N-Q 1 d406497dnq.htm BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST BlackRock Defined Opportunity Credit Trust

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: 08/31/2017

Date of reporting period: 05/31/2017

Item 1 – Schedule of Investments

 

Schedule of Investments May 31, 2017 (Unaudited)

   

BlackRock Defined Opportunity Credit Trust (BHL)

(Percentages shown are based on Net Assets)

 

 

Common Stocks          

Shares

     Value  
Specialty Retail — 0.0%  

Things Remembered, Inc. (a)(b)

              215,057       —  
Total Common Stocks — 0.0%       —  
      
                          
Corporate Bonds          

Par  

(000)

         
Airlines — 0.5%  

US Airways Pass-Through Trust, Series 2012-2,
Class C, 5.45%, 6/03/18

      USD       590     $ 603,275  
Communications Equipment — 0.2%  

Avaya, Inc., 7.00%, 4/01/19 (b)(c)(d)

              301       246,067  
Consumer Finance — 0.0%  

Ally Financial, Inc., 8.00%, 11/01/31

              50       60,375  
Containers & Packaging — 1.2%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.43%, 5/15/21 (c)(e)

        249       253,980  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 4.66%,
7/15/21 (c)(e)

        1,160       1,183,200  
      

 

 

  
                       1,437,180  
Diversified Telecommunication Services — 0.4%  

Level 3 Financing, Inc.:

       

4.94%, 1/15/18 (e)

        228       228,570  

6.13%, 1/15/21

        127       129,857  

SBA Communications Corp., 4.88%, 9/01/24 (c)

        75       76,088  
      

 

 

  
                       434,515  
Electric Utilities — 0.0%        

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.50%, 10/01/20 (a)(b)(c)(d)

              240       —  
Energy Equipment & Services — 0.2%        

Transocean, Inc., 9.00%, 7/15/23 (c)

        156       163,020  

Weatherford International Ltd., 9.88%, 2/15/24 (c)

        75       84,375  
      

 

 

  
                       247,395  
Environmental, Maintenance, & Security Service — 0.1%  

Tervita Escrow Corp., 7.63%, 12/01/21 (c)

              115       117,156  
Corporate Bonds          

Par  

(000)

     Value  
Health Care Providers & Services — 0.1%  

HCA, Inc., 5.25%, 6/15/26

      USD       50     $ 54,315  

HealthSouth Corp., 5.75%, 11/01/24

        75       77,438  

RegionalCare Hospital Partners Holdings, Inc.,
8.25%, 5/01/23 (c)

        15       16,050  
      

 

 

  
                       147,803  
Independent Power and Renewable Electricity Producers — 0.3%  

NRG Energy, Inc., 6.25%, 7/15/22

              340       347,436  
Internet Software & Services — 0.0%  

Equinix, Inc., 5.75%, 1/01/25

              50       54,000  
Media — 1.2%        

Altice Financing SA, 6.63%, 2/15/23 (c)

        200       212,800  

Clear Channel Worldwide Holdings, Inc., Series B, 7.63%, 3/15/20

        50       50,250  

CSC Holdings LLC, 10.88%, 10/15/25 (c)

        200       243,500  

SFR Group SA (c):

       

6.00%, 5/15/22

        200       209,250  

6.25%, 5/15/24

        240       252,000  

7.38%, 5/01/26

        255       275,877  

Virgin Media Secured Finance PLC, 5.25%, 1/15/26 (c)

        200       203,500  
      

 

 

  
                       1,447,177  
Metals & Mining — 0.7%                   

Freeport-McMoRan, Inc.:

       

2.38%, 3/15/18

        306       305,694  

3.10%, 3/15/20

        250       246,022  

Teck Resources Ltd.:

       

4.50%, 1/15/21

        188       196,460  

3.75%, 2/01/23

        130       127,888  
      

 

 

  
                       876,064  
Oil, Gas & Consumable Fuels — 0.9%        

Cheniere Corpus Christi Holdings LLC, 7.00%, 6/30/24

        155       173,600  

CONSOL Energy, Inc., 5.88%, 4/15/22

        376       370,830  

Great Western Petroleum LLC/Great Western Finance, Inc., 9.00%, 9/30/21 (c)

        225       231,187  

NGPL PipeCo LLC, 7.12%, 12/15/17 (c)

        85       86,913  

Noble Holding International Ltd., 7.75%, 1/15/24

        210       185,260  

Rowan Cos., Inc., 7.38%, 6/15/25

        80       78,400  

Sanchez Energy Corp., 6.13%, 1/15/23

        57       50,160  
      

 

