N-Q 1 d434210dnq.htm BLACKROCK MULTI-SECTOR INCOME TRUST BlackRock Multi-Sector Income 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: 811-22774

 

Name of Fund:   BlackRock Multi-Sector Income Trust (BIT)
Fund Address:   100 Bellevue Parkway, Wilmington, DE 19809

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

             Income Trust, 55 East 52nd Street, New York, NY 10055

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

Date of fiscal year end: 10/31/2017

Date of reporting period: 07/31/2017


Item 1 – Schedule of Investments


Consolidated Schedule of Investments July 31, 2017 (Unaudited)

  

BlackRock Multi-Sector Income Trust (BIT)

(Percentages shown are based on Net Assets)

 

Common Stocks — 0.4%        
Shares
    Value  
Aerospace & Defense — 0.4%                   

United Technologies Corp.

             25,695     $ 3,041,320  
      
                          
Asset-Backed Securities    Par
(000)
        

ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A2D, (1 mo. LIBOR US + 0.300%), 1.53%, 2/25/36 (a)

     USD       5,838       5,732,596  

ALM VI Ltd., Series 2012-6A (a)(b):

      

Class B2RR, (3 mo. LIBOR US + 2.050%), 3.35%, 7/15/26

       1,200       1,200,586  

Class CRR, (3 mo. LIBOR US + 3.200%), 4.50%, 7/15/26

       1,010       1,010,772  

ALM XIV Ltd., Series 2014-14A, Class C, (3 mo. LIBOR US + 3.450%), 4.76%, 7/28/26 (a)(b)(c)

       3,610       3,629,547  

American Homes 4 Rent, Series 2014-SFR2, Class E, 6.23%, 10/17/36 (b)

       2,000       2,240,825  

AMMC CDO, Series 2016-1A, Class E, (3 mo. LIBOR US + 7.000%), 8.30%, 10/15/28 (a)(b)

       1,000       1,013,526  

AMMC CLO 18 Ltd., Series 2016-18A, Class E2, (3 mo. LIBOR US + 7.250%), 8.45%, 5/26/28 (a)(b)

       1,000       1,012,315  

AMMC CLO XII Ltd., Series 2013-12A, Class D1, (3 mo. LIBOR US + 3.750%), 4.93%, 5/10/25 (a)(b)(c)

       1,000       1,004,179  

Anchorage Capital CLO 3 Ltd., Series 2014-3A, Class BR, (3 mo. LIBOR US + 2.650%), 3.96%, 4/28/26 (a)(b)

       1,000       1,001,347  

Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class DR, (3 mo. LIBOR US + 3.550%), 4.85%, 7/15/30 (a)(b)(d)

       1,000       989,100  

Anchorage Capital CLO Ltd., Series 2012-1A, Class DR, (3 mo. LIBOR US + 7.250%), 8.55%, 1/13/27 (a)(b)

       1,000       1,009,206  

Apidos CLO XII, Series 2013-12A, Class D, (3 mo. LIBOR US + 3.050%), 4.35%, 4/15/25 (a)(b)(c)

       1,000       997,285  
Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)                   

Ares CLO Ltd. (a)(b):

      

Series 2015-1A, Class D, (3 mo. LIBOR US + 6.230%), 7.45%, 12/05/25

     USD       1,000     $ 1,005,665  

Series 2016-41A, Class D, (3 mo. LIBOR US + 4.200%), 5.50%, 1/15/29

       900       912,450  

Arrowpoint CLO Ltd., Series 2013-1A, Class CR, (3 mo. LIBOR + 4.680%), 5.72%, 11/15/28 (a)(b)

       800       810,249  

Atrium X, Series 10A (a)(b):

      

Class DR, (3 mo. LIBOR US + 3.000%), 4.30%, 7/16/25

       1,000       999,604  

Class E, (3 mo. LIBOR US + 4.500%), 5.80%, 7/16/25

       2,000       1,964,110  

Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 2A, (1 mo. LIBOR US + 0.140%), 1.37%, 11/25/36 (a)

       4,559       4,183,569  

Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class CR, (3 mo. LIBOR US + 3.700%), 5.00%, 7/15/29 (a)(b)

       1,750       1,751,530  

Benefit Street Partners CLO VI Ltd.,
Series 2015-VIA (a)(b)(c):

      

Class B, (3 mo. LIBOR US + 3.050%), 4.35%, 4/18/27

       1,000       1,001,158  

Class C, (3 mo. LIBOR US + 3.700%), 5.00%, 4/18/27

       1,000       999,313  

Betony CLO Ltd., Series 2015-1A, Class D, (3 mo. LIBOR US + 3.600%), 4.90%, 4/15/27 (a)(b)

       1,000       997,778  

C-BASS Trust, Series 2006-CB7, Class A4, (1 mo. LIBOR US + 0.160%), 1.39%, 10/25/36 (a)

       8,025       5,720,948  

Carlyle Global Market Strategies CLO Ltd. (a)(b):

      

Series 2013-2A, Class D, (3 mo. LIBOR US + 3.750%), 5.05%, 4/18/25 (c)

       1,250       1,252,435  

Series 2014-1A, Class CR, (3 mo. LIBOR US + 2.750%), 4.05%, 4/17/25

       1,500       1,506,406  

Carrington Mortgage Loan Trust, Series 2006-FRE2 (a):

      

Class A2, (1 mo. LIBOR US + 0.120%), 1.35%, 10/25/36

       5,561       3,602,591  

Class A5, (1 mo. LIBOR US + 0.080%), 1.31%, 10/25/36

       11,457       7,383,604  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    1


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)                   

DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (b)

     USD       3,607     $ 3,667,840  

Fremont Home Loan Trust (a):

      

Series 2006-A, Class 2A3, (1 mo. LIBOR US + 0.160%), 1.39%, 5/25/36

       24,972       14,895,465  

Series 2006-D, Class 2A3, (1 mo. LIBOR US + 0.150%), 1.38%, 11/25/36

       22,602       9,798,499  

GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class D, (3 mo. LIBOR US + 3.300%), 4.61%, 4/25/25 (a)(b)

