. A portion of the distribution may be deemed a return of capital or net realized gain.

 
  (c) 

Represents reverse repurchase agreements as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to any borrowings) minus the sum of its liabilities (other than borrowings representing financial leverage). Does not reflect derivatives or other instruments that may give rise to economic leverage. For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging and Derivative Financial Instruments.

 

Market Price and Net Asset Value Per Share Summary

 

     12/31/21      12/31/20      Change      High      Low  

Closing Market Price

  $ 16.85      $ 15.92        5.84    $  17.58      $  15.59  

Net Asset Value

    16.44        16.93        (2.89      17.22        16.37  

TOTAL RETURN BASED ON A $10,000 INVESTMENT

 

LOGO

 

  (a) 

Represents the Fund’s closing market price on the NYSE and reflects the reinvestment of dividends and/or distributions at actual reinvestment prices.

 
  (b) 

Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (formerly Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index), an unmanaged index comprised of issues that meet the following criteria: at least $150 million par value outstanding; maximum credit rating of Ba1; at least one year to maturity; and no issuer represents more than 2% of the index.

 

 

 

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Fund Summary  as of December 31, 2021 (continued)    BlackRock Limited Duration Income Trust (BLW)

 

Performance

Returns for the period ended December 31, 2021 were as follows:

 

          Average Annual Total Returns  
            1 Year      5 Years      10 Years  

Fund at NAV(a)(b)

      4.18      6.91      7.84

Fund at Market Price(a)(b)

      13.55        9.40        8.36  

Reference Benchmark(c)

      3.38        4.40        4.61  

Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index

      5.26        6.28        6.82  

S&P/LSTA Leveraged Loan Index(d)

      5.20        4.27        4.69  

BATS S Benchmark(e)

            (0.24      2.52        2.25  

 

  (a) 

All returns reflect reinvestment of dividends and/or distributions at actual reinvestment prices. Performance results reflect the Fund’s use of leverage.

 
  (b) 

The Fund moved from a discount to NAV to a premium during the period, which accounts for the difference between performance based on market price and performance based on NAV.

 
  (c) 

The Reference Benchmark is comprised of the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (33.33%), the S&P/LSTA Leveraged Loan Index (33.33%), and the BATS S Benchmark (33.34%). The Reference Benchmark’s index content and weightings may have varied over past periods.

 
  (d) 

An unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon market weightings, spreads and interest payments.

 
  (e)

A composite index comprised of Bloomberg ABS 1-3 Year AAA Rated ex Home Equity Index, Bloomberg Corporate 1-5 Year Index, Bloomberg CMBS Investment Grade 1-3.5 Year Index, Bloomberg MBS 15 Year Index and Bloomberg Credit Ex-Corporate 1-5 Year Index.

 

Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Past performance is not an indication of future results.

The Fund is presenting the performance of one or more indices for informational purposes only. The Fund is actively managed and does not seek to track or replicate the performance of any index. The index performance shown is not intended to be indicative of the Fund’s investment strategies, portfolio components or past or future performance.

More information about the Fund’s historical performance can be found in the “Closed-End Funds” section of blackrock.com.

The following discussion relates to the Fund’s absolute performance based on NAV:

What factors influenced performance?

Positive contributions to the Fund’s absolute performance over the period came from allocations to below investment grade categories, specifically U.S. high yield corporate bonds and floating rate loan interests. Exposure to non-U.S. dollar currency markets and commercial mortgage-backed securities (“CMBS”) also contributed.

The principal detractors from the Fund’s absolute performance were exposures to emerging markets, municipal bonds and non-U.S. sovereign debt.

The Fund held derivatives during the period, including U.S. Treasury futures, currency forwards, currency options, interest rate swaps and credit default swaps. Derivative securities were employed primarily to adjust duration (sensitivity to interest rate changes) and yield curve exposure, as well as to hedge credit and currency risk. Currency forwards were used to provide the portfolio with active currency exposure. The Fund’s use of derivatives contributed to performance during the period.

The Fund’s practice of maintaining a specified level of monthly distributions to shareholders did not have a material impact on the Fund’s investment strategy. The distribution policy resulted in return of capital for the period. Refer to the financial highlights and income tax information sections in this report for further information about the distributions.

Describe recent portfolio activity.

Over the period, the Fund trimmed exposure to U.S. Treasuries, select segments of the securitized credit market, emerging market debt, corporate bonds and municipal bonds. The Fund’s allocation to both 30-year and 15-year pass-through residential mortgage-backed securities was increased.

Describe portfolio positioning at period end.

At period end, the Fund maintained a diversified exposure to non-government spread sectors including high yield corporate credit, investment grade corporate credit, emerging market debt, CMBS and asset-backed securities. In addition, the Fund held modest exposure to government securities, including U.S. Treasuries and non-U.S. sovereign issues.

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

 

 

F U N D   S U M M A R Y

  17


Fund Summary  as of December 31, 2021 (continued)    BlackRock Limited Duration Income Trust (BLW)

 

Overview of the Fund’s Total Investments

 

PORTFOLIO ALLOCATION

 

Asset Type(a)   12/31/21     12/31/20  

Corporate Bonds

    50     55

Floating Rate Loan Interests

    32       30  

U.S. Government Sponsored Agency Securities

    5       (b) 

Preferred Securities

    4       5  

U.S. Treasury Obligations

    4       2  

Asset-Backed Securities

    2       3  

Foreign Agency Obligations

    2       3  

Non-Agency Mortgage-Backed Securities

    1       1  

Investment Companies

          1  

Other*

    (b)      (b) 

CREDIT QUALITY ALLOCATION

 

Credit Rating(a)(c)   12/31/21     12/31/20  

AAA/Aaa(d)

    8    

AA/Aa

    (b)      2  

A

    3       4  

BBB/Baa

    12       14  

BB/Ba

    31       32  

B

    36       39  

CCC/Caa

    7       7  

CC

    (b)       

C

    (b)       

N/R

    3       2  
 

 

(a) 

Excludes short-term securities.

(b) 

Rounds to less than 1% of total investments.

(c) 

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

(d) 

The investment adviser evaluates the credit quality of not-rated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuer. Using this approach, the investment adviser has deemed U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations as AAA/Aaa.

*

Includes one or more investment categories that individually represents less than 1% of the Fund’s total investments. Please refer to the Schedule of Investments for details.

 

 

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Schedule of Investments

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Asset-Backed Securities

     

Unique Pub Finance Co. PLC, Series N, 6.46%, 03/30/32(a)

    GBP       100     $ 162,385  
     

 

 

 

Total Asset-Backed Securities — 0.0%
(Cost: $144,560)

 

    162,385  
     

 

 

 
            Shares         

Common Stocks

     

Construction & Engineering — 0.0%

 

 

McDermott International Ltd.(b)

      141,483       58,008  
     

 

 

 
Diversified Financial Services — 0.0%  

Kcad Holdings I Ltd.(c)

      1,075,282,733       10,753  
     

 

 

 
Metals & Mining — 0.0%                  

Ameriforge Group, Inc.

      1,664       832  

Preferred Proppants LLC(c)

      14,576       947  
     

 

 

 
        1,779  
Oil, Gas & Consumable Fuels — 0.2%        

California Resources Corp.

      2,336       99,770  

Chesapeake Energy Corp.

      10,267       662,427  
     

 

 

 
        762,197  
Semiconductors & Semiconductor Equipment(b) — 0.0%        

Maxeon Solar Technologies Ltd

      213       2,961  

SunPower Corp

      1,707       35,625  
     

 

 

 
        38,586  
Software — 0.0%                  

Avaya Holdings Corp.(b)

      40       792  
     

 

 

 
Specialty Retail — 0.0%                  

NMG Parent LLC

      1,477       216,233  
     

 

 

 

Total Common Stocks — 0.2%
(Cost: $16,019,308)

          1,088,348  
     

 

 

 
           

Par

(000)

        

Corporate Bonds

     

Aerospace & Defense — 0.6%

     

Bombardier, Inc.(d)

     

7.50%, 12/01/24

    USD       78       81,266  

7.50%, 03/15/25

      14       14,262  

7.13%, 06/15/26

      197       204,370  

7.88%, 04/15/27

      28       29,039  

6.00%, 02/15/28

      123       123,373  

BWX Technologies, Inc.(d)

     

4.13%, 06/30/28

      86       87,290  

4.13%, 04/15/29

      56       56,700  

F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(d)

      200       199,000  

Rolls-Royce PLC, 5.75%, 10/15/27(d)

      200       221,180  

Spirit AeroSystems, Inc., 5.50%, 01/15/25(d)

      55       56,994  

TransDigm, Inc.

     

8.00%, 12/15/25(d)

      656       692,060  

6.25%, 03/15/26(d)

      1,073       1,115,249  

6.38%, 06/15/26

      29       29,797  

7.50%, 03/15/27

      33       34,485  
Security         

Par

(000)

    Value  
Aerospace & Defense (continued)                  

TransDigm, Inc. (continued)

     

4.63%, 01/15/29

    USD       97     $ 96,678  

4.88%, 05/01/29

      96       96,413  

Triumph Group, Inc., 8.88%, 06/01/24(d)

      231       251,947  
     

 

 

 
          3,390,103  
Airlines — 0.7%                  

Air Canada, 3.88%, 08/15/26(d)

      101       103,020  

Air France-KLM, 3.88%, 07/01/26(a)

    EUR       100       109,731  

Allegiant Travel Co., 8.50%, 02/05/24(d)

    USD       1,065       1,134,225  

American Airlines, Inc., 11.75%, 07/15/25(d)

      329       405,904  

American Airlines, Inc./AAdvantage Loyalty IP Ltd.(d)

     

5.50%, 04/20/26

      158       163,999  

5.75%, 04/20/29

      325       347,487  

Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(d)

      265       289,375  

Deutsche Lufthansa AG, 3.75%, 02/11/28(a)

    EUR       100       114,578  

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(d)

    USD       101       105,671  

Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., 6.50%, 06/20/27(d)

      274       292,495  

Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25(d)

      13       14,739  

United Airlines Pass-Through Trust

     

Series 2020-1, Class A, 5.88%, 10/15/27

      156       171,175  

Series 2020-1, Class B, 4.88%, 01/15/26

      18       18,698  

United Airlines, Inc.(d)

     

4.38%, 04/15/26

      146       152,239  

4.63%, 04/15/29

      164       169,125  
     

 

 

 
        3,592,461  
Auto Components — 0.4%                  

Clarios Global LP, 6.75%, 05/15/25(d)

      721       755,247  

Clarios Global LP/Clarios US Finance Co.

     

4.38%, 05/15/26(a)

    EUR       100       116,647  

6.25%, 05/15/26(d)

    USD       110       115,088  

8.50%, 05/15/27(d)

      652       691,120  

Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(d)

      22       22,900  

Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(d)

      36       35,550  

Faurecia SE, 2.75%, 02/15/27(a)

    EUR       100       115,938  

Goodyear Tire & Rubber Co.

     

9.50%, 05/31/25

    USD       65       70,264  

5.00%, 07/15/29(d)

      42       45,116  

5.25%, 07/15/31(d)

      51       55,371  

5.63%, 04/30/33

      98       106,943  

Meritor, Inc., 4.50%, 12/15/28(d)

      24       24,060  

Tenneco, Inc., 7.88%, 01/15/29(d)

      18       19,440  

Titan International, Inc., 7.00%, 04/30/28

      18       19,170  

Venture Holdings Co. LLC, 12.00%,
07/01/49(b)(c)(e)

      5,150       1  
     

 

 

 
          2,192,855  
Automobiles — 0.5%                  

Allison Transmission, Inc.(d)

     

5.88%, 06/01/29

      157       170,737  

3.75%, 01/30/31

      112       109,200  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  19


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Automobiles (continued)                  

Asbury Automotive Group, Inc.

     

4.50%, 03/01/28

    USD       35     $ 35,700  

4.75%, 03/01/30

      73       74,186  

5.00%, 02/15/32(d)

      51       52,923  

Carvana Co.(d)

     

5.50%, 04/15/27

      88       87,120  

4.88%, 09/01/29

      72       68,580  

Constellation Automotive Financing PLC, 4.88%, 07/15/27(a)

    GBP       100       133,149  

Ford Motor Co.

     

4.35%, 12/08/26

    USD       9       9,817  

3.25%, 02/12/32

      199       203,776  

4.75%, 01/15/43

      176       194,260  

5.29%, 12/08/46

      78       91,669  

Ford Motor Credit Co. LLC

     

3.81%, 01/09/24

      200       207,448  

4.69%, 06/09/25

      200       215,000  

5.13%, 06/16/25

      200       217,500  

4.00%, 11/13/30

      200       215,160  

Group 1 Automotive, Inc., 4.00%, 08/15/28(d)

      15       14,944  

Ken Garff Automotive LLC, 4.88%, 09/15/28(d)

      39       39,049  

LCM Investments Holdings II LLC, 4.88%, 05/01/29(d)

      90       92,491  

Lithia Motors, Inc., 3.88%, 06/01/29(d)

      42       42,878  

MajorDrive Holdings IV LLC, 6.38%, 06/01/29(d)

      59       57,082  

Penske Automotive Group, Inc.

     

3.50%, 09/01/25

      59       60,327  

3.75%, 06/15/29

      22       21,808  

Sonic Automotive, Inc., 4.63%, 11/15/29(d)

      20       20,190  

Wabash National Corp., 4.50%, 10/15/28(d)

      70       70,700  
     

 

 

 
          2,505,694  
Banks — 0.1%                  

American Finance Trust, Inc./American Finance Operating Partner LP, 4.50%, 09/30/28(d)

      21       21,155  

Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25(a)

    EUR       100       113,714  

Banco Espirito Santo SA(b)(e)

     

4.75%, 01/15/22(f)

      200       33,016  

4.00%, 01/21/22

      100       16,508  

2.63%, 05/08/49(a)

      100       16,508  

Wells Fargo & Co., (5 year CMT + 3.45%), 3.90%(f)(g)

    USD       115       118,163  
     

 

 

 
        319,064  
Beverages — 0.4%                  

ARD Finance SA, (6.50% Cash or 7.25% PIK),
6.50%, 06/30/27(d)(h)

      441       454,230  

Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29(d)

      285       282,364  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 5.25%, 08/15/27(d)

      208       209,300  

Ball Corp.

     

2.88%, 08/15/30

      12       11,640  

3.13%, 09/15/31

      131       129,362  

Triton Water Holdings, Inc., 6.25%, 04/01/29(d)

      362       347,194  

Trivium Packaging Finance BV, 8.50%, 08/15/27(d)

      814       860,805  
     

 

 

 
        2,294,895  
Biotechnology — 0.0%                  

Cidron Aida Finco Sarl, 5.00%, 04/01/28(a)

    EUR       100       114,277  
     

 

 

 
Security         

Par

(000)

    Value  
Building Materials(d) — 0.2%                  

Cornerstone Building Brands, Inc., 6.13%, 01/15/29

    USD       101     $ 107,954  

CP Atlas Buyer, Inc., 7.00%, 12/01/28

      112       111,440  

Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25

      39       41,391  

Jeld-Wen, Inc.

     

4.63%, 12/15/25

      32       32,240  

4.88%, 12/15/27

      10       10,261  

Masonite International Corp.

     

3.50%, 02/15/30

      69       68,224  

Class C, 5.38%, 02/01/28

      45       47,194  

New Enterprise Stone & Lime Co., Inc.

     

5.25%, 07/15/28

      26       26,364  

9.75%, 07/15/28

      38       40,660  

Patrick Industries, Inc., 4.75%, 05/01/29

      20       19,900  

SRM Escrow Issuer LLC, 6.00%, 11/01/28

      211       225,253  

Standard Industries, Inc.

     

5.00%, 02/15/27

      34       34,999  

4.38%, 07/15/30

      144       146,953  

3.38%, 01/15/31

      79       76,100  

Summit Materials LLC/Summit Materials Finance
Corp., 5.25%, 01/15/29

      168       175,963  

Victors Merger Corp., 6.38%, 05/15/29

      51       47,940  
     

 

 

 
          1,212,836  
Building Products(d) — 0.2%                  

Beacon Roofing Supply, Inc., 4.13%, 05/15/29

      32       31,983  

Foundation Building Materials, Inc., 6.00%, 03/01/29

      58       56,985  

GYP Holdings III Corp., 4.63%, 05/01/29

      76       76,190  

LBM Acquisition LLC, 6.25%, 01/15/29

      154       152,267  

Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26

      79       82,798  

SRS Distribution, Inc.

     

4.63%, 07/01/28

      152       152,570  

6.13%, 07/01/29

      111       113,122  

6.00%, 12/01/29

      110       110,550  

White Cap Buyer LLC, 6.88%, 10/15/28

      203       211,627  

White Cap Parent LLC, (9.00% PIK), 8.25%, 03/15/26(h)

      67       68,508  
     

 

 

 
        1,056,600  
Capital Markets — 0.2%                  

Aretec Escrow Issuer, Inc., 7.50%, 04/01/29(d)

      36       36,841  

Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(f)(g)

      265       267,650  

Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(d)

      65       68,088  

GLP Capital LP/GLP Financing II, Inc., 3.25%, 01/15/32

      15       15,081  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

     

4.75%, 09/15/24

      101       104,787  

5.25%, 05/15/27

      163       167,634  

4.38%, 02/01/29

      87       84,825  

NFP Corp.(d)

     

4.88%, 08/15/28

      138       139,380  

6.88%, 08/15/28

      374       374,965  
     

 

 

 
        1,259,251  
Chemicals — 0.5%                  

Ashland LLC, 3.38%, 09/01/31(d)

      109       108,183  

Axalta Coating Systems LLC, 3.38%, 02/15/29(d)

      150       145,125  
 

 

 

20  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals (continued)                  

Chemours Co., 5.75%, 11/15/28(d)

    USD       38     $ 39,762  

Diamond (BC) B.V., 4.63%, 10/01/29(d)

      85       84,317  

Element Solutions, Inc., 3.88%, 09/01/28(d)

      425       427,125  

EverArc Escrow Sarl, 5.00%, 10/30/29(d)

      170       170,126  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(d)

      134       137,350  

HB Fuller Co., 4.25%, 10/15/28

      31       31,930  

Herens Holdco Sarl, 4.75%, 05/15/28(d)

      200       196,000  

Herens Midco Sarl, 5.25%, 05/15/29(a)

    EUR       100       106,781  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(d)

    USD       181       193,022  

Ingevity Corp., 3.88%, 11/01/28(d)

      23       22,396  

Kobe US Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(d)(h)

      73       74,460  

LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(d)

      36       35,460  

Lune Holdings Sarl, 5.63%, 11/15/28(a)

    EUR       100       113,850  

Minerals Technologies, Inc., 5.00%, 07/01/28(d)

    USD       55       57,010  

SCIH Salt Holdings, Inc., 6.63%, 05/01/29(d)

      45       42,075  

Scotts Miracle-Gro Co.(d)

     

4.00%, 04/01/31

      80       79,000  

4.38%, 02/01/32

      8       7,980  

WESCO Distribution, Inc.(d)

     

7.13%, 06/15/25

      49       51,940  

7.25%, 06/15/28

      146       160,052  

WR Grace Holdings LLC, 5.63%, 08/15/29(d)

      301       308,149  
     

 

 

 
          2,592,093  
Commercial Services & Supplies — 0.3%                  

AMN Healthcare, Inc., 4.00%, 04/15/29(d)

      28       28,385  

APX Group, Inc., 5.75%, 07/15/29(d)

      86       84,710  

ASGN, Inc., 4.63%, 05/15/28(d)

      79       81,789  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(d)

      33       34,809  

BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(a)

    EUR       100       114,704  

EC Finance PLC, 3.00%, 10/15/26(a)

      100       116,411  

Fortress Transportation & Infrastructure Investors LLC(d)

     

6.50%, 10/01/25

    USD       24       24,810  

9.75%, 08/01/27

      17       19,040  

5.50%, 05/01/28

      95       96,814  

Herc Holdings, Inc., 5.50%, 07/15/27(d)

      85       88,400  

Hertz Corp.(d)

     

4.63%, 12/01/26

      40       40,250  

5.00%, 12/01/29

      64       64,055  

Metis Merger Sub LLC, 6.50%, 05/15/29(d)

      68       66,789  

NESCO Holdings II, Inc., 5.50%, 04/15/29(d)

      74       76,405  

PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29(d)

      71       73,520  

Prime Security Services Borrower LLC/Prime
Finance, Inc.(d)

     

3.38%, 08/31/27

      2       1,931  

6.25%, 01/15/28

      164       170,970  

Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(d)

      202       206,040  

Team Health Holdings, Inc., 6.38%, 02/01/25(d)

      103       96,949  

United Rentals North America, Inc., 5.25%, 01/15/30

      2       2,165  
     

 

 

 
        1,488,946  
Security          Par
(000)
    Value  
Communications Equipment(d) — 0.2%                  

Avaya, Inc., 6.13%, 09/15/28

    USD       223     $ 236,380  

CommScope Technologies LLC, 6.00%, 06/15/25

      94       94,000  

CommScope, Inc.

     

6.00%, 03/01/26

      24       24,720  

8.25%, 03/01/27

      54       55,495  

7.13%, 07/01/28

      106       104,145  

4.75%, 09/01/29

      149       148,078  

ViaSat, Inc.

     

5.63%, 04/15/27

      29       29,890  

6.50%, 07/15/28

      150       150,375  

Viavi Solutions, Inc., 3.75%, 10/01/29

      93       92,996  
     

 

 

 
        936,079  
Construction Materials(d) — 0.1%                  

American Builders & Contractors Supply Co., Inc.

     

4.00%, 01/15/28

      125       127,904  

3.88%, 11/15/29

      14       13,965  

BCPE Empire Holdings, Inc., 7.63%, 05/01/27

      35       35,737  

H&E Equipment Services, Inc., 3.88%, 12/15/28

      20       19,850  

IAA, Inc., 5.50%, 06/15/27

      159       164,764  

Picasso Finance Sub, Inc., 6.13%, 06/15/25

      82       85,690  

Thor Industries, Inc., 4.00%, 10/15/29

      54       53,460  

Williams Scotsman International, Inc., 4.63%, 08/15/28

      74       76,405  

Winnebago Industries, Inc., 6.25%, 07/15/28

      45       48,183  
     

 

 

 
        625,958  
Consumer Discretionary(d) — 0.5%                  

APi Escrow Corp., 4.75%, 10/15/29

      32       32,640  

APi Group DE, Inc., 4.13%, 07/15/29(i)

      42       42,210  

Carnival Corp.

     

10.50%, 02/01/26

      263       300,213  

5.75%, 03/01/27

      260       260,000  

9.88%, 08/01/27

      140       159,980  

4.00%, 08/01/28

      346       343,405  

6.00%, 05/01/29

      173       172,135  

CoreLogic, Inc., 4.50%, 05/01/28

      156       155,407  

Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26

      52       52,260  

Life Time, Inc.

     

5.75%, 01/15/26

      80       82,800  

8.00%, 04/15/26

      57       59,732  

NCL Corp. Ltd.

     

10.25%, 02/01/26

      24       27,915  

5.88%, 03/15/26

      96       95,575  

NCL Finance Ltd., 6.13%, 03/15/28

      96       94,560  

Nielsen Finance LLC/Nielsen Finance Co.

     

5.63%, 10/01/28

      60       61,950  

5.88%, 10/01/30

      66       69,686  

Royal Caribbean Cruises Ltd.

     

10.88%, 06/01/23

      42       45,885  

9.13%, 06/15/23

      54       57,105  

11.50%, 06/01/25

      57       63,840  

5.50%, 08/31/26

      36       36,605  

5.50%, 04/01/28

      123       124,422  

Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29

      59       58,926  
     

 

 

 
          2,397,251  
Consumer Finance — 0.5%                  

American Express Co., (5 year CMT + 2.85%), 3.55%(f)(g)

      235       235,411  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  21


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Consumer Finance (continued)                  

Block, Inc., 3.50%, 06/01/31(d)

    USD       188     $ 192,700  

HealthEquity, Inc., 4.50%, 10/01/29(d)

      127       125,730  

MoneyGram International, Inc., 5.38%, 08/01/26(d)

      34       34,510  

MPH Acquisition Holdings LLC, 5.50%, 09/01/28(d)

      101       102,389  

Navient Corp.

     

7.25%, 09/25/23

      3       3,234  

6.13%, 03/25/24

      93       99,161  

5.88%, 10/25/24

      77       82,101  

5.50%, 03/15/29

      87       86,783  

OneMain Finance Corp.

     

8.88%, 06/01/25

      27       28,890  

3.50%, 01/15/27

      97       95,909  

6.63%, 01/15/28

      8       8,960  

5.38%, 11/15/29

      7       7,611  

4.00%, 09/15/30

      10       9,834  

Sabre GLBL, Inc.(d)

     

9.25%, 04/15/25

      284       320,920  

7.38%, 09/01/25

      81       84,645  

Shift4 Payments LLC/Shift4 Payments Finance
Sub, Inc., 4.63%, 11/01/26(d)

      109       112,925  

SLM Corp., 3.13%, 11/02/26

      56       55,440  

Verscend Escrow Corp., 9.75%, 08/15/26(d)

      851       904,562  
     

 

 

 
          2,591,715  
Containers & Packaging — 0.0%                  

International Paper Co., 7.30%, 11/15/39

      5       7,661  

Intertape Polymer Group, Inc., 4.38%, 06/15/29(d)

      43       43,000  

LABL, Inc., 5.88%, 11/01/28(d)

      84       86,573  

Sealed Air Corp., 4.00%, 12/01/27(d)

      23       23,969  
     

 

 

 
        161,203  
Diversified Consumer Services — 0.4%                  

Allied Universal Holdco LLC/Allied Universal Finance Corp.(d)

     

6.63%, 07/15/26

      655       687,226  

9.75%, 07/15/27

      101       107,911  

6.00%, 06/01/29

      200       194,500  

Allied Universal Holdco LLC/Allied Universal
Finance Corp./Atlas Luxco 4 Sarl,
4.63%, 06/01/28(d)

      400       396,173  

Brink’s Co., 5.50%, 07/15/25(d)

      15       15,600  

Clarivate Science Holdings Corp.(d)

     

3.88%, 07/01/28

      126       126,630  

4.88%, 07/01/29

      185       187,612  

Garda World Security Corp.(d)

     

4.63%, 02/15/27

      26       25,870  

9.50%, 11/01/27

      45       48,518  

Rekeep SpA, 7.25%, 02/01/26(a)

    EUR       100       121,137  

Service Corp. International, 4.00%, 05/15/31

    USD       192       194,400  

Sotheby’s, 7.38%, 10/15/27(d)

      200       213,000  
     

 

 

 
        2,318,577  
Diversified Financial Services — 0.3%                  

Acuris Finance US, Inc./Acuris Finance SARL,
5.00%, 05/01/28(d)

      200       199,000  

Castlelake Aviation Finance DAC, 5.00%, 04/15/27(d)

      24       23,820  
Security          Par
(000)
    Value  
Diversified Financial Services (continued)                  

Central Garden & Pet Co.

     

4.13%, 10/15/30

    USD       56     $ 56,490  

4.13%, 04/30/31(d)

      62       62,310  

Citigroup, Inc.(f)(g)

     

Series W, (5 year CMT + 3.60%), 4.00%

      50       50,375  

Series Y, (5 year CMT + 3.00%), 4.15%

      10       10,163  

Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(a)

    GBP       100       140,600  

Global Aircraft Leasing Co. Ltd., (6.50% Cash or
7.25% PIK), 6.50%, 09/15/24(d)(h)

    USD       25       23,677  

Intrum AB, 4.88%, 08/15/25(a)

    EUR       100       118,110  

Jefferies Finance LLC/JFIN Co-Issuer Corp.,
5.00%, 08/15/28(d)

    USD       200       205,000  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 4.75%, 06/15/29(d)

      44       45,100  

Spectrum Brands, Inc.(d)

     

5.00%, 10/01/29

      18       18,878  

5.50%, 07/15/30

      50       53,625  

3.88%, 03/15/31

      18       17,775  

UBS Group AG, (5 year CMT + 3.31%),
4.38%(d)(f)(g)

      345       340,791  

UniCredit SpA, (5 year EURIBOR ICE Swap Rate + 4.74%), 4.88%, 02/20/29(a)(f)

    EUR       200       244,240  
     

 

 

 
          1,609,954  
Diversified Telecommunication Services — 0.8%  

Consolidated Communications, Inc., 6.50%, 10/01/28(d)

    USD       157       166,420  

Intelsat Jackson Holdings SA, 8.00%, 02/15/24(d)

      155       157,131  

Level 3 Financing, Inc.(d)

     

4.25%, 07/01/28

      138       136,620  

3.63%, 01/15/29

      41       38,950  

3.75%, 07/15/29

      53       50,350  

Lumen Technologies, Inc.

     

5.13%, 12/15/26(d)

      449       467,243  

4.00%, 02/15/27(d)

      10       10,145  

4.50%, 01/15/29(d)

      165       159,637  

5.38%, 06/15/29(d)

      153       153,000  

Series P, 7.60%, 09/15/39

      41       43,973  

Series U, 7.65%, 03/15/42

      41       44,120  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(h)

      7       6,164  

Sprint Capital Corp.

     

6.88%, 11/15/28

      307       388,355  

8.75%, 03/15/32

      411       616,500  

Switch Ltd.(d)

     

3.75%, 09/15/28

      99       99,742  

4.13%, 06/15/29

      202       206,545  

Telecom Italia Capital SA

     

6.38%, 11/15/33

      58       62,455  

6.00%, 09/30/34

      134       141,727  

7.20%, 07/18/36

      14       16,052  

7.72%, 06/04/38

      23       27,031  

Telecom Italia SpA/Milano, 2.88%, 01/28/26(a)

    EUR       100       116,269  

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30(d)

    USD       45       43,306  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28(d)

      111       110,082  
 

 

 

22  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Zayo Group Holdings, Inc.(d)

     

4.00%, 03/01/27

    USD       428     $ 421,910  

6.13%, 03/01/28

      490       482,650  
     

 

 

 
          4,166,377  
Electric Utilities — 0.2%                  

Edison International, (5 year CMT + 4.70%),
5.38%(f)(g)

      100       104,760  

FirstEnergy Corp.

     

2.65%, 03/01/30

      95       93,813  

Series B, 2.25%, 09/01/30

      6       5,776  

Series C, 7.38%, 11/15/31

      14       18,892  

Series C, 3.40%, 03/01/50

      269       263,620  

FirstEnergy Transmission LLC(d)

     

5.45%, 07/15/44

      139       175,410  

4.55%, 04/01/49

      51       58,220  

PG&E Corp., 5.25%, 07/01/30

      59       61,873  

Pike Corp., 5.50%, 09/01/28(d)

      130       130,296  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 1.00%, 11/10/21(c)

      2,375        
     

 

 

 
        912,660  
Electrical Equipment — 0.1%                  

Gates Global LLC/Gates Corp., 6.25%, 01/15/26(d)

      291       300,458  

GrafTech Finance, Inc., 4.63%, 12/15/28(d)

      66       66,990  

NM Holdings Co. LLC, Series B, 9.50%, 07/01/05(b)(c)(e)

      5,125        
     

 

 

 
        367,448  
Electronic Equipment, Instruments & Components — 0.1%  

Energizer Holdings, Inc.(d)

     

4.75%, 06/15/28

      34       34,722  

4.38%, 03/31/29

      6       5,856  

Imola Merger Corp., 4.75%, 05/15/29(d)

      192       197,002  

Vertiv Group Corp., 4.13%, 11/15/28(d)

      185       186,850  

Xerox Corp., 4.80%, 03/01/35

      98       98,125  
     

 

 

 
        522,555  
Energy Equipment & Services — 0.1%                  

Archrock Partners LP/Archrock Partners Finance Corp.(d)

     

6.88%, 04/01/27

      106       111,300  

6.25%, 04/01/28

      166       173,092  

USA Compression Partners LP/USA Compression Finance Corp.

     

6.88%, 04/01/26

      58       60,320  

6.88%, 09/01/27

      279       294,694  

Vallourec SA, 8.50%, 06/30/26(a)

    EUR       8       9,377  

Weatherford International Ltd.(d)

     

6.50%, 09/15/28

    USD       4       4,232  

8.63%, 04/30/30

      68       70,594  
     

 

 

 
        723,609  
Environmental, Maintenance & Security Service — 0.1%  

Covanta Holding Corp., 5.00%, 09/01/30

      43       43,860  

Covert Mergeco, Inc., 4.88%, 12/01/29(d)

      24       24,360  

GFL Environmental, Inc.(d)

     

3.75%, 08/01/25

      85       85,850  

5.13%, 12/15/26

      88       91,520  

4.00%, 08/01/28

      142       139,160  

3.50%, 09/01/28

      65       64,025  

4.75%, 06/15/29

      83       83,726  
Security          Par
(000)
    Value  
Environmental, Maintenance & Security Service (continued)  

GFL Environmental, Inc.(d) (continued)

     

4.38%, 08/15/29

    USD       33     $ 32,691  

Stericycle, Inc., 3.88%, 01/15/29(d)

      49       48,265  

Tervita Corp., 11.00%, 12/01/25(d)

      25       28,781  

Waste Pro USA, Inc., 5.50%, 02/15/26(d)

      104       103,480  
     

 

 

 
        745,718  
Equity Real Estate Investment Trusts (REITs) — 0.4%  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27(d)

      57       55,921  

CTR Partnership LP/CareTrust Capital Corp.,
3.88%, 06/30/28(d)

      52       53,040  

Diversified Healthcare Trust, 9.75%, 06/15/25

      53       57,343  

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(d)

      46       44,925  

HAT Holdings I LLC/HAT Holdings II LLC, 3.38%, 06/15/26(d)

      59       59,590  

Iron Mountain, Inc.(d)

     

5.25%, 07/15/30

      88       92,736  

5.63%, 07/15/32

      66       70,632  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.

     

4.63%, 06/15/25(d)

      205       218,549  

4.50%, 09/01/26

      139       149,425  

4.50%, 01/15/28

      318       343,440  

3.88%, 02/15/29(d)

      101       106,050  

MPT Operating Partnership LP/MPT Finance Corp.

     

4.63%, 08/01/29

      296       312,280  

3.50%, 03/15/31

      236       238,655  

RHP Hotel Properties LP/RHP Finance Corp.

     

4.75%, 10/15/27

      307       313,140  

4.50%, 02/15/29(d)

      24       24,000  

RLJ Lodging Trust LP(d)

     

3.75%, 07/01/26

      40       40,220  

4.00%, 09/15/29

      31       30,669  

Service Properties Trust

     

4.35%, 10/01/24

      12       11,760  

7.50%, 09/15/25

      79       85,591  

5.50%, 12/15/27

      42       43,104  
     

 

 

 
          2,351,070  
Food & Staples Retailing — 0.5%                  

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(d)

     

3.25%, 03/15/26

      146       148,737  

4.63%, 01/15/27

      11       11,544  

4.88%, 02/15/30

      68       73,421  

Bellis Acquisition Co. PLC, 4.50%, 02/16/26(a)

    GBP       100       135,084  

Kraft Heinz Foods Co.

     

5.00%, 07/15/35

    USD       18       22,020  

6.88%, 01/26/39

      164       241,036  

4.63%, 10/01/39

      88       103,355  

6.50%, 02/09/40

      35       49,779  

5.20%, 07/15/45

      101       128,419  

4.38%, 06/01/46

      227       265,817  

4.88%, 10/01/49

      170       213,510  

5.50%, 06/01/50

      420       568,632  

Lamb Weston Holdings, Inc.(d)

     

4.88%, 05/15/28

      18       19,485  

4.13%, 01/31/30

      53       54,388  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  23


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Food & Staples Retailing (continued)                  

Lamb Weston Holdings, Inc.(d) (continued)

     

4.38%, 01/31/32

    USD       51     $ 52,595  

Ocado Group PLC, 3.88%, 10/08/26(a)

    GBP       100       131,775  

Performance Food Group, Inc., 4.25%, 08/01/29(d)

    USD       105       104,166  

Post Holdings, Inc.(d)

     

5.50%, 12/15/29

      21       22,063  

4.63%, 04/15/30

      45       45,833  

4.50%, 09/15/31

      39       38,708  

United Natural Foods, Inc., 6.75%, 10/15/28(d)

      28       29,982  

US Foods, Inc., 4.75%, 02/15/29(d)

      115       116,869  
     

 

 

 
          2,577,218  
Food Products(d) — 0.2%                  

Aramark Services, Inc.

     

6.38%, 05/01/25

      96       100,320  

5.00%, 02/01/28

      52       53,755  

Chobani LLC/Chobani Finance Corp., Inc.

     

7.50%, 04/15/25

      272       280,010  

4.63%, 11/15/28

      76       78,087  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31

      113       114,695  

Pilgrim’s Pride Corp.

     

4.25%, 04/15/31

      8       8,400  

3.50%, 03/01/32

      178       179,780  

Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29

      110       108,350  
     

 

 

 
        923,397  
Gas Utilities — 0.0%                  

Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(d)

      42       42,473  
     

 

 

 
Health Care Equipment & Supplies(d) — 0.1%  

Avantor Funding, Inc.

     

4.63%, 07/15/28

      318       331,515  

3.88%, 11/01/29

      63       63,687  

Hologic, Inc., 3.25%, 02/15/29

      28       28,000  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA

     

7.38%, 06/01/25

      171       180,405  

7.25%, 02/01/28

      134       144,050  
     

 

 

 
        747,657  
Health Care Providers & Services — 1.1%  

Acadia Healthcare Co., Inc.(d)

     

5.50%, 07/01/28

      66       69,371  

5.00%, 04/15/29

      44       45,210  

AdaptHealth LLC(d)

     

6.13%, 08/01/28

      24       25,440  

5.13%, 03/01/30

      16       16,280  

AHP Health Partners, Inc., 5.75%, 07/15/29(d)

      101       99,990  

Akumin Escrow, Inc., 7.50%, 08/01/28(d)

      19       17,813  

Cano Health LLC, 6.25%, 10/01/28(d)

      40       40,001  

Centene Corp.

     

4.25%, 12/15/27

      59       61,508  

2.45%, 07/15/28

      198       195,030  

4.63%, 12/15/29

      141       152,063  

3.00%, 10/15/30

      367       373,059  

2.50%, 03/01/31

      400       389,406  

2.63%, 08/01/31

      135       132,300  
Security          Par
(000)
    Value  
Health Care Providers & Services (continued)                  

CHS/Community Health Systems, Inc.(d)

     

6.63%, 02/15/25

    USD       379     $ 392,265  

8.00%, 03/15/26

      410       431,012  

5.63%, 03/15/27

      173       183,091  

6.00%, 01/15/29

      136       145,010  

6.88%, 04/15/29

      34       34,638  

6.13%, 04/01/30

      91       90,028  

DaVita, Inc., 4.63%, 06/01/30(d)

      3       3,071  

Encompass Health Corp.

     

4.50%, 02/01/28

      16       16,460  

4.75%, 02/01/30

      123       126,690  

4.63%, 04/01/31

      66       67,155  

HCA, Inc., 3.50%, 09/01/30

      354       374,134  

Legacy LifePoint Health LLC(d)

     

6.75%, 04/15/25

      116       120,930  

4.38%, 02/15/27

      44       44,330  

LifePoint Health, Inc., 5.38%, 01/15/29(d)

      74       73,630  

ModivCare Escrow Issuer, Inc., 5.00%, 10/01/29(d)

      53       54,127  

ModivCare, Inc., 5.88%, 11/15/25(d)

      23       24,150  

Molina Healthcare, Inc.(d)

     

4.38%, 06/15/28

      12       12,360  

3.88%, 11/15/30

      79       81,962  

3.88%, 05/15/32

      64       64,400  

Mozart Debt Merger Sub, Inc.(d)

     

3.88%, 04/01/29

      130       129,541  

5.25%, 10/01/29

      329       333,488  

Prime Healthcare Services, Inc., 7.25%, 11/01/25(d)

      149       157,940  

RegionalCare Hospital Partners Holdings, Inc./LifePoint Health, Inc., 9.75%, 12/01/26(d)

      17       17,964  

Surgery Center Holdings, Inc.(d)

     

6.75%, 07/01/25

      145       146,087  

10.00%, 04/15/27

      276       293,250  

Teleflex, Inc., 4.25%, 06/01/28(d)

      42       43,268  

Tenet Healthcare Corp.(d)

     

7.50%, 04/01/25

      41       43,150  

4.88%, 01/01/26

      202       207,480  

5.13%, 11/01/27

      343       357,149  

4.63%, 06/15/28

      26       26,715  

6.13%, 10/01/28

      101       106,677  

4.25%, 06/01/29

      51       51,790  
     

 

 

 
          5,871,413  
Health Care Technology — 0.2%                  

Catalent Pharma Solutions, Inc.(d)

     

5.00%, 07/15/27

      41       42,599  

3.13%, 02/15/29

      58       57,211  

3.50%, 04/01/30

      156       155,558  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 03/01/25(d)

      229       230,965  

Charles River Laboratories International, Inc.(d)

     

4.25%, 05/01/28

      46       47,840  

3.75%, 03/15/29

      11       11,110  

4.00%, 03/15/31

      31       31,763  

Chrome Bidco SASU, 3.50%, 05/31/28(a)

    EUR       100       114,703  

MEDNAX, Inc., 6.25%, 01/15/27(d)

    USD       32       33,480  

Syneos Health, Inc., 3.63%, 01/15/29(d)

      154       152,075  
     

 

 

 
        877,304  
Healthcare — 0.0%                  

Akumin, Inc., 7.00%, 11/01/25(d)

      23       21,889  
     

 

 

 
 

 

 

24  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure — 0.9%  

1011778 BC ULC/New Red Finance, Inc.(d)
3.88%, 01/15/28

    USD       60     $ 60,766  

4.38%, 01/15/28

      234       238,680  

Affinity Gaming, 6.88%, 12/15/27(d)

      49       50,960  

Boyd Gaming Corp.
8.63%, 06/01/25(d)

      39       41,789  

4.75%, 12/01/27

      58       59,160  

4.75%, 06/15/31(d)

      160       163,200  

Boyne USA, Inc., 4.75%, 05/15/29(d)

      78       80,340  

Caesars Entertainment, Inc.(d)
6.25%, 07/01/25

      481       504,870  

8.13%, 07/01/27

      357       395,356  

4.63%, 10/15/29

      148       148,000  

Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(d)

      151       157,692  

CCM Merger, Inc., 6.38%, 05/01/26(d)

      53       55,186  

Cedar Fair LP/Canada’s Wonderland

     

Co./Magnum Management Corp./Millennium

     

Op

5.50%, 05/01/25(d)

      384       397,440  

6.50%, 10/01/28

      19       20,235  

Churchill Downs, Inc., 4.75%, 01/15/28(d)

      117       121,095  

Everi Holdings, Inc., 5.00%, 07/15/29(d)

      17       17,170  

Golden Nugget, Inc., 6.75%, 10/15/24(d)

      455       455,000  

Hilton Domestic Operating Co., Inc.
5.75%, 05/01/28(d)

      108       115,389  

4.88%, 01/15/30

      186       198,788  

4.00%, 05/01/31(d)

      73       74,645  

MGM Resorts International, 5.75%, 06/15/25

      73       78,566  

Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29(d)

      80       80,400  

Peninsula Pacific Entertainment LLC/Peninsula

     

Pacific Entertainment Finance, Inc., 8.50%, 11/15/27(d)

      76       82,080  

Penn National Gaming, Inc., 4.13%, 07/01/29(d)

      30       29,100  

Powdr Corp., 6.00%, 08/01/25(d)

      67       69,680  

Premier Entertainment Sub LLC/Premier

     

Entertainment Finance Corp.(d)

5.63%, 09/01/29

      34       33,735  

5.88%, 09/01/31

      37       37,128  

Raptor Acquisition Corp./Raptor Co-Issuer LLC,
4.88%, 11/01/26(d)

      57       57,570  

Scientific Games International, Inc.(d)
8.63%, 07/01/25

      65       69,388  

8.25%, 03/15/26

      301       316,803  

Six Flags Theme Parks, Inc., 7.00%, 07/01/25(d)

      271       289,412  

Station Casinos LLC, 4.63%, 12/01/31(d)

      77       77,631  

Travel + Leisure Co., 6.63%, 07/31/26(d)

      43       47,680  

Vail Resorts, Inc., 6.25%, 05/15/25(d)

      89       92,560  

Wyndham Hotels & Resorts, Inc.,
4.38%, 08/15/28(d)

      44       45,320  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29(d)

      198       200,970  

Yum! Brands, Inc.
4.75%, 01/15/30(d)

      24       25,980  

5.35%, 11/01/43

      14       15,481  
     

 

 

 
          5,005,245  
Security          Par
(000)
    Value  
Household Durables — 0.2%  

Ashton Woods USA LLC/Ashton Woods Finance

     

Co.(d)

     

4.63%, 08/01/29

    USD       32     $ 31,600  

4.63%, 04/01/30

      32       31,440  

Brookfield Residential Properties, Inc./Brookfield

     

Residential US LLC(d)

     

5.00%, 06/15/29

      67       67,047  

4.88%, 02/15/30

      256       261,839  

CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(d)

      104       109,200  

Forestar Group, Inc., 3.85%, 05/15/26(d)

      33       33,083  

K Hovnanian Enterprises, Inc., 10.00%, 11/15/25(d)

      20       21,200  

Mattamy Group Corp., 4.63%, 03/01/30(d)

      72       73,329  

NCR Corp.(d)

     

5.75%, 09/01/27

      20       20,900  

5.00%, 10/01/28

      57       58,710  

5.13%, 04/15/29

      30       31,056  

6.13%, 09/01/29

      78       83,354  

New Home Co., Inc., 7.25%, 10/15/25(d)

      22       22,440  

Newell Brands, Inc., 6.00%, 04/01/46

      35       44,906  

SWF Escrow Issuer Corp., 6.50%, 10/01/29(d)

      88       84,586  

Taylor Morrison Communities, Inc.,

     

5.13%, 08/01/30(d)

      20       22,000  

Tempur Sealy International, Inc.(d)

     

4.00%, 04/15/29

      87       88,523  

3.88%, 10/15/31

      88       88,166  

Tri Pointe Homes, Inc., 5.70%, 06/15/28

      18       19,800  
     

 

 

 
        1,193,179  
Independent Power and Renewable Electricity Producers(d) — 0.2%  

Calpine Corp.

     

5.25%, 06/01/26

      28       28,728  

5.13%, 03/15/28

      451       457,837  

4.63%, 02/01/29

      33       32,546  

5.00%, 02/01/31

      21       21,000  

3.75%, 03/01/31

      4       3,855  

Clearway Energy Operating LLC

     

4.75%, 03/15/28

      20       21,025  

3.75%, 01/15/32

      82       81,385  

NRG Energy, Inc.

     

3.63%, 02/15/31

      91       88,725  

3.88%, 02/15/32

      90       88,200  

TerraForm Power Operating LLC,

     

4.75%, 01/15/30

      74       77,579  

Vistra Corp., (5 year CMT + 6.93%), 8.00%(f)(g)

      138       145,935  
     

 

 

 
        1,046,815  
Insurance(d) — 0.4%                  

Acrisure LLC/Acrisure Finance, Inc.,

     

6.00%, 08/01/29

      71       70,112  

Alliant Holdings Intermediate LLC/Alliant Holdings

 

   

Co-Issuer

     

4.25%, 10/15/27

      371       371,000  

6.75%, 10/15/27

      731       758,412  

5.88%, 11/01/29

      347       353,038  

AmWINS Group, Inc., 4.88%, 06/30/29

 

    82       82,820  

AssuredPartners, Inc., 5.63%, 01/15/29

 

    47       45,708  

BroadStreet Partners, Inc., 5.88%, 04/15/29

 

    40       39,300  

GTCR AP Finance, Inc., 8.00%, 05/15/27

 

    4       4,150  

HUB International Ltd., 7.00%, 05/01/26

      416       427,440  
     

 

 

 
          2,151,980  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  25


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Interactive Media & Services(d) — 0.1%  

Arches Buyer, Inc., 4.25%, 06/01/28

    USD       36     $ 35,981  

Northwest Fiber LLC/Northwest Fiber Finance

     

Sub, Inc.

4.75%, 04/30/27

      96       95,040  

6.00%, 02/15/28

      71       69,580  

10.75%, 06/01/28

      30       32,700  

Twitter, Inc., 3.88%, 12/15/27

      97       101,087  
     

 

 

 
        334,388  
Internet Software & Services(d) — 0.3%  

ANGI Group LLC, 3.88%, 08/15/28

      106       103,615  

Endure Digital, Inc., 6.00%, 02/15/29

      45       41,850  

Go Daddy Operating Co. LLC/GD Finance Co., Inc., 3.50%, 03/01/29

      40       39,694  

Match Group Holdings II LLC
4.63%, 06/01/28

      43       44,737  

4.13%, 08/01/30

      65       65,650  

3.63%, 10/01/31

      35       33,994  

Uber Technologies, Inc.
7.50%, 05/15/25

      242       254,313  

8.00%, 11/01/26

      92       97,980  

7.50%, 09/15/27

      188       204,599  

6.25%, 01/15/28

      314       337,079  

4.50%, 08/15/29

      149       151,733  
     

 

 

 
          1,375,244  
IT Services — 0.6%  

Ahead DB Holdings LLC, 6.63%, 05/01/28(d)

      35       34,738  

Austin BidCo, Inc., 7.13%, 12/15/28(d)

      23       23,748  

Booz Allen Hamilton, Inc.(d)
3.88%, 09/01/28

      101       102,767  

4.00%, 07/01/29

      145       149,768  

CA Magnum Holdings, 5.38%, 10/31/26(d)

      201       207,794  

Camelot Finance SA, 4.50%, 11/01/26(d)

      50       51,750  

Dun & Bradstreet Corp.(d)
6.88%, 08/15/26

      102       106,080  

5.00%, 12/15/29

      113       115,602  

Fair Isaac Corp., 4.00%, 06/15/28(d)

      63       64,760  

Fiserv, Inc., 2.25%, 06/01/27

      1,385       1,409,089  

Gartner, Inc.(d)
4.50%, 07/01/28

      83       86,684  

3.63%, 06/15/29

      82       82,906  

3.75%, 10/01/30

      66       67,478  

KBR, Inc., 4.75%, 09/30/28(d)

      61       62,220  

Rackspace Technology Global, Inc.,
5.38%, 12/01/28(d)

      47       45,825  

Tempo Acquisition LLC/Tempo

     

Acquisition Finance Corp., 5.75%, 06/01/25(d)

      190       196,650  

Twilio, Inc., 3.88%, 03/15/31

      112       113,086  

ZoomInfo Technologies LLC/ZoomInfo Finance

     

Corp., 3.88%, 02/01/29(d)

      157       155,650  
     

 

 

 
        3,076,595  
Leisure Products — 0.1%  

Mattel, Inc.
5.88%, 12/15/27(d)

      34       36,549  

3.75%, 04/01/29(d)

      45       46,631  

6.20%, 10/01/40

      65       84,102  

5.45%, 11/01/41

      119       142,056  
     

 

 

 
        309,338  
Security          Par
(000)
    Value  
Machinery — 0.4%  

ATS Automation Tooling Systems, Inc.,
4.13%, 12/15/28(d)

    USD       35     $ 35,262  

Clark Equipment Co., 5.88%, 06/01/25(d)

      24       24,900  

Colfax Corp., 6.38%, 02/15/26(d)

      63       65,126  

Husky III Holding Ltd., (13.00% Cash or 13.75%

     

PIK), 13.00%, 02/15/25(d)(h)

      445       467,250  

Madison IAQ LLC(d)
4.13%, 06/30/28

      31       31,078  

5.88%, 06/30/29

      849       849,000  

Mueller Water Products, Inc., 4.00%, 06/15/29(d)

      34       34,340  

OT Merger Corp., 7.88%, 10/15/29(d)

      37       36,399  

Platin 1426 GmbH, 5.38%, 06/15/23(a)

    EUR       100       113,623  

Terex Corp., 5.00%, 05/15/29(d)

    USD       92       94,530  

Titan Acquisition Ltd./Titan Co-Borrower LLC,
7.75%, 04/15/26(d)

      155       157,325  

TK Elevator US Newco Inc., 5.25%, 07/15/27(d)

      200       210,250  
     

 

 

 
          2,119,083  
Media — 2.5%  

Adelphia Communications Corp.,
10.50%, 12/31/49(c)

      400        

Advantage Sales & Marketing, Inc.,
6.50%, 11/15/28(d)

      34       35,615  

Altice Financing SA(d)
5.00%, 01/15/28

      204       199,082  

5.75%, 08/15/29

      251       248,490  

Altice France Holding SA(d)
10.50%, 05/15/27

      539       579,425  

6.00%, 02/15/28

      272       259,760  

AMC Entertainment Holdings, Inc., (10.00% Cash
or 12.00% PIK), 10.00%, 06/15/26(d)(h)

      83       82,009  

AMC Networks, Inc., 4.25%, 02/15/29

      39       38,756  

Cable One, Inc.(d)
1.13%, 03/15/28(j)

      66       65,328  

4.00%, 11/15/30

      34       33,320  

CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%, 05/01/27(d)

      48       49,440  

5.00%, 02/01/28(d)

      34       35,360  

5.38%, 06/01/29(d)

      117       126,259  

4.50%, 08/15/30(d)

      113       115,620  

4.25%, 02/01/31(d)

      263       265,309  

4.50%, 05/01/32

      231       237,641  

4.50%, 06/01/33(d)

      95       96,922  

4.25%, 01/15/34(d)

      294       289,245  

Clear Channel International BV, 6.63%,
08/01/25(d)

      200       207,500  

Clear Channel Outdoor Holdings, Inc.(d)
7.75%, 04/15/28

      189       202,230  

7.50%, 06/01/29

      256       273,280  

Clear Channel Worldwide Holdings, Inc.,
5.13%, 08/15/27(d)

      659       681,907  

Connect Finco Sarl/Connect US Finco LLC,
6.75%, 10/01/26(d)

      738       775,822  

CSC Holdings LLC
5.25%, 06/01/24

      344       357,760  

4.13%, 12/01/30(d)

      223       217,704  

3.38%, 02/15/31(d)

      205       191,931  

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, 08/15/27(d)

      155       158,675  

DISH DBS Corp.
5.88%, 07/15/22

      582       591,457  

7.75%, 07/01/26

      71       74,905  
 

 

 

26  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Media (continued)

     

DISH DBS Corp. (continued)

     

5.25%, 12/01/26(d)

    USD       392     $ 398,188  

5.75%, 12/01/28(d)

      301       304,010  

5.13%, 06/01/29

      107       97,370  

Frontier Communications Holdings LLC(d)

     

5.88%, 10/15/27

      138       145,935  

5.00%, 05/01/28

      241       248,230  

6.75%, 05/01/29

      146       151,840  

6.00%, 01/15/30

      120       120,600  

GCI LLC, 4.75%, 10/15/28(d)

      29       29,761  

iHeartCommunications, Inc., 8.38%, 05/01/27

      12       11,949  

Iliad Holding SAS(d)

     

6.50%, 10/15/26

      200       210,146  

7.00%, 10/15/28

      200       210,314  

Kaixo Bondco Telecom SA, 5.13%, 09/30/29(a)

    EUR       100       114,440  

Lamar Media Corp., 4.00%, 02/15/30

    USD       57       57,827  

LCPR Senior Secured Financing DAC(d)

     

6.75%, 10/15/27

      180       189,000  

5.13%, 07/15/29

      200       201,000  

Liberty Broadband Corp., 2.75%, 09/30/50(d)(j)

      481       487,246  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(d)(h)

      199       156,008  

Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(d)

      42       42,735  

Live Nation Entertainment, Inc.(d)

     

4.88%, 11/01/24

      9       9,090  

6.50%, 05/15/27

      357       390,469  

4.75%, 10/15/27

      30       30,825  

3.75%, 01/15/28

      49       48,633  

Midas OpCo Holdings LLC, 5.63%, 08/15/29(d)

      32       32,760  

Outfront Media Capital LLC/Outfront Media Capital Corp.(d)

     

5.00%, 08/15/27

      25       25,582  

4.25%, 01/15/29

      35       35,064  

Radiate Holdco LLC/Radiate Finance, Inc.(d) 4.50%, 09/15/26

      737       744,370  

6.50%, 09/15/28

      385       386,746  

Scripps Escrow II, Inc., 3.88%, 01/15/29(d)

      5       4,994  

Sinclair Television Group Inc., 4.13%, 12/01/30(d)

      100       94,750  

Sirius XM Radio, Inc.(d)

     

3.13%, 09/01/26

      156       156,045  

4.00%, 07/15/28

      163       163,911  

5.50%, 07/01/29

      5       5,388  

4.13%, 07/01/30

      45       45,000  

3.88%, 09/01/31

      207       202,953  

Telesat Canada/Telesat LLC, 4.88%, 06/01/27(d)

      47       41,501  

Terrier Media Buyer, Inc., 8.88%, 12/15/27(d)

      100       108,077  

Univision Communications, Inc.(d)

     

5.13%, 02/15/25

      107       108,070  

6.63%, 06/01/27

      6       6,465  

UPC Broadband Finco BV, 4.88%, 07/15/31(d)

      200       204,000  

Videotron Ltd., 3.63%, 06/15/29(d)

      94       94,470  

Virgin Media Secured Finance PLC, 4.50%, 08/15/30(d)

      200         201,262  

Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(d)

      242       243,826  

WMG Acquisition Corp., 3.88%, 07/15/30(d)

      7       7,114  
Security          Par
(000)
    Value  

Media (continued)

     

Ziggo Bond Co. BV, 5.13%, 02/28/30(d)

    USD       200     $ 201,000  

Ziggo BV, 5.50%, 01/15/27(d)

      150       154,125  
   

 

 

 
          13,413,841  
Metals & Mining — 0.5%                  

Allegheny Technologies, Inc.

     

4.88%, 10/01/29

      32       32,032  

5.13%, 10/01/31

      37       37,278  

Arconic Corp.(d)

     

6.00%, 05/15/25

      13       13,585  

6.13%, 02/15/28

      145       154,309  

Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(d)

      334       361,137  

Constellium SE, 3.75%, 04/15/29(d)

      500       491,947  

Freeport-McMoRan, Inc.

     

4.38%, 08/01/28

      92       96,485  

5.40%, 11/14/34

      11       13,393  

5.45%, 03/15/43

      365       458,838  

Joseph T Ryerson & Son, Inc., 8.50%, 08/01/28(d)

 

    38       41,325  

Kaiser Aluminum Corp.(d)

     

4.63%, 03/01/28

      75       75,750  

4.50%, 06/01/31

      38       37,383  

New Gold, Inc., 7.50%, 07/15/27(d)

      170       180,625  

Novelis Corp.(d)

     

3.25%, 11/15/26

      133       134,164  

4.75%, 01/30/30

      364       382,655  

3.88%, 08/15/31

      139       138,131  

Roller Bearing Co. of America, Inc.,

     

4.38%, 10/15/29(d)

      39       39,780  

United States Steel Corp., 6.88%, 03/01/29

      130       139,912  
   

 

 

 
          2,828,729  
Mortgage Real Estate Investment Trusts (REITs) — 0.0%  

Starwood Property Trust, Inc., 5.50%, 11/01/23(d)

      9       9,315  
   

 

 

 
Multiline Retail — 0.0%                  

NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(d)

      123       130,549  
   

 

 

 
Offshore Drilling & Other Services — 0.0%                  

Entegris, Inc., 3.63%, 05/01/29(d)

      31       31,078  
   

 

 

 
Oil, Gas & Consumable Fuels — 2.7%                  

Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(d)

      110       118,162  

Antero Midstream Partners LP/Antero Midstream Finance Corp.(d)

     

5.75%, 03/01/27

      66       68,393  

5.75%, 01/15/28

      15       15,729  

5.38%, 06/15/29

      66       69,631  

Antero Resources Corp.(d)

     

7.63%, 02/01/29

      53       58,830  

5.38%, 03/01/30

      25       26,725  

Apache Corp.

     

4.25%, 01/15/30

      62       67,282  

5.10%, 09/01/40

      174       196,620  

5.25%, 02/01/42

      18       20,790  

5.35%, 07/01/49

      23       26,278  

Arcosa, Inc., 4.38%, 04/15/29(d)

      117       118,609  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(d)

     

9.00%, 11/01/27

      222       296,370  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  27


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

     

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(d) (continued)

     

5.88%, 06/30/29

    USD       146     $   140,480  

Brand Industrial Services, Inc., 8.50%, 07/15/25(d)

      314       313,708  

Buckeye Partners LP
5.85%, 11/15/43

      16       15,700  

5.60%, 10/15/44

      6       5,842  

Callon Petroleum Co.
6.13%, 10/01/24

      33       32,505  

9.00%, 04/01/25(d)

      227       245,160  

8.00%, 08/01/28(d)

      197       198,970  

Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(a)

    EUR       100       111,943  

Cheniere Energy Partners LP
4.50%, 10/01/29

    USD       190       201,400  

4.00%, 03/01/31

      230       241,258  

3.25%, 01/31/32(d)

      178       179,780  

Cheniere Energy, Inc., 4.63%, 10/15/28

      540       574,409  

Chesapeake Energy Corp., 5.88%, 02/01/29(d)

      5       5,349  

CITGO Petroleum Corp.(d)
7.00%, 06/15/25

      90       92,618  

6.38%, 06/15/26

      74       75,110  

Civitas Resources, Inc., 5.00%, 10/15/26(d)

      28       28,274  

CNX Midstream Partners LP, 4.75%, 04/15/30(d)

      30       29,888  

CNX Resources Corp., 6.00%, 01/15/29(d)

      27       28,080  

Colgate Energy Partners III LLC(d)
7.75%, 02/15/26

      38       41,040  

5.88%, 07/01/29

      129       132,870  

Comstock Resources, Inc.(d)
7.50%, 05/15/25

      96       99,000  

6.75%, 03/01/29

      161       174,621  

5.88%, 01/15/30

      106       108,650  

CQP Holdco LP/BIP-V Chinook Holdco LLC,
5.50%, 06/15/31(d)

      250       260,937  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.00%, 02/01/29(d)

      2       2,077  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(d)

      435       444,787  

DCP Midstream Operating LP(d)
6.45%, 11/03/36

      250       327,170  

6.75%, 09/15/37

      10       13,377  

DT Midstream, Inc.(d)
4.13%, 06/15/29

      139       142,301  

4.38%, 06/15/31

      178       185,120  

Dycom Industries, Inc., 4.50%, 04/15/29(d)

      33       33,619  

eG Global Finance PLC
6.75%, 02/07/25(d)

      200       202,500  

6.25%, 10/30/25(a)

    EUR       142       165,709  

Energy Transfer LP, Series H, (5 year CMT + 5.69%), 6.50%(f)(g)

    USD       204       207,570  

EnLink Midstream LLC, 5.63%, 01/15/28(d)

      56       58,240  

EnLink Midstream Partners LP
4.40%, 04/01/24

      136       142,120  

4.85%, 07/15/26

      39       41,048  

5.60%, 04/01/44

      74       74,635  

EQM Midstream Partners LP

6.00%, 07/01/25(d)

      88       95,700  

4.13%, 12/01/26

      17       17,425  

6.50%, 07/01/27(d)

      117       131,040  

4.50%, 01/15/29(d)

      55       57,200  
Security          Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

     

EQM Midstream Partners LP (continued)

     

4.75%, 01/15/31(d)

    USD       236     $   249,570  

EQT Corp.
3.13%, 05/15/26(d)

      57       58,512  

3.90%, 10/01/27

      116       124,412  

5.00%, 01/15/29

      10       11,075  

7.50%, 02/01/30

      39       50,115  

3.63%, 05/15/31(d)

      16       16,600  

Great Western Petroleum LLC/Great Western Finance Corp., 12.00%, 09/01/25(d)

      6       6,300  

Harvest Midstream I LP, 7.50%, 09/01/28(d)

      20       21,400  

Hess Midstream Operations LP, 4.25%, 02/15/30(d)

      82       81,385  

Howard Midstream Energy Partners LLC, 6.75%, 01/15/27(d)

      17       17,420  

Independence Energy Finance LLC, 7.25%, 05/01/26(d)

      157       163,084  

ITT Holdings LLC, 6.50%, 08/01/29(d)

      109       107,910  

MasTec, Inc., 4.50%, 08/15/28(d)

      66       68,557  

Matador Resources Co., 5.88%, 09/15/26

      152       156,560  

Murphy Oil Corp., 5.75%, 08/15/25

      55       56,533  

Murphy Oil USA, Inc., 4.75%, 09/15/29

      109       114,722  

Nabors Industries Ltd.(d)
7.25%, 01/15/26

      17       15,725  

7.50%, 01/15/28

      44       39,820  

Nabors Industries, Inc., 7.38%, 05/15/27(d)

      66       68,323  

New Fortress Energy, Inc.(d)
6.75%, 09/15/25

      296       298,960  

6.50%, 09/30/26

      309       306,682  

NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(d)

      80       82,504  

NGPL PipeCo LLC, 7.77%, 12/15/37(d)

      186       260,407  

Northern Oil and Gas, Inc., 8.13%, 03/01/28(d)

      203       214,165  

NuStar Logistics LP
5.75%, 10/01/25

      41       44,121  

6.00%, 06/01/26

      124       134,540  

6.38%, 10/01/30

      2       2,220  

Occidental Petroleum Corp.
6.95%, 07/01/24

      19       21,125  

5.50%, 12/01/25

      33       36,609  

5.55%, 03/15/26

      12       13,360  

3.00%, 02/15/27

      2       2,030  

8.88%, 07/15/30

      2       2,697  

4.30%, 08/15/39

      186       185,492  

6.20%, 03/15/40

      291       357,930  

4.50%, 07/15/44

      98       100,940  

4.63%, 06/15/45

      197       204,387  

6.60%, 03/15/46

      7       9,083  

4.40%, 04/15/46

      230       235,750  

4.10%, 02/15/47

      33       32,340  

4.20%, 03/15/48

      133       133,000  

4.40%, 08/15/49

      35       35,438  

PDC Energy, Inc., 6.13%, 09/15/24

      68       68,850  

Range Resources Corp.
4.88%, 05/15/25

      39       40,268  

9.25%, 02/01/26

      19       20,478  

Rockcliff Energy II LLC, 5.50%, 10/15/29(d)

      104       107,120  

SM Energy Co.
10.00%, 01/15/25(d)

      242       266,355  

5.63%, 06/01/25

      22       22,165  
 

 

 

28  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Oil, Gas & Consumable Fuels (continued)

     

SM Energy Co. (continued)

     

6.75%, 09/15/26

    USD       37     $ 38,018  

6.50%, 07/15/28

      23       23,805  

Southwestern Energy Co.
5.38%, 02/01/29

      124       131,130  

4.75%, 02/01/32

      72       75,824  

Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 8.50%, 10/15/26(d)

      43       44,803  

Sunoco LP/Sunoco Finance Corp., 5.88%, 03/15/28

      151       159,682  

Tap Rock Resources LLC, 7.00%, 10/01/26(d)

      237       246,480  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.38%, 02/01/27

      17       17,520  

5.50%, 03/01/30

      267       291,697  

4.88%, 02/01/31

      89       96,650  

Transocean, Inc., 11.50%, 01/30/27(d)

      167       163,660  

Venture Global Calcasieu Pass LLC(d)
3.88%, 08/15/29

      250       259,375  

4.13%, 08/15/31

      228       241,680  

3.88%, 11/01/33

      471       494,823  

Vine Energy Holdings LLC, 6.75%, 04/15/29(d)

      188       203,980  

Western Midstream Operating LP
4.75%, 08/15/28

      95       104,975  

5.45%, 04/01/44

      217       259,315  

5.30%, 03/01/48

      51       61,455  

5.50%, 08/15/48

      13       15,529  

6.50%, 02/01/50

      157       185,653  
   

 

 

 
          14,545,742  
Personal Products — 0.0%                  

Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC, 4.75%, 01/15/29(d)

      48       48,780  
   

 

 

 
Pharmaceuticals — 0.5%                  

Bausch Health Americas, Inc., 8.50%, 01/31/27(d)

      93       97,650  

Bausch Health Cos., Inc.(d)
9.00%, 12/15/25

      255       268,561  

7.00%, 01/15/28

      119       118,405  

4.88%, 06/01/28

      45       45,900  

5.00%, 02/15/29

      122       107,665  

6.25%, 02/15/29

      108       102,626  

Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(a)

    EUR       100       118,637  

Elanco Animal Health, Inc., 5.90%, 08/28/28

    USD       57       66,120  

Endo Dac/Endo Finance LLC/Endo Finco, Inc., 9.50%, 07/31/27(d)

      240       244,301  

Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(d)

      154       150,920  

Gruenenthal GmbH, 4.13%, 05/15/28(a)

    EUR       100       117,310  

Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(a)

      200       226,934  

Option Care Health, Inc., 4.38%, 10/31/29(d)

    USD       43       43,108  

Organon & Co./Organon Foreign Debt Co-Issuer BV(d)
4.13%, 04/30/28

      200       203,250  

5.13%, 04/30/31

      200       208,936  
Security          Par
(000)
    Value  

Pharmaceuticals (continued)

     

P&L Development LLC/PLD Finance Corp.,

     

7.75%, 11/15/25(d)

    USD       88     $ 88,110  

Par Pharmaceutical, Inc., 7.50%, 04/01/27(d)

      282       288,184  

PRA Health Sciences, Inc., 2.88%, 07/15/26(d)

      200       200,250  

Prestige Brands, Inc., 3.75%, 04/01/31(d)

      70       67,900  

Teva Pharmaceutical Finance Netherlands II BV,

     

3.75%, 05/09/27

    EUR       100       113,195  
   

 

 

 
          2,877,962  
Real Estate Management & Development — 0.1%  

Cushman & Wakefield U.S. Borrower LLC, 6.75%, 05/15/28(d)

    USD       90       96,300  

DIC Asset AG, 2.25%, 09/22/26(a)

    EUR       100       107,873  

Howard Hughes Corp.(d)

     

5.38%, 08/01/28

    USD       8       8,520  

4.13%, 02/01/29

      51       51,681  

4.38%, 02/01/31

      63       63,630  

Kennedy-Wilson, Inc., 4.75%, 02/01/30

      44       44,603  

Realogy Group LLC/Realogy Co-Issuer Corp.(d)

     

7.63%, 06/15/25

      41       43,460  

5.75%, 01/15/29

      91       93,275  

Unique Pub Finance Co. PLC, Series A4, 5.66%, 06/30/27(a)

    GBP       41       61,616  

WeWork Cos. LLC/WW Co-Obligor, Inc., 5.00%, 07/10/25(d)

    USD       104       90,284  
   

 

 

 
        661,242  
Road & Rail — 0.0%                  

Autostrade per l’Italia SpA, 2.00%, 01/15/30(a)

    EUR       100       117,311  

Seaspan Corp., 5.50%, 08/01/29(d)

    USD       101       101,505  
   

 

 

 
        218,816  
Semiconductors & Semiconductor Equipment(d) — 0.1%  

ON Semiconductor Corp., 3.88%, 09/01/28

      106       108,650  

Sensata Technologies BV, 4.00%, 04/15/29

      78       79,658  

Sensata Technologies, Inc.

     

4.38%, 02/15/30

      164       172,200  

3.75%, 02/15/31

      49       48,826  

Synaptics, Inc., 4.00%, 06/15/29

      61       61,915  
   

 

 

 
        471,249  
Software — 0.4%                  

Black Knight InfoServ LLC, 3.63%, 09/01/28(d)

      122       121,840  

Boxer Parent Co., Inc.(d)

     

7.13%, 10/02/25

      148       155,215  

9.13%, 03/01/26

      215       224,137  

Crowdstrike Holdings, Inc., 3.00%, 02/15/29

      88       86,900  

Elastic NV, 4.13%, 07/15/29(d)

      120       118,726  

Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(d)

      112       114,629  

MicroStrategy, Inc., 6.13%, 06/15/28(d)

      102       102,255  

MSCI, Inc.(d)

     

3.63%, 09/01/30

      64       65,440  

3.88%, 02/15/31

      16       16,660  

3.63%, 11/01/31

      41       42,538  

3.25%, 08/15/33

      58       58,652  

Open Text Corp.(d)

     

3.88%, 02/15/28

      2       2,039  

3.88%, 12/01/29

      50       50,625  

Playtika Holding Corp., 4.25%, 03/15/29(d)

      122       119,560  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  29


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Software (continued)

     

PTC, Inc., 4.00%, 02/15/28(d)

    USD       80     $ 81,400  

Rocket Software, Inc., 6.50%, 02/15/29(d)

      49       47,804  

SS&C Technologies, Inc., 5.50%, 09/30/27(d)

      285       297,825  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%, 09/01/25(d)

      501       518,535  
   

 

 

 
          2,224,780  
Specialty Retail(d) — 0.2%                  

Arko Corp., 5.13%, 11/15/29

      58       56,042  

PetSmart, Inc./PetSmart Finance Corp., 7.75%, 02/15/29

      503       546,384  

Staples, Inc.

     

7.50%, 04/15/26

      130       133,575  

10.75%, 04/15/27

      58       54,665  
   

 

 

 
        790,666  
Technology Hardware, Storage & Peripherals — 0.0%  

II-VI, Inc., 5.00%, 12/15/29(d)

      111       113,355  
   

 

 

 
Textiles, Apparel & Luxury Goods(d) — 0.0%                  

Crocs, Inc.

     

4.25%, 03/15/29

      56       55,300  

4.13%, 08/15/31

      63       61,582  

Kontoor Brands, Inc., 4.13%, 11/15/29

      32       32,000  

Levi Strauss & Co., 3.50%, 03/01/31

      35       35,687  

William Carter Co., 5.50%, 05/15/25

      11       11,413  

Wolverine World Wide, Inc., 4.00%, 08/15/29

      33       32,085  
   

 

 

 
        228,067  
Thrifts & Mortgage Finance — 0.1%                  

Enact Holdings, Inc., 6.50%, 08/15/25(d)

      129       140,932  

Home Point Capital, Inc., 5.00%, 02/01/26(d)

      65       60,288  

MGIC Investment Corp., 5.25%, 08/15/28

      47       49,350  

Nationstar Mortgage Holdings, Inc.(d)

     

6.00%, 01/15/27

      54       56,252  

5.13%, 12/15/30

      34       33,575  

5.75%, 11/15/31

      32       31,840  

Rocket Mortgage LLC/Rocket Mortgage Co- Issuer, Inc., 2.88%, 10/15/26(d)

      60       59,550  
   

 

 

 
        431,787  
Utilities(d) — 0.0%                  

Consensus Cloud Solutions, Inc.

     

6.00%, 10/15/26

      23       23,922  

6.50%, 10/15/28

      20       20,900  

Vistra Operations Co. LLC

     

5.63%, 02/15/27

      99       101,970  

4.38%, 05/01/29

      73       73,119  
   

 

 

 
        219,911  
Wireless Telecommunication Services — 0.5%              

Altice France SA(d)

     

8.13%, 02/01/27

      334       356,963  

5.13%, 07/15/29

      351       342,383  

5.50%, 10/15/29

      200       197,000  

SBA Communications Corp., 3.88%, 02/15/27

      420       432,600  

T-Mobile USA, Inc.