 

  
                       1,176,350  
 

 

                
   BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017    1

Schedule of Investments (continued)

    BlackRock Defined Opportunity Credit Trust (BHL)

 

Corporate Bonds          

Par  

(000)

     Value  
Road & Rail — 0.1%       

Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 3.80%, 12/01/17 (e)

      USD       68     $ 68,000  
Software — 0.0%                   

CDW LLC/CDW Finance Corp., 5.50%, 12/01/24

              50       54,000  
Wireless Telecommunication Services — 0.0%        

Sprint Communications, Inc., 7.00%, 8/15/20

              50       55,250  
Total Corporate Bonds — 5.9%       7,372,043  
      
                          
Floating Rate Loan Interests (e)               
Aerospace & Defense — 1.7%                   

Engility Corp.:

       

Term Loan B1, 4.29%, 8/12/20

        76       76,551  

Term Loan B2, 4.79%, 8/12/23

        141       142,826  

TransDigm, Inc.:

       

2015 Term Loan E, 4.04%, 5/14/22

        216       216,141  

2016 Extended Term Loan F, 4.04%, 6/09/23

        1,399       1,401,252  

Term Loan D, 4.15%, 6/04/21

        257       257,579  
      

 

 

  
                       2,094,349  
Air Freight & Logistics — 0.3%                   

CEVA Group PLC, Synthetic LOC, 6.50%, 3/19/21

        133       116,974  

CEVA Intercompany BV, Dutch Term Loan,
6.67%, 3/19/21

        136       122,590  

CEVA Logistics Canada ULC, Canadian Term Loan, 6.67%, 3/19/21

        22       20,222  

CEVA Logistics US Holdings, Inc., Term Loan,
6.67%, 3/19/21

        184       165,831  
      

 

 

  
                       425,617  
Airlines — 0.1%                   

Northwest Airlines, Inc., Term Loan, 2.65%, 9/10/18 (a)

              81       80,434  
Auto Components — 0.3%                   

Gates Global LLC, 2017 Term Loan B, 4.41%, 4/01/24

              351       352,454  
Beverages — 0.2%                   

Blue Ribbon LLC, Term Loan, 5.15%, 11/13/21

              230       225,192  
Floating Rate Loan Interests (e)          

Par  

(000)

     Value  
Building Materials — 0.1%       

USAGM HoldCo LLC, 2015 2nd Lien Term Loan,
9.67%, 7/28/23

      USD       145     $ 146,723  
Building Products — 1.3%                   

GYP Holdings III Corp., 1st Lien Term Loan,
4.67%, 4/01/21

        344       344,280  

Jeld-Wen, Inc., 2017 Term Loan B, 4.15%, 7/01/22

        402       406,025  

Ply Gem Industries, Inc., Term Loan, 4.15%, 2/01/21

        206       207,283  

Wilsonart LLC, 2016 Term Loan, 4.65%, 12/19/23

        593       597,585  
      

 

 

  
                       1,555,173  
Chemicals — 2.4%                   

CeramTec Acquisition Corp., Term Loan B2,
3.95%, 8/30/20

        26       26,299  

Chemours Co., 2017 Term Loan B, 3.50%, 5/12/22

        205       206,462  

MacDermid, Inc.:

       

Term Loan B5, 4.54%, 6/07/20

        423       426,306  

Term Loan B6, 4.04%, 6/07/23

        327       328,959  

OXEA Finance LLC, Term Loan B2, 4.40%, 1/15/20

        715       702,135  

Royal Holdings, Inc.:

       

2015 2nd Lien Term Loan, 8.65%, 6/19/23 (a)

        61       60,538  

2017 Term Loan B, 4.40%, 6/19/22

        256       258,822  

Solenis International LP:

       

1st Lien Term Loan, 4.45%, 7/31/21

        343       344,042  

2nd Lien Term Loan, 7.95%, 7/31/22

        390       389,758  

Versum Materials, Inc., Term Loan, 3.65%, 9/29/23

        214       216,242  
      

 

 

  
                       2,959,563  
Commercial Services & Supplies — 6.5%        

Advanced Disposal Services, Inc.,
Term Loan B3, 3.70%, 11/10/23

        756       760,851  

Asurion LLC:

       

2016 Term Loan B2, 4.29%, 7/08/20

        126       126,072  

2017 Term Loan B5, 4.04%, 11/03/23

        539       542,837  

Term Loan B4, 4.29%, 8/04/22

        434       435,767  
 

 