       1,250       1,251,099  

GSAMP Trust (a):

      

Series 2006-FM2, Class A2C, (1 mo. LIBOR US + 0.150%), 1.38%, 9/25/36

       11,334       5,210,905  

Series 2007-FM2, Class A2B, (1 mo. LIBOR US + 0.090%), 1.32%, 1/25/37

       7,710       4,783,096  

Highbridge Loan Management Ltd. (a)(b):

      

Series 4A-2014, Class B, (3 mo. LIBOR US + 3.000%), 4.31%, 7/28/25 (c)

       2,000       2,002,311  

Series 8A-2016, Class E, (3 mo. LIBOR US + 7.900%), 9.21%, 4/20/27

       1,000       1,008,909  

Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-E, Class 2A3, (1 mo. LIBOR US + 0.170%), 1.40%, 4/25/37 (a)

       12,665       8,987,159  

HPS Loan Management Ltd., Series 10A-16 (a)(b):

      

Class C, (3 mo. LIBOR US + 3.650%), 4.96%, 1/20/28

       2,500       2,488,042  

Class D, (3 mo. LIBOR US + 6.500%), 7.81%, 1/20/28

       1,000       969,275  

Long Beach Mortgage Loan Trust, Series 2006-1, Class 1A, (1 mo. LIBOR US + 0.220%), 1.45%, 2/25/36 (a)

       5,580       5,068,495  

Madison Park Funding X Ltd., Series 2012-10A, Class ER, (3 mo. LIBOR US + 7.620%), 8.93%, 1/20/29 (a)(b)(d)

       1,000       1,028,300  

Madison Park Funding XVI Ltd., Series 2015-16A, Class C, (3 mo. LIBOR US + 3.700%), 5.01%, 4/20/26 (a)(b)(c)

       1,000       1,005,737  
Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)                   

Mastr Asset-Backed Securities Trust (a):

      

Series 2006-HE2, Class A3, (1 mo. LIBOR US + 0.150%), 1.38%, 6/25/36

     USD       11,010     $ 6,094,756  

Series 2006-WMC2, Class A5, (1 mo. LIBOR US + 0.250%), 1.48%, 4/25/36

       8,279       3,649,839  

Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A3, (1 mo. LIBOR US + 0.150%), 1.38%, 11/25/36 (a)

       13,947       7,011,076  

Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR, (3 mo. LIBOR US + 7.750%), 8.93%, 11/14/27 (a)(b)

       1,000       1,015,572  

Octagon Investment Partners XXI Ltd., Series 2014-1A, Class C, (3 mo. LIBOR US + 3.650%), 4.83%, 11/14/26 (a)(b)

       1,000       1,005,174  

OneMain Financial Issuance Trust, Series 2015-2A, Class C, 4.32%, 7/18/25 (b)

       5,000       5,003,125  

OZLM Funding II Ltd., Series 2012-2A (a)(b):

      

Class CR, (3 mo. LIBOR US + 4.000%), 5.17%, 10/30/27

       1,250       1,261,526  

Class DR, (3 mo. LIBOR US + 7.300%), 8.47%, 10/30/27

       1,250       1,267,613  

OZLM Funding IV Ltd., Series 2013-4A, Class C, (3 mo. LIBOR US + 3.200%), 4.51%, 7/22/25 (a)(b)(c)

       1,250       1,250,292  

OZLM XV Ltd., Series 2016-15A, Class D, (3 mo. LIBOR US + 7.150%), 8.46%, 1/20/29 (a)(b)

       1,000       1,007,076  

Renaissance Home Equity Loan Trust, Series 2007-3, Class AF2, 7.00%, 9/25/37 (e)

       4,449       2,576,044  

Saxon Asset Securities Trust, Series 2007-3, Class 2A3, (1 mo. LIBOR US + 0.400%), 1.63%, 9/25/47 (a)

       5,000       4,499,567  

Scholar Funding Trust, Series 2013-A, Class R, 0.00% (d)

       (f)      2,213,462  

SMB Private Education Loan Trust, Series 2015-C, Class C, 4.50%, 9/17/46 (b)

       4,100       4,155,433  
 

 

     
                
2    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)                   

Sound Point CLO X Ltd., Series 2015-3A, Class E, (3 mo. LIBOR US + 6.750%), 8.06%, 1/20/28 (a)(b)

     USD       1,000     $ 1,004,419  

Sound Point CLO XIV Ltd, Series 2016-3A, Class E, (3 mo. LIBOR US + 6.650%), 7.96%, 1/23/29 (a)(b)

       1,000       1,002,069  

Symphony CLO XV Ltd., Series 2014-15A, Class DR, (3 mo. LIBOR US + 3.350%), 4.65%, 10/17/26 (a)(b)

       3,500       3,499,778  

TICP CLO I Ltd., Series 2015-1A, Class C, (3 mo. LIBOR US + 3.000%), 4.31%, 7/20/27 (a)(b)

       1,000       1,001,203  

Treman Park CLO LLC, Series 2015-1A, Class D, (3 mo. LIBOR US + 3.860%), 5.17%, 4/20/27 (a)(b)

       1,500       1,503,014  

Tyron Park CLO Ltd., Series 2013-1A (a)(b):

      

Class C, (3 mo. LIBOR US + 3.500%), 4.80%, 7/15/25 (c)

       1,250       1,254,838  

Class D, (3 mo. LIBOR US + 4.400%), 5.70%, 7/15/25

       1,000       971,057  

US Residential Opportunity Fund III Trust,
Series 2016-2III, Class A, 3.47%, 8/27/36 (b)(e)

       4,077       4,058,853  

Venture XX CLO Ltd., Series 2015-20A (a)(b):

      

Class C, (3 mo. LIBOR US + 3.150%), 4.45%, 4/15/27 (c)

       1,000       1,001,056  

Class D, (3 mo. LIBOR US + 3.850%), 5.15%, 4/15/27

       520       520,242  

Venture XXI CLO Ltd., Series 2015-21A, Class D, (3 mo. LIBOR US + 3.600%), 4.90%, 7/15/27 (a)(b)

       480       480,238  

Vibrant Clo III Ltd., Series 2015-3A (a)(b):