     

2.63%, 02/15/29

      45       44,325  

2.88%, 02/15/31

      133       131,351  

3.50%, 04/15/31

      138       143,572  

3.50%, 04/15/31(d)

      116       120,684  
Security          Par
(000)
    Value  

Wireless Telecommunication Services (continued)

 

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%, 02/15/29(d)

    USD       140     $ 139,519  

VICI Properties LP/VICI Note Co., Inc.(d)

     

4.25%, 12/01/26

      392       408,256  

4.63%, 12/01/29

      321       341,616  

4.13%, 08/15/30

      24       25,380  

Vmed O2 UK Financing I PLC, 4.75%, 07/15/31(d)

 

    200       202,500  
   

 

 

 
        2,886,149  
   

 

 

 

Total Corporate Bonds — 20.8%
(Cost: $118,537,705)

          112,254,485  
   

 

 

 

Floating Rate Loan Interests(f)

     

Aerospace & Defense — 4.6%

     

Atlas CC Acquisition Corp.

     

Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28

      5,594       5,599,067  

Term Loan C, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28

      1,138       1,138,793  

Bleriot US Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.22%, 10/31/26

      816       814,455  

Cobham Ultra SeniorCo Sarl, USD Term Loan B, 11/16/28(k)

      326       324,676  

Dynasty Acquisition Co., Inc.

     

2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.72%, 04/06/26

      1,786       1,735,126  

2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.72%, 04/06/26

      3,322       3,227,334  

Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.63%, 04/09/26

      770       652,761  

Peraton Holding Corp.

     

2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%), 8.50%, 02/01/29

      2,002       2,024,522  

Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/01/28

      6,054       6,051,784  

Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 01/15/25

      884       884,308  

TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.35%, 12/09/25

      2,394       2,358,664  
   

 

 

 
        24,811,490  
Air Freight & Logistics — 0.4%                  

AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 04/06/28

      515       513,645  

Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

      1,554       1,504,387  
   

 

 

 
        2,018,032  
Airlines — 2.2%                  

AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28

      1,131       1,169,974  

Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28

      1,802       1,794,992  

American Airlines, Inc.

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 01/29/27

      577       541,871  

2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 2.11%, 12/15/23

 

    2,232       2,180,766  
 

 

 

30  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Airlines (continued)

     

Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27

    USD       2,644     $ 2,784,235  

United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/21/28

      3,295       3,299,581  
   

 

 

 
          11,771,419  
Auto Components — 2.4%                  

Adient US LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 04/08/28

      724       723,607  

Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26

      3,217       3,194,943  

Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 01/31/28

      2,218       2,203,863  

USI, Inc.

     

2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.22%, 05/16/24

      4,348       4,311,225  

2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 3.47%, 12/02/26

      248       246,040  

Wand NewCo 3, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 3.18%, 02/05/26

      2,302       2,266,022  
   

 

 

 
        12,945,700  
Banks — 0.7%                  

Directv Financing LLC, (3 mo. LIBOR + 5.00%), 5.75%, 08/02/27

      2,450       2,450,856  

LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 5.50%, 10/29/28

      1,419       1,415,453  
   

 

 

 
        3,866,309  
Building Materials — 0.1%                  

CHI Overhead Doors, Inc, Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25

      161       160,914  

Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 04/12/28

      518       515,738  
   

 

 

 
        676,652  
Building Products — 2.2%                  

CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 11/23/27

      2,600       2,585,365  

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 2.50%), 3.25%, 05/05/24

      1,528       1,527,196  

Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 07/28/28

      727       726,055  

LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 4.00%), 4.00%, 04/12/28

    EUR       1,000       1,138,261  

MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27

    USD       469       470,874  

Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/22/28

      1,437       1,437,965  

Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/19/26

      3,714       3,710,629  
   

 

 

 
        11,596,345  
Capital Markets — 2.4%                  

AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.00%, 08/02/29

      2,373       2,372,600  
Security          Par
(000)
    Value  

Capital Markets (continued)

     

Deerfield Dakota Holding LLC

     

2020 USD Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27

    USD       5,464     $ 5,466,178  

2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 7.50%, 04/07/28

      1,594       1,621,895  

Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27

      1,438       1,435,474  

FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 06/27/25

      (l)       247  

Focus Financial Partners LLC

     

2021 Delayed Draw Term Loan, (PRIME + 1.50%), 4.75%, 06/24/28

      245       243,919  

2021 Term Loan, (1 mo. LIBOR + 2.50%), 3.00%, 07/01/28

      1,061       1,054,339  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/12/24

      520       518,891  
   

 

 

 
          12,713,543  
Chemicals — 4.6%                  

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%), 5.50%, 08/27/26

      2,929       2,942,164  

Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 03/18/28

      3,076       3,067,856  

Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.97%, 06/01/24

      1,249       1,247,360  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24

      1,336       1,325,128  

Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.10%, 01/31/26

      1,764       1,755,792  

Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 06/30/27

      1,240       1,230,950  

Lonza Group AG, USD Term Loan B, (6 mo. LIBOR + 4.00%), 4.75%, 07/03/28

      915       914,155  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.72%, 03/02/26

      2,824       2,798,947  

Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 02/14/24(c)

      378       378,403  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24

      1,523       1,520,087  

NIC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/29/27

      650       640,336  

Oxea Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 3.44%, 10/14/24

      1,533       1,518,118  

PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 06/09/28

      1,538       1,535,517  

Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.50%, 07/31/26(c)

      623       619,108  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 03/16/27

      942       932,112  

Sparta U.S. HoldCo LLC, 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 08/02/28

      1,248       1,248,387  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  31


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Chemicals (continued)

     

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/01/25

    USD       332     $ 330,588  

W.R. Grace & Co.-Conn., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 09/22/28

      475       475,356  
     

 

 

 
          24,480,364  
Commercial Services & Supplies — 4.2%                  

Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 05/12/28

      2,328       2,317,243  

Asurion LLC

     

2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 3.23%, 11/03/23

      1,208       1,204,045  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24

      916       911,445  

2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26

      697       691,661  

2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 5.35%, 01/31/28(c)

      986       987,848  

2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 5.35%, 01/20/29

      1,402       1,395,284  

Clean Harbors Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 10/08/28

      618       616,844  

Covanta Holding Corp.(k)

     

2021 Term Loan B, 11/30/28

      999       999,838  

2021 Term Loan C, 11/30/28

      75       74,894  

Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/27/26

      1,711       1,705,148  

Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25

      2,680       2,676,280  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25

      448       446,697  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26(c)

      1,329       1,302,283  

Packers Holdings LLC, 2021 Term Loan, (6 mo. LIBOR + 3.25%), 4.00%, 03/09/28

      1,482       1,471,485  

Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 3.50%, 09/23/26

      1,494       1,492,075  

Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 06/16/26

      396       358,705  

Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.10%, 08/27/25

      3,263       3,259,129  

Viad Corp, Initial Term Loan, (3 mo. LIBOR + 5.00%), 5.50%, 07/30/28

      694       692,094  
     

 

 

 
        22,602,998  
Construction & Engineering — 1.9%                  

Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24

      3,581       3,496,961  

New Arclin U.S. Holding Corp., 2021 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 09/30/29(c)

      815       802,775  
Security          Par
(000)
    Value  

Construction & Engineering (continued)

     

Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 3.11%, 01/21/28

    USD       925     $ 920,875  

SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 06/02/28

      3,448       3,437,357  

USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 05/12/28

      1,561       1,557,561  
     

 

 

 
          10,215,529  
Construction Materials — 1.8%                  

Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 07/27/28

      6,018       5,975,313  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25

      2,122       2,101,664  

Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23

      993       991,656  

Tamko Building Products, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 3.22%, 06/01/26

      770       764,669  
     

 

 

 
        9,833,302  
Containers & Packaging — 1.9%                  

BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/03/24

      2,230       2,198,473  

Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/01/27

      3,775       3,779,672  

Flex Acquisition Co., Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/02/28

      1,926       1,920,455  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.10%, 07/31/26

      546       543,126  

Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 08/18/27

      1,039       1,035,623  

Trident TPI Holdings, Inc.
2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 4.00%, 09/15/28

      51       50,970  

2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 4.50%, 09/15/28

      893       891,662  
     

 

 

 
        10,419,981  
Distributors — 0.9%                  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/27

      1,302       1,292,217  

TMK Hawk Parent Corp.

     

2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24

      1,000       951,910  

2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24

      3,246       2,790,365  
     

 

 

 
        5,034,492  
Diversified Consumer Services — 2.8%                  

Ascend Learning, LLC

     

2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.75%), 6.25%, 12/10/29

      535       535,893  

2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 12/11/28

      2,365       2,359,584  
 

 

 

32  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Diversified Consumer Services (continued)

 

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 11/24/28

    USD       820     $ 817,950  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 07/11/25

      2,612       2,599,162  

Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25

      2,743       2,583,616  

Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 2.40%, 05/15/24

      1,109       1,101,346  

Ola Singapore PTE, Ltd., Term Loan, 12/03/26(c)(k)

      767       770,835  

PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/28/27

      516       515,258  

Serta Simmons Bedding LLC

     

2020 Super Priority First Out Term Loan, (3 mo. LIBOR + 7.50%), 8.50%, 08/10/23

      417       420,407  

2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23

      854       796,433  

Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.00%, 01/15/27

      1,675       1,674,875  

Voyage Australia Pty Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 07/20/28

      657       656,735  
     

 

 

 
          14,832,094  
Diversified Financial Services — 9.2%                  

Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 4.60%, 07/31/26

      1,244       1,247,744  

Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 03/10/28(c)

      754       753,482  

AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 02/04/28

      1,539       1,532,191  

APi Group DE, Inc., 2021 Incremental Term Loan B, 0.00%, 12/18/28

      707       705,989  

AQGEN Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 08/02/28

      3,129       3,112,573  

Belron Finance US LLC, 2021 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 04/13/28

      1,728       1,725,653  

Castlelake Aviation Ltd., Term Loan B, 10/22/26(k)

      2,058       2,052,099  

Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 09/01/28

      2,826       2,810,994  

Delta TopCo, Inc.

     

2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/01/28

      595       597,416  

2020 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 12/01/27

      3,254       3,254,821  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.22%, 02/07/25

      1,149       1,143,514  

I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 02/16/28

      760       761,992  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24

      1,328       1,319,376  
Security          Par
(000)
    Value  

Diversified Financial Services (continued)

     

KKR Apple Bidco LLC

     

2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 6.25%, 09/21/29

    USD       218     $ 220,385  

2021 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 09/23/28

      534       531,773  

LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27

      2,779       2,756,379  

LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 11/02/27

      899       898,698  

Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27

      4,300       4,299,468  

PECF USS Intermediate Holding III Corp., Term Loan B, 12/15/28

      1,246       1,246,108  

Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 09/25/26

      2,134       2,125,336  

RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 02/08/28

      646       644,206  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 2.14%, 11/05/28

      1,175       1,173,531  

SMG US Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 2.63%, 01/23/25

      1,717       1,665,420  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.47%, 07/30/25

      2,050       1,974,970  

Veritas US, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25

      6,625       6,618,565  

VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27

      1,306       1,298,585  

White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.50%, 10/19/27

      1,100       1,100,011  

Ziggo Financing Partnership, USD Term Loan I, (3 mo. LIBOR + 2.50%), 2.61%, 04/30/28

      1,876       1,854,107  
   

 

 

 
          49,425,386  
Diversified Telecommunication Services — 2.0%  

Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/30/27

      505       503,638  

Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.25%, 10/02/27

      713       710,909  

Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 05/01/28

      1,771       1,767,204  

Intelsat Jackson Holdings SA

     

2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23

      455       453,671  

2021 DIP Term Loan, (3 mo. LIBOR + 4.75%), 5.75%, 10/13/22

      179       179,268  

Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 11/04/26

      1,706       1,704,643  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27

      1,676       1,653,310  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  33


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Diversified Telecommunication Services (continued)

 

Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 07/24/28

    USD       1,783     $ 1,774,085  

Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.34%, 01/15/27

    GBP       1,400       1,868,232  
   

 

 

 
          10,614,960  
Electric Utilities — 1.0%                  

ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 12/15/27

    USD       1,176       1,174,270  

Triton Water Holdings, Inc, Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/31/28

      4,306       4,256,442  
   

 

 

 
        5,430,712  
Electrical Equipment — 0.9%                  

Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 06/23/28

      1,351       1,347,238  

Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%), 3.25%, 03/31/27

      2,157       2,151,125  

II-VI Incorporated, 2021 Bridge Term Loan B, 12/01/28(k)

      1,519       1,515,203  
   

 

 

 
        5,013,566  
Entertainment — 0.3%                  

MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%), 7.00%, 11/12/25(c)

      1,741       1,776,238  
   

 

 

 
Environmental, Maintenance & Security Service — 0.5%  

Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27

      1,753       1,744,539  

TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.75%, 11/02/27

      1,078       1,078,760  
   

 

 

 
        2,823,299  
Food & Staples Retailing — 0.5%                  

H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25

      480       476,985  

US Foods, Inc.

     

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26

      739       730,326  

2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 11/17/28

      1,388       1,386,024  
   

 

 

 
        2,593,335  
Food Products — 2.3%                  

8th Avenue Food & Provisions, Inc.

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/01/25

      1,099       1,081,264  

2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 5.50%, 10/01/25(c)

      1,348       1,358,393  

B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.60%, 10/10/26

      415       413,832  

Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/25/27

      2,739       2,743,434  

Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27

      3,289       3,241,774  
Security           Par
(000)
     Value  

Food Products (continued)

       

Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26

    USD        1,686      $ 1,674,678  

Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 06/08/28

       1,345        1,342,869  

UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 01/20/28

       609        607,531  
    

 

 

 
            12,463,775  
Health Care Equipment & Supplies — 2.1%  

Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 11/03/28

       2,172        2,169,285  

Electron BidCo Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 11/01/28

       1,934        1,926,879  

Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 05/04/28

       682        681,152  

Medline Industries, Inc., USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 10/23/28

       3,001        2,999,793  

Ortho-Clinical Diagnostics SA

       

2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/25

       2,034        2,031,811  

EUR Term Loan B, (EURIBOR + 3.50%), 3.50%, 06/30/25

    EUR        874        994,891  

Toruk AS, 2021 USD Term Loan B, 11/02/28(k)

    USD        570        557,285  
    

 

 

 
          11,361,096  
Health Care Providers & Services — 2.7%  

CCRR Parent, Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 03/06/28

       1,412        1,409,487  

CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28

       908        906,817  

Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27

       1,418        1,417,583  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25

       1,709        1,370,516  

EyeCare Partners LLC

       

2020 Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 02/18/27

       1,955        1,941,831  

2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.25%, 11/15/29

       508        507,653  

2021 Delayed Draw Term Loan, 11/15/28

       64        63,931  

2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 11/15/28

       377        375,065  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.72%, 03/05/26

       937        864,348  

Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 09/01/28

       771        769,740  

PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 4.25%, 02/14/25

       46        46,466  

Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%), 3.25%, 12/11/26

       2,247        2,236,462  

WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 12/22/28

       2,475        2,471,797  
    

 

 

 
          14,381,696  
 

 

 

34  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Health Care Services — 0.8%

     

Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.63%, 07/24/26

    USD       2,387     $ 2,374,692  

Medical Solutions LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 7.50%, 11/01/29

      536       528,855  

Unified Physician Management LLC, 2020 Term Loan, (1 mo. LIBOR + 4.25%), 5.00%, 12/16/27

      1,643       1,641,894  
     

 

 

 
        4,545,441  
Health Care Technology — 2.7%                  

Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.40%, 02/11/26

      326       325,215  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24

      2,997       2,993,155  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25

      1,938       1,928,531  

Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 06/02/28

      3,868       3,864,870  

Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 07/24/26

      2,334       2,331,586  

Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.85%, 03/07/24

      266       265,354  

Verscend Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 04/02/29(c)

      2,740       2,740,000  
     

 

 

 
          14,448,711  
Hotels, Restaurants & Leisure — 6.6%                  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26

      2,736       2,694,979  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 02/02/26

      491       479,093  

Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24

      876       878,677  

Aristocrat Technologies, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 1.75%), 1.88%, 10/19/24.

      1,085       1,073,268  

Boyd Gaming Corp., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.35%, 09/15/23

      1,069       1,067,570  

Caesars Resort Collection LLC

     

2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24

      1,797       1,786,036  

2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 3.60%, 07/20/25

      1,069       1,068,576  

Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/17/28

      691       685,599  

ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%), 8.25%, 03/31/28

      816       828,139  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24

      4,179       3,960,727  

Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23

      893       888,656  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23

      1,709       1,697,214  
Security          Par
(000)
    Value  

Hotels, Restaurants & Leisure (continued)

     

Golden Nugget, Inc., 2020 Initial Term Loan, (1 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(c)

    USD       201     $ 214,298  

IRB Holding Corp.

     

2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27

      3,253       3,250,212  

2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25

      1,385       1,381,700  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24

      659       640,458  

Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 03/11/28

      1,745       1,735,358  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24

      1,132       1,127,423  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 07/21/26

      1,055       1,051,050  

Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 2.50%, 02/08/27

      1,979       1,960,106  

Travelport Finance (Luxembourg) Sarl(h)

     

2020 Super Priority Term Loan, (6.50% PIK), 2.50%, 02/28/25

      1,580       1,669,377  

2021 Consented Term Loan, (1.75% PIK), 5.22%, 05/29/26

      2,616       2,171,470  

Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 10/02/28

      1,189       1,188,501  

Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 08/03/28

      2,006       1,996,873  
     

 

 

 
          35,495,360  
Household Durables — 1.0%                  

ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%), 4.75%, 05/17/28

      3,073       3,027,451  

Snap One Holdings Corp, Term Loan B, (1 mo. LIBOR + 4.50%), 5.00%, 12/08/28

      946       939,873  

Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/06/28

      729       721,710  

Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 10/30/27

      864       864,286  
     

 

 

 
        5,553,320  
Household Products — 0.1%                  

Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 2.50%, 03/03/28

      476       473,423  
     

 

 

 
Independent Power and Renewable Electricity Producers — 0.7%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25

      662       655,912  

Calpine Corp.

     

2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26

      1,051       1,036,471  

Term Loan B9, (1 mo. LIBOR + 2.00%), 2.11%, 04/05/26

      1,903       1,880,304  
     

 

 

 
        3,572,687  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  35


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Industrial Conglomerates — 2.5%

     

AVSC Holding Corp.(h)

     

2020 Term Loan B1, (0.25% PIK), 4.25%, 03/03/25

    USD       3,630     $ 3,325,322  

2020 Term Loan B3, (10.00% PIK), 10.00%, 10/15/26

      1,407       1,633,655  

Diamond (BC) B.V., 2021 Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 09/29/28

      1,702       1,694,018  

Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23

      1,426       1,432,984  

Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 07/28/28

      966       906,033  

Vertical US Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%), 4.00%, 07/30/27

      1,691       1,690,470  

Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.84%, 03/02/27

      2,601       2,582,577  
     

 

 

 
          13,265,059  
Insurance — 4.0%                  

Alliant Holdings Intermediate LLC

     

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25

      2,415       2,389,156  

2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 4.00%, 11/06/27

      4,461       4,452,077  

Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25

      1,178       1,165,278  

AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 02/19/28

      2,984       2,959,668  

AssuredPartners, Inc.

     

2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27

      1,294       1,282,885  

2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 02/12/27

      772       769,611  

HUB International Ltd.

     

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 04/25/25

      2,363       2,334,311  

2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.00%, 04/25/25

      3,002       2,998,814  

NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/15/27

      165       161,727  

Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 09/01/27

      1,016       1,014,570  

Sedgwick Claims Management Services, Inc.

     

2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26

      1,360       1,357,763  

2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26

      734       733,895  
     

 

 

 
        21,619,755  
Interactive Media & Services — 2.5%                  

Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 06/26/28

      2,207       2,206,999  

Arches Buyer, Inc., 2021 Term Loan B, (1 mo.

     

LIBOR + 3.25%), 3.75%, 12/06/27

      2,113       2,095,505  

Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26

      2,978       2,973,274  
Security          Par
(000)
    Value  

Interactive Media & Services (continued)

     

Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27

    USD       1,704     $ 1,688,867  

Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26

      4,521       4,538,661  
     

 

 

 
          13,503,306  
Internet & Direct Marketing Retail — 0.5%                  

CNT Holdings I Corp., 2020 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 11/08/27

      2,410       2,409,356  

PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 4.75%, 02/12/27

      326       324,144  
     

 

 

 
        2,733,500  
Internet Software & Services — 0.5%                  

Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27

      2,399       2,398,358  
     

 

 

 
IT Services — 6.5%                  

Aruba Investments, Inc.

     

2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.75%), 8.50%, 11/24/28

      1,275       1,277,129  

2020 USD Term Loan, (6 mo. LIBOR + 4.00%), 4.75%, 11/24/27

      685       684,834  

Banff Merger Sub, Inc., 2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 10/02/25

      2,040       2,025,492  

Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/30/26

      2,995       2,972,224  

CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/21/28

      1,492       1,489,672  

Celestial -Saturn Parent, Inc., 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.00%, 06/04/29

      1,120       1,127,706  

CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 06/02/28

      3,707       3,699,297  

Fleetcor Technologies Operating Company LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/28/28

      1,960       1,936,445  

Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 12/01/27

      5,063       5,077,540  

GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(c)

      1,365       1,366,964  

Optiv Security, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 02/01/24

      431       394,097  

PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27

      2,248       2,194,220  

Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28

      3,730       3,827,913  

TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 05/05/26

      860       859,258  

Trans Union LLC

     

2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.85%, 11/16/26

      1,655       1,638,728  

2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.75%, 12/01/28

      2,642       2,633,414  

Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/11/28

      932       934,287  
 

 

 

36  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

IT Services (continued)

 

WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28

    USD       867     $ 862,023  

ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/02/26

      192       192,240  
   

 

 

 
          35,193,483  
Leisure Products — 0.3%  

Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 4.50%, 12/01/28(c)

      861       859,924  

MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24

      773       755,503  
   

 

 

 
        1,615,427  
Life Sciences Tools & Services — 2.6%  

Avantor Funding, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.50%, 11/21/24

      380       379,245  

Avantor, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 2.75%, 11/08/27

      2,545       2,542,224  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27

      4,011       4,020,873  

ICON Luxembourg Sarl

     

LUX Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28

      2,365       2,364,229  

US Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28

      589       589,051  

Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27

      1,092       1,095,721  

Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 11/15/28

      3,005       3,003,057  
   

 

 

 
        13,994,400  
Machinery — 3.1%  

Albion Financing 3 SARL, USD Term Loan, (3 mo. LIBOR + 5.25%), 5.75%, 08/17/26

      1,624       1,623,496  

ASP Blade Holdings, Inc, Initial Term Loan, (1 mo. LIBOR + 4.00%), 4.50%, 10/13/28

      597       596,504  

Clark Equipment Co., 2021 Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 05/18/24

      1,200       1,197,185  

Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 05/14/28

      372       372,215  

Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 10/21/28

      1,036       1,034,029  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27

      2,502       2,472,362  

Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 3.75%, 06/21/28

      3,636       3,630,167  

Rexnord LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 10/04/28

      112       111,965  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.35%, 03/28/25

      5,991       5,884,709  
   

 

 

 
        16,922,632  
Security          Par
(000)
    Value  

Media — 11.8%

 

Altice Financing SA

     

2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 07/15/25

    USD       653     $ 643,978  

USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.87%, 01/31/26

      1,741       1,719,929  

Altice France SA, 2018 Term Loan B13, (2 mo. LIBOR + 4.00%), 4.12%, 08/14/26

      2,802         2,785,540  

AMC Entertainment Holdings, Inc., 04/22/26(k)

      836       751,314  

Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 05/03/28

      435       434,454  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25

      2,594       2,587,289  

City Football Group Ltd., Term Loan, (6 mo. LIBOR + 3.50%), 4.00%, 07/21/28(c)

      1,407       1,396,447  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26

      5,788       5,703,213  

Connect Finco Sarl, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26

      9,015       9,009,744  

CSC Holdings LLC

     

2017 Term Loan B1, (3 mo. LIBOR + 2.25%), 2.36%, 07/17/25

      582       572,482  

2019 Term Loan B5, (3 mo. LIBOR + 2.50%), 2.61%, 04/15/27

      1,956       1,929,174  

E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 01/07/28

      764       762,653  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23

      2,278       2,152,032  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25

      1,537       1,522,139  

Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/17/26

      2,274       2,206,842  

MH Sub I LLC

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24

      4,197       4,173,114  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/13/24

      2,946       2,949,160  

2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/12/29

      1,095       1,100,015  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.50%), 2.60%, 09/18/26

      1,544       1,539,883  

Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26

      (l)       207  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(c)

      4,338       4,327,281  

Trader Interactive LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 07/28/28(c)

      523       520,385  

UPC Financing Partnership, 2021 USD Term Loan AX, (3 mo. LIBOR + 3.00%), 3.11%, 01/31/29

      509       506,984  

Virgin Media Bristol LLC

     

2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.36%, 01/31/29

      2,097       2,094,714  

USD Term Loan N, (3 mo. LIBOR + 2.50%), 2.61%, 01/31/28

      2,578       2,552,993  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  37


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Media (continued)

 

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25

    USD       3,122     $ 3,050,622  

WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28

      591       588,484  

Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27

      5,890       5,806,635  
   

 

 

 
          63,387,707  
Metals & Mining — 0.4%  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.68%, 07/31/25

      2,029       2,029,066  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.5%  

Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, (3 mo. LIBOR + 9.00%, 1.00% Floor), 10.00%, 11/01/25

      555       598,928  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 12/13/25

      1,430       1,348,051  

Freeport LNG Investments, LLLP, Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 12/21/28

      142       140,170  

Lealand Finance Company BV, 2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%), 1.10%, 06/30/25

      332       144,475  

McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/28/24(c)

      46       26,233  

Murphy USA, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 2.25%, 01/31/28

      571       570,890  
   

 

 

 
        2,828,747  
Personal Products — 1.1%  

Kronos Acquisition Holdings Inc., 2021 1st Lien Term Loan, 12/22/26(k)

      359       355,636  

Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 2.50%, 07/03/28(c)

      411       412,207  

Sunshine Luxembourg VII Sarl, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%), 4.50%, 10/01/26

      5,358       5,375,391  
   

 

 

 
        6,143,234  
Pharmaceuticals — 2.6%  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25

      1,316       1,301,173  

Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 2.50%, 02/22/28

      2,312       2,312,148  

Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.85%, 08/01/27

      931       917,810  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 11/15/27

      1,762       1,735,955  

Jazz Financing Lux Sarl, USD Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 05/05/28

      2,145       2,151,861  

Organon Finance 1 LLC, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 06/02/28

      1,409       1,408,943  

Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/18/27

      1,155       1,149,052  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25

      3,049       3,033,175  
   

 

 

 
        14,010,117  
Security         

Par
(000)

   

Value

 

Professional Services — 0.8%

 

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26 USD

 

    4,053     $   4,033,787  
   

 

 

 
Real Estate Management & Development — 0.2%  

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25

      1,298       1,287,688  
   

 

 

 
Road & Rail — 0.2%  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.72%, 08/04/25(c)

 

    1,364       1,242,897  
   

 

 

 
Semiconductors & Semiconductor Equipment — 0.5%  

MKS Instruments, Inc., 2021 USD Term Loan, 10/21/28(k)

      2,347       2,340,546  

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/19/26

      (l)       31  

Synaptics Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 2.75%, 12/02/28

      554       552,228  
   

 

 

 
        2,892,805  
Software — 14.4%  

2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 6.50%, 12/30/24

      1,271       1,261,069  

Applied Systems, Inc.

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 09/19/24

      437       436,271  

2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 6.25%, 09/19/25

      630       633,938  

Barracuda Networks, Inc.

     

1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 02/12/25

      2,678       2,684,371  

2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.50%, 10/30/28

      771       774,855  

Cloudera, Inc.

     

2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 6.50%, 10/08/29(c)

      1,304       1,300,740  

2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/08/28

      3,634       3,620,372  

ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28

      898       894,956  

Cornerstone OnDemand, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 10/16/28

      1,058       1,053,842  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.50%, 05/28/24

 

    502       487,624  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/30/23

      352       345,752  

E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 02/04/28

 

    252       252,367  

Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28

 

    1,886       1,926,870  

Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.97%, 03/11/28

      1,887       1,872,111  

Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.88%, 10/27/28

 

    4,980       4,957,789  

Instructure Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 10/30/28

      644       640,780  
 

 

 

38  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Software (continued)

 

IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/02/28(c)

    USD       517     $ 516,154  

IPS Corporation, 2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 7.50%, 10/01/29

      919       919,763  

Magenta Buyer LLC

     

2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 07/27/28

      5,312       5,293,415  

2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29

      2,587       2,563,562  

McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/30/24

      810       810,765  

Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27

      1,387       1,388,395  

Planview Parent, Inc.

     

2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/18/28(c)

      824       824,000  

Term Loan, (3 mo. LIBOR + 4.00%), 4.75%, 12/17/27

      1,903       1,902,337  

Proof Point, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 6.25%), 6.75%, 08/31/29

      1,281       1,292,209  

Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 08/31/28

      2,669       2,656,160  

RealPage, Inc.

     

1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 04/24/28

      5,772       5,751,626  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.25%, 04/23/29

      2,629       2,659,319  

Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 05/30/25

      584       577,759  

Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 08/01/25

      3,495       3,474,143  

Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/07/27

      4,531       4,527,917  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25

      327       322,873  

SS&C Technologies, Inc.

     

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25

      403       398,006  

2018 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25

      1,709       1,689,401  

Tempo Acquisition LLC

     

2020 Extended Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 11/02/26

      3,812       3,815,337  

2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.50%, 08/31/28

      440       440,997  

Tibco Software Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28

      2,577       2,582,179  

Ultimate Software Group, Inc.

     

2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%), 5.75%, 05/03/27

      1,630       1,633,265  

2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 05/04/26

      4,900       4,871,377  

Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/04/26

      3,460       3,447,156  
   

 

 

 
          77,501,822  
Security          Par
(000)
    Value  

Specialty Retail — 3.2%

 

Belron Finance US LLC

     

2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25

    USD       1,988     $ 1,974,273  

2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26

      1,140       1,130,713  

EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%), 4.75%, 03/31/26(c)

      503       506,635  

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/24/28

      602       598,237  

Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 05/04/28

      2,671       2,670,580  

MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.35%, 08/31/26

      1,857       1,851,300  

Medical Solutions LLC
2021 Delayed Draw Term Loan, 11/01/28

      10       9,703  

2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 11/01/28

      1,768       1,764,149  

PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 02/11/28

 

    4,693       4,696,394  

Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24

      1,087       1,071,626  

Woof Holdings, Inc.

     

1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/21/27

      487       487,318  

2nd Lien Term Loan, (6 mo. LIBOR + 7.25%), 8.00%, 12/21/28

 

    495       497,787  
   

 

 

 
        17,258,715  
Technology Hardware, Storage & Peripherals — 0.3%  

Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.10%, 07/23/26(c)

      1,596       1,555,873  
   

 

 

 
Trading Companies & Distributors — 0.6%  

Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 05/19/28

 

    1,227       1,219,083  

Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 01/31/28

 

    1,357       1,346,383  

ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.97%, 04/03/28

 

    601       601,815  
   

 

 

 
        3,167,281  
Wireless Telecommunication Services — 0.9%  

GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 04/30/28

 

    973       972,460  

Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 05/26/28

      627       626,522  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.86%, 04/11/25

      3,335       3,295,639  
   

 

 

 
        4,894,621  
   

 

 

 

Total Floating Rate Loan Interests — 126.5%
(Cost: $679,874,374)

 

      681,271,535  
   

 

 

 
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  39


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

(Percentages shown are based on Net Assets)

 

Security         

Shares

    Value  

Investment Companies

     
Equity Funds — 0.1%                  

SPDR S&P Oil & Gas Exploration & Production ETF

      4,875     $ 467,366  
   

 

 

 
Fixed Income Funds — 0.1%  

Invesco Senior Loan ETF

      32,500       718,250  
   

 

 

 

Total Investment Companies — 0.2%
(Cost: $1,143,683)

 

      1,185,616  
   

 

 

 
            Benefical
Interest (000)
        

Other Interests(m)

     
IT Services(b)(c) — 0.0%  

Millennium Corp

    USD       1,156        

Millennium Lender Claims

      1,084        
   

 

 

 

Total Other Interests — 0.0%
(Cost: $ — )

 

     
   

 

 

 
           

Par

(000)

        

Preferred Securities

     
Capital Trusts — 0.5%(f)(g)                  
Automobiles — 0.0%  

General Motors Financial Co., Inc., Series C, 5.70%

    USD       50       57,000  
   

 

 

 
Banks — 0.1%  

CaixaBank SA, 6.38%(a)

    EUR       200       245,347  
   

 

 

 
Diversified Financial Services — 0.3%  

Barclays PLC, 4.38%

    USD       200       195,900  

HSBC Holdings PLC, 6.00%

      600       645,750  

JPMorgan Chase & Co.

     

Series FF, 5.00%

      765       786,037  

Series HH, 4.60%

      166       170,358  
   

 

 

 
        1,798,045  
Electric Utilities — 0.0%  

Edison International, Series B, 5.00%

      55       56,199  
   

 

 

 
Independent Power and Renewable Electricity Producers — 0.0%  

Vistra Corp., 7.00%(d)

      77       77,992  
   

 

 

 
Utilities — 0.1%  

Electricite de France SA, 3.38%(a)

    EUR       200       235,100  
   

 

 

 

Total Capital Trusts — 0.5%

 

    2,469,683  
   

 

 

 
            Shares         
Preferred Stocks — 0.1%                  
Capital Markets — 0.1%                  

Goldman Sachs Group, Inc., Series J, 5.50%(f)(g)

      13,550       358,398  
   

 

 

 
Security         

Shares

    Value  

Insurance — 0.0%

 

Alliant Holdings, Inc.(c)

      83     $ 86,236  
   

 

 

 

Total Preferred Stocks — 0.1%

 

    444,634  
   

 

 

 

Total Preferred Securities — 0.6%
(Cost: $2,797,693)

 

    2,914,317  
   

 

 

 

Warrants

     
Metals & Mining — 0.0%                  

Ameriforge Group, Inc.(b)

      5,283        
   

 

 

 
Oil, Gas & Consumable Fuels — 0.0%  

California Resources Corp.(b)

      1,152       14,285  
   

 

 

 
Transportation Infrastructure — 0.0%  

Turbo Cayman Ltd. (Strike Price $0.01)(b)(c)

      1        
   

 

 

 

Total Warrants — 0.0%
(Cost: $ — )

 

    14,285  
   

 

 

 

Total Long-Term Investments — 148.3%
(Cost: $818,517,323)

 

    798,890,971  
   

 

 

 

Short-Term Securities

     
Money Market Funds — 0.1%                  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(n)(o)

      435,992       435,992  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost: $435,992)

 

    435,992  
   

 

 

 

Total Investments — 148.4%
(Cost: $818,953,315)

 

    799,326,963  

Liabilities in Excess of Other Assets — (48.4)%

 

      (260,645,959
     

 

 

 

Net Assets — 100.0%

      $ 538,681,004  
     

 

 

 

 

(a) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(b) 

Non-income producing security.

(c) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(d) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(e) 

Issuer filed for bankruptcy and/or is in default.

(f) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(g) 

Perpetual security with no stated maturity date.

(h) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(i) 

When-issued security.

(j) 

Convertible security.

(k) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(l) 

Rounds to less than 1,000.

(m) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(n) 

Affiliate of the Fund.

(o) 

Annualized 7-day yield as of period end.

 

For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

40  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/20
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
12/31/21
    Shares
Held at
12/31/21
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

  $     $ 435,992 (a)    $     $     $     $ 435,992       435,992     $ 185     $  

iShares iBoxx $ High Yield Corporate Bond ETF(b)

    5,412,600             (5,428,367     378,190       (362,423                 93,763        

iShares iBoxx $ Investment Grade Corporate Bond ETF(b)

    5,387,070             (5,302,432     245,056       (329,694                 60,652        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 623,246     $ (692,117   $ 435,992       $ 154,600     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

As of period end, the entity is no longer held.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 

USD

    3,737,221        EUR     3,300,000      Morgan Stanley & Co. International PLC     03/16/22        $ (25,347

USD

    1,961,034        EUR     1,732,000      Natwest Markets PLC     03/16/22          (13,743

USD

    531,796        GBP     401,000      Goldman Sachs International     03/16/22          (10,813

USD

    1,871,113        GBP     1,411,000      JPMorgan Chase Bank N.A.     03/16/22          (38,166
                  

 

 

 
                   $ (88,069
                  

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Fund
     Payment
Frequency
     Termination
Date
     Credit
Rating(a)
   Notional    
Amount (000)(b)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

CDX.NA.HY.37.V1

     5.00      Quarterly        12/20/26      B+    USD  5,000         $ 469,887      $ 371,688      $ 98,199  
                 

 

 

    

 

 

    

 

 

 

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

OTC Credit Default Swaps — Sell Protection

 

Reference Obligation/Index   Financing
Rate
Received
by the Fund
    Payment
Frequency
    Counterparty  

Termination

Date

      Credit
  Rating(a)
    Notional    
Amount (000)(b)
    Value    

Upfront
Premium
Paid

(Received)

   

Unrealized
Appreciation

(Depreciation)

 

CenturyLink, Inc

    1.00     Quarterly     Barclays Bank PLC     12/20/23       N/R       USD       170        $ (1,259   $ (5,358   $ 4,099  

CenturyLink, Inc

    1.00       Quarterly     Barclays Bank PLC     06/20/25       N/R       USD       185          (7,230     (17,846     10,616  

Adler Real Estate AG

    5.00       Quarterly     Goldman Sachs International     12/20/26       BB-       EUR       10          (173     (23     (150

Adler Real Estate AG

    5.00       Quarterly    

Morgan Stanley & Co. International PLC

    12/20/26       BB-       EUR       30          (518     140       (658
               

 

 

   

 

 

   

 

 

 
                $ (9,180   $ (23,087   $ 13,907  
               

 

 

   

 

 

   

 

 

 

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  41


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps

 

Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 371,688      $      $ 98,199      $  

OTC Swaps

     140        (23,227      14,715        (808

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

   $      $ 98,199      $      $      $      $      $ 98,199  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            14,855                                    14,855  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 113,054      $      $      $      $      $ 113,054  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts.

   $      $      $      $ 88,069      $      $      $ 88,069  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            24,035                                    24,035  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 24,035      $      $ 88,069      $      $      $ 112,104  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended December 31, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 2,340      $      $ 2,340  

Forward foreign currency exchange contracts

                          393,233                      393,233  

Swaps

            19,709                                    19,709  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 19,709      $      $ 393,233      $ 2,340      $      $ 415,282  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Forward foreign currency exchange contracts

   $      $      $      $ 114,623      $      $      $ 114,623  

Swaps

            98,587                                    98,587  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 98,587      $      $ 114,623      $      $      $ 213,210  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ (a)  

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

   $ 7,777,922  

Credit default swaps:

  

Average notional value — sell protection

   $ 1,616,385  

 

  (a) 

Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

42  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Forward foreign currency exchange contracts

   $        $ 88,069  

Swaps — centrally cleared

     9,062           

Swaps — OTC(a)

     14,855          24,035  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities.

     23,917          112,104  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (9,062         
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $         14,855        $         112,104  
  

 

 

      

 

 

 

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:

 

           
Counterparty     



Derivative
Assets
Subject to an
MNA by
Counterparty
 
 
 
 
 
    

Derivatives
Available
for Offset
 
 
(a) 
    

Non-Cash
Collateral
Received
 
 
 
    

Cash
Collateral
Received
 
 
 
    

Net Amount
of Derivative
Assets
 
 
 

Barclays Bank PLC

   $ 14,715      $ (14,715    $      $      $  

Morgan Stanley & Co. International PLC

     140        (140                     
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 14,855      $ (14,855    $      $      $  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

           
Counterparty     



Derivative
Liabilities
Subject to an
MNA by
Counterparty
 
 
 
 
 
    

Derivatives
Available
for Offset
 
 
(a) 
    

Non-Cash
Collateral
Pledged
 
 
 
    

Cash
Collateral
Pledged
 
 
(b) 
    

Net Amount
of Derivative
Liabilities
 
 
(c)(d) 

Barclays Bank PLC

   $ 23,204      $ (14,715    $      $ (8,489    $  

Goldman Sachs International

     10,986                             10,986  

JPMorgan Chase Bank N.A

     38,166                             38,166  

Morgan Stanley & Co. International PLC

     26,005        (140                    25,865  

Natwest Markets PLC

     13,743                             13,743  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 112,104      $ (14,855    $      $ (8,489    $ 88,760  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

 
  (b) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Asset-Backed Securities

   $        $     162,385        $        $ 162,385  

Common Stocks

                 

Construction & Engineering

     58,008                            58,008  

Diversified Financial Services

                           10,753          10,753  

Metals & Mining

              832          947          1,779  

Oil, Gas & Consumable Fuels

         762,197                                762,197  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  43


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                 

Semiconductors & Semiconductor Equipment

   $     38,586        $        $        $ 38,586  

Software

     792                            792  

Specialty Retail

              216,233                   216,233  

Corporate Bonds

                 

Aerospace & Defense

                  3,390,103                   3,390,103  

Airlines

              3,592,461                   3,592,461  

Auto Components

              2,192,854          1              2,192,855  

Automobiles

              2,505,694                   2,505,694  

Banks

              319,064                   319,064  

Beverages

              2,294,895                   2,294,895  

Biotechnology

              114,277                   114,277  

Building Materials

              1,212,836                   1,212,836  

Building Products

              1,056,600                   1,056,600  

Capital Markets

              1,259,251                   1,259,251  

Chemicals

              2,592,093                   2,592,093  

Commercial Services & Supplies

              1,488,946                   1,488,946  

Communications Equipment

              936,079                   936,079  

Construction Materials

              625,958                   625,958  

Consumer Discretionary

              2,397,251                   2,397,251  

Consumer Finance

              2,591,715                   2,591,715  

Containers & Packaging

              161,203                   161,203  

Diversified Consumer Services

              2,318,577                   2,318,577  

Diversified Financial Services

              1,609,954                   1,609,954  

Diversified Telecommunication Services

              4,166,377                   4,166,377  

Electric Utilities

              912,660                   912,660  

Electrical Equipment

              367,448                   367,448  

Electronic Equipment, Instruments & Components

              522,555                   522,555  

Energy Equipment & Services

              723,609                   723,609  

Environmental, Maintenance & Security Service

              745,718                   745,718  

Equity Real Estate Investment Trusts (REITs)

              2,351,070                   2,351,070  

Food & Staples Retailing

              2,577,218                   2,577,218  

Food Products

              923,397                   923,397  

Gas Utilities

              42,473                   42,473  

Health Care Equipment & Supplies

              747,657                   747,657  

Health Care Providers & Services

              5,871,413                   5,871,413  

Health Care Technology

              877,304                   877,304  

Healthcare

              21,889                   21,889  

Hotels, Restaurants & Leisure

              5,005,245                   5,005,245  

Household Durables

              1,193,179                   1,193,179  

Independent Power and Renewable Electricity Producers

              1,046,815                   1,046,815  

Insurance

              2,151,980                   2,151,980  

Interactive Media & Services

              334,388                   334,388  

Internet Software & Services

              1,375,244                   1,375,244  

IT Services

              3,076,595                   3,076,595  

Leisure Products

              309,338                   309,338  

Machinery

              2,119,083                   2,119,083  

Media

              13,413,841                   13,413,841  

Metals & Mining

              2,828,729                   2,828,729  

Mortgage Real Estate Investment Trusts (REITs)

              9,315                   9,315  

Multiline Retail

              130,549                   130,549  

Offshore Drilling & Other Services

              31,078                   31,078  

Oil, Gas & Consumable Fuels

     111,943          14,433,799                   14,545,742  

Personal Products

              48,780                   48,780  

Pharmaceuticals

              2,877,962                   2,877,962  

Real Estate Management & Development

              661,242                   661,242  

Road & Rail

              218,816                   218,816  

Semiconductors & Semiconductor Equipment

              471,249                   471,249  

Software

              2,224,780                   2,224,780  

Specialty Retail

              790,666                   790,666  

Technology Hardware, Storage & Peripherals

              113,355                   113,355  

Textiles, Apparel & Luxury Goods

              228,067                   228,067  

Thrifts & Mortgage Finance

              431,787                   431,787  

Utilities

              219,911                   219,911  

 

 

44  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

Fair Value Hierarchy as of Period End (continued)

 

      Level 1        Level 2        Level 3        Total  

Corporate Bonds (continued)

                 

Wireless Telecommunication Services

   $        $ 2,886,149        $        $ 2,886,149  

Floating Rate Loan Interests

              654,712,132          26,559,403          681,271,535  

Investment Companies

     1,185,616                            1,185,616  

Other Interests

                                 

Preferred Securities

                 

Capital Trusts

              2,469,683                   2,469,683  

Preferred Stocks

     358,398                   86,236          444,634  

Warrants

     14,285                            14,285  

Short-Term Securities

                 

Money Market Funds

     435,992                            435,992  

Unfunded Floating Rate Loan Interests(a)

              1,217                   1,217  

Liabilities

                 

Unfunded Floating Rate Loan Interests(a)

              (2,216        (259        (2,475
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 2,965,817        $ 769,702,807        $ 26,657,081        $ 799,325,705  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets

                 

Credit Contracts

   $        $ 112,914        $        $ 112,914  

Liabilities

                 

Credit Contracts

              (808                 (808

Foreign Currency Exchange Contracts

              (88,069                 (88,069
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 24,037        $        $ 24,037  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (b) 

Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $248,000,000 are categorized as Level 2 within the fair value hierarchy.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Common
Stocks
     Corporate
Bonds
     Floating
Rate Loan
Interests
     Other
Interests
     Preferred
Stocks
     Unfunded
Floating
Rate
Loan
Interests
     Total  

Assets

                    

Opening balance, as of December 31, 2020

   $ 64,033      $ 387,813      $ 30,751,870      $ (a)     $ 81,671      $      $ 31,285,387  

Transfers into Level 3(b)

                   1,370,743                             1,370,743  

Transfers out of Level 3(c)

                   (11,462,603                           (11,462,603

Accrued discounts/premiums

            17,586        48,188                             65,774  

Net realized gain (loss)

            85,721        77,054                             162,775  

Net change in unrealized appreciation (depreciation)(d)(e)

     (41,548      15,286        350,331               4,565        (259      328,375  

Purchases

            10,262        12,828,787                             12,839,049  

Sales

     (10,785      (516,667      (7,404,967                           (7,932,419
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Closing balance, as of December 31, 2021

   $ 11,700      $ 1      $ 26,559,403      $ (a)     $ 86,236      $ (259    $ 26,657,081  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(e)

   $ (20,917    $      $ 302,799      $      $ 4,565      $ (259    $ 286,188  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Rounds to less than $1.

 
  (b) 

As of December 31, 2020, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (c) 

As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (d) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (e) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021 is generally due to investments no longer held or categorized as Level 3 at period end.

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  45


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Debt Strategies Fund, Inc. (DSU)

 

The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.

See notes to financial statements.

 

 

46  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security              
Shares
    Value  

Common Stocks

 

 
Construction & Engineering — 0.0%        

McDermott International Ltd.(a)

      123,933     $ 50,813  
   

 

 

 
Diversified Financial Services — 0.0%  

Kcad Holdings I Ltd.(b)

      309,827,230       3,098  
   

 

 

 
Media — 0.1%                  

Clear Channel Outdoor Holdings, Inc.(a)

      85,950       284,494  
   

 

 

 
Metals & Mining — 0.0%        

Preferred Proppants LLC(b)

      12,198       793  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.0%  

California Resources Corp.

      2,027       86,573  
   

 

 

 
Semiconductors & Semiconductor Equipment(a) — 0.0%  

Maxeon Solar Technologies Ltd.

      232       3,225  

SunPower Corp

      1,860       38,818  
   

 

 

 
        42,043  
Software — 0.0%                  

Avaya Holdings Corp.(a)

      66       1,307  
   

 

 

 
Specialty Retail — 0.1%                  

NMG Parent LLC

      3,613       528,943  
   

 

 

 

Total Common Stocks — 0.2%
(Cost: $7,847,100)

        998,064  
   

 

 

 
            Par
(000)
        
Corporate Bonds                  
Airlines — 0.3%                  

Allegiant Travel Co.,
8.50%, 02/05/24(a)(c)

    USD       1,195           1,272,675  
   

 

 

 
Auto Components — 0.1%                  

Clarios Global LP, 6.75%,
05/15/25(a)(c)

      446       467,185  
   

 

 

 
Beverages — 0.1%                  

Triton Water Holdings, Inc.,
6.25%, 04/01/29(a)(c)

      410       393,231  
   

 

 

 
Building Materials — 0.0%                  

Summit Materials LLC/Summit Materials Finance Corp.,
5.25%, 01/15/29(a)(c)

      118       123,593  
   

 

 

 
Chemicals — 0.0%                  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc.,
9.00%, 07/01/28(a)(c)

      51       54,387  
   

 

 

 
Construction Materials — 0.2%                  

Wolverine Escrow LLC,
9.00%, 11/15/26(a)(c)

      1,039       987,050  
   

 

 

 
Diversified Telecommunication Services — 0.0%  

Zayo Group Holdings, Inc.,
6.13%, 03/01/28(a)(c)

      251       247,235  
   

 

 

 
Electric Utilities(a) — 0.0%                  

Pike Corp., 5.50%, 09/01/28(c)

      144       144,329  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc.,
1.00%, 11/10/21(b)

      1,710        
   

 

 

 
        144,329  
Equity Real Estate Investment Trusts (REITs) — 0.0%  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., 4.63%,
06/15/25(a)(c)

      138       147,121  
   

 

 

 
Security           Par
(000)
     Value  
Internet Software & Services — 0.1%         

Expedia Group, Inc.,
6.25%, 05/01/25(a)(c)

    USD        337      $ 380,191  
    

 

 

 
Machinery — 0.2%                    

Madison IAQ LLC,
5.88%, 06/30/29(a)(c)

       809        809,000  
    

 

 

 
Media(a)(c) — 0.3%                    

Liberty Broadband Corp.,
2.75%, 09/30/50

       513        519,661  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(d)

       208        163,307  

Radiate Holdco LLC/Radiate Finance, Inc., 4.50%, 09/15/26

       573        578,730  
    

 

 

 
          1,261,698  
    

 

 

 

Total Corporate Bonds — 1.3%
(Cost: $6,266,941)

          6,287,695  
    

 

 

 

Floating Rate Loan Interests(e)

 

Aerospace & Defense — 4.5%

       

Atlas CC Acquisition Corp.

       

Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28.

       6,346        6,351,901  

Term Loan C, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28

       1,291        1,291,912  

Bleriot US Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%),
4.22%, 10/31/26

       715        713,187  

Cobham Ultra SeniorCo Sarl, USD Term Loan B, 11/16/28(f)

       374        372,482  

Nordam Group, Inc., Term Loan B, (1 mo. LIBOR + 5.50%), 5.63%, 04/09/26

       770        652,762  

Peraton Holding Corp.

       

2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%), 8.50%, 02/01/29

       2,265        2,290,481  

Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/01/28

       6,850        6,847,459  

Spirit Aerosystems, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%),
4.25%, 01/15/25

       995        995,218  

TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%),
2.35%, 12/09/25.

       2,546        2,509,035  
    

 

 

 
             22,024,437  
Air Freight & Logistics — 0.5%                    

AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 04/06/28

       585        583,345  

Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

       1,766        1,709,784  
    

 

 

 
          2,293,129  
Airlines — 2.7%                    

AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28

       1,276        1,319,971  

Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28

       2,047        2,039,085  

American Airlines, Inc.

       

2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 01/29/27

       1,036        973,135  

2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 2.11%, 12/15/23

       1,947        1,902,434  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  47


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Airlines (continued)

     

Mileage Plus Holdings LLC, 2020 Term
Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27

    USD       3,027     $ 3,187,305  

United Airlines, Inc., 2021 Term Loan B,
(3 mo. LIBOR + 3.75%, 0.75% Floor),
4.50%, 04/21/28

      3,726       3,730,912  
   

 

 

 
           13,152,842  
Auto Components — 2.8%                  

Adient US LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 04/08/28.

      821       820,021  

Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26

      3,646       3,621,370  

Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 01/31/28

      2,506       2,489,823  

USI, Inc. 2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.22%, 05/16/24

      3,769       3,737,962  

2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%), 3.47%, 12/02/26

      216       213,948  

Wand NewCo 3, Inc., 2020 Term Loan,
(3 mo. LIBOR + 3.00%), 3.18%, 02/05/26

      2,599       2,558,386  
   

 

 

 
        13,441,510  
Banks — 0.9%                  

Directv Financing LLC, (3 mo. LIBOR + 5.00%), 5.75%, 08/02/27

      2,790       2,791,169  

LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 5.50%, 10/29/28

      1,621       1,616,948  
   

 

 

 
        4,408,117  
Building Materials — 0.1%                  

CHI Overhead Doors, Inc, Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor),
4.50%, 07/31/25

      182       181,645  

Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%),
3.75%, 04/12/28

      440       438,618  
   

 

 

 
        620,263  
Building Products — 2.5%                  

CP Atlas Buyer, Inc., 2021 Term Loan B,
(1 mo. LIBOR + 3.75%), 4.25%, 11/23/27

      2,969       2,952,991  

CPG International, Inc., 2017 Term Loan,
(3 mo. LIBOR + 2.50%), 3.25%, 05/05/24

      1,735       1,733,294  

Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 07/28/28.

      827       826,190  

LSF10 XL Bidco SCA, 2021 EUR Term Loan, (EURIBOR + 4.00%), 4.00%, 04/12/28

    EUR       1,000       1,138,260  

MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27

    USD       532       533,459  

Standard Industries, Inc., 2021 Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/22/28

      1,637       1,637,166  

Wilsonart LLC, 2021 Term Loan E, (3 mo. LIBOR + 3.50%, 1.00% Floor),
4.50%, 12/19/26

      3,194       3,191,526  
   

 

 

 
        12,012,886  
Capital Markets — 3.1%                  

AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%),
7.00%, 08/02/29

      2,698       2,698,482  

Deerfield Dakota Holding LLC

     

2020 USD Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27

      5,813       5,816,164  

2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 7.50%, 04/07/28

      1,806       1,837,605  
Security          Par
(000)
    Value  

Capital Markets (continued)

     

Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%),
3.75%, 11/12/27

    USD       1,530     $ 1,523,524  

FinCo I LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 06/27/25

      824       821,247  

Focus Financial Partners LLC

     

2021 Delayed Draw Term Loan, (PRIME + 1.50%), 4.75%, 06/24/28

      279       277,283  

2021 Term Loan, (1 mo. LIBOR + 2.50%), 3.00%, 07/01/28

      1,206       1,198,557  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/12/24.

      1,170       1,166,347  
   

 

 

 
           15,339,209  
Chemicals — 5.3%                  

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%), 5.50%, 08/27/26

      2,540       2,551,381  

Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 03/18/28

      3,479       3,470,816  

Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.97%, 06/01/24

      1,837       1,835,321  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/28/24

      1,151       1,141,697  

Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.10%, 01/31/26

      2,006       1,996,434  

Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 06/30/27

      1,407       1,396,981  

Lonza Group AG, USD Term Loan B, (6 mo. LIBOR + 4.00%), 4.75%, 07/03/28

      1,039       1,037,367  

Messer Industries GmbH, 2018 USD Term
Loan, (3 mo. LIBOR + 2.50%), 2.72%, 03/02/26

      2,453       2,430,970  

Minerals Technologies, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.25%),
3.00%, 02/14/24(b)

      431       430,855  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24

      1,720       1,717,121  

NIC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/29/27

      735       724,411  

Oxea Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 3.44%, 10/14/24

      1,739       1,722,126  

PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 06/09/28

      1,747       1,744,092  

Pregis TopCo Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 4.00%), 4.50%, 07/31/26(b)

      708       703,544  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 03/16/27

      1,067       1,055,313  

Sparta U.S. HoldCo LLC, 2021 Term Loan,
(3 mo. LIBOR + 3.50%), 4.25%, 08/02/28

      1,425       1,425,442  

Starfruit Finco BV, 2018 USD Term Loan B,
(1 mo. LIBOR + 3.00%), 3.10%, 10/01/25

      161       160,421  

W.R. Grace & Co.-Conn., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 09/22/28

      541       541,406  
   

 

 

 
        26,085,698  
Commercial Services & Supplies — 5.2%  

Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 05/12/28

      2,649       2,637,567  
 

 

 

48  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security           Par
(000)
     Value  

Commercial Services & Supplies (continued)

 

Aramark Services, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 03/11/25

    USD        155      $ 152,648  

Asurion LLC

       

2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 3.23%, 11/03/23

       1,932        1,925,896  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24

       1,139        1,132,802  

2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26

       794        787,614  

2021 2nd Lien Term Loan B3,
(1 mo. LIBOR + 5.25%), 5.35%, 01/31/28(b)

       1,117        1,119,530  

2021 2nd Lien Term Loan B4,
(1 mo. LIBOR + 5.25%), 5.35%, 01/20/29

       1,596        1,588,355  

Clean Harbors Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 10/08/28

       704        702,684  

Covanta Holding Corp.(f)

       

2021 Term Loan B, 11/30/28

       1,143        1,143,796  

2021 Term Loan C, 11/30/28

       86        85,678  

Creative Artists Agency LLC, 2020 Incremental Term Loan B1, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 11/27/26

       1,970        1,963,956  

Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%),
4.35%, 12/12/25

       2,564        2,560,408  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25

       535        533,479  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26(b)

       1,012        992,090  

Packers Holdings LLC, 2021 Term Loan, (6 mo. LIBOR + 3.25%), 4.00%, 03/09/28

       1,688        1,676,021  

Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 3.50%, 09/23/26

       1,947        1,944,490  

Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 06/16/26

       344        311,361  

Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.10%, 08/27/25

       3,149        3,144,636  

Viad Corp, Initial Term Loan, (3 mo. LIBOR + 5.00%), 5.50%, 07/30/28

       790        787,555  
    

 

 

 
             25,190,566  
Construction & Engineering — 2.2%  

Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24

       4,045        3,950,172  

Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 3.11%, 01/21/28

       1,045        1,040,411  

SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%),
4.25%, 06/02/28

       3,936        3,923,578  

USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%),
4.25%, 05/12/28

       1,769        1,765,020  
    

 

 

 
          10,679,181  
Construction Materials — 2.3%                    

Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%),
2.60%, 07/27/28

       7,105        7,055,055  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25

       2,404        2,380,364  

Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23

       1,127        1,127,074  

Tamko Building Products, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 3.22%, 06/01/26

       873        866,887  
    

 

 

 
          11,429,380  
Security           Par
(000)
     Value  

Containers & Packaging — 2.3%

 

BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/03/24

    USD        2,392      $ 2,357,909  

Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/01/27

       4,171        4,175,971  

Flex Acquisition Co., Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%),
4.00%, 03/02/28

       2,038        2,032,220  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%),
4.10%, 07/31/26

       622        618,697  

Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 08/18/27

       1,189        1,185,064  

Trident TPI Holdings, Inc. 2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 4.00%, 09/15/28

       58        57,902  

2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 4.50%, 09/15/28

       1,014        1,012,928  
    

 

 

 
             11,440,691  
Distributors — 1.0%                    

American Builders & Contractors Supply Co., Inc., 2019 Term Loan,
(1 mo. LIBOR + 2.00%), 2.10%, 01/15/27

       1,476        1,465,227  

TMK Hawk Parent Corp.

       

2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24.

       949        903,414  

2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24.

       3,081        2,648,208  
    

 

 

 
          5,016,849  
Diversified Consumer Services — 3.0%  

Ascend Learning, LLC

       

2021 2nd Lien Term Loan,
(3 mo. LIBOR + 5.75%), 6.25%, 12/10/29

       612        613,022  

2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 12/11/28

       2,704        2,697,808  

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 11/24/28

       937        934,657  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 07/11/25

       2,251        2,240,968  

Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25

       1,704        1,617,272  

Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 2.40%, 05/15/24

       1,130        1,122,197  

Ola Singapore PTE, Ltd., Term Loan, 12/03/26(b)(f)

       878        904,340  

PAI Holdco, Inc., 2020 Term Loan B,
(3 mo. LIBOR + 3.50%), 4.25%, 10/28/27

       764        762,314  

Serta Simmons Bedding LLC

       

2020 Super Priority First Out Term Loan, (3 mo. LIBOR + 7.50%),
8.50%, 08/10/23

       470        473,459  

2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23.

       736        686,357  

Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.00%, 01/15/27.

       1,798        1,797,756  

Voyage Australia Pty Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 07/20/28

       746        745,429  
    

 

 

 
          14,595,579  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  49


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security           Par
(000)
     Value  

Diversified Financial Services — 10.9%

 

Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 4.60%, 07/31/26

    USD        1,401      $ 1,404,690  

Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.00%),
3.50%, 03/10/28(b)

       852        852,234  

AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%),
3.25%, 02/04/28

       1,749        1,745,356  

APi Group DE, Inc., 2021 Incremental Term Loan B, 12/18/28(f)

       807        805,846  

AQGEN Island Holdings, Inc., Term Loan, (3 mo. LIBOR + 3.50%),
4.00%, 08/02/28

       3,579        3,560,210  

Belron Finance US LLC, 2021 USD Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 04/13/28

       3,028        3,023,305  

Castlelake Aviation Ltd., Term Loan B, 10/22/26(f)

       2,347        2,345,480  

Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 09/01/28

       3,218        3,200,912  

Delta TopCo, Inc.

       

2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/01/28

       670        672,720  

2020 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 12/01/27

       3,662        3,662,918  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.22%, 02/07/25

       913        909,032  

I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 02/16/28

       857        859,022  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24

       1,690             1,679,081  

KKR Apple Bidco LLC

       

2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.75%), 6.25%, 09/21/29

       248        250,713  

2021 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 09/23/28

       608        605,465  

LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27

       3,151        3,125,138  

LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 11/02/27

       1,017        1,016,479  

Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27

       4,855        4,854,203  

PECF USS Intermediate Holding III Corp., Term Loan B, 4.75%, 12/15/28

       1,421        1,421,119  

Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%),
4.00%, 09/25/26

       2,437        2,427,106  

RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 02/08/28

       738        736,146  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 2.14%, 11/05/28

       1,340        1,338,325  

SMG US Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%),
2.63%, 01/23/25

       423        410,070  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.47%, 07/30/25

       508        489,128  

Veritas US, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25

       7,223        7,216,211  
Security           Par
(000)
     Value  

Diversified Financial Services (continued)

 

VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27

    USD        1,481      $ 1,473,076  

White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.50%, 10/19/27

       1,241        1,241,597  

Ziggo Financing Partnership, USD Term Loan I, (3 mo. LIBOR + 2.50%), 2.61%, 04/30/28

       1,617        1,598,130  
    

 

 

 
             52,923,712  
Diversified Telecommunication Services — 2.5%  

Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%),
3.75%, 11/30/27

       572        570,790  

Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.25%, 10/02/27

       808        805,650  

Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 05/01/28

       1,997        1,993,331  

Intelsat Jackson Holdings SA

       

2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23

       395        393,847  

2021 DIP Term Loan, (3 mo. LIBOR + 4.75%), 5.75%, 10/13/22

       156        155,628  

Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 11/04/26

       1,943        1,941,389  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27

       1,931        1,904,298  

Meridian Adhesives Group, Inc., Term Loan B, (3 mo. LIBOR + 4.00%),
4.75%, 07/24/28

       2,038        2,027,810  

TDC A/S, EUR Term Loan, (EURIBOR + 3.00%), 3.00%, 06/04/25

    EUR        819        926,069  

Virgin Media SFA Finance Ltd., GBP Term Loan L, (LIBOR - GBP + 3.25%), 3.34%, 01/15/27

    GBP        1,000        1,334,451  
    

 

 

 
          12,053,263  
Electric Utilities — 1.3%                    

ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 12/15/27

    USD        1,330        1,328,496  

Triton Water Holdings, Inc, Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/31/28

       4,933        4,875,828  
    

 

 

 
          6,204,324  
Electrical Equipment — 1.2%                    

Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 06/23/28

       1,544        1,540,270  

Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%), 3.25%, 03/31/27

       2,444        2,436,587  

II-VI Incorporated, 2021 Bridge Term Loan B, 12/01/28(f)

       1,736        1,731,660  
    

 

 

 
          5,708,517  
Entertainment — 0.4%                    

MSG National Properties LLC, Term Loan, (3 mo. LIBOR + 6.25%),
7.00%, 11/12/25(b)

       1,970        2,009,502  
    

 

 

 
 

 

 

50  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Environmental, Maintenance & Security Service — 0.7%  

Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27

    USD       1,988     $ 1,978,455  

TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.75%, 11/02/27

      1,224       1,224,364  
   

 

 

 
             3,202,819  
Equity Real Estate Investment Trusts (REITs) — 0.1%  

RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/11/24

      722       711,817  
   

 

 

 
Food & Staples Retailing — 0.6%                  

H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25

      544       541,115  

US Foods, Inc.

     

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26

      640       632,703  

2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 11/17/28

      1,588       1,585,240  
   

 

 

 
        2,759,058  
Food Products — 2.5%                  

8th Avenue Food & Provisions, Inc.

     

2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/01/25

      1,082       1,064,966  

2021 Incremental Term Loan, (1 mo. LIBOR + 4.75%), 5.50%, 10/01/25(b)

      1,539       1,550,214  

B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.60%, 10/10/26

      415       414,266  

Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/25/27

      3,094       3,098,478  

Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27

      3,587       3,536,272  

Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26

      406       402,974  

Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 06/08/28

      1,523       1,520,675  

UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 01/20/28

      690       688,538  
   

 

 

 
        12,276,383  
Health Care Equipment & Supplies — 2.5%  

Chamberlain Group, Inc., Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 11/03/28

      2,482       2,478,898  

Electron BidCo Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 11/01/28

      2,207       2,199,749  

Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 05/04/28.

      773       772,636  

Medline Industries, Inc., USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 10/23/28

      3,435       3,432,904  

Ortho-Clinical Diagnostics SA

     

2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/25

      1,875       1,872,828  

EUR Term Loan B, (EURIBOR + 3.50%), 3.50%, 06/30/25

    EUR       874       994,891  

Toruk AS, 2021 USD Term Loan B, 11/02/28(f)

    USD       651       636,540  
   

 

 

 
        12,388,446  
Health Care Providers & Services — 3.1%                  

CCRR Parent, Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 03/06/28.

      1,637       1,633,436  

CHG Healthcare Services, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28

      1,033       1,032,377  
Security          Par
(000)
    Value  
Health Care Providers & Services (continued)  

Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27

    USD       1,457     $ 1,456,138  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25

      1,439       1,153,674  

EyeCare Partners LLC

     

2020 Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 02/18/27

      1,686       1,674,642  

2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.25%, 11/15/29

      581       580,882  

2021 Delayed Draw Term Loan, (3 mo. LIBOR + 3.75%), 1.55%, 11/15/28

      73       73,165  

2021 Incremental Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 11/15/28

      431       429,234  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.72%, 03/05/26

      1,055       973,441  

Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 09/01/28

      881       879,375  

PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 4.25%, 02/14/25

      52       52,398  

Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%), 3.25%, 12/11/26

      2,539       2,527,092  

WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 12/22/28

      2,463       2,459,160  
   

 

 

 
           14,925,014  
Health Care Services — 0.9%                  

Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.63%, 07/24/26

      2,064       2,052,947  

Medical Solutions LLC, 2021 2nd Lien Term Loan, (3 mo. LIBOR + 7.00%), 7.50%, 11/01/29

      611       602,855  

Unified Physician Management LLC, 2020 Term Loan, (1 mo. LIBOR + 4.25%), 5.00%, 12/16/27

      1,867       1,865,791  
   

 

 

 
        4,521,593  
Health Care Technology — 2.9%                  

Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.40%, 02/11/26

      366       365,866  

Change Healthcare Holdings, Inc., 2017 Term Loan B, (1 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 03/01/24

      1,382       1,380,533  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25

      2,199       2,188,029  

Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 06/02/28

      4,943       4,938,491  

Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 07/24/26

      1,706       1,703,524  

Quintiles IMS, Inc., 2017 USD Term Loan B1, (1 mo. LIBOR + 1.75%), 1.85%, 03/07/24

      476       474,472  

Verscend Holding Corp., 2nd Lien Term Loan, (1 mo. LIBOR + 7.00%), 7.50%, 04/02/29(b)

      3,092       3,092,000  
   

 

 

 
        14,142,915  
Hotels, Restaurants & Leisure — 7.3%                  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26

      2,455       2,418,351  

Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24

      995       998,272  

Boyd Gaming Corp., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.35%, 09/15/23

      1,123       1,121,665  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  51


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)                  

Caesars Resort Collection LLC

     

2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24

    USD       2,341     $ 2,326,586  

2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 3.60%, 07/20/25

      1,224       1,223,201  

Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/17/28

      781       775,239  

ECL Entertainment LLC, Term Loan, (1 mo. LIBOR + 7.50%), 8.25%, 03/31/28

      578       586,766  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24

      4,006       3,796,210  

Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23

      1,334       1,327,712  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23

      2,495       2,477,813  

Golden Nugget, Inc., 2020 Initial Term Loan, (1 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(b)

      177       188,457  

IRB Holding Corp. 2020 Fourth Amendment Incremental

     

Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27.

      3,675       3,671,277  

2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25

      1,589       1,585,506  

Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 03/11/28

      1,230       1,223,043  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24

      1,284       1,278,180  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 07/21/26

      1,121       1,116,457  

Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 2.50%, 02/08/27

      2,071       2,051,462  

Travelport Finance (Luxembourg) Sarl(d)

     

2020 Super Priority Term Loan, (6.50% PIK), 2.50%, 02/28/25

      1,360       1,396,079  

2021 Consented Term Loan, (1.75% PIK), 5.22%, 05/29/26

      2,227       1,849,095  

Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 10/02/28

      1,355       1,354,431  

Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 08/03/28

      2,285       2,274,603  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 05/30/25

      545       538,537  
   

 

 

 
           35,578,942  
Household Durables — 1.6%                  

ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%), 4.75%, 05/17/28

      3,483       3,431,242  

Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/04/27

      1,509       1,499,274  

Snap One Holdings Corp, Term Loan B, (1 mo. LIBOR + 4.50%), 5.00%, 12/08/28

      1,083       1,076,463  
Security          Par
(000)
    Value  
Household Durables (continued)                  

Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/06/28

    USD       831     $ 822,690  

Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 10/30/27

      978       978,329  
   

 

 

 
        7,807,998  
Household Products — 0.1%                  

Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 2.50%, 03/03/28

      539       536,907  
   

 

 

 
Independent Power and Renewable Electricity Producers — 0.6%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25

      506       501,933  

Calpine Corp.

     

2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26

      710       700,211  

Term Loan B9, (1 mo. LIBOR + 2.00%), 2.11%, 04/05/26

      1,519       1,500,899  
   

 

 

 
        2,703,043  
Industrial Conglomerates — 2.7%                  

AVSC Holding Corp.(d)

     

2020 Term Loan B1, (0.25% PIK), 4.25%, 03/03/25

      2,922       2,676,451  

2020 Term Loan B3, (10.00% PIK), 10.00%, 10/15/26

      1,212       1,408,064  

Diamond (BC) B.V., 2021 Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 09/29/28

      1,939       1,929,906  

Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23

      1,315       1,321,095  

Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 07/28/28

 

    1,097       1,029,583  

Vertical US Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%), 4.00%, 07/30/27

      1,915       1,914,615  

Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.84%, 03/02/27

      2,957       2,935,889  
   

 

 

 
           13,215,603  
Insurance — 5.0%                  

Alliant Holdings Intermediate LLC

     

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25

      2,914       2,882,540  

2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 4.00%, 11/06/27

      5,096       5,086,239  

Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25

      1,024       1,012,878  

AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 02/19/28

      3,397       3,368,501  

AssuredPartners, Inc.

     

2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27

      1,418       1,405,883  

2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 02/12/27

      889       886,704  

HUB International Ltd.

     

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 04/25/25

      2,877       2,841,312  

2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.00%, 04/25/25

      2,694       2,691,006  
 

 

 

52  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Insurance (continued)                  

NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/15/27.

    USD       188     $ 184,271  

Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 09/01/27

      1,153       1,151,506  

Sedgwick Claims Management Services, Inc.

     

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 12/31/25

      794       787,473  

2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26

      1,028       1,026,450  

2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26

      832       832,445  
   

 

 

 
        24,157,208  
Interactive Media & Services — 2.9%                  

Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 06/26/28

      2,500       2,500,327  

Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 12/06/27

      2,388       2,368,490  

Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26

      3,367       3,361,738  

Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27

      740       733,114  

Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26

      5,116       5,134,930  
   

 

 

 
           14,098,599  
Internet & Direct Marketing Retail — 0.6%                  

CNT Holdings I Corp., 2020 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 11/08/27

      2,702       2,701,099  

PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 4.75%, 02/12/27

      371       368,751  
   

 

 

 
        3,069,850  
Internet Software & Services — 0.4%                  

Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27

      2,105       2,104,230  
   

 

 

 
IT Services — 7.6%                  

Aruba Investments, Inc.

     

2020 2nd Lien Term Loan, (6 mo. LIBOR + 7.75%), 8.50%, 11/24/28

      1,440       1,442,405  

2020 USD Term Loan, (6 mo. LIBOR + 4.00%), 4.75%, 11/24/27

      773       773,167  

Banff Merger Sub, Inc., 2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 10/02/25

      2,060       2,045,862  

Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/30/26

      2,313       2,295,112  

CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/21/28

      1,700       1,697,348  

Celestial -Saturn Parent, Inc., 2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.00%, 06/04/29

      1,269       1,277,731  

CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 06/02/28

      4,199       4,191,076  

Fleetcor Technologies Operating Company LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/28/28

      2,065       2,042,153  

Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 12/01/27

      5,028       5,042,760  
Security          Par
(000)
    Value  
IT Services (continued)                  

GreenSky Holdings LLC, 2020 Term Loan B2, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 03/29/25(b)

    USD       1,551     $ 1,553,368  

PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27

      2,555       2,493,941  

Sophia LP, 2020 2nd Lien Term Loan, (3 mo. LIBOR + 8.00%, 1.00% Floor), 9.00%, 10/09/28

      4,215       4,325,644  

TierPoint LLC, 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 05/05/26

      971       970,162  

Trans Union LLC

     

2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.85%, 11/16/26

      1,876       1,856,802  

2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.75%, 12/01/28

      3,020       3,010,185  

Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/11/28

      1,054       1,056,670  

WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28

      983       976,434  

ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/02/26

      218       218,273  
   

 

 

 
           37,269,093  
Leisure Products — 0.4%                  

Fender Musical Instruments Corp., 2021 Term Loan B, (SOFR + 4.00%), 4.50%, 12/01/28(b)

      985       981,463  

MND Holdings III Corp., 2018 1st Lien Term Loan, (3 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 06/19/24

      990       966,582  
   

 

 

 
        1,948,045  
Life Sciences Tools & Services — 3.2%                  

Avantor Funding, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.50%, 11/21/24

      482       480,600  

Avantor, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 2.75%, 11/08/27

      2,890       2,886,718  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27

      4,438       4,449,382  

ICON Luxembourg Sarl

     

LUX Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28

      2,688       2,686,777  

US Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28

      670       669,414  

Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27

      1,236       1,240,372  

Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 11/15/28

      3,434       3,432,388  
   

 

 

 
        15,845,651  
Machinery — 3.6%                  

Albion Financing 3 SARL, USD Term Loan, (3 mo. LIBOR + 5.25%), 5.75%, 08/17/26

      1,854       1,854,010  

ASP Blade Holdings, Inc, Initial Term Loan, (1 mo. LIBOR + 4.00%), 4.50%, 10/13/28

      680       679,436  

Clark Equipment Co., 2021 Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 05/18/24

      1,361       1,357,601  

Columbus McKinnon Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 05/14/28

      421       420,934  

Filtration Group Corp., 2021 Incremental Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 10/21/28

      1,185       1,182,316  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  53


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Machinery (continued)                  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27

    USD       2,247     $ 2,220,441  

Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 3.75%, 06/21/28.

      4,136       4,129,886  

Rexnord LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 10/04/28.