                
2    BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017   

Schedule of Investments (continued)

    BlackRock Defined Opportunity Credit Trust (BHL)

 

 

Floating Rate Loan Interests (e)          

Par  

(000)

     Value  
Commercial Services & Supplies (continued)    

Brand Energy & Infrastructure Services, Inc.,
Term Loan B, 4.93%, 11/26/20

      USD       632     $ 632,636  

Camelot UK Holdco Ltd., 2017 Term Loan B,
4.54%, 10/03/23

        831       836,541  

Catalent Pharma Solutions, Inc., Term Loan B,
3.79%, 5/20/21

        819       827,184  

Dealer Tire LLC, 2016 Term Loan B, 4.94%, 12/22/21 (a)

        211       213,799  

GCA Services Group, Inc., 2016 Term Loan,
5.87%, 3/01/23

        422       423,698  

KAR Auction Services, Inc., Term Loan B5,
3.56%, 3/09/23

        315       317,363  

Livingston International, Inc., 1st Lien Term Loan,
5.50%, 4/18/19

        298       292,408  

Packers Holdings LLC, Term Loan B,
4.80%, 12/02/21 (a)

        367       369,345  

Prime Security Services Borrower LLC, 2016 1st Lien Term Loan, 4.29%, 5/02/22

        314       316,448  

Spin Holdco, Inc., Term Loan B, 4.43%, 11/14/19

        800       798,836  

TruGreen Limited Partnership, 1st Lien Term Loan B, 6.50%, 4/13/23

        228       230,131  

US Security Associates Holdings, Inc., 2016 Term Loan, 6.15%, 7/14/23

        477       482,722  

Waste Industries USA, Inc., 2016 Term Loan,
3.79%, 2/27/20

        499       502,959  
      

 

 

  
                       8,109,597  
Communications Equipment — 0.3%        

Applied Systems, Inc.:

       

1st Lien Term Loan, 4.40%, 1/25/21

        210       210,810  

2nd Lien Term Loan, 7.65%, 1/24/22

        84       84,702  

Avaya, Inc., Term Loan B7, 0.00%, 5/29/20 (b)(d)

        56       45,863  
      

 

 

  
                       341,375  
Construction & Engineering — 0.8%        

CNT Holdings III Corp., 2017 Term Loan, 4.30%, 1/22/23

        282       283,448  

Safway Group Holding LLC, Term Loan B,
5.76%, 8/19/23 (a)

        766       768,065  
      

 

 

  
                       1,051,513  
Construction Materials — 0.6%        

Filtration Group Corp., 1st Lien Term Loan,
4.29%, 11/21/20

              789       792,919  
Floating Rate Loan Interests (e)          

Par  

(000)

     Value  
Containers & Packaging — 0.9%    

Berry Plastics Group, Inc., Term Loan I, 3.54%, 10/01/22

      USD       1,087     $ 1,095,450  
Distributors — 0.8%                   

American Builders & Contractors Supply Co., Inc., 2017 Term Loan B, 3.54%, 10/31/23

        771       774,520  

American Tire Distributors Holdings, Inc., 2015 Term Loan, 5.29%, 9/01/21

        213       213,526  
      

 

 

  
                       988,046  
Diversified Consumer Services — 1.6%        

Bright Horizons Family Solutions, Inc., 2017 Term Loan B, 3.00%, 11/07/23

        21       21,399  

J.D. Power and Associates, 1st Lien Term Loan,
5.29%, 9/07/23

        284       284,993  

Serta Simmons Bedding LLC:

       

1st Lien Term Loan, 4.56%, 11/08/23

        1,062       1,065,524  

2nd Lien Term Loan, 9.18%, 11/08/24

        240       242,100  

Weight Watchers International, Inc., Term Loan B2, 4.40%, 4/02/20

        337       325,657  
      

 

 

  
                       1,939,673  
Diversified Financial Services — 0.2%        

Diamond US Holding LLC, 2017
Term Loan B, 4.29%, 3/29/24

              220       219,663  
Diversified Telecommunication Services — 0.2%        

Consolidated Communications, Inc.:

       

2016 Term Loan B, 4.05%, 10/04/23

        154       155,069  

Term Loan B2, 4.14%, 10/05/23

        105       105,525  
      

 

 

  
                       260,594  
Electric Utilities — 1.2%                   

Energy Future Intermediate Holding Co. LLC, 2016 DIP Term Loan, 4.29%, 6/30/17

        1,425       1,431,061  

Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Term Loan, 5.03%, 11/10/17 (a)

