N-Q 1 e59680nq.htm QUARTERLY SCHEDULE

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-22126

 

Name of Fund: BlackRock Defined Opportunity Credit Trust (BHL)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Defined Opportunity Credit Trust, 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 08/31/2014

 

Date of reporting period: 05/31/2014

 

Item 1 – Schedule of Investments

 
 

Schedule of Investments May 31, 2014 (Unaudited) BlackRock Defined Opportunity Credit Trust (BHL)
  (Percentages shown are based on Net Assets)

 

Common Stocks (a)
Shares		   Value  
 
   
Diversified Consumer Services — 0.3%  
Cengage Thomson Learning   8,922 $ 322,869  
 
Hotels, Restaurants & Leisure — 0.5%  
BLB Worldwide Holdings, Inc.   21,020   648,993  
 
Software — 0.3%  
HMH Holdings/EduMedia   24,355   443,748  
 
Total Common Stocks — 1.1%   1,415,610  
 
 
 
Asset-Backed Securities (b)(c) Par
(000)		      
 
   
Asset-Backed Securities — 1.7%  
ALM Loan Funding, Series 2013-7RA, Class C, 3.68%, 4/24/24 USD 500   482,373  
Atrium CDO Corp., Series 9A, Class D, 3.73%, 2/28/24   250   240,705  
Carlyle Global Market Strategies CLO Ltd., Series 2012-4A, Class D, 4.73%, 1/20/25   250   250,552  
Fraser Sullivan CLO VII Ltd., Series 2012-7A, Class C, 4.23%, 4/20/23   215   213,290  
North End CLO Ltd., Series 2013-1A, Class D, 3.73%, 7/17/25   250   237,405  
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class D, 3.44%, 10/25/25   250   236,606  
Race Point CLO Ltd., Series 2012-6A, Class D, 4.73%, 5/24/23   250   250,138  
Symphony CLO Ltd., Series 2012-10A, Class D, 5.48%, 7/23/23   350   350,942  
 
Total Asset-Backed Securities — 1.7%   2,262,011  
 
 
 
Corporate Bonds  
 
Airlines — 0.7%  
American Airlines Pass-Through Trust, Series 2013-2, Class C, 6.00%, 1/15/17 (c)   250   261,250  
Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18   48   54,542  
            
Corporate Bonds Par
(000)		   Value  
 
Airlines (concluded)  
US Airways Pass-Through Trust, Series 2012-2, Class C, 5.45%, 6/03/18 USD  590 $ 606,225  
   
    922,017  
 
Auto Components  — 0.2%  
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:          
  3.50%, 3/15/17   164   165,845  
  4.88%, 3/15/19   105   107,494  
   
    273,339  
 
Chemicals — 0.1%  
INEOS Finance PLC, 8.38%, 2/15/19 (c)   110   120,725  
 
Commercial Services & Supplies — 0.3%  
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 2.98%, 12/01/17 (b)   68   68,510  
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (c)   250   257,466  
United Rentals North America, Inc., 5.75%, 7/15/18   80   85,400  
   
    411,376  
 
Communications Equipment — 0.4%  
Avaya, Inc., 7.00%, 4/01/19 (c)   101   99,990  
Zayo Group LLC/Zayo Capital, Inc., 8.13%, 1/01/20   380   415,150  
   
    515,140  
 
Diversified Financial Services — 0.3%  
Ally Financial, Inc., 2.91%, 7/18/16 (b)   275   282,043  
Reynolds Group Issuer, Inc., 7.13%, 4/15/19   120   126,000  
   
    408,043  
 
Diversified Telecommunication Services — 0.3%  
Level 3 Financing, Inc. (c):          
  3.82%, 1/15/18 (b)   228   231,420  
  6.13%, 1/15/21   127   134,302  
   
    365,722  
 
Hotels, Restaurants & Leisure — 0.3%  
Caesars Entertainment Operating Co., Inc., 9.00%, 2/15/20   433   345,317  
 
Independent Power Producers & Energy Traders — 0.1%  
Calpine Corp., 6.00%, 1/15/22 (c)   80   85,800  
 
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20141
 

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

 

Corporate Bonds Par
(000)		   Value  
 
Media — 0.2%  
NAI Entertainment Holdings/NAI Entertainment Holdings Finance Corp., 5.00%, 8/01/18 (c) USD  96 $ 99,840  
Numericable Group SA, 6.00%, 5/15/22 (c)   200   207,500  
   
    307,340  
 
Oil, Gas & Consumable Fuels — 0.1%  
EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19   145   155,150  
 
Road & Rail — 0.2%  
Florida East Coast Holdings Corp., 6.75%, 5/01/19 (c)   196   204,085  
 
Wireless Telecommunication Services — 0.0%  
T-Mobile USA, Inc., 6.13%, 1/15/22   50   53,000  
 
Total Corporate Bonds — 3.2%   4,167,054  
 
 
 
Floating Rate Loan Interests (b)  
 
Aerospace & Defense — 1.7%  
DigitalGlobe, Inc., Term Loan B, 3.75%, 1/31/20   510   510,487  
TASC, Inc., 2nd Lien Term Loan, 12.00%, 5/30/21   275   271,048  
Transdigm, Inc.:          
  Term Loan C, 3.75%, 2/28/20   222   220,719  
  Term Loan D, 3.75%, 5/31/21   200   198,678  
TransUnion LLC, Term Loan, 4.00%, 3/17/21   1,090   1,086,142  
   
    2,287,074  
 
Air Freight & Logistics — 0.5%  
CEVA Group PLC, Synthetic LC, 6.50%, 3/19/21   166   162,438  
CEVA Intercompany BV, Dutch Term Loan, 6.50%, 3/19/21   175   171,298  
CEVA Logistics U.S. Holdings, Inc., Term Loan, 6.50%, 3/19/21   241   236,274  
CEVA Logistics Canada ULC, Canadian Term Loan, 6.50%, 3/19/21   30   29,535  
   
    599,545  
 
Airlines — 0.8%  
Delta Air Lines, Inc., 2018 Term Loan B1, 3.50%, 10/18/18   325   323,600  
Northwest Airlines, Inc., Term Loan:          
  2.18%, 3/10/17   178   172,860  
  1.56%, 9/10/18   245   232,577  
              
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Airlines (concluded)  
US Airways Group, Inc., Term Loan B1, 3.50%, 5/23/19 USD  257 $ 256,702  
   
    985,739  
 
Auto Components — 3.0%  
Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.75%, 4/27/20   317   317,784  
Armored Autogroup, Inc., Term Loan B, 6.00% - 6.50%, 11/04/16   58   57,664  
Autoparts Holdings Ltd.:          
  1st Lien Term Loan, 6.50%, 7/28/17   626   625,753  
  2nd Lien Term Loan, 10.50%, 1/29/18   285   270,750  
Dayco Products LLC, Term Loan B, 5.25%, 12/12/19   359   359,998  
FPC Holdings, Inc., 1st Lien Term Loan, 5.25%, 11/19/19   329   324,779  
The Goodyear Tire & Rubber Co., 2nd Lien Term Loan, 4.75%, 4/30/19   1,150   1,154,025  
Transtar Holding Co., 1st Lien Term Loan, 5.75%, 10/09/18   481   479,109  
UCI International, Inc., Term Loan B, 5.50%, 7/26/17   339   338,943  
   