      127       126,961  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.35%, 03/28/25

      5,531       5,432,887  
   

 

 

 
           17,404,472  
Media — 13.3%                  

Altice Financing SA

     

2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 07/15/25

      1,095       1,080,531  

USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.87%, 01/31/26

      1,571       1,552,538  

Altice France SA, 2018 Term Loan B13, (2 mo. LIBOR + 4.00%), 4.12%, 08/14/26

      3,501       3,479,817  

AMC Entertainment Holdings, Inc., 04/22/26(f)

      959       861,663  

Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 05/03/28

      1,041       1,039,906  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25

      2,633       2,625,279  

City Football Group Ltd., Term Loan, (6 mo. LIBOR + 3.50%), 4.00%, 07/21/28(b)

      1,599       1,587,007  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26

      5,966       5,879,223  

Connect Finco Sarl, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26

      8,021       8,016,745  

CSC Holdings LLC

     

2017 Term Loan B1, (3 mo. LIBOR + 2.25%), 2.36%, 07/17/25

      2,147       2,111,962  

2019 Term Loan B5, (3 mo. LIBOR + 2.50%), 2.61%, 04/15/27

      2,112       2,082,955  

E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 01/07/28

      865       863,397  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23

      2,050       1,936,227  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25

      1,335       1,322,616  

Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/17/26

      2,557       2,481,735  

MH Sub I LLC

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24

      3,507       3,486,645  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/13/24

      3,338       3,341,527  

2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/12/29

      1,021       1,025,676  

Nexstar Broadcasting, Inc., 2019 Term Loan B4, (3 mo. LIBOR + 2.50%), 2.60%, 09/18/26

      1,344       1,340,300  

Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26

      (g)       314  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(b)

      4,102       4,091,480  

Trader Interactive LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 07/28/28(b)

      596       593,020  
Security          Par
(000)
    Value  
Media (continued)                  

UPC Financing Partnership, 2021 USD Term Loan AX, (3 mo. LIBOR + 3.00%), 3.11%, 01/31/29

    USD       577     $ 574,715  

Virgin Media Bristol LLC

     

2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.36%, 01/31/29

      2,365       2,362,422  

USD Term Loan N, (3 mo. LIBOR + 2.50%), 2.61%, 01/31/28

      988       978,540  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25

      1,946       1,902,019  

WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28

      669       665,786  

Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27

      7,485       7,378,940  
   

 

 

 
           64,662,985  
Metals & Mining — 0.4%                  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.68%, 07/31/25

      1,754       1,754,276  
   

 

 

 
Oil, Gas & Consumable Fuels — 0.4%                  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 12/13/25

      1,231       1,160,875  

Freeport LNG Investments, LLLP, Term Loan B, 12/21/28(f)

      162       160,472  

Lealand Finance Company BV, 2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%), 1.10%, 06/30/25

      291       126,890  

McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/28/24(b)

      40       22,939  

Murphy USA, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 2.25%, 01/31/28

      646       645,484  
   

 

 

 
        2,116,660  
Personal Products — 1.4%                  

Kronos Acquisition Holdings Inc., 2021 1st Lien Term Loan, 12/22/26(f)

      411       407,149  

Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 2.50%, 07/03/28(b)

      467       468,333  

Sunshine Luxembourg VII Sarl, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%), 4.50%, 10/01/26

      6,121       6,140,465  
   

 

 

 
        7,015,947  
Pharmaceuticals — 3.2%                  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25

      1,501       1,484,586  

Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 2.50%, 02/22/28

      2,119       2,119,716  

Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.85%, 08/01/27

      1,052       1,037,492  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 11/15/27

      1,592       1,567,993  

Jazz Financing Lux Sarl, USD Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 05/05/28

      2,450       2,457,907  

Organon Finance 1 LLC, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 06/02/28

      1,598       1,597,960  
 

 

 

54  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Pharmaceuticals (continued)                  

Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/18/27

    USD       1,311     $ 1,304,007  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25

      4,168       4,145,690  
   

 

 

 
           15,715,351  
Professional Services — 0.8%                  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26

      4,160       4,140,297  
   

 

 

 
Real Estate Management & Development — 0.3%  

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25

      1,464       1,452,643  
   

 

 

 
Road & Rail — 0.2%                  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.72%, 08/04/25(b)

      1,209       1,101,590  
   

 

 

 
Semiconductors & Semiconductor Equipment — 0.8%  

MKS Instruments, Inc., 2021 USD Term Loan, 10/21/28(f)

      2,681       2,673,627  

ON Semiconductor Corp., 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/19/26

      479       478,063  

Synaptics Inc., Term Loan B, (3 mo. LIBOR + 2.25%), 2.75%, 12/02/28

      632       630,834  
   

 

 

 
        3,782,524  
Software — 16.6%                  

2U, Inc., Term Loan, (3 mo. LIBOR + 5.75%), 6.50%, 12/30/24

      1,440       1,428,949  

Applied Systems, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 09/19/24

      744       742,878  

Barracuda Networks, Inc.

     

1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 02/12/25

      2,084       2,089,488  

2020 2nd Lien Term Loan, (3 mo. LIBOR + 6.75%), 7.50%, 10/30/28

      870       874,350  

Cloudera, Inc.

     

2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 6.50%, 10/08/29(b)

      1,486       1,482,285  

2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/08/28

 

    4,140       4,124,475  

ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28

      1,023       1,019,532  

Cornerstone OnDemand, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 10/16/28

      1,205       1,200,264  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.50%, 05/28/24

      1,039       1,009,700  

E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 02/04/28

      287       287,279  

Epicor Software Corp., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28

      2,141       2,187,395  

First Advantage Holdings LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 01/31/27

      (g)       1  

Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.97%, 03/11/28

      2,134       2,117,122  

Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.88%, 10/27/28

      5,682       5,656,658  
Security          Par
(000)
    Value  
Software (continued)                  

Instructure Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 10/30/28

    USD       735     $ 731,325  

IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/02/28(b)

      590       587,960  

IPS Corporation, 2021 2nd Lien Term Loan B, (1 mo. LIBOR + 7.00%), 7.50%, 10/01/29

      1,046       1,046,868  

Magenta Buyer LLC

     

2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 07/27/28

      6,028       6,007,157  

2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29

      2,934       2,907,418  

McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/30/24

      920       920,375  

Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27

      1,574       1,576,249  

Planview Parent, Inc.

     

2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/18/28(b)

      930       930,000  

Term Loan, (3 mo. LIBOR + 4.00%), 4.75%, 12/17/27

      2,149         2,147,804  

Proof Point, Inc., 2nd Lien Term Loan, (3 mo. LIBOR + 6.25%), 6.75%, 08/31/29

      1,451       1,463,696  

Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 08/31/28

      3,037       3,021,652  

RealPage, Inc.

     

1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 04/24/28

      6,618       6,594,436  

2nd Lien Term Loan, (1 mo. LIBOR + 6.50%), 7.25%, 04/23/29

      2,965       2,999,252  

Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 05/30/25

      680       673,256  

Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 08/01/25

      3,874       3,851,775  

Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/07/27

      5,118       5,114,558  

Tempo Acquisition LLC

     

2020 Extended Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 11/02/26

      4,363       4,367,472  

2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.50%, 08/31/28

      489       489,997  

Tibco Software Inc., 2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.25%), 7.25%, 03/03/28

      861       862,797  

Ultimate Software Group, Inc.

     

2021 2nd Lien Term Loan, (1 mo. LIBOR + 5.25%), 5.75%, 05/03/27

      1,865       1,868,706  

2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 05/04/26

      4,857       4,828,320  

Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/04/26

      3,928       3,913,169  
   

 

 

 
           81,124,618  
Specialty Retail — 3.9%                  

Belron Finance US LLC

     

2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25

      439       436,479  

2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26

      875       868,209  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, (LIBOR - GBP + 4.75%), 4.95%, 06/23/25

    GBP       1,000       1,343,398  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  55


Schedule of Investments  (continued)

December 31, 2021

  

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

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Specialty Retail (continued)

     

EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%), 4.75%, 03/31/26(b)

    USD       571     $ 574,720  

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/24/28

      688       683,700  

Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 05/04/28

      3,025       3,024,800  

MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.35%, 08/31/26

      1,719       1,714,104  

Medical Solutions LLC

     

2021 Delayed Draw Term Loan, 0.07%, 11/01/28

      28       27,603  

2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 11/01/28

      2,465       2,459,959  

PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 02/11/28

      5,317       5,319,825  

Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24

      1,236       1,217,874  

Woof Holdings, Inc.

     

1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/21/27

      551       550,837  

2nd Lien Term Loan, (6 mo. LIBOR + 7.25%), 8.00%, 12/21/28

      560       563,153  
     

 

 

 
           18,784,661  
Technology Hardware, Storage & Peripherals — 0.3%  

Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.10%, 07/23/26(b)

      1,533       1,502,143  
     

 

 

 
Trading Companies & Distributors — 0.7%              

Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 05/19/28

      1,389       1,379,764  

Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 01/31/28

      1,527       1,507,262  

ION Trading Finance Ltd., 2021 Term Loan, (3 mo.

 

   

LIBOR + 4.75%), 4.97%, 04/03/28

      680       681,526  
     

 

 

 
        3,568,552  
Wireless Telecommunication Services — 1.1%  

GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 04/30/28

      1,105       1,103,712  

Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 05/26/28

      712       713,483  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%),
1.86%, 04/11/25

      3,378       3,337,562  
     

 

 

 
        5,154,757  
     

 

 

 

Total Floating Rate Loan Interests — 147.4%
(Cost: $717,341,958)

 

    719,174,345  
     

 

 

 
Security              
Shares
    Value  
Investment Companies                  
Fixed Income Funds — 0.6%                  

Invesco Senior Loan ETF

      128,600     $ 2,842,060  
     

 

 

 

Total Investment Companies — 0.6%
(Cost: $2,843,325)

 

    2,842,060  
     

 

 

 
            Benefical
Interest (000)
        

Other Interests(h)

     
IT Services(a)(b) — 0.0%                  

Millennium Corp

    USD       1,607        

Millennium Lender Claims

      1,508        
     

 

 

 

Total Other Interests — 0.0%
(Cost: $ — )

         
     

 

 

 
            Shares         

Warrants

     
Oil, Gas & Consumable Fuels — 0.0%        

California Resources Corp.(a)

      999       12,388  
     

 

 

 

Total Warrants — 0.0%
(Cost: $ — )

        12,388  
     

 

 

 

Total Investments — 149.5%
(Cost: $734,299,324)

        729,314,552  

Liabilities in Excess of Other Assets — (49.5)%

 

    (241,481,595
     

 

 

 

Net Assets — 100.0%

      $ 487,832,957  
     

 

 

 

 

(a) 

Non-income producing security.

(b) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(c) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(e) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(f) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(g) 

Rounds to less than 1,000.

(h) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

 

For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

 

56  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

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

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
12/31/20
    Purchases
at Cost
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
12/31/21
    Shares
Held at
12/31/21
    Income     Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class(a)

  $     $ (b)    $     $     $     $           $ 32     $  

iShares iBoxx $ High Yield Corporate Bond ETF(a)

    8,380,800             (8,404,789     763,061       (739,072                 146,030        

iShares iBoxx $ Investment Grade Corporate Bond ETF(a)

    3,315,120             (3,263,035     190,682       (242,767                 37,324        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 953,743     $ (981,839   $       $ 183,386     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

As of period end, the entity is no longer held.

 
  (b) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

Currency Purchased        Currency Sold      Counterparty    Settlement Date      Unrealized
Appreciation
(Depreciation)
 

USD

     3,066,098          EUR        2,708,000      Natwest Markets PLC      03/16/22      $ (21,488

USD

     2,596,484          GBP        1,958,000      JPMorgan Chase Bank N.A.      03/16/22        (52,961
                   

 

 

 
                    $ (74,449
                   

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection

 

Reference Obligation/Index    Financing
Rate Received
by the Fund
     Payment
Frequency
     Termination
Date
    

Credit

Rating(a)

    

Notional
Amount

(000)(b)

     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

CDX.NA.HY.37.V1

     5.00      Quarterly        12/20/26        B+      USD  5,600      $ 526,273      $ 416,291      $ 109,982  
                 

 

 

    

 

 

    

 

 

 

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 
  (b) 

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps

 

Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

   $ 416,291      $      $ 109,982      $  

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  57


Schedule of Investments  (continued)

December 31, 2021

  

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

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

                    

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

   $      $ 109,982      $      $      $      $      $ 109,982  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 74,449      $      $      $ 74,449  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended December 31, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Forward foreign currency exchange contracts

   $      $      $      $ 230,057      $      $      $ 230,057  

Swaps

            9,582                                    9,582  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 9,582      $      $ 230,057      $      $      $ 239,639  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

                 

Forward foreign currency exchange contracts

   $      $      $      $ 100,550      $      $      $ 100,550  

Swaps

            109,982                                    109,982  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 109,982      $      $ 100,550      $      $      $ 210,532  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Forward foreign currency exchange contracts:

        

Average amounts purchased — in USD

   $ 6,178,014  

Credit default swaps:

  

Average notional value — sell protection

   $ 1,400,000  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Forward foreign currency exchange contracts

   $      $ 74,449  

Swaps — centrally cleared

     10,152         
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

     10,152        74,449  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (10,152       
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $      $ 74,449  
  

 

 

    

 

 

 

 

 

58  

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Schedule of Investments  (continued)

December 31, 2021

  

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

 

The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Fund:

 

Counterparty    Derivative
Liabilities
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
       Non-Cash
Collateral
Pledged
       Cash
Collateral
Pledged
      

Net Amount
of Derivative

Liabilities(a)

 

JPMorgan Chase Bank N.A.

   $ 52,961        $        $        $        $ 52,961  

Natwest Markets PLC

     21,488                                     21,488  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 
   $ 74,449        $        $        $        $ 74,449  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Net amount represents the net amount payable due to counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Common Stocks

                 

Construction & Engineering

   $ 50,813        $        $        $ 50,813  

Diversified Financial Services

                       3,098          3,098  

Media

     284,494                            284,494  

Metals & Mining

                       793          793  

Oil, Gas & Consumable Fuels

     86,573                            86,573  

Semiconductors & Semiconductor Equipment

     42,043                            42,043  

Software

     1,307                            1,307  

Specialty Retail

              528,943                   528,943  

Corporate Bonds

              6,287,695                   6,287,695  

Floating Rate Loan Interests

              691,855,271          27,319,074          719,174,345  

Investment Companies

     2,842,060                            2,842,060  

Other Interests

                                 

Warrants

     12,388                            12,388  

Unfunded Floating Rate Loan Interests(a)

              1,204                   1,204  

Liabilities

                 

Unfunded Floating Rate Loan Interests(a)

              (1,985        (589        (2,574
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 3,319,678        $ 698,671,128        $ 27,322,376        $ 729,313,182  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(b)

                 

Assets

                 

Credit Contracts

   $        $ 109,982        $        $ 109,982  

Liabilities

                 

Foreign Currency Exchange Contracts

              (74,449                 (74,449
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 35,533        $        $ 35,533  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (b) 

Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, bank borrowings payable of $223,000,000 are categorized as Level 2 within the fair value hierarchy.

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  59


Schedule of Investments  (continued)

December 31, 2021

  

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

 

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Common
Stocks
       Corporate
Bonds
     Floating
Rate Loan
Interests
       Other
Interests
     Unfunded Floating
Rate Loan
Interests
       Total  

Assets

                       

Opening balance, as of December 31, 2020

   $ 55,840        $ 425,578      $ 31,919,645        $ (a)     $        $ 32,401,063  

Transfers into Level 3(b)

                     1,182,194                          1,182,194  

Transfers out of Level 3(c)

                     (12,201,568                        (12,201,568

Accrued discounts/premiums

              19,298        42,281                          61,579  

Net realized gain (loss)

              95,686        72,924                          168,610  

Net change in unrealized appreciation (depreciation)(d)(e)

     (40,125        16,774        353,848                 (589        329,908  

Purchases

              11,262        15,060,614                          15,071,876  

Sales

     (11,824        (568,598      (9,110,864                        (9,691,286
  

 

 

      

 

 

    

 

 

      

 

 

    

 

 

      

 

 

 

Closing balance, as of December 31, 2021

   $ 3,891        $ (a)      $ 27,319,074        $ (a)     $ (589      $ 27,322,376  
  

 

 

      

 

 

    

 

 

      

 

 

    

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(e)

   $ (17,504      $      $ 332,019        $      $ (589      $ 313,926  
  

 

 

      

 

 

    

 

 

      

 

 

    

 

 

      

 

 

 

 

  (a) 

Rounds to less than $1.

 
  (b) 

As of December 31, 2020, the Fund used observable inputs in determining the value of certain investments. As of December 31, 2021, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 2 to Level 3 in the disclosure hierarchy.

 
  (c) 

As of December 31, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of December 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments at beginning of period value were transferred from Level 3 to Level 2 in the disclosure hierarchy.

 
  (d) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (e) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021 is generally due to investments no longer held or categorized as Level 3 at period end.

 

See notes to financial statements.

 

 

60  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities

   

Small Business Administration Participation Certificates, Series 2000-1, 1.00%, 11/10/21(a)

  $ 4     $  

Sterling Coofs Trust(a)

   

Series 2004-1, Class A, 2.36%, 04/15/29

    723       7,228  

Series 2004-2, Class Note, 2.08%, 03/30/30(b)

    534       5,339  
   

 

 

 

Total Asset-Backed Securities — 0.0%
(Cost: $132,149)

      12,567  
   

 

 

 

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 3.2%

   

Kidder Peabody Acceptance Corp., Series 1993-1, Class A6, (1 mo. LIBOR US + 16.62%), 16.43%, 08/25/23(c)

    8       8,682  

Seasoned Credit Risk Transfer Trust

   

Series 2018-2, Class MA, 3.50%, 11/25/57

    776       803,429  

Series 2018-4, Class MA, 3.50%, 03/25/58

    4,123       4,280,616  

Series 2019-1, Class MA, 3.50%, 07/25/58

    1,328       1,379,647  

Series 2019-2, Class MA, 3.50%, 08/25/58

    518       540,353  

Uniform Mortgage-Backed Securities

   

Series 2019-36, Class NJ, 3.00%, 07/25/49

    2,354       2,506,813  

Series 5083, Class IN, 4.50%, 07/25/32

    19,290       2,154,347  
   

 

 

 
         11,673,887  
Commercial Mortgage-Backed Securities — 0.8%  

CSAIL Commercial Mortgage Trust(c)

   

Series 2018-C14, Class XA, 0.57%, 11/15/51

    2,094       69,760  

Series 2019-C16, Class XA, 1.56%, 06/15/52

    6,421       606,422  

Natixis Commercial Mortgage Securities Trust,

   

Series 2018-FL1, Class A, (1 mo. LIBOR US + 0.95%), 1.06%, 06/15/35(b)(c)

    243       240,285  

One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(b)

    1,717       1,737,561  

Wells Fargo Commercial Mortgage Trust, Series 2018- C44, Class XA, 0.74%, 05/15/51(c)

    4,987       188,916  
   

 

 

 
      2,842,944  
Interest Only Collateralized Mortgage Obligations — 0.0%  

CitiMortgage Alternative Loan Trust, Series 2007-A5, Class 1A7, 6.00%, 05/25/37

    167       32,752  

IndyMac INDX Mortgage Loan Trust, Series 2006- AR33, Class 4AX, 0.17%, 01/25/37

    21,179       2  

Vendee Mortgage Trust, Series 1999-2, Class 1, 0.00%, 05/15/29(c)

    8,808       9  
   

 

 

 
      32,763  
Mortgage-Backed Securities — 1.9%            

Fannie Mae, Series 2021-26, 3.50%, 05/25/50

    35,786       4,605,287  

FRESB Mortgage Trust(c)

   

Series 2019-SB60, Class A10F, 3.31%, 01/25/29

    1,039       1,081,758  

Series 2019-SB61, Class A10F, 3.17%, 01/25/29

    949       990,083  
   

 

 

 
      6,677,128  
Security   Par
(000)
    Value  
Principal Only Collateralized Mortgage Obligations(d) — 0.0%  

CHL Mortgage Pass-Through Trust, Series 2003-J8, 0.00%, 09/25/23

  $ 10     $ 9,659  

Residential Asset Securitization Trust, Series 2005- A15, Class 1A8, 0.00%, 02/25/36

    116       92,156  

Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2005-9, Class CP, 0.00%, 11/25/35.

    67       46,512  
   

 

 

 
      148,327  
   

 

 

 

Total Non-Agency Mortgage-Backed Securities — 5.9% (Cost: $22,346,287)

      21,375,049  
   

 

 

 

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 3.1%            

Federal Housing Administration(a)

   

Merrill Lynch Projects, Series 54, 7.43%, 05/15/23

    (e)        

USGI Projects, Series 99, 7.43%, 11/01/22 - 10/01/23

    8       8,350  

Resolution Funding Corp. Principal Strip, 0.00%, 04/15/30(d)

    13,000       11,238,146  
   

 

 

 
         11,246,496  
Collateralized Mortgage Obligations — 66.2%  

Ginnie Mae Mortgage-Backed Securities

   

Series 2011-88, Class PY, 4.00%, 06/20/41

    10,270       10,990,302  

Series 2012-16, Class HJ, 4.00%, 09/20/40

    7,064       7,546,056  

Series 2015-96, Class ZM, 4.00%, 07/20/45

    8,110       9,453,532  

Series 2018-91, Class ZL, 4.00%, 07/20/48

    5,891       6,903,203  

Uniform Mortgage-Backed Securities

   

Series 0040, Class K, 6.50%, 08/17/24

    13       13,825  

Series 1993-247, Class SN, (11th District Cost of Funds + 63.85%), 10.00%, 12/25/23(c)

    14       14,238  

Series 2004-31, Class ZG, 7.50%, 05/25/34

    2,685       3,241,344  

Series 2004-84, Class SD, (1 mo. LIBOR US + 12.75%), 12.58%, 04/25/34(c)

    1,092       1,169,126  

Series 2005-73, Class DS, (1 mo. LIBOR US + 17.55%), 17.29%, 08/25/35(c)

    68       83,183  

Series 2010-134, Class DB, 4.50%, 12/25/40

    7,000       7,831,232  

Series 2010-136, Class CY, 4.00%, 12/25/40

    3,060       3,359,512  

Series 2010-47, Class JB, 5.00%, 05/25/30

    3,199       3,506,303  

Series 2011-117, Class CP, 4.00%, 11/25/41

    14,351       16,112,767  

Series 2011-8, Class ZA, 4.00%, 02/25/41

    5,213       5,591,057  

Series 2011-99, Class CB, 4.50%, 10/25/41

    40,776       45,226,849  

Series 2012-104, Class QD, 4.00%, 09/25/42

    1,639       1,922,869  

Series 2013-81, Class YK, 4.00%, 08/25/43

    7,000       7,973,924  

Series 2017-76, Class PB, 3.00%, 10/25/57

    3,415       3,591,148  

Series 2018-32, Class PS, (1 mo. LIBOR US + 7.23%), 7.11%, 05/25/48(c)

    5,802       6,386,066  

Series 2018-50, Class EB, 4.00%, 07/25/48

    2,001       2,258,270  

Series 2218, Class Z, 8.50%, 03/15/30

    579       667,086  

Series 2542, Class UC, 6.00%, 12/15/22

    77       78,090  

Series 2731, Class ZA, 4.50%, 01/15/34

    2,019       2,203,159  

Series 2927, Class BZ, 5.50%, 02/15/35

    2,381       2,643,989  

Series 3745, Class ZA, 4.00%, 10/15/40

    1,281       1,402,488  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  61


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Collateralized Mortgage Obligations (continued)

 

Uniform Mortgage-Backed Securities (continued)

 

Series 3762, Class LN, 4.00%, 11/15/40

  $ 2,000     $ 2,281,224  

Series 3780, Class ZA, 4.00%, 12/15/40

    3,071       3,398,534  

Series 3856, Class PB, 5.00%, 05/15/41

    8,625       9,623,868  

Series 3960, Class PL, 4.00%, 11/15/41

    2,859       3,187,656  

Series 3963, Class JB, 4.50%, 11/15/41

    659       723,277  

Series 4016, Class BX, 4.00%, 09/15/41

    15,408       17,241,098  

Series 4269, Class PM, 4.00%, 08/15/41

    8,884       10,301,421  

Series 4299, Class JY, 4.00%, 01/15/44

    1,000       1,142,200  

Series 4316, Class VB, 4.50%, 03/15/34

    6,249       6,334,384  

Series 4384, Class LB, 3.50%, 08/15/43

    5,100       5,385,024  

Series 4471, Class JB, 3.50%, 09/15/43

    3,932       4,144,965  

Series 4615, Class LB, 4.50%, 09/15/41

    7,800       9,043,772  

Series 4748, Class BM, 3.50%, 11/15/47

    3,351       3,797,010  

Series 4774, Class L, 4.50%, 03/15/48

    7,839       8,524,925  

Series 4830, Class AV, 4.00%, 10/15/33

    1,069       1,191,311  

Series 4880, Class LG, 3.50%, 05/15/49

    2,196       2,395,914  
   

 

 

 
       238,886,201  
Interest Only Collateralized Mortgage Obligations — 7.8%  

Ginnie Mae Mortgage-Backed Securities(c)

   

Series 2009-116, Class KS, (1 mo. LIBOR US + 6.47%), 6.36%, 12/16/39

    452       67,505  

Series 2011-52, Class MJ, (1 mo. LIBOR US + 6.65%), 6.55%, 04/20/41

    3,719       461,789  

Series 2011-52, Class NS, (1 mo. LIBOR US + 6.67%), 6.56%, 04/16/41

    4,499       771,013  

Series 2012-97, Class JS, (1 mo. LIBOR US + 6.25%), 6.14%, 08/16/42

    6,862       702,636  

Series 2017-101, Class SL, (1 mo. LIBOR US + 6.20%), 6.10%, 07/20/47

    11,838       1,997,254  

Uniform Mortgage-Backed Securities

   

Series 1997-50, Class SI, (1 mo. LIBOR US + 9.20%), 1.20%, 04/25/23(c)

    5       21  

Series 1997-90, Class M, 6.00%, 01/25/28

    199       8,067  

Series 1999-W4, Class IO, 6.50%, 12/25/28

    46       2,821  

Series 2006-36, Class PS, (1 mo. LIBOR US + 6.60%), 6.50%, 05/25/36(c)

    2,899       525,350  

Series 2011-134, Class ST, (1 mo. LIBOR US + 6.00%), 5.90%, 12/25/41(c)

    16,612       3,371,303  

Series 2012-96, Class DI, 4.00%, 02/25/27

    211       1,677  

Series 2013-10, Class PI, 3.00%, 02/25/43

    4,585       410,599  

Series 2013-45, Class EI, 4.00%, 04/25/43

    1,579       132,642  

Series 2015-66, Class AS, (1 mo. LIBOR US + 6.25%), 6.15%, 09/25/45(c)

    15,699       2,587,180  

Series 2017-70, Class SA, (1 mo. LIBOR US + 6.15%), 6.05%, 09/25/47(c)

    22,647       4,202,561  

Series 2019-25, Class SA, (1 mo. LIBOR US + 6.05%), 5.95%, 06/25/49(c)

    11,324       2,203,182  

Series 2019-35, Class SA, (1 mo. LIBOR US + 6.10%), 6.00%, 07/25/49(c)

    3,517       617,591  

Series 2020-12, Class JI, 4.50%, 03/25/50

    10,263       1,856,397  

Series 3744, Class PI, 4.00%, 06/15/39

    2,124       103,336  

Series 3796, Class WS, (1 mo. LIBOR US + 6.55%), 6.44%, 02/15/40(c)

    1,081       53,153  

Series 3923, Class SD, (1 mo. LIBOR US + 6.00%), 5.89%, 09/15/41(c)

    21,548       3,933,517  

Series 3954, Class SL, (1 mo. LIBOR US + 6.00%), 5.89%, 11/15/41(c)

    13,258       2,498,202  

Series 4026, Class IO, 4.50%, 04/15/32

    860       79,338  
Security  

Par

(000)

    Value  

Interest Only Collateralized Mortgage Obligations (continued)

 

Uniform Mortgage-Backed Securities (continued)

 

Series 4119, Class SC, (1 mo. LIBOR US + 6.15%), 6.04%, 10/15/42(c)

  $ 286     $ 51,388  

Series 4706, Class IG, 4.00%, 07/15/47

    10,630       1,474,742  

Series G92-60, Class SB, (11th District Cost of Funds + 9.35%), 1.60%, 10/25/22(c)

    1       2  
   

 

 

 
         28,113,266  
Mortgage-Backed Securities — 92.1%            

Fannie Mae

   

Series 2020-M21, Class AX, 1.81%, 01/25/58(c)

    1,729       346,017  

Series 2021-23, Class CI, 3.50%, 07/25/46

    24,026       3,858,050  

Fannie Mae Mortgage-Backed Securities
2.00%, 12/01/51(f)

    16,650       16,631,428  

2.50%, 12/01/51

    8,000       8,251,121  

Freddie Mac Mortgage-Backed Securities, 2.00%, 12/01/51(f)

    23,325       23,346,471  

Freddie Mac Structured Pass-Through Certificates

   

Series 5013, Class JI, 4.00%, 09/25/50

    27,250       3,565,900  

Series K094, Class X1, 0.88%, 06/25/29(c)

    1,408       82,359  

Series K104, Class X1, 1.13%, 01/25/30(c)

    1,370       107,633  

Series K105, Class X1, 1.52%, 03/25/53(c)

    1,822       195,313  

Series K107, Class X1, 1.59%, 01/25/30(c)

    1,233       137,950  

Series K109, Class X1, 1.58%, 04/25/30(c)

    943       105,955  

Series K110, Class X1, 1.70%, 04/25/30(c)

    394       47,031  

Series K113, Class X1, 1.39%, 06/25/30(c)

    1,600       162,152  

Series K115, Class X1, 1.33%, 06/25/30(c)

    1,955       191,063  

Series K120, Class X1, 1.04%, 10/25/30(c)

    3,902       302,845  

Series K122, Class X1, 0.88%, 11/25/30(c)

    1,675       112,940  

Series T-11, Class A9, 0.13%, 01/25/28(c)

    173       181,513  

Ginnie Mae Mortgage-Backed Securities
7.50%, 02/15/23 - 11/15/23

    10       11,071  

8.00%, 05/15/26 - 06/15/27

    10       11,804  

5.00%, 10/20/39

    1,308       1,477,095  

Series 2013-63, Class IO, 0.76%, 09/16/51(c)

    6,317       169,875  

Series 2014-169, Class IO, 0.66%, 10/16/56(c)

    14,351       412,049  

Series 2016-113, Class IO, 1.09%, 02/16/58(c)

    4,756       280,818  

Series 2017-64, Class IO, 0.75%, 11/16/57(c)

    713       35,855  

Uniform Mortgage-Backed Securities
5.00%, 02/01/22 - 01/14/52(f)(g)(h)

    16,617       18,592,231  

4.50%, 08/01/25 - 09/01/49(f)

    23,261       25,626,881  

5.50%, 02/01/33 - 10/01/39(f)

    10,610       12,076,511  

2.50%, 01/18/37(h)

    180       186,051  

6.50%, 12/01/37 - 10/01/39(f)

    1,591       1,839,441  

4.00%, 01/01/41 - 01/01/57(f)

    58,876       64,841,130  

3.50%, 02/25/49(h)

    3,664       3,857,182  

2.00%, 07/25/51 - 02/14/52(h)

    135,690       135,149,252  

3.00%, 01/13/52 - 02/14/52(h)

    5,700       5,903,315  

Series 1839, Class QA, 4.00%, 08/01/49(f)

    3,836       4,150,985  
   

 

 

 
      332,247,287  
Principal Only Collateralized Mortgage Obligations(d) — 0.1%  

Uniform Mortgage-Backed Securities

   

Series 1418, Class M, 0.00%, 11/15/22

    1       995  

Series 1571, Class G, 0.00%, 08/15/23

    10       9,749  

Series 1691, Class B, 0.00%, 03/15/24

    39       37,961  

Series 1993-51, Class E, 0.00%, 02/25/23

    1       1,207  

Series 1993-70, Class A, 0.00%, 05/25/23

    (e)       278  

Series 1999-W4, Class PO, 0.00%, 02/25/29

    22       21,515  

Series 2002-13, Class PR, 0.00%, 03/25/32

    31       29,513  
 

 

 

62  

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Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Principal Only Collateralized Mortgage Obligations (continued)  

Uniform Mortgage-Backed Securities (continued)

 

Series 203, Class 1, 0.00%, 02/25/23

  $ (e)     $ 365  

Series 228, Class 1, 0.00%, 06/25/23

    (e)       178  

Series G93-2, Class KB, 0.00%, 01/25/23

    3       2,745  
   

 

 

 
      104,506  
   

 

 

 

Total U.S. Government Sponsored Agency Securities — 169.3%
(Cost: $606,073,364)

 

     610,597,756  
   

 

 

 

Total Long-Term Investments — 175.2%
(Cost: $628,551,800)

 

    631,985,372  
   

 

 

 

Short-Term Securities

   
Borrowed Bond Agreement(i) — 0.3%            

Credit Suisse AG, 0.05%, open(j) (Purchased on 06/24/21 to be repurchased at $1,030,479, Collateralized by U.S. Treasury Bonds, 2.75%, 11/15/42, par and fair values of $917,000 and $1,045,094, respectively)

    1,030       1,030,479  
   

 

 

 
     Shares         
Money Market Funds — 3.4%            

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(k)(l)

    12,560,167       12,560,167  
   

 

 

 

Total Short-Term Securities — 3.7%
(Cost: $13,590,646)

      13,590,646  
   

 

 

 

Total Investments Before Borrowed Bonds and TBA Sale Commitments — 178.9%
(Cost: $642,142,446)

 

    645,576,018  
   

 

 

 
     Par
(000)
        

Borrowed Bonds

   
U.S. Governments Obligations — (0.3)%  

U.S. Treasury Bonds, 2.75%, 11/15/42(m)

  $ (917     (1,045,094
   

 

 

 

Total Borrowed Bonds — (0.3)%
(Proceeds: $(842,347))

      (1,045,094
   

 

 

 
Security   Par
(000)
    Value  

TBA Sale Commitments(h)

   
Mortgage-Backed Securities — (27.1)%            

Uniform Mortgage-Backed Securities
2.00%, 07/25/51

  $ (96,995   $ (96,696,148

3.00%, 01/13/52

    (1,100     (1,139,559
   

 

 

 

Total TBA Sale Commitments — (27.1)%
(Proceeds: $(97,718,697))

      (97,835,707
   

 

 

 

Total Investments, Net of Borrowed Bonds and TBA Sale Commitments — 151.5%
(Cost: $543,581,402)

 

    546,695,217  

Liabilities in Excess of Other Assets — (51.5)%

 

    (185,943,129
   

 

 

 

Net Assets — 100.0%

    $ 360,752,088  
   

 

 

 

 

(a) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(b) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(c) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(d) 

Zero-coupon bond.

(e) 

Rounds to less than 1,000.

(f) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(g) 

All or a portion of the security has been pledged as collateral in connection with outstanding TBA commitments.

(h) 

Represents or includes a TBA transaction.

(i) 

Certain agreements have no stated maturity and can be terminated by either party at any time.

(j) 

The amount to be repurchased assumes the maturity will be the day after the period end.

(k) 

Affiliate of the Fund.

(l) 

Annualized 7-day yield as of period end.

(m) 

All or a portion of the security has been pledged as collateral in connection with outstanding borrowed bonds.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
12/31/20
     Purchases
at Cost
     Proceeds
from Sales
    Net
Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
12/31/21
     Shares
Held at
12/31/21
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ 12,695,261      $      $ (135,094 )(a)    $      $      $ 12,560,167        12,560,167      $ 1,263      $  
          

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  63


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

 

Reverse Repurchase Agreements

 

Counterparty    Interest
Rate
    Trade
Date
     Maturity
Date
     Face Value      Face Value
Including
Accrued Interest
     Type of Non-Cash Underlying
Collateral
   Remaining
Contractual Maturity
of the Agreements

BofA Securities, Inc.

     0.13     12/10/21        01/13/22      $ 5,395,283      $ 5,395,653     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        4,418,833        4,419,136     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        4,447,077        4,447,383     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        7,434,786        7,435,296     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        1,722,108        1,722,226     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        6,621,240        6,621,694     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        3,471,282        3,471,520     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        3,019,075        3,019,282     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        1,888,587        1,888,717     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        3,577,319        3,577,564     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        2,003,944        2,004,082     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        4,012,801        4,013,076     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        2,127,254        2,127,400     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        457,940        457,971     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        3,293,880        3,294,106     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

BofA Securities, Inc.

     0.13       12/10/21        01/13/22        1,955,905        1,956,039     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        8,067,923        8,068,476     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        995,982        996,050     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        6,781,810        6,782,276     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        28,790,067        28,792,042     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        698,019        698,067     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        1,189,470        1,189,552     

U.S. Government Sponsored Agency Securities

   Up to 30 Days

Royal Bank of Canada

     0.13       12/10/21        01/13/22        12,805,870        12,806,749     

U.S. Government Sponsored Agency Securities

   Up to 30 Days
          

 

 

    

 

 

       
           $ 115,176,455      $ 115,184,357        
          

 

 

    

 

 

       

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

                 

10-Year U.S. Treasury Note

     617          03/22/22        $ 80,412        $ 696,932  
                 

 

 

 

Short Contracts

                 

90-Day Euro-Dollar

     6          03/14/22          1,495          2,167  

 

 

64  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

 

Futures Contracts (continued)

 

Description    Number of
Contracts
       Expiration
Date
       Notional
Amount (000)
       Value/
Unrealized
Appreciation
(Depreciation)
 

Short Contracts (continued)

                 

10-Year U.S. Ultra Long Treasury Note

     175          03/22/22        $ 25,569        $ (361,356

U.S. Long Bond

     247          03/22/22          39,505          (178,200

5-Year U.S. Treasury Note

     66          03/31/22          7,978          (9,446

90-Day Euro-Dollar

     7          06/13/22          1,740          6,815  

90-Day Euro-Dollar

     7          09/19/22          1,736          10,403  
                 

 

 

 
                    (529,617
                 

 

 

 
                  $ 167,315  
                 

 

 

 

Centrally Cleared Interest Rate Swaps

 

Paid by the Fund

 

Received by the Fund

  Effective
Date
    Termination
Date
    Notional
Amount
(000)
    Value    

Upfront
Premium
Paid

(Received)

    Unrealized
Appreciation
(Depreciation)
 
Rate   Frequency   Rate   Frequency

0.05%

  Quarterly   1-Day FEDL, 0.07%   Quarterly     N/A       10/21/22     USD     1,638     $ 3,964     $ (69   $ 4,033  

1-Day SOFR, 0.05%

  Quarterly   0.05%   Quarterly     N/A       10/21/22     USD     1,638       (3,515           (3,515

2.30%

  Semi-Annual   3-Month LIBOR, 0.21%   Quarterly     N/A       08/31/23     USD     14,100       (459,227     92,617       (551,844

2.35%

  Semi-Annual   3-Month LIBOR, 0.21%   Quarterly     N/A       08/31/23     USD     12,100       (405,112     81,071       (486,183

1.41%

  Semi-Annual   3-Month LIBOR, 0.21%   Quarterly     N/A       11/30/23     USD     4,900       (53,131     2,781       (55,912

1.70%

  Semi-Annual   3-Month LIBOR, 0.21%   Quarterly     N/A       11/30/23     USD     1,500       (25,141     1,056       (26,197

0.72%

  Semi-Annual   3-Month LIBOR, 0.21%   Quarterly     N/A       03/13/25     USD     22,270       284,023       40,929       243,094  

1-Day SOFR, 0.05%

  Quarterly   0.17%   Quarterly     N/A       10/21/25     USD     137       (4,404     (26     (4,378

0.18%

  Quarterly   1-Day FEDL, 0.07%   Quarterly     N/A       10/21/25     USD     137       4,419       23       4,396  

1.11%

  Semi-Annual   3-Month LIBOR, 0.21%   Quarterly     01/05/22 (a)      02/28/26     USD     4,740       37,854             37,854  
               

 

 

   

 

 

   

 

 

 
                $ (620,270   $ 218,382     $ (838,652
               

 

 

   

 

 

   

 

 

 

 

  (a) 

Forward Swap.

 

OTC Interest Rate Swaps

 

Paid by the Fund    Received by the Fund   

Counterparty

   Effective
Date
     Termination
Date
    

Notional
Amount (000)

  Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 
Rate    Frequency    Rate   Frequency
3-Month LIBOR,                                                                         
0.21%    Quarterly    5.41%   Semi-Annual    JPMorgan Chase Bank N.A.      N/A        08/15/22      USD    9,565   $ 495,560      $      $ 495,560  
                        

 

 

    

 

 

    

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps

 

Description   Swap
Premiums
Paid
     Swap
Premiums
Received
    Unrealized
Appreciation
     Unrealized
Depreciation
 

Centrally Cleared Swaps(a)

  $ 218,477      $ (95   $ 289,377      $ (1,128,029

OTC Swaps

                 495,560         

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  65


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Assets — Derivative Financial Instruments

 

     

Futures contracts

                    

Unrealized appreciation on futures contracts(a)

   $      $      $      $      $ 716,317      $      $ 716,317  

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

                                 289,377               289,377  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

                                 495,560               495,560  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $      $ 1,501,254      $      $ 1,501,254  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

 

     

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 549,002      $      $ 549,002  

Swaps — centrally cleared

                    

Unrealized depreciation on centrally cleared swaps(a)

                                 1,128,029               1,128,029  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $      $ 1,677,031      $      $ 1,677,031  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended December 31, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 4,272,990      $      $ 4,272,990  

Swaps

                                 46,923               46,923  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $      $ 4,319,913      $      $ 4,319,913  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
Net Change in Unrealized Appreciation (Depreciation) on:                                                 

Futures contracts

   $      $      $      $      $ (542,280    $      $ (542,280

Swaps

                                 863,025               863,025  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $      $ 320,745      $      $ 320,745  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ 84,514,207  

Average notional value of contracts — short

   $ 89,971,570  

Interest rate swaps:

  

Average notional value — pays fixed rate

   $ 57,830,227  

Average notional value — receives fixed rate

   $ 11,340,227  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

66  

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Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Income Trust, Inc. (BKT)

 

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments

       

Futures contracts

   $ 12,572        $ 72,402  

Swaps — centrally cleared

              4,232  

Swaps — OTC(a)

     495,560           
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

     508,132          76,634  
  

 

 

      

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (12,572        (76,634
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

   $ 495,560        $  
  

 

 

      

 

 

 

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:

 

Counterparty    Derivative
Assets
Subject to
an MNA by
Counterparty
       Derivatives
Available
for Offset
      

Non-Cash

Collateral

Received

      

Cash
Collateral

Received(a)

       Net Amount
of Derivative
Assets
 

JPMorgan Chase Bank N.A.

   $ 495,560        $        $        $ (495,560      $  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Asset-Backed Securities

   $        $        $ 12,567        $ 12,567  

Non-Agency Mortgage-Backed Securities

              21,375,049                   21,375,049  

U.S. Government Sponsored Agency Securities

              610,589,406          8,350          610,597,756  

Short-Term Securities

                 

Borrowed Bond Agreement

              1,030,479                   1,030,479  

Money Market Funds

     12,560,167                            12,560,167  

Liabilities

                 

Investments

                 

Borrowed Bonds

              (1,045,094                 (1,045,094

TBA Sale Commitments

              (97,835,707                 (97,835,707
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 12,560,167        $ 534,114,133        $ 20,917        $ 546,695,217  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Interest Rate Contracts

   $ 716,317        $ 784,937        $        $ 1,501,254  

Liabilities

                 

Interest Rate Contracts

     (549,002        (1,128,029                 (1,677,031
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 167,315        $ (343,092      $        $ (175,777
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $115,184,357 are categorized as Level 2 within the fair value hierarchy.

See notes to financial statements.

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  67


Schedule of Investments

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

Asset-Backed Securities

     

AIMCO CLO, Series 2017-AA, Class CR, (3 mo. LIBOR US + 2.10%), 2.23%, 04/20/34(a)(b)

    USD                  1,000     $         999,249  

Allegro CLO II-S Ltd., Series 2014-1RA, Class C, (3 mo. LIBOR US + 3.00%), 3.13%, 10/21/28(a)(b)

      1,000       997,873  

Anchorage Capital CLO Ltd.(a)(b)

     

Series 2014-3RA, Class E, (3 mo. LIBOR US + 5.50%), 5.64%, 01/28/31

      850       823,860  

Series 2014-4RA, Class D, (3 mo. LIBOR US + 2.60%), 2.74%, 01/28/31

      250       246,784  

Series 2015-7A, Class D1R2, (3 mo. LIBOR US + 3.50%), 3.64%, 01/28/31

      1,000       1,000,467  

Argent Securities Trust, Series 2006-W5, Class A1A, (1 mo. LIBOR US + 0.30%), 0.40%, 06/25/36(a)

      4,633       3,626,656  

Assurant CLO Ltd., Series 2019-5A, Class E, (3 mo. LIBOR US + 7.34%), 7.46%,
01/15/33(a)(b)

      250       250,237  

Bain Capital Credit CLO Ltd.(a)(b)

     

Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.30%), 3.42%, 07/19/34

      300       300,160  

Series 2021-3A, Class D, (3 mo. LIBOR US + 3.10%), 3.29%, 07/24/34

      250       249,990  

Benefit Street Partners CLO XX Ltd., Series 2020- 20A, Class CR, (3 mo. LIBOR US + 2.05%), 2.19%, 07/15/34(a)(b)

      250       248,095  

CarVal CLO II Ltd., Series 2019-1A, Class CR, (3 mo. LIBOR US + 2.00%), 2.13%, 04/20/32(a)(b)

      250       248,892  

CarVal CLO III Ltd., Series 2019-2A, Class E, (3 mo. LIBOR US + 6.44%), 6.57%, 07/20/32(a)(b)

      500       490,308  

CarVal CLO Ltd., Series 2018-1A, Class E, (3 mo. LIBOR US + 5.77%), 5.89%, 07/16/31(a)(b)

      500       485,169  

Citigroup Mortgage Loan Trust, Series 2006-FX1, Class A7, 5.78%, 10/25/36(c)

      375       317,517  

Clear Creek CLO, Series 2015-1A, Class DR, (3 mo. LIBOR US + 2.95%), 3.08%, 10/20/30(a)(b)

      250       248,689  

Countrywide Asset-Backed Certificates, Series 2006- 26, Class 1A, (1 mo. LIBOR US + 0.14%), 0.24%, 06/25/37(a)

      614       584,965  

Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B, 2.50%, 01/25/30(b)

      278       277,408  

Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. LIBOR US + 2.65%), 2.77%, 04/18/31(a)(b)

      250       244,924  

Elmwood CLO V Ltd., Series 2020-2A, Class CR, (3 mo. LIBOR US + 2.00%), 2.13%, 10/20/34(a)(b)

      436       432,583  

Generate CLO 6 Ltd., Series 6A, Class DR, (3 mo. LIBOR US + 3.50%), 3.75%, 01/22/35(a)(b)(d)

      750       750,000  

Litigation Fee Residual Funding, 4.00%, 10/30/27(e)

      89       87,594  

Madison Park Funding X Ltd., Series 2012-10A, Class ER2, (3 mo. LIBOR US + 6.40%), 6.53%, 01/20/29(a)(b)

      500       495,966  

Neuberger Berman CLO Ltd., Series 2015-20A, (3 mo. LIBOR US + 6.50%), 6.62%, 07/15/34(a)(b)

      790       762,185  
Security     Par
(000)
    Value  

Asset-Backed Securities (continued)

 

Oaktree CLO Ltd., Series 2015-1A, Class DR, (3 mo. LIBOR US + 5.20%), 5.33%, 10/20/27(a)(b)

    USD       500     $ 499,425  

Octagon 54 Ltd., Series 2021-1A, Class D, (3 mo. LIBOR US + 3.05%), 3.18%, 07/15/34(a)(b)

      250       250,099  

Octagon Investment Partners 31 LLC, Series 2017-1A, Class E, (3 mo. LIBOR US + 6.30%), 6.43%, 07/20/30(a)(b)

      500       495,215  

OZLM VIII Ltd., Series 2014-8A, Class CRR, (3 mo. LIBOR US + 3.15%), 3.27%, 10/17/29(a)(b)

      250       248,786  

OZLM XXI Ltd., Series 2017-21A, Class D, (3 mo. LIBOR US + 5.54%), 5.67%, 01/20/31(a)(b)

      250       233,879  

Palmer Square Loan Funding Ltd., Series 2018-5A, Class B, (3 mo. LIBOR US + 1.90%), 2.03%, 01/20/27(a)(b)

      1,000       998,564  

Regional Management Issuance, 3.88%, 10/17/33(e)

      980       972,650  

Rockford Tower CLO Ltd., Series 2017-2A, Class DR, (3 mo. LIBOR US + 2.85%), 2.97%, 10/15/29(a)(b)

      500       500,000  

Sterling Coofs Trust(e)

     

Series 2004-1, Class A, 2.36%, 04/15/29

      958       9,578  

Series 2004-2, Class Note, 2.08%, 03/30/30(b)

      1,448       14,476  

TICP CLO VII Ltd., Series 2017-7A, Class ER, (3 mo. LIBOR US + 7.05%), 7.17%, 04/15/33(a)(b)

      250       250,705  

Trimaran Cavu Ltd., Series 2021-2A, Class D1, (3 mo. LIBOR US + 3.25%), 3.37%, 10/25/34(a)(b)

      500       500,014  

Unique Pub Finance Co. PLC,
Series N, 6.46%, 03/30/32(f)

    GBP       50       81,192  

Voya CLO Ltd., Series 2014-3A, Class CR, (3 mo. LIBOR US + 2.65%), 2.77%, 07/25/26(a)(b)

    USD       250       249,986  

Whitebox CLO II Ltd., Series 2020-2A, Class DR, (3 mo. LIBOR US + 3.35%), 3.47%, 10/24/34(a)(b)

      500       500,036  

Whitebox CLO III Ltd., Series 2021-3A, Class D, (3 mo. LIBOR US + 3.35%), 3.47%, 10/15/34(a)(b)

      250       250,010  

York CLO Ltd., Series 2016-2A, Class ER, (3 mo. LIBOR US + 6.75%), 6.88%, 04/20/32(a)(b)

      1,000       1,001,884  

York CLO-3 Ltd., Series 2016-1A, Class DR, (3 mo. LIBOR US + 3.60%), 3.73%, 10/20/29(a)(b)

      250       250,093  
     

 

 

 

Total Asset-Backed Securities — 3.7%
(Cost: $21,034,546)

 

       21,476,163  
     

 

 

 
            Shares         

Common Stocks

     
Construction & Engineering — 0.0%  

McDermott International Ltd.(g)

      47,837       19,613  
Diversified Financial Services — 0.0%  

Kcad Holdings I Ltd.(e)

      546,753,936       5,468  
Diversified Telecommunication Services — 0.0%  

Liberty Global PLC, Class A(g)

      193       5,354  
 

 

 

68  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security              
Shares
    Value  
Household Durables — 0.0%  

Berkline Benchcraft Equity LLC(e)

      3,155     $  
     

 

 

 
Media — 0.0%                  

Clear Channel Outdoor Holdings,
Inc.(g)

      29,211       96,688  
     

 

 

 
Metals & Mining — 0.0%                  

Ameriforge Group, Inc.

      801       401  

Preferred Proppants LLC(e)

      5,738       373  
     

 

 

 
        774  
Oil, Gas & Consumable Fuels — 0.0%  

California Resources Corp.

      700       29,897  
     

 

 

 
Software — 0.0%                  

Avaya Holdings Corp.(g)

      19       376  
     

 

 

 
Specialty Retail — 0.1%                  

NMG Parent LLC

      1,330       194,712  
     

 

 

 

Total Common Stocks — 0.1%
(Cost: $7,667,672)

        352,882  
     

 

 

 
            Par
(000)
        

Corporate Bonds

 

Advertising Agencies — 0.0%  

Interpublic Group of Cos., Inc., 5.40%, 10/01/48(h)

    USD       200       271,484  
     

 

 

 
Aerospace & Defense — 2.2%                  

Amsted Industries, Inc., 5.63%, 07/01/27(b)

      156       162,240  

Bombardier, Inc.(b) 7.50%, 12/01/24

      199       207,333  

7.50%, 03/15/25

      33       33,619  

7.13%, 06/15/26

      640       663,942  

7.88%, 04/15/27(h)

      403       417,951  

6.00%, 02/15/28

      385       386,167  

7.45%, 05/01/34

      100       122,500  

BWX Technologies, Inc.(b)

     

4.13%, 06/30/28

      268       272,020  

4.13%, 04/15/29

      174       176,175  

F-Brasile SpA/F-Brasile US LLC, Series XR, 7.38%, 08/15/26(b)

      423       420,885  

Howmet Aerospace, Inc., 5.13%, 10/01/24

      5       5,388  

Kratos Defense & Security Solutions, Inc., 6.50%, 11/30/25(b)(h)

      378       388,395  

Rolls-Royce PLC, 5.75%,
10/15/27(b)(h)

      618       683,446  

Spirit AeroSystems, Inc., 5.50%, 01/15/25(b)

      181       187,561  

TransDigm, Inc. 8.00%, 12/15/25(b)(h)

      815       859,801  

6.25%, 03/15/26(b)(h)

                 6,032       6,269,510  

6.38%, 06/15/26

      89       91,445  

7.50%, 03/15/27

      105       109,725  

4.63%, 01/15/29

      272       271,097  

4.88%, 05/01/29

      300       301,290  

Triumph Group, Inc., 8.88%, 06/01/24(b)(h)

      685       747,116  
     

 

 

 
           12,777,606  
Airlines — 1.7%  

Air Canada, 3.88%, 08/15/26(b)

      384       391,680  

Air France-KLM, 3.88%, 07/01/26(f)

    EUR       100       109,731  

American Airlines Pass-Through Trust, Series 2013-2, Class A, 4.95%, 01/15/23(h)

    USD       704       719,461  
Security          Par
(000)
    Value  
Airlines (continued)  

American Airlines, Inc., 11.75%, 07/15/25(b)(h)

    USD       442     $ 545,317  

American Airlines, Inc./AAdvantage Loyalty IP Ltd.(b)(h)

     

5.50%, 04/20/26

      827       860,611  

5.75%, 04/20/29

      1,044       1,115,800  

Delta Air Lines, Inc./SkyMiles IP Ltd., 4.75%, 10/20/28(b)(h)

      138       150,693  

Deutsche Lufthansa AG, 3.50%, 07/14/29(f)

    EUR       100       112,427  

Finnair OYJ, 4.25%, 05/19/25(f)

      100       115,269  

Gol Finance SA(b)

     

7.00%, 01/31/25

    USD       200       175,475  

8.00%, 06/30/26

      200       188,163  

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26(b)

      249       260,516  

International Consolidated Airlines Group SA, 2.75%, 03/25/25(f)

    EUR       100       111,162  

Latam Finance Ltd., 6.88%,
04/11/24(b)(g)(i)

    USD       203       192,698  

Mileage Plus Holdings LLC/Mileage Plus Intellectual

     

Property Assets Ltd., 6.50%,
06/20/27(b)(h)

      673       718,427  

United Airlines Pass-Through Trust(h)

     

Series 2015-1, Class A, 3.70%, 12/01/22

             2,430       2,473,178  

Series 2020-1, Class A, 5.88%, 10/15/27

      497       544,198  

Series 2020-1, Class B, 4.88%, 01/15/26

      45       46,745  

United Airlines, Inc.(b)

     

4.38%, 04/15/26

      459       478,615  

4.63%, 04/15/29

      518       534,188  
     

 

 

 
        9,844,354  
Auto Components — 1.1%  

Aptiv PLC, 4.40%, 10/01/46(h)

      240       277,065  

Clarios Global LP, 6.75%, 05/15/25(b)

      486       509,085  

Clarios Global LP/Clarios US Finance Co.

     

4.38%, 05/15/26(f)

    EUR       100       116,647  

6.25%, 05/15/26(b)(h)

    USD       1,373       1,436,501  

8.50%, 05/15/27(b)(h)

      2,418       2,563,080  

Dealer Tire LLC/DT Issuer LLC, 8.00%, 02/01/28(b)

      334       347,667  

Dornoch Debt Merger Sub, Inc., 6.63%, 10/15/29(b)

      111       109,613  

Faurecia SE(f)

     

2.75%, 02/15/27

    EUR       100       115,938  

3.75%, 06/15/28

      100       118,831  

Goodyear Tire & Rubber Co.

     

5.00%, 07/15/29(b)

    USD       131       140,720  

5.25%, 07/15/31(b)

      160       173,713  

5.63%, 04/30/33

      307       335,014  

ZF Finance GmbH(f)

     

3.00%, 09/21/25

    EUR       100       118,973  

2.00%, 05/06/27

      100       113,725  
     

 

 

 
             6,476,572  
Automobiles — 1.6%  

Allison Transmission, Inc.(b)

     

5.88%, 06/01/29(h)

    USD       396       430,650  

3.75%, 01/30/31

      287       279,825  

Asbury Automotive Group, Inc.

     

4.50%, 03/01/28

      129       131,580  

4.75%, 03/01/30

      124       126,015  

5.00%, 02/15/32(b)

      157       162,919  

Carvana Co.(b)

     

5.50%, 04/15/27

      290       287,100  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  69


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Automobiles (continued)                  

Carvana Co.(b) (continued)

     

4.88%, 09/01/29

    USD       224     $ 213,360  

Constellation Automotive Financing PLC, 4.88%, 07/15/27(f)

    GBP       100       133,149  

Ford Motor Co.

     

0.00%, 03/15/26(b)(j)(k)

    USD       221       304,013  

4.35%, 12/08/26

      11       11,998  

3.25%, 02/12/32

      623       637,952  

5.29%, 12/08/46

      48       56,412  

Ford Motor Credit Co. LLC
2.98%, 08/03/22(h)

      449       451,276  

3.35%, 11/01/22(h)

      215       217,687  

3.81%, 01/09/24(h)

      629       652,424  

4.69%, 06/09/25

      200       215,000  

5.13%, 06/16/25(h)

      490       532,875  

4.13%, 08/04/25(h)

      411       436,174  

3.38%, 11/13/25(h)

      200       207,784  

4.39%, 01/08/26(h)

      400       431,000  

2.70%, 08/10/26

      295       297,581  

3.82%, 11/02/27

      200       211,462  

2.90%, 02/16/28(h)

      295       295,737  

5.11%, 05/03/29(h)

      526       597,667  

4.00%, 11/13/30

      200       215,160  

Group 1 Automotive, Inc., 4.00%, 08/15/28(b)

      45       44,831  

Jaguar Land Rover Automotive PLC, 4.50%, 07/15/28(f)

    EUR       100       115,814  

Ken Garff Automotive LLC, 4.88%, 09/15/28(b)

    USD       122       122,153  

LCM Investments Holdings II LLC, 4.88%, 05/01/29(b)

      292       300,083  

Lithia Motors, Inc., 3.88%, 06/01/29(b)

      131       133,738  

MajorDrive Holdings IV LLC, 6.38%, 06/01/29(b)

      178       172,215  

Penske Automotive Group, Inc.

     

3.50%, 09/01/25

      214       218,815  

3.75%, 06/15/29

      69       68,396  

Renault SA, 2.38%, 05/25/26(f)

    EUR       100       114,562  

Sonic Automotive, Inc., 4.63%, 11/15/29(b)

    USD       59       59,561  

TML Holdings Pte Ltd., 4.35%, 06/09/26(f)

      200       202,000  

Wabash National Corp., 4.50%, 10/15/28(b)

      220       222,200  
     

 

 

 
             9,311,168  
Banks — 1.4%                  

American Finance Trust, Inc./American Finance Operating Partner LP, 4.50%, 09/30/28(b)

      65       65,478  

Banca Monte dei Paschi di Siena SpA, 2.63%, 04/28/25(f)

    EUR       100       113,714  

Banco BPM SpA, (5 year EUR Swap + 3.17%), 2.88%, 06/29/31(a)(f)

      100       112,332  

Banco de Sabadell SA, (5 year EUR Swap + 2.20%), 2.00%, 01/17/30(a)(f)

      100       111,715  

Banco Espirito Santo SA(g)(i)

     

4.75%, 01/15/22(a)

      100       16,508  

4.00%, 01/21/22

      100       16,508  

Bangkok Bank PCL(a)

     

(5 year CMT + 1.90%), 3.73%, 09/25/34(f)

    USD       231       235,519  

(5 year CMT + 4.73%), 5.00%(l)

      201       208,324  

Bank of Communications Co. Ltd., (5 year CMT + 3.35%), 3.80%(a)(f)(l)

      200       208,250  

Bank Tabungan Negara Persero Tbk PT, 4.20%, 01/23/25(f)

      200       203,760  
Security          Par
(000)
    Value  
Banks (continued)                  

Chong Hing Bank Ltd., (5 year CMT + 3.86%), 5.70%(a)(f)(l)

    USD       250     $ 257,469  

Emirates NBD Bank PJSC, (6 year USD Swap + 3.66%), 6.13%(a)(f)(l)

      250       261,484  

Grupo Aval Ltd., 4.38%, 02/04/30(b)

      200       191,600  

Intesa Sanpaolo SpA
5.02%, 06/26/24(b)(h)

      2,442       2,616,638  

(5 year EUR Swap + 5.75%), 5.88%, 03/04/29(a)(f)

    EUR       100       124,836  

Krung Thai Bank PCL/Cayman Islands, (5 year CMT + 3.53%), 4.40%(a)(f)(l)

    USD       202       203,010  

NBK Tier 1 Financing Ltd., (6 year USD Swap + 2.88%), 3.63%(a)(b)(l)

      279       275,251  

Standard Chartered PLC, (3 mo. LIBOR US + 1.08%), 3.89%, 03/15/24(a)(b)(h)

      1,500       1,545,987  

SVB Financial Group, Series D, (5 year CMT + 3.07%), 4.25%(a)(h)(l)

      1,000       1,014,000  

Wells Fargo & Co., (5 year CMT + 3.45%), 3.90%(a)(l)

      365       375,038  
     

 

 

 
        8,157,421  
Beverages — 1.4%                  

Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46(h)

      800       1,011,148  

ARD Finance SA, (6.50% Cash or 7.25% PIK), 6.50%, 06/30/27(b)(h)(m)

      891       917,730  

Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 4.00%, 09/01/29(b)(h)

      1,098       1,087,843  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.(b)

     

4.13%, 08/15/26

      276       282,210  

4.75%, 07/15/27

    GBP       100       135,245  

5.25%, 08/15/27(h)

    USD       652       656,075  

Ball Corp.
2.88%, 08/15/30

      36       34,920  

3.13%, 09/15/31

      414       408,825  

Canpack SA/Canpack US LLC, 3.13%, 11/01/25(b)

      211       211,528  

Central American Bottling Corp., 5.75%, 01/31/27(f)

      105       107,645  

Crown Cork & Seal Co., Inc., 7.38%, 12/15/26

      34       41,013  

Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24(b)(h)

      794       801,281  

OI European Group BV, 2.88%, 02/15/25(f)

    EUR       100       114,727  

Silgan Holdings, Inc., 4.13%, 02/01/28

    USD       58       59,233  

Triton Water Holdings, Inc., 6.25%, 04/01/29(b)

      173       165,924  

Trivium Packaging Finance BV(b)(h)
5.50%, 08/15/26

      1,004       1,044,160  

8.50%, 08/15/27

      1,367            1,445,602  
     

 

 

 
        8,525,109  
Building Materials — 0.7%                  

Cemex SAB de CV, 5.45%, 11/19/29(f)

      200       214,537  

Cornerstone Building Brands, Inc., 6.13%, 01/15/29(b)

      330       352,720  

CP Atlas Buyer, Inc., 7.00%, 12/01/28(b)

      406       403,970  

Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25(b)

      315       334,309  

James Hardie International Finance DAC, 5.00%, 01/15/28(b)

      200       208,000  

Jeld-Wen, Inc.(b)

     

6.25%, 05/15/25

      146       152,570  
 

 

 

70  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Building Materials (continued)                  

Jeld-Wen, Inc.(b) (continued)

     

4.63%, 12/15/25

    USD       55     $ 55,413  

4.88%, 12/15/27

      17       17,444  

Masonite International Corp.(b)

     

3.50%, 02/15/30

      214       211,593  

Class C, 5.38%, 02/01/28

      101       105,924  

New Enterprise Stone & Lime Co., Inc.(b)

     

5.25%, 07/15/28

      81       82,134  

9.75%, 07/15/28

      38       40,660  

Patrick Industries, Inc., 4.75%, 05/01/29(b)

      64       63,680  

SRM Escrow Issuer LLC, 6.00%,
11/01/28(b)(h)

      485       517,762  

Standard Industries, Inc.

     

2.25%, 11/21/26(f)

    EUR       100       111,466  

5.00%, 02/15/27(b)(h)

    USD       174       179,116  

4.75%, 01/15/28(b)(h)

      46       47,495  

4.38%, 07/15/30(b)(h)

      595       607,200  

3.38%, 01/15/31(b)(h)

      224       215,777  

Summit Materials LLC/Summit Materials Finance Corp., 5.25%, 01/15/29(b)

      235       246,139  

Victors Merger Corp., 6.38%, 05/15/29(b)

      159       149,460  
     

 

 

 
             4,317,369  
Building Products(b) — 0.6%                  

Advanced Drainage Systems, Inc., 5.00%, 09/30/27

      262       270,843  

Beacon Roofing Supply, Inc., 4.13%, 05/15/29

      100       99,947  

Foundation Building Materials, Inc., 6.00%, 03/01/29(h)

      193       189,623  

GYP Holdings III Corp., 4.63%, 05/01/29

      237       237,593  

LBM Acquisition LLC, 6.25%, 01/15/29

      482       476,577  

Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26

      258       270,402  

SRS Distribution, Inc.

     

4.63%, 07/01/28

      434       435,627  

6.13%, 07/01/29

      345       351,596  

6.00%, 12/01/29

      347       348,735  

White Cap Buyer LLC, 6.88%, 10/15/28(h)

      723       753,727  

White Cap Parent LLC, (9.00% PIK), 8.25%, 03/15/26(m)

      210       214,725  
     

 

 

 
        3,649,395  
Capital Markets — 0.9%                  

Charles Schwab Corp., Series H, (10 year CMT + 3.08%), 4.00%(a)(h)(l)

      2,835       2,863,350  

Compass Group Diversified Holdings LLC, 5.25%, 04/15/29(b)

      214       224,165  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.

     

6.25%, 05/15/26

      366       381,097  

5.25%, 05/15/27(h)

      583       599,575  

4.38%, 02/01/29

      201       195,975  

NFP Corp.(b)

     

4.88%, 08/15/28

      433       437,330  

6.88%, 08/15/28(h)

      484       485,249  
     

 

 

 
        5,186,741  
Chemicals — 1.6%                  

Alpek SAB de CV, 3.25%, 02/25/31(b)

      200       200,350  

Ashland LLC, 3.38%, 09/01/31(b)

      351       348,367  

Axalta Coating Systems LLC, 3.38%, 02/15/29(b)

      297       287,347  
Security          Par
(000)
    Value  
Chemicals (continued)                  

Axalta Coating Systems LLC/Axalta Coating Systems Dutch Holding B BV, 4.75%, 06/15/27(b)

    USD       170     $ 177,225  

Braskem Idesa SAPI, 6.99%, 02/20/32(b)

      200       200,938  

Braskem Netherlands Finance BV, (5 year CMT + 8.22%), 8.50%, 01/23/81(a)(b)

      278       322,445  

Chemours Co., 4.00%, 05/15/26

    EUR       100       115,131  

Diamond (BC) B.V., 4.63%, 10/01/29(b)

    USD       262       259,896  

Element Solutions, Inc., 3.88%, 09/01/28(b)(h)

      1,263       1,269,315  

EverArc Escrow Sarl, 5.00%, 10/30/29(b)

      532       532,394  

GCP Applied Technologies, Inc., 5.50%, 04/15/26(b)

      165       169,125  

HB Fuller Co., 4.25%, 10/15/28

      98       100,940  

Herens Holdco Sarl, 4.75%, 05/15/28(b)(h)

      412       403,760  

Herens Midco Sarl, 5.25%, 05/15/29(f)

    EUR       100       106,781  

Illuminate Buyer LLC/Illuminate Holdings IV, Inc., 9.00%, 07/01/28(b)

    USD       360       383,911  

Ingevity Corp., 3.88%, 11/01/28(b)

      84       81,795  

Kobe US Midco 2, Inc., (9.25% Cash or 10.00% PIK), 9.25%, 11/01/26(b)(m)

      230       234,600  

LSF11 A5 HoldCo LLC, 6.63%, 10/15/29(b)

      113       111,305  

Lune Holdings Sarl, 5.63%, 11/15/28(f)

    EUR       100       113,850  

Minerals Technologies, Inc., 5.00%, 07/01/28(b)

    USD       169       175,177  

Monitchem HoldCo 3 SA, 5.25%, 03/15/25(f)

    EUR       100       116,212  

NOVA Chemicals Corp., 4.88%, 06/01/24(b)

    USD       67       69,178  

Sasol Financing USA LLC, 5.50%, 03/18/31

      200       200,760  

SCIH Salt Holdings, Inc., 6.63%,
05/01/29(b)(h)

      146       136,510  

SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, 11/01/26(b)

      239       245,274  

Scotts Miracle-Gro Co.(b)

     

4.00%, 04/01/31

      262       258,725  

4.38%, 02/01/32

      27       26,933  

Valvoline, Inc., 3.63%, 06/15/31(b)

      1       968  

WESCO Distribution, Inc.(b)(h)

     

7.13%, 06/15/25

      676       716,560  

7.25%, 06/15/28

      616       675,290  

WR Grace Holdings LLC(b)

     

5.63%, 10/01/24

      216       227,370  

5.63%, 08/15/29(h)

      943       965,396  
     

 

 

 
             9,233,828  
Commercial Services & Supplies — 0.8%                  

ADT Security Corp., 4.13%, 06/15/23

      9       9,348  

Albion Financing 1 SARL/Aggreko Holdings, Inc., 6.13%, 10/15/26(b)

      200       202,000  

APX Group, Inc., 5.75%, 07/15/29(b)

      268       263,980  

ASGN, Inc., 4.63%, 05/15/28(b)

      91       94,212  

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.38%, 03/01/29(b)

      106       111,811  

BCP V Modular Services Finance II PLC, 4.75%, 11/30/28(f)

    EUR       100       114,704  

EC Finance PLC, 3.00%, 10/15/26(f)

      200       232,823  

Fortress Transportation & Infrastructure Investors LLC(b)

     

6.50%, 10/01/25

    USD       75       77,531  

5.50%, 05/01/28

      310       315,921  

Herc Holdings, Inc., 5.50%, 07/15/27(b)

      316       328,640  

Hertz Corp.(b)

     

4.63%, 12/01/26

      126       126,788  

5.00%, 12/01/29

      200       200,171  

Metis Merger Sub LLC, 6.50%, 05/15/29(b)

      214       210,189  

NESCO Holdings II, Inc., 5.50%, 04/15/29(b)

      239       246,767  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  71


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

 

 
Commercial Services & Supplies (continued)  

PECF USS Intermediate Holding III Corp., 8.00%, 11/15/29(b)

    USD       222     $ 229,881  

Prime Security Services Borrower LLC/Prime
Finance, Inc.(b)

     

5.25%, 04/15/24

      141       150,044  

5.75%, 04/15/26(h)

      320       343,574  

3.38%, 08/31/27

      58       55,993  

Ritchie Bros Auctioneers, Inc., 5.38%, 01/15/25(b)

      187       188,963  

Sotheby’s/Bidfair Holdings, Inc., 5.88%, 06/01/29(b)(h)

      653       666,060  

United Rentals North America, Inc.
5.50%, 05/15/27

      339       352,560  

5.25%, 01/15/30

      161       174,283  
     

 

 

 
        4,696,243  
Communications Equipment — 0.6%                  

Avaya, Inc., 6.13%, 09/15/28(b)(h)

      481       509,860  

CommScope Technologies LLC, 6.00%, 06/15/25(b)

      389       389,000  

CommScope, Inc.(b)
6.00%, 03/01/26

      176       181,280  

8.25%, 03/01/27

      433       444,990  

7.13%, 07/01/28

      307       301,628  

4.75%, 09/01/29(h)

      468       465,103  

Nokia OYJ, 4.38%, 06/12/27

      149       160,920  

ViaSat, Inc.(b)(h) 5.63%, 04/15/27

      395       407,127  

6.50%, 07/15/28

      477       478,192  

Viavi Solutions, Inc., 3.75%, 10/01/29(b)

      292       291,985  
     

 

 

 
             3,630,085  
Construction Materials(b) — 0.4%                  

American Builders & Contractors Supply Co., Inc.