        380       —  
      

 

 

  
                       1,431,061  
 

 

                
   BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017    3

Schedule of Investments (continued)

   

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (e)           Par
(000)		     Value  
Food & Staples Retailing — 0.5%       

Hostess Brands LLC, 2017 Term Loan, 3.54%, 8/03/22

      USD       618     $ 622,805  
Food Products — 0.3%                   

Chobani LLC, 1st Lien Term Loan, 5.29%, 10/07/23

              354       358,762  
Health Care Equipment & Supplies — 3.4%                   

Auris Luxembourg III Sarl, 2017 Term Loan B7,
4.15%, 1/17/22

        550       556,289  

Capsugel Holdings US, Inc., Term Loan B,
4.04%, 7/31/21

        852       852,784  

Cotiviti Corp., Term Loan B, 3.90%, 9/28/23

        588       588,573  

DJO Finance LLC, 2015 Term Loan, 4.29%, 6/08/20

        515       508,929  

Immucor, Inc., Refinancing Term Loan B2,
5.00%, 8/17/18

        509       506,414  

National Vision, Inc., 1st Lien Term Loan,
4.04%, 3/12/21

        688       690,986  

Ortho-Clinical Diagnostics, Inc., Term Loan B,
4.78%, 6/30/21

        506       508,019  
      

 

 

  
                       4,211,994  
Health Care Providers & Services — 3.5%                   

Acadia Healthcare Co., Inc., Term Loan B2,
3.75%, 2/16/23

        484       487,867  

CHG Healthcare Services, Inc., Term Loan B,
4.92%, 6/07/23

        762       768,970  

Community Health Systems, Inc., Term Loan G,
3.80%, 12/31/19

        395       394,830  

HC Group Holdings III, Inc., Term Loan B,
6.04%, 4/07/22

        324       318,836  

inVentiv Health, Inc., 2016 Term Loan B,
4.80%, 11/09/23

        923       928,232  

MPH Acquisition Holdings LLC, 2016 Term Loan B, 4.90%, 6/07/23

        —       1  
      

nThrive, Inc., 2016 1st Lien Term Loan,
5.54%, 10/20/22

        373       373,362  

NVA Holdings, Inc., 1st Lien Term Loan B2,
4.65%, 8/14/21

        277       279,945  

Surgery Center Holdings, Inc., 1st Lien Term Loan,
4.75%, 11/03/20

        432       432,780  

U.S. Renal Care, Inc., 2015 Term Loan B,
5.40%, 12/31/22

        —       209  

Vizient, Inc., 2017 Term Loan B, 4.50%, 2/13/23

        409       413,906  
      

 

 

  
                       4,398,938  
Floating Rate Loan Interests (e)           Par
(000)		     Value  
Health Care Technology — 0.4%       

Press Ganey Holdings, Inc.:

       

1st Lien Term Loan, 4.29%, 10/21/23

      USD       409     $ 409,486  

2nd Lien Term Loan, 8.29%, 10/21/24

        115       117,373  
      

 

 

  
                       526,859  
Hotels, Restaurants & Leisure — 3.2%                   

Amaya Holdings BV:

       

2nd Lien Term Loan, 8.15%, 8/01/22

        227       226,775  

Repriced Term Loan B, 4.65%, 8/01/21

        571       571,769  

AMF Bowling Centers, Inc., 2016 Term Loan,
6.04%, 8/17/23 (a)

        262       264,302  

Burger King Newco Unlimited Liability Co., Term Loan B3, 3.40%, 2/16/24

        566       567,079  

Caesars Entertainment Resort Properties LLC, Term Loan B, 4.54%, 10/11/20

        1,720       1,728,629  

CCM Merger, Inc., Term Loan B, 5.75%, 8/08/21

        295       297,050  

Scientific Games International, Inc., 2017 Term Loan B3, 5.08%, 10/01/21

        349       354,381  
      

 

 

  
                       4,009,985  
Independent Power and Renewable Electricity Producers — 2.1%        

Aria Energy Operating LLC, Term Loan, 5.54%, 5/27/22

        250       250,004  

Calpine Construction Finance Co., LP, Term Loan B1, 3.30%, 5/03/20

        67       67,031  

Calpine Corp.:

       

Term Loan B5, 3.90%, 1/15/24

        252       251,377  

Term Loan B6, 3.90%, 1/15/23

        479       477,683  

Term Loan B7, 3.90%, 5/31/23

        172       171,580  

Dynegy, Inc., 2017 Term Loan C, 4.25%, 2/07/24

        646       645,241  

Granite Acquisition, Inc.:

       

Term Loan B, 5.15%, 12/19/21

        744       744,105  
 

 

                
4    BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (e)           Par
(000)		     Value  
Independent Power and Renewable Electricity Producers (continued)  

Granite Acquisition, Inc. (continued):

       

Term Loan C, 5.15%, 12/19/21

      USD       33     $ 33,495  
      

 

 

  
                       2,640,516  
Industrial Conglomerates — 0.5%                   

Cortes NP Acquisition Corp., 2017 Term Loan B, 5.00%, 11/30/23

              663       668,656  
Insurance — 1.6%                   

AssuredPartners, Inc., 2017 Term Loan, 4.49%, 10/21/22

        493       492,962  

Hub International Ltd., Term Loan B, 4.17%, 10/02/20

        206       206,974  

Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.04%, 8/31/21 (f)

        260       268,234  

Sedgwick Claims Management Services, Inc.:

       

2016 1st Lien Term Loan, 4.40%, 3/01/21

        203       203,971  

1st Lien Term Loan, 3.79%, 3/01/21

        446       447,128  

2nd Lien Term Loan, 6.79%, 2/28/22

        410       411,025  
      

 

 

  
                       2,030,294  
Internet & Direct Marketing Retail — 0.2%       

Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.29%, 8/19/23

              287       287,227  
IT Services — 0.9%                   

VF Holding Corp., Reprice Term Loan, 4.29%, 6/30/23

              1,080       1,080,924  
Life Sciences Tools & Services — 1.2%                   

Patheon Holdings I BV, 2017 Term Loan,
4.41%, 4/20/24

              1,488       1,493,864  
Machinery — 2.2%                   

Faenza Acquisition GmbH:

       

Term Loan B1, 3.95%, 8/30/20

        217       218,567  

Term Loan B3, 3.95%, 8/30/20

        66       66,509  

Gardner Denver, Inc., Term Loan, 4.57%, 7/30/20

        215       215,721  

Infiltrator Systems, Inc., 2016 Term Loan B,
4.65%, 5/27/22 (a)

        334       336,506  

Mueller Water Products, Inc., 2017 Term Loan B, 3.54%, 11/25/21

        176       177,353  
Floating Rate Loan Interests (e)           Par
(000)		     Value  
Machinery (continued)       

Navistar International Corp., 2017 Term Loan B, 5.00%, 8/07/20

      USD       214     $ 217,761  

Rexnord LLC, 2016 Term Loan B, 3.75%, 8/21/23

        469       471,210  

Silver II US Holdings LLC, Term Loan,
4.15%, 12/13/19

        830       825,778  

Wabash National Corp., 2017 Term Loan B,
3.78%, 3/18/22

        199       199,943  
      

 

 

  
                       2,729,348  
Media — 7.8%                   

CBS Radio, Inc., Term Loan B, 4.51%, 10/17/23

        217       218,655  

Charter Communications Operating LLC, 2016 Term Loan I Add, 3.29%, 1/15/24

        1,867       1,878,862  

Houghton Mifflin Harcourt Publishing Co., 2015 Term Loan B, 4.04%, 5/31/21

        496       468,274  

iHeartCommunications, Inc.:

       

Extended Term Loan E, 8.54%, 7/30/19

        110       90,805  

Term Loan D, 7.79%, 1/30/19

        1,321       1,085,405  

Intelsat Jackson Holdings SA, Term Loan B2,
3.89%, 6/30/19

        874       862,508  

Learfield Communications, Inc., 2016 1st Lien Term Loan, 4.30%, 12/01/23 (a)

        408       412,316  

Liberty Cablevision of Puerto Rico LLC, 1st Lien Term Loan, 4.66%, 1/07/22

        275       272,822  

MCC Iowa LLC, Term Loan J, 3.70%, 6/30/21

        122       122,140  

Mediacom Illinois LLC, Term Loan K, 3.20%, 2/15/24

        248       249,022  

Mission Broadcasting, Inc., 2016 Term Loan B2, 4.00%, 1/17/24

        93       94,021  

Nexstar Broadcasting, Inc., 2017 Term Loan B, 4.00%, 1/17/24

        952       959,660  

Nielsen Finance LLC, Term Loan B4, 2.99%, 10/04/23

        432       433,548  

Numericable U.S. LLC, Term Loan B10,
4.42%, 1/14/25

        478       477,719  

Sinclair Television Group, Inc., Term Loan B2,
3.30%, 1/03/24

        223       223,306  

Trader Corp., 2017 Term Loan B, 4.29%, 9/28/23

        350       350,291  

Tribune Media Co., Term Loan C, 4.04%, 1/27/24

        884       886,664  
 

 