      

Class A2R, (3 mo. LIBOR US + 2.050%), 3.36%, 4/20/26

       1,000       1,001,489  

Class BR, (3 mo. LIBOR US + 2.950%), 4.26%, 4/20/26

       1,500       1,501,855  

Voya CLO Ltd., Series 2016-3A, Class D, (3 mo. LIBOR US + 6.850%), 8.15%, 10/18/27 (a)(b)

       385       387,326  
Asset-Backed Securities    Par
(000)
    Value  
Asset-Backed Securities (continued)                   

WaMu Asset-Backed Certificates Trust, Series 2007-HE3, Class 2A3, (1 mo. LIBOR US + 0.240%), 1.47%, 5/25/47 (a)

     USD       10,250     $ 7,759,204  

Westvue Mortgage Loan Trust, Series 2015-1A, Class A, 4.50%, 9/25/20 (b)(d)(e)

       1,739       1,784,319  

York CLO-3 Ltd., Series 2016-1A (a)(b):

      

Class E, (3 mo. LIBOR US + 5.680%), 6.99%, 7/20/25

       1,000       998,304  

Class ER, (3 mo. LIBOR US + 6.400%), 1.00%, 10/20/29 (g)

             1,000       977,500  
Total Asset-Backed Securities - 25.2%       189,815,145  
      
                          
Corporate Bonds                      
Aerospace & Defense — 1.2%                   

Accudyne Industries Borrower/Accudyne Industries LLC, 7.75%, 12/15/20 (b)(c)

       990       1,029,105  

Bombardier, Inc. (b):

      

8.75%, 12/01/21 (c)

       810       919,350  

6.00%, 10/15/22 (c)

       467       475,756  

6.13%, 1/15/23

       184       187,680  

7.50%, 3/15/25 (c)

       617       653,249  

Harris Corp., 3.83%, 4/27/25 (c)

       750       780,095  

KLX, Inc., 5.88%, 12/01/22 (b)(c)

       870       914,588  

Koppers, Inc., 6.00%, 2/15/25 (b)(c)

       267       284,355  

Kratos Defense & Security Solutions, Inc., 7.00%, 5/15/19

       105       107,100  

Lockheed Martin Corp., 4.70%, 5/15/46 (c)

       400       449,210  

TransDigm, Inc.:

      

5.50%, 10/15/20 (c)

       262       266,834  

6.00%, 7/15/22 (c)

       1,360       1,421,200  

6.50%, 7/15/24 (c)

       343       363,151  

6.50%, 5/15/25

       114       119,985  

6.38%, 6/15/26

       55       57,475  

United Technologies Corp., 3.75%, 11/01/46 (c)

       700       685,820  
      

 

 

 
                       8,714,953  
Air Freight & Logistics — 0.3%                   

FedEx Corp. (c):

      

3.90%, 2/01/35

       500       504,264  

4.75%, 11/15/45

       500       544,015  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    3


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Air Freight & Logistics (continued)  

XPO Logistics, Inc.:

      

5.75%, 6/15/21

     EUR       100     $ 123,248  

6.50%, 6/15/22 (b)(c)

     USD       958       995,122  

6.13%, 9/01/23 (b)(c)

       32       33,280  
      

 

 

 
                       2,199,929  
Airlines — 2.9%                   

Air Canada Pass-Through Trust, Series 2013-1, Class B, 5.38%, 11/15/22 (b)(c)

       2,486       2,621,700  

American Airlines Pass-Through Trust:

      

Series 2013-1, Class C,
6.13%, 7/15/18 (b)(c)

       525       541,187  

Series 2013-2, Class A, 4.95%, 7/15/24 (c)

       1,824       1,957,979  

Series 2017-1, Class B, 4.95%, 8/15/26

       1,735       1,804,400  

Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 5/10/20

       426       423,337  

Continental Airlines Pass-Through Trust (c):

      

Series 2003-ERJ1, 7.88%, 1/02/20

       179       182,181  

Series 2007-1, Class B, 6.90%, 10/19/23

       314       329,812  

Series 2012-1, Class B, 6.25%, 10/11/21

       342       361,547  

Delta Air Lines Pass-Through Trust, Class B (c):

      

Series 2007-1, 8.02%, 2/10/24

       1,710       1,950,079  

Series 2012-1, 6.88%, 5/07/19 (b)

       2,980       3,166,088  

United Airlines Pass-Through Trust (c):

      

Series 2014-2, Class B, 4.63%, 3/03/24

       2,358       2,443,968  

Series 2015-1, Class A, 3.70%, 6/01/24

       3,570       3,659,250  

US Airways Pass-Through Trust, Series 2011-1, Class B, 9.75%, 4/22/20 (c)

       1,961       2,146,914  
      

 

 

 
                       21,588,442  
Auto Components — 0.5%                   

Allison Transmission, Inc., 5.00%, 10/01/24 (b)

       38       39,330  

Aston Martin Capital Holdings Ltd., 5.75%, 4/15/22

     GBP       100       136,898  

Delphi Automotive PLC (c):

      

4.25%, 1/15/26

     USD       400       425,617  
Corporate Bonds    Par
(000)
    Value  
Auto Components (continued)  

Delphi Automotive PLC (c) (continued):

 

4.40%, 10/01/46

     USD       280     $ 281,879  

Faurecia, 3.63%, 6/15/23

     EUR       111       138,541  

FTE Verwaltungs GmbH, 9.00%, 7/15/20

       100       123,110  

Gestamp Funding Luxembourg SA, 3.50%, 5/15/23

       100       124,156  

Goodyear Tire & Rubber Co., 5.00%, 5/31/26

     USD       77       79,310  

HP Pelzer Holding GmbH, 4.13%, 4/01/24

     EUR       100       121,832  

Icahn Enterprises LP/Icahn Enterprises Finance Corp.:

      

4.88%, 3/15/19 (c)

     USD       481       487,349  

6.25%, 2/01/22

       141       146,773  

6.75%, 2/01/24 (c)

       481       505,050  

IHO Verwaltungs GmbH (h):

      