     

4.00%, 01/15/28(h)

      375       383,711  

3.88%, 11/15/29

      47       46,883  

BCPE Empire Holdings, Inc., 7.63%, 05/01/27

      109       111,297  

H&E Equipment Services, Inc., 3.88%, 12/15/28

      58       57,565  

IAA, Inc., 5.50%, 06/15/27

      372       385,485  

Picasso Finance Sub, Inc., 6.13%, 06/15/25(h)

      403       421,135  

Thor Industries, Inc., 4.00%, 10/15/29

      168       166,320  

Williams Scotsman International, Inc., 4.63%, 08/15/28

      243       250,897  

Winnebago Industries, Inc., 6.25%, 07/15/28

      137       146,691  

Wolverine Escrow LLC, 9.00%, 11/15/26

      679       645,050  
     

 

 

 
        2,615,034  
Consumer Discretionary — 1.3%                  

APi Escrow Corp., 4.75%, 10/15/29(b)

      100       102,000  

APi Group DE, Inc., 4.13%, 07/15/29(b)

      132       132,660  

Carnival Corp.
10.13%, 02/01/26(f)

    EUR       100       128,599  

10.50%, 02/01/26(b)(h)

    USD       669       763,660  

5.75%, 03/01/27(b)(h)

      736       736,000  

9.88%, 08/01/27(b)

      381       435,374  

4.00%, 08/01/28(b)(h)

      1,020       1,012,350  

6.00%, 05/01/29(b)

      542       539,290  

CoreLogic, Inc., 4.50%, 05/01/28(b)

      491       489,134  

Legends Hospitality Holding Co. LLC/Legends Hospitality Co-Issuer, Inc., 5.00%, 02/01/26(b)

      91       91,455  

Life Time, Inc.(b) 5.75%, 01/15/26

      258       267,030  

8.00%, 04/15/26

      175       183,386  
Security     Par
(000)
    Value  

 

 
Consumer Discretionary (continued)                  

NCL Corp. Ltd., 5.88%, 03/15/26(b)

    USD       272     $ 270,795  

NCL Finance Ltd., 6.13%, 03/15/28(b)(h)

      544       535,840  

Nielsen Finance LLC/Nielsen Finance Co.(b)
5.63%, 10/01/28(h)

      479       494,568  

5.88%, 10/01/30

      192       202,721  

Royal Caribbean Cruises Ltd.(b)
10.88%, 06/01/23

      90       98,326  

9.13%, 06/15/23

      153       161,798  

11.50%, 06/01/25

      120       134,400  

5.50%, 08/31/26

      114       115,915  

5.50%, 04/01/28

      388       392,485  

Viking Ocean Cruises Ship VII Ltd., 5.63%, 02/15/29(b)

      183       182,771  
     

 

 

 
        7,470,557  
Consumer Finance — 1.3%                  

American Express Co., (5 year CMT + 2.85%), 3.55%(a)(l)

      735       736,286  

Block, Inc., 3.50%, 06/01/31(b)(h)

      592       606,800  

Equifax, Inc., 2.60%, 12/15/25

      59       61,055  

HealthEquity, Inc., 4.50%, 10/01/29(b)

      401       396,990  

MoneyGram International, Inc., 5.38%, 08/01/26(b)

      106       107,590  

MPH Acquisition Holdings LLC, 5.50%, 09/01/28(b)

      325       329,469  

Muthoot Finance Ltd. 6.13%, 10/31/22(b)(h)

      227       232,718  

4.40%, 09/02/23(f)

      200       204,000  

Navient Corp.
7.25%, 09/25/23

      77       83,015  

6.13%, 03/25/24

      86       91,697  

5.88%, 10/25/24

      82       87,432  

5.50%, 03/15/29

      271       270,322  

OneMain Finance Corp.
6.88%, 03/15/25

      226       251,425  

7.13%, 03/15/26

      227       258,780  

3.50%, 01/15/27

      304       300,580  

6.63%, 01/15/28

      221       247,520  

5.38%, 11/15/29

      36       39,143  

4.00%, 09/15/30

      3       2,950  

Sabre GLBL, Inc.(b)
9.25%, 04/15/25

      227       256,510  

7.38%, 09/01/25

      252       263,340  

Shift4 Payments Inc., 0.00%, 12/15/25(b)(j)(k)

      349       367,986  

Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc., 4.63%, 11/01/26(b)

      262       271,435  

SLM Corp., 3.13%, 11/02/26

      173       171,270  

Verscend Escrow Corp., 9.75%, 08/15/26(b)(h)

      1,758       1,868,649  
     

 

 

 
             7,506,962  
Containers & Packaging — 0.3%                  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26

      196       209,230  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26

      424       434,600  

Graham Packaging Co., Inc., 7.13%, 08/15/28(b)

      60       62,105  

Graphic Packaging International LLC(b)
4.75%, 07/15/27

      89       96,120  

3.50%, 03/15/28

      17       16,958  

3.50%, 03/01/29

      61       60,542  

Intertape Polymer Group, Inc., 4.38%, 06/15/29(b)

      134       134,000  

Klabin Austria GmbH, 3.20%, 01/12/31(b)

      200       185,000  
 

 

 

72  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

 

 
Containers & Packaging (continued)  

LABL, Inc., 5.88%, 11/01/28(b)

    USD       261     $ 268,993  

Sealed Air Corp.(b)
5.13%, 12/01/24

      46       49,220  

4.00%, 12/01/27

      73       76,075  
     

 

 

 
        1,592,843  
Diversified Consumer Services — 1.3%                  

Allied Universal Holdco LLC/Allied Universal

     

Finance Corp.(b)(h)
6.63%, 07/15/26

      1,998       2,096,302  

9.75%, 07/15/27

      774       826,961  

6.00%, 06/01/29

      556       540,710  

Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, 4.63%, 06/01/28(b)(h)

      1,348       1,336,446  

Clarivate Science Holdings Corp.(b)
3.88%, 07/01/28

      392       393,960  

4.88%, 07/01/29(h)

      582       590,218  

Garda World Security Corp.(b)

     

4.63%, 02/15/27

      284       282,580  

9.50%, 11/01/27(h)

      159       171,431  

Graham Holdings Co., 5.75%, 06/01/26(b)

      140       145,425  

Rekeep SpA, 7.25%, 02/01/26(f)

    EUR       100       121,136  

Service Corp. International

     

5.13%, 06/01/29

    USD       238       255,255  

3.38%, 08/15/30(h)

      263       258,153  

4.00%, 05/15/31

      333       337,162  

Sotheby’s, 7.38%, 10/15/27(b)(h)

      451       480,315  
     

 

 

 
             7,836,054  
Diversified Financial Services — 2.9%                  

Acuris Finance US, Inc./Acuris Finance SARL, 5.00%, 05/01/28(b)(h)

      403       400,985  

Avianca Midco 2 Ltd., 9.00%, 12/01/28(b)

      152       151,430  

Barclays PLC

     

3.65%, 03/16/25(h)

      3,600       3,802,334  

5.20%, 05/12/26

      200       223,174  

BNP Paribas SA, (5 year CMT + 3.34%), 4.63%(a)(b)(h)(l)

      1,500       1,504,500  

Castlelake Aviation Finance DAC, 5.00%, 04/15/27(b)

      74       73,445  

Central Garden & Pet Co.
4.13%, 10/15/30

      188       189,645  

4.13%, 04/30/31(b)

      195       195,975  

Citigroup, Inc.(a)(l)

     

(5 year CMT + 3.42%), 3.88%(h)

      2,000       2,000,000  

Series W, (5 year CMT + 3.60%), 4.00%

      155       156,163  

Series Y, (5 year CMT + 3.00%), 4.15%

      490       497,962  

Garfunkelux Holdco 3 SA, 7.75%, 11/01/25(f)

    GBP       100       140,600  

Global Aircraft Leasing Co. Ltd., (6.50% Cash or 7.25% PIK), 6.50%,
09/15/24(b)(m)

    USD       223       214,140  

Goldman Sachs Group, Inc., Series R, (5 year CMT + 3.22%), 4.95%(a)(h)(l)

      730       757,375  

HSBC Holdings PLC
4.38%, 11/23/26(h)

      395       433,363  

(5 year CMT + 3.22%), 4.00%(a)(l)

      290       288,187  

(5 year USD ICE Swap + 4.37%),
6.38%(a)(h)(l)

      1,250       1,349,100  

Intrum AB, 3.00%, 09/15/27(f)

    EUR       100       111,837  

ION Trading Technologies Sarl, 5.75%, 05/15/28(b)

    USD       200       206,000  
Security     Par
(000)
    Value  

 

 
Diversified Financial Services (continued)  

Jefferies Finance LLC/JFIN Co-Issuer Corp.,
5.00%, 08/15/28(b)

    USD       325     $ 333,125  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.(b)
4.25%, 02/01/27(h)

      315       317,057  

4.75%, 06/15/29

      137       140,425  

Lloyds Banking Group PLC, (5 year CMT + 4.82%), 6.75%(a)(h)(l)

      450       507,105  

Manappuram Finance Ltd., 5.90%, 01/13/23(f)

      200       204,250  

Morgan Stanley, 4.00%, 07/23/25(h)

      965       1,045,809  

Operadora de Servicios Mega SA de CV Sofom ER, 8.25%, 02/11/25(b)(h)

      300       278,213  

Shriram Transport Finance Co. Ltd.(f)
5.95%, 10/24/22(h)

      420       426,846  

5.10%, 07/16/23

      200       204,500  

Spectrum Brands, Inc.(b)
5.00%, 10/01/29

      178       186,678  

5.50%, 07/15/30

      154       165,165  

3.88%, 03/15/31

      46       45,425  

UniCredit SpA, (5 year EURIBOR ICE Swap Rate + 4.74%), 4.88%, 02/20/29(a)(f)

    EUR       200       244,240  
     

 

 

 
         16,795,053  
Diversified Telecommunication Services — 2.9%  

Consolidated Communications, Inc., 6.50%, 10/01/28(b)(h)

    USD       471       499,260  

Intelsat Jackson Holdings SA, 8.00%, 02/15/24(b)

      476       482,545  

Level 3 Financing, Inc.
5.38%, 05/01/25

      90       91,959  

4.63%, 09/15/27(b)

      111       113,220  

4.25%, 07/01/28(b)(h)

      714       706,860  

3.63%, 01/15/29(b)

      98       93,100  

3.75%, 07/15/29(b)

      183       173,850  

Lumen Technologies, Inc.
5.13%, 12/15/26(b)(h)

      625       650,394  

4.00%, 02/15/27(b)(h)

      383       388,573  

4.50%, 01/15/29(b)(h)

      508       491,490  

5.38%, 06/15/29(b)

      455       455,000  

Series P, 7.60%, 09/15/39

      62       66,495  

Series U, 7.65%, 03/15/42(h)

      200       215,219  

Series W, 6.75%, 12/01/23(h)

      512       552,960  

Series Y, 7.50%, 04/01/24(h)

      516       565,020  

Oi SA, (10.00% Cash or 8.00% Cash + 4.00% PIK), 10.00%, 07/27/25(m)

      207       182,263  

SoftBank Group Corp.(f)

     

4.50%, 04/20/25

    EUR       100       118,404  

4.75%, 07/30/25

      100       119,542  

Sprint Capital Corp.(h)

     

6.88%, 11/15/28

    USD       1,287       1,628,055  

8.75%, 03/15/32

      742       1,113,000  

Switch Ltd.(b)

     

3.75%, 09/15/28

      312       314,340  

4.13%, 06/15/29(h)

      616       629,860  

Telecom Italia Capital SA
6.38%, 11/15/33

      222       239,051  

6.00%, 09/30/34(h)

      432       456,911  

7.20%, 07/18/36

      98       112,363  

7.72%, 06/04/38

      44       51,712  

Telecom Italia SpA
4.00%, 04/11/24(f)

    EUR       150       178,887  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  73


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

 

 

Diversified Telecommunication Services (continued)

 

Telecom Italia SpA (continued)

     

5.30%, 05/30/24(b)(h)

    USD       200     $ 210,492  

1.63%, 01/18/29(f)

    EUR       100       104,173  

Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC, 6.00%, 01/15/30(b)

    USD       145       139,540  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 4.75%, 04/15/28(b)

      351       348,097  

Verizon Communications, Inc.(h)

     

2.36%, 03/15/32(b)

      169       166,519  

3.70%, 03/22/61

      1,000       1,084,217  

Zayo Group Holdings, Inc.(b)(h)

     

4.00%, 03/01/27

      2,698       2,659,607  

6.13%, 03/01/28

      1,455       1,433,175  
     

 

 

 
       16,836,153  
Electric Utilities — 0.6%                  

Black Hills Corp., 3.15%, 01/15/27(h)

      305       317,246  

Enel Finance International NV,
3.63%, 05/25/27(b)(h)

      900       972,425  

Exelon Corp., 3.40%, 04/15/26(h)

      140       149,131  

FirstEnergy Corp.

     

2.65%, 03/01/30

      300       296,250  

Series B, 2.25%, 09/01/30

      21       20,217  

Series C, 7.38%, 11/15/31

      42       56,675  

Series C, 3.40%, 03/01/50(h)

      841       824,180  

FirstEnergy Transmission LLC(b)

     

5.45%, 07/15/44

      397       500,992  

4.55%, 04/01/49

      163       186,075  

NextEra Energy Operating Partners LP(b)

     

4.25%, 07/15/24(h)

      170       176,588  

4.25%, 09/15/24

      9       9,315  

PG&E Corp., 5.25%, 07/01/30

      194       203,448  

Pike Corp., 5.50%, 09/01/28(b)

      80       80,182  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 1.00%, 11/10/21(e)

      780        
     

 

 

 
    3,792,724  
Electrical Equipment(b) — 0.1%                  

Gates Global LLC/Gates Corp., 6.25%, 01/15/26

      352       363,440  

GrafTech Finance, Inc., 4.63%, 12/15/28

      136       138,040  
     

 

 

 
    501,480  
Electronic Equipment, Instruments & Components — 0.3%  

Energizer Holdings, Inc.(b)

     

4.75%, 06/15/28

      256       261,440  

4.38%, 03/31/29

      19       18,543  

Imola Merger Corp., 4.75%, 05/15/29(b)(h)

      616       632,047  

Vertiv Group Corp., 4.13%, 11/15/28(b)(h)

      581       586,810  

Xerox Corp., 4.80%, 03/01/35

      111       111,142  
     

 

 

 
    1,609,982  
Energy Equipment & Services — 0.4%                  

Archrock Partners LP/Archrock Partners Finance Corp.(b)

     

6.88%, 04/01/27

      139       145,950  

6.25%, 04/01/28(h)

      706       736,161  

ChampionX Corp., 6.38%, 05/01/26

      79       82,160  

Halliburton Co., 3.80%, 11/15/25(h)

      7       7,525  

USA Compression Partners LP/USA Compression Finance Corp.

     

6.88%, 04/01/26

      303       315,120  

6.88%, 09/01/27(h)

      595       628,469  
Security     Par
(000)
    Value  

 

 

Energy Equipment & Services (continued)

 

Vallourec SA, 8.50%, 06/30/26(f)

    EUR       25     $ 29,302  

Weatherford International Ltd.(b)

     

6.50%, 09/15/28

    USD       13       13,755  

8.63%, 04/30/30

      208       215,935  
     

 

 

 
    2,174,377  
Environmental, Maintenance & Security Service — 0.5%  

Clean Harbors, Inc.(b)(h)

     

4.88%, 07/15/27

      250       257,500  

5.13%, 07/15/29

      172       182,320  

Covanta Holding Corp., 5.00%, 09/01/30

      139       141,780  

Covert Mergeco, Inc., 4.88%, 12/01/29(b)

      73       74,095  

GFL Environmental, Inc.(b)

     

4.25%, 06/01/25

      86       88,489  

3.75%, 08/01/25

      266       268,660  

5.13%, 12/15/26(h)

      401       417,040  

4.00%, 08/01/28

      406       397,880  

3.50%, 09/01/28

      198       195,030  

4.75%, 06/15/29

      261       263,284  

4.38%, 08/15/29

      101       100,053  

Stericycle, Inc., 3.88%, 01/15/29(b)

      162       159,570  

Tervita Corp., 11.00%, 12/01/25(b)

      114       131,243  

Waste Pro USA, Inc., 5.50%, 02/15/26(b)(h)

      506       503,470  
     

 

 

 
         3,180,414  
Equity Real Estate Investment Trusts (REITs) — 1.6%  

Alexandria Real Estate Equities, Inc., 4.00%, 02/01/50

      450       524,336  

Brookfield Property REIT, Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 4.50%, 04/01/27(b)

      178       174,630  

CTR Partnership LP/CareTrust Capital Corp.,
3.88%, 06/30/28(b)

      163       166,260  

ERP Operating LP, 3.38%, 06/01/25(h)

      1,015       1,074,687  

Global Net Lease, Inc./Global Net Lease Operating Partnership LP, 3.75%, 12/15/27(b)(h)

      142       138,680  

Iron Mountain, Inc.(b)(h)

     

5.25%, 07/15/30

      345       363,568  

5.63%, 07/15/32

      372       398,108  

LMIRT Capital Pte Ltd., 7.25%, 06/19/24(f)

      229       234,725  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc.

     

5.63%, 05/01/24(h)

      1,020       1,090,094  

4.63%, 06/15/25(b)

      455       485,071  

4.50%, 09/01/26(h)

      637       684,775  

5.75%, 02/01/27

      27       30,510  

4.50%, 01/15/28

      432       466,560  

3.88%, 02/15/29(b)

      308       323,400  

MPT Operating Partnership LP/MPT Finance Corp.(h)

     

5.00%, 10/15/27

      66       69,053  

4.63%, 08/01/29

      399       420,945  

3.50%, 03/15/31

      981       992,036  

RHP Hotel Properties LP/RHP Finance Corp.

     

4.75%, 10/15/27(h)

      604       616,080  

4.50%, 02/15/29(b)

      179       179,000  

RLJ Lodging Trust LP(b)

     

3.75%, 07/01/26

      135       135,743  

4.00%, 09/15/29

      97       95,964  
 

 

 

74  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

 

 

Equity Real Estate Investment Trusts (REITs) (continued)

 

Trust Fibra Uno, 6.95%, 01/30/44(f)

    USD       200     $ 245,538  

Ventas Realty LP, 4.13%, 01/15/26(h)

      650       707,272  
     

 

 

 
    9,617,035  
Food & Staples Retailing — 1.6%                  

Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC(b)

     

3.25%, 03/15/26(h)

      582       592,913  

7.50%, 03/15/26(h)

      107       114,223  

4.63%, 01/15/27(h)

      766       803,871  

5.88%, 02/15/28

      320       339,200  

4.88%, 02/15/30

      138       149,001  

Bellis Acquisition Co. PLC, 3.25%, 02/16/26(f)

    GBP       100       130,127  

Cydsa SAB de CV, 6.25%, 10/04/27(b)(h)

    USD       252       259,135  

Health & Happiness H&H International Holdings Ltd., 5.63%, 10/24/24(f)

      200       199,600  

Kraft Heinz Foods Co.

     

5.00%, 07/15/35

      92       112,547  

6.88%, 01/26/39(h)

      233       342,447  

4.63%, 10/01/39

      77       90,435  

6.50%, 02/09/40

      155       220,448  

5.00%, 06/04/42

      129       160,471  

5.20%, 07/15/45(h)

      351       446,287  

4.38%, 06/01/46(h)

      410       480,110  

4.88%, 10/01/49(h)

      906       1,137,884  

5.50%, 06/01/50(h)

      1,189       1,609,770  

Lamb Weston Holdings, Inc.(b)

     

4.88%, 05/15/28(h)

      156       168,870  

4.13%, 01/31/30

      166       170,348  

4.38%, 01/31/32

      160       165,003  

Ocado Group PLC, 3.88%, 10/08/26(f)

    GBP       100       131,775  

Performance Food Group, Inc., 4.25%, 08/01/29(b)

    USD       338       335,316  

Post Holdings, Inc.(b)

     

5.75%, 03/01/27

      253       261,223  

5.63%, 01/15/28

      73       77,361  

5.50%, 12/15/29(h)

      295       309,936  

4.63%, 04/15/30(h)

      170       173,145  

4.50%, 09/15/31

      30       29,775  

US Foods, Inc., 4.75%, 02/15/29(b)

      301       305,891  
     

 

 

 
         9,317,112  
Food Products(b) — 0.5%                  

Aramark Services, Inc., 5.00%, 04/01/25(h)

      623       635,585  

Chobani LLC/Chobani Finance Corp., Inc.(h)

     

7.50%, 04/15/25

      512       527,078  

4.63%, 11/15/28

      242       248,644  

JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., 3.75%, 12/01/31(h)

      355       360,325  

MHP Lux SA, 6.25%, 09/19/29

      200       187,788  

Pilgrim’s Pride Corp.

     

4.25%, 04/15/31

      26       27,300  

3.50%, 03/01/32

      559       564,590  

Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed, 4.63%, 03/01/29

      284       279,740  
     

 

 

 
    2,831,050  
Gas Utilities — 0.0%                  

Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.00%, 06/01/31(b)

      133       134,496  
     

 

 

 
Security      Par
(000)
     Value  

 

 

Health Care Equipment & Supplies(b) — 0.5%

 

Avantor Funding, Inc.
4.63%, 07/15/28(h)

    USD        893      $ 930,953  

3.88%, 11/01/29

       197        199,149  

Hologic, Inc., 3.25%, 02/15/29

       87        87,000  

Ortho-Clinical Diagnostics, Inc./Ortho-Clinical
Diagnostics SA(h)
7.38%, 06/01/25

       353        372,415  

7.25%, 02/01/28

       1,479        1,589,925  
       

 

 

 
          3,179,442  

Health Care Providers & Services — 4.3%

 

180 Medical, Inc., 3.88%, 10/15/29(b)

       200        202,500  

Acadia Healthcare Co., Inc.(b)
5.50%, 07/01/28

       204        214,418  

5.00%, 04/15/29

       138        141,795  

AdaptHealth LLC(b)
6.13%, 08/01/28

       73        77,380  

5.13%, 03/01/30

       50        50,875  

AHP Health Partners, Inc., 5.75%, 07/15/29(b)

       312        308,880  

Anthem, Inc., 2.75%, 10/15/42(j)

       128        841,088  

Cano Health LLC, 6.25%, 10/01/28(b)

       125        125,003  

Centene Corp.
4.25%, 12/15/27(h)

       141        146,993  

2.45%, 07/15/28(h)

       619        609,715  

4.63%, 12/15/29(h)

       1,398        1,507,687  

3.00%, 10/15/30(h)

       627        637,352  

2.50%, 03/01/31(h)

       1,233        1,200,344  

2.63%, 08/01/31

       422        413,560  

CHS/Community Health Systems, Inc.(b)
6.63%, 02/15/25(h)

       703        727,605  

8.00%, 03/15/26(h)

       1,265        1,329,831  

5.63%, 03/15/27(h)

       632        668,865  

6.00%, 01/15/29(h)

       502        535,257  

6.13%, 04/01/30

       301        297,785  

DaVita, Inc., 4.63%, 06/01/30(b)

       10        10,238  

Encompass Health Corp.
4.50%, 02/01/28

       45        46,294  

4.75%, 02/01/30

       383        394,490  

4.63%, 04/01/31

       211        214,693  

HCA, Inc.
5.38%, 02/01/25(h)

       381        418,719  

5.88%, 02/15/26

       46        51,882  

5.38%, 09/01/26(h)

       430        483,213  

5.63%, 09/01/28(h)

       692        808,595  

5.88%, 02/01/29(h)

       516        614,840  

3.50%, 09/01/30(h)

       565        597,134  

5.50%, 06/15/47(h)

       650        850,552  

Legacy LifePoint Health LLC(b)
6.75%, 04/15/25

       190        198,075  

4.38%, 02/15/27

       217        218,628  

LifePoint Health, Inc., 5.38%, 01/15/29(b)(h)

       166        165,170  

ModivCare Escrow Issuer, Inc., 5.00%, 10/01/29(b)

       166        169,529  

ModivCare, Inc., 5.88%, 11/15/25(b)

       71        74,550  

Molina Healthcare, Inc.(b)
4.38%, 06/15/28

       303        312,090  

3.88%, 11/15/30

       226        234,475  

3.88%, 05/15/32

       199        200,244  

Mozart Debt Merger Sub, Inc.(b)
3.88%, 04/01/29

       405        403,570  

5.25%, 10/01/29(h)

       1,034        1,048,104  

Prime Healthcare Services, Inc.,
7.25%, 11/01/25(b)

       312        330,720  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  75


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Health Care Providers & Services (continued)

 

RegionalCare Hospital Partners Holdings,

     

Inc./LifePoint Health, Inc., 9.75%, 12/01/26(b)

    USD       53     $ 56,005  

Surgery Center Holdings, Inc.(b)(h)
6.75%, 07/01/25

      611       615,582  

10.00%, 04/15/27

      676       718,250  

Teleflex, Inc.
4.63%, 11/15/27

      58       60,320  

4.25%, 06/01/28(b)(h)

      368       379,110  

Tenet Healthcare Corp.
4.63%, 07/15/24(h)

      204       206,550  

4.63%, 09/01/24(b)(h)

      367       375,258  

7.50%, 04/01/25(b)

      163       171,549  

4.88%, 01/01/26(b)(h)

      1,526       1,567,400  

6.25%, 02/01/27(b)(h)

      52       53,820  

5.13%, 11/01/27(b)(h)

      562       585,182  

4.63%, 06/15/28(b)

      81       83,228  

6.13%, 10/01/28(b)(h)

      327       345,381  

4.25%, 06/01/29(b)

      159       161,463  

UnitedHealth Group, Inc., 3.75%, 07/15/25(h)

      1,470       1,593,867  

Vizient, Inc., 6.25%, 05/15/27(b)(h)

      407       424,806  
     

 

 

 
           25,280,509  
Health Care Technology — 0.7%                  

Catalent Pharma Solutions, Inc.
5.00%, 07/15/27(b)(h)

      365       379,235  

2.38%, 03/01/28(f)

    EUR       100       113,612  

3.13%, 02/15/29(b)

    USD       180       177,552  

3.50%, 04/01/30(b)

      465       463,682  

Change Healthcare Holdings LLC/Change

     

Healthcare Finance, Inc., 5.75%, 03/01/25(b)(h)

      791       797,787  

Charles River Laboratories International, Inc.(b)

 

   

4.25%, 05/01/28

      159       165,360  

3.75%, 03/15/29

      34       34,340  

4.00%, 03/15/31

      98       100,412  

Chrome Bidco SASU, 3.50%, 05/31/28(f)

    EUR       100       114,703  

IQVIA, Inc.(b)(h)
5.00%, 10/15/26

    USD       463       475,154  

5.00%, 05/15/27

      637       659,486  

MEDNAX, Inc., 6.25%, 01/15/27(b)

      124       129,735  

Syneos Health, Inc., 3.63%, 01/15/29(b)(h)

      465       459,187  
     

 

 

 
        4,070,245  
Hotels, Restaurants & Leisure — 4.4%                  

1011778 BC ULC/New Red Finance, Inc.(b)
5.75%, 04/15/25

      207       214,763  

3.88%, 01/15/28(h)

      549       556,005  

4.38%, 01/15/28

      134       136,680  

Accor SA, 0.70%, 12/07/27(f)(j)

    EUR       31       18,501  

Affinity Gaming, 6.88%, 12/15/27(b)

    USD       34       35,360  

Boyd Gaming Corp.
8.63%, 06/01/25(b)

      48       51,433  

4.75%, 12/01/27

      179       182,580  

4.75%, 06/15/31(b)

      376       383,520  

Boyne USA, Inc., 4.75%, 05/15/29(b)

      247       254,410  

Caesars Entertainment, Inc.(b)
6.25%, 07/01/25(h)

      1,466       1,538,750  

8.13%, 07/01/27(h)

      1,343       1,487,292  

4.63%, 10/15/29

      471       471,000  
Security          Par
(000)
    Value  

Hotels, Restaurants & Leisure (continued)

 

Caesars Resort Collection LLC/CRC Finco, Inc., 5.75%, 07/01/25(b)(h)

    USD       478     $ 499,183  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25(b)(h)

      504       521,640  

Champion Path Holdings Ltd.(f)
4.50%, 01/27/26

      232       222,140  

4.85%, 01/27/28

      231       219,926  

Churchill Downs, Inc.(b)
5.50%, 04/01/27(h)

      702       723,060  

4.75%, 01/15/28

      341       352,935  

Cirsa Finance International Sarl, 4.75%, 05/22/25(f)

    EUR       100       112,854  

Empire Resorts, Inc., 7.75%, 11/01/26(b)

    USD       200       201,000  

Everi Holdings, Inc., 5.00%, 07/15/29(b)

      51       51,510  

Fortune Star BVI Ltd.(f)
5.95%, 01/29/23

      200       201,920  

6.75%, 07/02/23

      250       254,400  

5.95%, 10/19/25(h)

      475       475,998  

5.05%, 01/27/27

      200       190,020  

Golden Nugget, Inc., 6.75%, 10/15/24(b)(h)

      1,462       1,462,000  

Hilton Domestic Operating Co., Inc.
5.38%, 05/01/25(b)

      145       150,887  

5.75%, 05/01/28(b)

      99       105,774  

4.88%, 01/15/30(h)

      952            1,017,450  

4.00%, 05/01/31(b)

      233       238,252  

International Game Technology PLC, 3.50%, 06/15/26(f)

    EUR       100       116,042  

McDonald’s Corp., 3.70%, 01/30/26(h)

    USD       405       435,731  

Melco Resorts Finance Ltd., 5.25%, 04/26/26(f)

      250       246,609  

Merlin Entertainments Ltd., 5.75%, 06/15/26(b)

      200       208,000  

MGM China Holdings Ltd., 5.88%, 05/15/26(f)

      250       250,359  

MGM Resorts International
7.75%, 03/15/22(h)

      575       582,187  

6.00%, 03/15/23(h)

      416       434,720  

5.75%, 06/15/25

      29       31,211  

Midwest Gaming Borrower LLC/Midwest Gaming

     

Finance Corp., 4.88%, 05/01/29(b)

      259       260,295  

Penn National Gaming, Inc., 4.13%, 07/01/29(b)

      107       103,790  

Powdr Corp., 6.00%, 08/01/25(b)

      206       214,240  

Premier Entertainment Sub LLC/Premier

     

Entertainment Finance Corp.(b)

     

5.63%, 09/01/29

      116       115,094  

5.88%, 09/01/31

      116       116,403  

Raptor Acquisition Corp./Raptor Co-Issuer LLC, 4.88%, 11/01/26(b)

      177       178,770  

Scientific Games International, Inc.
8.63%, 07/01/25(b)

      203       216,703  

5.00%, 10/15/25(b)(h)

      730       751,535  

3.38%, 02/15/26(f)

    EUR       100       114,733  

8.25%, 03/15/26(b)(h)

    USD       565       594,662  

7.00%, 05/15/28(b)

      174       185,310  

7.25%, 11/15/29(b)

      51       56,865  

Six Flags Theme Parks, Inc., 7.00%, 07/01/25(b)(h)

      753       804,161  

Spirit Issuer PLC, Series A5, 5.47%, 12/28/28(f)

    GBP       2,550       3,830,403  

Station Casinos LLC, 4.63%, 12/01/31(b)

    USD       241       242,976  

Stonegate Pub Co. Financing PLC, 8.25%, 07/31/25(f)

    GBP       100       137,182  
 

 

 

76  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Hotels, Restaurants & Leisure (continued)

 

Studio City Finance Ltd., 6.00%,
07/15/25(f)(h)

    USD       346     $ 333,955  

Vail Resorts, Inc., 6.25%, 05/15/25(b)

      154       160,160  

Wyndham Hotels & Resorts, Inc., 4.38%, 08/15/28(b)

      158       162,740  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.25%, 05/15/27(b)

      192       196,285  

Wynn Macau Ltd.(f)

     

5.50%, 01/15/26

      347       322,710  

5.50%, 10/01/27

      200       186,000  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.(b)

 

7.75%, 04/15/25

      239       250,651  

5.13%, 10/01/29(h)

      618       627,270  

Yum! Brands, Inc.

     

7.75%, 04/01/25(b)(h)

      395       416,231  

4.75%, 01/15/30(b)(h)

      279       302,018  

3.63%, 03/15/31

      96       95,640  

5.35%, 11/01/43

      71       78,512  
     

 

 

 
            25,691,396  
Household Durables — 0.6%                  

Ashton Woods USA LLC/Ashton Woods Finance
Co.(b)

     

4.63%, 08/01/29

      100       98,750  

4.63%, 04/01/30

      101       99,232  

Brookfield Residential Properties, Inc./Brookfield Residential US LLC(b)

     

5.00%, 06/15/29

      208       208,146  

4.88%, 02/15/30(h)

      412       421,398  

CD&R Smokey Buyer, Inc., 6.75%, 07/15/25(b)

      253       265,650  

Forestar Group, Inc., 3.85%, 05/15/26(b)

      104       104,260  

K Hovnanian Enterprises, Inc., 7.75%, 02/15/26(b)

      307       320,815  

Mattamy Group Corp., 4.63%, 03/01/30(b)

      199       202,672  

Meritage Homes Corp., 5.13%, 06/06/27

      50       55,066  

NCR Corp.(b)

     

5.75%, 09/01/27

      220       229,900  

5.00%, 10/01/28

      110       113,300  

5.13%, 04/15/29

      145       150,104  

6.13%, 09/01/29

      92       98,315  

Newell Brands, Inc., 6.00%, 04/01/46

      112       143,700  

SWF Escrow Issuer Corp., 6.50%, 10/01/29(b)

      277       266,254  

Taylor Morrison Communities, Inc.(b)

     

5.88%, 06/15/27

      245       274,400  

5.13%, 08/01/30

      54       59,400  

Tempur Sealy International, Inc.(b)

     

4.00%, 04/15/29

      272       276,760  

3.88%, 10/15/31

      276       276,522  

Toll Brothers Finance Corp., 4.35%, 02/15/28

      12       13,140  

TRI Pointe Group, Inc./TRI Pointe Homes, Inc., 5.88%, 06/15/24

      11       11,976  

Tri Pointe Homes, Inc., 5.25%, 06/01/27

      15       16,106  
     

 

 

 
        3,705,866  
Household Products — 0.0%                  

Berkline Benchcraft LLC, 4.50%,
06/01/22(a)(e)(g)(i)

      200        
     

 

 

 
Independent Power and Renewable Electricity Producers — 1.2%  

Adani Green Energy UP Ltd./Prayatna Developers Pvt Ltd./Parampujya Solar Energy, 6.25%, 12/10/24(f)

      200       216,475  
Security          Par
(000)
    Value  

Independent Power and Renewable Electricity Producers (continued)

 

Azure Power Solar Energy Pvt Ltd., 5.65%, 12/24/24(f)

    USD       200     $ 210,038  

Calpine Corp.(b)

     

5.25%, 06/01/26(h)

      221       226,744  

4.50%, 02/15/28(h)

      445       461,687  

5.13%, 03/15/28(h)

      1,275       1,294,329  

4.63%, 02/01/29(h)

      160       157,800  

5.00%, 02/01/31

      64       64,000  

3.75%, 03/01/31

      5       4,819  

Clearway Energy Operating LLC(b)

     

4.75%, 03/15/28(h)

      287       301,709  

3.75%, 01/15/32

      262       260,035  

Greenko Dutch BV, 3.85%, 03/29/26(f)

      197       198,970  

Greenko Mauritius Ltd., 6.25%, 02/21/23(f)

      200       203,250  

Greenko Solar Mauritius Ltd., 5.95%, 07/29/26(f)

      200       212,750  

India Green Energy Holdings

     

5.38%, 04/29/24(b)

      250       258,125  

5.38%, 04/29/24(f)

      250       258,125  

Investment Energy Resources Ltd., 6.25%, 04/26/29(b)

      200       214,750  

NRG Energy, Inc.

     

6.63%, 01/15/27(h)

      720       748,465  

5.75%, 01/15/28

      63       66,598  

5.25%, 06/15/29(b)(h)

      253       271,060  

3.63%, 02/15/31(b)(h)

      277       270,075  

3.88%, 02/15/32(b)

      174       170,520  

ReNew Power Pvt Ltd., 5.88%, 03/05/27(f)

      200       207,760  

ReNew Power Synthetic, 6.67%, 03/12/24(f)

      200       207,850  

TerraForm Power Operating LLC(b)

     

4.25%, 01/31/23

      106       108,385  

5.00%, 01/31/28

      96       101,683  

4.75%, 01/15/30

      186       194,996  
     

 

 

 
             6,890,998  
Industrial Conglomerates — 0.0%                  

Metalloinvest Finance DAC, 3.38%, 10/22/28(b)

      309       305,354  
     

 

 

 
Insurance — 2.2%                  

Acrisure LLC/Acrisure Finance, Inc., 6.00%, 08/01/29(b)

      231       228,112  

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer(b)(h)

     

4.25%, 10/15/27

      1,112       1,112,000  

6.75%, 10/15/27

      1,882       1,952,575  

5.88%, 11/01/29

      1,087       1,105,914  

Allied World Assurance Co. Holdings Ltd., 4.35%, 10/29/25(h)

      360       386,274  

AmWINS Group, Inc., 4.88%, 06/30/29(b)

      266       268,660  

Aon PLC, 3.88%, 12/15/25(h)

      1,115       1,204,447  

Asahi Mutual Life Insurance Co., (5 year USD Swap + 4.59%), 6.50%(a)(f)(l)

      306       322,830  

AssuredPartners, Inc., 5.63%, 01/15/29(b)

      148       143,930  

BroadStreet Partners, Inc., 5.88%, 04/15/29(b)

      130       127,725  

GTCR AP Finance, Inc., 8.00%, 05/15/27(b)

      330       342,375  

HUB International Ltd., 7.00%, 05/01/26(b)(h)

      1,226       1,259,715  

Nationwide Building Society, (5 year USD ICE Swap + 1.85%), 4.13%, 10/18/32(a)(b)(h)

      595       634,329  

Voya Financial, Inc., (3 mo. LIBOR US + 3.58%), 5.65%, 05/15/53(a)(h)

      3,500       3,618,125  
     

 

 

 
        12,707,011  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  77


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Interactive Media & Services — 0.3%

     

Arches Buyer, Inc., 4.25%, 06/01/28(b)

    USD       110     $ 109,943  

Cablevision Lightpath LLC(b)

     

3.88%, 09/15/27

      200       194,000  

5.63%, 09/15/28(h)

      400       394,324  

Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.(b)

     

4.75%, 04/30/27

      303       299,970  

6.00%, 02/15/28(h)

      309       302,820  

Twitter, Inc., 3.88%, 12/15/27(b)

      279       290,754  

United Group BV, 4.00%, 11/15/27(f)

    EUR       100       112,711  
     

 

 

 
             1,704,522  
Internet & Direct Marketing Retail — 0.0%                  

Very Group Funding PLC, 6.50%, 08/01/26(f)

    GBP       100       134,773  
     

 

 

 
Internet Software & Services — 1.1%                  

Airbnb, Inc., 0.00%, 03/15/26(b)(j)(k)

    USD       567       554,810  

ANGI Group LLC, 3.88%, 08/15/28(b)

      262       256,105  

Booking Holdings, Inc., 0.75%, 05/01/25(j)

      380       558,030  

Go Daddy Operating Co. LLC/GD Finance Co., Inc.(b)

     

5.25%, 12/01/27

      303       313,226  

3.50%, 03/01/29

      125       124,043  

Match Group Holdings II LLC(b)

     

4.63%, 06/01/28

      157       163,343  

5.63%, 02/15/29

      177       189,390  

4.13%, 08/01/30

      198       199,980  

3.63%, 10/01/31

      109       105,866  

Uber Technologies, Inc.

     

7.50%, 05/15/25(b)(h)

      667       700,937  

0.00%, 12/15/25(j)(k)

      1,582       1,552,733  

8.00%, 11/01/26(b)(h)

      311       331,215  

7.50%, 09/15/27(b)(h)

      567       617,063  

6.25%, 01/15/28(b)(h)

      318       341,373  

4.50%, 08/15/29(b)

      467       475,565  

Zillow Group, Inc., 1.38%, 09/01/26(j)

      55       88,378  
     

 

 

 
        6,572,057  
IT Services — 1.0%                  

Ahead DB Holdings LLC, 6.63%, 05/01/28(b)

      110       109,175  

Austin BidCo, Inc., 7.13%, 12/15/28(b)

      72       74,340  

Booz Allen Hamilton, Inc.(b)(h)

     

3.88%, 09/01/28

      363       369,352  

4.00%, 07/01/29

      412       425,549  

CA Magnum Holdings, 5.38%, 10/31/26(b)

      382       394,912  

Camelot Finance SA, 4.50%, 11/01/26(b)(h)

      564       583,740  

Castle US Holding Corp., 9.50%, 02/15/28(b)

      251       261,667  

Dun & Bradstreet Corp.(b)

     

6.88%, 08/15/26(h)

      597       620,880  

5.00%, 12/15/29

      351       359,084  

Fair Isaac Corp., 4.00%, 06/15/28(b)

      366       376,222  

Gartner, Inc.(b)

     

4.50%, 07/01/28

      35       36,553  

3.63%, 06/15/29

      223       225,464  

3.75%, 10/01/30(h)

      435       444,744  

KBR, Inc., 4.75%, 09/30/28(b)

      186       189,720  

La Financiere Atalian SASU, 5.13%, 05/15/25(f)

    EUR       100       112,924  

Rackspace Technology Global, Inc., 5.38%, 12/01/28(b)(h)

    USD       151       147,225  

Science Applications International Corp., 4.88%, 04/01/28(b)(h)

      254       260,350  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 5.75%, 06/01/25(b)

      243       251,505  
Security          Par
(000)
    Value  
IT Services (continued)                  

Twilio, Inc., 3.88%, 03/15/31

    USD       351     $ 354,405  

ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29(b)

      392       388,629  
     

 

 

 
        5,986,440  
Leisure Products — 0.2%                  

Mattel, Inc.

     

5.88%, 12/15/27(b)

      293       314,963  

3.75%, 04/01/29(b)

      103       106,734  

6.20%, 10/01/40

      228       295,002  

5.45%, 11/01/41

      278       331,863  
     

 

 

 
             1,048,562  
Machinery — 0.7%                  

ATS Automation Tooling Systems, Inc., 4.13%, 12/15/28(b)

      108       108,810  

Colfax Corp., 6.38%, 02/15/26(b)

      127       131,286  

Husky III Holding Ltd., (13.00% Cash or 13.75% PIK), 13.00%, 02/15/25(b)(m)

      240       252,000  

Madison IAQ LLC(b)

     

4.13%, 06/30/28

      97       97,243  

5.88%, 06/30/29

      782       782,000  

Mueller Water Products, Inc., 4.00%, 06/15/29(b)

      138       139,380  

OT Merger Corp., 7.88%, 10/15/29(b)

      115       113,131  

Stevens Holding Co., Inc., 6.13%, 10/01/26(b)

      167       178,064  

Terex Corp., 5.00%, 05/15/29(b)

      298       306,195  

Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26(b)(h)

      777       788,655  

TK Elevator Holdco GmbH, 7.63%, 07/15/28(b)(h)

      400       428,500  

TK Elevator Midco GmbH, 4.38%, 07/15/27(f)

    EUR       100       117,550  

TK Elevator US Newco Inc., 5.25%, 07/15/27(b)(h)

    USD       394       414,192  
     

 

 

 
        3,857,006  
Media — 9.3%                  

Altice Financing SA

     

3.00%, 01/15/28(f)

    EUR       100       107,753  

5.00%, 01/15/28(b)(h)

    USD       378       368,886  

5.75%, 08/15/29(b)(h)

      986       976,140  

Altice France Holding SA(b)(h)

     

10.50%, 05/15/27

      1,473       1,583,475  

6.00%, 02/15/28

      382       364,810  

AMC Entertainment Holdings, Inc., (10.00% Cash or 12.00% PIK), 10.00%,
06/15/26(b)(m)

      273       269,739  

AMC Networks, Inc.

     

4.75%, 08/01/25

      222       226,718  

4.25%, 02/15/29

      123       122,231  

Block Communications, Inc., 4.88%, 03/01/28(b)

      128       128,000  

Cable One, Inc.(b)

     

1.13%, 03/15/28(j)

      1,028       1,017,541  

4.00%, 11/15/30

      74       72,520  

CCO Holdings LLC/CCO Holdings Capital Corp.

     

5.13%, 05/01/27(b)(h)

      680       700,400  

5.00%, 02/01/28(b)

      34       35,360  

5.38%, 06/01/29(b)(h)

      731       788,848  

4.75%, 03/01/30(b)

      132       137,280  

4.50%, 08/15/30(b)(h)

      1,234       1,262,616  

4.25%, 02/01/31(b)(h)

      678       683,953  

4.50%, 05/01/32(h)

      530       545,238  

4.50%, 06/01/33(b)

      260       265,260  

4.25%, 01/15/34(b)(h)

      1,027       1,010,391  

Charter Communications Operating LLC/Charter Communications Operating Capital(h) 4.91%, 07/23/25

      2,425       2,670,188  
 

 

 

78  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)                  

Charter Communications Operating LLC/Charter
Communications Operating Capital(h) (continued)

 

 

5.38%, 05/01/47

    USD       425     $ 507,282  

Clear Channel International BV, 6.63%, 08/01/25(b) .

      384       398,400  

Clear Channel Outdoor Holdings, Inc.(b)(h)

     

7.75%, 04/15/28

      614       656,980  

7.50%, 06/01/29

      806       860,405  

Clear Channel Worldwide Holdings, Inc., 5.13%, 08/15/27(b)(h)

      1,880       1,945,349  

Comcast Corp., 3.95%, 10/15/25(h)

      3,000       3,275,191  

Connect Finco Sarl/Connect US Finco LLC, 6.75%, 10/01/26(b)(h)

      2,266            2,382,132  

CSC Holdings LLC

     

5.25%, 06/01/24

      123       127,920  

6.50%, 02/01/29(b)(h)

      865       925,550  

5.75%, 01/15/30(b)(h)

      660       657,525  

4.13%, 12/01/30(b)(h)

      626       611,133  

4.63%, 12/01/30(b)(h)

      220       208,175  

3.38%, 02/15/31(b)(h)

      257       240,616  

4.50%, 11/15/31(b)(h)

      268       264,650  

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.88%, 08/15/27(b)

      459       469,883  

Discovery Communications LLC(h)

     

3.25%, 04/01/23

      1,490       1,520,494  

3.45%, 03/15/25

      170       178,264  

DISH DBS Corp.

     

5.88%, 07/15/22(h)

      1,233       1,253,036  

5.00%, 03/15/23

      186       190,650  

7.75%, 07/01/26(h)

      601       634,055  

5.25%, 12/01/26(b)(h)

      1,226       1,245,352  

5.75%, 12/01/28(b)

      946       955,460  

5.13%, 06/01/29(h)

      148       134,680  

DISH Network Corp., 3.38%, 08/15/26(j)

      309       292,485  

Frontier Communications Holdings LLC(b)

     

5.88%, 10/15/27(h)

      462       488,565  

5.00%, 05/01/28(h)

      674       694,220  

6.75%, 05/01/29

      573       595,920  

6.00%, 01/15/30

      375       376,875  

GCI LLC, 4.75%, 10/15/28(b)

      89       91,336  

iHeartCommunications, Inc.

     

6.38%, 05/01/26

      264       274,077  

8.38%, 05/01/27

      35       36,902  

5.25%, 08/15/27(b)

      122       126,892  

4.75%, 01/15/28(b)

      78       79,101  

Iliad Holding SAS(b)

     

6.50%, 10/15/26

      486       510,655  

7.00%, 10/15/28

      498       523,682  

Kaixo Bondco Telecom SA, 5.13%, 09/30/29(f)

    EUR       100       114,440  

Lamar Media Corp., 4.00%, 02/15/30

    USD       126       127,827  

LCPR Senior Secured Financing DAC(b)(h)

     

6.75%, 10/15/27

      360       378,000  

5.13%, 07/15/29

      568       570,840  

Liberty Broadband Corp.(b)(j)

     

1.25%, 09/30/50

      413       407,218  

2.75%, 09/30/50

      797       807,349  

Ligado Networks LLC, (15.50% PIK), 15.50%, 11/01/23(b)(m)

      507       396,863  

Lions Gate Capital Holdings LLC, 5.50%, 04/15/29(b)

      141       143,468  
Security          Par
(000)
    Value  
Media (continued)                  

Liquid Telecommunications Financing PLC, 5.50%, 09/04/26(b)

    USD       200     $ 205,438  

Live Nation Entertainment, Inc.(b)

     

4.88%, 11/01/24

      31       31,310  

6.50%, 05/15/27(h)

      966            1,056,562  

4.75%, 10/15/27

      91       93,503  

3.75%, 01/15/28

      150       148,875  

Lorca Telecom Bondco SA, 4.00%, 09/18/27(f)

    EUR       100       115,700  

Midas OpCo Holdings LLC, 5.63%, 08/15/29(b)

    USD       101       103,399  

Midcontinent Communications/Midcontinent Finance Corp., 5.38%, 08/15/27(b)

      177       182,310  

Network i2i Ltd., (5 year CMT + 4.27%), 5.65%(a)(f)(h)(l)

      520       546,423  

Outfront Media Capital LLC/Outfront Media Capital Corp.(b)

     

5.00%, 08/15/27(h)

      329       336,659  

4.25%, 01/15/29

      121       121,220  

Radiate Holdco LLC/Radiate Finance,
Inc.(b)(h)

     

4.50%, 09/15/26

      886       894,860  

6.50%, 09/15/28

      2,028       2,037,197  

Sable International Finance Ltd.

     

5.75%, 09/07/27(f)

      245       250,819  

5.75%, 09/07/27(b)

      200       204,750  

Scripps Escrow II, Inc., 3.88%, 01/15/29(b)

      17       16,979  

Sinclair Television Group Inc., 4.13%, 12/01/30(b)

      224       212,240  

Sirius XM Radio, Inc.(b)

     

3.13%, 09/01/26

      491       491,142  

5.00%, 08/01/27

      170       176,688  

4.00%, 07/15/28(h)

      509       511,845  

5.50%, 07/01/29(h)

      788       849,070  

4.13%, 07/01/30(h)

      58       58,000  

3.88%, 09/01/31(h)

      674       660,823  

Summer BC Holdco B Sarl, 5.75%, 10/31/26(f)

    EUR       100       118,388  

Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28(b)

    USD       200       206,000  

Telesat Canada/Telesat LLC, 4.88%, 06/01/27(b)

      148       130,684  

Terrier Media Buyer, Inc., 8.88%,
12/15/27(b)(h)

      617       666,835  

Univision Communications, Inc.(b)

     

5.13%, 02/15/25

      133       134,330  

6.63%, 06/01/27

      132       142,230  

UPC Broadband Finco BV, 4.88%, 07/15/31(b)

      449       457,980  

UPCB Finance VII Ltd., 3.63%, 06/15/29(f)

    EUR       100       116,127  

Videotron Ltd.(b)

     

5.13%, 04/15/27(h)

    USD       439       452,170  

3.63%, 06/15/29

      292       293,460  

Virgin Media Vendor Financing Notes IV DAC, 5.00%, 07/15/28(b)(h)

      754       759,689  

VTR Comunicaciones SpA, 4.38%, 04/15/29(b)

      200       199,000  

WMG Acquisition Corp., 3.88%, 07/15/30(b)

      136       138,210  

Ziggo Bond Co. BV(b)

     

6.00%, 01/15/27

      199       204,970  

5.13%, 02/28/30(h)

      225       226,125  

Ziggo BV(b)(h)

     

5.50%, 01/15/27

      534       548,685  

4.88%, 01/15/30

      200       205,120  
     

 

 

 
        54,323,059  
Metals & Mining — 1.7%                  

ABJA Investment Co. Pte Ltd., 5.95%, 07/31/24(f)

      250       270,625  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  79


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security           Par
(000)
     Value  

Metals & Mining (continued)

 

Allegheny Technologies, Inc.
4.88%, 10/01/29

    USD        101      $ 101,101  

5.13%, 10/01/31

       114        114,855  

Arconic Corp.(b)
6.00%, 05/15/25(h)

       332        346,940  

6.13%, 02/15/28

       343        365,021  

Big River Steel LLC/BRS Finance Corp., 6.63%, 01/31/29(b)(h)

       839        907,169  

Constellium SE(b)
5.88%, 02/15/26(h)

       588        595,779  

5.63%, 06/15/28

       250        262,882  

3.75%, 04/15/29(h)

       506        497,851  

Freeport-McMoRan, Inc.
4.38%, 08/01/28

       272        285,260  

5.40%, 11/14/34

       31        37,743  

5.45%, 03/15/43

       1,051        1,321,202  

JSW Steel Ltd., 5.95%, 04/18/24(f)

       200        212,000  

Kaiser Aluminum Corp.(b)
4.63%, 03/01/28

       66        66,660  

4.50%, 06/01/31

       129        126,904  

New Gold, Inc., 7.50%, 07/15/27(b)(h)

       545        579,062  

Nexa Resources SA, 5.38%, 05/04/27(b)

       237        251,116  

Novelis Corp.(b)
3.25%, 11/15/26

       416        419,640  

4.75%, 01/30/30(h)

       816        857,820  

3.88%, 08/15/31

       483        479,981  

Periama Holdings LLC, 5.95%, 04/19/26(f)

       200        212,500  

Roller Bearing Co. of America, Inc., 4.38%, 10/15/29(b)

       122        124,440  

thyssenkrupp AG(f) 1.88%, 03/06/23

    EUR        43        49,590  

2.88%, 02/22/24

       84        98,264  

United States Steel Corp., 6.88%, 03/01/29

    USD        491        528,439  

Vedanta Resources Finance II PLC 8.00%, 04/23/23(f)

       313        306,016  

13.88%, 01/21/24(f)

       200        211,663  

8.95%, 03/11/25(f)

       293        286,407  

8.95%, 03/11/25(b)

       200        195,500  
       

 

 

 
          10,112,430  
Multiline Retail — 0.2%                    

Bath & Body Works, Inc.

       

6.88%, 11/01/35(h)

       401        498,242  

6.75%, 07/01/36

       71        87,685  

NMG Holding Co., Inc./Neiman Marcus Group LLC, 7.13%, 04/01/26(b)

       396        420,303  
       

 

 

 
          1,006,230  
Offshore Drilling & Other Services — 0.1%  

Applied Materials, Inc., 3.90%, 10/01/25(h)

       285        310,499  

Entegris, Inc.(b)

       

4.38%, 04/15/28

       231        237,352  

3.63%, 05/01/29

       97        97,243  
       

 

 

 
          645,094  
Oil, Gas & Consumable Fuels — 9.3%  

Aethon United BR LP/Aethon United Finance Corp., 8.25%, 02/15/26(b)(h)

       538        577,920  

Antero Midstream Partners LP/Antero Midstream Finance Corp.(b)

       


5.75%, 03/01/27

       226        234,192  

5.75%, 01/15/28

       59        61,869  
Security           Par
(000)
     Value  

Oil, Gas & Consumable Fuels (continued)

 

Antero Midstream Partners LP/Antero Midstream Finance Corp.(b) (continued)

 

5.38%, 06/15/29

    USD        206      $ 217,333  

Antero Resources Corp., 5.38%, 03/01/30(b)

       147        157,143  

Apache Corp.
4.25%, 01/15/30

       187        202,932  

5.10%, 09/01/40(h)

       531        600,030  

5.25%, 02/01/42

       40        46,200  

5.35%, 07/01/49

       72        82,260  

Arcosa, Inc., 4.38%, 04/15/29(b)

       374        379,142  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.(b)
9.00%, 11/01/27

       317        423,195  

5.88%, 06/30/29

       524        504,188  

Bioceanico Sovereign Certificate Ltd., 0.00%, 06/05/34(f)(k)

       143        107,515  

Brand Industrial Services, Inc., 8.50%, 07/15/25(b)(h)

       498        497,537  

Buckeye Partners LP
4.13%, 03/01/25(b)(h)

       262        270,515  

5.85%, 11/15/43

       145        142,282  

5.60%, 10/15/44

       166        161,634  

Callon Petroleum Co.
6.13%, 10/01/24

       126        124,110  

9.00%, 04/01/25(b)(h)

       795        858,600  

8.00%, 08/01/28(b)(h)

       620        626,200  

Cellnex Telecom SA, Series CLNX, 0.75%, 11/20/31(f)(j)

    EUR        200        223,885  

Cenovus Energy, Inc., 5.40%, 06/15/47(h)

    USD        113        140,677  

Centennial Resource Production LLC, 3.25%, 04/01/28(h)(j)

       478        592,421  

Cheniere Energy Partners LP
4.50%, 10/01/29(h)

       529        560,740  

4.00%, 03/01/31(h)

       675        708,041  

3.25%, 01/31/32(b)

       558        563,580  

Cheniere Energy, Inc., 4.63%, 10/15/28(h)

       1,657        1,762,584  

Chesapeake Energy Corp., 5.88%, 02/01/29(b)

       41        43,860  

Citgo Holding, Inc., 9.25%, 08/01/24(b)

       228        229,140  

Civitas Resources, Inc., 5.00%, 10/15/26(b)

       88        88,862  

CNX Midstream Partners LP, 4.75%, 04/15/30(b)

       92        91,655  

CNX Resources Corp. 2.25%, 05/01/26(j)

       499        652,193  

6.00%, 01/15/29(b)

       90        93,600  

Colgate Energy Partners III LLC(b) 7.75%, 02/15/26

       272        293,760  

5.88%, 07/01/29(h)

       353        363,590  

Comstock Resources, Inc.(b)
7.50%, 05/15/25(h)

       160        165,000  

6.75%, 03/01/29(h)

       642        696,313  

5.88%, 01/15/30

       346        354,650  

CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, 06/15/31(b)

       617        643,994  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.00%, 02/01/29(b)

       8        8,310  

CrownRock LP/CrownRock Finance, Inc., 5.63%, 10/15/25(b)(h)

       790        807,775  

DCP Midstream Operating LP(b)
6.45%, 11/03/36

       226        295,762  

6.75%, 09/15/37(h)

       333        445,437  

DT Midstream, Inc.(b) 4.13%, 06/15/29

       433        443,284  
 

 

 

80  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

 

 

Oil, Gas & Consumable Fuels (continued)

     

DT Midstream, Inc.(b) (continued)
4.38%, 06/15/31(h)

    USD       562     $ 584,480  

Dycom Industries, Inc., 4.50%, 04/15/29(b)

      102       103,913  

Ecopetrol SA, 4.63%, 11/02/31

      190       184,547  

eG Global Finance PLC
6.75%, 02/07/25(b)(h)

      596       603,450  

6.25%, 10/30/25(f)

    EUR       142       165,709  

8.50%, 10/30/25(b)

    USD       252       261,135  

Enbridge, Inc., (3 mo. LIBOR US + 3.64%),
6.25%, 03/01/78(a)(h)

      1,565       1,698,626  

Endeavor Energy Resources LP/EER Finance, Inc.(b)
6.63%, 07/15/25

      192       203,142  

5.75%, 01/30/28

      386       411,432  

Energean Israel Finance Ltd., 4.88%, 03/30/26(b)

      130       128,984  

Energy Transfer LP
3.90%, 07/15/26(h)

      235       252,703  

Series H, (5 year CMT + 5.69%), 6.50%(a)(l)

      644       655,270  

EnLink Midstream LLC
5.63%, 01/15/28(b)

      174       180,960  

5.38%, 06/01/29

      82       83,845  

EnLink Midstream Partners LP
4.40%, 04/01/24(h)

      240       250,800  

4.15%, 06/01/25

      17       17,620  

4.85%, 07/15/26

      115       121,038  

5.60%, 04/01/44

      197       198,689  

5.05%, 04/01/45

      32       30,880  

EQM Midstream Partners
LP 6.00%, 07/01/25(b)(h)

      255       277,312  

4.13%, 12/01/26

      100       102,500  

6.50%, 07/01/27(b)(h)

      364       407,680  

4.50%, 01/15/29(b)

      136       141,440  

4.75%, 01/15/31(b)(h)

      791       836,482  

EQT Corp.
1.75%, 05/01/26(j)

      426       709,929  

3.13%, 05/15/26(b)

      177       181,696  

3.90%, 10/01/27

      271       290,653  

5.00%, 01/15/29

      33       36,548  

7.50%, 02/01/30

      191       245,435  

3.63%, 05/15/31(b)

      50       51,875  

Genesis Energy LP/Genesis Energy Finance Corp.
6.50%, 10/01/25

      46       45,425  

7.75%, 02/01/28

      118       118,885  

Geopark Ltd., 5.50%, 01/17/27(b)

      200       192,475  

GMR Hyderabad International Airport Ltd., 4.25%, 10/27/27(f)

      200       193,163  

Great Western Petroleum LLC/Great Western

     

Finance Corp., 12.00%, 09/01/25(b)

      164       172,200  

Harvest Midstream I LP, 7.50%, 09/01/28(b)

      60       64,200  

Hess Corp., 4.30%, 04/01/27(h)

      50       54,453  

Hess Midstream Operations LP, 4.25%, 02/15/30(b)

      255       253,087  

Hilong Holding Ltd., 9.75%, 11/18/24(f)

      207       167,321  

HPCL-Mittal Energy Ltd., 5.45%, 10/22/26(f)

      200       208,500  

HTA Group Ltd., 7.00%, 12/18/25(b)

      200       208,287  

Impulsora Pipeline LLC, 6.05%, 12/31/42(a)(e)

      1,401       1,347,279  

Independence Energy Finance LLC, 7.25%, 05/01/26(b)

      471       489,251  

ITT Holdings LLC, 6.50%, 08/01/29(b)

      343       339,570  

Leviathan Bond Ltd., 5.75%, 06/30/23(b)

      170       174,786  

Matador Resources Co., 5.88%, 09/15/26(h)

      989       1,018,670  
Security     Par
(000)
    Value  

 

 

Oil, Gas & Consumable Fuels (continued)

     

MC Brazil Downstream Trading Sarl, 7.25%, 06/30/31(b)

    USD       200     $ 198,938  

Medco Bell Pte Ltd., 6.38%, 01/30/27(f)

      250       246,875  

MEG Energy Corp., 6.50%, 01/15/25(b)(h)

      507       515,239  

MPLX LP, 4.25%, 12/01/27(h)

      185       204,908  

Murphy Oil Corp.
5.75%, 08/15/25

      119       122,318  

6.38%, 12/01/42

      29       29,000  

Murphy Oil USA, Inc., 4.75%, 09/15/29

      146       153,665  

Nabors Industries Ltd.(b)
7.25%, 01/15/26

      55       50,875  

7.50%, 01/15/28

      140       126,700  

Nabors Industries, Inc., 7.38%, 05/15/27(b)

      207       214,284  

Neptune Energy Bondco PLC, 6.63%, 05/15/25(b)

      200       204,250  

New Fortress Energy, Inc.(b)(h)
6.75%, 09/15/25

      657       663,570  

6.50%, 09/30/26

      1,012       1,004,410  

NGL Energy Operating LLC/NGL Energy Finance Corp., 7.50%, 02/01/26(b)

      171       176,352  

NGPL PipeCo LLC, 7.77%, 12/15/37(b)(h)

      227       317,809  

Northern Oil and Gas, Inc., 8.13%,
03/01/28(b)(h)

      597       629,835  

NuStar Logistics LP
6.00%, 06/01/26

      163       176,855  

6.38%, 10/01/30

      25       27,750  

Occidental Petroleum Corp.
6.95%, 07/01/24

      63       70,045  

5.50%, 12/01/25

      100       110,937  

5.55%, 03/15/26

      36       40,079  

3.00%, 02/15/27

      4       4,060  

8.88%, 07/15/30

      34       45,854  

4.30%, 08/15/39(h)

      518       516,586  

6.20%, 03/15/40(h)

      909       1,118,070  

4.50%, 07/15/44(h)

      492       506,762  

4.63%, 06/15/45(h)

      558       578,925  

6.60%, 03/15/46

      26       33,735  

4.40%, 04/15/46(h)

      648       664,200  

4.10%, 02/15/47

      73       71,540  

4.20%, 03/15/48(h)

      668       668,000  

4.40%, 08/15/49

      104       105,300  

Odebrecht Offshore Drilling Finance Ltd., (7.72%

     

PIK), 7.72%, 12/01/26(b)(m)

      (n)       31  

Oil and Gas Holding Co., 7.63%, 11/07/24(f)

      200       215,437  

OQ SAOC, 5.13%, 05/06/28(b)

      200       203,537  

PDC Energy, Inc.
6.13%, 09/15/24

      75       75,938  

5.75%, 05/15/26

      235       242,847  

Petroleos Mexicanos
6.50%, 03/13/27(h)

      103       109,502  

5.95%, 01/28/31

      313       303,790  

6.70%, 02/16/32(b)(h)

      100       100,750  

6.38%, 01/23/45(d)

      77       66,884  

6.75%, 09/21/47

      137       120,903  

Pioneer Natural Resources Co., 0.25%, 05/15/25(j)

      283       504,271  

Puma International Financing SA, 5.13%, 10/06/24(b)

      200       200,000  

Range Resources Corp.
5.88%, 07/01/22

      44       44,275  

5.00%, 08/15/22

      252       254,835  

5.00%, 03/15/23

      189       193,253  

4.88%, 05/15/25

      14       14,455  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  81


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security     Par
(000)
    Value  

 

 

Oil, Gas & Consumable Fuels (continued)

     

Range Resources Corp. (continued)
9.25%, 02/01/26

    USD       62     $ 66,823  

Rockcliff Energy II LLC, 5.50%, 10/15/29(b)

      326       335,780  

SM Energy Co.
10.00%, 01/15/25(b)(h)

      924       1,016,991  

5.63%, 06/01/25

      74       74,555  

6.75%, 09/15/26

      129       132,548  

6.50%, 07/15/28

      86       89,010  

Southwestern Energy Co.
4.10%, 03/15/22

      252       252,086  

6.45%, 01/23/25

      18       19,782  

5.38%, 02/01/29

      378       399,735  

4.75%, 02/01/32

      224       235,896  

Sunoco LP/Sunoco Finance Corp.
6.00%, 04/15/27

      63       65,703  

5.88%, 03/15/28

      124       131,130  

Tap Rock Resources LLC, 7.00%, 10/01/26(b)

      744       773,760  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.88%, 04/15/26

      304       317,213  

5.38%, 02/01/27

      2       2,061  

6.50%, 07/15/27

      195       209,040  

6.88%, 01/15/29(h)

      521       582,884  

5.50%, 03/01/30(h)

      400       437,000  

4.88%, 02/01/31

      275       298,636  

Transcontinental Gas Pipe Line Co. LLC,
4.00%, 03/15/28(h)

      280       305,950  

Transocean, Inc., 11.50%, 01/30/27(b)

      171       167,580  

Venture Global Calcasieu Pass LLC(b)(h)
3.88%, 08/15/29

      782       811,325  

4.13%, 08/15/31

      719       762,140  

3.88%, 11/01/33

      1,397       1,467,660  

Vine Energy Holdings LLC, 6.75%,
04/15/29(b)(h)

      588       637,980  

Western Midstream Operating LP
4.75%, 08/15/28

      37       40,885  

5.45%, 04/01/44

      339       405,105  

5.30%, 03/01/48

      315       379,577  

5.50%, 08/15/48

      83       99,145  

6.50%, 02/01/50(h)

      798       943,639  
     

 

 

 
        54,720,288  
Personal Products — 0.1%                  

Coty Inc/HFC Prestige Products Inc/HFC Prestige International US LLC, 4.75%, 01/15/29(b)

      150       152,437  

Coty, Inc.(f)
4.00%, 04/15/23

    EUR       100       114,090  

3.88%, 04/15/26

      100       116,069  
     

 

 

 
        382,596  
Pharmaceuticals — 1.6%                  

Bausch Health Americas, Inc., 8.50%, 01/31/27(b)(h)

    USD       973       1,021,650  

Bausch Health Cos., Inc.(b)
6.13%, 04/15/25(h)

      73       74,355  

9.00%, 12/15/25(h)

      300       315,954  

4.88%, 06/01/28

      101       103,020  

5.00%, 02/15/29

      293       258,573  

6.25%, 02/15/29(h)

      308       292,674  

7.25%, 05/30/29(h)

      498       493,020  

Cheplapharm Arzneimittel GmbH, 4.38%, 01/15/28(f)

    EUR       100       118,637  

CVS Health Corp., 4.75%, 12/01/22(h)

    USD       165       169,343  
Security     Par
(000)
    Value  

 

 

Pharmaceuticals (continued)

     

Elanco Animal Health, Inc., 5.90%, 08/28/28

    USD       156     $ 180,960  

Endo Dac/Endo Finance LLC/Endo Finco, Inc.,
9.50%, 07/31/27(b)(h)

      723       735,956  

Endo Luxembourg Finance Co. I Sarl/Endo US, Inc., 6.13%, 04/01/29(b)(h)

      481       471,380  

Gruenenthal GmbH, 4.13%, 05/15/28(f)

    EUR       100       117,310  

Jazz Securities DAC, 4.38%, 01/15/29(b)

    USD       441       456,629  

Nidda BondCo GmbH, 7.25%, 09/30/25(f)

    EUR       100       115,573  

Nidda Healthcare Holding GmbH, 3.50%, 09/30/24(f)

      100       113,467  

Option Care Health, Inc., 4.38%, 10/31/29(b)

    USD       133       133,333  

Organon & Co./Organon Foreign Debt Co-Issuer BV(b)(h)
4.13%, 04/30/28

      790       802,837  

5.13%, 04/30/31

      772       806,493  

P&L Development LLC/PLD Finance Corp.,
7.75%, 11/15/25(b)

      266       266,333  

Par Pharmaceutical, Inc., 7.50%, 04/01/27(b)(h)

      1,251       1,278,434  

PRA Health Sciences, Inc., 2.88%, 07/15/26(b)(h)

      484       484,605  

Prestige Brands, Inc., 3.75%, 04/01/31(b)

      149       144,530  

Teva Pharmaceutical Finance Netherlands II BV
6.00%, 01/31/25

    EUR       100       122,339  

3.75%, 05/09/27

      100       113,195  
     

 

 

 
        9,190,600  
Real Estate Management & Development — 2.6%  

Adler Group SA, 2.75%, 11/13/26(f)

      100       95,634  

Agile Group Holdings Ltd.(f)
6.05%, 10/13/25

    USD       200       118,500  

(5 year CMT + 11.08%), 7.75%(a)(l)

      400       188,000  

Arabian Centres Sukuk II Ltd., 5.63%, 10/07/26(b)

      260       255,775  

Central China Real Estate Ltd.(f)
6.88%, 08/08/22

      200       150,000  

7.25%, 04/24/23

      200       138,500  

7.90%, 11/07/23

      200       131,000  

CFLD Cayman Investment Ltd.(f)(g)(i)
8.63%, 02/28/21

      200       52,938  

8.75%, 09/28/22

      200       51,938  

6.90%, 01/13/23

      200       54,163  

8.60%, 04/08/24

      200       54,100  

China Aoyuan Group Ltd.(f)
6.35%, 02/08/24

      400       78,000  

6.20%, 03/24/26

      200       38,040  

China Evergrande Group(f)(g)(i)
8.25%, 03/23/22

      420       76,466  

9.50%, 04/11/22

      200       30,725  

11.50%, 01/22/23

      450       67,444  

12.00%, 01/22/24

      250       37,391  

China SCE Group Holdings Ltd.(f)
7.25%, 04/19/23

      200       176,000  

7.38%, 04/09/24

      400       338,520  

7.00%, 05/02/25

      255       205,912  

CIFI Holdings Group Co. Ltd.(f)
6.45%, 11/07/24

      200       197,437  

6.00%, 07/16/25

      200       195,260  

5.25%, 05/13/26

      335       316,173  

Country Garden Holdings Co. Ltd.(f)
6.50%, 04/08/24

      200       194,937  

6.15%, 09/17/25

      200       194,000  

5.13%, 01/14/27

      200       184,000  

Dexin China Holdings Co. Ltd., 11.88%, 04/23/22(f)

      200       156,725  
 

 

 

82  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Real Estate Management & Development (continued)

 

DIC Asset AG, 2.25%, 09/22/26(f)

    EUR       100     $         107,873  

Easy Tactic Ltd.(f)

     

8.13%, 02/27/23

    USD       200       73,500  

11.75%, 08/02/23

      200       73,000  

8.63%, 02/27/24

      200       68,500  

Fantasia Holdings Group Co. Ltd.(f)(g)(i)

     

11.75%, 04/17/22

      400       92,000  

11.88%, 06/01/23

      200       45,938  

9.25%, 07/28/23

      200       45,938  

9.88%, 10/19/23

      200       45,938  

Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25(b)(h)

      389       405,766  

Global Prime Capital Pte Ltd., 5.50%, 10/18/23(f)

      200       201,000  

Greystar Real Estate Partners LLC, 5.75%, 12/01/25(b)

      100       101,772  

Haimen Zhongnan Investment Development International Co. Ltd., 12.00%, 06/08/22(f)

      200       69,813  

Howard Hughes Corp.(b)

     

5.38%, 08/01/28

      180       191,708  

4.13%, 02/01/29

      149       150,989  

4.38%, 02/01/31

      140       141,400  

Jingrui Holdings Ltd., 12.00%, 07/25/22(f)

      200       110,373  

Kaisa Group Holdings Ltd.(f)(g)(i)

     

11.95%, 10/22/22

      200       55,040  

11.50%, 01/30/23

      200       51,725  

10.88%, 07/23/23

      600       154,987  

11.70%, 11/11/25

      200       52,600  

Kennedy-Wilson, Inc., 4.75%, 02/01/30

      136       137,864  

KWG Group Holdings Ltd.(f)

     

7.88%, 09/01/23

      200       151,662  

7.40%, 03/05/24

      470       348,975  

5.88%, 11/10/24

      231       167,475  

Logan Group Co. Ltd.(f)

     

6.90%, 06/09/24

      200       195,000  

5.75%, 01/14/25

      200       191,260  

4.50%, 01/13/28

      200       178,937  

MAF Sukuk Ltd.(f)

     

4.64%, 05/14/29(h)

      275       305,387  

3.93%, 02/28/30

      238       254,556  

Modern Land China Co. Ltd., 9.80%, 04/11/23(f)(g)(i)

      431       77,445  

New Metro Global Ltd.(f)

     

6.80%, 08/05/23

      200       184,000  

4.80%, 12/15/24

      280       251,300  

Powerlong Real Estate Holdings Ltd.(f)

     

7.13%, 11/08/22

      200       183,000  

6.95%, 07/23/23

      310       276,675  

6.25%, 08/10/24

      350       298,375  

Realogy Group LLC/Realogy Co-Issuer Corp.,
5.75%, 01/15/29(b)

      291       298,275  

Redsun Properties Group Ltd.(f)

     

9.95%, 04/11/22

      200       113,000  

7.30%, 01/13/25

      400       168,200  

RKPF Overseas Ltd.(f)

     

Series 2019-A, 6.00%, 09/04/25

      200       191,937  

Series 2020-A, 5.20%, 01/12/26

      232       215,482  

Ronshine China Holdings Ltd.(f)

     

10.50%, 03/01/22

      200       126,537  

8.95%, 01/22/23

      200       75,000  

7.35%, 12/15/23

      200       75,000  
Security          Par
(000)
    Value  

Real Estate Management & Development (continued)

 

Ronshine China Holdings Ltd.(f) (continued)

     

6.75%, 08/05/24

    USD       200     $ 72,000  

Scenery Journey Ltd.(f)(g)(i)

     

11.50%, 10/24/22

      219       28,306  

13.00%, 11/06/22

      200       25,913  

12.00%, 10/24/23

      200       25,500  

Seazen Group Ltd.(f)

     

6.45%, 06/11/22

      200       187,000  

6.00%, 08/12/24

      202       171,195  

Shimao Group Holdings Ltd.(f)

     

5.60%, 07/15/26

      200       124,500  

3.45%, 01/11/31(h)

      200       113,750  

Shui On Development Holding Ltd.(f)

     

5.75%, 11/12/23

      200       195,937  

6.15%, 08/24/24

      200       196,000  

5.50%, 03/03/25

      209       200,575  

Sinic Holdings Group Co. Ltd., 10.50%, 06/18/22(f)(g)(i)

      200       7,980  

Sino-Ocean Land Treasure III Ltd., (5 year CMT + 3.26%), 4.90%(a)(f)(l)

      200       163,600  

Sunac China Holdings Ltd.(f)

     

6.50%, 01/10/25

      200       125,937  

7.00%, 07/09/25(h)

      400       251,875  

Theta Capital Pte Ltd., 8.13%, 01/22/25(f)

      200       210,437  

Times China Holdings Ltd.(f)

     

6.75%, 07/16/23

      313       231,483  

6.75%, 07/08/25(h)

      390       265,078  

6.20%, 03/22/26

      277       188,273  

Unique Pub Finance Co. PLC, Series A4,
5.66%, 06/30/27(f)

    GBP       41       61,616  

Wanda Group Overseas Ltd.(f)

     

7.50%, 07/24/22

    USD       400       374,000  

8.88%, 03/21/23

      200       175,500  

Yango Justice International Ltd.

     

10.25%, 09/15/22

      400       103,875  

7.88%, 09/04/24(f)

      200       51,938  

7.50%, 02/17/25(f)

      200       50,000  

Yanlord Land HK Co. Ltd.(f)

     

6.75%, 04/23/23

      420       424,069  

6.80%, 02/27/24

      400       403,000  

Yuzhou Group Holdings Co. Ltd.(f)

     

8.38%, 10/30/24

      200       65,000  

7.70%, 02/20/25

      200       57,000  

8.30%, 05/27/25

      200       57,000  

Zhenro Properties Group Ltd.(f)

     

8.70%, 08/03/22

      200       150,000  

7.88%, 04/14/24

      300       196,500  

6.63%, 01/07/26

      200       128,500  
     

 

 

 
        15,566,117  
Road & Rail(b) — 0.4%                  

Danaos Corp., 8.50%, 03/01/28

      100       109,500  

Lima Metro Line 2 Finance Ltd., 5.88%, 07/05/34(h)

      1,501       1,711,894  

Seaspan Corp., 5.50%, 08/01/29

      353       354,765  
     

 

 

 
        2,176,159  
Semiconductors & Semiconductor Equipment — 1.1%  

Broadcom, Inc.(h)

     

3.46%, 09/15/26

      578       615,324  

4.11%, 09/15/28

      1,594       1,747,503  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  83


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Semiconductors & Semiconductor Equipment (continued)

 

Microchip Technology, Inc.(j)

     

0.13%, 11/15/24

    USD       250     $ 309,375  

1.63%, 02/15/25

      86       333,190  

1.63%, 02/15/27

      61       155,169  

NXP BV/NXP Funding LLC/NXP USA, Inc., 2.70%, 05/01/25(b)

      33       34,068  

ON Semiconductor Corp., 3.88%, 09/01/28(b)

      330       338,250  

QUALCOMM, Inc., 1.65%, 05/20/32(h)

      1,779       1,682,279  

Sensata Technologies BV(b)(h)

     

5.63%, 11/01/24

      229       251,740  

5.00%, 10/01/25

      324       351,540  

4.00%, 04/15/29

      321       327,821  

Sensata Technologies, Inc.(b)

     

4.38%, 02/15/30(h)

      359       376,950  

3.75%, 02/15/31

      34       33,879  

Synaptics, Inc., 4.00%, 06/15/29(b)

      192       194,880  
     

 

 

 
        6,751,968  
Software — 1.8%                  

ACI Worldwide, Inc., 5.75%, 08/15/26(b)(h)

      444       462,870  

Black Knight InfoServ LLC, 3.63%, 09/01/28(b)

      386       385,494  

Boxer Parent Co., Inc.