                
   BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017    5

Schedule of Investments (continued)

   

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (e)           Par
(000)		     Value  
Media (continued)       

Virgin Media Bristol LLC, Term Loan I, 3.74%, 1/31/25

      USD       590     $ 592,396  
      

 

 

  
                       9,678,414  
Multiline Retail — 0.4%                   

Hudson’s Bay Co., 2015 Term Loan B,
4.29%, 9/30/22

              497       477,263  
Oil, Gas & Consumable Fuels — 3.2%                   

California Resources Corp.:

       

Second Out Term Loan, 11.38%, 12/31/21

        745       823,694  

Term Loan A, 4.04%, 10/01/19

        546       527,062  

Chesapeake Energy Corp., Term Loan,
8.69%, 8/23/21

        593       638,569  

CITGO Holding, Inc., 2015 Term Loan B,
9.65%, 5/12/18

        236       238,594  

MEG Energy Corp., 2017 Term Loan B,
4.68%, 12/31/23

        901       898,520  

Moxie Patriot LLC, Term Loan B1, 6.90%, 12/19/20

        79       71,774  

PowerTeam Services LLC:

       

1st Lien Term Loan, 4.40%, 5/06/20

        113       111,638  

2nd Lien Term Loan, 8.40%, 11/06/20 (a)

        105       102,900  

Veresen Midstream LP, 2017 Term Loan B,
4.54%, 3/31/22

        616       618,808  
      

 

 

  
                       4,031,559  
Personal Products — 0.3%                   

Revlon Consumer Products Corp., 2016 Term Loan B, 4.54%, 9/07/23

              385       367,437  
Pharmaceuticals — 1.2%                   

Jaguar Holding Co. II, 2015 Term Loan B,
3.79%, 8/18/22

              1,553       1,554,582  
Professional Services — 0.6%                   

Advantage Sales & Marketing, Inc., 2014 1st Lien Term Loan, 4.29%, 7/23/21

        254       250,992  

Information Resources, Inc., 1st Lien Term Loan, 5.26%, 1/18/24

        175       176,585  

Sterling Infosystems, Inc., 1st Lien Term Loan B, 5.40%, 6/20/22

        365       366,360  
      

 

 

  
                       793,937  
Floating Rate Loan Interests (e)           Par
(000)		     Value  
Real Estate Investment Trusts (REITs) — 0.9%       

Communications Sales & Leasing, Inc., 2017 Term Loan B, 4.04%, 10/24/22

      USD       535     $ 537,175  

MGM Growth Properties Operating Partnership LP, 2016 Term Loan B, 3.29%, 4/25/23

        581       583,813  
      

 

 

  
                       1,120,988  
Real Estate Management & Development — 0.4%              

CityCenter Holdings LLC, 2017 Term Loan B,
3.50%, 4/18/24

              489       490,904  
Semiconductors & Semiconductor Equipment — 0.0%        

ON Semiconductor Corp., 2017 Term Loan B,
3.29%, 3/31/23

              47       46,923  
Software — 5.0%                   

BMC Software Finance, Inc., 2017 Term Loan,
5.00%, 9/13/22

        543       545,177  

DTI Holdco, Inc., 2016 Term Loan B, 6.42%, 9/30/23

        302       295,913  

Infor (US), Inc., Term Loan B6, 3.90%, 2/01/22

        633       631,613  

Informatica Corp., Term Loan, 4.65%, 8/05/22

        916       915,260  

IQOR US, Inc., Term Loan B, 6.15%, 4/01/21

        168       167,354  

Kronos, Inc., 2nd Lien Term Loan, 9.42%, 11/01/24

        385       399,919  

Mitchell International, Inc.:

       

1st Lien Term Loan, 4.54%, 10/13/20

        487       489,898  

2nd Lien Term Loan, 8.67%, 10/11/21

        350       352,079  

RP Crown Parent LLC, 2016 Term Loan B,
4.54%, 10/12/23

        499       503,456  

SolarWinds Holdings, Inc., 2017 Term Loan,
4.54%, 2/05/23

        725       727,831  

Solera LLC, Term Loan B, 4.29%, 3/03/23

        238       239,132  

Sophia LP, 2017 Term Loan B, 4.40%, 9/30/22

        555       553,238  

Tibco Software, Inc., 2017 Term Loan B,
5.55%, 12/04/20

        425       428,744  
      

 