(2.75% Cash or 3.50% PIK), 2.75%, 9/15/21

     EUR       100       121,186  

(3.25% Cash or 4.00% PIK), 3.25%, 9/15/23

       100       122,221  

(3.75% Cash or 4.50% PIK), 3.75%, 9/15/26

       100       123,706  

(4.13% Cash or 4.88% PIK),
4.13%, 9/15/21 (b)(c)

     USD       214       218,280  

(4.50% Cash or 5.25% PIK),
4.50%, 9/15/23 (b)(c)

       229       235,870  

ZF North America Capital, Inc., 4.75%, 4/29/25 (b)

       166       173,470  
      

 

 

 
                       3,604,578  
Automobiles — 0.3%                   

General Motors Co., 6.25%, 10/02/43 (c)

             2,194       2,485,205  
Banks — 1.2%                   

Allied Irish Banks PLC, (5 year EUR Swap + 3.950%), 4.13%, 11/26/25 (i)

     EUR       100       127,555  

Banco Inbursa SA Institucion de Banca Multiple, 4.38%, 4/11/27 (b)(c)

     USD       773       774,933  

Banco Popolare, 2.75%, 7/27/20

     EUR       100       123,005  

Bank of Ireland, (5 year EUR Swap + 3.550%),
4.25%, 6/11/24 (i)

       100       125,298  

Bankia SA (i):

      

(5 year EUR Swap + 3.166%), 4.00%, 5/22/24

       200       248,302  

(5 year EUR Swap + 3.350%), 3.38%, 3/15/27

       100       123,848  
 

 

     
                
4    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Banks (continued)                   

CaixaBank SA, (5 year EUR Swap + 3.350%),
3.50%, 2/15/27 (i)

     EUR       100     $ 126,270  

CIT Group, Inc.:

      

5.50%, 2/15/19 (b)

     USD       94       98,634  

5.00%, 8/01/23 (c)

       1,015       1,100,006  

HSBC Holdings PLC, 4.38%, 11/23/26 (c)

       370       388,712  

Inversiones Atlantida SA, 8.25%, 7/28/22 (b)

       441       454,230  

Rizal Commercial Banking Corp., 4.25%, 1/22/20

       100       103,310  

Sberbank of Russia Via SB Capital SA,
5.25%, 5/23/23 (b)

       5,000       5,144,250  
      

 

 

 
                       8,938,353  
Beverages — 0.5%                   

Anheuser-Busch InBev Finance, Inc., 4.90%, 2/01/46 (c)

       2,160       2,425,829  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.75%, 7/15/27 (b)

     GBP       100       133,259  

4.75%, 7/15/27

       100       133,259  

BWAY Holding Co., 5.50%, 4/15/24 (b)(c)

     USD       756       792,855  

Central American Bottling Corp., 5.75%, 1/31/27 (b)(c)

       249       264,408  

Horizon Holdings I SASU, 7.25%, 8/01/23

     EUR       100       126,371  

Horizon Parent Holdings Sarl, (8.25% Cash or PIK 9.00%)), 8.25%, 2/15/22 (h)

       100       126,038  

Silgan Holdings, Inc., 3.25%, 3/15/25

       100       121,772  
      

 

 

 
                       4,123,791  
Biotechnology — 0.3%                   

Amgen, Inc., 4.40%, 5/01/45 (c)

     USD       1,100       1,154,465  

Gilead Sciences, Inc., 4.75%, 3/01/46 (c)

       700       770,978  

Senvion Holding GmbH, 3.88%, 10/25/22

     EUR       100       120,748  
      

 

 

 
                       2,046,191  
Building Materials — 0.1%                   

Tecnoglass, Inc., 8.20%, 1/31/22 (b)

     USD       378       397,372  

Titan Global Finance PLC, 3.50%, 6/17/21

     EUR       100       126,660  
      

 

 

 
                       524,032  
Corporate Bonds    Par
(000)
    Value  
Building Products — 0.3%                   

American Builders & Contractors Supply Co., Inc. (b):

      

5.63%, 4/15/21 (c)

     USD       177     $ 182,310  

5.75%, 12/15/23

       155       164,688  

Building Materials Corp. of America (b):

      

5.38%, 11/15/24

       49       51,573  

6.00%, 10/15/25 (c)

       247       263,981  

Masonite International Corp., 5.63%, 3/15/23 (b)(c)

       360       378,000  

Ply Gem Industries, Inc., 6.50%, 2/01/22 (c)

       260       272,350  

Standard Industries, Inc., 5.50%, 2/15/23 (b)

       159       167,745  

USG Corp. (b)(c):

      

5.50%, 3/01/25

       299       319,182  

4.88%, 6/01/27

       366       377,895  
      

 

 

 
                       2,177,724  
Cable Television Services — 0.0%                   

Nokia OYJ:

      

3.38%, 6/12/22

       126       127,496  

4.38%, 6/12/27

       177       182,310  
      

 

 

 
                       309,806  
Capital Markets — 0.4%                   

AE-Rotor Holding BV, 4.97%, 3/28/18

       140       139,898  

Blackstone CQP Holdco LP, 6.50%, 3/20/21 (b)(c)

       2,437       2,513,276  

LPL Holdings, Inc., 5.75%, 9/15/25 (b)

       66       69,135  

Raymond James Financial, Inc., 4.95%, 7/15/46 (c)

       400       434,245  
      

 

 

 
                       3,156,554  
Chemicals — 1.4%                   

Alpha 3 BV/Alpha US Bidco, Inc., 6.25%, 2/01/25 (b)(c)

       900       927,000  

Axalta Coating Systems Dutch Holding B BV,
3.75%, 1/15/25

     EUR       100       125,927  

Axalta Coating Systems LLC, 4.88%, 8/15/24 (b)(c)

     USD       265       273,612  

Blue Cube Spinco, Inc.:

      

9.75%, 10/15/23 (c)

       230       280,600  

10.00%, 10/15/25

       170       210,800  

CF Industries, Inc.:

      

7.13%, 5/01/20

       150       165,000  

5.15%, 3/15/34

       110       100,925  

4.95%, 6/01/43

       164       140,220  

Chemours Co.:

      

6.63%, 5/15/23 (c)

       332       356,522  

7.00%, 5/15/25

       66       73,590  

5.38%, 5/15/27 (c)

       333       350,899  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    5


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Chemicals (continued)                   

Hexion, Inc., 10.38%, 2/01/22 (b)(c)

     USD       220     $ 222,750  

Huntsman International LLC, 4.88%, 11/15/20 (c)

       555       582,750  

Ineos Finance PLC, 4.00%, 5/01/23

     EUR       115       141,421  

Inovyn Finance PLC, 6.25%, 5/15/21

       80       98,856  

Momentive Performance Materials, Inc.,
3.88%, 10/24/21 (c)

     USD       1,305       1,308,262  

NOVA Chemicals Corp. (b):

      

4.88%, 6/01/24

       319       320,994  

5.25%, 6/01/27

       376       376,940  

Platform Specialty Products Corp. (b):

      

10.38%, 5/01/21

       65       71,663  

6.50%, 2/01/22 (c)

       1,985       2,059,437  

PQ Corp., 6.75%, 11/15/22 (b)(c)

       437       473,280  

PSPC Escrow Corp., 6.00%, 2/01/23

     EUR       153       190,377  

Sherwin-Williams Co., 4.50%, 6/01/47 (c)

     USD       310       327,093  

Tronox Finance LLC:

      

6.38%, 8/15/20 (c)

       248       249,240  

7.50%, 3/15/22 (b)

       77       80,657  

Venator Finance Sarl/Venator Materials LLC,
5.75%, 7/15/25 (b)

       176       180,840  

Versum Materials, Inc., 5.50%, 9/30/24 (b)

       140       148,750  

WR Grace & Co-Conn (b):

      

5.13%, 10/01/21

       165       177,375  

5.63%, 10/01/24 (c)

       300       323,250  
      

 

 

 
                       10,339,030  
Commercial Services & Supplies — 1.5%                   

ADT Corp. (c):

      

3.50%, 7/15/22

       339       335,186  

4.13%, 6/15/23

       224       226,520  

4.88%, 7/15/32 (b)

       463       426,145  

Advanced Disposal Services, Inc.,
5.63%, 11/15/24 (b)(c)

       267       277,012  

Aviation Capital Group Corp., 6.75%, 4/06/21 (b)(c)

       5,000       5,679,325  

Bilbao Luxembourg SA, (10.50% Cash or 11.25% PIK), 10.50%, 12/01/18 (h)

     EUR       100       121,106  

Booz Allen Hamilton, Inc., 5.13%, 5/01/25 (b)(c)

     USD       500       498,750  
Corporate Bonds    Par
(000)
    Value  
Commercial Services & Supplies (continued)  

CD&R Waterworks Merger Sub LLC,
6.13%, 8/15/25 (b)(g)

     USD       191     $ 194,820  

Covanta Holding Corp., 5.88%, 7/01/25 (c)

       254       247,968  

DAE Funding LLC (b)(g):

      

4.00%, 8/01/20

       266       270,322  

4.50%, 8/01/22

       159       161,783  

5.00%, 8/01/24

       106       108,253  

Exela Intermediate LLC/Exela Finance, Inc.,
10.00%, 7/15/23 (b)

       252       245,070  

Harland Clarke Holdings Corp.,
8.38%, 8/15/22 (b)(c)

       330       353,100  

KAR Auction Services, Inc., 5.13%, 6/01/25 (b)(c)

       475       495,187  

La Financiere Atalian SAS, 4.00%, 5/15/24

     EUR       100       123,703  

Mobile Mini, Inc., 5.88%, 7/01/24 (c)

     USD       515       538,175  

Paprec Holding SA, 5.25%, 4/01/22

     EUR       100       123,799  

Park Aerospace Holdings Ltd., 5.25%, 8/15/22 (b)(c)

     USD       285       289,987  

Ritchie Bros Auctioneers, Inc., 5.38%, 1/15/25 (b)

       188       197,238  

United Rentals North America, Inc.:

      

7.63%, 4/15/22

       10       10,450  

5.75%, 11/15/24 (c)

       450       478,125  

5.88%, 9/15/26

       90       96,863  
      

 

 

 
                       11,498,887  
Communications Equipment — 0.4%                   

CommScope Technologies Finance LLC,
6.00%, 6/15/25 (b)

       5       5,375  

CommScope Technologies LLC,
5.00%, 3/15/27 (b)(c)

       280       280,700  

CommScope, Inc., 5.00%, 6/15/21 (b)(c)

       170       174,250  

Nokia OYJ, 6.63%, 5/15/39 (c)

       245       284,200  

Zayo Group LLC/Zayo Capital, Inc. (c):

      

6.38%, 5/15/25

       753       816,064  

5.75%, 1/15/27 (b)

       1,004       1,064,240  
      

 

 

 
                       2,624,829  
Construction & Engineering — 0.5%                   

AECOM, Series WI, 5.13%, 3/15/27

       57       57,427  

Aeropuerto Internacional de Tocumen SA,
5.63%, 5/18/36 (b)(c)

       1,189       1,254,395  

Aeropuertos Argentina 2000 SA, 6.88%, 2/01/27 (b)

       387       402,480  
 

 

     
                
6    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Construction & Engineering (continued)  

Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (b)

     USD       387     $ 416,451  

BlueLine Rental Finance Corp., 9.25%, 3/15/24 (b)

       1,193       1,294,405  

Engility Corp., 8.88%, 9/01/24 (c)

       298       323,330  

SPIE SA, 3.13%, 3/22/24

     EUR       100       122,553  

Tutor Perini Corp., 6.88%, 5/01/25 (b)

     USD       165       177,375  
      

 

 

 
                       4,048,416  
Construction Materials — 0.5%  

American Tire Distributors, Inc., 10.25%, 3/01/22 (b)(c)

       394       410,745  

Beacon Roofing Supply, Inc., 6.38%, 10/01/23

       163       175,633  

HD Supply, Inc. (b)(c):

      