    3,928,805  
 
Automobiles — 0.3%  
Chrysler Group LLC:          
  2018 Term Loan B, 3.25%, 12/31/18   190   188,812  
  Term Loan B, 3.50%, 5/24/17   200   200,000  
   
    388,812  
 
Building Products — 2.9%  
Continental Building Products LLC, 1st Lien Term Loan, 4.25%, 8/28/20   394   393,406  
CPG International, Inc., Term Loan, 4.75%, 9/30/20   976   975,772  
GYP Holdings III Corp., 1st Lien Term Loan, 4.75%, 4/01/21   320   316,800  
Interline Brands, Inc., Term Loan, 4.00%, 3/17/21   305   303,094  
Momentive Performance Materials, Inc., DIP Term Loan B, 4.00%, 4/30/15   100   100,083  
Nortek, Inc., Term Loan, 3.75%, 12/31/20   150   150,094  
Ply Gem Industries, Inc., Term Loan, 4.00%, 2/01/21   225   222,469  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20142
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Building Products (concluded)  
Quikrete Holdings, Inc., 1st Lien Term Loan, 4.00%, 9/28/20 USD  403 $ 402,723  
Wilsonart LLC:          
  Incremental Term Loan B2, 4.00%, 10/31/19   110   108,560  
  Term Loan B, 4.00%, 10/31/19   790   781,611  
   
    3,754,612  
 
Capital Markets — 0.5%  
Affinion Group, Inc.:          
  2nd Lien Term Loan, 8.50%, 10/12/18   212   212,993  
  Term Loan B, 6.75%, 4/30/18   301   302,111  
American Capital Holdings, Inc., 2017 Term Loan, 3.50%, 8/22/17   197   196,965  
   
    712,069  
 
Chemicals — 4.5%  
Allnex (Luxembourg) & Cy S.C.A., Term Loan B1, 4.50%, 10/03/19   255   255,059  
Allnex USA, Inc., Term Loan B2, 4.50%, 10/03/19   132   132,338  
Axalta Coating Systems US Holdings, Inc., Term Loan, 4.00%, 2/01/20   729   728,743  
CeramTec Acquisition Corp., Term Loan B2, 4.25%, 8/28/20   27   26,892  
Chemtura Corp., Term Loan B, 3.50%, 8/27/16   324   324,214  
Chromaflo Technologies Corp.:          
  1st Lien Term Loan, 4.50%, 12/02/19   259   259,026  
  2nd Lien Term Loan, 8.25%, 5/30/20   110   110,550  
Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19   477   477,843  
INEOS U.S. Finance LLC:          
  3 Year Term Loan, 2.15%, 5/04/15   88   87,907  
  6 Year Term Loan, 3.75%, 5/04/18   195   193,195  
MacDermid, Inc., 1st Lien Term Loan, 4.00%, 6/07/20   352   351,985  
Minerals Technology, Inc., Term Loan B, 4.00%, 5/09/21   500   501,250  
Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17   582   580,607  
            
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Chemicals (concluded)  
OXEA Finance LLC:          
  2nd Lien Term Loan, 8.25%, 7/15/20 USD 315 $ 317,888  
  Term Loan B2, 4.25%, 1/15/20   582   582,075  
Royal Adhesives and Sealants LLC, 1st Lien Term Loan, 5.50%, 7/31/18   156   157,263  
Tata Chemicals North America, Inc., Term Loan B, 3.75%, 8/07/20   134   133,318  
Tronox Pigments (Netherlands) B.V., Term Loan, 4.00%, 3/19/20   407   406,960  
Univar, Inc., Term Loan B, 5.00%, 6/30/17   223   223,012  
   
    5,850,125  
 
Commercial Banks — 0.3%  
Redtop Acquisitions Ltd.:          
  1st Lien Term Loan, 4.50%, 12/03/20   259   260,322  
  2nd Lien Term Loan, 8.25%, 6/03/21   70   71,571  
   
    331,893  
 
Commercial Services & Supplies — 5.9%  
ADS Waste Holdings, Inc., Term Loan, 3.75%, 10/09/19   738   733,535  
ARAMARK Corp.:          
  Extended Synthetic Line of Credit 2, 3.65%, 7/26/16   14   13,787  
  Extended Synthetic Line of Credit 3, 3.65%, 7/26/16   9   9,324  
  Term Loan E, 3.25%, 9/07/19   325   322,767  
AWAS Finance Luxembourg 2012 S.A., Term Loan, 3.50%, 7/16/18   285   285,426  
Brand Energy & Infrastructure Services, Inc., Term Loan B, 4.75%, 11/26/20   870   871,596  
Catalent Pharma Solutions, Inc.:          
  Term Loan, 6.50%, 12/29/17   115   115,863  
  Term Loan B, 4.50%, 9/15/21   700   702,625  
Connolly LLC:          
  1st Lien Term Loan, 5.00%, 1/29/21   675   680,488  
  2nd Lien Term Loan, 8.00%, 4/23/22   325   327,844  
KAR Auction Services, Inc., Term Loan B2, 3.50%, 3/11/21   310   308,168  
Koosharem LLC, Exit Term Loan, 8.75%, 4/29/20   550   554,125  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20143
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Commercial Services & Supplies (concluded)  
Livingston International, Inc.:          
  1st Lien Term Loan, 5.00%, 4/16/19 USD  308 $ 307,675  
  2nd Lien Term Loan, 9.00%, 4/20/20   200   201,617  
Protection One, Inc., Term Loan, 4.25%, 3/21/19   469   468,768  
Spin Holdco, Inc., Term Loan B, 4.25%, 11/14/19   926   924,259  
US Ecology, Inc., Term Loan, 3.75%, 5/15/21   225   226,125  
West Corp., Term Loan B10, 3.25%, 6/30/18   681   673,174  
   
    7,727,166  
 
Communications Equipment — 2.4%  
Alcatel-Lucent USA, Inc., Term Loan C, 4.50%, 1/30/19   1,203   1,204,370  
Applied Systems, Inc.:          
  1st Lien Term Loan, 4.25%, 1/25/21   185   184,884  
  2nd Lien Term Loan, 7.50%, 1/23/22   85   86,403  
Avaya, Inc., Extended Term Loan B3, 4.73%, 10/26/17   346   334,172  
CommScope, Inc., Term Loan B3, 2.65% - 2.73%, 1/21/17   157   157,678  
Zayo Group LLC/Zayo Capital Inc., Term Loan B, 4.00%, 7/02/19   1,238   1,234,963  
   
    3,202,470  
 
Construction & Engineering — 1.0%  
BakerCorp International, Inc., Term Loan, 4.25%, 2/14/20   300   296,064  
Centaur Acquisition LLC:          
  1st Lien Term Loan, 5.25%, 2/20/19   485   485,332  
  2nd Lien Term Loan, 8.75%, 2/15/20   280   282,800  
USIC Holdings, Inc., 1st Lien Term Loan, 4.00%, 7/10/20   268   264,960  
   