 

  
                       6,249,614  
Specialty Retail — 1.1%                   

Academy Ltd., 2015 Term Loan B, 5.04%, 7/01/22

        253       203,217  

Bass Pro Group LLC, Asset Sale Term Loan,
5.90%, 6/09/18

        150       151,312  

Leslie’s Poolmart, Inc., 2016 Term Loan,
4.79%, 8/16/23

        4       4,327  

Michaels Stores, Inc., 2016 Term Loan B1,
3.79%, 1/30/23

        685       683,983  
 

 

                
6    BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017   

Schedule of Investments (continued)

   

BlackRock Defined Opportunity Credit Trust (BHL)

 

Floating Rate Loan Interests (e)           Par
(000)		     Value  
Specialty Retail (continued)       

Petco Animal Supplies, Inc., 2017 Term Loan B, 4.17%, 1/26/23

      USD       363     $ 336,906  

Things Remembered, Inc., 2016 Term Loan,
1.00%, 2/29/20 (a)

        234       35,062  
      

 

 

  
                       1,414,807  
Textiles, Apparel & Luxury Goods — 0.4%                   

Ascend Performance Materials Operations LLC, Term Loan B, 6.65%, 8/12/22

              548       551,830  
Thrifts & Mortgage Finance — 0.5%                   

IG Investment Holdings LLC, 2017 Term Loan, 5.18%, 10/31/21

              614       618,890  
Trading Companies & Distributors — 0.3%                   

Beacon Roofing Supply, Inc., Term Loan B,
3.75%, 10/01/22

              314       316,038  
Transportation — 0.2%                   

Gruden Acquisition, Inc., 1st Lien Term Loan,
5.90%, 8/18/22

              286       270,089  
Wireless Telecommunication Services — 2.4%                   

Ligado Networks LLC, PIK Exit Term Loan (9.75% PIK), 0.00%, 12/07/20 (f)

        1,804       1,734,231  

LTS Buyer LLC, 1st Lien Term Loan, 4.40%, 4/13/20

        1,218       1,222,476  
      

 

 

  
                       2,956,707  

Total Floating Rate Loan Interests — 64.2%

                      80,069,550  
Rights — 0.0%          

    

Shares

     Value  
Electric Utilities — 0.0%       

Tex Energy LLC (a)(b)

              10,446     $ 10,968  

Total Long-Term Investments

(Cost — $87,036,663) — 70.1%

                      87,452,561  
      
                          

Short-Term Securities

                         

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.67% (g)(h)

              34,888,611       34,888,611  

Total Short-Term Securities

(Cost — $34,888,611) — 28.0%

                      34,888,611  

Total Investments

(Cost — $121,925,274) — 98.1%

          122,341,172  
Other Assets Less Liabilities — 1.9%                2,382,986  
      

 

 

  
Net Assets — 100.0%        $ 124,724,158  
      

 

 

  

*     As of May 31, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:

   

Tax cost

        $ 121,950,625  
      

 

 

  

Gross unrealized appreciation

        $ 991,328  

Gross unrealized depreciation

          (600,781 ) 
      

 

 

  

Net unrealized appreciation

        $ 390,547  
      

 

 

  
 
Notes to Schedule of Investments

 

(a)   Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

 

(b)   Non-income producing security.

 

(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.

 

(e)   Variable rate security. Rate as of period end.

 

(f)   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.

 

(g)   Current yield as of period end.

 

(h)   During the period ended May 31, 2017, investments in issuers considered to be affiliates of the Fund for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                
   BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    May 31, 2017    7

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

 

 

Affiliate   Shares Held at
August 31,
2016		    

Shares

Purchased

    

Shares

Sold

    

Shares Held at
May 31,

2017

    

Value at
May 31,

2017

     Income     Net
Realized
Gain1		     Change in
Unrealized
Appreciation
(Depreciation)		  

BlackRock Liquidity Funds, T-Fund, Institutional Class

     —       34,888,611 2      —       34,888,611     $ 34,888,611     $ 17,362     $ 2       —  

BlackRock Liquidity Funds, TempFund, Institutional Class

     220,100         (220,100 )3      —       —       —       —       —  

iShares iBoxx USD High Yield Corporate Bond ETF

     5,864               (5,864 )      —       —     $ 6,701     $ 1,068     $ (6,079 ) 

Total

           $ 34,888,611     $ 24,063     $ 1,070     $ (6,079 ) 

 

  

 

  1   

Includes net capital gain distributions.