     

6.50%, 10/02/25(f)

    EUR       100       119,344  

7.13%, 10/02/25(b)(h)

    USD       388       406,915  

9.13%, 03/01/26(b)(h)

      678       706,815  

Cedacri Mergeco SpA, (3 mo. EURIBOR + 4.63%), 4.63%, 05/15/28(a)(f)

    EUR       100       114,074  

Crowdstrike Holdings, Inc., 3.00%, 02/15/29

    USD       281       277,487  

Elastic NV, 4.13%, 07/15/29(b)

      376       372,007  

Helios Software Holdings, Inc./ION Corporate
Solutions Finance Sarl, 4.63%, 05/01/28(b)

      200       196,500  

Iron Mountain Information Management Services, Inc., 5.00%, 07/15/32(b)

      352       360,261  

MicroStrategy, Inc., 6.13%, 06/15/28(b)

      321       321,802  

MSCI, Inc.(b)

     

4.00%, 11/15/29

      83       86,735  

3.63%, 09/01/30

      147       150,308  

3.88%, 02/15/31(h)

      458       476,892  

3.63%, 11/01/31

      129       133,838  

3.25%, 08/15/33

      183       185,059  

Nuance Communications, Inc., 5.63%, 12/15/26(h)

      237       244,503  

Open Text Corp.(b)

     

3.88%, 02/15/28(h)

      268       273,159  

3.88%, 12/01/29

      157       158,963  

Open Text Holdings, Inc., 4.13%, 02/15/30(b)(h)

      256       263,680  

Oracle Corp., 3.60%, 04/01/50(h)

      785       768,624  

Playtika Holding Corp., 4.25%, 03/15/29(b)(h)

      379       371,420  

PTC, Inc.(b)

     

3.63%, 02/15/25

      76       77,045  

4.00%, 02/15/28

      187       190,273  

Rocket Software, Inc., 6.50%, 02/15/29(b)

      156       152,194  

SS&C Technologies, Inc., 5.50%, 09/30/27(b)(h)

      1,649       1,723,205  

Veritas US, Inc./Veritas Bermuda Ltd., 7.50%,

     

09/01/25(b)(h)

      1,440       1,490,400  
     

 

 

 
        10,469,867  
Specialty Retail — 0.6%                  

Arko Corp., 5.13%, 11/15/29(b)

      181       174,891  

National Vision Holdings, Inc., 2.50%, 05/15/25(j)

      244       407,938  

PetSmart, Inc./PetSmart Finance Corp.(b)

     

4.75%, 02/15/28

      343       352,004  
Security          Par
(000)
    Value  

Specialty Retail (continued)

     

PetSmart, Inc./PetSmart Finance
Corp.(b) (continued)

     

7.75%, 02/15/29(h)

    USD       1,505     $     1,634,806  

Staples, Inc.(b)

     

7.50%, 04/15/26(h)

      697       716,167  

10.75%, 04/15/27

      202       190,385  

Tendam Brands SAU, (3 mo. EURIBOR + 5.25%),

     

5.25%, 09/15/24(a)(f)

    EUR       100       112,996  
     

 

 

 
        3,589,187  
Technology Hardware, Storage & Peripherals — 0.1%  

II-VI, Inc., 5.00%, 12/15/29(b)

    USD       344       351,300  
     

 

 

 
Textiles, Apparel & Luxury Goods(b) — 0.1%                  

Crocs, Inc.

     

4.25%, 03/15/29

      156       154,050  

4.13%, 08/15/31

      197       192,568  

Kontoor Brands, Inc., 4.13%, 11/15/29

      98       98,000  

Levi Strauss & Co., 3.50%, 03/01/31

      111       113,179  

William Carter Co., 5.63%, 03/15/27

      160       165,400  

Wolverine World Wide, Inc., 4.00%, 08/15/29

      101       98,199  
     

 

 

 
        821,396  
Thrifts & Mortgage Finance — 0.2%                  

Home Point Capital, Inc., 5.00%, 02/01/26(b)

      211       195,702  

Jerrold Finco PLC, 5.25%, 01/15/27(f)

    GBP       100       137,791  

MGIC Investment Corp., 5.25%, 08/15/28

    USD       167       175,350  

Nationstar Mortgage Holdings, Inc.(b)

     

6.00%, 01/15/27

      147       153,130  

5.13%, 12/15/30

      104       102,700  

5.75%, 11/15/31

      98       97,510  

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer, Inc., 2.88%, 10/15/26(b)

      189       187,583  
     

 

 

 
        1,049,766  
Transportation — 0.0%                  

Autostrade per l’Italia SpA, 2.00%, 12/04/28(f)

    EUR       100       117,752  
     

 

 

 
Transportation Infrastructure — 0.2%                  

Aeropuerto Internacional de Tocumen SA, 5.13%, 08/11/61(b)

    USD       200       209,475  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 03/30/29(b)

      200       206,163  

Heathrow Finance PLC, 4.63%, 09/01/29(c)(f)

    GBP       100       133,122  

Transurban Finance Co. Pty Ltd., 4.13%, 02/02/26(b)(h)

    USD       435       472,788  
     

 

 

 
        1,021,548  
Utilities — 0.5%                  

Consensus Cloud Solutions, Inc.(b)

     

6.00%, 10/15/26

      71       73,847  

6.50%, 10/15/28

      64       66,880  

Genneia SA, 8.75%, 09/02/27(b)

      79       74,419  

Inkia Energy Ltd., 5.88%, 11/09/27(b)(h)

      377       386,496  

Mong Doung Finacial Holdings BV, 5.13%, 05/07/29(f)

      250       242,703  

Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 08/15/28(b)(h)

      519       538,462  

Star Energy Geothermal Darajat II/Star Energy Geothermal Salak, 4.85%, 10/14/38(b)

      280       306,828  

Star Energy Geothermal Wayang Windu Ltd.,
6.75%, 04/24/33(f)

      168       185,227  
 

 

 

84  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Utilities (continued)

     

Thames Water Kemble Finance PLC, 4.63%, 05/19/26(f)

    GBP       168     $ 231,909  

Vistra Operations Co. LLC(b) 5.50%, 09/01/26

    USD       8       8,261  

5.63%, 02/15/27(h)

      422       434,660  

4.38%, 05/01/29

      227       227,370  
     

 

 

 
        2,777,062  
Wireless Telecommunication Services — 2.3%  

Altice France SA
5.88%, 02/01/27(f)

    EUR       100       118,831  

8.13%, 02/01/27(b)(h)

    USD       707       755,606  

5.50%, 01/15/28(b)(h)

      381       378,108  

4.13%, 01/15/29(f)

    EUR       100       112,996  

5.13%, 01/15/29(b)

    USD       200       195,000  

5.13%, 07/15/29(b)(h)

      1,102       1,074,946  

5.50%, 10/15/29(b)

      477       469,845  

Kenbourne Invest SA, 6.88%, 11/26/24(b)

      275       286,997  

Millicom International Cellular SA, 5.13%, 01/15/28(f)

      248       256,286  

Rogers Communications, Inc., 5.00%, 03/15/44(h)

      545       672,396  

SBA Communications Corp., 3.88%, 02/15/27(h)

      1,248       1,285,440  

Sprint Corp.(h)
7.88%, 09/15/23

      177       194,921  

7.13%, 06/15/24

      374       419,873  

7.63%, 03/01/26

      552       662,731  

T-Mobile USA, Inc.
4.75%, 02/01/28(h)

      479       504,148  

2.63%, 02/15/29

      240       236,400  

2.88%, 02/15/31(h)

      340       335,784  

3.50%, 04/15/31

      397       413,031  

3.50%, 04/15/31(b)

      362       376,618  

Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, 6.50%,
02/15/29(b)(h)

      452       450,447  

VICI Properties LP/VICI Note Co., Inc.(b)
3.50%, 02/15/25

      387       392,805  

4.25%, 12/01/26(h)

      968       1,008,143  

3.75%, 02/15/27(h)

      411       424,499  

4.63%, 12/01/29(h)

      498       529,984  

4.13%, 08/15/30(h)

      923       976,072  

Vmed O2 UK Financing I PLC
4.00%, 01/31/29(f)

    GBP       100       132,501  

4.50%, 07/15/31(f)

      100       134,849  

4.75%, 07/15/31(b)(h)

    USD       797       806,963  
     

 

 

 
        13,606,220  

Total Corporate Bonds — 80.0%
(Cost: $462,095,613)

 

      469,701,521  
     

 

 

 

Floating Rate Loan Interests(a)

     

Aerospace & Defense — 1.7%

     

Atlas CC Acquisition Corp.

     

Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28.

      2,587       2,589,384  

Term Loan C, (3 mo. LIBOR + 4.25%), 5.00%, 05/25/28

      526       526,655  
Security          Par
(000)
    Value  

Aerospace & Defense (continued)

     

Bleriot US Bidco, Inc., 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.22%, 10/31/26

    USD       286     $ 285,808  

Cobham Ultra SeniorCo Sarl, USD Term Loan B, 11/16/28(o)

      155       154,371  

Dynasty Acquisition Co., Inc.

     

2020 CAD Term Loan B2, (3 mo. LIBOR + 3.50%), 3.72%, 04/06/26

      788       765,686  

2020 Term Loan B1, (3 mo. LIBOR + 3.50%), 3.72%, 04/06/26

      1,466       1,424,178  

Peraton Holding Corp.

     

2nd Lien Term Loan B1, (1 mo. LIBOR + 7.75%), 8.50%, 02/01/29

      884       893,945  

Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/01/28

      2,768       2,766,597  

TransDigm, Inc., 2020 Term Loan F, (1 mo. LIBOR + 2.25%), 2.35%, 12/09/25.

      858       845,157  
     

 

 

 
        10,251,781  
Air Freight & Logistics — 0.3%                  

AIT Worldwide Logistics, Inc, 2021 Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 04/06/28

      276       275,736  

Kestrel Bidco, Inc., Term Loan B, (6 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 12/11/26

      756       731,903  

PECF USS Intermediate Holding III Corporation,
Term Loan B, 12/15/28(o)

      689       689,412  
     

 

 

 
        1,697,051  
Airlines — 1.0%                  

AAdvantage Loyalty IP Ltd./American Airlines, Inc., 2021 Term Loan, (3 mo. LIBOR + 4.75%, 0.75% Floor), 5.50%, 04/20/28

      542       560,677  

Air Canada, 2021 Term Loan B, (3 mo. LIBOR + 3.50%, 0.75% Floor), 4.25%, 08/11/28

      1,178       1,173,358  

American Airlines, Inc.

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 01/29/27

      319       299,298  

2017 Incremental Term Loan, (3 mo. LIBOR + 2.00%), 2.11%, 12/15/23

      953       931,616  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3 mo. LIBOR + 5.25%, 1.00% Floor), 6.25%, 06/21/27

      1,139       1,199,100  

United Airlines, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%, 0.75% Floor), 4.50%, 04/21/28

      1,685       1,687,557  
     

 

 

 
        5,851,606  
Auto Components — 0.9%                  

Adient US LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 04/08/28.

      339       338,942  

Clarios Global LP, 2021 USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/30/26

      1,701       1,689,184  

Truck Hero, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 01/31/28

      976       969,305  

USI, Inc.

     

2017 Repriced Term Loan, (3 mo. LIBOR + 3.00%), 3.22%, 05/16/24

      1,070       1,060,686  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  85


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Auto Components (continued)

     

USI, Inc. (continued)

     

2019 Incremental Term Loan B, (3 mo. LIBOR + 3.25%),
3.47%, 12/02/26

    USD       83     $ 82,662  

Wand NewCo 3, Inc., 2020 Term Loan, (3 mo. LIBOR + 3.00%), 3.18%, 02/05/26

      1,051       1,034,606  
     

 

 

 
        5,175,385  
Banks — 0.3%                  

Directv Financing LLC, (3 mo. LIBOR + 5.00%),
5.75%, 08/02/27

      1,374       1,374,163  

LABL, Inc., 2021 USD 1st Lien Term Loan, (1 mo. LIBOR + 5.00%), 5.50%, 10/29/28

      614       612,465  
     

 

 

 
        1,986,628  
Building Materials — 0.0%                  

CHI Overhead Doors, Inc, Term Loan, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/31/25

      79       78,976  

Cornerstone Building Brands, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 04/12/28

      126       125,320  
     

 

 

 
        204,296  
Building Products — 0.9%                  

CP Atlas Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.75%), 4.25%, 11/23/27

      1,648       1,638,810  

CPG International, Inc., 2017 Term Loan, (3 mo. LIBOR + 2.50%), 3.25%, 05/05/24

      673       672,392  

Jeld-Wen, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 07/28/28.

      337       337,225  

MI Windows And Doors LLC, 2020 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27

      220       220,536  

Standard Industries, Inc., 2021 Term Loan B, 09/22/28(o)

      681       681,512  

Wilsonart LLC, 2021 Term Loan E, 12/19/26(o)

      1,600       1,598,598  
     

 

 

 
        5,149,073  
Capital Markets — 0.8%                  

AQGEN Ascensus, Inc., 2021 2nd Lien Term Loan, (3 mo. LIBOR + 6.50%), 7.00%, 08/02/29

      231       231,012  

Deerfield Dakota Holding LLC

     

2020 USD Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 04/09/27

      2,385       2,386,058  

2021 USD 2nd Lien Term Loan, (1 mo. LIBOR + 6.75%), 7.50%, 04/07/28

      642       653,235  

Eagle Broadband Investments LLC, Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/12/27

      579       578,035  

Focus Financial Partners LLC

     

2021 Delayed Draw Term Loan, (PRIME + 1.50%), 4.75%, 06/24/28

      118       117,905  

2021 Term Loan, (1 mo. LIBOR + 2.50%), 3.00%, 07/01/28

      513       509,645  

Greenhill & Co., Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/12/24.

      222       221,157  
     

 

 

 
        4,697,047  
Chemicals — 1.7%                  

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.75%), 5.50%, 08/27/26

      1,041       1,045,443  

Atotech BV, 2021 USD Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 03/18/28

      1,359       1,355,772  
Security          Par
(000)
    Value  

Chemicals (continued)

     

Axalta Coating Systems US Holdings, Inc., USD Term Loan B3, (3 mo. LIBOR + 1.75%), 1.97%, 06/01/24

    USD       516     $ 515,515  

Element Materials Technology Group US Holdings, Inc., 2017 Term Loan B, 06/28/24(o)

      345       342,157  

Element Solutions, Inc., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.10%, 01/31/26

      853       848,683  

Illuminate Buyer LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 06/30/27

      416       412,739  

Lonza Group AG, USD Term Loan B, 07/03/28(o)

      384       383,548  

Messer Industries GmbH, 2018 USD Term Loan, (3 mo. LIBOR + 2.50%), 2.72%, 03/02/26

      682       676,490  

Momentive Performance Materials, Inc., Term Loan B, (1 mo. LIBOR + 3.25%), 3.36%, 05/15/24

      721       719,475  

New Arclin U.S. Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 09/30/28

      517       516,355  

NIC Acquisition Corp., Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/29/27.

      287       282,530  

Oxea Corp., 2017 USD Term Loan B2, (3 mo. LIBOR + 3.25%), 3.44%, 10/14/24

      735       727,848  

PQ Corp., 2021 Term Loan B, (3 mo. LIBOR + 2.75%), 3.25%, 06/09/28.

      674       672,409  

SCIH Salt Holdings, Inc., 2021 Incremental Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 03/16/27

      436       431,203  

Sparta U.S. HoldCo LLC, 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 08/02/28

      595       595,184  

Starfruit Finco BV, 2018 USD Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/01/25

      91       91,008  

W.R. Grace & Co.-Conn., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 09/22/28

      222       222,167  
     

 

 

 
        9,838,526  
Commercial Services & Supplies — 1.7%                  

Allied Universal Holdco LLC, 2021 USD Incremental Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 05/12/28

      1,250       1,244,085  

Aramark Services, Inc.

     

2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 03/11/25

      375       369,491  

2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 04/06/28

      383       380,792  

Asurion LLC

     

2018 Term Loan B6, (1 mo. LIBOR + 3.12%), 3.23%, 11/03/23

      183       182,057  

2018 Term Loan B7, (1 mo. LIBOR + 3.00%), 3.10%, 11/03/24

      378       376,320  

2020 Term Loan B8, (1 mo. LIBOR + 3.25%), 3.35%, 12/23/26

      890       883,247  

2021 2nd Lien Term Loan B3, (1 mo. LIBOR + 5.25%), 5.35%, 01/31/28(e)

      364       364,910  

2021 2nd Lien Term Loan B4, (1 mo. LIBOR + 5.25%), 5.35%, 01/20/29

      646       642,906  

Clean Harbors Inc., 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 10/08/28

      426       425,203  

Covanta Holding Corp.(o)
2021 Term Loan B, 11/30/28

      487       487,190  

2021 Term Loan C, 11/30/28

      36       36,494  
 

 

 

86  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Commercial Services & Supplies (continued)

 

Dealer Tire LLC, 2020 Term Loan B, (1 mo. LIBOR + 4.25%), 4.35%, 12/12/25

    USD       836     $ 834,686  

EnergySolutions LLC, 2018 Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 05/09/25

      177       176,304  

GFL Environmental, Inc., 2020 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 05/30/25

      175       175,895  

KAR Auction Services, Inc., 2019 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.38%, 09/19/26(e)

      460       450,727  

Packers Holdings LLC, 2021 Term Loan, (6 mo. LIBOR + 3.25%), 4.00%, 03/09/28

      750       744,211  

Prime Security Services Borrower LLC, 2021 Term Loan, (1 mo. LIBOR + 2.75%), 3.50%, 09/23/26

      701       700,326  

Vericast Corp., 2021 Term Loan, (3 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 06/16/26

      126       113,628  

Verscend Holding Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.10%, 08/27/25

      1,274       1,272,534  

Viad Corp, Initial Term Loan, (3 mo. LIBOR + 5.00%), 5.50%, 07/30/28.

      355       354,002  
     

 

 

 
        10,215,008  
Construction & Engineering — 0.8%                  

Brand Industrial Services, Inc., 2017 Term Loan, (3 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 06/21/24

      1,685       1,645,449  

Pike Corp., 2021 Incremental Term Loan B, (1 mo. LIBOR + 3.00%), 3.11%, 01/21/28

      424       422,252  

SRS Distribution, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.25%, 06/02/28

      1,776       1,769,886  

USIC Holdings, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 05/12/28

      714       712,329  
     

 

 

 
        4,549,916  
Construction Materials — 0.8%                  

Core & Main LP, 2021 Term Loan B, (1 mo. LIBOR + 2.50%), 2.60%, 07/27/28

      2,692       2,672,548  

Filtration Group Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/29/25

      1,122       1,111,224  

Forterra Finance LLC, 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/25/23

      462       461,861  

Tamko Building Products, Inc., Term Loan B, (3 mo. LIBOR + 3.00%), 3.22%, 06/01/26

      357       354,815  
     

 

 

 
        4,600,448  
Consumer Discretionary — 0.1%                  

APi Group DE, Inc., 2021 Incremental Term Loan B, 12/18/28(o)

      325       324,535  
     

 

 

 
Containers & Packaging — 0.9%                  

BWAY Holding Co., 2017 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 04/03/24

      1,054       1,038,979  

Charter NEX US, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.50%, 12/01/27

      2,239       2,241,520  

Flex Acquisition Co., Inc., 2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/02/28

      991       988,766  

Pregis TopCo Corp., 1st Lien Term Loan, (1 mo. LIBOR + 4.00%), 4.10%, 07/31/26

      137       136,121  
Security          Par
(000)
    Value  

Containers & Packaging (continued)

     

Tosca Services LLC, 2021 Term Loan, (1 mo. LIBOR + 3.50%), 4.25%, 08/18/27

    USD       583     $ 580,991  

Trident TPI Holdings, Inc.

     

2021 Delayed Draw Term Loan, (3 mo. LIBOR + 4.00%), 4.00%, 09/15/28

      26       26,046  

2021 Incremental Term Loan, (3 mo. LIBOR + 4.00%), 4.50%, 09/15/28

      456       455,639  
     

 

 

 
        5,468,062  
Distributors — 0.4%                  

American Builders & Contractors Supply Co., Inc., 2019 Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/27

      883       876,013  

TMK Hawk Parent Corp.

     

2020 Super Priority First Out Term Loan A, (1 mo. LIBOR + 9.50%, 1.00% Floor), 10.50%, 05/30/24.

      406       386,257  

2020 Super Priority Second Out Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 08/28/24.

      1,317       1,132,250  
     

 

 

 
        2,394,520  
Diversified Consumer Services — 1.1%                  

Ascend Learning, LLC

     

2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.75%), 6.25%, 12/10/29

      249       249,416  

2021 Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 12/11/28

      1,140       1,137,389  

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 11/24/28

      411       409,973  

Genuine Financial Holdings LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 07/11/25

      835       831,108  

Midas Intermediate Holdco II LLC, 2020 Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 12/22/25

      1,557       1,466,958  

Nomad Foods Europe Midco Ltd., 2017 USD Term Loan B4, (3 mo. LIBOR + 2.25%), 2.40%, 05/15/24

      406       403,069  

Ola Singapore PTE, Ltd., Term Loan,
12/03/26(e)(o) .

      357       367,710  

PAI Holdco, Inc., 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/28/27

      297       296,016  

Serta Simmons Bedding LLC
2020 Super Priority First Out Term Loan, (3 mo.

     

LIBOR + 7.50%), 8.50%, 08/10/23

      188       189,183  

2020 Super Priority Second Out Term Loan, (3 mo. LIBOR + 7.50%, 1.00% Floor), 8.50%, 08/10/23

      252       235,020  

Sotheby’s, 2021 Term Loan B, (3 mo. LIBOR + 4.50%), 5.00%, 01/15/27

      630       629,789  

Voyage Australia Pty Ltd., USD Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 07/20/28

      307       306,941  
     

 

 

 
        6,522,572  
Diversified Financial Services — 3.9%                  

Advisor Group, Inc., 2021 Term Loan, (1 mo. LIBOR + 4.50%), 4.60%, 07/31/26

      713       715,081  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  87


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Diversified Financial Services (continued)                  

Alchemy Copyrights LLC, Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 03/10/28(e)

    USD       344     $ 343,659  

AlixPartners LLP, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 02/04/28

      776       772,223  

AQGEN Island Holdings, Inc., Term Loan, 08/02/28(o)

      1,516       1,508,041  

Belron Finance US LLC, 2021 USD Term Loan B, 04/13/28(o)

      1,230       1,228,096  

Castlelake Aviation Ltd., Term Loan B, 10/22/26(o)

      983       979,873  

Cogeco Financing 2 LP, 2021 Incremental Term Loan B, (1 mo. LIBOR + 2.50%), 3.00%, 09/01/28

      1,325       1,317,964  

Credito Real SAB de CV Sofom ENR, Term Loan B, 02/17/23(e)(o)

      24       21,254  

Delta TopCo, Inc.

     

2020 2nd Lien Term Loan, (3 mo. LIBOR + 7.25%), 8.00%, 12/01/28

      261       262,060  

2020 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 12/01/27

      1,756       1,756,807  

EG Finco Ltd., 2018 Term Loan, (3 mo. LIBOR + 4.00%), 4.22%, 02/07/25.

      515       512,342  

I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 02/16/28

      413       413,905  

Kingpin Intermediate Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 07/03/24

      682       677,832  

KKR Apple Bidco LLC

     

2021 2nd Lien Term Loan, 09/21/29(o)

      100       101,094  

2021 Term Loan, (1 mo. LIBOR + 3.00%), 3.50%, 09/23/28

      246       244,974  

LBM Acquisition LLC, Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 12/18/27.

      1,374       1,363,324  

LEB Holdings (USA), Inc, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 11/02/27

      420       419,626  

Milano Acquisition Corp., Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27

      2,321       2,320,654  

Radiate Holdco LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 09/25/26

      1,034       1,029,802  

RV Retailer LLC, Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 02/08/28.

      298       297,467  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3 mo. LIBOR + 2.00%), 2.14%, 11/05/28

      591       590,261  

SMG US Midco 2, Inc., 2020 Term Loan, (1 mo. LIBOR + 2.50%), 2.63%, 01/23/25

      532       515,591  

SSH Group Holdings, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 4.25%), 4.47%, 07/30/25

      985       948,635  

Veritas US, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 5.00%, 1.00% Floor), 6.00%, 09/01/25

      2,825       2,822,304  

VS Buyer LLC, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/28/27.

      727       723,401  

White Cap Buyer LLC, Term Loan B, (1 mo. LIBOR + 4.00%), 4.50%, 10/19/27

      541       540,599  

Ziggo Financing Partnership, USD Term Loan I, (3 mo. LIBOR + 2.50%), 2.61%, 04/30/28

      510       504,048  
     

 

 

 
        22,930,917  
Security          Par
(000)
    Value  
Diversified Telecommunication Services — 0.6%  

Cablevision Lightpath LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/30/27

    USD       228     $ 227,131  

Consolidated Communications, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.25%, 10/02/27

      349       348,331  

Frontier Communications Corp., 2021 DIP Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 05/01/28

      754       752,017  

Intelsat Jackson Holdings SA

     

2017 Term Loan B3, (PRIME + 4.75%), 8.00%, 11/27/23

      145       144,577  

2021 DIP Term Loan, (3 mo. LIBOR + 4.75%), 5.75%, 10/13/22

      57       57,129  

Iridium Satellite LLC, 2021 Term Loan B2, (1 mo. LIBOR + 2.50%, 0.75% Floor), 3.25%, 11/04/26

      733       732,128  

Level 3 Financing, Inc., 2019 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27

      566       558,432  

TDC A/S, EUR Term Loan, (EURIBOR + 3.00%), 3.00%, 06/04/25

    EUR       819       926,069  
     

 

 

 
        3,745,814  
Electric Utilities — 0.6%                  

ExGen Renewables IV LLC, 2020 Term Loan, (3 mo. LIBOR + 2.50%, 1.00% Floor), 3.50%, 12/15/27

    USD       710       709,296  

Triton Water Holdings, Inc, Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 03/31/28

      2,558       2,527,974  
     

 

 

 
        3,237,270  
Electrical Equipment — 0.4%                  

Arcline FM Holdings LLC, 2021 1st Lien Term Loan, (3 mo. LIBOR + 4.75%), 5.50%, 06/23/28

      635       632,824  

Gates Global LLC, 2021 Term Loan B3, (1 mo. LIBOR + 2.50%), 3.25%, 03/31/27

      863       860,837  

II-VI Incorporated, 2021 Bridge Term Loan B, 12/01/28(o)

      662       660,345  
     

 

 

 
        2,154,006  
Electronic Equipment, Instruments & Components — 0.0%  

GrafTech Finance, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.50%, 02/12/25

      168       168,064  
     

 

 

 
Environmental, Maintenance & Security Service — 0.2%  

Asplundh Tree Expert LLC, 2021 Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 09/07/27

      789       785,288  

TruGreen Limited Partnership, 2020 Term Loan, (1 mo. LIBOR + 4.00%), 4.75%, 11/02/27

      434       433,868  
     

 

 

 
        1,219,156  
Equity Real Estate Investment Trusts (REITs) — 0.0%  

RHP Hotel Properties LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 05/11/24

      243       239,763  
     

 

 

 
Food & Staples Retailing — 0.2%                  

H Food Holdings LLC, 2018 Incremental Term Loan B2, (1 mo. LIBOR + 4.00%), 4.10%, 05/23/25

      236       234,709  
 

 

 

88  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Food & Staples Retailing (continued)                  

US Foods, Inc.

     

2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 09/13/26

    USD       398     $ 393,511  

2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 11/17/28

      671       670,008  
     

 

 

 
        1,298,228  
Food Products — 0.9%                  

8th Avenue Food & Provisions, Inc., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/01/25

      456       448,180  

B&G Foods, Inc., 2019 Term Loan B4, (1 mo. LIBOR + 2.50%), 2.60%, 10/10/26

      163       162,554  

Chobani LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 10/25/27

      1,389       1,391,497  

Froneri International Ltd., 2020 USD Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 01/29/27

      1,726       1,701,315  

Hostess Brands LLC, 2019 Term Loan, (2 mo. LIBOR + 2.25%), 2.39%, 08/03/25

      420       418,792  

Reynolds Group Holdings, Inc., 2020 Term Loan B2, (1 mo. LIBOR + 3.25%), 3.35%, 02/05/26

      255       253,468  

Sovos Brands Intermediate, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 06/08/28

      448       447,109  

UTZ Quality Foods LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 01/20/28

      275       274,624  
     

 

 

 
        5,097,539  
Gas Utilities — 0.0%                  

Freeport LNG Investments, LLLP, Term Loan B, 12/21/28(o)

      74       73,414  
     

 

 

 
Health Care Equipment & Supplies — 0.7%                  

Electron BidCo Inc., 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 11/01/28

      1,009       1,005,668  

Insulet Corp., Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 05/04/28.

      286       286,382  

Medline Industries, Inc., USD Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 10/23/28

      1,496       1,495,018  

Ortho-Clinical Diagnostics SA, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/30/25

      854       852,503  

Toruk AS, 2021 USD Term Loan B, 11/02/28(o)

      263       256,952  
     

 

 

 
        3,896,523  
Health Care Providers & Services — 0.9%                  

CHG Healthcare Services, Inc., 2021 Term Loan, 09/29/28(o)

      469       468,356  

Da Vinci Purchaser Corp., 2019 Term Loan, (3 mo. LIBOR + 4.00%, 1.00% Floor), 5.00%, 01/08/27

      679       679,101  

Envision Healthcare Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 10/10/25

      747       598,854  

EyeCare Partners LLC

     

2020 Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 02/18/27.

      863       857,668  

2021 2nd Lien Term Loan, 11/15/29(o)

      176       175,951  

2021 Delayed Draw Term Loan, 11/15/28(o)

      26       26,620  

2021 Incremental Term Loan, 11/15/28(o)

      157       156,171  

Femur Buyer, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 4.50%), 4.72%, 03/05/26

      444       409,482  

Orbcomm, Inc., Term Loan B, (3 mo. LIBOR + 4.25%), 5.00%, 09/01/28.

      390       389,158  
Security          Par
(000)
    Value  
Health Care Providers & Services (continued)                  

PetVet Care Centers LLC, 2021 Term Loan B3, (1 mo. LIBOR + 3.50%), 4.25%, 02/14/25

    USD       21     $ 20,761  

Sotera Health Holdings LLC, 2021 Term Loan, (3 mo. LIBOR + 2.75%), 3.25%, 12/11/26

      578       575,289  

WP CityMD Bidco LLC, 2021 1st Lien Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 12/22/28

      1,150       1,148,182  
     

 

 

 
        5,505,593  
Health Care Services — 0.4%                  

Azalea Topco, Inc., Term Loan, (3 mo. LIBOR + 3.50%), 3.63%, 07/24/26.

      1,129       1,123,383  

Medical Solutions LLC, 2021 2nd Lien Term Loan, 11/01/29(o)

      247       243,708  

Unified Physician Management LLC, 2020 Term Loan, (1 mo. LIBOR + 4.25%), 5.00%, 12/16/27

      706       705,413  
     

 

 

 
        2,072,504  
Health Care Technology — 0.5%                  

Athenahealth, Inc., 2021 Term Loan B1, (3 mo. LIBOR + 4.25%), 4.40%, 02/11/26

      145       144,760  

GoodRx, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 10/10/25.

      579       575,947  

Polaris Newco LLC, USD Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 06/02/28

      1,975       1,973,617  

Press Ganey Holdings, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 07/24/26

      272       271,645  
     

 

 

 
        2,965,969  
Hotels, Restaurants & Leisure — 2.6%                  

1011778 B.C. Unlimited Liability Co., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 11/19/26

      993       977,762  

Aimbridge Acquisition Co., Inc., 2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 02/02/26

      277       270,854  

Aristocrat Leisure Ltd., 2020 Incremental Term Loan B, (3 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/24

      427       428,961  

Boyd Gaming Corp., Term Loan B3, (1 mo. LIBOR + 2.25%), 2.35%, 09/15/23.

      388       387,854  

Caesars Resort Collection LLC

     

2017 1st Lien Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 12/23/24

      1,139       1,131,469  

2020 Term Loan B1, (1 mo. LIBOR + 3.50%), 3.60%, 07/20/25

      358       358,063  

Churchill Downs, Inc., 2021 Incremental Term Loan B1, (1 mo. LIBOR + 2.00%), 2.11%, 03/17/28

      343       340,830  

Equinox Holdings, Inc., 2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 03/08/24

      2,323       2,201,487  

Four Seasons Hotels Ltd., New 1st Lien Term Loan, (1 mo. LIBOR + 2.00%), 2.10%, 11/30/23

      545       542,111  

Golden Nugget LLC, 2017 Incremental Term Loan B, (2 mo. LIBOR + 2.50%), 3.25%, 10/04/23

      1,168       1,159,887  

Golden Nugget, Inc., 2020 Initial Term Loan, (1 mo. LIBOR + 12.00%, 1.00% Floor), 13.00%, 10/04/23(e)

      80       84,879  

IRB Holding Corp.

     

2020 Fourth Amendment Incremental Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/15/27.

      1,283       1,281,993  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  89


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Hotels, Restaurants & Leisure (continued)

     

IRB Holding Corp. (continued)

     

2020 Term Loan B, (6 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 02/05/25

    USD       609     $ 607,357  

Playa Resorts Holding BV, 2017 Term Loan B, (1 mo. LIBOR + 2.75%, 1.00% Floor), 3.75%, 04/29/24

      157       152,269  

Playtika Holding Corp., 2021 Term Loan, (1 mo. LIBOR + 2.75%), 2.85%, 03/11/28

      584       580,427  

Scientific Games International, Inc., 2018 Term Loan B5, (1 mo. LIBOR + 2.75%), 2.85%, 08/14/24

      358       356,735  

Stars Group Holdings BV, 2018 USD Incremental Term Loan, (3 mo. LIBOR + 2.25%), 2.47%, 07/21/26

      566       563,200  

Station Casinos LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.25%), 2.50%, 02/08/27

      839       830,838  

Travelport Finance (Luxembourg) Sarl(m)

     

2020 Super Priority Term Loan, (6.50% PIK), 2.50%, 02/28/25

      518       541,038  

2021 Consented Term Loan, (1.75% PIK), 5.22%, 05/29/26

      829       689,831  

Twin River Worldwide Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 3.25%), 3.75%, 10/02/28

      564       563,763  

Whatabrands LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 08/03/28

      943       938,709  

Wyndham Hotels & Resorts, Inc., Term Loan B, (1 mo. LIBOR + 1.75%), 1.85%, 05/30/25

      200       198,090  
     

 

 

 
        15,188,407  
Household Durables — 0.5%                  

ACProducts Holdings, Inc., 2021 Term Loan B, (6 mo. LIBOR + 4.25%), 4.75%, 05/17/28

      1,428       1,406,408  

Reynolds Consumer Products LLC, Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 02/04/27

      139       138,456  

Snap One Holdings Corp, Term Loan B, 12/08/28(o) .

      494       491,075  

Springs Windows Fashions LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/06/28

      359       355,410  

Weber-Stephen Products LLC, Term Loan B, (1 mo. LIBOR + 3.25%), 4.00%, 10/30/27

      407       407,298  
     

 

 

 
        2,798,647  
Household Products — 0.0%                  

Spectrum Brands, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.00%), 2.50%, 03/03/28

      219       217,972  
     

 

 

 
Independent Power and Renewable Electricity Producers — 0.2%  

Calpine Construction Finance Co. LP, 2017 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 01/15/25

      883       875,272  

Calpine Corp., 2019 Term Loan B10, (1 mo. LIBOR + 2.00%), 2.10%, 08/12/26

      287       283,286  
     

 

 

 
        1,158,558  
Industrial Conglomerates — 1.0%                  

AVSC Holding Corp.(m)

     

2020 Term Loan B1, (0.25% PIK), 4.25%, 03/03/25.

      1,299       1,190,551  

2020 Term Loan B3, (10.00% PIK), 10.00%, 10/15/26

      418       485,619  
Security          Par
(000)
    Value  

Industrial Conglomerates (continued)

     

Diamond (BC) B.V., 2021 Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 09/29/28

    USD       1,099     $ 1,093,846  

Sequa Mezzanine Holdings LLC, 2020 Extended Term Loan, (3 mo. LIBOR + 6.75%, 1.00% Floor), 7.75%, 11/28/23

      453       454,807  

Stitch Aquisition Corp., Term Loan B, (3 mo. LIBOR + 6.75%), 7.50%, 07/28/28

      263       247,100  

Vertical US Newco, Inc., Term Loan B, (6 mo. LIBOR + 3.50%), 4.00%, 07/30/27

      735       734,643  

Vertiv Group Corp., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 2.84%, 03/02/27

      1,451       1,440,518  
     

 

 

 
        5,647,084  
Insurance — 1.3%                  

Alliant Holdings Intermediate LLC

     

2018 Term Loan B, (1 mo. LIBOR + 3.25%), 3.35%, 05/09/25

      838       829,331  

2021 Term Loan B4, (1 mo. LIBOR + 3.50%), 4.00%, 11/06/27

      2,146       2,141,418  

AmWINS Group, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 3.00%, 02/19/28

      1,015       1,006,405  

AssuredPartners, Inc.

     

2020 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27

      539       534,380  

2021 Term Loan B, (1 mo. LIBOR + 3.50%), 4.00%, 02/12/27

      286       284,741  

HUB International Ltd.

     

2018 Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 04/25/25

      351       346,184  

2021 Term Loan B, (3 mo. LIBOR + 3.25%), 4.00%, 04/25/25

      1,436       1,434,670  

NFP Corp., 2020 Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/15/27.

      114       111,739  

Ryan Specialty Group LLC, Term Loan, (1 mo. LIBOR + 3.00%), 3.75%, 09/01/27

      202       202,056  

Sedgwick Claims Management Services, Inc.

     

2019 Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/03/26

      524       523,478  

2020 Term Loan B3, (1 mo. LIBOR + 4.25%, 1.00% Floor), 5.25%, 09/03/26

      186       186,292  
     

 

 

 
        7,600,694  
Interactive Media & Services — 1.1%                  

Adevinta ASA, USD Term Loan B, (3 mo. LIBOR + 3.00%), 3.50%, 06/26/28.

      1,066       1,065,774  

Arches Buyer, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.25%), 3.75%, 12/06/27

      935       927,953  

Camelot Finance SA, 2020 Incremental Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 10/30/26

      1,622       1,619,090  

Go Daddy Operating Co. LLC, 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 08/10/27

      831       823,933  

Grab Holdings, Inc., Term Loan B, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 01/29/26

      2,191       2,199,012  
     

 

 

 
        6,635,762  
 

 

 

90  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Internet & Direct Marketing Retail — 0.2%

     

CNT Holdings I Corp., 2020 Term Loan, (3 mo. LIBOR + 3.50%), 4.25%, 11/08/27

    USD       1,085     $ 1,084,607  

PUG LLC, 2021 Incremental Term Loan B, (1 mo. LIBOR + 4.25%), 4.75%, 02/12/27

      111       111,022  
     

 

 

 
        1,195,629  
Internet Software & Services — 0.1%                  

Uber Technologies, Inc., 2021 Term Loan B, (1 mo. LIBOR + 3.50%), 3.60%, 02/25/27

      839       838,569  
     

 

 

 
IT Services — 2.3%                  

Aruba Investments, Inc., 2020 USD Term Loan, (6 mo. LIBOR + 4.00%), 4.75%, 11/24/27

      339       338,447  

Banff Merger Sub, Inc., 2021 USD Term Loan, (3 mo. LIBOR + 3.75%), 3.97%, 10/02/25

      759       754,020  

Camelot Finance SA, Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 10/30/26.

      1,571       1,558,463  

CCC Intelligent Solutions, Inc., Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 09/21/28

      734       732,855  

CoreLogic, Inc., Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 06/02/28.

      1,830       1,826,752  

Fleetcor Technologies Operating Company LLC, 2021 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/28/28

      957       945,180  

Greeneden US Holdings II LLC, 2020 USD Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 12/01/27

      2,582       2,589,887  

Optiv Security, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 02/01/24

      602       596,914  

PUG LLC, USD Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 02/12/27.

      1,223       1,193,218  

Trans Union LLC

     

2019 Term Loan B5, (1 mo. LIBOR + 1.75%), 1.85%, 11/16/26

      761       753,352  

2021 Term Loan B6, (1 mo. LIBOR + 2.25%), 2.75%, 12/01/28

      1,287       1,282,817  

Virtusa Corp., 1st Lien Term Loan B, (1 mo. LIBOR + 3.75%), 4.50%, 02/11/28

      446       446,747  

WEX, Inc., 2021 Term Loan, (1 mo. LIBOR + 2.25%), 2.35%, 03/31/28.

      434       431,012  

ZoomInfo LLC, 2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 02/02/26.

      89       89,111  
     

 

 

 
        13,538,775  
Leisure Products — 0.0%                  

Fender Musical Instruments Corp., 2021 Term Loan B, 12/01/28(e)(o)

      300       299,625  
     

 

 

 
Life Sciences Tools & Services — 1.1%                  

Avantor Funding, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.50%, 11/21/24

      234       233,720  

Avantor, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.25%), 2.75%, 11/08/27

      1,268       1,265,894  

eResearchTechnology, Inc., 2020 1st Lien Term Loan, (1 mo. LIBOR + 4.50%, 1.00% Floor), 5.50%, 02/04/27

      1,846       1,850,188  

ICON Luxembourg Sarl LUX Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28.

      1,104       1,103,904  
Security          Par
(000)
    Value  

Life Sciences Tools & Services (continued)

     

ICON Luxembourg Sarl (continued) US Term Loan, (3 mo. LIBOR + 2.25%), 2.75%, 07/03/28.

    USD       275     $ 275,039  

Maravai Intermediate Holdings LLC, 2020 Term Loan B, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 10/19/27

      482       484,022  

Parexel International Corp., 2021 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 11/15/28

      1,477       1,475,879  
     

 

 

 
        6,688,646  
Machinery — 1.3%                  

Albion Financing 3 SARL, USD Term Loan, 08/17/26(o)

      763       763,059  

ASP Blade Holdings, Inc, Initial Term Loan, (1 mo.

     

LIBOR + 4.00%), 4.50%, 10/13/28

      274       273,772  

Clark Equipment Co., 2021 Incremental Term Loan,

     

(3 mo. LIBOR + 2.25%), 2.47%, 05/18/24

      537       535,713  

Columbus McKinnon Corp., 2021 Term Loan B,

     

(3 mo. LIBOR + 2.75%), 3.25%, 05/14/28

      167       166,620  

Filtration Group Corp., 2021 Incremental Term

     

Loan, (1 mo. LIBOR + 3.50%), 4.00%, 10/21/28

      498       496,613  

Ingersoll-Rand Services Co., 2020 USD Spinco

     

Term Loan, (1 mo. LIBOR + 1.75%), 1.85%, 03/01/27

      570       563,632  

Madison IAQ LLC, Term Loan, (6 mo. LIBOR + 3.25%), 3.75%, 06/21/28.

      2,325       2,321,932  

Rexnord LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.75%, 10/04/28.

      64       63,980  

Titan Acquisition Ltd., 2018 Term Loan B, (1 mo.

     

LIBOR + 3.00%), 3.35%, 03/28/25

      2,316       2,275,101  
     

 

 

 
        7,460,422  
Media — 4.5%                  

Altice Financing SA

     

2017 USD Term Loan B, (3 mo. LIBOR + 2.75%), 2.87%, 07/15/25

      440       434,554  

USD 2017 1st Lien Term Loan, (3 mo. LIBOR + 2.75%), 2.87%, 01/31/26

      530       524,002  

Altice France SA, 2018 Term Loan B13, (2 mo. LIBOR + 4.00%), 4.12%, 08/14/26

      1,332       1,323,577  

AMC Entertainment Holdings, Inc., 04/22/26(o)

      440       395,222  

Cable One, Inc., 2021 Term Loan B4, (1 mo. LIBOR + 2.00%), 2.10%, 05/03/28

      410       409,600  

Charter Communications Operating LLC, 2019 Term Loan B1, (1 mo. LIBOR + 1.75%), 1.86%, 04/30/25

      1,261       1,257,258  

City Football Group Ltd., Term Loan, (6 mo. LIBOR + 3.50%), 4.00%, 07/21/28(e)

      680       674,900  

Clear Channel Outdoor Holdings, Inc., Term Loan B, (3 mo. LIBOR + 3.50%), 3.63%, 08/21/26

      2,349       2,314,662  

Connect Finco Sarl, 2021 Term Loan B, (1 mo. LIBOR + 3.50%, 1.00% Floor), 4.50%, 12/12/26

      3,117       3,115,787  

CSC Holdings LLC

     

2017 Term Loan B1, (3 mo. LIBOR + 2.25%), 2.36%, 07/17/25

      650       639,830  

2019 Term Loan B5, (3 mo. LIBOR + 2.50%), 2.61%, 04/15/27

      1,003       988,882  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  91


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Media (continued)

     

E.W. Scripps Co., 2020 Term Loan B3, (1 mo. LIBOR + 3.00%, 0.75% Floor), 3.75%, 01/07/28

    USD       360     $ 359,679  

Gray Television, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.25%), 2.60%, 02/07/24

      (n)       1  

Learfield Communications LLC, 2016 1st Lien Term Loan, (1 mo. LIBOR + 3.25%, 1.00% Floor), 4.25%, 12/01/23

      1,081       1,020,794  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 03/24/25

      518       513,067  

Live Nation Entertainment, Inc., Term Loan B4, (1 mo. LIBOR + 1.75%), 1.88%, 10/17/26

      1,084       1,054,731  

MH Sub I LLC

     

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 09/13/24

      1,900       1,888,669  

2020 Incremental Term Loan, (1 mo. LIBOR + 3.75%, 1.00% Floor), 4.75%, 09/13/24

      1,464       1,465,145  

2021 2nd Lien Term Loan, (1 mo. LIBOR + 6.25%), 6.35%, 02/12/29

      581       583,661  

Terrier Media Buyer, Inc., 2021 Term Loan, (1 mo. LIBOR + 3.50%), 3.60%, 12/17/26

      584       581,387  

Trader Corp., 2017 Term Loan B, (1 mo. LIBOR + 3.00%, 1.00% Floor), 4.00%, 09/28/23(e)

      1,479       1,475,827  

Trader Interactive LLC, 2021 Term Loan B, (3 mo. LIBOR + 4.00%), 4.50%, 07/28/28(e)

      243       241,785  

UPC Financing Partnership, 2021 USD Term Loan AX, (3 mo. LIBOR + 3.00%), 3.11%, 01/31/29

      228       227,097  

Virgin Media Bristol LLC, 2020 USD Term Loan Q, (3 mo. LIBOR + 3.25%), 3.36%, 01/31/29

      917       916,001  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1 mo. LIBOR + 2.75%), 2.86%, 05/18/25.

      1,356       1,324,974  

WMG Acquisition Corp., 2021 Term Loan G, (1 mo. LIBOR + 2.12%), 2.23%, 01/20/28

      261       259,637  

Zayo Group Holdings, Inc., USD Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 03/09/27

      2,250       2,217,914  
     

 

 

 
        26,208,643  
Metals & Mining — 0.1%                  

Ball Metalpack LLC, 2018 1st Lien Term Loan B, (3 mo. LIBOR + 4.50%), 4.68%, 07/31/25

      662       662,352  
     

 

 

 
Oil, Gas & Consumable Fuels — 0.1%                  

Ascent Resources Utica LLC, 2020 Fixed 2nd Lien Term Loan, 11/01/25(o)

      330       355,849  

Citgo Holding, Inc., 2019 Term Loan B, (3 mo. LIBOR + 7.00%, 1.00% Floor), 8.00%, 08/01/23

      2       1,925  

Edgewater Generation LLC, Term Loan, (1 mo. LIBOR + 3.75%), 3.85%, 12/13/25

      363       342,174  

Lealand Finance Company BV, 2020 Take Back Term Loan, (1 mo. LIBOR + 1.00%), 1.10%, 06/30/25

      112       48,979  

McDermott Technology Americas, Inc., 2020 Make Whole Term Loan, (1 mo. LIBOR + 3.00%), 3.10%, 06/28/24(e)

      16       8,992  
     

 

 

 
        757,919  
Security          Par
(000)
    Value  

Personal Products — 0.4%

     

Prestige Brands, Inc., 2021 Term Loan B5, (1 mo. LIBOR + 2.00%), 2.50%, 07/03/28(e)

    USD       195     $ 195,062  

Sunshine Luxembourg VII Sarl, 2021 Term Loan B3, (3 mo. LIBOR + 3.75%), 4.50%, 10/01/26

      2,225       2,232,285  
     

 

 

 
        2,427,347  
Pharmaceuticals — 1.0%                  

Amneal Pharmaceuticals LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.50%), 3.63%, 05/04/25

      755       746,829  

Catalent Pharma Solutions, Inc., 2021 Term Loan B3, (1 mo. LIBOR + 2.00%), 2.50%, 02/22/28

      1,048       1,048,200  

Elanco Animal Health, Inc., Term Loan B, (3 mo. LIBOR + 1.75%), 1.85%, 08/01/27

      287       282,527  

Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 11/15/27

      656       646,317  

Jazz Financing Lux Sarl, USD Term Loan, (1 mo. LIBOR + 3.50%), 4.00%, 05/05/28

      742       744,320  

Organon Finance 1 LLC, USD Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 06/02/28

      675       675,058  

Precision Medicine Group LLC, 2021 Term Loan, (3 mo. LIBOR + 3.00%), 3.75%, 11/18/27

      514       511,142  

Valeant Pharmaceuticals International, Inc., 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 06/02/25

      1,008       1,002,633  
     

 

 

 
        5,657,026  
Professional Services — 0.3%                  

Dun & Bradstreet Corp., Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 02/06/26

      1,825       1,816,323  
     

 

 

 
Real Estate Management & Development — 0.3%              

Chamberlain Group Inc, Term Loan B, 11/03/28(o)

      1,053       1,051,684  

Cushman & Wakefield U.S. Borrower LLC, 2020 Term Loan B, (1 mo. LIBOR + 2.75%), 2.85%, 08/21/25

      560       555,771  
     

 

 

 
        1,607,455  
Road & Rail — 0.1%                  

SIRVA Worldwide, Inc., 2018 1st Lien Term Loan, (3 mo. LIBOR + 5.50%), 5.72%, 08/04/25(e)

      381       347,226  
     

 

 

 
Semiconductors & Semiconductor Equipment — 0.3%  

Cabot Microelectronics Corp., 2019 Term Loan B1, (1 mo. LIBOR + 2.00%), 2.10%, 11/17/25

      459       458,784  

MKS Instruments, Inc., 2021 USD Term Loan, 10/21/28(o)

      1,137       1,133,873  

Synaptics Inc., Term Loan B, 12/02/28(o)

      256       254,722  
     

 

 

 
        1,847,379  
Software — 6.3%                  

Applied Systems, Inc.

     

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.00%), 3.50%, 09/19/24

      359       358,956  

2021 2nd Lien Term Loan, (3 mo. LIBOR + 5.50%), 6.25%, 09/19/25

      251       252,569  

Barracuda Networks, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 02/12/25

      1,294       1,297,508  

Cloudera, Inc.

     

2021 Second Lien Term Loan, (1 mo. LIBOR + 6.00%), 6.50%, 10/08/29(e)

      618       616,455  

2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/08/28

      1,722       1,715,542  
 

 

 

92  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Software (continued)

     

ConnectWise LLC, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 09/29/28

    USD       495     $ 493,322  

Cornerstone OnDemand, Inc., 2021 Term Loan, (3 mo. LIBOR + 3.75%), 4.25%, 10/16/28

      520       517,956  

Digicel International Finance Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.25%), 3.50%, 05/28/24

      441       428,620  

DTI Holdco, Inc., 2018 Term Loan B, (3 mo. LIBOR + 4.75%, 1.00% Floor), 5.75%, 09/30/23

      383       375,295  

E2open LLC, 2020 Term Loan B, (3 mo. LIBOR + 3.50%), 4.00%, 02/04/28.

      114       113,715  

Epicor Software Corp.

     

2020 2nd Lien Term Loan, (1 mo. LIBOR + 7.75%, 1.00% Floor), 8.75%, 07/31/28

      850       868,419  

2020 Term Loan, (1 mo. LIBOR + 3.25%), 4.00%, 07/30/27

      290       289,590  

Helios Software Holdings, Inc., 2021 USD Term Loan B, (3 mo. LIBOR + 3.75%), 3.97%, 03/11/28

      868       861,648  

Informatica LLC, 2021 USD Term Loan B, (1 mo. LIBOR + 2.75%), 2.88%, 10/27/28

      2,773       2,760,632  

Instructure Holdings, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.75%), 3.25%, 10/30/28

      312       310,440  

IPS Corp., 2021 Term Loan, (1 mo. LIBOR + 3.75%), 4.25%, 10/02/28(e)

      254       253,806  

Magenta Buyer LLC

     

2021 USD 1st Lien Term Loan, (3 mo. LIBOR + 5.00%), 5.75%, 07/27/28

      2,487       2,478,213  

2021 USD 2nd Lien Term Loan, (3 mo. LIBOR + 8.25%), 9.00%, 07/27/29

      1,211       1,200,028  

McAfee LLC, 2018 USD Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 09/30/24

      409       409,142  

Netsmart Technologies, Inc., 2020 Term Loan B, (3 mo. LIBOR + 4.00%), 4.75%, 10/01/27

      580       580,368  

Planview Parent, Inc., Term Loan, (3 mo. LIBOR + 4.00%), 4.75%, 12/17/27.

      1,032       1,031,269  

Proofpoint, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 08/31/28

      1,778       1,769,237  

RealPage, Inc., 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 04/24/28

      4,314       4,298,860  

Renaissance Holding Corp., 2018 1st Lien Term Loan, (1 mo. LIBOR + 3.25%), 3.35%, 05/30/25

      31       30,898  

Restoration Hardware, Inc., Term Loan B, (3 mo. LIBOR + 2.50%), 3.00%, 10/20/28

      469       467,419  

Severin Acquisition LLC, 2018 Term Loan B, (1 mo. LIBOR + 3.00%), 3.10%, 08/01/25

      1,854       1,843,318  

Sophia LP, 2021 Term Loan B, (3 mo. LIBOR + 3.50%), 4.25%, 10/07/27.

      2,081       2,079,459  

SS&C Technologies Holdings Europe Sarl, 2018 Term Loan B4, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25

      469       463,115  

SS&C Technologies, Inc., 2018 Term Loan B3, (1 mo. LIBOR + 1.75%), 1.85%, 04/16/25

      578       570,830  

Tempo Acquisition LLC

     

2020 Extended Term Loan, (1 mo. LIBOR + 3.25%), 3.75%, 11/02/26

      2,092       2,094,213  

2021 Term Loan B, (1 mo. LIBOR + 3.00%), 3.50%, 08/31/28

      214       214,999  
Security          Par
(000)
    Value  

Software (continued)

     

Tibco Software Inc., 2020 2nd Lien Term Loan, 03/03/28(o)

    USD       1,429     $ 1,432,066  

Ultimate Software Group, Inc.

     

2021 2nd Lien Term Loan, 05/03/27(o)

      843       844,277  

2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 05/04/26

      1,884       1,872,570  

Term Loan B, (1 mo. LIBOR + 3.75%), 3.85%, 05/04/26

      1,688       1,681,681  
     

 

 

 
        36,876,435  
Specialty Retail — 1.5%  

Belron Finance US LLC

     

2018 Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 11/13/25

      180       179,217  

2019 USD Term Loan B, (3 mo. LIBOR + 2.25%), 2.44%, 10/30/26

      412       408,340  

CD&R Firefly Bidco Ltd., 2018 GBP Term Loan B1, 06/23/25(o)

    GBP       1,000       1,343,398  

EG Group Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.25%), 4.75%, 03/31/26(e)

    USD       235       236,296  

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (3 mo. LIBOR + 3.25%), 3.75%, 11/24/28

      314       312,037  

Mavis Tire Express Services Corp., 2021 Term Loan B, (1 mo. LIBOR + 4.00%), 4.75%, 05/04/28

      1,281       1,280,565  

MED ParentCo LP, 1st Lien Term Loan, (1 mo. LIBOR + 4.25%), 4.35%, 08/31/26

      829       826,189  

Medical Solutions LLC

     

2021 Delayed Draw Term Loan, 0.07%, 11/01/28.

      15       15,142  

2021 First Lien Term Loan, (3 mo. LIBOR + 3.50%), 4.00%, 11/01/28

      1,087       1,084,691  

PetSmart, Inc., 2021 Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 02/11/28

      2,217       2,218,839  

Pilot Travel Centers LLC, 2021 Term Loan B, (1 mo. LIBOR + 2.00%), 2.10%, 08/04/28

      432       428,985  

Research Now Group, Inc., 2017 1st Lien Term Loan, (6 mo. LIBOR + 5.50%, 1.00% Floor), 6.50%, 12/20/24

      439       432,970  

Woof Holdings, Inc., 1st Lien Term Loan, (3 mo. LIBOR + 3.75%), 4.50%, 12/21/27

      228       228,275  
     

 

 

 
        8,994,944  
Technology Hardware, Storage & Peripherals — 0.1%  

Electronics for Imaging, Inc., Term Loan, (1 mo. LIBOR + 5.00%), 5.10%, 07/23/26(e)

      623       533,258  
     

 

 

 
Trading Companies & Distributors — 0.3%  

Beacon Roofing Supply, Inc., 2021 Term Loan B, (1 mo. LIBOR + 2.25%), 2.35%, 05/19/28

      619       614,781  

Foundation Building Materials Holding Company LLC, 2021 Term Loan, (3 mo. LIBOR + 3.25%), 3.75%, 01/31/28

      691       685,918  

ION Trading Finance Ltd., 2021 Term Loan, (3 mo. LIBOR + 4.75%), 4.97%, 04/03/28

      302       301,904  
     

 

 

 
        1,602,603  
Wireless Telecommunication Services — 0.3%  

GOGO Intermediate Holdings LLC, Term Loan B, (3 mo. LIBOR + 3.75%), 4.50%, 04/30/28

      435       434,525  
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  93


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Wireless Telecommunication Services (continued)

 

Metronet Systems Holdings LLC, 2021 1st Lien Term Loan, 05/26/28(o)

    USD       264     $ 264,845  

SBA Senior Finance II LLC, 2018 Term Loan B, (1 mo. LIBOR + 1.75%), 1.86%, 04/11/25

      1,064       1,050,872  
     

 

 

 
        1,750,242  
     

 

 

 

Total Floating Rate Loan Interests — 50.0%
(Cost: $293,002,145)

 

    293,889,156  
     

 

 

 

Foreign Agency Obligations

     
Argentina — 0.0%                  

Argentine Republic Government International Bond, 3.50%, 07/09/41(c)

      351       124,068  
     

 

 

 
Bahrain — 0.1%                  

Bahrain Government International Bond,
6.75%, 09/20/29(f)

      200       215,600  

CBB International Sukuk Co. 7 SPC, 6.88%, 10/05/25(f)

      200       224,187  
     

 

 

 
        439,787  
Colombia — 0.1%                  

Colombia Government International Bond(h)

     

4.50%, 01/28/26

      443       463,433  

3.88%, 04/25/27

      200       201,475  
     

 

 

 
        664,908  
Dominican Republic — 0.2%                  

Dominican Republic International Bond

     

5.95%, 01/25/27(f)(h)

      491       546,238  

4.88%, 09/23/32(b)

      185       187,983  

6.40%, 06/05/49(f)

      150       157,481  
     

 

 

 
        891,702  
Egypt — 0.2%                  

Egypt Government International Bond

     

5.75%, 05/29/24(b)

      215       223,407  

7.60%, 03/01/29(f)

      416       411,590  

8.50%, 01/31/47(b)(h)

      321       283,828  
     

 

 

 
        918,825  
Guatemala — 0.0%                  

Guatemala Government Bond, 5.38%, 04/24/32(b)

      200       222,725  
     

 

 

 
Iceland — 0.5%                  

Iceland Government International Bond, 5.88%, 05/11/22(f)(h)

      3,030       3,076,476  
     

 

 

 
Indonesia — 0.0%                  

Indonesia Government International Bond,
5.35%, 02/11/49(h)

      200       262,000  
     

 

 

 
Mexico — 0.1%                  

Mexico Government International Bond,
4.15%, 03/28/27(h)

      397       438,884  
     

 

 

 
Mongolia — 0.0%                  

Mongolia Government International Bond,
5.13%, 04/07/26(f)

      250       255,938  
     

 

 

 
Security          Par
(000)
    Value  

Morocco — 0.1%

     

Morocco Government International Bond
3.00%, 12/15/32(b)(h)

    USD       300     $ 285,806  

4.00%, 12/15/50(f)

      222       200,841  
     

 

 

 
        486,647  
Oman — 0.1%                  

Oman Government International Bond, 6.50%, 03/08/47(f)

      308       305,012  
     

 

 

 
Panama — 0.1%                  

Panama Government International Bond(h)
3.16%, 01/23/30

      245       253,851  

4.50%, 04/16/50

      211       232,271  
     

 

 

 
        486,122  
Paraguay — 0.0%                  

Paraguay Government International Bond,
5.40%, 03/30/50(b)

      200       227,975  
     

 

 

 
Peru — 0.1%                  

Peruvian Government International Bond
2.78%, 01/23/31(h)

      29       28,797  

1.86%, 12/01/32

      259       236,386  

3.00%, 01/15/34

      116       115,420  
     

 

 

 
        380,603  
Portugal — 0.6%                  

Portugal Government International Bond,
5.13%, 10/15/24(b)(h)

      3,190       3,533,850  
     

 

 

 
Qatar — 0.0%                  

Qatar Government International Bond, 4.00%, 03/14/29(b)(h)

      200       225,138  
     

 

 

 
Romania — 0.0%                  

Romanian Government International Bond,
3.00%, 02/14/31(b)(h)

      280       283,724  
     

 

 

 
Russia — 0.0%                  

Russian Foreign Bond - Eurobond, 4.25%, 06/23/27(f)(h)

      200       215,500  
     

 

 

 
Saudi Arabia — 0.1%                  

Saudi Government International Bond, 4.50%, 04/17/30(f)(h)

      325       378,523  
     

 

 

 
Sri Lanka — 0.1%                  

Sri Lanka Government International Bond(f)
6.85%, 03/14/24

      400       208,575  

6.35%, 06/28/24

      200       104,287  

7.85%, 03/14/29

      400       200,825  
     

 

 

 
        513,687  
Ukraine — 0.1%                  

Ukraine Government International Bond 9.75%, 11/01/28(f)

      236       237,106  

7.25%, 03/15/33(b)(h)

      200       175,500  
     

 

 

 
        412,606  
     

 

 

 

Total Foreign Agency Obligations — 2.5%
(Cost: $14,723,157)

 

    14,744,700  
     

 

 

 
 

 

 

94  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security              
Shares
    Value  

Investment Companies

     
Fixed Income Funds — 0.4%                  

Invesco Senior Loan ETF(p)(q)

      120,501     $ 2,663,072  
     

 

 

 

Total Investment Companies — 0.4%
(Cost: $2,672,796)

        2,663,072  
     

 

 

 
            Par
(000)
        

Non-Agency Mortgage-Backed Securities

 

Collateralized Mortgage Obligations — 0.6%  

Countrywide Alternative Loan Trust

     

Series 2005-54CB, Class 3A4, 5.50%, 11/25/35

    USD       1,147       856,946  

Series 2006-J8, Class A5, 6.00%, 02/25/37

      1,966       1,202,525  

Series 2007-19, Class 1A1, 6.00%, 08/25/37

      584       408,748  

Countrywide Home Loan Mortgage Pass-Through Trust

     

Series 2005-17, Class 1A6, 5.50%, 09/25/35

      140       140,889  

Series 2006-17, Class A2, 6.00%, 12/25/36

      692       425,624  

Series 2007-HY5, Class 3A1, 2.98%, 09/25/37(a) .

      374       367,523  

GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.60%, 10/25/35(a)

      347       238,593  
     

 

 

 
        3,640,848  
Commercial Mortgage-Backed Securities — 0.9%  

BAMLL Commercial Mortgage Securities Trust,

     

Series 2015-200P, Class C, 3.60%, 04/14/33(a)(b).

      4,830       4,984,021  
     

 

 

 

Total Non-Agency Mortgage-Backed Securities — 1.5%
(Cost: $8,908,827)

 

      8,624,869  
     

 

 

 
            Benefical
Interest (000)
        

Other Interests(r)

     
IT Services(e)(g) — 0.0%                  

Millennium Corp

    USD       918        

Millennium Lender Claims

      861        
     

 

 

 

Total Other Interests — 0.0%
(Cost: $ — )

         
     

 

 

 
            Par
(000)
        

Preferred Securities

     
Capital Trusts — 5.4%                  

Automobiles — 0.1%

     

General Motors Financial Co., Inc., Series C, 5.70%(a)(h)(l)

    USD       365       416,100  
     

 

 

 
Banks(a) — 1.5%                  

Al Ahli Bank of Kuwait KSCP, 7.25%(f)(l)

      200       210,288  

Banco Mercantil del Norte SA,
6.75%(b)(h)(l)

      396       410,058  

Bank of East Asia Ltd., 5.88%(f)(l)

      250       260,437  

BBVA Bancomer SA, 5.13%, 01/18/33(f)

      220       225,885  

Burgan Bank SAK, 5.75%(f)(l)

      250       250,594  

CaixaBank SA, 6.38%(f)(l)

    EUR       200       245,347  

CIT Group, Inc., Series A, 5.80%(l)

    USD       235       238,231  
Security          Par
(000)
    Value  
Banks (continued)                  

Industrial & Commercial Bank of China Ltd., 3.20%(f)(l)

    USD       200     $ 204,000  

ING Groep NV, 3.88%(h)(l)

      1,750       1,664,687  

Kasikornbank PCL, 5.28%(f)(l)

      405       422,668  

Nanyang Commercial Bank Ltd., 5.00%(f)(l)

      200       202,625  

Nordea Bank Abp, 3.75%(b)(l)

      560       530,880  

Rizal Commercial Banking Corp., 6.50%(f)(l)

      200       203,600  

TMBThanachart Bank PCL, 4.90%(f)(l)

      250       251,844  

US Bancorp, 3.70%(h)(l)

      1,665       1,664,667  

Wells Fargo & Co.(h)(l)

     

Series S, 5.90%

      1,500       1,582,710  

Series U, 5.88%

      384       419,520  
     

 

 

 
        8,988,041  
Capital Markets — 0.5%                  

Bank of New York Mellon Corp., Series I, 3.75%(a)(h)(l)

      3,110       3,121,103  
     

 

 

 
Diversified Financial Services(a)(l) — 2.7%                  

Bank of America Corp.(h)

     

Series AA, 6.10%

      15       16,256  

Series DD, 6.30%

      215       241,875  

Series X, 6.25%

      1,929       2,076,086  

Series Z, 6.50%

      143       156,581  

Barclays PLC, 4.38%

      455       445,673  

Credit Suisse Group AG

     

6.38%(b)(h)

      295       317,951  

6.25%(f)

      200       213,000  

HSBC Holdings PLC(h)

     

6.25%

      695       721,931  

6.00%

      415       446,644  

JPMorgan Chase & Co.(h)

     

Series FF, 5.00%

      2,865       2,943,787  

Series HH, 4.60%

      253       259,641  

Series R, 6.00%

      92       95,910  

Lloyds Banking Group PLC, 7.50%(h)

      1,250       1,412,767  

Morgan Stanley, Series H, 3.73%(h)

      1,026       1,026,521  

Natwest Group PLC, 6.00%(h)

      1,185       1,296,769  

Societe Generale SA, 5.38%(b)(h)

      2,250       2,363,400  

UBS Group AG, 3.88%(b)(h)

      1,500       1,478,175  

Woori Bank, 4.25%(f)

      250       258,719  
     

 

 

 
        15,771,686  
Diversified Telecommunication Services(a)(f)(l) — 0.1%  

Telefonica Europe BV

     

5.88%.

    EUR       100       124,808  

4.38%.

      100       122,246  
     

 

 

 
        247,054  
Electric Utilities(a) — 0.4%                  

Edison International, Series B, 5.00%(l)

    USD       175       178,815  

NextEra Energy Capital Holdings, Inc., 5.65%, 05/01/79(h)

      1,750       1,982,651  
     

 

 

 
        2,161,466  
Electronic Equipment, Instruments & Components — 0.0%  

Belden, Inc., 4.13%, 10/15/26(f)

    EUR       100       115,885  
     

 

 

 
Independent Power and Renewable Electricity Producers — 0.1%  

Vistra Corp., 7.00%(a)(b)(l)

    USD       240       243,094  
     

 

 

 
Insurance — 0.0%                  

Heungkuk Life Insurance Co. Ltd., 4.48%(a)(f)(l)

      200       201,163  
     

 

 

 
 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  95


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Oil, Gas & Consumable Fuels — 0.0%                  

Abertis Infraestructuras Finance BV,
3.25%(a)(f)(l)

    EUR       100     $ 115,978  
     

 

 

 
Real Estate Management & Development — 0.0%  

Heimstaden Bostad AB, 3.00%(a)(f)(l)

      100       108,474  
     

 

 

 
Transportation Infrastructure — 0.0%                  

Poste Italiane SpA, 2.63%(a)(f)(l)

      100       109,297  
     

 

 

 
Utilities — 0.0%                  

Electricite de France SA, 3.00%(a)(f)(l)

      200       233,962  
     

 

 

 

Total Capital Trusts — 5.4%

        31,833,303  
     

 

 

 
            Shares         
Preferred Stocks — 1.8%                  
Banks — 0.0%                  

CF-B L2 (D) LLC, (Acquired 04/08/15, Cost: $134,650)(s)

      137,556       1,415  
     

 

 

 
Capital Markets(a)(l) — 1.8%                  

Goldman Sachs Group, Inc., Series J, 5.50%

      202,526       5,356,813  

Morgan Stanley

     

Series F

      120,000       3,325,200  

Series K, 5.85%

      53,253       1,549,130  
     

 

 

 
        10,231,143  
     

 

 

 

Total Preferred Stocks — 1.8%

        10,232,558  
     

 

 

 
Total Preferred Securities — 7.2%
(Cost: $40,800,055)
              42,065,861  
     

 

 

 
            Par
(000)
        

U.S. Government Sponsored Agency Securities

 

Collateralized Mortgage Obligations — 0.2%  

Fannie Mae Connecticut Avenue Securities, Series 2017-C03, Class 1M2, (1 mo. LIBOR US + 3.00%), 3.10%, 10/25/29(a)

    USD       1,327       1,357,702  
     

 

 

 
Mortgage-Backed Securities — 7.3%                  

Uniform Mortgage-Backed Securities

     

5.00%, 08/01/23

      9       9,593  

2.00%, 01/16/36(t)

      12,500       12,799,075  

2.50%, 02/11/51 - 07/25/51(t)

      28,640       29,183,291  

Series K042, Class X1, 1.03%, 12/25/24(a)

      32,670       879,530  
     

 

 

 
        42,871,489  
     

 

 

 

Total U.S. Government Sponsored Agency Securities — 7.5%
(Cost: $44,202,289)

 

      44,229,191  
     

 

 

 
U.S. Treasury Obligations                  

U.S. Treasury Bonds(h)

     

2.88%, 05/15/49

      1,350       1,626,223  

1.88%, 02/15/51(u)

      3,250       3,215,469  

U.S. Treasury Notes(h)

     

2.75%, 04/30/23 - 08/31/25

      14,150       14,740,017  
Security          Par
(000)
    Value  

U.S. Treasury Obligations (continued)

 

U.S. Treasury Notes(h) (continued)

     

1.25%, 03/31/28

    USD       8,000     $ 7,928,750  

1.13%, 02/15/31

      6,500       6,308,301  
     

 

 

 

Total U.S. Treasury Obligations — 5.8%
(Cost: $32,602,022)

 

      33,818,760  
     

 

 

 
            Shares         

Warrants

     
Metals & Mining — 0.0%                  

Ameriforge Group, Inc.(g)

      2,542        
     

 

 

 

Oil, Gas & Consumable Fuels — 0.0%

 

   

California Resources Corp.(g)

      345       4,278  
     

 

 

 

Total Warrants — 0.0%
(Cost: $ — )

        4,278  
     

 

 

 

Total Long-Term Investments — 158.7%
(Cost: $927,709,122)

 

      931,570,453  
     

 

 

 

Short-Term Securities

     
Money Market Funds — 0.9%                  

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.00%(p)(q)

      4,969,680       4,969,680  
     

 

 

 

Total Short-Term Securities — 0.9%

(Cost: $4,969,680)

        4,969,680  
     

 

 

 

Options Purchased — 0.4%
(Cost: $2,729,138)

        2,514,780  
     

 

 

 

Total Investments Before TBA Sale Commitments and Options Written — 160.0%
(Cost: $935,407,940)

 

      939,054,913  
     

 

 

 
            Par
(000)
        

TBA Sale Commitments

     

Mortgage-Backed Securities — (2.5)%

 

Uniform Mortgage-Backed Securities, 2.50%, 07/25/51(t)

    USD       (14,320     (14,609,825
     

 

 

 

Total TBA Sale Commitments — (2.5)%
(Proceeds: $(14,611,382))

 

      (14,609,825
     

 

 

 

Options Written — (0.8)% (Premiums Received: $(4,070,619))

        (4,487,052
     

 

 

 

Total Investments, Net of TBA Sale Commitments and Options Written — 156.7%
(Cost: $916,725,939)

 

      919,958,036  

Liabilities in Excess of Other Assets — (56.7)%

 

    (332,812,021
     

 

 

 

Net Assets — 100.0%

      $ 587,146,015  
     

 

 

 

 

(a) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(b) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

 

 

96  

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Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

(c) 

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(d) 

When-issued security.

(e) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(f) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(g) 

Non-income producing security.

(h) 

All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

(i) 

Issuer filed for bankruptcy and/or is in default.

(j) 

Convertible security.

(k) 

Zero-coupon bond.

(l) 

Perpetual security with no stated maturity date.

(m) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(n) 

Rounds to less than 1,000.

(o) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(p) 

Affiliate of the Fund.

(q) 

Annualized 7-day yield as of period end.

(r) 

Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.

(s) 

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $1,415, representing less than 0.05% of its net assets as of period end, and an original cost of $134,650.

(t) 

Represents or includes a TBA transaction.

(u) 

All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives.