    1,329,156  
 
Construction Materials — 1.6%  
Filtration Group Corp.:          
  1st Lien Term Loan, 4.50%, 11/21/20   219   220,730  
  2nd Lien Term Loan, 8.25%, 11/21/21   120   122,100  
HD Supply, Inc., Term Loan B, 4.00%, 6/28/18   1,608   1,606,779  
            
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Construction Materials (concluded)  
McJunkin Red Man Corp., Term Loan, 5.00%, 11/08/19 USD  149 $ 149,872  
   
    2,099,481  
 
Containers & Packaging — 1.2%  
Ardagh Holdings USA, Inc.:          
  Incremental Term Loan, 4.00%, 12/17/19   210   209,649  
  Term Loan B, 4.25%, 12/17/19   289   289,547  
Berry Plastics Holding Corp., Term Loan E, 3.75%, 1/06/21   630   627,231  
Rexam PLC:          
  1st Lien Term Loan, 4.25%, 3/21/21   170   170,957  
  2nd Lien Term Loan, 8.00%, 3/21/22   60   59,925  
Tekni-Plex, Inc., Term Loan B, 4.75% - 6.00%, 8/25/19   244   243,418  
   
    1,600,727  
 
Distributors — 1.3%  
ABC Supply Co., Inc., Term Loan, 3.50%, 4/16/20   1,144   1,139,547  
American Tire Distributors Holdings, Inc., Term Loan B, 5.75%, 6/01/18   90   90,225  
Crossmark Holdings, Inc., 1st Lien Term Loan, 4.50%, 12/20/19   232   229,354  
VWR Funding, Inc., Term Loan, 3.40%, 4/03/17   276   276,490  
   
    1,735,616  
 
Diversified Consumer Services — 2.2%  
Allied Security Holdings LLC:          
  1st Lien Term Loan, 4.25%, 2/12/21   656   653,136  
  2nd Lien Term Loan, 8.00%, 8/13/21   91   90,842  
Bright Horizons Family Solutions, Inc., Term Loan B, 3.75% - 5.00%, 1/30/20   637   636,460  
Garda World Security Corp.:          
  Delayed Draw Term Loan, 4.00%, 11/06/20   69   68,344  
  Term Loan B, 4.00%, 11/06/20   268   267,164  
ROC Finance LLC, Term Loan, 5.00%, 6/20/19   249   244,397  
ServiceMaster Co., Term Loan, 4.25%, 1/31/17   466   466,198  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20144
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Diversified Consumer Services (concluded)  
Weight Watchers International, Inc., Term Loan B2, 4.00%, 4/02/20 USD  629 $ 496,458  
   
    2,922,999  
 
Diversified Financial Services — 1.9%  
AssuredPartners Capital, Inc.:          
  1st Lien Term Loan, 4.50%, 3/31/21   335   334,859  
  2nd Lien Term Loan, 7.75%, 4/04/22   100   99,875  
Reynolds Group Holdings, Inc., Dollar Term Loan, 4.00%, 12/01/18   747   747,461  
RPI Finance Trust, Term Loan B3, 3.25%, 11/09/18   87   86,795  
SAM Finance Luxembourg S.A.R.L., Term Loan, 4.25%, 12/17/20   594   595,738  
WMG Acquisition Corp., Term Loan, 3.75%, 7/01/20   591   580,534  
   
    2,445,262  
 
Diversified Telecommunication Services — 4.2%  
Consolidated Communications, Inc., Term Loan B, 4.25%, 12/23/20   691   694,099  
Hawaiian Telcom Communications, Inc., Term Loan B, 5.00%, 6/06/19   522   523,774  
Integra Telecom, Inc.:          
  2nd Lien Term Loan, 9.75%, 2/22/20   255   259,554  
  Term Loan B, 5.25%, 2/22/19   460   461,750  
Level 3 Financing, Inc.:          
  2019 Term Loan, 4.00%, 8/01/19   220   220,220  
  2019 Term Loan B, 4.00%, 1/15/20   2,160   2,163,240  
Syniverse Holdings, Inc., Term Loan B, 4.00%, 4/23/19   446   445,423  
US Telepacific Corp., Term Loan B, 5.75%, 2/23/17   730   731,038  
   
    5,499,098  
 
Electric Utilities — 0.5%  
American Energy - Utica LLC:          
  2nd Lien Term Loan, 5.50%, 9/30/18   228   244,214  
  Incremental Term Loan, 11.00%, 9/30/18   100   105,500  
              
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Electric Utilities (concluded)  
Sandy Creek Energy Associates LP, Term Loan B, 5.00%, 11/06/20 USD  299 $ 300,579  
   
    650,293  
 
Electrical Equipment — 1.3%  
Southwire Co., Term Loan, 3.25%, 2/10/21   265   264,412  
Texas Competitive Electric Holdings Co. LLC:          
  DIP Term Loan, 3.75%, 5/05/16   286   286,555  
  Extended Term Loan, 4.74%, 10/10/17   1,505   1,203,789  
   
    1,754,756  
 
Electronic Equipment, Instruments & Components — 0.5%  
CDW LLC, Term Loan, 3.25%, 4/29/20   655   645,748  
 
Energy Equipment & Services — 0.5%  
Dynegy Holdings, Inc., Term Loan B2, 4.00%, 4/23/20   258   258,280  
MEG Energy Corp., Refinancing Term Loan, 3.75%, 3/31/20   359   359,680  
   
    617,960  
 
Food & Staples Retailing — 1.4%  
Alliance Boots Holdings Ltd., Term Loan B1, 3.46%, 7/09/15 GBP 672   1,125,165  
Rite Aid Corp., 2nd Lien Term Loan, 5.75%, 8/21/20 USD 235   239,651  
Supervalu, Inc., Refinancing Term Loan B, 4.50%, 3/21/19   511   510,025  
   
    1,874,841  
 
Food Products — 3.6%  
AdvancePierre Foods, Inc., Term Loan, 5.75%, 7/10/17   200   199,075  
CTI Foods Holding Co. LLC, 1st Lien Term Loan, 4.50%, 6/29/20   259   258,376  
Del Monte Foods, Inc., 1st Lien Term Loan, 4.25%, 2/18/21   394   393,110  
Diamond Foods, Inc., Term Loan, 4.25%, 8/20/18   684   682,758  
Dole Food Co., Inc., Term Loan B, 4.50%, 11/01/18   603   603,355  
GFA Brands, Inc., Term Loan B, 5.00%, 7/09/20   109   109,448  
H.J. Heinz Co., Term Loan B1, 3.25%, 6/07/19   74   74,446  
Hearthside Food Solutions LLC, Term Loan, 4.50%, 4/07/21   275   275,916  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20145
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Food Products (concluded)  
Michael Foods Group, Inc., Term Loan, 5.25%, 2/25/18 USD  165 $ 165,100  
Performance Food Group Co., 2nd Lien Term Loan, 6.25%, 11/14/19   375   378,384  
Pinnacle Foods Finance LLC:          
  Incremental Term Loan H, 3.25%, 4/29/20   124   123,571  
  Term Loan G, 3.25%, 4/29/20   693   688,918  
Reddy Ice Corp.:          
  1st Lien Term Loan, 6.75% - 7.75%, 5/01/19   564   553,014  
  2nd Lien Term Loan, 10.75%, 11/01/19   270   248,400  
   