5.25%, 12/15/21

       1,265       1,328,250  

5.75%, 4/15/24

       917       982,336  

LKQ Italia Bondco SpA, 3.88%, 4/01/24

     EUR       202       259,083  

New Enterprise Stone & Lime Co., Inc.,
10.13%, 4/01/22 (b)

     USD       190       206,228  

PulteGroup, Inc.:

      

5.50%, 3/01/26 (c)

       213       229,241  

6.00%, 2/15/35

       48       49,200  

Rexel SA, 3.50%, 6/15/23

     EUR       223       277,763  
      

 

 

 
                       3,918,479  
Consumer Discretionary — 0.2%  

Alpine Finance Merger Sub LLC, 6.88%, 8/01/25 (b)

     USD       291       301,913  

Brand Energy & Infrastructure Services, Inc., 8.50%, 7/15/25 (b)(c)

       626       666,690  

Nielsen Co. Luxembourg SARL, 5.00%, 2/01/25 (b)(c)

       563       581,297  

ServiceMaster Co. LLC, 5.13%, 11/15/24 (b)

       120       122,700  
      

 

 

 
                       1,672,600  
Consumer Finance — 0.9%  

Ally Financial, Inc., 8.00%, 11/01/31 (c)

       1,644       2,040,615  

CDK Global, Inc., 4.88%, 6/01/27 (b)(c)

       330       339,075  

Credivalores-Crediservicios SAS, 9.75%, 7/27/22 (b)

       1,501       1,534,022  

IHS Markit Ltd., 4.75%, 2/15/25 (b)

       198       208,395  

Navient Corp.:

      

5.00%, 10/26/20 (c)

       370       381,100  

6.63%, 7/26/21 (c)

       236       253,110  

6.50%, 6/15/22

       36       38,340  
Corporate Bonds           Par
(000)
    Value  
Consumer Finance (continued)  

Navient Corp. (continued):

      

5.50%, 1/25/23

     USD       162     $ 165,430  

7.25%, 9/25/23 (c)

       306       334,779  

6.13%, 3/25/24

       50       51,875  

5.88%, 10/25/24

       138       140,588  

6.75%, 6/25/25 (c)

       212       222,600  

5.63%, 8/01/33

       105       89,250  

OneMain Financial Holdings LLC (b):

      

6.75%, 12/15/19

       186       194,742  

7.25%, 12/15/21

       168       176,820  

Springleaf Finance Corp., 6.13%, 5/15/22

       85       89,250  

Tarjeta Naranja SA, (Argentina Deposit Rates Badlar Pvt Banks + 3.500%), 23.94%, 4/11/22 (a)(b)(c)

       550       513,562  
      

 

 

 
                       6,773,553  
Containers & Packaging — 1.2%  

Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:

      

4.25%, 1/15/22

     EUR       65       78,253  

4.25%, 9/15/22 (b)(c)

     USD       283       290,782  

4.63%, 5/15/23 (b)(c)

       252       257,670  

2.75%, 3/15/24

     EUR       125       151,600  

6.75%, 5/15/24

       156       207,149  

7.25%, 5/15/24 (b)(c)

     USD       1,809       1,996,684  

6.00%, 2/15/25 (b)(c)

       1,049       1,117,185  

Ball Corp., 5.00%, 3/15/22 (c)

       440       473,506  

Crown European Holdings SA, 4.00%, 7/15/22

     EUR       103       135,893  

Flex Acquisition Co., Inc., 6.88%, 1/15/25 (b)

     USD       38       39,900  

JH-Holding Finance SA, (8.25% PIK), 8.25%, 12/01/22 (h)

     EUR       101       131,322  

Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (c):

      

5.75%, 10/15/20

     USD       590       603,275  

(3 mo. LIBOR US + 3.500%),
4.80%, 7/15/21 (a)(b)

       659       673,004  

5.13%, 7/15/23 (b)

       194       204,185  

7.00%, 7/15/24 (b)

       966       1,044,487  

Sappi Papier Holding GmbH, 4.00%, 4/01/23

     EUR       200       249,607  

Sealed Air Corp.:

      

4.88%, 12/01/22 (b)

     USD       100       106,000  

4.50%, 9/15/23

     EUR       100       133,634  

6.88%, 7/15/33 (b)

     USD       44       50,985  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    7


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Containers & Packaging (continued)  

Signode Industrial Group Lux SA/Signode Industrial Group US, Inc., 6.38%, 5/01/22 (b)(c)

     USD       598     $ 624,910  

Suzano Trading Ltd., 5.88%, 1/23/21 (b)

       583       624,539  

Verallia Packaging SASU, 5.13%, 8/01/22

     EUR       100       125,483  
      

 

 

 
                       9,320,053  
County/City/Special District/School District — 0.0%  

Levi Strauss & Co., 3.38%, 3/15/27

             100       122,526  
Diversified Consumer Services — 0.5%  

ADT Corp., 6.25%, 10/15/21

     USD       218       238,165  

APX Group, Inc. (c):

      

6.38%, 12/01/19

       265       271,625  

8.75%, 12/01/20

       277       284,617  

7.88%, 12/01/22

       210       228,375  

GW Honos Security Corp., 8.75%, 5/15/25 (b)

       102       108,630  

Laureate Education, Inc., 8.25%, 5/01/25 (b)

       138       150,075  

Prime Security Services Borrower LLC/Prime Finance, Inc., 9.25%, 5/15/23 (b)(c)

       2,068       2,305,820  

Sotheby’s, 5.25%, 10/01/22 (b)

       108       110,430  
      

 

 

 
                       3,697,737  
Diversified Financial Services — 1.3%  

Aircastle Ltd., 6.25%, 12/01/19 (c)

       784       847,700  

ASP AMC Merger Sub, Inc., 8.00%, 5/15/25 (b)

       74       73,353  

CNH Industrial Finance Europe SA, 1.38%, 5/23/22

     EUR       100       120,156  

FBM Finance, Inc., 8.25%, 8/15/21 (b)

     USD       155       166,237  

Ford Motor Credit Co. LLC, 4.39%, 1/08/26 (c)

       1,250       1,295,769  

General Motors Financial Co., Inc., 4.25%, 5/15/23 (c)