 

For Fund compliance purposes, the Fund’s industry classifications refer to 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 the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended December 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
12/31/20
     Purchases
at Cost
     Proceeds
from Sales
     Net
Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
12/31/21
     Shares
Held at
12/31/21
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

   $ 9,760,422      $      $ (4,790,742 )(a)     $      $      $ 4,969,680        4,969,680      $ 817      $  

iShares iBoxx $ Investment Grade Corporate Bond ETF(b)

     1,381,300               (1,354,738      85,044        (111,606                    15,552         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ 85,044      $ (111,606    $ 4,969,680         $ 16,369      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

As of period end, the entity is no longer held.

 

Reverse Repurchase Agreements

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

BNP Paribas S.A.

     0.29 %(b)      05/28/21        Open     $ 27,804      $ 27,852      Foreign Agency Obligations      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      06/02/21        Open       930,000        932,464      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.50 (b)      06/02/21        Open       614,100        615,977      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      06/03/21        Open       601,544        603,526      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       198,875        199,574      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       1,017,480        1,021,058      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       413,806        415,261      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       530,347        532,213      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       1,074,925        1,078,705      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       185,000        185,651      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       1,173,287        1,177,414      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       349,688        350,917      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/03/21        Open       140,675        141,170      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      06/03/21        Open       216,288        217,086      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      06/03/21        Open       409,221        410,732      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      06/03/21        Open       233,998        234,862      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      06/03/21        Open       483,551        485,337      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      06/03/21        Open       246,075        246,984      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       1,955,542        1,962,993      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       228,160        229,029      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       229,298        230,171      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       339,771        341,066      Corporate Bonds      Open/Demand  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  97


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

BNP Paribas S.A.

     0.65 %(b)      06/03/21        Open     $ 857,990      $ 861,259      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       333,040        334,309      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       335,948        337,227      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       396,240        397,750      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       226,550        227,413      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       425,631        427,253      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       237,850        238,756      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       349,650        350,982      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       553,455        555,564      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       673,265        675,830      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/03/21        Open       392,531        394,027      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      06/03/21        Open       179,213        179,927      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      06/03/21        Open       1,128,375        1,132,872      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.69 (b)      06/03/21        Open       1,667,922        1,674,668      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.70 (b)      06/03/21        Open       280,125        281,274      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.75 (b)      06/03/21        Open       349,488        351,024      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.75 (b)      06/03/21        Open       1,308,591        1,314,344      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.75 (b)      06/03/21        Open       340,204        341,699      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.75 (b)      06/03/21        Open       313,228        314,604      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.75 (b)      06/03/21        Open       722,722        725,899      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.80 (b)      06/03/21        Open       141,200        141,862      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      06/04/21        Open       374,920        376,478      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      06/04/21        Open       274,466        275,338      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      06/04/21        Open       347,183        348,386      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      06/04/21        Open       425,113        426,726      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/04/21        Open       513,836        515,766      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/04/21        Open       509,302        511,215      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/04/21        Open       519,585        521,536      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      06/04/21        Open       1,442,919        1,448,588      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      06/07/21        Open       1,309,499        1,314,417      Corporate Bonds      Open/Demand  

HSBC Securities (USA), Inc.

     0.08 (b)      06/07/21        Open       6,741,937        6,744,468      U.S. Treasury Obligations      Open/Demand  

HSBC Securities (USA), Inc.

     0.08 (b)      06/07/21        Open       8,420,000        8,423,160      U.S. Treasury Obligations      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       528,900        530,413      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       1,126,142        1,129,364      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       356,570        357,590      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       366,795        367,844      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       351,260        352,265      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       430,770        432,002      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       197,750        198,316      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       364,183        365,224      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       376,635        377,713      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       255,789        256,521      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       394,088        395,215      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       219,780        220,409      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       414,534        415,720      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       219,605        220,233      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       766,720        768,914      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       224,993        225,636      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       464,195        465,523      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       314,903        315,803      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       180,500        181,016      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       437,168        438,418      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       281,639        282,445      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       438,030        439,283      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       350,139        351,141      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       328,860        329,801      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/08/21        Open       2,804,375        2,812,399      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       237,195        237,604      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       331,585        332,157      Corporate Bonds      Open/Demand  

 

 

98  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

Credit Agricole Corporate and Investment Bank

     0.30 %(b)      06/08/21        Open     $ 233,400      $ 233,803      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       341,638        342,227      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       400,579        401,270      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       231,964        232,364      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       251,724        252,158      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       271,769        272,238      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       322,831        323,388      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      06/08/21        Open       302,944        303,466      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

     0.30 (b)      06/08/21        Open       218,500        218,875      Foreign Agency Obligations      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       310,719        311,217      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       1,186,081        1,187,982      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       1,569,967        1,572,483      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       596,785        597,741      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       373,500        374,098      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       7,306        7,318      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       1,469,512        1,471,867      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/08/21        Open       173,400        173,678      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      06/08/21        Open       856,240        858,200      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      06/08/21        Open       56,018        56,146      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      06/08/21        Open       345,135        345,925      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/09/21        Open       2,689,125        2,693,719      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/09/21        Open       2,098,393        2,101,978      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       1,429,911        1,433,983      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       1,439,362        1,443,461      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       1,219,219        1,222,690      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       582,741        584,400      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       438,600        439,849      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       402,701        403,848      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       1,242,844        1,246,382      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       796,511        798,779      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       154,700        155,140      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/09/21        Open       474,154        475,504      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

     0.30 (b)      06/09/21        Open       1,408,125        1,410,531      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

     0.45 (b)      06/09/21        Open       1,625,000        1,629,164      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       144,550        144,780      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       933,750        935,239      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       429,300        429,984      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       463,275        464,014      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       421,169        421,840      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       697,125        698,237      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       1,035,300        1,036,951      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       302,813        303,295      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       1,687,647        1,690,338      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       1,500,000        1,502,392      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/09/21        Open       1,561,875        1,564,365      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.25 (b)      06/11/21        Open       209,250        209,542      Foreign Agency Obligations      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/11/21        Open       634,187        635,250      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/11/21        Open       233,275        233,666      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/11/21        Open       347,563        348,145      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/11/21        Open       149,971        150,222      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       701,187        703,145      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       3,154,112        3,162,918      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       410,334        411,479      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       363,000        364,013      Corporate Bonds      Open/Demand  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  99


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

Barclays Capital, Inc.

     0.50 %(b)      06/11/21        Open     $ 544,320      $ 545,840      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       340,550        341,501      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       567,564        569,148      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/11/21        Open       217,330        217,937      Capital Trusts      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      06/11/21        Open       246,163        246,547      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      06/16/21        Open       382,850        384,369      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.58 (b)      06/18/21        Open       742,600        744,921      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/29/21        Open       790,119        791,337      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/29/21        Open       1,892,500        1,895,418      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/29/21        Open       2,002,500        2,005,587      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      06/29/21        Open       1,298,437        1,300,439      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.35 (b)      06/29/21        Open       3,048,750        3,054,233      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       371,995        372,951      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       604,222        605,775      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       326,430        327,269      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       1,286,810        1,290,116      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       1,023,710        1,026,340      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       536,270        537,648      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       368,663        369,610      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       932,047        934,442      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       317,104        317,919      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       518,141        519,473      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       549,010        550,421      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       260,700        261,370      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       385,328        386,318      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       1,287,500        1,290,808      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       364,544        365,480      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       775,912        777,906      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       196,284        196,788      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       561,045        562,487      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       339,154        340,026      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      06/29/21        Open       488,312        489,567      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.60 (b)      07/08/21        Open       346,115        347,130      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.55 (b)      07/09/21        Open       646,962        648,672      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/09/21        Open       866,210        868,916      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/12/21        Open       1,266,580        1,269,001      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/13/21        Open       1,080,551        1,083,374      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/14/21        Open       111,919        112,183      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/14/21        Open       801,915        803,808      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/14/21        Open       778,129        779,966      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      07/15/21        Open       563,019        563,812      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      07/15/21        Open       1,546,562        1,548,741      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      07/15/21        Open       620,397        621,271      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      07/15/21        Open       1,634,827        1,637,130      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      07/15/21        Open       572,182        572,988      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.40 (b)      07/15/21        Open       268,500        269,004      Foreign Agency Obligations      Open/Demand  

Barclays Capital, Inc.

     0.40 (b)      07/15/21        Open       257,506        257,989      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.40 (b)      07/15/21        Open       246,958        247,422      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       720,799        722,491      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       1,326,337        1,329,451      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       12,019        12,047      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       388,688        389,600      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       804,600        806,489      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       115,455        115,726      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       1,195,185        1,197,990      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       356,070        356,906      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       251,119        251,708      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       1,060,575        1,063,064      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       428,106        429,111      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       361,903        362,752      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       533,569        534,821      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       1,506,774        1,510,310      Corporate Bonds      Open/Demand  

 

 

100  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

Barclays Capital, Inc.

     0.50 %(b)      07/15/21        Open     $ 794,719      $ 796,584      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       361,500        362,349      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       91,630        91,845      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       590,750        592,137      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       148,200        148,548      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       1,213,212        1,216,060      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       372,904        373,779      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       593,290        594,683      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       170,435        170,835      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/15/21        Open       308,360        309,084      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/15/21        Open       538,737        540,381      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.25 (b)      07/15/21        Open       701,602        702,426      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.45 (b)      07/16/21        Open       123,895        124,152      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     (0.25 )(b)      07/19/21        Open       177,500        177,297      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      07/19/21        Open       732,929        734,608      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/20/21        Open       407,731        408,939      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      07/20/21        Open       403,500        404,051      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      07/20/21        Open       378,525        379,042      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.30 (b)      07/20/21        Open       383,771        384,296      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.32 (b)      07/20/21        Open       355,144        355,661      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.32 (b)      07/20/21        Open       445,568        446,217      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.32 (b)      07/20/21        Open       380,545        381,100      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      07/20/21        Open       369,500        370,072      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      07/20/21        Open       361,015        361,574      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      07/20/21        Open       354,500        355,049      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/21/21        Open       329,906        330,877      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.31 (b)      07/22/21        Open       770,281        771,356      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.33 (b)      07/22/21        Open       208,979        209,289      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       3,225,000        3,231,531      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       1,020,487        1,022,554      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       655,362        656,690      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       1,552,500        1,555,644      Capital Trusts      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       302,750        303,363      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       3,757,500        3,765,109      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      07/22/21        Open       165,000        165,334      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       259,208        259,849      Foreign Agency Obligations      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       846,450        849,156      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       816,976        818,998      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       1,323,065        1,327,295      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       288,550        289,473      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       455,992        457,450      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       483,060        484,604      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      07/22/21        Open       501,760        503,364      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/22/21        Open       690,852        692,873      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/22/21        Open       908,710        911,368      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      07/22/21        Open       2,473,500        2,481,069      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      07/22/21        Open       714,202        716,388      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      07/22/21        Open       669,532        671,581      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      07/22/21        Open       337,661        338,694      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      07/22/21        Open       2,390,107        2,397,421      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/22/21        Open       428,408        429,950      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.80 (b)      07/22/21        Open       478,315        480,037      Corporate Bonds      Open/Demand  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  101


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

BNP Paribas S.A.

     0.80 %(b)      07/22/21        Open     $ 416,835      $ 418,336      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.90 (b)      07/22/21        Open       434,875        436,636      Corporate Bonds      Open/Demand  

Credit Suisse Securities (USA) LLC

     0.35 (b)      07/22/21        Open       280,500        280,942      Capital Trusts      Open/Demand  

Credit Suisse Securities (USA) LLC

     0.45 (b)      07/22/21        Open       94,946        95,138      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       542,355        543,331      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       210,313        210,691      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       642,366        643,522      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       1,023,390        1,025,232      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       149,425        149,694      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       256,883        257,345      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/22/21        Open       174,500        174,814      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      07/27/21        Open       795,600        797,855      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      07/27/21        Open       520,025        520,932      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      07/29/21        Open       297,745        298,553      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.25 (b)      07/29/21        Open       1,007,500        1,008,584      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       492,469        493,041      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       280,000        280,325      Foreign Agency Obligations      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       201,881        202,116      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       257,000        257,299      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       270,300        270,614      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       53,625        53,687      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       224,979        225,240      Foreign Agency Obligations      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.27 (b)      07/29/21        Open       202,250        202,485      Foreign Agency Obligations      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.32 (b)      07/29/21        Open       869,625        870,823      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      07/29/21        Open       411,075        411,748      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      07/29/21        Open       469,300        470,068      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      07/29/21        Open       496,524        497,336      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      07/29/21        Open       454,812        455,557      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.42 (b)      07/29/21        Open       329,133        329,728      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.42 (b)      07/29/21        Open       330,000        330,597      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.42 (b)      07/29/21        Open       339,300        339,914      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      08/02/21        Open       535,435        536,558      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      08/03/21        Open       957,362        959,357      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      08/03/21        Open       1,053,527        1,055,722      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      08/03/21        Open       779,135        780,921      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      08/03/21        Open       139,800        140,149      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      08/03/21        Open       245,890        246,238      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      08/04/21        Open       52,273        52,413      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.08 (b)      08/05/21        Open       1,657,125        1,657,616      U.S. Treasury Obligations      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      08/05/21        Open       363,248        363,759      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      08/06/21        Open       430,200        431,066      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.00 (b)      08/09/21        Open       2,475,000        2,475,169      U.S. Treasury Obligations      Open/Demand  

BNP Paribas S.A.

     0.00 (b)      08/09/21        Open       3,960,000        3,960,271      U.S. Treasury Obligations      Open/Demand  

 

 

102  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

BNP Paribas S.A.

     0.07 %(b)      08/09/21        Open     $ 2,962,500      $ 2,963,293      U.S. Treasury Obligations      Open/Demand  

BNP Paribas S.A.

     0.08 (b)      08/09/21        Open       8,140,000        8,142,510      U.S. Treasury Obligations      Open/Demand  

BNP Paribas S.A.

     0.50 (b)      08/09/21        Open       1,331,249        1,333,911      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      08/23/21        Open       472,777        473,724      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       394,460        395,001      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       382,470        382,995      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       405,433        405,989      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       413,950        414,518      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       418,016        418,590      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       396,880        397,425      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       383,760        384,287      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       426,073        426,657      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      08/23/21        Open       416,744        417,316      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      08/24/21        Open       499,082        499,691      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      08/24/21        Open       519,850        520,483      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.36 (b)      08/24/21        Open       535,655        536,346      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.36 (b)      08/24/21        Open       554,925        555,641      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.36 (b)      08/24/21        Open       521,879        522,552      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      08/24/21        Open       448,970        449,581      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      08/24/21        Open       411,720        412,281      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.40 (b)      08/24/21        Open       418,910        419,510      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      09/02/21        Open       64,879        64,999      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      09/10/21        Open       163,564        163,769      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      09/20/21        Open       560,062        561,094      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.28 (b)      09/20/21        Open       155,691        155,816      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      10/01/21        Open       499,525        499,945      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.38 (b)      10/01/21        Open       372,335        372,685      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      10/06/21        Open       682,200        683,272      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      10/12/21        Open       559,271        560,054      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      10/12/21        Open       1,137,544        1,139,187      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.38 (b)      10/15/21        Open       367,965        368,256      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.40 (b)      10/18/21        Open       219,055        219,235      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.40 (b)      10/18/21        Open       387,668        387,986      Foreign Agency Obligations      Open/Demand  

Barclays Capital, Inc.

     0.55 (b)      10/18/21        Open       324,594        324,961      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      10/22/21        Open       550,440        551,146      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      10/26/21        Open       985,455        985,997      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.45 (b)      10/26/21        Open       559,597        560,059      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      10/26/21        Open       1,883,612        1,885,339      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      10/26/21        Open       2,116,400        2,118,340      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      10/26/21        Open       618,540        619,107      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      10/26/21        Open       629,185        629,762      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.28 (b)      10/26/21        Open       1,517,231        1,518,022      Capital Trusts      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      10/26/21        Open       1,489,687        1,490,935      Capital Trusts      Open/Demand  

BNP Paribas S.A.

     0.50 (b)      10/26/21        Open       1,077,334        1,078,321      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      10/26/21        Open       166,598        166,766      Foreign Agency Obligations      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      10/26/21        Open       1,217,010        1,218,349      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      10/26/21        Open       778,172        779,071      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      10/27/21        Open       646,949        647,533      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      10/27/21        Open       420,135        420,628      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.11 (b)      10/28/21        Open       267,671        267,724      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.11 (b)      10/28/21        Open       2,210,625        2,211,057      Capital Trusts      Open/Demand  

BNP Paribas S.A.

     0.15 (b)      10/28/21        Open       317,538        317,622      Corporate Bonds      Open/Demand  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  103


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

BNP Paribas S.A.

     0.15 %(b)      10/28/21        Open     $ 164,050      $ 164,094      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.15 (b)      10/28/21        Open       286,440        286,516      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.15 (b)      10/28/21        Open       714,994        715,184      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.15 (b)      10/28/21        Open       206,438        206,493      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.15 (b)      10/28/21        Open       688,792        688,976      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/02/21        Open       498,995        499,404      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      11/02/21        Open       357,559        357,793      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.32 (b)      11/03/21        Open       333,994        334,166      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/05/21        Open       253,330        253,539      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      11/05/21        Open       169,125        169,226      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/09/21        Open       360,438        360,764      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.40 (b)      11/10/21        Open       224,175        224,300      Foreign Agency Obligations      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/10/21        Open       378,012        378,275      Foreign Agency Obligations      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/16/21        Open       175,840        175,950      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/16/21        Open       305,150        305,360      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/16/21        Open       549,915        550,293      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     (3.00 )(b)      11/17/21        Open       126,085        125,623      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      11/17/21        Open       533,925        534,317      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.36 (b)      11/17/21        Open       118,030        118,082      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      11/18/21        Open       143,003        143,054      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      11/18/21        Open       41,698        41,713      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      11/18/21        Open       239,401        239,487      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      11/18/21        Open       303,613        303,721      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      11/18/21        Open       89,700        89,732      Capital Trusts      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      11/18/21        Open       124,583        124,627      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.45 (b)      11/18/21        Open       52,938        52,966      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/18/21        Open       159,428        159,523      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/18/21        Open       308,438        308,622      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/18/21        Open       43,875        43,901      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/18/21        Open       42,033        42,058      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.15 (b)      11/18/21        Open       145,043        145,068      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/18/21        Open       1,331,250        1,332,031      Capital Trusts      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       696,525        696,983      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       676,175        676,619      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       1,371,150        1,372,051      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       719,562        720,035      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       5,675,712        5,679,441      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       513,527        513,865      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       775,250        775,759      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       1,663,125        1,664,218      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       849,862        850,421      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       535,469        535,821      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       274,525        274,705      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       325,713        325,926      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       832,387        832,934      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       952,545        953,171      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       310,000        310,204      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       507,210        507,543      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       439,138        439,426      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       640,510        640,931      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       279,169        279,352      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       545,125        545,483      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       444,780        445,072      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      11/18/21        Open       720,545        721,018      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      11/18/21        Open       449,213        449,534      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.60 (b)      11/18/21        Open       231,811        231,977      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       529,287        529,698      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       113,280        113,368      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       227,940        228,117      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       594,717        595,179      Corporate Bonds      Open/Demand  

 

 

104  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

BNP Paribas S.A.

     0.65 %(b)      11/18/21        Open     $ 410,835      $ 411,154      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       685,204        685,736      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       504,960        505,352      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       580,466        580,917      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       104,726        104,808      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       385,313        385,612      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       592,832        593,293      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       446,413        446,759      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      11/18/21        Open       598,125        598,589      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      11/18/21        Open       657,510        658,044      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.70 (b)      11/18/21        Open       287,351        287,592      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       452,655        452,839      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       419,580        419,750      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       528,240        528,455      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       618,395        618,646      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       377,495        377,648      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       719,887        720,180      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       433,501        433,677      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       507,026        507,232      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       411,014        411,181      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.34 (b)      11/18/21        Open       395,955        396,116      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/19/21        Open       537,460        537,759      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/19/21        Open       537,460        537,759      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       704,349        704,724      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       743,325        743,721      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       666,872        667,228      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       832,197        832,641      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       509,101        509,373      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       649,740        650,087      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       865,920        866,382      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.48 (b)      11/19/21        Open       577,112        577,420      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.50 (b)      11/19/21        Open       609,502        609,841      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      11/22/21        Open       588,627        588,946      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       1,172,736        1,173,241      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       1,509,941        1,510,591      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       1,072,750        1,073,212      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       885,905        886,286      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       916,382        916,777      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       818,380        818,732      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.50 (b)      12/01/21        Open       883,220        883,600      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.28 (b)      12/01/21        Open       2,802,887        2,803,563      Capital Trusts      Open/Demand  

BNP Paribas S.A.

     0.45 (b)      12/01/21        Open       867,500        867,836      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.55 (b)      12/01/21        Open       834,469        834,851      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.63 (b)      12/01/21        Open       429,293        429,518      Corporate Bonds      Open/Demand  

Credit Agricole Corporate and Investment Bank

     0.35 (b)      12/02/21        Open       581,594        581,764      Corporate Bonds      Open/Demand  

Barclays Capital, Inc.

     0.30 (b)      12/06/21        Open       499,796        499,901      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.68 (b)      12/14/21        Open       326,700        326,811      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     (0.60 )(b)      12/20/21        Open       123,370        123,347      Corporate Bonds      Open/Demand  

RBC Capital Markets LLC

     0.40 (b)      12/20/21        Open       783,035        783,131      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     (1.00 )(b)      12/21/21        Open       47,706        47,691      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/22/21        Open       592,969        593,065      Corporate Bonds      Open/Demand  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  105


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Reverse Repurchase Agreements (continued)

 

Counterparty     

Interest

Rate

 

 

   

Trade

Date

 

 

    

Maturity

Date

 

(a) 

    Face Value       

Face Value

Including

Accrued Interest

 

 

 

  

Type of Non-Cash Underlying

Collateral

    

Remaining
Contractual Maturity

of the Agreements


 

(a) 

Barclays Capital, Inc.

     0.50 %(b)      12/27/21        Open     $ 187,750      $ 187,760      Corporate Bonds      Open/Demand  

BNP Paribas S.A.

     0.65 (b)      12/29/21        Open       204,978        204,989      Corporate Bonds      Open/Demand  
         

 

 

    

 

 

       
          $   311,830,979      $ 312,355,865        
         

 

 

    

 

 

       

 

  (a) 

Certain agreements have no stated maturity and can be terminated by either party at any time.

 
  (b) 

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

         
Description    Number of
Contracts
     Expiration
Date
     Notional
Amount (000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts
10-Year U.S. Ultra Long Treasury Note

     171        03/22/22      $ 24,985       $ 251,278  

2-Year U.S. Treasury Note

     242        03/31/22        52,788        (61,272

5-Year U.S. Treasury Note

     26        03/31/22        3,143        (2,924
           

 

 

 
              187,082  
           

 

 

 

Short Contracts

           

Euro Bund

     1        03/08/22        195        2,834  

10-Year U.S. Treasury Note

     474        03/22/22        61,776        (506,174

U.S. Long Bond

     42        03/22/22        6,717        (44,513

Ultra U.S. Treasury Bond

     84        03/22/22        16,472        (69,269

90-Day Eurodollar

     37        12/16/24        9,090        28,672  
           

 

 

 
              (588,450
           

 

 

 
             $ (401,368
           

 

 

 

Forward Foreign Currency Exchange Contracts

 

             
Currency Purchased        Currency Sold      Counterparty          Settlement Date                     Unrealized
Appreciation
(Depreciation)
 

USD

     10,174          CAD        13,000      Morgan Stanley & Co. International PLC         03/16/22          $ (101

USD

     911,454          EUR        805,000      Morgan Stanley & Co. International PLC         03/16/22            (6,384

USD

     8,809,965          EUR        7,781,000      Morgan Stanley & Co. International PLC         03/16/22            (61,714

USD

     13,600          EUR        12,000      State Street Bank and Trust Co.         03/16/22            (82

USD

     1,279,677          GBP        965,000      JPMorgan Chase Bank N.A.         03/16/22            (26,102

USD

     1,790,222          GBP        1,350,000      JPMorgan Chase Bank N.A.         03/16/22            (36,516

USD

     3,437,225          GBP        2,592,000      JPMorgan Chase Bank N.A.         03/16/22            (70,110
                          

 

 

 
                           $ (201,009
                          

 

 

 

Exchange-Traded Options Purchased

 

           
Description    Number of
Contracts
     Expiration
Date
     Exercise Price      Notional
Amount (000)
     Value  

Call

              

10-Year U.S. Treasury Note Future

     47        01/21/22        USD    131.00        USD    6,132      $   16,156  
              

 

 

 

OTC Interest Rate Swaptions Purchased

 

 
    Paid by the Fund    Received by the Fund           Expiration      Exercise     Notional         
 

 

  

 

 

            
Description   Rate    Frequency            Rate      Frequency      Counterparty    Date      Rate     Amount (000)      Value  

 

 

Call

                           

5-Year Interest Rate Swap, 04/07/27

 

3-Month LIBOR, 0.21%

   Quarterly      1.53%        Semi-Annual     

JPMorgan Chase Bank N.A.

     04/05/22        1.53     USD        4,985      $   50,608  

 

 

106  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Interest Rate Swaptions Purchased (continued)

 

 
    Paid by the Fund       Received by the Fund             Expiration     Exercise           Notional        
Description   Rate     Frequency   Rate     Frequency     Counterparty   Date     Rate     Amount (000)     Value  

 

 

Call (continued)

                   

5-Year Interest Rate Swap, 04/10/27

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.39%       Semi-Annual    

Morgan Stanley & Co. International PLC

    04/08/22       1.39     USD       6,120     $    39,406  

5-Year Interest Rate Swap, 04/30/27

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.20%       Semi-Annual    

Bank of America N.A.

    04/28/22       1.20       USD       10,275       35,694  

30-Year Interest Rate Swap, 06/02/52

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.71%       Semi-Annual    

Bank of America N.A.

    05/31/22       1.71       USD       790       33,271  

5-Year Interest Rate Swap, 07/03/27

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.32%       Semi-Annual    

JPMorgan Chase Bank N.A.

    07/01/22       1.32       USD       8,200       52,659  

5-Year Interest Rate Swap, 08/05/27

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.54%       Semi-Annual    

Deutsche Bank AG

    08/03/22       1.54       USD       4,160       49,318  

10-Year Interest Rate Swap, 11/17/33

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.94%       Semi-Annual    

Bank of America N.A.

    11/15/23       1.94       USD       2,752       124,537  

10-Year Interest Rate Swap, 06/26/34

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.97%       Semi-Annual    

Goldman Sachs Bank USA

    06/24/24       1.97       USD       1,720       86,699  

10-Year Interest Rate Swap, 06/30/34

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     2.00%       Semi-Annual    

Goldman Sachs Bank USA

    06/28/24       2.00       USD       1,720       89,597  

10-Year Interest Rate Swap, 07/24/34

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.68%       Semi-Annual    

Goldman Sachs Bank USA

    07/22/24       1.68       USD       1,740       63,300  

10-Year Interest Rate Swap, 07/31/34

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.55%       Semi-Annual    

Bank of America N.A.

    07/29/24       1.55       USD       2,227       69,812  

10-Year Interest Rate Swap, 08/04/34

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.68%       Semi-Annual    

Wells Fargo Bank N.A.

    08/02/24       1.68       USD       33       1,194  

10-Year Interest Rate Swap, 08/09/35

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     0.91%       Semi-Annual    

Morgan Stanley & Co. International PLC

    08/07/25       0.91       USD       1,540       26,585  

10-Year Interest Rate Swap, 08/09/35

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     0.91%       Semi-Annual    

Morgan Stanley & Co. International PLC

    08/07/25       0.91       USD       1,028       17,738  

10-Year Interest Rate Swap, 04/09/36

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     2.60%       Semi-Annual    

Deutsche Bank AG

    04/07/26       2.60       USD       1,910       178,150  

10-Year Interest Rate Swap, 08/09/40

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     1.05%       Semi-Annual    

Morgan Stanley & Co. International PLC

    08/07/30       1.05       USD       1,130       35,164  

10-Year Interest Rate Swap, 08/09/50

   
3-Month
LIBOR, 0.21%
 
 
  Quarterly     0.91%       Semi-Annual    

Morgan Stanley & Co. International PLC

    08/07/40       0.91       USD       870       34,412  
                   

 

 

 
                      988,144  
                   

 

 

 

Put

                   

5-Year Interest Rate Swap, 01/21/27

    1.34%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

JPMorgan Chase Bank N.A.

    01/19/22       1.34       USD       3,370       15,091  

5-Year Interest Rate Swap, 04/07/27

    1.53%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

JPMorgan Chase Bank N.A.

    04/05/22       1.53       USD       4,985       30,501  

5-Year Interest Rate Swap, 04/10/27

    1.39%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Morgan Stanley & Co. International PLC

    04/08/22       1.39       USD       6,120       57,412  

30-Year Interest Rate Swap, 06/02/52

    1.71%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Bank of America N.A.

    05/31/22       1.71       USD       790       41,300  

5-Year Interest Rate Swap, 07/03/27

    1.32%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

JPMorgan Chase Bank N.A.

    07/01/22       1.32       USD       8,200       124,825  

5-Year Interest Rate Swap, 07/08/27

    1.45%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

JPMorgan Chase Bank N.A.

    07/06/22       1.45       USD       8,200       98,531  

5-Year Interest Rate Swap, 07/17/27

    1.25%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Bank of America N.A.

    07/15/22       1.25       USD       8,860       160,536  

5-Year Interest Rate Swap, 08/05/27

    1.54%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Deutsche Bank AG

    08/03/22       1.54       USD       4,160       46,314  

10-Year Interest Rate Swap, 11/17/33

    1.94%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Bank of America N.A.

    11/15/23       1.94       USD       2,752       85,114  

10-Year Interest Rate Swap, 06/26/34

    1.97%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Goldman Sachs Bank USA

    06/24/24       1.97       USD       1,720       60,411  

10-Year Interest Rate Swap, 06/30/34

    2.00%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Goldman Sachs Bank USA

    06/28/24       2.00       USD       1,720       58,723  

10-Year Interest Rate Swap, 07/24/34

    1.68%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Goldman Sachs Bank USA

    07/22/24       1.68       USD       1,740       83,600  

10-Year Interest Rate Swap, 08/04/34

    1.68%     Semi-Annual    
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Wells Fargo Bank N.A.

    08/02/24       1.68       USD       33       1,562  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  107


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Interest Rate Swaptions Purchased (continued)

 

 
    Paid by the Fund         Received by the Fund             Expiration     Exercise           Notional        
Description   Rate     Frequency     Rate     Frequency     Counterparty   Date     Rate     Amount (000)     Value  

 

 

Put (continued)

                   

10-Year Interest Rate Swap, 08/07/34

    1.80     Semi-Annual      
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Deutsche Bank AG

    08/05/24       1.80     USD       3,157     $ 135,024  

10-Year Interest Rate Swap, 08/09/35

    0.91     Semi-Annual      
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Morgan Stanley & Co. International PLC

    08/07/25       0.91       USD       1,028       102,504  

10-Year Interest Rate Swap, 08/09/35

    0.91     Semi-Annual      
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Morgan Stanley & Co. International PLC

    08/07/25       0.91       USD       1,540       153,631  

10-Year Interest Rate Swap, 04/09/36

    2.60     Semi-Annual      
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Deutsche Bank AG

    04/07/26       2.60       USD       1,910       53,249  

10-Year Interest Rate Swap, 08/09/40

    1.05     Semi-Annual      
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Morgan Stanley & Co. International PLC

    08/07/30       1.05       USD       1,130       119,377  

10-Year Interest Rate Swap, 08/09/50

    0.91     Semi-Annual      
3-Month
LIBOR, 0.21%
 
 
    Quarterly    

Morgan Stanley & Co. International PLC

    08/07/40       0.91       USD       870       82,775  
                   

 

 

 
                      1,510,480  
                   

 

 

 
                    $  2,498,624  
                   

 

 

 

Exchange-Traded Options Written

 

 
Description    Number of
Contracts
     Expiration
Date
     Exercise Price      Notional
Amount (000)
     Value  

 

 

Call

                    

10-Year U.S. Treasury Note Future

     47        01/21/22        USD        132.00        USD        6,132      $  (5,140
                    

 

 

 

OTC Interest Rate Swaptions Written

 

 

   

  

      Paid by the Fund      Received by the Fund           Expiration      Exercise    

Notional

            
    Description   Rate      Frequency      Rate      Frequency      Counterparty    Date      Rate     Amount (000)      Value       
 

 

   
 

Call

                             
 

2-Year Interest Rate Swap, 01/12/24

    0.51%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Morgan Stanley & Co. International PLC

     01/10/22        0.51     USD        27,570      $ (1  
 

10-Year Interest Rate Swap, 01/29/32

    1.00%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     01/27/22        1.00       USD        2,017        (58  
 

10-Year Interest Rate Swap, 01/29/32

    1.25%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Bank of America N.A.

     01/27/22        1.25       USD        1,845        (774  
 

10-Year Interest Rate Swap, 02/20/32

    1.62%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Bank of America N.A.

     02/18/22        1.62       USD        1,762        (20,224  
 

10-Year Interest Rate Swap, 03/03/32

    1.40%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     03/01/22        1.40       USD        1,870        (8,365  
 

2-Year Interest Rate Swap, 03/03/24

    0.51%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     03/01/22        0.51       USD        17,990        (1,428  
 

2-Year Interest Rate Swap, 03/05/24

    0.52%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Citibank N.A.

     03/03/22        0.52       USD        9,205        (812  
 

2-Year Interest Rate Swap, 03/23/24

    0.56%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     03/21/22        0.56       USD        9,205        (1,544  
 

2-Year Interest Rate Swap, 03/25/24

    0.57%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     03/23/22        0.57       USD        17,990        (3,222  
 

2-Year Interest Rate Swap, 04/03/24

    0.61%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

JPMorgan Chase Bank N.A.

     04/01/22        0.61       USD        24,880        (6,005  
 

5-Year Interest Rate Swap, 04/30/27

    0.90%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Bank of America N.A.

     04/28/22        0.90       USD        20,550        (20,128  
 

2-Year Interest Rate Swap, 05/05/24

    1.02%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     05/03/22        1.02       USD        12,470        (25,737  
 

10-Year Interest Rate Swap, 06/09/32

    1.40%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

JPMorgan Chase Bank N.A.

     06/07/22        1.40       USD        2,389        (22,542  
 

10-Year Interest Rate Swap, 08/10/32

    0.72%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     08/08/22        0.72       USD        795        (1,344  
 

10-Year Interest Rate Swap, 09/03/32

    1.53%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Morgan Stanley & Co. International PLC

     09/01/22        1.53       USD        3,742        (61,333  
 

10-Year Interest Rate Swap, 10/09/32

    1.80%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     10/07/22        1.80       USD        2,515        (76,154  

 

 

108  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Interest Rate Swaptions Written (continued)

 

 

   

  

      Paid by the Fund      Received by the Fund           Expiration      Exercise    

Notional

             
    Description   Rate      Frequency      Rate      Frequency      Counterparty    Date      Rate     Amount (000)      Value      
 

 

   
 

Call (continued)

                             
 

10-Year Interest Rate Swap, 10/13/32

    1.06%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     10/11/22        1.06     USD        1,406      $ (8,180  
 

10-Year Interest Rate Swap, 10/15/32

    1.80%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     10/13/22        1.80       USD        1,258        (37,889  
 

2-Year Interest Rate Swap, 10/27/24

    1.24%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Morgan Stanley & Co. International PLC

     10/25/22        1.24       USD        11,880        (43,443  
 

2-Year Interest Rate Swap, 10/27/24

    1.24%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Morgan Stanley & Co. International PLC

     10/25/22        1.24       USD        7,920        (28,789  
 

2-Year Interest Rate Swap, 11/06/24

    1.25%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Morgan Stanley & Co. International PLC

     11/04/22        1.25       USD        3,915        (14,630  
 

10-Year Interest Rate Swap, 11/17/32

    1.85%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Bank of America N.A.

     11/15/22        1.85       USD        3,825        (129,036  
 

10-Year Interest Rate Swap, 12/07/32

    1.45%        Semi-Annual       
1-Day SOFR,
0.05%
 
 
     Quarterly     

JPMorgan Chase Bank N.A.

     12/05/22        1.45       USD        484        (12,855  
 

10-Year Interest Rate Swap, 12/15/32

    1.43%        Semi-Annual       
1-Day SOFR,
0.05%
 
 
     Quarterly     

Morgan Stanley & Co. International PLC

     12/13/22        1.43       USD        3,013        (78,047  
 

10-Year Interest Rate Swap, 12/17/32

    1.42%        Semi-Annual       
1-Day SOFR,
0.05%
 
 
     Quarterly     

JPMorgan Chase Bank N.A.

     12/15/22        1.42       USD        3,012        (76,412  
 

10-Year Interest Rate Swap, 12/18/32

    1.23%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Goldman Sachs Bank USA

     12/16/22        1.23       USD        1,743        (17,741  
 

10-Year Interest Rate Swap, 12/18/32

    1.25%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Goldman Sachs Bank USA

     12/16/22        1.25       USD        1,743        (18,245  
 

10-Year Interest Rate Swap, 01/01/33

    1.25%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Citibank N.A.

     12/30/22        1.25       USD        1,930        (21,134  
 

10-Year Interest Rate Swap, 01/11/33

    1.44%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Barclays Bank PLC

     01/09/23        1.44       USD        2,640        (43,433  
 

10-Year Interest Rate Swap, 03/03/33

    2.01%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Bank of America N.A.

     03/01/23        2.01       USD        2,740        (123,820  
 

30-Year Interest Rate Swap, 09/19/54

    1.85%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Deutsche Bank AG

     09/17/24        1.85       USD        1,170        (132,282  
 

30-Year Interest Rate Swap, 10/02/54

    2.00%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

Barclays Bank PLC

     09/30/24        2.00       USD        320        (42,831  
 

30-Year Interest Rate Swap, 10/21/56

    1.98%        Semi-Annual       
3-Month
LIBOR, 0.21%
 
 
     Quarterly     

JPMorgan Chase Bank N.A.

     10/19/26        1.98       USD        350        (53,272  
 

30-Year Interest Rate Swap, 12/04/56

    1.36%        Semi-Annual       
1-Day SOFR,
0.05%
 
 
     Quarterly     

Goldman Sachs Bank USA

     12/02/26        1.36       USD        340        (36,723  
                             

 

 

   
                                (1,168,433  
                             

 

 

   
 

Put

                             
 

2-Year Interest Rate Swap, 01/12/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.51%        Semi-Annual     

Morgan Stanley & Co. International PLC

     01/10/22        0.51       USD        27,570        (242,275  
 

2-Year Interest Rate Swap, 01/21/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.50%        Semi-Annual     

Deutsche Bank AG

     01/19/22        0.50       USD        7,070        (65,954  
 

10-Year Interest Rate Swap, 01/29/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.25%        Semi-Annual     

Bank of America N.A.

     01/27/22        1.25       USD        1,845        (60,017  
 

10-Year Interest Rate Swap, 01/29/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.50%        Semi-Annual     

Deutsche Bank AG

     01/27/22        1.50       USD        2,017        (25,305  
 

10-Year Interest Rate Swap, 02/09/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.60%        Semi-Annual     

Deutsche Bank AG

     02/07/22        1.60       USD        2,625        (23,408  
 

10-Year Interest Rate Swap, 02/20/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.62%        Semi-Annual     

Bank of America N.A.

     02/18/22        1.62       USD        1,762        (17,045  
 

2-Year Interest Rate Swap, 02/27/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.75%        Semi-Annual     

Deutsche Bank AG

     02/25/22        0.75       USD        40,050        (250,965  
 

10-Year Interest Rate Swap, 03/03/32

   
1-Day SOFR,
0.05%
 
 
     Quarterly        1.57%        Semi-Annual     

Deutsche Bank AG

     03/01/22        1.57       USD        2,280        (11,034  
 

2-Year Interest Rate Swap, 03/03/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.51%        Semi-Annual     

Deutsche Bank AG

     03/01/22        0.51       USD        17,990        (195,300  
 

2-Year Interest Rate Swap, 03/05/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.52%        Semi-Annual     

Citibank N.A.

     03/03/22        0.52       USD        9,205        (99,193  
 

2-Year Interest Rate Swap, 03/23/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.56%        Semi-Annual     

Deutsche Bank AG

     03/21/22        0.56       USD        9,205        (98,032  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  109


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Interest Rate Swaptions Written (continued)

 

 

   

  

      Paid by the Fund      Received by the Fund           Expiration      Exercise     Notional            
    Description   Rate      Frequency      Rate      Frequency      Counterparty    Date      Rate     Amount (000)     Value       
 

 

   
 

Put (continued)

                            
 

2-Year Interest Rate Swap, 03/25/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.57%        Semi-Annual     

Deutsche Bank AG

     03/23/22        0.57     USD        17,990     $ (190,172  
 

2-Year Interest Rate Swap, 04/03/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.61%        Semi-Annual     

JPMorgan Chase Bank N.A.

     04/01/22        0.61       USD        24,880       (255,992  
 

2-Year Interest Rate Swap, 04/08/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.74%        Semi-Annual     

JPMorgan Chase Bank N.A.

     04/06/22        0.74       USD        14,870       (119,719  
 

2-Year Interest Rate Swap, 05/05/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.02%        Semi-Annual     

Deutsche Bank AG

     05/03/22        1.02       USD        12,470       (62,567  
 

10-Year Interest Rate Swap, 06/09/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        2.40%        Semi-Annual     

JPMorgan Chase Bank N.A.

     06/07/22        2.40       USD        2,389       (6,942  
 

10-Year Interest Rate Swap, 08/10/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        0.72%        Semi-Annual     

Deutsche Bank AG

     08/08/22        0.72       USD        795       (72,411  
 

10-Year Interest Rate Swap, 09/03/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.53%        Semi-Annual     

Morgan Stanley & Co. International PLC

     09/01/22        1.53       USD        3,742       (117,012  
 

10-Year Interest Rate Swap, 10/09/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.80%        Semi-Annual     

Deutsche Bank AG

     10/07/22        1.80       USD        2,515       (52,012  
 

10-Year Interest Rate Swap, 10/13/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.06%        Semi-Annual     

Deutsche Bank AG

     10/11/22        1.06       USD        1,406       (91,023  
 

10-Year Interest Rate Swap, 10/15/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.80%        Semi-Annual     

Deutsche Bank AG

     10/13/22        1.80       USD        1,258       (26,638  
 

2-Year Interest Rate Swap, 10/27/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.24%        Semi-Annual     

Morgan Stanley & Co. International PLC

     10/25/22        1.24       USD        11,880       (86,055  
 

2-Year Interest Rate Swap, 10/27/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.24%        Semi-Annual     

Morgan Stanley & Co. International PLC

     10/25/22        1.24       USD        7,920       (57,588  
 

2-Year Interest Rate Swap, 11/04/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.48%        Semi-Annual     

JPMorgan Chase Bank N.A.

     11/02/22        1.48       USD        5,380       (27,588  
 

2-Year Interest Rate Swap, 11/06/24

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.25%        Semi-Annual     

Morgan Stanley & Co. International PLC

     11/04/22        1.25       USD        3,915       (28,722  
 

10-Year Interest Rate Swap, 11/17/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.85%        Semi-Annual     

Bank of America N.A.

     11/15/22        1.85       USD        3,825       (79,741  
 

10-Year Interest Rate Swap, 12/07/32

   
1-Day SOFR,
0.05%
 
 
     Quarterly        1.45%        Semi-Annual     

JPMorgan Chase Bank N.A.

     12/05/22        1.45       USD        484       (13,313  
 

10-Year Interest Rate Swap, 12/15/32

   
1-Day SOFR,
0.05%
 
 
     Quarterly        1.43%        Semi-Annual     

Morgan Stanley & Co. International PLC

     12/13/22        1.43       USD        3,013       (86,401  
 

10-Year Interest Rate Swap, 12/17/32

   
1-Day SOFR,
0.05%
 
 
     Quarterly        1.42%        Semi-Annual     

JPMorgan Chase Bank N.A.

     12/15/22        1.42       USD        3,012       (88,241  
 

10-Year Interest Rate Swap, 12/18/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.23%        Semi-Annual     

Goldman Sachs Bank USA

     12/16/22        1.23       USD        1,743       (96,306  
 

10-Year Interest Rate Swap, 12/18/32

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.25%        Semi-Annual     

Goldman Sachs Bank USA

     12/16/22        1.25       USD        1,743       (94,790  
 

10-Year Interest Rate Swap, 01/01/33

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.25%        Semi-Annual     

Citibank N.A.

     12/30/22        1.25       USD        1,930       (104,982  
 

10-Year Interest Rate Swap, 01/11/33

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.44%        Semi-Annual     

Barclays Bank PLC

     01/09/23        1.44       USD        2,640       (113,566  
 

10-Year Interest Rate Swap, 03/03/33

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        2.01%        Semi-Annual     

Bank of America N.A.

     03/01/23        2.01       USD        2,740       (54,764  
 

10-Year Interest Rate Swap, 05/17/33

   

6-Month
EURIBOR,
(0.55%)
 
 
 
     Semi-Annual        0.70%        Annual     

Barclays Bank PLC

     05/15/23        0.70       EUR        3,270       (78,753  
 

30-Year Interest Rate Swap, 09/19/54

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.85%        Semi-Annual     

Deutsche Bank AG

     09/17/24        1.85       USD        1,170       (110,512  
 

30-Year Interest Rate Swap, 10/02/54

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        2.00%        Semi-Annual     

Barclays Bank PLC

     09/30/24        2.00       USD        320       (25,549  
 

30-Year Interest Rate Swap, 10/21/56

   
3-Month
LIBOR, 0.21%
 
 
     Quarterly        1.98%        Semi-Annual     

JPMorgan Chase Bank N.A.

     10/19/26        1.98       USD        350       (35,252  
 

30-Year Interest Rate Swap, 12/04/56

   
1-Day SOFR,
0.05%
 
 
     Quarterly        1.36%        Semi-Annual     

Goldman Sachs Bank USA

     12/02/26        1.36       USD        340       (48,340  
                            

 

 

   
                               (3,313,479  
                            

 

 

   
                             $  (4,481,912)    
                            

 

 

   

 

 

110  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Centrally Cleared Credit Default Swaps — Buy Protection

 

 
Reference Obligation/Index    Financing
Rate Paid
by the Fund
     Payment
Frequency
     Termination
Date
     Notional
Amount (000)
     Value      Upfront
Premium
Paid
(Received)
     Unrealized
Appreciation
(Depreciation)
 

 

 

CDX.NA.HY.37.V1

     5.00      Quarterly        12/20/26        USD     8,410      $ (790,350    $ (734,770    $ (55,580

CDX.NA.IG.37.V1

     1.00        Quarterly        12/20/26        USD   34,870        (864,967      (782,446      (82,521
              

 

 

    

 

 

    

 

 

 
               $  (1,655,317)      $  (1,517,216)      $ (138,101
              

 

 

    

 

 

    

 

 

 

Centrally Cleared Interest Rate Swaps

 

 

        Paid by the Fund        

  

        Received by the Fund         

   Effective     Termination      Notional            Upfront
Premium
Paid
    Unrealized
Appreciation
 
Rate   Frequency    Rate    Frequency    Date     Date      Amount (000)      Value     (Received)     (Depreciation)  

 

 

3-Month LIBOR, 0.21%

  Quarterly    0.50%    Semi-Annual      N/A       12/08/23        USD        10,280      $ (77,952   $ 44     $ (77,996

3-Month LIBOR, 0.21%

  Quarterly    0.34%    Semi-Annual      N/A       12/13/23        USD        60        (659           (659

3-Month LIBOR, 0.21%

  Quarterly    0.45%    Semi-Annual      N/A       12/14/23        USD        10,211        (90,076     44       (90,120

3-Month LIBOR, 0.21%

  Quarterly    1.00%    Semi-Annual      04/05/22 (a)      12/31/23        USD        18,730        (11,425     (777     (10,648

0.56%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      03/24/22 (a)      03/24/24        USD        3,460        36,306       15       36,291  

0.61%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      03/28/22 (a)      03/28/24        USD        7,710        74,909       34       74,875  

0.64%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      03/29/22 (a)      03/29/24        USD        6,590        59,991       29       59,962  

0.62%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      03/31/22 (a)      03/31/24        USD        3,640        34,407       16       34,391  

0.63%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      03/31/22 (a)      03/31/24        USD        3,270        30,441       14       30,427  

1.10%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/04/22 (a)      04/04/24        USD        1,115        318       5       313  

0.64%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/08/22 (a)      04/08/24        USD        11,030        104,661       49       104,612  

0.65%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/11/22 (a)      04/11/24        USD        6,040        56,823       27       56,796  

0.68%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/12/22 (a)      04/12/24        USD        9,570        85,064       43       85,021  

0.69%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/12/22 (a)      04/12/24        USD        6,060        52,437       27       52,410  

0.73%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/14/22 (a)      04/14/24        USD        6,730        53,753       30       53,723  

0.79%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/14/22 (a)      04/14/24        USD        6,030        40,868       27       40,841  

0.80%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/14/22 (a)      04/14/24        USD        6,030        39,826       27       39,799  

0.76%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/19/22 (a)      04/19/24        USD        4,430        33,117       20       33,097  

0.76%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/19/22 (a)      04/19/24        USD        4,430        33,015       20       32,995  

0.92%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/20/22 (a)      04/20/24        USD        1,375        6,083       6       6,077  

0.91%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/25/22 (a)      04/25/24        USD        6,040        28,243       27       28,216  

0.93%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/25/22 (a)      04/25/24        USD        3,020        13,133       13       13,120  

0.94%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/25/22 (a)      04/25/24        USD        6,040        24,413       27       24,386  

0.98%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/26/22 (a)      04/26/24        USD        3,020        10,497       13       10,484  

0.99%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/26/22 (a)      04/26/24        USD        3,020        9,911       13       9,898  

0.99%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/26/22 (a)      04/26/24        USD        3,020        9,418       13       9,405  

1.00%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/29/22 (a)      04/29/24        USD        3,020        9,456       13       9,443  

1.01%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      05/03/22 (a)      05/03/24        USD        9,045        27,964       40       27,924  

1.02%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      05/03/22 (a)      05/03/24        USD        9,045        26,084       40       26,044  

1.05%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      05/12/22 (a)      05/12/24        USD        6,010        15,104       27       15,077  

1.06%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      05/12/22 (a)      05/12/24        USD        3,005        7,207       13       7,194  

1.07%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      05/12/22 (a)      05/12/24        USD        3,005        6,284       13       6,271  

1.11%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      05/16/22 (a)      05/16/24        USD        7,790        11,505       35       11,470  

1.22%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      06/07/22 (a)      06/07/24        USD        2,975        (86     13       (99

1.25%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      06/07/22 (a)      06/07/24        USD        2,975        (1,733     13       (1,746

1.01%

  Annual    1-Day SOFR, 0.05%    Annual      06/09/22 (a)      06/09/24        USD        2,970        (1,180     13       (1,193

1.27%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      06/17/22 (a)      06/17/24        USD        2,235        (1,405     10       (1,415

1.28%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      06/17/22 (a)      06/17/24        USD        2,235        (1,648     10       (1,658

0.73%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      06/21/22 (a)      06/21/24        USD        4,910        50,078       22       50,056  

3-Month LIBOR, 0.21%

  Quarterly    1.17%    Semi-Annual      06/21/22 (a)      06/21/24        USD        1,120        (1,660     5       (1,665

3-Month LIBOR, 0.21%

  Quarterly    1.18%    Semi-Annual      06/21/22 (a)      06/21/24        USD        1,120        (1,451     5       (1,456

0.74%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      08/12/22 (a)      08/12/24        USD        7,960        91,011       35       90,976  

0.78%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      08/15/22 (a)      08/15/24        USD        4,595        49,360       20       49,340  

1.46%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/05/22 (a)      05/31/26        USD        6,680        (17,334     (341     (16,993

3-Month LIBOR, 0.21%

  Quarterly    0.93%    Semi-Annual      N/A       09/17/26        USD        4,910        (81,368     42       (81,410

1.33%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      N/A       11/23/26        USD        730        77       7       70  

1.02%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/02/26        USD        2,300        8,916       21       8,895  

1.08%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/03/26        USD        1,140        972       10       962  

1.08%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/03/26        USD        1,430        1,502       13       1,489  

1.08%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/03/26        USD        1,140        859       10       849  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  111


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Centrally Cleared Interest Rate Swaps (continued)

 

 

        Paid by the Fund        

  

        Received by the Fund        

   Effective     Termination     

Notional

           Upfront
Premium
Paid
    Unrealized
Appreciation
 
Rate   Frequency    Rate    Frequency    Date     Date      Amount (000)      Value     (Received)     (Depreciation)  

 

 

1.04%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/06/26        USD        1,430      $ 4,366     $ 13     $ 4,353  

1-Day SOFR, 0.05%

  Annual    1.07%    Annual      N/A       12/15/26        USD        870        (1,444     8       (1,452

1.03%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/20/26        USD        860        3,427       8       3,419  

1.09%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/23/26        USD        860        881       8       873  

1.35%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      01/10/22 (a)      01/10/27        USD        1,410        1,772       13       1,759  

1.43%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      01/10/22 (a)      01/10/27        USD        1,480        (3,548     14       (3,562

1.40%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      01/12/22 (a)      01/12/27        USD        2,230        (2,479     21       (2,500

3-Month LIBOR, 0.21%

  Quarterly    1.41%    Semi-Annual      01/20/22 (a)      01/20/27        USD        2,250        2,320       21       2,299  

3-Month LIBOR, 0.21%

  Quarterly    1.43%    Semi-Annual      01/20/22 (a)      01/20/27        USD        2,250        5,058       21       5,037  

3-Month LIBOR, 0.21%

  Quarterly    1.45%    Semi-Annual      01/20/22 (a)      01/20/27        USD        2,250        6,701       21       6,680  

3-Month LIBOR, 0.21%

  Quarterly    1.34%    Semi-Annual      01/21/22 (a)      01/21/27        USD        2,250        (5,457     21       (5,478

3-Month LIBOR, 0.21%

  Quarterly    1.54%    Semi-Annual      02/24/22 (a)      02/24/27        USD        2,450        14,511       23       14,488  

3-Month LIBOR, 0.21%

  Quarterly    1.56%    Semi-Annual      02/25/22 (a)      02/25/27        USD        2,460        17,572       23       17,549  

1.17%

  Annual    1-Day SOFR, 0.05%    Annual      03/09/22 (a)      03/09/27        USD        2,430        636       23       613  

3-Month LIBOR, 0.21%

  Quarterly    1.28%    Semi-Annual      03/31/22 (a)      03/31/27        USD        160        (1,295     1       (1,296

1.45%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      04/12/22 (a)      04/12/27        USD        2,460        817       23       794  

3-Month LIBOR, 0.21%

  Quarterly    1.63%    Semi-Annual      05/26/22 (a)      05/26/27        USD        4,920        35,624       46       35,578  

3-Month LIBOR, 0.21%

  Quarterly    1.63%    Semi-Annual      05/26/22 (a)      05/26/27        USD        1,230        8,638       11       8,627  

1-Day SOFR, 0.05%

  Annual    1.23%    Annual      06/14/22 (a)      06/14/27        USD        610        (234     6       (240

1.24%

  Annual    1-Day SOFR, 0.05%    Annual      06/29/22 (a)      06/29/27        USD        455        180       4       176  

1.25%

  Annual    1-Day SOFR, 0.05%    Annual      06/29/22 (a)      06/29/27        USD        455        2       4       (2

1-Day SOFR, 0.05%

  Annual    1.25%    Annual      07/05/22 (a)      07/05/27        USD        910        (183     8       (191

3-Month LIBOR, 0.21%

  Quarterly    1.35%    Semi-Annual      07/08/22 (a)      07/08/27        USD        4,600        (36,591     43       (36,634

3-Month LIBOR, 0.21%

  Quarterly    1.19%    Semi-Annual      07/19/22 (a)      07/19/27        USD        1,920        (30,766     18       (30,784

3-Month LIBOR, 0.21%

  Quarterly    1.58%    Semi-Annual      07/27/22 (a)      07/27/27        USD        830        2,056       8       2,048  

1-Day SOFR, 0.05%

  Annual    1.30%    Annual      07/28/22 (a)      07/28/27        USD        540        877       5       872  

3-Month LIBOR, 0.21%

  Quarterly    1.48%    Semi-Annual      08/01/22 (a)      08/01/27        USD        3,710        (8,443     34       (8,477

3-Month LIBOR, 0.21%

  Quarterly    1.49%    Semi-Annual      08/01/22 (a)      08/01/27        USD        3,710        (6,648     34       (6,682

1.24%

  Annual    1-Day SOFR, 0.05%    Annual      11/15/22 (a)      11/15/27        USD        1,540        5,393       14       5,379  

3-Month LIBOR, 0.21%

  Quarterly    1.68%    Semi-Annual      11/21/22 (a)      11/21/27        USD        1,560        6,433       14       6,419  

1.27%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      N/A       02/15/28        USD        930        4,465       11       4,454  

1-Day SOFR, 0.05%

  Annual    1.20%    Annual      03/31/22 (a)      11/15/28        USD        1,220        (4,578     16       (4,594

1-Day SOFR, 0.05%

  Annual    1.21%    Annual      03/31/22 (a)      11/15/28        USD        2,680        (7,710     35       (7,745

1.36%

  Annual    1-Day SOFR, 0.05%    Annual      03/31/22 (a)      11/15/28        USD        11,130        (72,233     (10,405     (61,828

3-Month LIBOR, 0.21%

  Quarterly    1.57%    Semi-Annual      N/A       02/11/30        USD        5        47       173       (126

1-Day SOFR, 0.05%

  Annual    1.25%    Annual      03/31/22 (a)      08/15/31        USD        860        (6,567     14       (6,581

1.29%

  Annual    1-Day SOFR, 0.05%    Annual      03/31/22 (a)      08/15/31        USD        430        2,038       7       2,031  

1-Day SOFR, 0.05%

  Annual    1.46%    Annual      03/31/22 (a)      08/15/31        USD        3,900        41,905       10,706       31,199  

1.52%

  Annual    1-Day SOFR, 0.05%    Annual      03/31/22 (a)      08/15/31        USD        1,990        (32,016     32       (32,048

1.43%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      N/A       09/21/31        USD        1,870        18,079       29       18,050  

1.39%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      N/A       09/22/31        USD        1,870        24,851       29       24,822  

1.52%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      N/A       09/24/31        USD        4,050        4,569       63       4,506  

1.40%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       10/13/31        USD        790        (9,089     13       (9,102

1.78%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly      N/A       10/18/31        USD        2,150        (46,158     34       (46,192

1.38%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       10/20/31        USD        1,630        (15,082     26       (15,108

1.45%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       10/25/31        USD        350        (5,396     6       (5,402

1.42%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/18/31        USD        370        (4,477     6       (4,483

1.45%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/19/31        USD        790        (11,636     13       (11,649

1.40%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/22/31        USD        700        (6,836     11       (6,847

1.43%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/22/31        USD        780        (9,875     13       (9,888

1.42%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/24/31        USD        620        (7,190     10       (7,200

1.44%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/24/31        USD        620        (8,431     10       (8,441

1.48%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       11/26/31        USD        1,780        (29,988     29       (30,017

1-Day SOFR, 0.05%

  Annual    1.32%    Annual      N/A       11/30/31        USD        1,160        1,456       19       1,437  

1-Day SOFR, 0.05%

  Annual    1.27%    Annual      N/A       12/02/31        USD        615        (1,664     10       (1,674

1-Day SOFR, 0.05%

  Annual    1.28%    Annual      N/A       12/02/31        USD        615        (1,635     10       (1,645

1-Day SOFR, 0.05%

  Annual    1.28%    Annual      N/A       12/02/31        USD        615        (1,547     10       (1,557

1-Day SOFR, 0.05%

  Annual    1.30%    Annual      N/A       12/02/31        USD        615        (316     10       (326

1.28%

  Annual    1-Day SOFR, 0.05%    Annual      N/A       12/03/31        USD        760        1,835       12       1,823  

1-Day SOFR, 0.05%

  Annual    1.31%    Annual      N/A       12/03/31        USD        500        293       8       285  

1-Day SOFR, 0.05%

  Annual    1.26%    Annual      N/A       12/06/31        USD        860        (3,596     14       (3,610

 

 

112  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Centrally Cleared Interest Rate Swaps (continued)

 

 

 

        Paid by the Fund        

  

        Received by the Fund        

   Effective    Termination     

Notional

           

Upfront

Premium

Paid

   

Unrealized

Appreciation

 
Rate   Frequency    Rate    Frequency    Date    Date      Amount (000)      Value      (Received)     (Depreciation)  

1-Day SOFR, 0.05%

  Annual    1.19%    Annual    N/A      12/07/31        USD        403        $ (4,578)      $ 7     $ (4,585

1-Day SOFR, 0.05%

  Annual    1.24%    Annual    N/A      12/07/31        USD        1,220        (7,816)        20       (7,836

1-Day SOFR, 0.05%

  Annual    1.31%    Annual    N/A      12/13/31        USD        620        (61)        10       (71

1-Day SOFR, 0.05%

  Annual    1.27%    Annual    N/A      12/16/31        USD        460        (1,652)        7       (1,659

1.27%

  Annual    1-Day SOFR, 0.05%    Annual    N/A      12/17/31        USD        790        3,322        13       3,309  

1-Day SOFR, 0.05%

  Annual    1.28%    Annual    N/A      12/17/31        USD        1,390        (3,330)        22       (3,352

1-Day SOFR, 0.05%

  Annual    1.24%    Annual    N/A      12/20/31        USD        230        (1,582)        4       (1,586

1-Day SOFR, 0.05%

  Annual    1.25%    Annual    N/A      12/20/31        USD        230        (1,406)        4       (1,410

1-Day SOFR, 0.05%

  Annual    1.20%    Annual    N/A      12/21/31        USD        510        (5,612)        8       (5,620

1-Day SOFR, 0.05%

  Annual    1.21%    Annual    N/A      12/21/31        USD        460        (4,536)        7       (4,543

1-Day SOFR, 0.05%

  Annual    1.19%    Annual    N/A      12/22/31        USD        230        (2,637)        4       (2,641

1.31%

  Annual    1-Day SOFR, 0.05%    Annual    N/A      12/28/31        USD        460        54        7       47  

1.36%

  Annual    1-Day SOFR, 0.05%    Annual    N/A      12/31/31        USD        230        (897)        4       (901

1.37%

  Annual    1-Day SOFR, 0.05%    Annual    N/A      12/31/31        USD        228        (1,096)        4       (1,100

1.35%

  Annual    1-Day SOFR, 0.05%    Annual    N/A      01/03/32        USD        231        (766)        4       (770

1.31%

  Annual    1-Day SOFR, 0.05%    Annual    N/A      01/04/32        USD        231        176        4       172  

1.31%

  Annual    1-Day SOFR, 0.05%    Annual    01/26/22(a)      01/26/32        USD        540        969        9       960  

3-Month LIBOR, 0.21%

  Quarterly    1.78%    Semi-Annual    01/26/22(a)      01/26/32        USD        500        8,262        8       8,254  

1.61%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly    03/28/22(a)      03/28/32        USD        9,300        17,196        149       17,047  

1.66%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly    04/25/22(a)      04/25/32        USD        9,020        (12,140)        146       (12,286

0.83%

  Semi-Annual    3-Month LIBOR, 0.21%    Quarterly    08/15/22(a)      08/15/32        USD        910        72,854        5,501       67,353  

0.44%

  Annual    6-Month EURIBOR, (0.55%)    Semi-Annual    05/16/23(a)      05/16/33        EUR        915        3,662        20       3,642  

3-Month LIBOR, 0.21%

  Quarterly    1.67%    Semi-Annual    08/06/24(a)      08/06/34        USD        1,680        (22,331)        27       (22,358

1-Day SOFR, 0.05%

  Annual    1.36%    Annual    03/31/22(a)      05/15/47        USD        1,740        (49,934)        49       (49,983

1-Day SOFR, 0.05%

  Annual    1.43%    Annual    03/31/22(a)      05/15/47        USD        340        (5,185)        10       (5,195

1.47%

  Annual    1-Day SOFR, 0.05%    Annual    03/31/22(a)      05/15/47        USD        850        4,479        24       4,455  

1.64%

  Annual    1-Day SOFR, 0.05%    Annual    03/31/22(a)      05/15/47        USD        3,640        (109,911)        (24,429     (85,482

3-Month LIBOR, 0.21%

  Quarterly    0.99%    Semi-Annual    N/A      08/21/50        USD        155        (26,630)        5       (26,635

3-Month LIBOR, 0.21%

  Quarterly    1.00%    Semi-Annual    N/A      08/21/50        USD        155        (26,244)        5       (26,249

3-Month LIBOR, 0.21%

  Quarterly    1.93%    Semi-Annual    N/A      10/22/51        USD        2,500        127,274        78       127,196  

1-Day SOFR, 0.05%

  Annual    1.39%    Annual    N/A      12/15/51        USD        180        (3,033)        6       (3,039
                      

 

 

    

 

 

   

 

 

 
                       $ 636,601      $ (16,883   $ 653,484  
                      

 

 

    

 

 

   

 

 

 

 

  (a) 

Forward Swap.

 

OTC Credit Default Swaps — Sell Protection

 

 

 

 

 

    Reference Obligation/Index    

Financing
Rate Received
by the Fund
 
 
 
   
Payment
Frequency
 
 
   Counterparty     
Termination
Date
 
 
    
Credit
Rating
 
(a) 
 

Notional     

Amount (000)(b)  

  Value     


Upfront
Premium
Paid
(Received)
 
 

 
   

Unrealized
Appreciation
(Depreciation)
 

 
 
   

 

 

    

 

Broadcom, Inc.

    1.00     Quarterly      Citibank N.A.      06/20/24        BBB-     USD    1,185       $19,423    $ (45,585   $ 65,008      
   

Adler Real Estate AG

    5.00       Quarterly      Morgan Stanley & Co. International PLC      12/20/25        N/R     EUR    10       (274)      1,375       (1,649  
   

Virgin Media Finance PLC

    5.00       Quarterly      JPMorgan Chase Bank N.A.      12/20/25        B     EUR    10       1,321      1,063       258    
   

Adler Real Estate AG

    5.00       Quarterly      JPMorgan Chase Bank N.A.      06/20/26        N/R     EUR    10       (223)      928       (1,151  
   

Adler Real Estate AG

    5.00       Quarterly      JPMorgan Chase Bank N.A.      06/20/26        N/R     EUR    10       (223)      1,043       (1,266  
   

Trust Fibrauno

    1.00       Quarterly      Citibank N.A.      06/20/26        N/R     USD    325       (21,102)      (32,397     11,295    
   

Trust Fibrauno

    1.00       Quarterly      Citibank N.A.      06/20/26        N/R     USD    91       (5,908)      (9,089     3,181    
   

Adler Real Estate AG

    5.00       Quarterly      JPMorgan Chase Bank N.A.      12/20/26        BB-     EUR    10       (173)      0       (173  
   

CMBX.NA.8

    3.00       Monthly      Barclays Bank PLC      10/17/57        N/R     USD    5,000       (676,845)      (487,295     (189,550  
   

CMBX.NA.8

    3.00       Monthly      Credit Suisse International      10/17/57        N/R     USD    2,500       (338,423)      (241,071     (97,352  
   

CMBX.NA.8

    3.00       Monthly      Morgan Stanley & Co. International PLC      10/17/57        N/R     USD    4,450       (602,390)      (568,489     (33,901  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  113


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

OTC Credit Default Swaps — Sell Protection (continued)

   

 

   
    Reference Obligation/Index    

Financing
Rate Received
by the Fund
 
 
 
   
Payment
Frequency
 
 
   Counterparty     
Termination
Date
 
 
    
Credit
Rating
 
(a) 
   
Notional     
Amount (000)(b)  
 
 
    Value      


Upfront
Premium
Paid
(Received)
 
 

 
   

Unrealized
Appreciation
(Depreciation)
 

 
 
   

 

   
 

    

 

CMBX.NA.9

    3.00     Monthly      Credit Suisse International      09/17/58        N/R       USD        5,000         $ (466,076   $ (522,882   $ 56,806             
   

CMBX.NA.9

    3.00       Monthly      Morgan Stanley & Co. International PLC      09/17/58        N/R       USD        1,528           (142,433     (167,591     25,158    
                       

 

 

   

 

 

   

 

 

   
                        $ (2,233,326   $ (2,069,990   $ (163,336  
                       

 

 

   

 

 

   

 

 

   

 

  (a) 

Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings.

 

 

  (b) 

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps, OTC Swaps and Options Written

 

 

 
Description    Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

 

 

Centrally Cleared Swaps(a)

   $ 19,069      $ (1,553,168)      $ 1,581,204      $ (1,065,821    $  

OTC Swaps

     4,409        (2,074,399      161,706        (325,042       

Options Written

     N/A        N/A        1,054,428        (1,470,861      (4,487,052

 

 

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized appreciation on futures contracts(a)

   $      $      $      $      $ 282,784      $      $ 282,784  

Options purchased

                    

Investments at value — unaffiliated(b)

                                 2,514,780               2,514,780  

Swaps — centrally cleared

                    

Unrealized appreciation on centrally cleared swaps(a)

                                 1,581,204               1,581,204  

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

            166,115                                    166,115  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 166,115      $      $      $ 4,378,768      $      $ 4,544,883  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 684,152      $      $ 684,152  

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

                          201,009                      201,009  

Options written

                    

Options written at value

                                 4,487,052               4,487,052  

Swaps — centrally cleared

                    

Unrealized depreciation on centrally cleared swaps(a)

            138,101                      927,720               1,065,821  

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

            2,399,441                                    2,399,441  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $  2,537,542      $      $  201,009      $  6,098,924      $      $  8,837,475  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 
  (b) 

Includes options purchased at value as reported in the Schedule of Investments.

 

 

 

114  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

For the period ended December 31, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

     Other
Contracts
     Total  

Net Realized Gain (Loss) from:

                    

Futures contracts

   $      $      $      $      $ 1,422,437      $      $ 1,422,437  

Forward foreign currency exchange contracts

                          848,759                      848,759  

Options purchased(a)

                                 1,994,638               1,994,638  

Options written

                                 (1,678,827               (1,678,827

Swaps

            65,763                      1,583,285               1,649,048  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $ 65,763      $      $ 848,759      $ 3,321,533      $      $ 4,236,055  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

                    

Futures contracts.

   $      $      $      $      $ (295,266    $      $ (295,266

Forward foreign currency exchange contracts

                          245,143                      245,143  

Options purchased(b)

                                 (196,620             (196,620

Options written

                                 (770,652             (770,652

Swaps

            714,669                      73,280               787,949  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $     714,669      $      $     245,143      $   (1,189,258    $      $ (229,446
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 
  (b) 

Options purchased are included in net change in unrealized appreciation (depreciation) on investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ 118,979,280  

Average notional value of contracts — short

   $ 148,779,202  

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

   $ 24,032,367  

Average amounts sold — in USD

   $ 6,751,658  

Options:

  

Average value of option contracts purchased

   $ 171,524  

Average value of option contracts written

   $ 130,870  

Average notional value of swaption contracts purchased

   $ 170,603,498  

Average notional value of swaption contracts written

   $ 532,062,237  

Credit default swaps:

  

Average notional value — buy protection

   $ 42,426,250  

Average notional value — sell protection

   $ 22,411,539  

Interest rate swaps:

  

Average notional value — pays fixed rate

   $ 154,931,684  

Average notional value — receives fixed rate

   $ 66,360,664  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments — Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets      Liabilities  

Derivative Financial Instruments

     

Futures contracts

   $ 40,199      $ 57,971  

Forward foreign currency exchange contracts

            201,009  

Options

     2,514,780 (a)       4,487,052  

Swaps — centrally cleared

            26,424  

Swaps — OTC(b)

     166,115        2,399,441  
  

 

 

    

 

 

 

Total derivative assets and liabilities in the Statements of Assets and Liabilities

     2,721,094        7,171,897  
  

 

 

    

 

 

 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

     (56,355      (89,535
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

   $     2,664,739      $     7,082,362  
  

 

 

    

 

 

 

 

  (a) 

Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments.

 
  (b) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  115


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received (and pledged) by the Fund:

 

Counterparty     

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

      

Derivatives

Available

for Offset

 

 

(a) 

    

Non-Cash

Collateral

Received

 

 

 

      

Cash

Collateral

Received

 

 

 

      

Net Amount

of Derivative

Assets

 

 

(b)(c)  

Bank of America N.A.

   $ 550,264        $ (505,549)      $        $        $ 44,715  

Citibank N.A.

     79,484          (79,484)                           

Credit Suisse International

     56,806          (56,806)                           

Deutsche Bank AG

     462,055          (462,055)                           

Goldman Sachs Bank USA

     442,330          (312,145)                          130,185  

JPMorgan Chase Bank N.A.

     375,507          (375,507)                           

Morgan Stanley & Co. International PLC

     695,537          (695,537)                           

Wells Fargo Bank N.A.

     2,756                                   2,756  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $ 2,664,739        $ (2,487,083)      $        $        $ 177,656  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
                    
Counterparty     

Derivative

Liabilities

Subject to

an MNA by

Counterparty

 

 

 

 

 

      

Derivatives

Available

for Offset

 

 

(a) 

    


Non-Cash

Collateral
Pledged

 

 
 

      

Cash

Collateral

Pledged(d)

 

 

 

      

Net Amount

of Derivative

Liabilities

 

 

(b)(e) 

Bank of America N.A.

   $ 505,549        $ (505,549)      $        $        $  

Barclays Bank PLC

     980,977                          (980,977         

Citibank N.A.

     313,192          (79,484)                 (233,708         

Credit Suisse International

     861,305          (56,806)                 (750,000        54,499  

Deutsche Bank AG

     1,571,536          (462,055)                 (1,010,000        99,481  

Goldman Sachs Bank USA

     312,145          (312,145)                           

JPMorgan Chase Bank N.A.

     853,451          (375,507)                 (260,000        217,944  

Morgan Stanley & Co. International PLC

     1,684,125          (695,537)        (247,344        (583,000        158,244  

State Street Bank and Trust Co.