    4,753,871  
 
Health Care Equipment & Supplies — 7.1%  
Arysta LifeScience Corp.:          
  1st Lien Term Loan, 4.50%, 5/29/20   933   933,724  
  2nd Lien Term Loan, 8.25%, 11/30/20   380   383,800  
Biomet, Inc., Term Loan B2, 3.65% - 3.73%, 7/25/17   754   755,085  
Capsugel Holdings US, Inc., Term Loan B, 3.50%, 8/01/18   471   469,016  
DJO Finance LLC, 2017 Term Loan, 4.25%, 9/15/17   978   979,412  
Fresenius SE & Co. KGaA:          
  Incremental Term Loan B, 2.57%, 6/30/19 EUR 120   162,557  
  Term Loan B, 2.23%, 8/07/19 USD 617   615,228  
The Hologic, Inc., Term Loan B, 3.25%, 8/01/19   763   760,815  
Iasis Healthcare LLC, Term Loan B2, 4.50%, 5/03/18   95   95,245  
Immucor, Inc., Refinancing Term Loan B2, 5.00%, 8/17/18   805   803,730  
Kinetic Concepts, Inc., Term Loan E1, 4.00%, 5/04/18   119   119,464  
Leonardo Acquisition Corp., Term Loan, 4.25%, 1/31/21   445   443,888  
LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18   125   119,556  
Millennium Laboratories, Inc., Term Loan B, 5.25%, 4/16/21   575   578,237  
National Vision, Inc.:          
  1st Lien Term Loan, 4.00%, 3/12/21   639   630,110  
  2nd Lien Term Loan, 6.75%, 3/07/22   120   119,550  
              
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Health Care Equipment & Supplies (concluded)  
Onex Carestream Finance LP:          
  1st Lien Term Loan, 5.00%, 6/07/19 USD  225 $ 225,551  
  2nd Lien Term Loan, 9.50%, 12/07/19   238   242,468  
Ortho-Clinical Diagnostics, Inc., Term Loan B, 3.50%, 5/07/21   920   923,570  
   
    9,361,006  
 
Health Care Providers & Services — 6.0%  
American Renal Holdings, Inc., 1st Lien Term Loan, 4.50%, 9/20/19   653   652,583  
Ardent Medical Services, Inc., Term Loan, 6.75%, 7/02/18   262   262,015  
CHS/Community Health Systems, Inc., Term Loan D, 4.25%, 1/27/21   1,960   1,970,496  
Convatec, Inc., Term Loan, 4.00%, 12/22/16   540   540,110  
DaVita, Inc.:          
  Term Loan B, 4.50%, 10/20/16   993   992,899  
  Term Loan B2, 4.00%, 11/01/19   404   405,139  
Envision Acquisition Co. LLC, 1st Lien Term Loan, 5.75%, 11/04/20   239   239,397  
Envision Healthcare Corp., Term Loan, 4.00%, 5/25/18   425   424,675  
Genesis HealthCare Corp., Term Loan B, 10.00% - 10.75%, 9/25/17   272   276,926  
HCA, Inc., Extended Term Loan B4, 2.98%, 5/01/18   234   233,855  
Ikaria, Inc.:          
  1st Lien Term Loan, 5.00%, 2/12/21   270   270,845  
  2nd Lien Term Loan, 8.75%, 2/14/22   70   70,933  
inVentiv Health, Inc.:          
  Combined Term Loan, 7.50%, 8/04/16   217   217,380  
  Incremental Term Loan B3, 7.75%, 5/15/18   219   218,256  
MPH Acquisition Holdings LLC, Term Loan, 4.00%, 3/31/21   529   524,894  
National Mentor Holdings, Inc., Term Loan B, 4.75%, 1/31/21   190   190,713  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20146
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Health Care Providers & Services (concluded)  
Surgical Care Affiliates, Inc., Class C Incremental Term Loan, 4.00%, 6/29/18 USD  422 $ 419,703  
   
    7,910,819  
 
Health Care Technology — 0.7%  
IMS Health, Inc., Term Loan, 3.50%, 3/17/21   760   754,818  
MedAssets, Inc., Term Loan B, 4.00%, 12/13/19   172   171,811  
   
    926,629  
 
Hotels, Restaurants & Leisure — 11.8%  
Bally Technologies, Inc., Term Loan B, 4.25%, 11/25/20   322   323,030  
Belmond Interfin Ltd., Term Loan B, 4.00%, 3/21/21   480   480,902  
Boyd Gaming Corp., Term Loan B, 4.00%, 8/14/20   262   262,302  
Bronco Midstream Funding LLC, Term Loan B, 5.00%, 8/17/20   709   708,753  
Caesars Entertainment Operating Co., Term Loan B7, 9.75%, 3/01/17   618   611,270  
Caesars Entertainment Resort Properties LLC, Term Loan B, 7.00%, 10/12/20   1,501   1,493,838  
Diamond Resorts Corp., Term Loan, 5.50%, 4/23/21   550   553,438  
Four Seasons Holdings, Inc., 2nd Lien Term Loan, 6.25%, 12/28/20   330   334,125  
Hilton Worldwide Finance LLC, Term Loan B2, 3.50%, 10/26/20   1,988   1,979,615  
Intrawest ULC, Term Loan, 5.50%, 11/26/20   369   375,072  
La Quinta Intermediate Holdings LLC, Term Loan B, 4.00%, 4/14/21   2,575   2,575,644  
Las Vegas Sands LLC, Term Loan B, 3.25%, 12/19/20   599   597,351  
Marina District Finance Co., Inc., Term Loan B, 6.75%, 8/15/18   222   225,066  
MGM Resorts International, Term Loan B, 3.50%, 12/20/19   788   784,978  
Pinnacle Entertainment, Inc., Term Loan B2, 3.75%, 8/13/20   444   444,309  
Playa Resorts Holding BV, Term Loan B, 4.00%, 8/06/19   408   408,460  
Sabre, Inc.:          
  Incremental Term Loan, 4.50%, 2/19/19   114   114,640  
              
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Hotels, Restaurants & Leisure (concluded)  
Sabre, Inc.: (concluded):          
  Term Loan B, 4.25%, 2/19/19 USD  316 $ 316,000  
Station Casinos LLC, Term Loan B, 4.25%, 3/02/20   1,151   1,152,008  
Travelport LLC:          
  2nd Lien Term Loan 1, 9.50%, 1/29/16   250   256,633  
  Refinancing Term Loan, 6.25%, 6/26/19   268   273,613  
Twin River Management Group, Inc., Term Loan B:          
  5.25%, 11/09/18   565   562,199  
  5.25%, 4/10/20   265   264,669  
Wendy's International, Inc., Term Loan B, 3.25%, 5/15/19   369   369,953  
   
    15,467,868  
 
Household Products — 1.2%  
Bass Pro Group LLC, Term Loan, 3.75%, 11/20/19   636   634,399  
Prestige Brands, Inc., Term Loan, 3.75%, 1/31/19   301   299,567  
Spectrum Brands, Inc.:          
  Term Loan A, 3.00%, 9/07/17   226   225,873  
  Term Loan C, 3.50%, 9/04/19   342   340,806  
   