  2   

Represents net shares purchased.

  3   

Represents net shares sold.

(i)   The Fund pays a fixed rate and receives the floating rate.

For Fund compliance purposes, the Fund’s sector classifications refer to one or more of the sector 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 sector sub-classifications for reporting ease.

 

Portfolio Abbreviations

 

DIP    Debtor-In-Possession
ETF    Exchange-Traded Fund
LOC    Letter of Credit
PIK    Payment-In-Kind
USD    U.S. Dollar

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts

 

  
Contracts
Short		        Issue   Expiration     Notional
Value		     Unrealized
Depreciation		  
  (4 )       10-Year U.S. Treasury Note     September 2017     $ 505,188     $ (1,186 ) 

 

Centrally Cleared Interest Rate Swaps  
Fixed Rate    Floating
Rate		    Effective
Date		    Expiration
Date		    Notional
Amount
(000)		     Unrealized
Depreciation		  
1.92%1    3-Month LIBOR    N/A    12/14/21    USD     260     $ (1,541 ) 
1.92%1    3-Month LIBOR    N/A    12/14/21    USD     390       (2,346 ) 
1.91%1    3-Month LIBOR    N/A    12/16/21    USD     400       (2,196 ) 
Total      $ (6,083 ) 
             

 

 

  

 

  1   

Fund pays a fixed rate and receives the floating rate.

 

                
8    BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017   

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

 

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative 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 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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value 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 investments 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, refer to the Fund’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Fund’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

     Level 1      Level 2      Level 3      Total  

Assets:

 

Investments:  

Long-Term Investments:

           

Corporate Bonds

     —      $ 7,372,043        —      $ 7,372,043  

Floating Rate Loan Interests

     —        77,426,283      $ 2,643,267        80,069,550  

Rights

     —        —        10,968        10,968  

Short-Term Securities

   $ 34,888,611        —        —        34,888,611  
 

 

 

  

Total

   $ 34,888,611      $ 84,798,326      $ 2,654,235      $ 122,341,172  
 

 

 

  
                                    
Derivative Financial Instruments 1           

Liabilities:

           

Interest rate contracts

   $ (1,186 )     $ (6,083 )       —      $ (7,269 ) 

1   Derivative financial instruments futures contracts and swaps. Futures contracts and swaps are valued at the unrealized appreciation (depreciation) on the instrument.

    

 

During the period ended May 31, 2017, there were no transfers between levels.

 

                
   BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017    9

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		     Corporate Bonds    

Floating

Rate Loan
Interests

     Rights     Warrants     Total  

Assets:

            

Opening balance, as of August 31, 2016

   $ 489,393       —     $ 7,792,714       —     $ 1,408     $ 8,283,515  

Transfers into Level 31

     —       —       1,544,205       —       —       1,544,205  

Transfers out of Level 32

    —       —       (3,695,419 )      —       —       (3,695,419 ) 

Accrued discounts/premiums

     303       —       21,093       —       —       21,396  

Net realized gain (loss)

     14,577       —       6,304       —       52       20,933  

Net change in unrealized

appreciation (depreciation)3,4

     (835 )    $ (1,749 )      (14,741 )    $ 10,968       (1,401 )      (7,758 ) 

Purchases

     —       1,749       932,522       —       —       934,271  

Sales

     (503,438 )      —       (3,943,411 )      —       (59 )      (4,446,908 ) 
 

 

 

  

Closing balance, as of May 31, 2017

     —       —     $ 2,643,267     $ 10,968       —     $ 2,654,235  
 

 

 

  

Net change in unrealized appreciation (depreciation) on investments still held at May 31, 20174

     —     $ (1,749 )    $ (26,850 )    $ 10,968       —     $ (17,631 ) 
 

 

 

  

1   As of August 31, 2016, the Fund used observable inputs in determining the value of certain investments. As of May 31, 2017, 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.

2   As of August 31, 2015, the Fund used significant unobservable inputs in determining the value of certain investments. As of May 31, 2017, 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.

3   Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

4   Any difference between net change in unrealized appreciation (depreciation) on investments still held at May 31, 2017 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 could result in a significantly lower or higher value of such Level 3 investments.

 

                
10    BLACKROCK DEFINED OPPORTUNITY CREDIT TRUST    MAY 31, 2017   

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 24, 2017

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 24, 2017
By:  

/s/ Neal J. Andrews                 

   
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of
  BlackRock Defined Opportunity Credit Trust

Date: July 24, 2017