     82                                   82  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $ 7,082,362        $ (2,487,083)      $ (247,344      $ (3,817,685      $ 530,250  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative asset and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (c) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (d) 

Excess of collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (e) 

Net amount represents the net amount payable due to counterparty in the event of default. Net amount may be offset further by the options written receivable/payable on the Statements of Assets and Liabilities.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Asset-Backed Securities

   $        $   20,391,865        $     1,084,298        $       21,476,163  

Common Stocks

                 

Construction & Engineering

                19,613                            19,613  

Diversified Financial Services

                       5,468          5,468  

Diversified Telecommunication Services

     5,354                            5,354  

Household Durables

                                 

Media

     96,688                            96,688  

Metals & Mining

              401          373          774  

Oil, Gas & Consumable Fuels

     29,897                            29,897  

Software

     376                            376  

 

 

116  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Fair Value Hierarchy as of Period End (continued)

      Level 1        Level 2        Level 3        Total  

Common Stocks (continued)

                 

Specialty Retail

   $        $ 194,712        $        $ 194,712  

Corporate Bonds

                 

Advertising Agencies

              271,484                   271,484  

Aerospace & Defense

              12,777,606                       12,777,606  

Airlines

              9,844,354                   9,844,354  

Auto Components

              6,476,572                   6,476,572  

Automobiles

              9,311,168                   9,311,168  

Banks

              8,157,421                   8,157,421  

Beverages

              8,525,109                   8,525,109  

Building Materials

              4,317,369                   4,317,369  

Building Products

              3,649,395                   3,649,395  

Capital Markets

              5,186,741                   5,186,741  

Chemicals

              9,233,828                   9,233,828  

Commercial Services & Supplies

              4,696,243                   4,696,243  

Communications Equipment

              3,630,085                   3,630,085  

Construction Materials

              2,615,034                   2,615,034  

Consumer Discretionary

              7,470,557                   7,470,557  

Consumer Finance

              7,506,962                   7,506,962  

Containers & Packaging

              1,592,843                   1,592,843  

Diversified Consumer Services

              7,836,054                   7,836,054  

Diversified Financial Services

              16,795,053                   16,795,053  

Diversified Telecommunication Services

              16,836,153                   16,836,153  

Electric Utilities

              3,792,724                   3,792,724  

Electrical Equipment

              501,480                   501,480  

Electronic Equipment, Instruments & Components

              1,609,982                   1,609,982  

Energy Equipment & Services

              2,174,377                   2,174,377  

Environmental, Maintenance & Security Service

              3,180,414                   3,180,414  

Equity Real Estate Investment Trusts (REITs)

              9,617,035                   9,617,035  

Food & Staples Retailing

              9,317,112                   9,317,112  

Food Products

              2,831,050                   2,831,050  

Gas Utilities

              134,496                   134,496  

Health Care Equipment & Supplies

              3,179,442                   3,179,442  

Health Care Providers & Services

              25,280,509                   25,280,509  

Health Care Technology

              4,070,245                   4,070,245  

Hotels, Restaurants & Leisure

                18,501            25,672,895                   25,691,396  

Household Durables

              3,705,866                   3,705,866  

Household Products

                                 

Independent Power and Renewable Electricity Producers

              6,890,998                   6,890,998  

Industrial Conglomerates

              305,354                   305,354  

Insurance

              12,707,011                   12,707,011  

Interactive Media & Services

              1,704,522                   1,704,522  

Internet & Direct Marketing Retail

              134,773                   134,773  

Internet Software & Services

              6,572,057                   6,572,057  

IT Services

              5,986,440                   5,986,440  

Leisure Products

              1,048,562                   1,048,562  

Machinery

              3,857,006                   3,857,006  

Media

              54,323,059                   54,323,059  

Metals & Mining

              10,112,430                   10,112,430  

Multiline Retail

              1,006,230                   1,006,230  

Offshore Drilling & Other Services

              645,094                   645,094  

Oil, Gas & Consumable Fuels

     223,885          53,149,124              1,347,279          54,720,288  

Personal Products

              382,596                   382,596  

Pharmaceuticals

              9,190,600                   9,190,600  

Real Estate Management & Development

              15,566,117                   15,566,117  

Road & Rail

              2,176,159                   2,176,159  

Semiconductors & Semiconductor Equipment

              6,751,968                   6,751,968  

Software

              10,469,867                   10,469,867  

Specialty Retail

              3,589,187                   3,589,187  

Technology Hardware, Storage & Peripherals

              351,300                   351,300  

Textiles, Apparel & Luxury Goods

              821,396                   821,396  

Thrifts & Mortgage Finance

              1,049,766                   1,049,766  

Transportation

              117,752                   117,752  

Transportation Infrastructure

              1,021,548                   1,021,548  

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  117


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

Fair Value Hierarchy as of Period End (continued)

      Level 1        Level 2        Level 3        Total  

Corporate Bonds (continued)

                 

Utilities

   $        $ 2,777,062        $        $ 2,777,062  

Wireless Telecommunication Services

              13,606,220                   13,606,220  

Floating Rate Loan Interests

              287,372,785          6,516,371          293,889,156  

Foreign Agency Obligations

              14,744,700                   14,744,700  

Investment Companies

     2,663,072                            2,663,072  

Non-Agency Mortgage-Backed Securities

              8,624,869                   8,624,869  

Other Interests

                                 

Preferred Securities

                 

Capital Trusts

              31,833,303                   31,833,303  

Preferred Stocks

     10,231,143                            10,231,143  

U.S. Government Sponsored Agency Securities

              44,229,191                   44,229,191  

U.S. Treasury Obligations

              33,818,760                   33,818,760  

Warrants

     4,278                            4,278  

Short-Term Securities

                 

Money Market Funds

     4,969,680                            4,969,680  

Options Purchased

                 

Interest Rate Contracts

     16,156          2,498,624                   2,514,780  

Unfunded Floating Rate Loan Interests(a)

              703                   703  

Liabilities

                 

Investments

                 

TBA Sale Commitments

              (14,609,825                 (14,609,825

Unfunded Floating Rate Loan Interests(a)

              (474        (127        (601
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     18,278,643        $   897,211,470        $     8,953,662            924,443,775  
  

 

 

      

 

 

      

 

 

      

 

 

 

Investments Valued at NAV(b)

                    1,415  
                 

 

 

 
                  $ 924,445,190  
                 

 

 

 

Derivative Financial Instruments(c)

                 

Assets

                 

Credit Contracts

   $        $ 161,706        $        $ 161,706  

Interest Rate Contracts

     282,784          1,581,204                   1,863,988  

Liabilities

                 

Credit Contracts

              (463,143                 (463,143

Foreign Currency Exchange Contracts

              (201,009                 (201,009

Interest Rate Contracts

     (689,292        (5,409,632                 (6,098,924
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (406,508      $ (4,330,874      $        $ (4,737,382
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 
  (b) 

Certain investments of the Fund were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 
  (c) 

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

 

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements of $312,355,865 are categorized as Level 2 within the fair value hierarchy.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the year in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Unfunded
Floating
Rate Loan
Interests
    Warrants     Total  

Assets

               

Opening balance, as of December 31, 2020

  $ 814,296     $ 24,676     $ 1,642,502     $ 7,511,633     $ (a)    $     $ (a)    $ 9,993,107  

Transfers into Level 3

                      449,506                         449,506  

Transfers out of Level 3

                      (3,181,991                 (a)      (3,181,991

Accrued discounts/premiums

    (71,790           5,924       9,442                         (56,424

Net realized gain (loss)

    5,994             29,401       18,412                         53,807  

Net change in unrealized appreciation (depreciation)(b)(c)

    48,136       (15,196     (124,484     57,609             (127           (34,062

 

 

118  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Schedule of Investments  (continued)

December 31, 2021

  

BlackRock Limited Duration Income Trust (BLW)

 

     Asset-Backed
Securities
    Common
Stocks
    Corporate
Bonds
    Floating
Rate Loan
Interests
    Other
Interests
    Unfunded
Floating
Rate Loan
Interests
    Warrants     Total  

Purchases

  $ 980,000     $     $ 3,456     $ 3,286,288     $     $     $     $ 4,269,744  

Sales

    (692,338     (3,639     (209,520     (1,634,528                       (2,540,025
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Closing balance, as of December 31, 2021

  $ 1,084,298     $ 5,841     $ 1,347,279     $ 6,516,371     $ (a)    $ (127   $     $ 8,953,662  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2021(c)

  $ 55,726     $ (8,234   $ (129,632   $ 75,649     $     $ (127   $     $ (6,618
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

Rounds to less than $1.

 
  (b) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

 
  (c) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at June 30, 2021 is generally due to investments no longer held or categorized as Level 3 at period end.

 

The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.

See notes to financial statements.

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  119


Statements of Assets and Liabilities

December 31, 2021

 

     DSU      FRA      BKT      BLW  

ASSETS

          

Investments, at value — unaffiliated(a)

  $ 798,890,971      $ 729,314,552      $ 633,015,851      $ 934,085,233  

Investments, at value — affiliated(b)

    435,992               12,560,167        4,969,680  

Cash

    3,557,702        1,633,696               1,453,257  

Cash pledged:

          

Collateral — reverse repurchase agreements

                  210,000        3,809,011  

Collateral — OTC derivatives

    30,000                      3,893,000  

Futures contracts

                  823,260        1,100,114  

Centrally cleared swaps

    409,000        458,000        655,000        3,303,000  

Foreign currency, at value(c)

    16,010        1,066               301,025  

Receivables:

          

Investments sold

    3,402,170        5,858,680        65,793        2,061,962  

Reverse repurchase agreements

                         187,750  

TBA sale commitments

                  97,718,697        14,611,382  

Dividends — unaffiliated

                         71,034  

Dividends — affiliated

    10        2        861        39  

Interest — unaffiliated

    3,377,779        2,092,255        2,042,905        8,501,901  

Principal paydowns

                         1,443  

Variation margin on futures contracts

                  12,572        40,199  

Variation margin on centrally cleared swaps

    9,062        10,152                

Swap premiums paid

    140                      4,409  

Unrealized appreciation on:

          

OTC swaps

    14,715               495,560        161,706  

Unfunded floating rate loan interests

    1,217        1,204               703  

Prepaid expenses

    2,789        3,291        2,261        4,252  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    810,147,557        739,372,898        747,602,927        978,561,100  
 

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

          

Cash received:

          

Collateral — reverse repurchase agreements

                         264,465  

Collateral — OTC derivatives

                  500,000         

Borrowed bonds, at value(d)

                  1,045,094         

Options written, at value(e)

                         4,487,052  

TBA sale commitments, at value(f)

                  97,835,707        14,609,825  

Reverse repurchase agreements, at value

                  115,184,357        312,355,865  

Payables:

          

Investments purchased

    19,166,652        25,237,029        169,277,790        52,064,006  

Reverse repurchase agreements

                         197,693  

Accounting services fees

    38,339        35,452        27,262        43,100  

Administration fees

                  46,511         

Bank borrowings

    248,000,000        223,000,000                

Custodian fees

    13,310        15,524        7,061        32,409  

Income dividend distributions

    2,819,699        2,349,988        2,198,200        3,503,274  

Interest expense

    225,891        191,559        18,138         

Investment advisory fees

    366,550        450,084        201,300        420,766  

Directors’ and Officer’s fees

    439,507        2,035        303,234        550,466  

Other accrued expenses

    48,082        25,633        26,430        49,452  

Principal payups

    328                       

Professional fees

    108,732        147,391        90,635        138,381  

Transfer agent fees

    124,884        8,223        12,486        12,885  

Variation margin on futures contracts

                  72,402        57,971  

Variation margin on centrally cleared swaps

                  4,232        26,424  

Swap premiums received

    23,227                      2,074,399  

Unrealized depreciation on:

          

Forward foreign currency exchange contracts

    88,069        74,449               201,009  

OTC swaps

    808                      325,042  

Unfunded floating rate loan interests

    2,475        2,574               601  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    271,466,553        251,539,941        386,850,839        391,415,085  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 538,681,004      $ 487,832,957      $ 360,752,088      $ 587,146,015  
 

 

 

    

 

 

    

 

 

    

 

 

 

 

 

120  

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Statements of Assets and Liabilities  (continued)

December 31, 2021

 

     DSU     FRA     BKT     BLW  

NET ASSETS CONSIST OF

       

Paid-in capital(g)(h)(i)

  $ 653,096,094     $ 538,835,342     $ 454,269,488     $ 623,725,400  

Accumulated loss

    (114,415,090     (51,002,385     (93,517,400     (36,579,385
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 538,681,004     $ 487,832,957     $ 360,752,088     $ 587,146,015  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value(g)(h)(i)

  $ 11.56     $ 13.85     $ 5.65     $ 16.44  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments, at cost — unaffiliated

  $ 818,517,323     $ 734,299,324     $ 629,582,279     $ 930,438,260  

(b) Investments, at cost — affiliated

  $ 435,992     $     $ 12,560,167     $ 4,969,680  

(c)  Foreign currency, at cost

  $ 15,871     $ 1,062     $     $ 306,754  

(d) Proceeds received from borrowed bonds

  $     $     $ 842,347     $  

(e) Premiums received

  $     $     $     $ 4,070,619  

(f)  Proceeds from TBA sale commitments

  $     $     $ 97,718,697     $ 14,611,382  

(g) Shares outstanding

    46,606,591       35,232,197       63,901,172       35,711,253  

(h) Shares authorized

    400 million       200 million       200 million       Unlimited  

(i)  Par value

  $ 0.10     $ 0.10     $ 0.010     $ 0.001  

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

  121


Statements of Operations

Year Ended December 31, 2021

 

     DSU     FRA     BKT     BLW  

INVESTMENT INCOME

       

Dividends — unaffiliated

  $ 68,861     $ 130,399     $     $ 756,660  

Dividends — affiliated

    154,600       183,386       1,263       16,369  

Interest — unaffiliated

    34,807,473       30,154,634       18,588,533       41,762,881  

Other income — unaffiliated

    547,033       551,815             250,372  

Other income — affiliated

                      838  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    35,577,967       31,020,234       18,589,796       42,787,120  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    4,304,209       5,257,117       2,488,951       4,981,162  

Transfer agent

    199,547       41,994       82,918       44,776  

Professional

    134,374       103,164       52,165       104,344  

Accounting services

    115,714       107,470       82,652       129,840  

Directors and Officer

    96,543       29,255       69,530       121,210  

Commitment costs

    37,804       24,363              

Custodian

    37,507       44,815       22,523       96,965  

Registration

    17,269       12,549       22,298       12,524  

Administration

                574,373        

Miscellaneous

    78,838       34,014       62,885       100,657  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses excluding interest expense

    5,021,805       5,654,741       3,458,295       5,591,478  

Interest expense

    2,279,446       1,965,327       148,705       1,526,433  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    7,301,251       7,620,068       3,607,000       7,117,911  

Less:

       

Fees waived and/or reimbursed by the Manager

    (30,463     (41,975     (3,646     (6,478
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    7,270,788       7,578,093       3,603,354       7,111,433  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    28,307,179       23,442,141       14,986,442       35,675,687  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    7,122,385       5,373,280       (766,434     10,774,634  

Investments — affiliated

    623,246       953,743             85,044  

Forward foreign currency exchange contracts

    393,233       230,057             848,759  

Foreign currency transactions

    (65,505     (35,528           (163,666

Futures contracts

    2,340             4,272,990       1,422,437  

Options written

                      (1,678,827

Swaps

    19,709       9,582       46,923       1,649,048  
 

 

 

   

 

 

   

 

 

   

 

 

 
    8,095,408       6,531,134       3,553,479       12,937,429  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    (1,539,964     30,638       (26,661,361     (24,042,914

Investments — affiliated

    (692,117     (981,839           (111,606

Borrowed bonds

                91,019        

Forward foreign currency exchange contracts

    114,623       100,550             245,143  

Foreign currency translations

    (4,368     (90           (36,148

Futures contracts

                (542,280     (295,266

Options written

                      (770,652

Swaps

    98,587       109,982       863,025       787,949  

Unfunded floating rate loan interests

    (858     (917           284  
 

 

 

   

 

 

   

 

 

   

 

 

 
    (2,024,097     (741,676     (26,249,597     (24,223,210
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    6,071,311       5,789,458       (22,696,118     (11,285,781
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 34,378,490     $ 29,231,599     $ (7,709,676   $ 24,389,906  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

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Statements of Changes in Net Assets

 

    DSU     FRA  
    Year Ended December 31,     Year Ended December 31,  
     2021     2020     2021     2020  

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 28,307,179     $ 30,030,733     $ 23,442,141     $ 24,541,501  

Net realized gain (loss)

    8,095,408       (27,280,198     6,531,134       (20,159,713

Net change in unrealized appreciation (depreciation)

    (2,024,097     (2,040,404     (741,676     473,480  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets resulting from operations

    34,378,490       710,131       29,231,599       4,855,268  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

From net investment income

    (28,723,773     (29,156,637     (23,507,568     (24,834,098

Return of capital

    (5,103,734     (10,264,492     (4,692,282     (8,006,999
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (33,827,507     (39,421,129     (28,199,850     (32,841,097
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Reinvestment of distributions

    171,418                    

Redemption of shares resulting from share repurchase program (including transaction costs)

          (28,570,553     (1,250,043     (6,507,629
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    171,418       (28,570,553     (1,250,043     (6,507,629
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    722,401       (67,281,551     (218,294     (34,493,458

Beginning of year

    537,958,603       605,240,154       488,051,251       522,544,709  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of year

  $ 538,681,004     $ 537,958,603     $ 487,832,957     $ 488,051,251  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

  123


 

Statements of Changes in Net Assets  (continued)

 

    BKT     BLW  
    Year Ended December 31,     Year Ended December 31,  
     2021     2020     2021     2020  

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 14,986,442     $ 18,321,104     $ 35,675,687     $ 34,850,346  

Net realized gain (loss)

    3,553,479       (22,273,570     12,937,429       (8,159,232

Net change in unrealized appreciation (depreciation)

    (26,249,597     22,767,877       (24,223,210     10,602,268  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (7,709,676     18,815,411       24,389,906       37,293,382  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

From net investment income

    (18,883,406     (21,525,091     (36,216,307     (36,735,203

Return of capital

    (7,473,844     (4,810,355     (5,785,872     (5,328,251
 

 

 

   

 

 

   

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (26,357,250     (26,335,446     (42,002,179     (42,063,454
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Reinvestment of distributions

    623,562             825,681        

Redemption of shares resulting from share repurchase program (including transaction costs)

                      (2,364,913
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets derived from capital share transactions

    623,562             825,681       (2,364,913
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total decrease in net assets

    (33,443,364     (7,520,035     (16,786,592     (7,134,985

Beginning of year

    394,195,452       401,715,487       603,932,607       611,067,592  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of year

  $ 360,752,088     $ 394,195,452     $ 587,146,015     $ 603,932,607  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

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Statements of Cash Flows

Year Ended December 31, 2021

 

     DSU     FRA     BKT     BLW  

CASH PROVIDED BY (USED FOR) OPERATING ACTIVITIES

       

Net increase (decrease) in net assets resulting from operations

  $ 34,378,490     $ 29,231,599     $ (7,709,676   $ 24,389,906  

Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by operating activities

       

Proceeds from sales of long-term investments and principal paydowns/payups

    377,466,847       357,521,955       1,289,490,856       594,821,461  

Purchases of long-term investments

    (387,334,320     (367,229,279     (1,256,467,907     (628,400,139

Net proceeds from sales (purchases) of short-term securities

    (435,992           250,658       3,986,441  

Amortization of premium and accretion of discount on investments and other fees

    (1,124,800     (1,192,277     12,511,720       (4,083

Paid-in-kind income

    (145,015     (99,125            

Premiums paid on closing options written

                      (9,304,758

Premiums received from options written

                      7,722,413  

Net realized (gain) loss on investments and options written

    (7,745,070     (6,327,023     767,507       (9,180,851

Net unrealized depreciation on investments, options written, swaps, borrowed bonds, foreign currency translations and unfunded floating rate loan interests

    2,117,928       851,568       27,186,719       24,176,461  

(Increase) Decrease in Assets

       

Receivables

       

Dividends — affiliated

    63       25       252       204  

Interest — unaffiliated

    218,889       275,334       (20,088     342,892  

Variation margin on futures contracts

                (9,676     28,894  

Variation margin on centrally cleared swaps

    (9,062     (10,152            

Swap premiums paid

    (140                 (4,409

Prepaid expenses

    2,206       1,254       1,724       1,291  

Other assets

    3,111                    

Increase (Decrease) in Liabilities

       

Cash received

       

Collateral — reverse repurchase agreements

                      (3,596,216

Collateral — OTC derivatives

                (590,000      

Payables

       

Accounting services fees

    (13,764     (13,589     (19,703     (13,804

Administration fees

                (3,918      

Custodian fees

    (12,475     352       (3,682     (16,137

Interest expense

    (3,634     (1,501     10,404       (132,446

Investment advisory fees

    8,356       6,960       (16,610     12,518  

Directors’ and Officer’s fees

    61,689       564       41,256       82,057  

Other accrued expenses

    6,058       (2,554     (6,258     (14,481

Professional fees

    (9,442     (16,328     (27,693     (12,107

Transfer agent fees

    111,541       (20,034     2,420       (29,440

Variation margin on futures contracts

                (105,727     (55,689

Variation margin on centrally cleared swaps

                (10,364     (22,511

Swap premiums received

    (7,435           (6,827     (899,599
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash provided by operating activities

    17,534,029       12,977,749       65,265,387       3,877,868  
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH PROVIDED BY (USED FOR) FINANCING ACTIVITIES

       

Cash dividends paid to shareholders

    (33,655,194     (28,206,716     (25,730,109     (41,171,676

Payments for bank borrowings

    (196,000,000     (226,000,000            

Net payments on redemption of capital shares

          (1,250,043            

Proceeds from bank borrowings

    215,000,000       241,000,000              

Net borrowing of reverse repurchase agreements

                (41,745,458     37,393,109  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net cash used for financing activities

    (14,655,194     (14,456,759     (67,475,567     (3,778,567
 

 

 

   

 

 

   

 

 

   

 

 

 

CASH IMPACT FROM FOREIGN EXCHANGE FLUCTUATIONS

       

Cash impact from foreign exchange fluctuations

    97       (95           (28,243
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

F I N A N C I A L   S T A T E M E N T S

  125


Statements of Cash Flows  (continued)

Year Ended December 31, 2021

 

     DSU      FRA     BKT     BLW  

CASH AND FOREIGN CURRENCY

        

Net increase (decrease) in restricted and unrestricted cash and foreign currency

  $ 2,878,932      $      (1,479,105   $         (2,210,180   $ 71,058  

Restricted and unrestricted cash and foreign currency at beginning of year

    1,133,780        3,571,867       3,898,440       13,788,349  
 

 

 

    

 

 

   

 

 

   

 

 

 

Restricted and unrestricted cash and foreign currency at end of year

  $ 4,012,712      $ 2,092,762     $ 1,688,260     $       13,859,407  
 

 

 

    

 

 

   

 

 

   

 

 

 

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION

        

Cash paid during the year for interest expense

  $      2,283,080      $ 1,966,828     $ 138,301     $ 1,658,879  
 

 

 

    

 

 

   

 

 

   

 

 

 

NON-CASH FINANCING ACTIVITIES

        

Reinvestment of distributions

  $ 171,418      $     $ 623,562     $ 825,681  
 

 

 

    

 

 

   

 

 

   

 

 

 

RECONCILIATION OF RESTRICTED AND UNRESTRICTED CASH AND FOREIGN CURRENCY AT THE END OF YEAR TO THE STATEMENTS OF ASSETS AND LIABILITIES

        

Cash

  $ 3,557,702      $ 1,633,696     $     $ 1,453,257  

Cash pledged

        

Collateral — reverse repurchase agreements

                 210,000       3,809,011  

Collateral — OTC derivatives

    30,000                    3,893,000  

Futures contracts

                 823,260       1,100,114  

Centrally cleared swaps

    409,000        458,000       655,000       3,303,000  

Foreign currency at value

    16,010        1,066             301,025  
 

 

 

    

 

 

   

 

 

   

 

 

 
  $ 4,012,712      $ 2,092,762     $ 1,688,260     $ 13,859,407  
 

 

 

    

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

126  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Financial Highlights

(For a share outstanding throughout each period)

 

    DSU  
    Year Ended December 31,     

Period from

03/01/19
to 12/31/19

    Year Ended February 28,  
    2021      2020     2019     

2018(a)

   

2017(a)

 
             

Net asset value, beginning of period

  $ 11.55      $ 12.25      $ 12.16     $ 12.62      $ 12.70     $ 11.38  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Net investment income(b)

    0.61        0.63        0.64       0.79        0.78       0.73  

Net realized and unrealized gain (loss)

    0.13        (0.50      0.21       (0.43      (0.04     1.34  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Net increase from investment operations

    0.74        0.13        0.85       0.36        0.74       2.07  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Distributions(c)

              

From net investment income

    (0.62      (0.61      (0.73     (0.82      (0.82     (0.75

Return of capital

    (0.11      (0.22      (0.03                   
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Total distributions

    (0.73      (0.83      (0.76     (0.82      (0.82     (0.75
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Net asset value, end of period

  $ 11.56      $ 11.55      $ 12.25     $ 12.16      $ 12.62     $ 12.70  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Market price, end of period

  $ 11.70      $ 10.45      $ 11.20     $ 10.78      $ 11.47     $ 11.68  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Total Return(d)

              

Based on net asset value

    6.67      2.57      8.03 %(e)       3.86      6.60 %(f)       19.57
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Based on market price

    19.33      1.50      11.42 %(e)      1.30      5.35     25.53
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Ratios to Average Net Assets(g)

              

Total expenses

    1.34      1.48      2.21 %(h)(i)      2.23      1.86     1.36
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed

    1.34      1.47      2.21 %(h)(i)      2.23      1.85     1.35
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.92      0.91      0.92 %(h)       0.96      0.94     0.87
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Net investment income

    5.21      5.65      6.25 %(h)       6.40      6.12     6.04
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Supplemental Data

              

Net assets, end of period (000)

  $ 538,681      $ 537,959      $ 605,240     $ 641,220      $ 742,204     $ 780,810  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Borrowings outstanding, end of period (000)

  $ 248,000      $ 229,000      $ 262,000     $ 278,000      $ 338,000     $ 318,000  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Asset coverage, end of period per $1,000 of bank borrowings

  $ 3,172      $ 3,349      $ 3,310     $ 3,308      $ 3,196     $ 3,455  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

Portfolio turnover rate

    47      67      53     62      59     55
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

 

(a)

Consolidated Financial Highlights through November 30, 2017.

(b)

Based on average shares outstanding.

(c)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e)

Aggregate total return.

(f)

Includes payment from an affiliate, which had no impact on the Fund’s total return.

(g)

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i)

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  127


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    FRA  
    Year Ended December 31,     

Period from

09/01/19
to 12/31/19

    Year Ended August 31,  
    2021      2020     2019     

2018(a)

    

2017(a)

 
             

Net asset value, beginning of period

  $ 13.81      $ 14.55      $ 14.49     $ 14.92      $ 14.93      $ 14.78  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income(b)

    0.67        0.69        0.25       0.84        0.79        0.76  

Net realized and unrealized gain (loss)

    0.17        (0.51      0.19       (0.40      (0.06      0.20  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net increase from investment operations

    0.84        0.18        0.44       0.44        0.73        0.96  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Distributions(c)

               

From net investment income

    (0.67      (0.70      (0.38     (0.87      (0.74      (0.81

Return of capital

    (0.13      (0.22                           
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total distributions

    (0.80      (0.92      (0.38     (0.87      (0.74      (0.81
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 13.85      $ 13.81      $ 14.55     $ 14.49      $ 14.92      $ 14.93  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 13.43      $ 12.11      $ 13.44     $ 12.46      $ 13.80      $ 14.10  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(d)

               

Based on net asset value

    6.48      2.76      3.41 %(e)       3.94      5.28      6.93
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Based on market price

    17.74      (2.45 )%       11.08 %(e)      (3.37 )%       3.11      8.95
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(f)

               

Total expenses

    1.55      1.69      2.20 %(g)(h)      2.45      2.23      1.88
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    1.54      1.67      2.20 %(g)(h)      2.45      2.22      1.88
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    1.14      1.13      1.19 %(g)       1.16      1.20      1.21
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income

    4.76      5.15      5.26 %(g)       5.74      5.27      5.08
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Supplemental Data

               

Net assets, end of period (000)

  $ 487,833      $ 488,051      $ 522,545     $ 526,447      $ 555,370      $ 555,972  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 223,000      $ 208,000      $ 214,000     $ 204,000      $ 233,000      $ 237,000  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Asset coverage, end of period per $1,000 of bank borrowings

  $ 3,188      $ 3,346      $ 3,442     $ 3,582      $ 3,385      $ 3,346  
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Portfolio turnover rate

    49      65      16     53      57      64
 

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

(a)

Consolidated Financial Highlights through November 30, 2017.

(b)

Based on average shares outstanding.

(c)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e)

Aggregate total return.

(f)

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Annualized.

(h)

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 2.23%.

See notes to financial statements.

 

 

128  

2 0 2 1   B L A C K R O C K   A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BKT  
    Year Ended December 31,     

Period from

09/01/18
to 12/31/18

    Year Ended August 31,  
    2021      2020      2019     2018      2017  
             

Net asset value, beginning of period

  $ 6.18      $ 6.30      $ 6.25      $ 6.31     $ 6.74      $ 6.96  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income(a)

    0.23        0.29        0.25        0.08       0.24        0.25  

Net realized and unrealized gain (loss)

    (0.35      (0.00 )(b)        0.21        0.03       (0.34      (0.15
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net increase (decrease) from investment operations

    (0.12      0.29        0.46        0.11       (0.10      0.10  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Distributions(c)

               

From net investment income

    (0.29      (0.33      (0.29      (0.13     (0.30      (0.32

Return of capital

    (0.12      (0.08      (0.12      (0.04     (0.03       
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total distributions

    (0.41      (0.41      (0.41      (0.17     (0.33      (0.32
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value, end of period

  $ 5.65      $ 6.18      $ 6.30      $ 6.25     $ 6.31      $ 6.74  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Market price, end of period

  $ 5.65      $ 6.07      $ 6.05      $ 5.64     $ 5.77      $ 6.31  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total Return(d)

               

Based on net asset value

    (2.01 )%       4.92      7.91      2.06 %(e)       (1.14 )%       1.82
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Based on market price

    (0.23 )%       7.31      14.83      0.72 %(e)       (3.44 )%       0.53
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Ratios to Average Net Assets(f)

               

Total expenses

    0.94      1.18      2.06      2.08 %(g)(h)      1.79      1.29
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    0.94      1.18      2.06      2.08 %(g)       1.79      1.28
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.90      0.89      0.94      0.99 %(g)       1.04      0.90
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Net investment income

    3.91      4.55      3.95      4.04 %(g)       3.72      3.63
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Supplemental Data

               

Net assets, end of period (000)

  $ 360,752      $ 394,195      $ 401,715      $ 398,629     $ 402,763      $ 430,830  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 115,184      $ 156,936      $ 175,655      $ 186,799     $ 186,441      $ 185,769  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

Portfolio turnover rate(i)

    248      69      255      95     373      346
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

 

 

(a)

Based on average shares outstanding.

(b)

Amount is less than $0.005 per share.

(c)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(e)

Aggregate total return.

(f)

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g)

Annualized.

(h)

Audit costs were not annualized in the calculation of the expense ratio. If these expenses were annualized, the expense ratio would have been 2.11%.

(i)

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

     Year Ended December 31,     

Period from

09/01/18
to 12/31/18

            Year Ended August 31,  
    2021      2020      2019      2018      2017  

Portfolio turnover rate (excluding MDRs)

             119                 31 %                  136                 45                        181               161
 

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

 

See notes to financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  129


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BLW  
    Year Ended December 31,     

Period from

09/01/19 to
12/31/19

    Year Ended August 31,  
    2021     2020     2019      2018      2017  
             

Net asset value, beginning of period

  $ 16.93     $ 17.05      $ 17.03     $ 16.71      $ 17.02      $ 16.84  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income(a)

    1.00       0.98        0.31       0.94        0.95        1.01  

Net realized and unrealized gain (loss)

    (0.31     0.08        0.18       0.33        (0.31      0.44  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net increase from investment operations

    0.69       1.06        0.49       1.27        0.64        1.45  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Distributions(b)

              

From net investment income

    (1.02     (1.03      (0.47     (0.95      (0.95      (1.27

Return of capital

    (0.16     (0.15                           
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total distributions

    (1.18     (1.18      (0.47     (0.95      (0.95      (1.27
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net asset value, end of period

  $ 16.44     $ 16.93      $ 17.05     $ 17.03      $ 16.71      $ 17.02  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Market price, end of period

  $ 16.85     $ 15.92      $ 16.39     $ 15.44      $ 15.06      $ 15.99  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total Return(c)

              

Based on net asset value

    4.18 %(d)       7.58      3.11 %(e)       8.77      4.42      9.62
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Based on market price

    13.55     5.24      9.32 %(e)       9.41      0.18      10.18
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(f)

              

Total expenses

    1.18     1.39      1.64 %(g)(h)      1.81      1.73      1.45
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed

    1.18     1.39      1.64 %(g)(h)      1.81      1.73      1.45
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses after fees waived and/or reimbursed and excluding interest expense

    0.92     0.90      0.89 %(g)       0.84      0.89      0.89
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income

    5.90     6.07      5.32 %(g)       5.69      5.60      6.00
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Supplemental Data

              

Net assets, end of period (000)

  $ 587,146     $ 603,933      $ 611,068     $ 610,251      $ 612,048      $ 629,728  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Borrowings outstanding, end of period (000)

  $ 312,356     $ 275,105      $ 213,399     $ 202,539      $ 234,622      $ 252,280  
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(i)

    66     65      14     50      50      55
 

 

 

   

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

(a)

Based on average shares outstanding.

(b)

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(c)

Total returns based on market price, which can be significantly greater or less than the net asset value, may result in substantially different returns. Where applicable, excludes the effects of any sales charges and assumes the reinvestment of distributions at actual reinvestment prices.

(d)

Includes payment from an affiliate, which had no impact on the Fund’s total return.

(e)

Aggregate total return.

(f)

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g)

Annualized.

(h)

Audit costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses and total expenses after fees waived and/or reimbursed would have been 1.66%.

(i)

Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows:

 

     Year Ended December 31,     

Period from

09/01/19 to
12/31/19

            Year Ended August 31,  
    2021     2020      2019      2018      2017  

Portfolio turnover rate (excluding MDRs)

               52 %                   58                 14                          50               50                 55
 

 

 

   

 

 

    

 

 

      

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

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Notes to Financial Statements

 

1.

ORGANIZATION

The following are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as closed-end management investment companies and are referred to herein collectively as the “Funds”, or individually as a “Fund”:

 

Fund Name   Herein Referred To As      Organized      Diversification
Classification
 

BlackRock Debt Strategies Fund, Inc.

    DSU        Maryland        Diversified  

BlackRock Floating Rate Income Strategies Fund, Inc.

    FRA        Maryland        Diversified  

BlackRock Income Trust, Inc.

    BKT        Maryland        Diversified  

BlackRock Limited Duration Income Trust

    BLW        Delaware        Diversified  

The Boards of Directors and Boards of Trustees of the Funds are collectively referred to throughout this report as the “Board,” and the directors/trustees thereof are collectively referred to throughout this report as “Directors”. The Funds determine and make available for publication the net asset values (“NAVs”) of their Common Shares on a daily basis.

The Funds, together with certain other registered investment companies advised by BlackRock Advisors, LLC (the “Manager”) or its affiliates, are included in a complex of open-end non-index fixed-income funds and all BlackRock-advised closed-end funds referred to as the BlackRock Fixed-Income Complex.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Dividends from foreign securities where the ex-dividend dates may have passed are subsequently recorded when the Funds are informed of the ex-dividend dates. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Interest income, including amortization and accretion of premiums and discounts on debt securities, and payment-in-kind interest are recognized daily on an accrual basis. For convertible securities, premiums attributable to the debt instrument are amortized, but premiums attributable to the conversion feature are not amortized.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments, futures contracts, forward foreign currency exchange contracts, options written and swaps) or certain borrowings (e.g., reverse repurchase transactions) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments or borrowings. Doing so allows the investment or borrowings to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

Distributions: Distributions paid by the Funds are recorded on the ex-dividend dates. Subject to the Funds’ managed distribution plan, the Funds intend to make monthly cash distributions to shareholders, which may consist of net investment income, and net realized and unrealized gains on investments and/or return of capital.

The character of distributions is determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP. The portion of distributions that exceeds a Fund’s current and accumulated earnings and profits, which are measured on a tax basis, will constitute a non-taxable return of capital. See Income Tax Information note for the tax character of each Fund’s distributions paid during the year.

Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by each Fund’s Board, the directors who are not “interested persons” of the Funds, as defined in the 1940 Act (“Independent Directors”), may defer a portion of their annual complex-wide compensation. Deferred amounts earn an approximate return

 

 

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Notes to Financial Statements  (continued)

 

as though equivalent dollar amounts had been invested in common shares of certain funds in the BlackRock Fixed-Income Complex selected by the Independent Directors. This has the same economic effect for the Independent Directors as if the Independent Directors had invested the deferred amounts directly in certain funds in the BlackRock Fixed-Income Complex.

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Directors’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan.

Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.

Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

   

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price.

 

   

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

 

   

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

 

   

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

 

   

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies.

 

   

Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. Over-the-counter (“OTC”) options and options on swaps (“swaptions”) are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as the trades and prices of the underlying instruments.

 

   

Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair

 

 

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Notes to Financial Statements  (continued)

 

Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and other Fair Valued Investments, the fair valuation approaches that are used by the Global Valuation Committee and third-party pricing services utilize one or a combination of, but not limited to, the following inputs.

 

     Standard Inputs Generally Considered By Third-Party Pricing Services

Market approach

 

(i)  recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers;

(ii) recapitalizations and other transactions across the capital structure; and

(iii)   market multiples of comparable issuers.

Income approach

 

(i)  future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks;

(ii) quoted prices for similar investments or assets in active markets; and

(iii)   other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates.

Cost approach

 

(i)  audited or unaudited financial statements, investor communications and financial or operational metrics issued by the Private Company;

(ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company;

(iii)   relevant news and other public sources; and

(iv)   known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Typically, the most recently available information by a Private Company is as of a date that is earlier than the date a Fund is calculating its NAV. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

   

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;

 

   

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and

 

   

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

As of December 31, 2021, certain investments of BLW were fair valued using NAV per share as no quoted market value is available and therefore have been excluded from the fair value hierarchy.

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and

 

 

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Notes to Financial Statements  (continued)

 

issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Multiple Class Pass-Through Securities: Multiple class pass-through securities, including collateralized mortgage obligations (“CMOs”) and commercial mortgage-backed securities, may be issued by Ginnie Mae, U.S. Government agencies or instrumentalities or by trusts formed by private originators of, or investors in, mortgage loans. In general, CMOs are debt obligations of a legal entity that are collateralized by a pool of residential or commercial mortgage loans or mortgage pass-through securities (the “Mortgage Assets”). The payments on these are used to make payments on the CMOs or multiple pass-through securities. Multiple class pass-through securities represent direct ownership interests in the Mortgage Assets. Classes of CMOs include interest only (“IOs”), principal only (“POs”), planned amortization classes and targeted amortization classes. IOs and POs are stripped mortgage-backed securities representing interests in a pool of mortgages, the cash flow from which has been separated into interest and principal components. IOs receive the interest portion of the cash flow while POs receive the principal portion. IOs and POs can be extremely volatile in response to changes in interest rates. As interest rates rise and fall, the value of IOs tends to move in the same direction as interest rates. POs perform best when prepayments on the underlying mortgages rise since this increases the rate at which the principal is returned and the yield to maturity on the PO. When payments on mortgages underlying a PO are slower than anticipated, the life of the PO is lengthened and the yield to maturity is reduced. If the underlying Mortgage Assets experience greater than anticipated prepayments of principal, a fund’s initial investment in the IOs may not fully recoup.

Stripped Mortgage-Backed Securities: Stripped mortgage-backed securities are typically issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest (IOs) and principal (POs) distributions on a pool of Mortgage Assets. Stripped mortgage-backed securities may be privately issued.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

Capital Securities and Trust Preferred Securities: Capital securities, including trust preferred securities, are typically issued by corporations, generally in the form of interest-bearing notes with preferred securities characteristics. In the case of trust preferred securities, an affiliated business trust of a corporation issues these securities, generally in the form of beneficial interests in subordinated debentures or similarly structured securities. The securities can be structured with either a fixed or adjustable coupon that can have either a perpetual or stated maturity date. For trust preferred securities, the issuing bank or corporation pays interest to the trust, which is then distributed to holders of these securities as a dividend. Dividends can be deferred without creating an event of default or acceleration, although maturity cannot take place unless all cumulative payment obligations have been met. The deferral of payments does not affect the purchase or sale of these securities in the open market. These securities generally are rated below that of the issuing company’s senior debt securities and are freely callable at the issuer’s option.

Preferred Stocks: Preferred stock has a preference over common stock in liquidation (and generally in receiving dividends as well), but is subordinated to the liabilities of the issuer in all respects. As a general rule, the market value of preferred stock with a fixed dividend rate and no conversion element varies inversely with interest rates and perceived credit risk, while the market price of convertible preferred stock generally also reflects some element of conversion value. Because preferred stock is junior to debt securities and other obligations of the issuer, deterioration in the credit quality of the issuer will cause greater changes in the value of a preferred stock than in a more senior debt security with similar stated yield characteristics. Unlike interest payments on debt securities, preferred stock dividends are payable only if declared by the issuer’s board of directors. Preferred stock also may be subject to optional or mandatory redemption provisions.

Warrants: Warrants entitle a fund to purchase a specified number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. If the price of the underlying stock does not rise above the strike price before the warrant expires, the warrant generally expires without any value and a fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve more risk

 

 

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Notes to Financial Statements  (continued)

 

than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

 

Fund Name   Borrower    Par     

Commitment

Amount

     Value      Unrealized
Appreciation
(Depreciation)
 

DSU

  CP Iris Holdco I, Inc.    $ 103,475      $ 103,475      $ 103,216      $ (259
  EyeCare Partners LLC      29,977        29,977        29,835        (142
  Intelsat Jackson Holdings SA      35,910        35,561        35,854        293  
  Medical Solutions LLC      327,024        325,401        326,325        924  
  Precision Medicine Group LLC      138,898        138,898        136,955        (1,943
  Trident TPI Holdings, Inc.      75,826        75,826        75,695        (131

FRA

  CP Iris Holdco I, Inc.      117,872        235,745        235,156        (589
  EyeCare Partners LLC      34,307        34,306        34,143        (163
  Intelsat Jackson Holdings SA      31,174        30,871        31,125        254  
  Medical Solutions LLC      441,906        440,010        440,960        950  
  Precision Medicine Group LLC      157,601        157,601        155,927        (1,674
  Trident TPI Holdings, Inc.      86,139        86,139        85,991        (148

BLW

  CP Iris Holdco I, Inc.      50,902        50,902        50,775        (127
  EyeCare Partners LLC      12,482        12,482        12,423        (59
  Intelsat Jackson Holdings SA      11,444        11,332        11,425        93  
  Medical Solutions LLC      191,877        191,061        191,466        405  
  New Arclin U.S. Holding Corp.      75,553        75,176        75,381        205  
  Precision Medicine Group LLC      65,627        65,627        65,279        (348
    Trident TPI Holdings, Inc.      38,747        38,747        38,680        (67

Forward Commitments, When-Issued and Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions.

 

 

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Notes to Financial Statements  (continued)

 

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.

Mortgage Dollar Roll Transactions: The Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

Borrowed Bond Agreements: Repurchase agreements may be referred to as borrowed bond agreements when entered into in connection with short sales of bonds. In a borrowed bond agreement, a fund borrows a bond from a counterparty in exchange for cash collateral. The agreement contains a commitment that the security and the cash will be returned to the counterparty and a fund at a mutually agreed upon date. Certain agreements have no stated maturity and can be terminated by either party at any time. Earnings on cash collateral and compensation to the lender of the bond are based on agreed upon rates between a fund and the counterparty. The value of the underlying cash collateral approximates the market value and accrued interest of the borrowed bond. To the extent that a borrowed bond transaction exceeds one business day, the value of the cash collateral in the possession of the counterparty is monitored on a daily basis to ensure the adequacy of the collateral. As the market value of the borrowed bond changes, the cash collateral is periodically increased or decreased with a frequency and in amounts prescribed in the borrowed bond agreement. A fund may also experience delays in gaining access to the collateral.

Reverse Repurchase Agreements: Reverse repurchase agreements are agreements with qualified third-party broker dealers in which a fund sells securities to a bank or broker-dealer and agrees to repurchase the same securities at a mutually agreed upon date and price. A fund receives cash from the sale to use for other investment purposes. During the term of the reverse repurchase agreement, a fund continues to receive the principal and interest payments on the securities sold. Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements involve leverage risk. If a fund suffers a loss on its investment of the transaction proceeds from a reverse repurchase agreement, a fund would still be required to pay the full repurchase price. Further, a fund remains subject to the risk that the market value of the securities repurchased declines below the repurchase price. In such cases, a fund would be required to return a portion of the cash received from the transaction or provide additional securities to the counterparty.

Cash received in exchange for securities delivered plus accrued interest due to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short-term nature of the reverse repurchase agreements, face value approximates fair value. Interest payments made by a fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for the security, a fund may receive a fee for the use of the security by the counterparty, which may result in interest income to a fund.

For the year ended December 31, 2021, the average daily amount of reverse repurchase agreements outstanding and the daily weighted average interest rate for the Funds were as follows:

 

Fund Name   Average Amount
Outstanding
     Weighted Average
Interest Rate
 

BKT

  $ 125,295,140        0.10

BLW

    301,573,559        0.51  

Borrowed bond agreements and reverse repurchase transactions are entered into by a fund under Master Repurchase Agreements (each, an “MRA”), which permit a fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a fund. With borrowed bond agreements and reverse repurchase transactions, typically a fund and counterparty under an MRA are permitted to sell, re-pledge, or use the collateral associated with the transaction. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a fund receives or posts securities and cash as collateral with a market value in excess of the repurchase price to be paid or received by a fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

 

 

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Notes to Financial Statements  (continued)

 

As of period end, the following table is a summary of BKT’s open borrowed bond agreements and reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

BKT                                                                          
Counterparty    

Borrowed
Bonds
Agreements
 
 
(a) 
   

Reverse
Repurchase
Agreements
 
 
 
   




Borrowed
Bonds at
Value
including
Accrued
Interest
 
 
 
 
 
(b) 
   


Net
Amount
before
Collateral



 
   

Non-Cash
Collateral
Received


 
    

Cash
Collateral
Received


 
    




Fair Value of
Non-Cash
Collateral
Pledged

Including
Accrued
Interest

 


 


 
(c)  

   

Cash
Collateral
Pledged

 
 
    


Net
Collateral
(Received)/
Pledged



 
    



Net
Exposure
Due (to)/
from
Counterparty

 

 
(d) 

BofA Securities, Inc.

  $     $ (55,851,548   $     $ (55,851,548   $      $      $ 55,851,548     $      $ 55,851,548      $  

Credit Suisse AG

    1,030,479             (1,063,232     (32,753                                       (32,753

Royal Bank of Canada

          (59,332,809           (59,332,809                   59,332,809              59,332,809         
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
  $ 1,030,479     $ (115,184,357   $ (1,063,232   $ (115,217,110   $      $      $ 115,184,357     $      $ 115,184,357      $ (32,753
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

  (a) 

Included in Investments at value-unaffiliated in the Statements of Assets and Liabilities.

 
  (b) 

Includes accrued interest on borrowed bonds in the amount of $18,138 which is included in interest expense payable in the Statements of Assets and Liabilities.

 
  (c) 

Collateral with a value of $119,190,682 has been pledged in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (d) 

Net exposure represents the net receivable (payable) that would be due from/to the counterparty in the event of default.

 

As of period end, the following table is a summary of BLW’s open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

 

         

Counterparty

   
Reverse Repurchase
Agreements
 
 
   


Fair Value of
Non-Cash Collateral
Pledged Including
Accrued Interest
 
 
 
(a)  
   
Cash Collateral
Pledged/Received
 
(a) 
    Net Amount (b) 

Barclays Capital, Inc.

  $ (100,804,560   $ 100,804,560     $     $  

BNP Paribas S.A.

    (140,727,939     140,727,939              

Credit Agricole Corporate and Investment Bank

    (25,067,773     25,067,773              

Credit Suisse Securities (USA) LLC

    (3,634,650     3,634,650              

HSBC Securities (USA), Inc.

    (15,167,628     14,837,316             (330,312

RBC Capital Markets LLC

    (26,953,315     26,953,315              
 

 

 

   

 

 

   

 

 

   

 

 

 
  $ (312,355,865   $ 312,025,553     $     $ (330,312
 

 

 

   

 

 

   

 

 

   

 

 

 

 

  (a) 

Net collateral, including accrued interest, with a value of $354,788,932 has been pledged/received in connection with open reverse repurchase agreements. Excess of net collateral pledged to the individual counterparty is not shown for financial reporting purposes.

 
  (b) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a fund’s obligation to repurchase the securities.

Short Sale Transactions: In short sale transactions, a fund sells a security it does not hold in anticipation of a decline in the market price of that security. When a fund makes a short sale, it will borrow the security sold short (borrowed bond) and deliver the fixed-income security to the counterparty to which it sold the security short. An amount equal to the proceeds received by a fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the market value of the short sale. A fund is required to repay the counterparty interest on the security sold short, which, if applicable, is included in interest expense in the Statements of Operations. A fund is exposed to market risk based on the amount, if any, that the market value of the security increases beyond the market value at which the position was sold. Thus, a short sale of a security involves the risk that instead of declining, the price of the security sold short will rise. The short sale of securities involves the possibility of an unlimited loss since there is an unlimited potential for the market price of the security sold short to increase. A gain is limited to the price at which a fund sold the security short. A realized gain or loss is recognized upon the termination of a short sale if the market price is either less than or greater than the proceeds originally received. There is no assurance that a fund will be able to close out a short position at a particular time or at an acceptable price.

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.

 

 

N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

  137


Notes to Financial Statements  (continued)

 

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

Options: The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.

A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.

Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.

 

   

Swaptions — The Funds may purchase and write options on swaps (“swaptions”) primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option.

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Funds purchasing or selling a security when they otherwise would not, or at a price different from the current market value.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

 

 

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Notes to Financial Statements  (continued)

 

In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and the CCP becomes the Funds’ counterparty on the swap. Each Fund is required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

 

   

Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk).

The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.

 

   

Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

 

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Notes to Financial Statements  (continued)

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory: Each Fund entered into an Investment Advisory Agreement with the Manager, the Funds’ investment adviser and an indirect, wholly-owned subsidiary of BlackRock, Inc. (“BlackRock”), to provide investment advisory and administrative services. The Manager is responsible for the management of each Fund’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund.

For such services, DSU and FRA pay the Manager a monthly fee at an annual rate equal to the following percentages of the average daily value of each Fund’s net assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage:

 

     DSU     FRA  

Investment advisory fees

    0.55     0.75

For purposes of calculating these fees, “net assets” mean the total assets of each Fund minus the sum of its accrued liabilities.

For such services, BKT pays the Manager a monthly fee at an annual rate equal to 0.65% of the average weekly value of the Fund’s net assets. For purposes of calculating this fee, “net assets” means the total assets of the Fund minus the sum of its accrued liabilities (including the aggregate indebtedness constituting financial leverage).

For such services, BLW pays the Manager a monthly fee at an annual rate equal to 0.55% of the average weekly value of the Fund’s managed assets, plus the proceeds of any debt securities or outstanding borrowings used for leverage. For purposes of calculating this fee, “managed assets” are determined as total assets of the Fund (including any assets attributable to money borrowed for investment purposes) less the sum of its accrued liabilities (other than money borrowed for investment purposes).

With respect to each Fund, the Manager entered into separate sub-advisory agreements with BlackRock International Limited (“BIL”), an affiliate of the Manager. With respect to BLW, the Manager also entered into a separate sub-advisory agreement with BlackRock (Singapore) Limited (“BSL”), an affiliate of the Manager. The Manager pays BIL and, with respect to BLW, BSL for services they provide for that portion of each Fund for which BIL, and, with respect to BLW, BSL acts as sub-adviser, a monthly fee that is equal to a percentage of the investment advisory fees paid by each Fund to the Manager.

Administration: BKT has an Administration Agreement with the Manager. The administration fee paid monthly to the Manager is computed at an annual rate of 0.15% of the Fund’s average weekly managed assets. For BKT, the Manager may reduce or discontinue these arrangements at any time without notice.

Distribution Fees: FRA had entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager, to provide for distribution of FRA common shares on a reasonable best efforts basis through an equity shelf offering (a “Shelf Offering”) (the “Distribution Agreement”); however, as of December 31, 2021, FRA is no longer actively engaged in a Shelf Offering and has no effective registration statement or current prospectus and the Distribution Agreement with FRA has been terminated. Pursuant to the Distribution Agreement, BRIL will receive commissions with respect to sales of common shares at a commission rate of 1.00% of the gross proceeds of the sale of FRA’s common shares and a portion of such commission is re-allowed to broker-dealers engaged by BRIL. The commissions retained by BRIL during the period ended December 31, 2021 amounted to $0 since no sales of FRA’s common shares were made prior to termination of the Distribution Agreement.

Expense Waivers and Reimbursements: With respect to each Fund, the Manager contractually agreed to waive its investment advisory fees by the amount of investment advisory fees each Fund pays to the Manager indirectly through its investment in affiliated money market funds (the “affiliated money market fund waiver”) through June 30, 2023. The contractual agreement may be terminated upon 90 days’ notice by a majority of the Independent Directors, or by a vote of a majority of the outstanding voting securities of a Fund. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2021, the amounts waived were as follows:

 

Fund Name   Fees Waived and/or Reimbursed
by the Manager
 

DSU

  $ 656  

FRA

    142  

BKT

    3,646  

BLW

    2,640  

The Manager contractually agreed to waive its investment advisory fee with respect to any portion of each Fund’s assets invested in affiliated equity and fixed-income mutual funds and affiliated exchange-traded funds that have a contractual management fee through June 30, 2023. The agreement can be renewed for annual periods thereafter, and may be terminated on 90 days’ notice, each subject to approval by a majority of the Funds’ Independent Directors. These amounts are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. For the year ended December 31, 2021, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

Fund Name   Fees Waived and/or Reimbursed
by the Manager
 

DSU

  $ 29,807  

FRA

    41,833  

BLW

    3,838  

 

 

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Notes to Financial Statements  (continued)

 

Directors and Officers: Certain directors and/or officers of the Funds are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Funds’ Chief Compliance Officer, which is included in Directors and Officer in the Statements of Operations.

Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common directors. For the year ended December 31, 2021, the purchase and sale transactions and any net realized gains (losses) with affiliated funds in compliance with Rule 17a-7 under the 1940 Act were as follows:

 

Fund Name   Purchases      Sales      Net Realized
Gain (Loss)
 

DSU

  $ 1,065,575      $      $  

BLW

    2,025        309,963        (120,610

During the year ended December 31, 2021, BLW received a reimbursement of $838 from an affiliate, which is included in Other income — affiliated in the Statements of Operations, related to an operating event.

 

7.

PURCHASES AND SALES

For the year ended December 31, 2021, purchases and sales of investments, including paydowns/payups, mortgage dollar rolls and excluding short-term securities, were as follows:

 

     U.S. Government Securities      Other Securities  
Fund Name   Purchases      Sales      Purchases      Sales  

DSU

  $      $      $ 381,863,050      $ 378,304,922  

FRA

                  364,760,262        360,770,563  

BKT

                  1,361,856,231        1,358,709,842  

BLW

    20,043,655        3,095,492        647,953,667        603,037,330  

For the year ended December 31, 2021, purchases and sales related to mortgage dollar rolls were as follows:

 

Fund Name   Purchases      Sales  

BKT

  $ 705,168,158      $ 706,243,602  

BLW

  $ 128,714,760      $ 128,960,019  

 

8.

INCOME TAX INFORMATION

It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three fiscal years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of December 31, 2021, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

The tax character of distributions paid was as follows:

 

Fund Name   Year Ended
12/31/21
     Year Ended
12/31/20
 

DSU

    

Ordinary income

  $ 28,723,773      $ 29,156,637  

Return of capital

    5,103,734        10,264,492  
 

 

 

    

 

 

 
  $ 33,827,507      $ 39,421,129  

FRA

    

Ordinary income

  $ 23,507,568      $ 24,834,098  

Return of capital

    4,692,282        8,006,999  
 

 

 

    

 

 

 
  $ 28,199,850      $ 32,841,097  

BKT

    

Ordinary income

  $ 18,883,406      $ 21,525,091  

Return of capital

    7,473,844        4,810,355  
 

 

 

    

 

 

 
  $ 26,357,250      $ 26,335,446  

 

 

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Notes to Financial Statements  (continued)

 

Fund Name (continued)   Year Ended
12/31/21
     Year Ended
12/31/20
 

BLW

    

Ordinary income

  $ 36,216,307      $ 36,735,203  

Return of capital

    5,785,872        5,328,251  
 

 

 

    

 

 

 
  $ 42,002,179      $ 42,063,454  
 

 

 

    

 

 

 

As of December 31, 2021, the tax components of accumulated earnings (loss) were as follows:

 

Fund Name   Non-Expiring
Capital Loss
Carryforwards(a)
    Net Unrealized
Gains (Losses)(b)
    Total  

DSU

  $ (91,035,096   $ (23,379,994   $ (114,415,090

FRA

    (43,416,429     (7,585,956     (51,002,385

BKT

    (93,655,659     138,259       (93,517,400

BLW

    (35,107,732     (1,471,653     (36,579,385

 

  (a) 

Amounts available to offset future realized capital gains.

 
  (b) 

The difference between book-basis and tax-basis net unrealized gains (losses) were attributable primarily to the tax deferral of losses on wash sales and straddles, the accrual of income on securities in default, the classification of investments, dividends recognized for tax purposes, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency contracts, the timing and recognition of partnership income, the timing of distributions, amortization methods for premiums on fixed income securities, the accounting for swap agreements and the deferral of compensation to directors.

 

During the year ended December 31, 2021, the Funds listed below utilized the following amounts of their respective capital loss carryforward:

 

Fund Name   Amounts  

DSU

  $ 6,581,163  

FRA

    5,721,499  

BLW

    10,802,857  

As of December 31, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

Fund Name   Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
    Net Unrealized
Appreciation
(Depreciation)
 

DSU

  $ 819,500,480      $ 9,628,273      $ (29,662,128   $ (20,033,855

FRA

    734,609,983        4,917,220        (10,113,558     (5,196,338

BKT

    642,287,518        28,434,083        (25,796,084     2,637,999  

BLW

    936,586,546        29,696,118        (26,628,584     3,067,534  

 

9.

BANK BORROWINGS

DSU and FRA are party to a senior committed secured, 360-day rolling line of credit facility and a separate security agreement (the “SSB Agreement”) with State Street Bank and Trust Company (“SSB”). SSB may elect to terminate its commitment upon 360-days written notice to DSU and FRA. As of period end, DSU and FRA have not received any notice to terminate. DSU and FRA have granted a security interest in substantially all of their assets to SSB.

The SSB Agreement allows for the following maximum commitment amounts:

 

Fund Name   Commitment Amounts  

DSU

  $ 340,000,000  

FRA

    274,000,000  

Advances will be made by SSB to DSU and FRA, at DSU’s and FRA’s option of (a) the higher of (i) 0.80% above the Fed Funds rate and (ii) 0.80% above Overnight LIBOR or (b) 0.80% above 7-day, 30-day, 60-day or 90-day LIBOR. Overnight LIBOR and LIBOR rates are subject to a 0% floor.

In addition, DSU and FRA paid a commitment fee (based on the daily unused portion of the commitments). The fees associated with each of the agreements are included in the Statements of Operations as borrowing costs, if any. Advances to DSU and FRA as of period end, if any, are shown in the Statements of Assets and Liabilities as bank borrowings payable. Based on the short-term nature of the borrowings under the line of credit and the variable interest rate, the carrying amount of the borrowings approximates fair value.

DSU and FRA may not declare dividends or make other distributions on shares or purchase any such shares if, at the time of the declaration, distribution or purchase, asset coverage with respect to the outstanding short-term borrowings is less than 300%.

 

 

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Notes to Financial Statements  (continued)

 

For the year ended December 31, 2021, the maximum amount borrowed, the average daily borrowing and the weighted average interest rate, if any, under the credit agreement were as follows:

 

Fund Name   Maximum
Amount Borrowed
     Average Amount
Outstanding
     Daily Weighted Average
Interest Rate
 

DSU

  $ 253,000,000      $ 239,134,247        0.95

FRA

    225,000,000        208,917,808        0.94  

 

10.

PRINCIPAL RISKS

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments.

Each Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. A Fund may not be able to readily dispose of such investments at prices that approximate those at which a Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, a Fund may have to sell other investments or engage in borrowing transactions if necessary to raise funds to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting a Fund’s NAV and ability to make dividend distributions. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A Fund may invest in illiquid investments. An illiquid investment is any investment that a Fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A Fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause each Fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a Fund may lose value, regardless of the individual results of the securities and other instruments in which a Fund invests.

The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. A Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

For OTC options purchased, each Fund bears the risk of loss in the amount of the premiums paid plus the positive change in market values net of any collateral held by the Funds should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty, to perform. The Funds may be exposed to counterparty credit risk with respect to options written to the extent each Fund deposits collateral with its counterparty to a written option.

 

 

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Notes to Financial Statements  (continued)

 

With exchange-traded options purchased, exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.

Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.

Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the LIBOR. Although many LIBOR rates will cease to be published or no longer will be representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

 

11.

CAPITAL SHARE TRANSACTIONS

DSU is authorized to issue 400 million shares, all of which were initially classified as Common Shares. FRA and BKT are authorized to issue 200 million shares, all of which were initially classified as Common Shares. BLW is authorized to issue an unlimited number of shares, all of which were initially classified as Common Shares. The par value for DSU’s, FRA’s, BKT’s and BLW’s shares is $0.10, $0.10, $0.01 and $0.001, respectively. Each Board is authorized, however, to reclassify any unissued Common Shares to Preferred Shares without the approval of Common Shareholders.

Common Shares

For the periods shown, shares issued and outstanding increased by the following amounts as a result of dividend reinvestment:

 

     Year Ended  
Fund Name   12/31/21      12/31/20  

DSU

    14,784         

BKT

    104,060         

BLW

    49,148         

The Funds participate in an open market share repurchase program (the “Repurchase Program”). From December 1, 2020 through November 30, 2021, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2020, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts. From December 1, 2021 through November 30, 2022, each Fund may repurchase up to 5% of its outstanding common shares under the Repurchase Program, based on common shares outstanding as of the close of business on November 30, 2021, subject to certain conditions. There is no assurance that the Funds will purchase shares in any particular amounts.

The total cost of the shares repurchased is reflected in Funds’ Statements of Changes in Net Assets. For the periods shown, shares repurchased and cost, including transaction costs were as follows:

 

     DSU      FRA      BLW  
     Shares      Amounts      Shares      Amounts      Shares      Amounts  

Year Ended December 31, 2021

         $        102,939      $ 1,250,043             $  

Year Ended December 31, 2020

    353,230        3,364,037        569,915        6,507,629        170,552        2,364,913  

 

 

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Notes to Financial Statements  (continued)

 

Discount Management Program: DSU’s three-year discount management program (the “Program”) ended in 2020. Under the Program, the Fund offered to repurchase its common shares based on three 3-month measurement periods when the Fund’s common shares traded at an average daily discount to NAV of more than 7.5% during a measurement period (the “discount trigger”). There was no guarantee that shareholders would be able to sell all of the shares that they desired to sell in any particular repurchase that was executed.

The discount trigger was met for the first measurement period, which began on December 1, 2017 and ended on February 28, 2018. As a result, the Fund conducted a tender offer for 10% of its outstanding shares of common stock.

The discount trigger was met for the second measurement period, which began on December 1, 2018 and ended on February 28, 2019. As a result, the Fund conducted a tender offer for 5% of its outstanding shares of common stock.

The discount trigger was met for the third measurement period, which began on December 2, 2019 and ended on February 28, 2020. As a result, the Fund conducted a tender offer for 5% of its outstanding shares of common stock.

The results of each tender offer were as follows:

 

               
      

Commencement

Date of Tender

Offer Period(a)

  Valuation
Date
    

Number of Shares

Tendered

    

Tendered Shares

as a Percentage of

Outstanding Shares

   

Number of Tendered

Shares

Purchased

    

Tendered Shares

Purchased

as a Percentage of

Outstanding Shares

    Purchase Price     

Total Amount of

Purchases

        
 

March 16, 2018

    April 17, 2018        26,225,806        45.0     5,879,192        10.0   $ 12.4068      $ 72,941,959    
 

March 15, 2019

    April 15, 2019        21,792,955        41.0       2,636,959        5.0       11.9854        31,605,008    
 

March 17, 2020

    April 16, 2020        17,034,684        34.0       2,470,791        5.0       10.2018        25,206,516    

 

  (a) 

Date the tender offer period began.

 

Tendered share amounts are shown as redemption of shares resulting from share repurchases (including transaction costs) in the Statements of Changes in Net Assets.

 

12.

SUBSEQUENT EVENTS

Management’s evaluation of the impact of all subsequent events on the Funds’ financial statements was completed through the date the financial statements were issued and the following items were noted:

The Funds declared and paid or will pay distributions to Common Shareholders as follows:

 

Fund Name  

Declaration

Date

    

Record

Date

     Payable/
Paid Date
    

Dividend Per

Common Share

 

DSU

    12/20/21        12/31/21        01/11/22      $ 0.060500  
    02/01/22        02/15/22        02/28/22        0.060500  

FRA

    12/20/21        12/31/21        01/11/22        0.066700  
    02/01/22        02/15/22        02/28/22        0.066700  

BKT

    12/20/21        12/31/21        01/11/22        0.034400  
    02/01/22        02/15/22        02/28/22        0.034400  

BLW

    12/20/21        12/31/21        01/11/22        0.098100  
      02/01/22        02/15/22        02/28/22        0.098100  

 

 

N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

  145


Report of Independent Registered Public Accounting Firm

 

To the Shareholders and Board of Trustees/Directors of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc., BlackRock Income Trust, Inc., and BlackRock Limited Duration Income Trust:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of BlackRock Debt Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc., BlackRock Income Trust, Inc., and BlackRock Limited Duration Income Trust (the “Funds”), including the schedules of investments, as of December 31, 2021, the related statements of operations and cash flows for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2021, and the results of their operations and their cash flows for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

 

Fund   Financial Highlights

BlackRock Debt Strategies Fund, Inc.

  For each of the two years in the period ended December 31, 2021, for the period from March 1, 2019 through December 31, 2019, and for each of the three years in the period ended February 28, 2019. The presented financial highlights were consolidated through November 30, 2017

BlackRock Floating Rate Income Strategies Fund, Inc.

  For each of the two years in the period ended December 31, 2021, for the period from September 1, 2019 through December 31, 2019, and for each of the three years in the period ended August 31, 2019. The presented financial highlights were consolidated through November 30, 2017

BlackRock Income Trust, Inc.

  For each of the three years in the period ended December 31, 2021, the period from September 1, 2018 through December 31, 2018, and for each of the two years in the period ended August 31, 2018

BlackRock Limited Duration Income Trust.

  For each of the two years in the period ended December 31, 2021, for the period from September 1, 2019 through December 31, 2019, and for each of the three years in the period ended August 31, 2019

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, 2021, by correspondence with the custodian, agent banks and brokers; when replies were not received from agent banks or brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

Deloitte & Touche LLP

Boston, Massachusetts

February 24, 2022

We have served as the auditor of one or more BlackRock investment companies since 1992.

 

 

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Important Tax Information  (unaudited)

 

The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended December 31, 2021:

 

Fund Name   Qualified Dividend
Income
 

DSU

  $ 272,730  

BLW

    2,512,583  

The Fund hereby designates the following amount, or maximum amount allowable by law, of distributions from direct federal obligation interest for the fiscal year ended December 31, 2021:

 

Fund Name   Federal Obligation
Interest
 

BLW

  $ 577,685  

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended December 31, 2021 qualified for the dividends-received deduction for corporate shareholders:

 

Fund Name   Dividends-Received
Deduction
 

DSU

    0.63

BLW

    4.42  

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended December 31, 2021:

 

Fund Name   Interest
Dividend
 

DSU

  $ 28,117,426  

FRA

    23,276,335  

BKT

    18,883,406  

BLW

    35,639,722  

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended December 31, 2021:

 

Fund Name   Interest
Related
Dividends
 

DSU

  $ 21,267,950  

FRA

    18,305,262  

BKT

    18,883,406  

BLW

    23,975,862  

 

 

I M P O R T A N T   T A X   I N F O R M A T I O N

  147


Investment Objectives, Policies and Risks

 

Recent Changes

The following information is a summary of certain changes since December 31, 2020. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

During each Fund’s most recent fiscal year, there were no material changes in the Fund’s investment objectives or policies that have not been approved by shareholders or in the principal risk factors associated with investment in the Fund.

Investment Objectives and Policies

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

The Fund’s investment objective is to provide stockholders 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 (“floating rate debt securities”). The Fund’s investment objective is a fundamental policy and may not be changed without stockholder approval.

The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its Managed 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). “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes). 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 at the time of investment or, if unrated, are considered by BlackRock Advisors, LLC (the “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s sub-advisor, to be of comparable quality. Secured loans may be either wholly or partially secured at the time of investment. In addition to senior loans, floating rate debt securities may include, without limitation, instruments such as catastrophe and other event linked bonds, bank capital securities, corporate bonds, notes, money market instruments and certain types of mortgage related and other asset backed securities. Due to their floating or variable rate features, these instruments will generally pay higher levels of income in a rising interest rate environment and lower levels of income as interest rates decline. For the same reason, the market value of a floating rate debt security is generally expected to have less sensitivity to fluctuations in market interest rates than a fixed rate debt instrument, although the value of a floating rate debt security may nonetheless decline as interest rates rise and due to other factors, such as real or perceived changes in credit quality or financial condition of the issuer or borrower, volatility in the capital markets or other adverse market conditions.

The Fund may invest directly in floating rate debt securities or synthetically through the use of derivatives.

The Fund’s policy to invest, under normal market conditions, at least 80% of its Managed Assets in floating rate debt securities, as described above, is a non-fundamental policy and may be changed by the Board of Directors of the Fund provided that stockholders are provided with at least 60 days’ prior notice of any change, unless such change was previously approved by shareholders, as required by the rules under the Investment Company Act of 1940, as amended (the “1940 Act”).

The Fund may invest up to 20% of its total assets in securities other than floating rate debt securities, including, but not limited to, fixed rate debt securities such as convertible securities, bonds, notes, fixed rate loans and mortgage related and other asset backed securities issued on a public or private basis, collateralized debt obligations, preferred securities, commercial paper, U.S. government securities, structured notes, credit linked notes, credit linked trust certificates and other hybrid instruments.

To a limited extent, incidental to and in connection with its investment activities or pursuant to a convertible feature in a security, the Fund may acquire warrants and other debt and equity securities. The Fund may also acquire other debt and equity securities of a borrower or issuer in connection with an amendment, waiver, conversion or exchange of a senior loan or other debt security or in connection with a bankruptcy or workout of the borrower or issuer.

The Fund may invest without limit, and generally intends to invest a substantial portion of its assets, in high yield securities, including senior loans and other floating or fixed rate debt securities, that are rated below investment grade by the established rating services (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or, if unrated, are considered by the Advisors to be of comparable quality. High yield bonds commonly are referred to as “junk” bonds. The high yield securities in which the Fund invests may include credit linked notes, structured notes, credit linked trust certificates or other instruments evidencing interests in special purpose vehicles or trusts that hold interests in high yield securities. Other than with respect to Distressed Securities (which are discussed below), the high yield securities in which the Fund may invest do not include securities which, at the time of investment, are in default or the issuers of which are in bankruptcy. The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Advisors.

The Fund may not invest more than 10% of its total assets (at the time of investment) in securities that are rated Caa1 or lower (if rated by Moody’s) or CCC+ or lower (if rated by S&P) by each agency rating such security or, if unrated, are considered by the Advisors to be of comparable quality or are otherwise considered to be distressed securities (“Distressed Securities”).

The Fund may invest without limitation in debt securities of issuers domiciled outside the United States. The Fund, however, will not invest more than 10% of its total assets in debt securities of issuers located in emerging market countries. Emerging market countries generally include every nation in the world (including countries that may be considered “frontier” markets) except the United States, Canada, Japan, Australia, New Zealand and most countries located in Western Europe. The Fund will invest primarily in U.S. dollar denominated debt securities. The Fund will not invest more than 10% of its total assets in debt securities denominated in currencies other than the U.S. dollar or that do not provide for payment to the Fund in U.S. dollars, including obligations of non-U.S. governments and their respective subdivisions, agencies and government sponsored enterprises.

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Investment Objectives and Policies (continued)

The Fund may invest in bonds of varying maturities issued by U.S. and non-U.S. corporations and other business or governmental entities. Bonds can be variable or fixed rate debt obligations, including bills, notes, debentures, money market instruments and similar instruments and securities. The Fund may also invest in catastrophe or other “event linked” bonds. The Fund may invest in securities of any maturity.

The Fund may invest in preferred securities, including preferred securities that may be converted into common stock or other securities of the same or a different issuer. The types of preferred securities in which the Fund may invest include trust preferred securities.

The Fund may invest in convertible securities. A convertible security is a bond, debenture, note, preferred security or other security that may be converted into or exchanged for a prescribed amount of common stock or other equity security of the same or a different issuer within a particular period of time at a specified price or formula.

The Fund may invest without limit in illiquid securities, which are floating rate debt securities, senior loans, high yield securities and other securities that lack a secondary trading market or are otherwise considered illiquid.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. At times, the Fund could utilize leverage through borrowings, the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also leverage through the use of reverse repurchase agreements. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.

BlackRock Limited Duration Income Trust (BLW)

The Fund’s investment objective is to provide current income and capital appreciation. The Fund pursues its objective by investing primarily in three distinct asset classes:

 

   

intermediate duration, investment grade corporate bonds, mortgage related securities and asset-backed securities and U.S. government and agency securities;

 

   

senior, secured floating rate loans made to corporate and other business entities; an

 

   

U.S. dollar-denominated securities of U.S. and non-U.S. issuers rated below investment grade and, to a limited extent, non-U.S. dollar denominated securities of non-U.S. issuers rated below investment grade.

The Fund may invest directly in such securities or synthetically through the use of derivatives. BlackRock Advisors, LLC (the “Manager”) and the Fund’s sub-advisers, BlackRock International Limited (“BIL”) and BlackRock (Singapore) Limited (“BSL” and collectively with BIL and the Manager, the “Advisors”), have broad discretion to allocate the Fund’s assets among these three principal asset classes.

The Fund’s investment objective may be changed by the Board of Trustees of the Fund without prior shareholder approval.

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. In comparison to maturity (which is the date on which the issuer of a debt instrument is obligated to repay the principal amount), duration is a measure of the price volatility of a debt instrument as a result in changes in market rates of interest, based on the weighted average timing of the instrument’s expected principal and interest payments. Specifically, duration measures the anticipated percentage change in net asset value that is expected for every percentage point change in interest rates. The two have an inverse relationship. Duration differs from maturity in that it takes into account a security’s yield, coupon payments and its principal payments in addition to the amount of time until the security finally matures. As the value of a security changes over time, so will its duration. Prices of securities with longer durations tend to be more sensitive to interest rate changes than securities with shorter durations. In general, a portfolio of securities with a longer duration can be expected to be more sensitive to interest rate changes than a portfolio with a shorter duration.

The Fund is intended to have a relatively low level of interest rate risk compared to investment portfolios of similar credit quality but with longer durations. Certain of the Fund’s other strategies, however, may result in an above average amount of risk and volatility or loss of principal.

The Fund may invest in corporate bonds.

The Fund anticipates that, under normal market conditions, a significant portion of its Managed Assets will be invested in securities rated below investment grade, such as those rated (Ba or lower by Moody’s Investor’s Service (“Moody’s”) or BB or lower by S&P Global Ratings (“S&P”)) or securities comparably rated by other rating agencies or in unrated securities determined by the Advisors to be of comparable quality. High yield securities commonly are referred to as “junk” bonds. The Fund may invest in individual securities of any credit quality. “Managed Assets” means the total assets of the Fund (including any assets attributable to money borrowed for investment purposes) minus the sum of the Fund’s accrued liabilities (other than money borrowed for investment purposes).

The Fund may also invest in investment grade securities, which are securities rated at least BBB– as determined by S&P, Baa3 as determined by Moody’s or, if unrated, determined to be of comparable quality by the Advisors. When the Advisors believe it to be in the best interests of the Fund’s shareholders, the Fund will reduce its investment in lower grade securities and, in certain market conditions, the Fund may invest none of its assets in lower grade securities.