    1,500,645  
 
Independent Power Producers & Energy Traders — 0.4%  
The AES Corp., Refinancing Term Loan B, 3.75%, 6/01/18   18   17,926  
Calpine Corp., Term Loan B1, 4.00%, 4/01/18   211   211,520  
La Frontera Generation LLC, Term Loan, 4.50%, 9/30/20   311   311,423  
   
    540,869  
 
Industrial Conglomerates — 0.8%  
Sequa Corp., Term Loan B, 5.25%, 6/19/17   1,042   1,030,191  
 
Insurance — 2.4%  
Alliant Holdings I, Inc., Term Loan B, 4.25%, 12/20/19   415   415,390  
Asurion LLC:          
  2nd Lien Term Loan, 8.50%, 3/03/21   155   159,069  
  Term Loan B1, 5.00%, 5/24/19   457   458,044  
CNO Financial Group, Inc.:          
  Term Loan B1, 3.00%, 9/28/16   287   286,822  
  Term Loan B2, 3.75%, 9/20/18   519   518,800  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20147
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Insurance (concluded)  
Cooper Gay Swett & Crawford Ltd.:          
  1st Lien Term Loan, 5.00%, 4/16/20 USD  417 $ 402,260  
  2nd Lien Term Loan, 8.25%, 10/16/20   200   193,000  
Sedgwick, Inc.:          
  1st Lien Term Loan, 3.75%, 3/01/21   460   452,143  
  2nd Lien Term Loan, 6.75%, 2/28/22   260   258,794  
   
    3,144,322  
 
Internet Software & Services — 1.7%  
Dealertrack Technologies, Inc., Term Loan B, 3.50%, 2/28/21   440   439,261  
Go Daddy Operating Co. LLC, Term Loan B, 4.75%, 5/13/21   575   577,053  
Interactive Data Corp., Term Loan B, 4.75%, 4/30/21   450   453,096  
W3 Co.:          
  1st Lien Term Loan, 5.75%, 3/13/20   406   399,811  
  2nd Lien Term Loan, 9.25%, 9/11/20   155   154,613  
Web.com Group, Inc., Term Loan B, 4.50%, 10/27/17   261   262,127  
   
    2,285,961  
 
IT Services — 3.5%  
Ceridian Corp., Term Loan B, 4.40%, 5/09/17   871   871,991  
First Data Corp.:          
  2018 Term Loan, 4.15%, 9/24/18   270   270,251  
  Extended 2018 Term Loan B, 4.15%, 3/24/18   2,310   2,309,095  
Genpact International, Inc., Term Loan B, 3.50%, 8/30/19   431   431,083  
InfoGroup, Inc., Term Loan, 7.50%, 5/25/18   245   217,065  
SunGard Availability Services Capital, Inc., Term Loan B, 6.00%, 3/25/19   350   347,813  
SunGard Data Systems, Inc., Term Loan E, 4.00%, 3/08/20   126   126,584  
   
    4,573,882  
 
Leisure Equipment & Products — 0.4%  
Bauer Performance Sports Ltd., Term Loan B, 4.50%, 4/15/21   300   300,000  
            
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Leisure Equipment & Products (concluded)  
FGI Operating Co. LLC, Term Loan, 5.50%, 4/19/19 USD  205 $ 206,084  
   
    506,084  
 
Machinery — 3.7%  
Alliance Laundry Systems LLC:          
  2nd Lien Term Loan, 9.50%, 12/10/19   131   132,545  
  Refinancing Term Loan, 4.50%, 12/10/18   357   356,689  
Faenza Acquisition GmbH:          
  Term Loan B1, 4.25%, 8/31/20   271   271,353  
  Term Loan B3, 4.25%, 8/28/20   82   82,256  
Gardner Denver, Inc., Term Loan:          
  4.25%, 7/30/20   887   886,091  
  4.75%, 7/30/20 EUR 126   173,106  
Generac Power Systems, Inc., Term Loan B, 3.25%, 5/31/20 USD 326   323,272  
Intelligrated, Inc., 1st Lien Term Loan, 4.50%, 7/30/18   394   392,774  
Mirror Bidco Corp., Term Loan, 4.25%, 12/28/19   563   561,482  
Navistar International Corp., Term Loan B, 5.75%, 8/17/17   206   209,068  
Rexnord LLC, 1st Lien Term Loan B, 4.00%, 8/21/20   478   477,179  
Silver II US Holdings LLC, Term Loan, 4.00%, 12/13/19   533   532,224  
STS Operating, Inc., Term Loan, 4.75%, 2/19/21   155   155,194  
Terex Corp., Term Loan, 4.00%, 4/28/17 EUR 34   45,884  
Wabash National Corp., Term Loan B, 4.50%, 5/08/19 USD 288   286,805  
   
    4,885,922  
 
Media — 13.1%  
Acosta, Inc., Term Loan B, 4.25%, 3/02/18   45   45,028  
Activision Blizzard, Inc., Term Loan B, 3.25%, 10/12/20   589   588,948  
Advanstar Communications, Inc., 2nd Lien Term Loan, 9.50%, 6/06/20   255   258,825  
CBS Outdoor Americas Capital LLC, Term Loan B, 3.00%, 1/31/21   170   168,956  
Cengage Learning Acquisitions, Inc.:          
  1st Lien Term Loan, 7.00%, 3/31/20   1,375   1,392,187  
  4.75%, 7/03/14 (d)   591   —  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20148
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Media (continued)  
Charter Communications Operating LLC, Term Loan E, 3.00%, 7/01/20 USD  462 $ 454,797  
Clear Channel Communications, Inc.:          
  Term Loan B, 3.80%, 1/29/16   148   146,105  
  Term Loan C, 3.80%, 1/29/16   38   37,441  
  Term Loan D, 6.90%, 1/30/19   1,564   1,544,753  
Cumulus Media Holdings, Inc., 2013 Term Loan, 4.25%, 12/23/20   557   558,005  
Getty Images, Inc., Term Loan B, 4.75%, 10/18/19   45   43,395  
Hemisphere Media Group, Inc., Term Loan, 6.25%, 7/30/20   367   367,468  
Hubbard Radio LLC, Term Loan B, 4.50%, 4/29/19   380   380,277  
IMG Worldwide, Inc.:          
  1st Lien Term Loan, 5.25%, 5/06/21   515   517,189  
  2nd Lien Term Loan, 8.25%, 5/01/22   205   207,179  
Intelsat Jackson Holdings SA, Term Loan B2, 3.75%, 6/30/19   983   983,507  
Lions Gate Entertainment Corp., 2nd Lien Term Loan, 5.00%, 7/17/20   150   152,063  
Live Nation Entertainment, Inc., Term Loan B1, 3.50%, 8/17/20   114   113,948  
Media General, Inc., Delayed Draw Term Loan B, 4.25%, 7/31/20   390   391,088  
Mediacom Communications Corp., Term Loan F, 2.63%, 1/31/18   255   252,343  
Mediacom LLC, Term Loan E, 3.13%, 10/23/17   481   480,952  
NEP/NCP Holdco, Inc.:          
  2nd Lien Term Loan, 9.50%, 7/22/20   131   135,043  
  Incremental Term Loan, 4.25%, 1/22/20   528   527,475  
Numericable U.S. LLC:          
  Term Loan B1, 4.50%, 5/21/20   509   509,505  
  Term Loan B2, 4.50%, 5/21/20   440   440,791  
Salem Communications Corp., Term Loan B, 4.50%, 3/13/20   385   384,852  
SBA Senior Finance II LLC, Term Loan B1, 3.25%, 3/24/21   495   491,287  
Sinclair Television Group, Inc., Term Loan B, 3.00%, 4/09/20   371   367,541  
Tribune Co., Term Loan, 4.00%, 12/27/20   913   912,809  
            
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Media (concluded)  
Univision Communications, Inc., Term Loan C4, 4.00%, 3/01/20 USD  523 $ 521,927  
UPC Financing Partnership, Term Loan AG, 4.02%, 3/31/21 EUR 281   385,064  
Virgin Media Investment Holdings Ltd.:          
  Term Loan B, 3.50%, 6/05/20 USD 780   773,503  
  Term Loan E, 4.25%, 6/05/23 GBP 650   1,087,993  
WideOpenWest Finance LLC, Term Loan B, 4.75%, 4/01/19 USD 511   513,386  
Ziggo NV:          
  Term Loan B1A, 3.25%, 1/15/22   377   371,199  
  Term Loan B2A, 3.25%, 1/15/22   243   239,208  
  Term Loan B3, 3.25%, 1/15/22   399   393,412  
   
    17,139,449  
 
Metals & Mining — 2.2%  
Ameriforge Group, Inc.:          
  1st Lien Term Loan, 5.00%, 12/19/19   370   370,789  
  2nd Lien Term Loan, 8.75%, 12/19/20   185   186,850  
API Heat Transfer, Inc., Term Loan, 5.25%, 5/03/19   368   365,669  
FMG Resources (August 2006) Property Ltd., Term Loan B, 3.75%, 6/30/19   544   543,185  
Novelis, Inc., Term Loan, 3.75%, 3/10/17   786   785,618  
Windsor Financing LLC, Term Loan B, 6.25%, 12/05/17   601   613,295  
   
    2,865,406  
 
Multiline Retail — 3.8%  
99 ¢ Only Stores, Term Loan, 4.50%, 1/11/19   452   454,206  
Apex Tool Group LLC, Term Loan B, 4.50%, 1/31/20   105   102,303  
BJ's Wholesale Club, Inc.:          
  1st Lien Term Loan, 4.50%, 9/26/19   540   539,279  
  2nd Lien Term Loan, 8.50%, 3/26/20   200   205,750  
HEMA Holding BV, Extended 2nd Lien Term Loan, 6.01%, 1/05/18 EUR 1,800   2,261,474  
Hudson's Bay Co., 1st Lien Term Loan, 4.75%, 11/04/20 USD 430   433,781  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 20149
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Multiline Retail (concluded)  
The Neiman Marcus Group, Inc., Term Loan, 4.25%, 10/26/20 USD  986 $ 983,171  
   
    4,979,964  
 
Oil, Gas & Consumable Fuels — 2.9%  
Arch Coal, Inc., Term Loan B, 6.25%, 5/16/18   429   422,083  
Drillships Financing Holding, Inc., Term Loan B1, 6.00%, 3/31/21   274   274,929  
EP Energy LLC/Everest Acquisition Finance Inc., Term Loan B3, 3.50%, 5/24/18   440   439,177  
Fieldwood Energy LLC:          
  1st Lien Term Loan, 3.88%, 9/28/18   314   313,356  
  2nd Lien Term Loan, 8.38%, 9/30/20   135   138,833  
Moxie Patriot LLC, Term Loan B1, 6.75%, 12/18/20   325   331,500  
Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15   239   241,420  
Offshore Group Investment Ltd., Term Loan B:          
  5.00%, 10/25/17   231   229,462  
  5.75%, 3/28/19   126   125,505  
Panda Temple II Power LLC, Term Loan B, 7.25%, 4/03/19   360   367,200  
Power Buyer LLC:          
  1st Lien Term Loan, 4.25%, 5/06/20   148   146,132  
  2nd Lien Term Loan, 8.25%, 11/06/20   105   104,081  
  Delayed Draw Term Loan, 4.25%, 5/06/20   8   7,822  
Raven Power Finance LLC, Term Loan, 5.25%, 12/19/20   206   208,800  
Western Refining, Inc., Term Loan B, 4.25%, 11/12/20   334   334,721  
WTG Holdings III Corp.:          
  1st Lien Term Loan, 4.75%, 1/15/21   135   134,662  
  2nd Lien Term Loan, 8.50%, 1/15/22   30   30,075  
   
    3,849,758  
 
Pharmaceuticals — 5.7%  
Akorn, Inc., Term Loan B, 4.50%, 4/16/21   410   410,512  
Amneal Pharmaceuticals LLC, Term Loan, 5.75% - 7.00%, 11/01/19   279   279,645  
CCC Information Services, Inc., Term Loan, 4.00%, 12/20/19   212   211,340  
            
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Pharmaceuticals (concluded)  
Endo Luxembourg Finance Co. I Sarl, Term Loan B, 3.25%, 2/28/21 USD  360 $ 357,001  
Grifols Worldwide Operations USA, Inc., Term Loan B, 3.15%, 2/27/21   1,250   1,243,850  
JLL/Delta Dutch Newco BV, 2021 Term Loan, 4.25%, 3/11/21   365   360,828  
Mallinckrodt International Finance SA, Term Loan B, 3.50%, 3/19/21   530   526,687  
Par Pharmaceutical Cos, Inc., Term Loan B2, 4.00%, 9/30/19   848   844,782  
Pharmaceutical Product Development LLC, Term Loan B, 4.00%, 12/05/18   989   989,144  
Quintiles Transnational Corp., Term Loan B3, 3.75%, 6/08/18   577   575,971  
Valeant Pharmaceuticals International, Inc.:          
  Series C2 Term Loan B, 3.75%, 12/11/19   606   603,631  
  Series D2 Term Loan B, 3.75%, 2/13/19   655   653,855  
  Series E Term Loan B, 3.75%, 8/05/20   377   375,968  
   
    7,433,214  
 
Professional Services — 1.7%  
Emdeon Business Services LLC, Term Loan B2, 3.75%, 11/02/18   720   719,896  
Intertrust Group Holding BV, 2nd Lien Term Loan, 8.00%, 2/28/22   275   275,000  
SIRVA Worldwide, Inc., Term Loan, 7.50%, 3/27/19   426   433,150  
TriNet Group, Inc., Term Loan B2, 5.00%, 8/14/20   259   260,156  
Truven Health Analytics, Inc., Term Loan B, 4.50%, 6/06/19   594   588,020  
   
    2,276,222  
 
Real Estate Investment Trusts (REITs) — 0.5%  
IStar Financial, Inc., Term Loan, 4.50%, 10/16/17   580   580,395  
Starwood Property Trust, Inc., Term Loan B, 3.50%, 4/17/20   66   65,251  
   