The Fund may invest without limitation in U.S. dollar denominated securities of non-U.S. issuers and, to a limited extent, non-U.S. dollar-denominated securities of non-U.S. issuers (“Non-U.S. Securities”), including up to 20% of its Managed Assets in issuers located in emerging market countries. The Fund can hold no more than 10% of its Managed Assets in non-U.S. dollar-denominated Non-U.S. Securities.

Non-U.S. Securities may include debt securities issued by foreign governments and other sovereign entities and debt securities issued by foreign corporations or supranational entities and securities denominated in U.S. dollars or, to a limited extent (as described above), in foreign currencies or multinational currency units. The Fund may invest in

 

 

N V E S T M E N  T   O B J E C T I V E S ,    P O L I C I E S   A N D    R I S K S   149


Investment Objectives, Policies and Risks  (continued)

 

Investment Objectives and Policies (continued)

Brady Bonds and other sovereign debt of countries that have restructured their debt pursuant to the Brady Plan, which are viewed as speculative investments. The Fund may also purchase debt securities of supranational organizations such as the European Coal and Steel Community, the European Economic Community and the World Bank, which are chartered to promote economic development.

The Fund may invest in debt securities issued or guaranteed by the U.S. government, its agencies or instrumentalities including but not limited to: (1) U.S. Treasury obligations, which differ in their interest rates, maturities and times of issuance, such as U.S. Treasury bills (maturity of one year or less), U.S. Treasury notes (maturity of one to ten years), and U.S. Treasury bonds (generally maturities of greater than ten years), including the principal components or the interest components issued by the U.S. government under the separate trading of registered interest and principal securities program (i.e., “STRIPS”), all of which are backed by the full faith and credit of the United States; and (2) obligations issued or guaranteed by U.S. government agencies or instrumentalities, including government guaranteed mortgage-related securities, some of which are backed by the full faith and credit of the U.S. Treasury, some of which are supported by the right of the issuer to borrow from the U.S. government and some of which are backed only by the credit of the issuer itself.

The Fund may invest in mortgage-related securities, which include collateralized mortgage obligations, stripped mortgage-backed securities, mortgage pass-through securities, interests in real estate mortgage investment conduits, real estate investment trusts (“REITs”), including debt and preferred stock issued by REITs, as well as other real estate-related securities. The mortgage-related securities in which the Fund may invest include those with fixed, floating or variable interest rates, those with interest rates that change based on multiples of changes in a specified index of interest rates and those with interest rates that change inversely to changes in interest rates, as well as those that do not bear interest. The Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, including subordinated mortgage-related securities. Although the Fund may invest in residential and commercial mortgage-related securities issued by governmental entities and private issuers, the Fund expects that most of such investments will be limited to commercial mortgage-related securities, in which the Fund will not invest more than 15% of its Managed Assets.

Asset-backed securities are a form of structured debt obligations. The securitization techniques used for asset-backed securities are similar to those used for mortgage-related securities. The collateral for these securities may include home equity loans, automobile and credit card receivables, boat loans, computer leases, airplane leases, mobile home loans, recreational vehicle loans and hospital account receivables. The Fund may invest in these and other types of asset-backed securities that may be developed in the future.

In addition to senior, secured floating rate loans made to corporate and other business entities, the Fund may also purchase unsecured loans, other floating rate debt securities, and credit-linked notes.

A senior loan is typically originated, negotiated and structured by a U.S. or foreign commercial bank, insurance company, finance company or other financial institution (the “Agent”) for a group of loan investors (“Loan Investors”). The Fund may purchase “Assignments” from the Agent or other Loan Investors. The Fund also may invest in “Participations.” Participations by the Fund in a Loan Investor’s portion of a senior loan typically will result in the Fund having a contractual relationship only with such Loan Investor, not with the borrower, whereas the Fund, as a purchaser of an Assignment, would typically succeed to all the rights and obligations under the loan agreement of the assigning Loan Investor and become a Loan Investor under the loan agreement with the same rights and obligations as the assigning Loan Investor. The Fund will only acquire Participations if the Loan Investor selling the Participation, and any other persons interpositioned between the Fund and the Loan Investor, are believed by the Advisors to be creditworthy at the time they enter into such transactions.

The Fund may also acquire equity securities or debt securities (including non-dollar denominated debt securities) issued in exchange for a senior loan or issued in connection with the debt restructuring or reorganization of a borrower, or if such acquisition, in the judgment of the Advisors, may enhance the value of a senior loan or would otherwise be consistent with the Fund’s investment policies.

The Fund may invest in collateralized bond obligations (“CBOs”), which are structured securities backed by a diversified pool of high yield, public or private fixed income securities. Under normal market conditions, the Fund expects to invest in the lower tranches of CBOs.

The Fund may purchase and sell futures contracts, enter into various interest rate transactions such as swaps, caps, floors or collars, currency transactions such as currency forward contracts, currency futures contracts, currency swaps or options on currency or currency futures and swap contracts (including, but not limited to, credit default swaps) and may purchase and sell exchange-listed and over-the-counter put and call options on securities and swap contracts, financial indices and futures contracts and use other derivative instruments or management techniques. The Fund also may purchase derivative instruments that combine features of these instruments.

The Fund may invest up to 10% of its Managed Assets in securities of other open- or closed-end investment companies that invest primarily in bonds of the types in which the Fund may invest directly. The Fund generally expects to invest in other investment companies either during periods when it has large amounts of uninvested cash, such as the period shortly after the Fund receives the proceeds of the offering of its common shares, or during periods when there is a shortage of attractive opportunities in the fixed income market.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of reverse repurchase agreements. The Fund may borrow from banks and other financial institutions and may also borrow additional funds using such investment techniques as the Advisors may from time to time determine. Of these investment techniques, the Fund expects primarily to use reverse repurchase agreements and dollar rolls.

The Fund also has the ability to utilize leverage through the issuance of preferred shares. The Fund does not currently anticipate issuing any preferred shares.

The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to shareholders than that obtainable over time with an unleveraged capital structure. There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent.

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Investment Objectives and Policies (continued)

BlackRock Debt Strategies Fund, Inc. (DSU)

The Fund’s primary investment objective is to seek to provide current income by investing primarily in a diversified portfolio of U.S. companies’ debt instruments, including Corporate Loans (as defined below), which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s Investor’s Service (“Moody’s”) or BBB or lower by S&P Global Ratings (“S&P”)) or unrated debt instruments which are in the judgment of BlackRock Advisors, LLC (the “Manager”) of equivalent quality. Such investments generally involve greater volatility of price and risks to principal and income than securities in the higher rating categories. As a secondary objective, the Fund will seek to provide capital appreciation. The Fund’s investment objectives are fundamental policies and may not be changed without the approval of a majority of the outstanding voting securities of the Fund (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)).

Under normal market conditions, at least 80% of the Fund’s total assets will be invested in debt instruments. The Fund may invest directly in debt instruments or synthetically through the use of derivatives. The Fund has no restrictions on portfolio maturity or duration of the debt securities in which it may invest.

The Fund’s investment policies permit investment in the following asset classes which are described in greater detail below: (i) senior and subordinated corporate loans, both secured and unsecured (“Corporate Loans”), issued either directly by the borrower or in the form of participation interests in Corporate Loans made by banks and other financial institutions; (ii) publicly offered and privately placed high-yield debt securities, senior and subordinated, both secured and unsecured; and (iii) convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and nonconvertible preferred stock. The debt securities and Corporate Loans in which the Fund invests may pay interest at fixed rates or at rates that float at a margin above a generally recognized base lending rate such as the prime rate of a designated U.S. bank, or that adjust periodically at a margin above the CD rate or LIBOR.

In connection with its investments in corporate debt securities, or restructuring of investments owned by the Fund, the Fund may receive warrants or other non-income producing debt or equity securities. The Fund may retain such securities until the Manager determines it is appropriate in light of current market conditions to effect a disposition of such securities.

The Fund will not invest in Corporate Loans that would require the Fund to make any additional investments in connection with its obligation to make future advances to a borrower in connection with revolving credit facilities if such commitments would exceed 20% of the Fund’s total assets or would cause the Fund to fail to meet the diversification requirements described herein.

The Fund may invest in high-yield corporate debt securities, including Corporate Loans, which are rated in the lower rating categories of the established rating services (Baa or lower by Moody’s and BBB or lower by S&P Global Ratings), or in unrated securities considered by the Manager to be of comparable quality. Securities rated below Baa or lower by Moody’s or BBB or lower by S&P and unrated securities of comparable quality, are commonly known as “junk bonds.” Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.

Up to 20% of the Fund’s total assets may be invested in Distressed Securities (defined below), which includes publicly offered or privately placed debt securities and Corporate Loans which, at the time of investment, are the subject of bankruptcy proceedings or otherwise in default as to the repayment of principal and/or payment of interest or are rated in the lowest rating categories (Ca or lower by Moody’s and CC or lower by S&P) or which, if unrated, are in the judgment of the Manager of equivalent quality (“Distressed Securities”). Although the Fund will invest primarily in lower-rated securities, other than with respect to Distressed Securities (which are discussed below) it will not invest in securities in the lowest rating categories (Ca or below by Moody’s and CC or below by S&P) unless the Manager believes that the financial condition of the issuer or the protection afforded to the particular securities is stronger than would otherwise be indicated by such low ratings. Securities which subsequently are downgraded may continue to be held by the Fund and will be sold only if, in the judgment of the Manager, it is advantageous to do so.

Up to 20% of the Fund’s total assets may be invested in financial instruments of issuers domiciled outside the United States or that are denominated in various foreign currencies and multinational foreign currency units, provided that the foreign issuers of any non-U.S. dollar denominated instruments purchased by the Fund are domiciled in a country that is a member of the Organisation for Economic Co-operation and Development (OECD).

Up to 20% of the Fund’s total assets can be invested in convertible debt instruments and preferred stock, each of which may be converted into common stock or other securities of the same or a different issuer, and non-convertible preferred stock. The types of preferred securities in which the Fund may invest include trust preferred securities.

As a result of conversions of convertible securities or upon an exchange offer or bankruptcy plan of reorganization, a significant portion of the Fund’s total assets may be invested in common stock at certain points in time.

The Fund may engage in various portfolio strategies to seek to increase its return and to hedge its portfolio against movements in interest rates or foreign currencies through the use of interest rate or foreign currency swap transactions, the purchase of call and put options on securities, the sale of covered call and put options on its portfolio securities and transactions in financial futures and related options on such futures. There can be no assurance that the Fund will employ these strategies or that, if employed, they will be effective.

The Fund may make short sales of securities, provided that the market value of all securities sold short does not exceed 10% of its total assets. The Fund may make short sales both as a form of hedging to offset potential declines in long positions in similar securities and in order to seek to enhance return. The Fund’s obligation to replace the borrowed security will be secured by collateral deposited with the broker dealer, usually cash, U.S. government securities or other liquid securities similar to those borrowed. The Fund also will be required to segregate similar collateral with its custodian or designate such collateral on its books and records to the extent, if any, necessary so that the value of both collateral amounts in the aggregate is at all times equal to at least 100% of the current market value of the security sold short. The Fund also may make short sales “against the box.” Short sales “against the box” are not subject to the foregoing 10% limitation.

 

 

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Investment Objectives and Policies (continued)

Subject to other investment restrictions applicable to the Fund, up to 10% of the Fund’s assets may be invested in debt instruments, including Corporate Loans, of investment companies (which may or may not be registered under the 1940 Act) whose portfolio securities consist entirely of (i) corporate debt or equity securities acceptable to the Manager or (ii) money market instruments.

The Fund has no limitation on the amount of its investments that are not readily marketable or are subject to restrictions on resale.

Leverage: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility. The Fund generally will not utilize leverage if it anticipates that the Fund’s leveraged capital structure would result in a lower return to common stockholders than that obtainable if the common stock were unleveraged for any significant amount of time. At times, the Fund could utilize leverage through borrowings, including the issuance of short term debt securities, the issuance of shares of preferred stock or a combination thereof. The Fund also has the ability to utilize leverage through the issuance of shares of preferred stock. The Fund may also utilize leverage through the use of reverse repurchase agreements.

The Fund may also borrow money as a temporary measure for extraordinary or emergency purposes, including the payment of dividends and the settlement of securities transactions which may otherwise require untimely dispositions of Fund securities. The Fund at times may borrow from affiliates of the Manager, provided that the terms of such borrowings are no less favorable than those available from comparable sources of funds in the marketplace.

There can be no assurance that the Fund will borrow in order to leverage its assets or, if it does, what percentage of the Fund’s assets such borrowings will represent. The Fund does not currently anticipate issuing any preferred stock.

BlackRock Income Trust, Inc. (BKT)

The Fund’s investment objective is to manage a portfolio of high-quality securities to achieve both preservation of capital and high monthly income. The Fund will seek to distribute monthly income that is greater than that obtainable on an annualized basis by investment in United States government securities having the same maturity as the weighted average maturity of the Fund’s investments. The Fund’s portfolio is expected to consist primarily of mortgage-backed securities and, to a lesser extent, asset-backed securities.

Mortgage-backed securities are securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans secured by real property. There are three basic types of mortgage-backed securities: (i) those issued or guaranteed by the United States government or one of its agencies or instrumentalities, such as the Government National Mortgage Association (“GNMA”), the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”); (ii) those issued by private issuers that are collateralized by securities issued or guaranteed by the United States government or one of its agencies or instrumentalities; and (iii) those issued by private issuers and collateralized by securities without a government guarantee but usually with some form of private credit enhancement.

The Fund will invest at least 65% of its assets in mortgage-backed securities. The balance of the Fund’s assets generally will be invested in asset-backed securities, which have structural characteristics similar to mortgage-backed securities but have underlying assets that are not mortgage loans or interests in mortgage loans. The Fund may also invest in various derivative mortgage-backed and asset-backed securities, such as collateralized mortgage obligations and asset-backed security residual interests and stripped mortgage-backed securities. In addition, for hedging purposes, the Fund may utilize a portion of its assets for certain options, futures, interest rate swaps and related transactions. For purposes of enhancing liquidity and/or preserving capital, the Fund may invest without limit in securities issued by the United States government and its agencies and instrumentalities, or repurchase agreements collateralized by such securities, certificates of deposit, time deposits or bankers’ acceptances of similar quality.

At least 80% of the Fund’s assets will be invested in securities that are (i) issued or guaranteed by the United States government or one of its agencies or instrumentalities or (ii) rated at the time of investment either AAA by S&P Global Ratings (“S&P”) or Aaa by Moody’s Investors Service (“Moody’s”). Securities issued or guaranteed by the United States government or its agencies or instrumentalities are generally considered to be of the same or higher quality than privately issued securities rated AAA or Aaa. No more than 20% of the Fund’s assets will be invested in other securities, all of which will have been determined by BlackRock Advisors, LLC (the “Manager”) or BlackRock International Limited (“BIL” and together with the Manager, the “Advisors”), the Fund’s sub-advisor, to be of comparable credit quality.

The yield characteristics of mortgage-backed and asset-backed securities differ from traditional debt securities. Among the major differences are that interest and principal payments are made more frequently, usually monthly, and that principal may be prepaid at any time because the underlying mortgage loans or other assets generally may be prepaid at any time. As a result, if the Fund purchases such a security at a premium, a prepayment rate that is faster than expected will reduce yield to maturity, while a prepayment rate that is slower than expected will have the opposite effect of increasing yield to maturity. Conversely, if the Fund purchases these securities at a discount, faster than expected prepayments will increase, while slower than expected prepayments will reduce, yield to maturity. The Fund may also invest in derivative securities such as stripped mortgage-backed securities or residual interests, which generally are more sensitive to changes in prepayment and interest rates. The Advisors will seek to manage these risks (and potential benefits) by investing in a variety of such securities and through hedging techniques.

Prepayments on a pool of mortgage loans are influenced by a variety of economic, geographic, social and other factors, including changes in mortgagors’ housing needs, job transfers, unemployment, mortgagors’ net equity in the mortgaged properties and servicing decisions. Generally, however, prepayments on fixed rate mortgage loans will increase during a period of falling interest rates and decrease during a period of rising interest rates. The same factors apply to prepayments on asset-backed securities but the predominant factor in a particular case may be different than in the case of mortgage-backed securities. Accordingly, amounts available for reinvestment by the Fund are likely to be greater during a period of declining interest rates than during a period of rising interest rates.

The Fund’s yield will also be affected by the interest rates on instruments in which the Fund is able to reinvest the proceeds of payments and prepayments. Accelerated prepayments on securities purchased by the Fund at a premium also impose a risk of loss of principal because the premium may not have been fully amortized at the time the principal is repaid in full.

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Investment Objectives and Policies (continued)

Leverage: The Fund may borrow from time to time, at the Advisors’ discretion, for purposes of investment leverage when yields on available investments exceed interest rates and other expenses of related borrowing, or when, in the Advisors’ opinion, unusual market conditions otherwise make it advantageous for the Fund to increase its investment capacity.

The Fund may also borrow for emergency purposes, for the payment of dividends or for the clearance of transactions.

The Fund may enter into reverse repurchase agreements.

Risk Factors

This section contains a discussion of the general risks of investing in each Fund. The net asset value and market price of, and dividends paid on, the common shares will fluctuate with and be affected by, among other things, the risks more fully described below. As with any fund, there can be no guarantee that a Fund will meet its investment objective or that the Fund’s performance will be positive for any period of time. Each risk noted below is applicable to each Fund unless the specific Fund or Funds are noted in a parenthetical.

Investment and Market Discount Risk: An investment in the Fund’s common shares is subject to investment risk, including the possible loss of the entire amount that you invest. As with any stock, the price of the Fund’s common shares will fluctuate with market conditions and other factors. If shares are sold, the price received may be more or less than the original investment. Common shares are designed for long-term investors and the Fund should not be treated as a trading vehicle. Shares of closed-end management investment companies frequently trade at a discount from their net asset value. This risk is separate and distinct from the risk that the Fund’s net asset value could decrease as a result of its investment activities. At any point in time an investment in the Fund’s common shares may be worth less than the original amount invested, even after taking into account distributions paid by the Fund. During periods in which the Fund may use leverage, the Fund’s investment, market discount and certain other risks will be magnified.

Debt Securities Risk: Debt securities, such as bonds, involve interest rate risk, credit risk, extension risk, and prepayment risk, among other things.

 

   

Interest Rate Risk — The market value of bonds and other fixed-income securities changes in response to interest rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise.

The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates. For example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors being equal, the value of the Fund’s investments would be expected to decrease by 10%. The magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by Fund management.

To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate debt securities.

These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in value when interest rates change.

A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could hurt the Fund’s performance.

 

   

Credit Risk — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.

 

   

Extension Risk — When interest rates rise, certain obligations will be paid off by the obligor more slowly than anticipated, causing the value of these obligations to fall.

 

   

Prepayment Risk — When interest rates fall, certain obligations will be paid off by the obligor more quickly than originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.

U.S. Government Obligations Risk: Certain securities in which the Fund may invest, including securities issued by certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. Government or supported by the full faith and credit of the United States.

U.S. Government Mortgage-Related Securities Risk (FRA, BLW and BKT): There are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. Mortgage-related securities guaranteed by the Government National Mortgage Association (“GNMA” or “Ginnie Mae”) are guaranteed as to the timely payment of principal and interest by GNMA and such guarantee is backed by the full faith and credit of the United States. GNMA securities also are supported by the right of GNMA to borrow funds from the U.S. Treasury to make payments under its guarantee.

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Risk Factors (continued)

Mortgage-related securities issued by Fannie Mae or Freddie Mac are solely the obligations of Fannie Mae or Freddie Mac, as the case may be, and are not backed by or entitled to the full faith and credit of the United States but are supported by the right of the issuer to borrow from the Treasury.

Mortgage- and Asset-Backed Securities Risks (FRA, BLW and BKT): Mortgage- and asset-backed securities represent interests in “pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of certain mortgage-backed securities.

Senior Loans Risk (FRA, BLW and DSU): There is less readily available, reliable information about most senior loans than is the case for many other types of securities. An economic downturn generally leads to a higher non-payment rate, and a senior loan may lose significant value before a default occurs. Moreover, any specific collateral used to secure a senior loan may decline in value or become illiquid, which would adversely affect the senior loan’s value. No active trading market may exist for certain senior loans, which may impair the ability of the Fund to realize full value in the event of the need to sell a senior loan and which may make it difficult to value senior loans. Although senior loans in which the Fund will invest generally will be secured by specific collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. To the extent that a senior loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in the event of the bankruptcy of the borrower. Uncollateralized senior loans involve a greater risk of loss.

Risks of Loan Assignments and Participations (BLW): As the purchaser of an assignment, the Fund typically succeeds to all the rights and obligations of the assigning institution and becomes a lender under the credit agreement with respect to the debt obligation; however, the Fund may not be able unilaterally to enforce all rights and remedies under the loan and with regard to any associated collateral. Because assignments may be arranged through private negotiations between potential assignees and potential assignors, the rights and obligations acquired by the Fund as the purchaser of an assignment may differ from, and be more limited than, those held by the assigning lender. In addition, if the loan is foreclosed, the Fund could become part owner of any collateral and could bear the costs and liabilities of owning and disposing of the collateral. The Fund may be required to pass along to a purchaser that buys a loan from the Fund by way of assignment a portion of any fees to which the Fund is entitled under the loan. In connection with purchasing participations, the Fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement relating to the loan, nor any rights of set-off against the borrower, and the Fund may not directly benefit from any collateral supporting the loan in which it has purchased the participation. As a result, the Fund will be subject to the credit risk of both the borrower and the lender that is selling the participation. In the event of the insolvency of the lender selling a participation, the Fund may be treated as a general creditor of the lender and may not benefit from any set-off between the lender and the borrower.

Corporate Loans Risk (DSU): Commercial banks and other financial institutions or institutional investors make corporate loans to companies that need capital to grow or restructure. Borrowers generally pay interest on corporate loans at rates that change in response to changes in market interest rates such as the London Interbank Offered Rate (“LIBOR”) or the prime rates of U.S. banks. As a result, the value of corporate loan investments is generally less exposed to the adverse effects of shifts in market interest rates than investments that pay a fixed rate of interest. The market for corporate loans may be subject to irregular trading activity and wide bid/ask spreads. In addition, transactions in corporate loans may settle on a delayed basis. As a result, the proceeds from the sale of corporate loans may not be readily available to make additional investments or to meet the Fund’s redemption obligations. To the extent the extended settlement process gives rise to short-term liquidity needs, the Fund may hold additional cash, sell investments or temporarily borrow from banks and other lenders. The corporate loans in which the Fund invests are usually rated below investment grade.

Variable and Floating Rate Instrument Risk (FRA, BLW and DSU): Variable and floating rate securities provide for periodic adjustment in the interest rate paid on the securities. These securities may be subject to greater illiquidity risk than other fixed income securities, meaning the absence of an active market for these securities could make it difficult for the Fund to dispose of them at any given time.

Junk Bonds Risk (FRA, BLW and DSU): Although junk bonds generally pay higher rates of interest than investment grade bonds, junk bonds are high risk investments that are considered speculative and may cause income and principal losses for the Fund.

Distressed Securities Risk (FRA and DSU): Distressed securities are speculative and involve substantial risks in addition to the risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that principal will not be repaid. These securities may present a substantial risk of default or may be in default at the time of investment. The Fund may incur additional expenses to the extent it is required to seek recovery upon a default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept cash or securities with a value less than its original investment. Distressed securities and any securities received in an exchange for such securities may be subject to restrictions on resale.

Collateralized Bond Obligations Risk (BLW): The pool of high yield securities underlying collateralized bond obligations is typically separated into groupings called tranches representing different degrees of credit quality. The higher quality tranches have greater degrees of protection and pay lower interest rates. The lower tranches, with greater risk, pay higher interest rates.

Collateralized Debt Obligations Risk (FRA): In addition to the typical risks associated with fixed-income securities and asset-backed securities, collateralized debt obligations (“CDOs”), including collateralized loan obligations, carry additional risks including, but not limited to: (i) the possibility that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure and complexity of the transaction and the legal documents could lead to disputes among investors regarding the characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager may perform poorly.

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Risk Factors (continued)

Sovereign Debt Risk (FRA and BLW): Sovereign debt instruments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies.

Brady Bonds Risk (BLW): Brady Bonds involve various risk factors described above associated with investing in non-U.S. securities, including the history of defaults with respect to commercial bank loans by public and private entities of countries issuing Brady Bonds.

Supranational Entities Risk (BLW): The Fund may invest in obligations issued or guaranteed by the World Bank. The government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay principal on its debt securities, and the Fund may lose money on such investments.

Yield and Ratings Risk (BKT): The yields on debt obligations are dependent on a variety of factors, including general market conditions, conditions in the particular market for the obligation, the financial condition of the issuer, the size of the offering, the maturity of the obligation and the ratings of the issue. The ratings of Moody’s, S&P and Fitch, represent their respective opinions as to the quality of the obligations they undertake to rate. Ratings, however, are general and are not absolute standards of quality. Consequently, obligations with the same rating, maturity and interest rate may have different market prices. Subsequent to its purchase by the Fund, a rated security may cease to be rated. The Manager will consider such an event in determining whether the Fund should continue to hold the security.

Repurchase Agreements and Purchase and Sale Contracts Risk (BKT): If the other party to a repurchase agreement or purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in either situation and the market value of the security declines, the Fund may lose money.

Foreign Securities Risk (FRA, BLW and DSU): Foreign investments often involve special risks not present in U.S. investments that can increase the chances that the Fund will lose money. These risks include:

 

   

The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory oversight.

 

   

Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.

 

   

The economies of certain foreign markets may not compare favorably with the economy of the United States with respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of payments position.

 

   

The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer currency, securities, derivatives or other assets.

 

   

Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to the same extent as does the United States and may not have laws to protect investors that are comparable to U.S. securities laws.

 

   

Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of securities not typically associated with settlement and clearance of U.S. investments.

 

   

The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, which will adversely affect the Fund’s net asset value.

Emerging Markets Risk (FRA and BLW): Emerging markets are riskier than more developed markets because they tend to develop unevenly and may never fully develop. Investments in emerging markets may be considered speculative. Emerging markets are more likely to experience hyperinflation and currency devaluations, which adversely affect returns to U.S. investors. In addition, many emerging securities markets have far lower trading volumes and less liquidity than developed markets.

Equity Securities Risk (FRA, BLW and DSU): Stock markets are volatile. The price of equity securities fluctuates based on changes in a company’s financial condition and overall market and economic conditions.

Preferred Securities Risk (FRA, BLW and DSU): Preferred securities may pay fixed or adjustable rates of return. Preferred securities are subject to issuer-specific and market risks applicable generally to equity securities. In addition, a company’s preferred securities generally pay dividends only after the company makes required payments to holders of its bonds and other debt. For this reason, the value of preferred securities will usually react more strongly than bonds and other debt to actual or perceived changes in the company’s financial condition or prospects. Preferred securities of smaller companies may be more vulnerable to adverse developments than preferred securities of larger companies.

Convertible Securities Risk (FRA and DSU): The market value of a convertible security performs like that of a regular debt security; that is, if market interest rates rise, the value of a convertible security usually falls. In addition, convertible securities are subject to the risk that the issuer will not be able to pay interest or dividends when due, and

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Risk Factors (continued)

their market value may change based on changes in the issuer’s credit rating or the market’s perception of the issuer’s creditworthiness. Since it derives a portion of its value from the common stock into which it may be converted, a convertible security is also subject to the same types of market and issuer risks that apply to the underlying common stock.

Warrants Risk (FRA and DSU): If the price of the underlying stock does not rise above the exercise price before the warrant expires, the warrant generally expires without any value and the Fund will lose any amount it paid for the warrant. Thus, investments in warrants may involve substantially more risk than investments in common stock. Warrants may trade in the same markets as their underlying stock; however, the price of the warrant does not necessarily move with the price of the underlying stock.

Real Estate-Related Securities Risk (BLW): The main risk of real estate-related securities is that the value of the underlying real estate may go down. Many factors may affect real estate values. These factors include both the general and local economies, vacancy rates, tenant bankruptcies, the ability to re-lease space under expiring leases on attractive terms, the amount of new construction in a particular area, the laws and regulations (including zoning, environmental and tax laws) affecting real estate and the costs of owning, maintaining and improving real estate. The availability of mortgage financing and changes in interest rates may also affect real estate values. If the Fund’s real estate-related investments are concentrated in one geographic area or in one property type, the Fund will be particularly subject to the risks associated with that area or property type. Many issuers of real estate-related securities are highly leveraged, which increases the risk to holders of such securities. The value of the securities the Fund buys will not necessarily track the value of the underlying investments of the issuers of such securities.

REIT Investment Risk (BLW): Investments in REITs involve unique risks. REITs may have limited financial resources, may trade less frequently and in limited volume, may engage in dilutive offerings of securities and may be more volatile than other securities. REIT issuers may also fail to maintain their exemptions from investment company registration or fail to qualify for the “dividends paid deduction” under the Internal Revenue Code of 1986, as amended, which allows REITs to reduce their corporate taxable income for dividends paid to their shareholders.

Derivatives Risk: The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or increase volatility. Derivatives involve significant risks, including:

 

   

Volatility Risk — Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the fluctuations in their values may not correlate with the overall securities markets.

 

   

Counterparty Risk — Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation.

 

   

Market and Illiquidity Risk — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more difficult for the Fund to value accurately.

 

   

Valuation Risk — Valuation may be more difficult in times of market turmoil since many investors and market makers may be reluctant to purchase complex instruments or quote prices for them.

 

   

Hedging Risk — Hedges are sometimes subject to imperfect matching between the derivative and the underlying security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging may result in certain adverse tax consequences.

 

   

Tax Risk — Certain aspects of the tax treatment of derivative instruments, including swap agreements and commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund realizes from its investments.

 

   

Regulatory Risk — Derivative contracts, including, without limitation, swaps, currency forwards and non-deliverable forwards, are subject to regulation under the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) in the United States and under comparable regimes in Europe, Asia and other non-U.S. jurisdictions. Under the Dodd-Frank Act, certain derivatives are subject to margin requirements and swap dealers are required to collect margin from the Fund with respect to such derivatives. Specifically, regulations are now in effect that require swap dealers to post and collect variation margin (comprised of specified liquid instruments and subject to a required haircut) in connection with trading of OTC swaps with the Fund. Shares of investment companies (other than certain money market funds) may not be posted as collateral under these regulations. Requirements for posting of initial margin in connection with OTC swaps will be phased-in through at least 2021. In addition, regulations adopted by global prudential regulators that are now in effect require certain bank-regulated counterparties and certain of their affiliates to include in certain financial contracts, including many derivatives contracts, terms that delay or restrict the rights of counterparties, such as the Fund, to terminate such contracts, foreclose upon collateral, exercise other default rights or restrict transfers of credit support in the event that the counterparty and/or its affiliates are subject to certain types of resolution or insolvency proceedings. The implementation of these requirements with respect to derivatives, as well as regulations under the Dodd-Frank Act regarding clearing, mandatory trading and margining of other derivatives, may increase the costs and risks to the Fund of trading in these instruments and, as a result, may affect returns to investors in the Fund.

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the Investment Company Act of 1940, as amended (the “1940 Act”), treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Structured Notes Risk (FRA): Structured notes and other related instruments purchased by the Fund are generally privately negotiated debt obligations where the principal and/or interest is determined by reference to the performance of a specific asset, benchmark asset, market or interest rate (“reference measure”). The purchase of structured notes exposes the Fund to the credit risk of the issuer of the structured product. Structured notes may be leveraged, increasing the volatility of each structured note’s value

 

 

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Investment Objectives, Policies and Risks  (continued)

 

Risk Factors (continued)

relative to the change in the reference measure. Structured notes may also be less liquid and more difficult to price accurately than less complex securities and instruments or more traditional debt securities.

Leverage Risk: The Fund currently utilizes leverage for investment purposes in the form of a bank credit facility or reverse repurchase agreements, as applicable. The Fund also utilizes leverage for investment purposes by entering into derivatives with leverage embedded in them and, if applicable, dollar rolls. The Fund’s use of leverage may increase or decrease from time to time in its discretion and the Fund may, in the future, determine not to use leverage.

The use of leverage creates an opportunity for increased common share net investment income dividends, but also creates risks for the holders of common shares. The Fund cannot assure you that the use of leverage will result in a higher yield on the common shares. Any leveraging strategy the Fund employs may not be successful.

Leverage involves risks and special considerations for common shareholders, including:

 

   

the likelihood of greater volatility of net asset value, market price and dividend rate of the common shares than a comparable portfolio without leverage;

 

   

the risk that fluctuations in interest rates or dividend rates on any leverage that the Fund must pay will reduce the return to the common shareholders;

 

   

the effect of leverage in a declining market, which is likely to cause a greater decline in the net asset value of the common shares than if the Fund were not leveraged, which may result in a greater decline in the market price of the common shares;

 

   

leverage may increase operating costs, which may reduce total return.

Any decline in the net asset value of the Fund’s investments will be borne entirely by the holders of common shares. Therefore, if the market value of the Fund’s portfolio declines, leverage will result in a greater decrease in net asset value to the holders of common shares than if the Fund were not leveraged. This greater net asset value decrease will also tend to cause a greater decline in the market price for the common shares.

Reverse Repurchase Agreements Risk: Reverse repurchase agreements involve the sale of securities held by the Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the Fund, including the value of the investments made with cash collateral, is less than the value of the securities. These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements involve the risk that the interest income earned in the investment of the proceeds will be less than the interest expense.

Dollar Rolls Risk (BLW): Dollar rolls involve the risk that the market value of the securities that the Fund is committed to buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.

Short Sales Risk (DSU): Because making short sales in securities that it does not own exposes the Fund to the risks associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a result of a short sale if the price of the security increases between the date of the short sale and the date on which the Fund replaces the security sold short.

Illiquid Investments Risk: The Fund may invest without limitation in illiquid or less liquid investments or investments in which no secondary market is readily available or which are otherwise illiquid, including private placement securities. The Fund may not be able to readily dispose of such investments at prices that approximate those at which the Fund could sell such investments if they were more widely traded and, as a result of such illiquidity, the Fund may have to sell other investments or engage in borrowing transactions if necessary to raise cash to meet its obligations. Limited liquidity can also affect the market price of investments, thereby adversely affecting the Fund’s net asset value and ability to make dividend distributions. The financial markets in general, and certain segments of the mortgage-related securities markets in particular, have in recent years experienced periods of extreme secondary market supply and demand imbalance, resulting in a loss of liquidity during which market prices were suddenly and substantially below traditional measures of intrinsic value. During such periods, some investments could be sold only at arbitrary prices and with substantial losses. Periods of such market dislocation may occur again at any time. Privately issued debt securities are often of below investment grade quality, frequently are unrated and present many of the same risks as investing in below investment grade public debt securities.

Investment Companies and ETFs Risk (BLW and DSU): Subject to the limitations set forth in the 1940 Act and the rules thereunder, the Fund may acquire shares in other investment companies and in exchange-traded funds (“ETFs”), some of which may be affiliated investment companies. The market value of the shares of other investment companies and ETFs may differ from their net asset value. As an investor in investment companies and ETFs, the Fund would bear its ratable share of that entity’s expenses, including its investment advisory and administration fees, while continuing to pay its own advisory and administration fees and other expenses (to the extent not offset by the Manager through waivers). As a result, shareholders will be absorbing duplicate levels of fees with respect to investments in other investment companies and ETFs (to the extent not offset by the Manager through waivers).

The securities of other investment companies and ETFs in which the Fund may invest may be leveraged. As a result, the Fund may be indirectly exposed to leverage through an investment in such securities. An investment in securities of other investment companies and ETFs that use leverage may expose the Fund to higher volatility in the market value of such securities and the possibility that the Fund’s long-term returns on such securities (and, indirectly, the long-term returns of shares of the Fund) will be diminished.

As with other investments, investments in other investment companies, including ETFs, are subject to market and selection risk. To the extent the Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.

Market Risk and Selection Risk: Market risk is the risk that one or more markets in which the Fund invests will go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a security or other asset may decline due to changes in general market conditions, economic trends or events that are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or issuers, exchange, country, group of countries, region, market, industry,

 

 

N V E S T M E N  T   O B J E C T I V E S ,    P O L I C I E S   A N D    R I S K S   157


Investment Objectives, Policies and Risks  (continued)

 

Risk Factors (continued)

group of industries, sector or asset class. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its investments. Selection risk is the risk that the securities selected by Fund management will underperform the markets, the relevant indices or the securities selected by other funds with similar investment objectives and investment strategies. This means you may lose money.

A recent outbreak of an infectious coronavirus has developed into a global pandemic that has resulted in numerous disruptions in the market and has had significant economic impact leaving general concern and uncertainty. The impact of this coronavirus, and other epidemics and pandemics that may arise in the future, could affect the economies of many nations, individual companies and the market in general ways that cannot necessarily be foreseen at the present time.

 

 

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Automatic Dividend Reinvestment Plan

 

Pursuant to DSU, FRA, BKT and BLW’s Dividend Reinvestment Plan (the “Reinvestment Plan”), Common Shareholders are automatically enrolled to have all distributions of dividends and capital gains and other distributions reinvested by Computershare Trust Company, N.A. (the “Reinvestment Plan Agent”) in the respective Fund’s Common Shares pursuant to the Reinvestment Plan. Shareholders who do not participate in the Reinvestment Plan will receive all distributions in cash paid by check and mailed directly to the shareholders of record (or if the shares are held in street name or other nominee name, then to the nominee) by the Reinvestment Plan Agent, which serves as agent for the shareholders in administering the Reinvestment Plan.

After DSU, FRA, BKT and BLW declare a dividend or determine to make a capital gain or other distribution, the Reinvestment Plan Agent will acquire shares for the participants’ accounts, depending upon the following circumstances, either (i) through receipt of unissued but authorized shares from the Funds (“newly issued shares”) or (ii) by purchase of outstanding shares on the open market or on the Fund’s primary exchange (“open-market purchases”). If, on the dividend payment date, the net asset value (“NAV”) per share is equal to or less than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market premium”), the Reinvestment Plan Agent will invest the dividend amount in newly issued shares acquired on behalf of the participants. The number of newly issued shares to be credited to each participant’s account will be determined by dividing the dollar amount of the dividend by the NAV on the date the shares are issued. However, if the NAV is less than 95% of the market price on the dividend payment date, the dollar amount of the dividend will be divided by 95% of the market price on the dividend payment date. If, on the dividend payment date, the NAV is greater than the market price per share plus estimated brokerage commissions (such condition often referred to as a “market discount”), the Reinvestment Plan Agent will invest the dividend amount in shares acquired on behalf of the participants in open-market purchases. If the Reinvestment Plan Agent is unable to invest the full dividend amount in open-market purchases, or if the market discount shifts to a market premium during the purchase period, the Reinvestment Plan Agent will invest any un-invested portion in newly issued shares. Investments in newly issued shares made in this manner would be made pursuant to the same process described above and the date of issue for such newly issued shares will substitute for the dividend payment date.

You may elect not to participate in the Reinvestment Plan and to receive all dividends in cash by contacting the Reinvestment Plan Agent, at the address set forth below.

Participation in the Reinvestment Plan is completely voluntary and may be terminated or resumed at any time without penalty by notice if received and processed by the Reinvestment Plan Agent prior to the dividend record date. Additionally, the Reinvestment Plan Agent seeks to process notices received after the record date but prior to the payable date and such notices often will become effective by the payable date. Where late notices are not processed by the applicable payable date, such termination or resumption will be effective with respect to any subsequently declared dividend or other distribution.

The Reinvestment Plan Agent’s fees for the handling of the reinvestment of distributions will be paid by each Fund. However, each participant will pay a pro rata share of brokerage commissions incurred with respect to the Reinvestment Plan Agent’s open-market purchases in connection with the reinvestment of all distributions. The automatic reinvestment of all distributions will not relieve participants of any U.S. federal, state or local income tax that may be payable on such dividends or distributions.

Each Fund reserves the right to amend or terminate the Reinvestment Plan. There is no direct service charge to participants in the Reinvestment Plan; however, each Fund reserves the right to amend the Reinvestment Plan to include a service charge payable by the participants. Participants in that request a sale of shares are subject to a $2.50 sales fee and a $0.15 per share sold brokerage commission fee. Participants in that request a sale of shares are subject to a $0.02 per share sold brokerage commission. All correspondence concerning the Reinvestment Plan should be directed to Computershare Trust Company, N.A. through the internet at computershare.com/blackrock, or in writing to Computershare, P.O. Box 505000, Louisville, KY 40233, Telephone: (800) 699-1236. Overnight correspondence should be directed to the Reinvestment Plan Agent at Computershare, 462 South 4th Street, Suite 1600, Louisville, KY 40202.

 

 

U T O M A T  I C   D I V I D E N D   R  E I N V E S T M E N T    P L A N

  159


Director and Officer Information

 

Independent Directors(a)
         
Name
Year of Birth(b)
   Position(s) Held
(Length of Service)(c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
   Public Company
and Other
Investment
Company
Directorships Held
During
Past Five Years

Richard E. Cavanagh

1946

  

Co-Chair of the Board and Director

(Since 2007)

   Director, The Guardian Life Insurance Company of America since 1998; Board Chair, Volunteers of America (a not-for-profit organization) from 2015 to 2018 (board member since 2009); Director, Arch Chemicals (chemical and allied products) from 1999 to 2011; Trustee, Educational Testing Service from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor, The Fremont Group since 2008 and Director thereof since 1996; Faculty Member/Adjunct Lecturer, Harvard University since 2007 and Executive Dean from 1987 to 1995; President and Chief Executive Officer, The Conference Board, Inc. (global business research organization) from 1995 to 2007.    73 RICs consisting of 102 Portfolios    None

Karen P. Robards

1950

  

Co-Chair of the Board and Director

(Since 2007)

   Principal of Robards & Company, LLC (consulting and private investing) since 1987; Co-founder and Director of the Cooke Center for Learning and Development (a not-for-profit organization) since 1987; Director of Enable Injections, LLC (medical devices) since 2019; Investment Banker at Morgan Stanley from 1976 to 1987.    73 RICs consisting of 102 Portfolios    Greenhill & Co., Inc.;
AtriCure, Inc. (medical devices) from 2000 until 2017.

Michael J. Castellano

1946

  

Director

(Since 2011)

   Chief Financial Officer of Lazard Group LLC from 2001 to 2011; Chief Financial Officer of Lazard Ltd from 2004 to 2011; Director, Support Our Aging Religious (non-profit) from 2009 to June 2015 and from 2017 to September 2020; Director, National Advisory Board of Church Management at Villanova University since 2010; Trustee, Domestic Church Media Foundation since 2012; Director, CircleBlack Inc. (financial technology company) from 2015 to July 2020.    73 RICs consisting of 102 Portfolios    None

Cynthia L. Egan

1955

   Director (Since 2016)    Advisor, U.S. Department of the Treasury from 2014 to 2015; President, Retirement Plan Services, for T. Rowe Price Group, Inc. from 2007 to 2012; executive positions within Fidelity Investments from 1989 to 2007.    73 RICs consisting of 102 Portfolios   

Unum (insurance);

The Hanover Insurance Group (Board Chair) (insurance);
Huntsman Corporation (chemical products);

Envestnet (investment platform) from 2013 until 2016.

Frank J. Fabozzi(d)

1948

   Director (Since 2007)    Editor of The Journal of Portfolio Management since 1986; Professor of Finance, EDHEC Business School (France) since 2011; Visiting Professor, Princeton University for the 2013 to 2014 academic year and Spring 2017 semester; Professor in the Practice of Finance, Yale University School of Management from 1994 to 2011 and currently a Teaching Fellow in Yale’s Executive Programs; Board Member, BlackRock Equity-Liquidity Funds from 2014 to 2016; affiliated professor Karlsruhe Institute of Technology from 2008 to 2011; Visiting Professor, Rutgers University for the Spring 2019 semester; Visiting Professor, New York University for the 2019 academic year; Adjunct Professor of Finance, Carnegie Mellon University in fall 2020 semester.    75 RICs consisting of 104 Portfolios    None

 

 

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Director and Officer Information  (continued)

 

Independent Directors(a) (continued)
         
Name
Year of Birth(b)
   Position(s) Held
(Length of Service)(c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
   Public Company
and Other
Investment
Company
Directorships Held
During
Past Five Years

Lorenzo A. Flores

1964

  

Director

(Since 2021)

   Vice Chairman, Kioxia, Inc. since 2019; Chief Financial Officer, Xilinx, Inc. from 2016 to 2019; Corporate Controller, Xilinx, Inc. from 2008 to 2016.    73 RICs consisting of 102 Portfolios    None

Stayce D. Harris

1959

  

Director

(Since 2021)

   Lieutenant General, Inspector General, Office of the Secretary of the United States Air Force from 2017 to 2019; Lieutenant General, Assistant Vice Chief of Staff and Director, Air Staff, United States Air Force from 2016 to 2017; Major General, Commander, 22nd Air Force, AFRC, Dobbins Air Reserve Base, Georgia from 2014 to 2016; Pilot, United Airlines from 1990 to 2020.    73 RICs consisting of 102 Portfolios    The Boeing Company since 2021.

J. Phillip Holloman

1955

  

Director

(Since 2021)

   President and Chief Operating Officer, Cintas Corporation from 2008 to 2018.    73 RICs consisting of 102 Portfolios    PulteGroup, Inc. (home construction);
Rockwell Automation Inc. (industrial automation).

R. Glenn Hubbard

1958

  

Director

(Since 2007)

   Dean, Columbia Business School from 2004 to 2019; Faculty member, Columbia Business School since 1988.    73 RICs consisting of 102 Portfolios    ADP (data and information services) 2004-2020;
Metropolitan Life Insurance Company (insurance);
KKR Financial Corporation (finance) from 2004 until 2014.

W. Carl Kester(d)

1951

  

Director

(Since 2007)

   George Fisher Baker Jr. Professor of Business Administration, Harvard Business School since 2008; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the Finance Unit, from 2005 to 2006; Senior Associate Dean and Chairman of the MBA Program from 1999 to 2005; Member of the faculty of Harvard Business School since 1981.    75 RICs consisting of 104 Portfolios    None

Catherine A. Lynch(d)

1961

  

Director

(Since 2016)

   Chief Executive Officer, Chief Investment Officer and various other positions, National Railroad Retirement Investment Trust from 2003 to 2016; Associate Vice President for Treasury Management, The George Washington University from 1999 to 2003; Assistant Treasurer, Episcopal Church of America from 1995 to 1999.    75 RICs consisting of 104 Portfolios    None

 

 

D I R E C T O R   A N D   O F F I C E R   I N F O R M A T I O N

  161


Director and Officer Information  (continued)

 

Interested Directors(a)(e)
         
Name
Year of Birth(b)
   Position(s) Held
(Length of Service)(c)
   Principal Occupation(s) During Past Five Years    Number of BlackRock-Advised
Registered Investment Companies
(“RICs”) Consisting of
Investment Portfolios
(“Portfolios”) Overseen
   Public Company
and Other
Investment
Company
Directorships Held
During
Past Five Years

Robert Fairbairn

1965

  

Director

(Since 2018)

   Vice Chairman of BlackRock, Inc. since 2019; Member of BlackRock’s Global Executive and Global Operating Committees; Co-Chair of BlackRock’s Human Capital Committee; Senior Managing Director of BlackRock, Inc. from 2010 to 2019; oversaw BlackRock’s Strategic Partner Program and Strategic Product Management Group from 2012 to 2019; Member of the Board of Managers of BlackRock Investments, LLC from 2011 to 2018; Global Head of BlackRock’s Retail and iShares® businesses from 2012 to 2016.    103 RICs consisting of 261 Portfolios    None

John M. Perlowski(d)

1964

  

Director

(Since 2015)

President and Chief Executive Officer

(Since 2010)

   Managing Director of BlackRock, Inc. since 2009; Head of BlackRock Global Accounting and Product Services since 2009; Advisory Director of Family Resource Network (charitable foundation) since 2009.    105 RICs consisting of 263 Portfolios    None

(a)  The address of each Director is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

 

(b)  Each Independent Director holds office until his or her successor is duly elected and qualifies or until his or her earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or charter or statute, or until December 31 of the year in which he or she turns 75. Directors who are “interested persons,” as defined in the Investment Company Act serve until their successor is duly elected and qualifies or until their earlier death, resignation, retirement or removal as provided by the Fund’s by-laws or statute, or until December 31 of the year in which they turn 72. The Board may determine to extend the terms of Independent Directors on a case-by-case basis, as appropriate.

 

(c)  Following the combination of Merrill Lynch Investment Managers, L.P. (“MLIM”) and BlackRock, Inc. in September 2006, the various legacy MLIM and legacy BlackRock fund boards were realigned and consolidated into three new fund boards in 2007. Certain Independent Directors first became members of the boards of other legacy MLIM or legacy BlackRock funds as follows: Richard E. Cavanagh, 1994; Frank J. Fabozzi, 1988; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P. Robards, 1998.

 

(d)  Dr. Fabozzi, Dr. Kester, Ms. Lynch and Mr. Perlowski are also trustees of the BlackRock Credit Strategies Fund and BlackRock Private Investments Fund.

 

(e)  Mr. Fairbairn and Mr. Perlowski are both “interested persons,” as defined in the 1940 Act, of the Fund based on their positions with BlackRock, Inc. and its affiliates. Mr. Fairbairn and Mr. Perlowski are also board members of the BlackRock Multi-Asset Complex.

 

 

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Director and Officer Information  (continued)

 

Officers Who Are Not Directors(a)
     
Name
Year of Birth(b)
   Position(s) Held
(Length of Service)
   Principal Occupation(s) During Past Five Years

Jonathan Diorio

1980

   Vice President
(Since 2015)
  

Managing Director of BlackRock, Inc. since 2015; Director of BlackRock, Inc. from 2011 to 2015.

Trent Walker

1974

   Chief Financial Officer
(Since 2021)
  

Managing Director of BlackRock, Inc. since September 2019; Executive Vice President of PIMCO from 2016 to 2019; Senior Vice President of PIMCO from 2008 to 2015; Treasurer from 2013 to 2019 and Assistant Treasurer from 2007 to 2017 of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds.

Jay M. Fife

1970

   Treasurer
(Since 2007)
  

Managing Director of BlackRock, Inc. since 2007.

Charles Park

1967

   Chief Compliance Officer
(Since 2014)
  

Anti-Money Laundering Compliance Officer for certain BlackRock-advised Funds from 2014 to 2015; Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex since 2014; Principal of and Chief Compliance Officer for iShares® Delaware Trust Sponsor LLC since 2012 and BlackRock Fund Advisors (“BFA”) since 2006; Chief Compliance Officer for the BFA-advised iShares® exchange traded funds since 2006; Chief Compliance Officer for BlackRock Asset Management International Inc. since 2012.

Janey Ahn

1975

   Secretary
(Since 2012)
  

Managing Director of BlackRock, Inc. since 2018; Director of BlackRock, Inc. from 2009 to 2017.

(a) The address of each Officer is c/o BlackRock, Inc., 55 East 52nd Street, New York, New York 10055.

(b) Officers of the Fund serve at the pleasure of the Board.

 

Effective June 10, 2021, Stayce D. Harris and J. Phillip Holloman were each appointed to serve as a Director of the Funds. Effective July 30, 2021, Lorenzo A. Flores was appointed to serve as a Director of the Funds.

Effective December 31, 2021, Richard E. Cavanagh and Michael J. Castellano retired as Directors of the Funds.

 

 

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  163


Additional Information

 

Proxy Results

The Annual Meeting of Shareholders was held on July 29, 2021 for shareholders of record on June 1, 2021, to elect director nominees for each Fund. There were no broker non-votes with regard to any of the Funds.

Shareholders elected the Class II Directors as follows:

 

  

 

  J. Phillip Holloman     Catherine A. Lynch     Karen P. Robards     Frank J. Fabozzi  
Fund Name   Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

BLW

    29,992,371       450,223       29,984,169       458,425       29,965,043       477,551       29,010,035       1,432,559  

BKT

    42,304,840       650,948       42,129,016       826,772       29,734,428       13,221,360       41,722,892       1,232,896  

For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Stayce Harris, R. Glenn Hubbard, John M. Perlowski and W. Carl Kester. Lorenzo A. Flores was appointed as a Director effective July 30, 2021.

Shareholders elected the Class II Directors as follows:

 

  

 

  R. Glenn Hubbard     W. Carl Kester     John M. Perlowski     Karen P. Robards  
Fund Name   Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld     Votes For     Votes Withheld  

FRA

    18,579,284       7,662,943       25,452,752       789,475       25,452,006       790,221       18,805,586       7,436,641  

DSU

    21,976,273       14,748,060       35,909,598       814,735       36,000,957       723,376       22,270,525       14,453,808  

For the Funds listed above, Directors whose term of office continued after the Annual Meeting of Shareholders because they were not up for election are Michael J. Castellano, Richard E. Cavanagh, Cynthia L. Egan, Robert Fairbairn, Stayce Harris, J. Phillip Holloman, Catherine A. Lynch and Frank J. Fabozzi. Lorenzo A. Flores was appointed as a Director effective July 30, 2021.

Fund Certification

The Funds are listed for trading on the NYSE and have filed with the NYSE their annual chief executive officer certification regarding compliance with the NYSE’s listing standards. The Funds filed with the SEC the certification of its chief executive officer and chief financial officer required by Section 302 of the Sarbanes-Oxley Act.

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

Environmental, Social and Governance (“ESG”) Integration

Although a Fund does not seek to implement a specific ESG, impact or sustainability strategy unless otherwise disclosed, Fund management will consider ESG characteristics as part of the investment process for actively managed Funds. These considerations will vary depending on a Fund’s particular investment strategies and may include consideration of third-party research as well as consideration of proprietary BlackRock research across the ESG risks and opportunities regarding an issuer. Fund management will consider those ESG characteristics it deems relevant or additive when making investment decisions for a Fund. The ESG characteristics utilized in a Fund’s investment process are anticipated to evolve over time and one or more characteristics may not be relevant with respect to all issuers that are eligible for investment. ESG characteristics are not the sole considerations when making investment decisions for a Fund. Further, investors can differ in their views of what constitutes positive or negative ESG characteristics. As a result, a Fund may invest in issuers that do not reflect the beliefs and values with respect to ESG of any particular investor. ESG considerations may affect a Fund’s exposure to certain companies or industries and a Fund may forego certain investment opportunities. While Fund management views ESG considerations as having the potential to contribute to a Fund’s long-term performance, there is no guarantee that such results will be achieved.

Dividend Policy

Each Fund’s policy is to make monthly distributions to shareholders. In order to provide shareholders with a more stable level of dividend distributions, each Fund employs a managed distribution plan (the “Plan”), the goal of which is to provide shareholders with consistent and predictable cash flows by setting distribution rates based on expected long-term returns of each Fund.

The distributions paid by a Fund for any particular month may be more or less than the amount of net investment income earned by a Fund during such month. Furthermore, the final tax characterization of distributions is determined after the year-end of a Fund and is reported in each Fund’s annual report to shareholders. Distributions can be characterized as ordinary income, capital gains and/or return of capital. Each Fund’s taxable net investment income and net realized capital gains (“taxable income”) may not be sufficient to support the level of distributions paid. To the extent that distributions exceed the Fund’s current and accumulated earnings and profits, the excess may be treated as a non-taxable return of capital.

 

 

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Additional Information  (continued)

 

Dividend Policy (continued)

A return of capital is a return of a portion of an investor’s original investment. A return of capital is not expected to be taxable, but it reduces a shareholder’s tax basis in his or her shares, thus reducing any loss or increasing any gain on a subsequent disposition by the shareholder of his or her shares. It is possible that a substantial portion of the distributions paid during a calendar year may ultimately be classified as return of capital for U.S. federal income tax purposes when the final determination of the source and character of the distributions is made.

Such distributions, under certain circumstances, may exceed a Fund’s total return performance. When total distributions exceed total return performance for the period, the difference reduces the Fund’s total assets and net asset value (“NAV”) per share and, therefore, could have the effect of increasing the Fund’s expense ratio and reducing the amount of assets the Fund has available for long term investment.

General Information

The Funds do not make available copies of their Statements of Additional Information because the Funds’ shares are not continuously offered, which means that the Statement of Additional Information of each Fund has not been updated after completion of the respective Fund’s offerings and the information contained in each Fund’s Statement of Additional Information may have become outdated.

The following information is a summary of certain changes since December 31, 2020. This information may not reflect all of the changes that have occurred since you purchased the relevant Fund.

Except if noted otherwise herein, there were no changes to the Funds’ charters or by-laws that would delay or prevent a change of control of the Funds that were not approved by the shareholders. Except if noted otherwise herein, there have been no changes in the persons who are primarily responsible for the day-to-day management of the Funds’ portfolios.

In accordance with Section 23(c) of the Investment Company Act of 1940, each Fund may from time to time purchase shares of its common stock in the open market or in private transactions.

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Electronic Delivery

Shareholders can sign up for e-mail notifications of quarterly statements, annual and semi-annual shareholder reports by enrolling in the electronic delivery program. Electronic copies of shareholder reports are available on BlackRock’s website.

To enroll in electronic delivery:

Shareholders Who Hold Accounts with Investment Advisers, Banks or Brokerages:

Please contact your financial adviser. Please note that not all investment advisers, banks or brokerages may offer this service.

Householding

The Funds will mail only one copy of shareholder documents, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 882-0052.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at blackrock.com/fundreports.

Availability of Proxy Voting Policies, Procedures and Voting Records

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling (800) 882-0052; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

 

 

A D D I T I O N A L   I N F O R M A T I O N

  165


Additional Information  (continued)

 

Availability of Fund Updates

BlackRock will update performance and certain other data for the Funds on a monthly basis on its website in the “Closed-end Funds” section of blackrock.com as well as certain other material information as necessary from time to time. Investors and others are advised to check the website for updated performance information and the release of other material information about the Funds. This reference to BlackRock’s website is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

Fund and Service Providers

 

Investment Adviser

BlackRock Advisors, LLC

Wilmington, DE 19809

Sub-Adviser

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

BlackRock (Singapore) Limited(a)

079912 Singapore

Accounting Agent and Custodian

State Street Bank and Trust Company

Boston, MA 02111

Transfer Agent

Computershare Trust Company, N.A.

Canton, MA 02021

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

Boston, MA 02116

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Funds

100 Bellevue Parkway

Wilmington, DE 19809

 

 

(a) 

For BLW.

 

 

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Glossary of Terms Used in this Report

 

Currency Abbreviation
CAD    Canadian Dollar
EUR    Euro
GBP    British Pound
USD    United States Dollar
  
Portfolio Abbreviation
ABS    Asset-Backed Security
CLO    Collateralized Loan Obligation
CMT    Constant Maturity Treasury
DAC    Designated Activity Company
DIP    Debtor-In-Possession
ETF    Exchange-Traded Fund
EURIBOR    Euro Interbank Offered Rate
FEDL    Fed Funds Effective Rate
IO    Interest Only
LIBOR    London Interbank Offered Rate
PCL    Public Company Limited
PIK    Payment-in-Kind
PJSC    Public Joint Stock Company
PO    Principal Only
REIT    Real Estate Investment Trust
S&P    Standard & Poor’s
SAB    Special Assessment Bonds
SCA    Societe en Commandite par Actions
SOFR    Secured Overnight Financing Rate
SPDR    Standard & Poor’s Depository Receipt
TBA    To-Be-Announced

 

 

L O S S A R Y    O F   T E R M S   U S E D    I N   T H I S   R E P O  R T

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Want to know more?

blackrock.com    |    800-882-0052

This report is intended for current holders. It is not a prospectus. Past performance results shown in this report should not be considered a representation of future performance. Statements and other information herein are as dated and are subject to change.

CEFT-BK3-12/21-AR

 

 

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   LOGO


(b) Not Applicable

 

Item 2 –

Code of Ethics – The registrant (or the “Fund”) has adopted a code of ethics, as of the end of the period covered by this report, applicable to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. During the period covered by this report, the code of ethics was amended to update certain information and to make other non-material changes. During the period covered by this report, there have been no waivers granted under the code of ethics. The registrant undertakes to provide a copy of the code of ethics to any person upon request, without charge, who calls 1-800-882-0052, option 4.

 

Item 3 –

Audit Committee Financial Expert – The registrant’s board of directors (the “board of directors”), has determined that (i) the registrant has the following audit committee financial experts serving on its audit committee and (ii) each audit committee financial expert is independent:

Frank J. Fabozzi

Lorenzo A. Flores

Catherine A. Lynch

Karen P. Robards

The registrant’s board of directors has determined that Karen P. Robards qualifies as an audit committee financial expert pursuant to Item 3(c)(4) of Form N-CSR.

Ms. Robards has a thorough understanding of generally accepted accounting principles, financial statements and internal control over financial reporting as well as audit committee functions. Ms. Robards has been President of Robards & Company, a financial advisory firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years where she was responsible for evaluating and assessing the performance of companies based on their financial results. Ms. Robards has over 30 years of experience analyzing financial statements. She also is a member of the audit committee of one publicly held company and a non-profit organization. Under applicable securities laws, a person determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liabilities greater than the duties, obligations, and liabilities imposed on such person as a member of the audit committee and board of directors in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of directors.

 

Item 4 –

Principal Accountant Fees and Services

The following table presents fees billed by Deloitte & Touche LLP (“D&T”) in each of the last two fiscal years for the services rendered to the Fund:

 

2


           (a) Audit Fees    (b) Audit-Related Fees1    (c) Tax Fees2, 4    (d) All Other Fees
Entity Name        

Current    

Fiscal Year    

End    

  

Previous    

Fiscal Year    

End    

  

Current    

Fiscal Year    

End    

  

Previous    

Fiscal Year    

End    

  

Current    

Fiscal Year    

End    

  

Previous    

Fiscal Year    

End    

  

Current    

Fiscal Year    

End    

  

Previous    

Fiscal Year    

End    

BlackRock Debt

Strategies Fund, Inc.

       $74,325        $83,752        $207        $0        $14,900        $14,900        $0        $0    

The following table presents fees billed by D&T that were required to be approved by the registrant’s audit committee (the “Committee”) for services that relate directly to the operations or financial reporting of the Fund and that are rendered on behalf of BlackRock Advisors, LLC (the “Investment Adviser” or “BlackRock”) and entities controlling, controlled by, or under common control with BlackRock (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund (“Affiliated Service Providers”):

 

      Current Fiscal Year End    Previous Fiscal Year End

(b) Audit-Related Fees1

   $0    $0

(c) Tax Fees2, 4

   $0    $0

(d) All Other Fees3

   $2,032,000    $1,984,000

1 The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

2 The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

3 Non-audit fees of $2,032,000 and $1,984,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund’s principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis. 4Includes fees for the Fund and the Fund’s subsidiary.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC’s auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis (“general pre-approval”). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved

 

3


subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) Not Applicable

(g) The aggregate non-audit fees, defined as the sum of the fees shown under “Audit-Related Fees,” “Tax Fees” and “All Other Fees,” paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

 

Entity Name  

Current Fiscal

Year End

12/31/20

 

Previous Fiscal

Year End

12/31/19

       
BlackRock Debt Strategies Fund, Inc.   $15,107   $14,900

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

 

Current Fiscal

Year End

12/31/20

  

Previous Fiscal

Year End

12/31/19

$2,032,000

   $1,984,000

These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(h) The Committee has considered and determined that the provision of non-audit services that were rendered to the Investment Adviser, and the Affiliated Service Providers that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

 

Item 5 –

Audit Committee of Listed Registrant

(a) The following individuals are members of the registrant’s separately designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):

Frank J. Fabozzi

 

4


Lorenzo A. Flores

J. Phillip Holloman

Catherine A. Lynch

Karen P. Robards

(b) Not Applicable

 

Item 6 –

Investments

(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1(a) of this Form.

(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.

 

Item 7 –

Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – The board of directors has delegated the voting of proxies for the Fund’s portfolio securities to the Investment Adviser pursuant to the Investment Adviser’s proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies related to Fund securities in the best interests of the Fund and its stockholders. From time to time, a vote may present a conflict between the interests of the Fund’s stockholders, on the one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the Investment Adviser, on the other. In such event, provided that the Investment Adviser’s Equity Investment Policy Oversight Committee, or a sub-committee thereof (the “Oversight Committee”) is aware of the real or potential conflict or material non-routine matter and if the Oversight Committee does not reasonably believe it is able to follow its general voting guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote impartially, the Oversight Committee may retain an independent fiduciary to advise the Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser’s clients. If the Investment Adviser determines not to retain an independent fiduciary, or does not desire to follow the advice of such independent fiduciary, the Oversight Committee shall determine how to vote the proxy after consulting with the Investment Adviser’s Portfolio Management Group and/or the Investment Adviser’s Legal and Compliance Department and concluding that the vote cast is in its client’s best interest notwithstanding the conflict. A copy of the Fund’s Proxy Voting Policy and Procedures are attached as Exhibit 99.PROXYPOL, a copy of the Fund’s Global Corporate Governance  & Engagement Principles are attached as Exhibit 99.GLOBAL.CORP.GOV and a copy of the Fund’s Corporate Governance and Proxy Voting Guidelines for U.S. Securities are attached as Exhibit 99.US.CORP.GOV. Information on how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, (i) at www.blackrock.com and (ii) on the SEC’s website at http://www.sec.gov.

 

Item 8 –

Portfolio Managers of Closed-End Management Investment Companies –

(a)(1) As of the date of filing this Report:

The Fund is managed by a team of investment professionals comprised of James E. Keenan, Managing Director at BlackRock, Mitchell Garfin, Managing Director at BlackRock and David Delbos, Managing Director at BlackRock. Messrs. Keenan, Garfin, and Delbos are the Fund’s co-portfolio managers and are responsible for the day-to-day management of the

 

5


Fund’s portfolio and the selection of its investments. Messrs. Keenan, Garfin and Delbos have been a members of the Fund’s portfolio management team since 2009, 2016 and 2018, respectively.

 

Portfolio Manager   Biography
James E. Keenan                   Managing Director of BlackRock since 2008 and Head of the Leveraged Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice President of BlackRock, Inc. from 2004 to 2005.
Mitchell Garfin   Managing Director of BlackRock since 2009; Director of BlackRock from 2005 to 2008.
David Delbos   Managing Director of BlackRock, Inc. since 2012; Director of BlackRock, Inc. from 2007 to 2011; Vice President of BlackRock, Inc. from 2005 to 2006.

(a)(2) As of December 31, 2021:

 

    

(ii) Number of Other Accounts Managed

and Assets by Account Type

  

(iii) Number of Other Accounts and

Assets for Which Advisory Fee is

Performance-Based

(i) Name of

Portfolio Manager

 

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

  

Other

Registered

Investment

Companies

  

Other Pooled

Investment

Vehicles

  

Other

Accounts

James E. Keenan

  28    35    19    0    0    5
        $43.79 Billion            $16.41 Billion            $10.46 Billion        $0    $0        $1.23 Billion    

Mitchell Garfin

  27    27    61    0    0    5
    $45.69 Billion    $15.54 Billion    $16.87 Billion    $0    $0    $1.03 Billion

David Delbos

  31    25    61    0    0    5
    $41.97 Billion    $15.82 Billion    $17.55 Billion    $0    $0    $1.03 Billion

(iv)         Portfolio Manager Potential Material Conflicts of Interest

BlackRock has built a professional working environment, firm-wide compliance culture and compliance procedures and systems designed to protect against potential incentives that may favor one account over another. BlackRock has adopted policies and procedures that address the allocation of investment opportunities, execution of portfolio transactions, personal trading by employees and other potential conflicts of interest that are designed to ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock furnishes investment management and advisory services to numerous clients in addition to the Fund, and BlackRock may, consistent with applicable law, make investment recommendations to other clients or accounts (including accounts which are hedge funds or have performance or higher fees paid to BlackRock, or in which portfolio managers have a personal interest in the receipt of such fees), which may be the same as or different from those made to the Fund. In addition, BlackRock, Inc., its affiliates and significant shareholders and any officer, director, shareholder or employee may or may not have an interest in the securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, Inc., or any of its affiliates or significant shareholders, or any officer, director, shareholder, employee or any member

 

6


of their families may take different actions than those recommended to the Fund by BlackRock with respect to the same securities. Moreover, BlackRock may refrain from rendering any advice or services concerning securities of companies of which any of BlackRock, Inc.’s (or its affiliates’ or significant shareholders’) officers, directors or employees are directors or officers, or companies as to which BlackRock, Inc. or any of its affiliates or significant shareholders or the officers, directors and employees of any of them has any substantial economic interest or possesses material non-public information. Certain portfolio managers also may manage accounts whose investment strategies may at times be opposed to the strategy utilized for a fund. It should also be noted that Messrs. Keenan, Garfin, and Delbos may be managing hedge fund and/or long only accounts, or may be part of a team managing hedge fund and/or long only accounts, subject to incentive fees. Messrs. Keenan, Garfin, and Delbos may therefore be entitled to receive a portion of any incentive fees earned on such accounts.

As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client fairly. When BlackRock purchases or sells securities for more than one account, the trades must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to allocate investments in a fair and equitable manner among client accounts, with no account receiving preferential treatment. To this end, BlackRock, Inc. has adopted policies that are intended to ensure reasonable efficiency in client transactions and provide BlackRock with sufficient flexibility to allocate investments in a manner that is consistent with the particular investment discipline and client base, as appropriate.

(a)(3) As of December 31, 2021:

Portfolio Manager Compensation Overview

The discussion below describes the portfolio managers’ compensation as of December 31, 2021.

BlackRock’s financial arrangements with its portfolio managers, its competitive compensation and its career path emphasis at all levels reflect the value senior management places on key resources. Compensation may include a variety of components and may vary from year to year based on a number of factors. The principal components of compensation include a base salary, a performance-based discretionary bonus, participation in various benefits programs and one or more of the incentive compensation programs established by BlackRock.

Base Compensation. Generally, portfolio managers receive base compensation based on their position with the firm.

Discretionary Incentive Compensation

Discretionary incentive compensation is a function of several components: the performance of BlackRock, Inc., the performance of the portfolio manager’s group within BlackRock, the investment performance, including risk-adjusted returns, of the firm’s assets under management or supervision by that portfolio manager relative to predetermined benchmarks, and the individual’s performance and contribution to the overall performance of these portfolios and BlackRock. In most cases, these benchmarks are the same as the benchmark or benchmarks against which the

 

7


performance of the Fund or other accounts managed by the portfolio managers are measured. Among other things, BlackRock’s Chief Investment Officers make a subjective determination with respect to each portfolio manager’s compensation based on the performance of the Fund and other accounts managed by each portfolio manager relative to the various benchmarks. Performance of fixed income funds is measured on a pre-tax and/or after-tax basis over various time periods including 1-, 3- and 5- year periods, as applicable. With respect to these portfolio managers, such benchmarks for the Fund and other accounts are: a combination of market-based indices (e.g., The Bloomberg U.S. Corporate High Yield 2% Issuer Cap Index), certain customized indices and certain fund industry peer groups.

Distribution of Discretionary Incentive Compensation. Discretionary incentive compensation is distributed to portfolio managers in a combination of cash, deferred BlackRock, Inc. stock awards, and/or deferred cash awards that notionally track the return of certain BlackRock investment products.

Portfolio managers receive their annual discretionary incentive compensation in the form of cash. Portfolio managers whose total compensation is above a specified threshold also receive deferred BlackRock, Inc. stock awards annually as part of their discretionary incentive compensation. Paying a portion of discretionary incentive compensation in the form of deferred BlackRock, Inc. stock puts compensation earned by a portfolio manager for a given year “at risk” based on BlackRock’s ability to sustain and improve its performance over future periods. In some cases, additional deferred BlackRock, Inc. stock may be granted to certain key employees as part of a long-term incentive award to aid in retention, align interests with long-term shareholders and motivate performance. Deferred BlackRock, Inc. stock awards are generally granted in the form of BlackRock, Inc. restricted stock units that vest pursuant to the terms of the applicable plan and, once vested, settle in BlackRock, Inc. common stock. The portfolio managers of this Fund have deferred BlackRock, Inc. stock awards.

For certain portfolio managers, a portion of the discretionary incentive compensation is also distributed in the form of deferred cash awards that notionally track the returns of select BlackRock investment products they manage, which provides direct alignment of portfolio manager discretionary incentive compensation with investment product results. Deferred cash awards vest ratably over a number of years and, once vested, settle in the form of cash. Only portfolio managers who manage specified products and whose total compensation is above a specified threshold are eligible to participate in the deferred cash award program.

Other Compensation Benefits. In addition to base salary and discretionary incentive compensation, portfolio managers may be eligible to receive or participate in one or more of the following:

Incentive Savings Plans — BlackRock, Inc. has created a variety of incentive savings plans in which BlackRock, Inc. employees are eligible to participate, including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP include a company match equal to 50% of the first 8% of eligible pay contributed to the plan capped at $5,000 per year, and a company retirement contribution equal to 3-5% of eligible compensation up to the Internal Revenue Service limit ($290,000 for 2021). The RSP offers a range of investment options, including registered

 

8


investment companies and collective investment funds managed by the firm. BlackRock, Inc. contributions follow the investment direction set by participants for their own contributions or, absent participant investment direction, are invested into a target date fund that corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market value of the stock on the purchase date. Annual participation in the ESPP is limited to the purchase of 1,000 shares of common stock or a dollar value of $25,000 based on its fair market value on the purchase date. All of the eligible portfolio managers are eligible to participate in these plans.

(a)(4) Beneficial Ownership of Securities – As of December 31, 2021.

 

Portfolio Manager                      

Dollar Range of Equity

Securities of the Fund

Beneficially Owned

James Keenan   $500,001 - $1,000,000
Mitchell Garfin   $50,001 - $100,000
David Delbos   $500,001 - $1,000,000

(b) Not Applicable

 

Item 9 –

Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable due to no such purchases during the period covered by this report.

 

Item 10 –

Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

 

Item 11 –

Controls and Procedures

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 12 –

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable

 

Item 13 –

Exhibits attached hereto

 

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(a)(1) Code of Ethics – See Item 2

(a)(2) Section 302 Certifications are attached

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable

(a)(4) Change in Registrant’s independent public accountant – Not Applicable

(b) Section 906 Certifications are attached

(c) Notices to the registrant’s common shareholders in accordance with the order under Section  6(c) of the 1940 Act granting an exemption from Section 19(b) of the 1940 Act and Rule 19b-1 under the 1940 Act, dated May 9, 20091

 

 

1 The Fund has received exemptive relief from the Securities and Exchange Commission permitting it to make periodic distributions of long-term capital gains with respect to its outstanding common stock as frequently as twelve times each year, and as frequently as distributions are specified by or in accordance with the terms of its outstanding preferred stock. This relief is conditioned, in part, on an undertaking by the Fund to make the disclosures to the holders of the Fund’s common shares, in addition to the information required by Section 19(a) of the 1940 Act and Rule 19a-1 thereunder. The Fund is likewise obligated to file with the SEC the information contained in any such notice to shareholders and, in that regard, has attached hereto copies of each such notice made during the period.

 

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Debt Strategies Fund, Inc.

 

  By:      /s/ John M. Perlowski                            
       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Debt Strategies Fund, Inc.
      

Date: February 24, 2022

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

  By:      /s/ John M. Perlowski                            
       John M. Perlowski
       Chief Executive Officer (principal executive officer) of
       BlackRock Debt Strategies Fund, Inc.
      

Date: February 24, 2022

 

  By:      /s/ Trent Walker                            
       Trent Walker
       Chief Financial Officer (principal financial officer) of
       BlackRock Debt Strategies Fund, Inc.
      

Date: February 24, 2022

 

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