    645,646  
 
Real Estate Management & Development — 1.4%  
CityCenter Holdings LLC, Term Loan B, 5.00%, 10/16/20   574   577,268  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201410
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Real Estate Management & Development (concluded)  
Realogy Corp.:          
  Extended Letter of Credit, 4.40%, 10/10/16 USD  87 $ 86,455  
  Term Loan B, 3.75%, 3/05/20   1,191   1,191,121  
   
    1,854,844  
 
Road & Rail — 0.6%  
Genesee & Wyoming, Inc., Term Loan A, 1.90%, 9/29/17   120   120,037  
Road Infrastructure Investment LLC:          
  1st Lien Term Loan, 4.25%, 3/31/21   465   462,675  
  2nd Lien Term Loan, 7.75%, 9/21/21   225   223,499  
   
    806,211  
 
Semiconductors & Semiconductor Equipment — 1.5%  
Avago Technologies Cayman Ltd., Term Loan B, 3.75%, 5/06/21   925   927,312  
Freescale Semiconductor, Inc.:          
  Term Loan B4, 4.25%, 2/28/20   533   533,455  
  Term Loan B5, 5.00%, 1/15/21   164   164,823  
NXP BV, Term Loan D, 3.75%, 1/11/20   328   325,149  
   
    1,950,739  
 
Software — 4.0%  
BMC Software Finance, Inc., Term Loan, 5.00%, 9/10/20   559   559,762  
Evertec Group LLC, Term Loan B, 3.50%, 4/17/20   243   238,603  
GCA Services Group, Inc.:          
  2nd Lien Term Loan, 9.25%, 10/22/20   176   176,880  
  Term Loan B, 4.25% - 5.50%, 11/01/19   407   406,587  
Infor US, Inc., Term Loan B5, 3.75%, 6/03/20   1,007   998,576  
IQOR US, Inc., Term Loan B, 6.00%, 4/01/21   203   193,421  
Kronos, Inc., 2nd Lien Term Loan, 9.75%, 4/30/20   409   423,551  
Kronos Worldwide, Inc., Term Loan, 4.75%, 2/18/20   115   116,079  
Mitchell International, Inc.:          
  1st Lien Term Loan, 4.50%, 10/12/20   509   510,481  
  2nd Lien Term Loan, 8.50%, 10/11/21   350   357,000  
              
Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Software (concluded)  
RP Crown Parent LLC, Term Loan, 6.00%, 12/21/18 USD  356 $ 355,573  
Shield Finance Co. Sarl, Term Loan, 5.00%, 1/27/21   155   155,581  
Sophia LP, Term Loan B, 4.00%, 7/19/18   602   602,329  
Websense, Inc., 2nd Lien Term Loan, 8.25%, 12/24/20   170   170,690  
   
    5,265,113  
 
Specialty Retail — 3.9%  
Academy Ltd., Term Loan, 4.50%, 8/03/18   613   613,672  
Burlington Coat Factory Warehouse Corp., Term Loan B2, 4.25%, 2/23/17   145   145,984  
Equinox Holdings, Inc., Repriced Term Loan B, 4.25%, 1/31/20   225   225,028  
The Gymboree Corp., Initial Term Loan, 5.00%, 2/23/18   77   62,789  
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 4.75%, 7/26/19   453   455,274  
Jo-Ann Stores, Inc., Term Loan, 4.00%, 3/16/18   370   368,345  
Leslie's Poolmart, Inc., Term Loan, 4.25%, 10/16/19   553   551,134  
Michaels Stores, Inc., Term Loan, 3.75%, 1/28/20   519   518,803  
Party City Holdings, Inc., Term Loan, 4.00%, 7/27/19   951   944,454  
Petco Animal Supplies, Inc., Term Loan, 4.00%, 11/24/17   777   779,035  
Things Remembered, Inc., Term Loan B, 8.00%, 5/24/18   394   392,241  
Toys 'R' Us-Delaware, Inc., Term Loan B3, 5.25%, 5/25/18   37   28,823  
   
    5,085,582  
 
Textiles, Apparel & Luxury Goods — 1.7%  
Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18   532   526,185  
Authentic Brands Group LLC, 1st Lien Term Loan, 5.50%, 5/21/21   500   496,250  
J. Crew Group, Inc., Term Loan B, 4.00% - 5.25%, 3/05/21   470   466,945  
Kate Spade & Co., Term Loan B, 4.00%, 4/09/21   375   374,906  
Nine West Holdings, Inc.:          
  Guarantee Term Loan, 6.25%, 3/05/19   185   185,463  
                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201411
 

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

 

Floating Rate Loan Interests (b) Par
(000)		   Value  
 
Textiles, Apparel & Luxury Goods (concluded)  
Nine West Holdings, Inc. (concluded):          
  Term Loan B, 4.75%, 10/08/19 USD  215 $ 215,673  
   
    2,265,422  
 
Thrifts & Mortgage Finance — 0.3%  
IG Investment Holdings LLC, 1st Lien Term Loan, 5.25%, 10/31/19   444   444,930  
 
Wireless Telecommunication Services — 0.5%  
LTS Buyer LLC, 1st Lien Term Loan, 4.00%, 4/13/20   605   602,701  
 
Total Floating Rate Loan Interests — 127.5%   167,297,517  
 
 
 
Non-Agency Mortgage-Backed Securities — 0.2%  
 
Commercial Mortgage-Backed Securities — 0.2%  
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (b)(c)   304   314,762  
 
 
 
Investment Companies
Shares		      
 
Capital Markets — 0.0%  
Eaton Vance Floating-Rate Income Trust   12   182  
           
           
           
Investment Companies
Shares		   Value  
 
Capital Markets (concluded)  
Eaton Vance Senior Income Trust   3,347 $ 22,860  
 
Total Investment Companies — 0.0%   23,042  
 
 
 
Warrants (e) — 0.0%  
 
Software — 0.0%  
HMH Holdings/EduMedia (Issued/exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)   691   2,853  
 
Total Long-Term Investments
(Cost — $173,849,234) — 133.7%		   175,482,849  
 
 
 
Short-Term Securities  
 
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.03% (f)(g)   3,235,985   3,235,985  
 
Total Short-Term Securities
(Cost — $3,235,985) — 2.5%		   3,235,985  
 
Total Investments
(Cost — $177,085,219*) — 136.2%		   178,718,834  
Liabilities in Excess of Other Assets — (36.2)%   (47,515,891 )
   
Net Assets — 100.0% $ 131,202,943  
 
* As of May 31, 2014, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:  
      
Tax cost $ 177,539,501  
Gross unrealized appreciation $ 2,184,471  
Gross unrealized depreciation   (1,005,138 )
Net unrealized appreciation $ 1,179,333  
                 
   

Notes to Schedule of Investments

(a) Non-income producing security.
(b) Variable rate security. Rate shown is as of report date.
(c) Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.
(d) Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.
(e) Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any.
     

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201412
 

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

 

(f) Investments in issuers considered to be an affiliate of the Fund during the period ended May 31, 2014, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

   
 
  Affiliate   Shares
Held at
August 31, 2013		   Net
Activity		   Shares
Held at
May 31, 2014		   Income  
 
  BlackRock Liquidity Funds, TempFund, Institutional Class   1,298,269   1,937,716   3,235,985 $ 172  
 
                                           

 

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

 

   

Portfolio Abbreviations

   
ADS American Depositary Shares
CLO Collateralized Loan Obligation
DIP Debtor-In-Possession
EUR Euro
GBP British Pound
USD U.S. Dollar
   
       

 

• Forward foreign currency exchange contracts outstanding as of May 31, 2014 were as follows:

 

 
Currency
Purchased		   Currency
Sold		 Counterparty Settlement
Date		   Unrealized
Appreciation (Depreciation)		  
 
EUR 19,000   USD 26,458 Citibank N.A. 7/23/14 $ (559 )
GBP 10,000   USD 16,887 The Bank of New York Mellon 7/23/14   (132 )
USD 2,930,080   EUR 2,120,000 Barclays Bank PLC 7/23/14   40,318  
USD 129,626   EUR 95,000 UBS AG 7/23/14   132  
USD 2,105,019   GBP 1,253,000 Barclays Bank PLC 7/23/14   5,547  
Total             $ 45,306  

 

 

• OTC credit default swaps – sold protection outstanding as of May 31, 2014 were as follows:

 

Issuer   Receive
Fixed
Rate		   Counterparty   Expiration
Date		   Credit Rating1   Notional
Amount
(000)2		 Market
Value		 Premiums
Received		 Unrealized
Depreciation
Caesars Entertainment Operating Co., Inc.   5.00%   JPMorgan Chase Bank N.A.   12/20/15   C   USD 124 $ (31,116) $  (24,123) $ (6,993)
Caesars Entertainment Operating Co., Inc.   5.00%   JPMorgan Chase Bank N.A.   12/20/15   C   USD 34   (8,627)    (5,798)   (2,829)
Caesars Entertainment Operating Co., Inc.   5.00%   Goldman Sachs Bank USA   3/20/17   C   USD 89   (38,339)    (19,555)   (18,784)
Caesars Entertainment Operating Co., Inc.   5.00%   Deutsche Bank AG   6/20/17   C   USD 127   (59,193)    (30,096)   (29,097)
Caesars Entertainment Operating Co., Inc.   5.00%   Deutsche Bank AG   6/20/19   C   USD  1,400   (840,946)    (804,145)   (36,801)
Total                       $ (978,221) $  (883,717) $ (94,504)

 

1 Using S&P’s rating of the issuer.
2 The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of agreement.

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201413
 

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

 

                                       
• For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine such industry subclassifications for reporting ease.
 
• Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

  • Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Fund has the ability to access
 
  • Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)
 
  • Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund's own assumptions used in determining the fair value of investments and derivative financial instruments)
 
                                           

 

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.

Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Fund's policy, transfers between different levels of the fair value disclosure hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund's policy regarding valuation of investments and derivative financial instruments, please refer to the Fund's most recent financial statements as contained in its semi-annual report.

 

The following tables summarizes the Fund's investments and derivative financial instruments categorized in the disclosure hierarchy as of May 31, 2014:

 

 
  Level 1   Level 2   Level 3   Total  
 
Assets:    
Investments:  
Long-Term Investments:  
  Common Stocks   — $ 1,415,610   — $ 1,415,610  
  Asset-Backed Securities   —   2,262,011   —   2,262,011  
  Corporate Bonds   —   4,167,054   —   4,167,054  
  Floating Rate Loan Interests   —   153,110,464 $ 14,187,053   167,297,517  
  Non-Agency Mortgage-Backed Securities   —   314,762   —   314,762  
  Investment Companies $ 23,042   —   —   23,042  
  Warrants   —   2,853   —   2,853  
  Short-Term Securities   3,235,985   —   —   3,235,985  
  Unfunded Loan Commitments   —   5,415   —   5,415  
Liabilities:    
  Unfunded Loan Commitments       (1,499 )     (1,499 )
   
Total $ 3,259,027 $ 161,276,670 $ 14,187,053 $ 178,722,750  
   
                                 

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201414
 

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

 

     
 
  Level 1   Level 2   Level 3   Total  
 
Derivative Financial Instruments1  
Assets:    
 

Foreign currency exchange

contracts

   — $ 45,997   — $  45,997  
Liabilities:    
  Credit contracts   —   (94,504 ) —   (94,504 )
 

Foreign currency exchange

contracts

   —   (691 )     (691 )
   
Total   — $ (49,198 ) — $ (49,198 )
   
     
                                 

 

1 Derivative financial instruments are swaps and foreign currency exchange contracts. Swaps and 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 reporting purposes. As of May 31, 2014, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

 
  Level 1   Level 2   Level 3   Total  
 
Assets:    
  Cash $ 266,118   —   — $ 266,118  
  Cash pledged as collateral for over-the-counter derivatives   900,000   —   —   900,000  
  Foreign currency at value   21,818   —   —   21,818  
Liabilities:    
  Bank borrowings payable   — $ (43,000,000 ) —   (43,000,000 )
   
Total $ 1,187,936 $ (43,000,000 ) — $ (41,812,064 )
   
                                 

 


There were no transfers between levels during the period ended May 31, 2014.

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201415
 

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

 

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the period 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

  

Floating Rate

Loan Interests

  

 

Total

Assets:              
Opening Balance, as of August 31, 2013 $ 4,422,403    $  21,940,408   $ 26,362,811 
Transfers into Level 31   --   4,704,598     4,704,598 
Transfers out of Level 32   (2,563,707 ) (7,898,624 )   (10,462,331)
Accrued discounts/premiums   3,620   31,168     34,788 
Net realized gain   102,464   46,818     149,282 
Net change in unrealized appreciation/ depreciation3   (104,185 ) (34,139 )   (138,324)
Purchases   --   5,565,158     5,565,158 
Sales   (1,860,595 ) (10,168,334 )   (12,028,929)
Closing Balance, as of May 31, 2014   --   $  14,187,053   $ 14,187,053 
Net change in unrealized appreciation/depreciation on investments
still held at May 31, 20144		   --   $  23,785   $ 23,785 
   

 

1 As of August 31, 2013, the Fund used observable inputs in determining the value of certain investments. As of May 31, 2014, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $4,704,598 transferred from Level 2 to Level 3 in the disclosure hierarchy.
2 As of August 31, 2013, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2014, the Fund used observable inputs in determining the value of the same investments. As a result, investments with a beginning of period value of $10,462,331 transferred from Level 3 to Level 2 in the disclosure hierarchy.
3 Any difference between Net change in unrealized appreciation/depreciation and Net change in unrealized appreciation/depreciation on investments still held at May 31, 2014 is generally due to investments no longer held or categorized as Level 3 at period end.
   
  The Fund’s investments 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 inputs could result in a significantly lower or higher value of such Level 3 investments.

 

BLACKROCK DEFINED OPPORTUNITY CREDIT TRUSTMAY 31, 201416
 

Item 2 – Controls and Procedures

2(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.

2(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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto

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 Defined Opportunity Credit Trust

 

By: /s/ John M. Perlowski

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Defined Opportunity Credit Trust

 

Date: July 23, 2014

 

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 Defined Opportunity Credit Trust

 

Date: July 23, 2014

 

By: /s/ Neal J. Andrews

Neal J. Andrews

Chief Financial Officer (principal financial officer) of

BlackRock Defined Opportunity Credit Trust

 

Date: July 23, 2014