       326       341,807  

Grupo KUO SAB de C.V., 5.75%, 7/07/27 (b)

       797       810,150  

Intesa Sanpaolo SpA, 5.02%, 6/26/24 (b)(c)

       2,888       2,946,629  

Intrum Justitia AB, (3 mo. Euribor + 2.625%), 2.63%, 7/15/22 (a)

     EUR       100       120,236  

Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.38%, 4/01/20 (b)(c)

     USD       845       868,237  
Corporate Bonds           Par
(000)
    Value  
Diversified Financial Services (continued)  

LHC3 PLC, (4.13% Cash or 4.875% PIK),
4.13%, 8/15/24 (g)(h)

     EUR       101     $ 120,951  

Mercury Bondco PLC, (8.25% Cash or 9.00% PIK), 8.25%, 5/30/21 (h)

       358       447,672  

SPARC EM SPC Panama Metro Line 2 SP, 0.00%, 12/05/22 (b)(g)(j)

     USD       279       246,622  

Spectrum Brands, Inc., 4.00%, 10/01/26

     EUR       100       123,788  

Tempo Acquisition LLC/Tempo Acquisition Finance Corp., 6.75%, 6/01/25 (b)(c)

     USD       259       268,562  

UniCredit SpA:

      

6.95%, 10/31/22

     EUR       270       391,160  

(5 year EUR Swap + 4.100%), 5.75%, 10/28/25 (i)

       207       273,027  
      

 

 

 
                       9,462,056  
Diversified Telecommunication Services — 2.6%  

AT&T, Inc., 4.75%, 5/15/46 (c)

     USD       2,545       2,443,885  

CenturyLink, Inc.:

      

Series P, 7.60%, 9/15/39

       61       56,578  

Series S, 6.45%, 6/15/21 (c)

       771       832,441  

Series U, 7.65%, 3/15/42 (c)

       388       359,746  

Series W, 6.75%, 12/01/23 (c)

       327       347,029  

Series Y, 7.50%, 4/01/24

       151       164,024  

Cincinnati Bell, Inc., 7.00%, 7/15/24 (b)(c)

       542       548,775  

Frontier Communications Corp.:

      

8.13%, 10/01/18

       125       130,469  

7.13%, 3/15/19 (c)

       380       387,125  

7.13%, 1/15/23

       65       53,138  

7.63%, 4/15/24 (c)

       570       462,412  

6.88%, 1/15/25 (c)

       1,205       955,348  

Level 3 Financing, Inc.:

      

5.38%, 8/15/22

       108       110,970  

5.63%, 2/01/23

       105       109,462  

5.13%, 5/01/23 (c)

       360       374,400  

5.38%, 1/15/24 (c)

       517       544,142  

5.38%, 5/01/25 (c)

       535       568,437  

5.25%, 3/15/26 (c)

       730       775,625  

OTE PLC, 3.50%, 7/09/20

     EUR       200       246,538  

SoftBank Group Corp.:

      

(5 year USD ICE Swap + 4.226%), 6.00% (i)(k)

     USD       200       201,750  

(5 year USD ICE Swap + 4.854%), 6.88% (i)(k)

       200       203,950  

4.75%, 7/30/25

     EUR       100       134,065  

Telecom Italia Capital SA:

      

6.38%, 11/15/33

     USD       100       113,250  

6.00%, 9/30/34 (c)

       974       1,077,244  
 

 

     
                
8    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Telecom Italia Capital SA (continued):

      

7.20%, 7/18/36

     USD       123     $ 150,214  

7.72%, 6/04/38

       62       79,128  

Telecom Italia Finance SA, 7.75%, 1/24/33

     EUR       81       142,421  

Telecom Italia SpA:

      

1.13%, 3/26/22 (l)

       100       119,351  

3.25%, 1/16/23

       100       131,955  

3.63%, 1/19/24

       146       194,866  

Verizon Communications, Inc., 6.55%, 9/15/43 (c)

     USD       6,500       7,953,972  
      

 

 

 
                       19,972,710  
Electric Utilities — 1.2%  

AES Corp., 4.88%, 5/15/23 (c)

       350       357,875  

Baltimore Gas & Electric Co., 3.50%, 8/15/46 (c)

       500       475,852  

Celeo Redes Operacion Chile SA,
5.20%, 6/22/47 (b)(c)

       1,177       1,182,885  

Duke Energy Corp., 4.80%, 12/15/45 (c)

       1,500       1,670,700  

Enel Finance International NV, 3.63%, 5/25/27 (b)(c)

       1,250       1,261,687  

Energuate Trust, 5.88%, 5/03/27 (b)

       522       537,660  

Orazul Energy Egenor S en C por A,
5.63%, 4/28/27 (b)(c)

       776       746,124  

Pampa Energia SA, 7.50%, 1/24/27 (b)(c)

       758       786,425  

Southern Co., 4.40%, 7/01/46 (c)

       1,000       1,042,683  

Talen Energy Supply LLC, 6.50%, 6/01/25

       104       75,140  

Virginia Electric & Power Co., Series A,
6.00%, 5/15/37 (c)

       750       965,776  
      

 

 

 
                       9,102,807  
Electrical Equipment — 0.1%  

Areva SA, 4.88%, 9/23/24

     EUR       100       133,708  

Belden, Inc., 5.50%, 4/15/23

       111       138,465  

Trionista TopCo GmbH, 6.88%, 4/30/21

       213       262,359  
      

 

 

 
                       534,532  
Electronic Equipment, Instruments & Components — 0.1%  

CDW LLC/CDW Finance Corp.:

      

5.00%, 9/01/23 (c)

     USD       325       338,813  

5.50%, 12/01/24

       168       183,960  

5.00%, 9/01/25

       127       132,636  
      

 

 

 
                       655,409  
Energy Equipment & Services — 0.7%  

Ensco PLC:

      

4.50%, 10/01/24 (c)

       199       151,676  
Corporate Bonds           Par
(000)
    Value  
Energy Equipment & Services (continued)  

Ensco PLC (continued):

      

5.20%, 3/15/25

     USD       45     $ 35,550  

Gates Global LLC/Gates Global Co.:

      

5.75%, 7/15/22

     EUR       100       121,340  

6.00%, 7/15/22 (b)(c)

     USD       931       950,784  

Halliburton Co., 3.80%, 11/15/25 (c)

       750       773,953  

Noble Holding International Ltd., 4.63%, 3/01/21

       12       10,106  

Pattern Energy Group, Inc., 5.88%, 2/01/24 (b)

       263       277,465  

Pioneer Energy Services Corp., 6.13%, 3/15/22 (c)

       325       261,625  

Precision Drilling Corp.:

      

6.50%, 12/15/21

       120       117,900  

5.25%, 11/15/24

       193       173,217  

Transocean, Inc.:

      

6.00%, 3/15/18

       59       60,033  

5.80%, 10/15/22 (c)

       538       507,807  

9.00%, 7/15/23 (b)(c)

       884       923,780  

6.80%, 3/15/38

       42       31,290  

Trinidad Drilling Ltd., 6.63%, 2/15/25 (b)(c)

       458       431,665  

Weatherford International Ltd.:

      

7.75%, 6/15/21 (c)

       307       314,675  

8.25%, 6/15/23

       105       106,575  

9.88%, 2/15/24 (b)(c)

       273       292,792  
      

 

 

 
                       5,542,233  
Environmental, Maintenance, & Security Service — 0.1%  

Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18

     EUR       100       118,385  

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

     USD       477       484,155  
      

 

 

 
                       602,540  
Food & Staples Retailing — 0.6%  

Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (b):

      

6.63%, 6/15/24 (c)

       206       193,640  

5.75%, 3/15/25

       134       119,930  

B&M European Value Retail SA, 4.13%, 2/01/22

     GBP       100       138,024  

Casino Guichard Perrachon SA:

      

5.98%, 5/26/21

     EUR       100       139,925  

4.56%, 1/25/23

       200       268,562  

CVS Health Corp., 5.13%, 7/20/45 (c)

     USD       750       860,678  

Dollar Tree, Inc., 5.75%, 3/01/23 (c)

       1,616       1,710,940  

Rite Aid Corp.:

      

6.75%, 6/15/21 (c)

       79       82,073  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    9


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Food & Staples Retailing (continued)  

Rite Aid Corp. (continued):

      

6.13%, 4/01/23 (b)

     USD       342     $ 339,008  

7.70%, 2/15/27 (c)

       109       107,910  

Walgreens Boots Alliance, Inc., 4.80%, 11/18/44 (c)

       750       801,131  
      

 

 

 
                       4,761,821  
Food Products — 0.7%  

Acosta, Inc., 7.75%, 10/01/22 (b)

       318       240,090  

Aramark Services, Inc.:

      

5.13%, 1/15/24

       144       152,941  

4.75%, 6/01/26 (c)

       252       263,867  

Arcor SAIC, 6.00%, 7/06/23 (b)(c)

       470       501,490  

B&G Foods, Inc., 5.25%, 4/01/25

       215       224,137  

Chobani LLC/Chobani Finance Corp., Inc.,
7.50%, 4/15/25 (b)(c)

       375       401,719  

FAGE International SA/FAGE USA Dairy Industry, Inc., 5.63%, 8/15/26 (b)(c)

       200       206,000  

JBS USA LLC/JBS USA Finance, Inc. (b):

      

5.88%, 7/15/24

       169       167,733  

5.75%, 6/15/25 (c)

       634       627,660  

Marfrig Holdings Europe BV, 8.00%, 6/08/23 (b)(c)

       243       252,416  

Minerva Luxembourg SA, 6.50%, 9/20/26 (b)

       827       827,000  

Post Holdings, Inc. (b)(c):

      

5.50%, 3/01/25

       341       359,755  

5.00%, 8/15/26

       332       340,715  

TreeHouse Foods, Inc., 6.00%, 2/15/24 (b)

       159       170,528  

WhiteWave Foods Co., 5.38%, 10/01/22 (c)

       211       239,808  
      

 

 

 
                       4,975,859  
Health Care Equipment & Supplies — 0.5%  

Crimson Merger Sub, Inc., 6.63%, 5/15/22 (b)(c)

       1,043       1,024,747  

DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp., 8.13%, 6/15/21 (b)(c)

       893       841,652  

IASIS Healthcare LLC/IASIS Capital Corp.,
8.38%, 5/15/19 (c)

       290       291,088  

Mallinckrodt International Finance SA/Mallinckrodt CB LLC (b):

      

5.75%, 8/01/22

       84       82,110  

5.63%, 10/15/23 (c)

       342       327,465  

5.50%, 4/15/25 (c)

       387       357,975  
Corporate Bonds           Par
(000)
    Value  
Health Care Equipment & Supplies (continued)  

Medtronic, Inc., 4.50%, 3/15/42 (c)

     USD       1,000     $ 1,087,833  

Teleflex, Inc., 4.88%, 6/01/26

       63       64,890  
      

 

 

 
                       4,077,760  
Health Care Providers & Services — 3.2%  

Acadia Healthcare Co., Inc.:

      

5.63%, 2/15/23 (c)

       432       450,360  

6.50%, 3/01/24

       69       74,003  

Alere, Inc., 6.38%, 7/01/23 (b)(c)

       268       288,100  

Amsurg Corp., 5.63%, 7/15/22 (c)

       810       840,375  

Centene Corp.:

      

5.63%, 2/15/21 (c)

       403       419,120  

4.75%, 5/15/22 (c)

       402       423,105  

6.13%, 2/15/24

       40       43,500  

4.75%, 1/15/25 (c)

       495       516,037  

CHS/Community Health Systems, Inc.:

      

8.00%, 11/15/19

       176       176,220  

7.13%, 7/15/20 (c)

       407       392,246  

5.13%, 8/01/21 (c)

       360       362,250  

6.88%, 2/01/22 (c)

       461       395,308  

6.25%, 3/31/23 (c)

       771       790,275  

DaVita, Inc., 5.13%, 7/15/24 (c)

       351       360,872  

Eagle Holding Co. II LLC, (7.63% Cash or 8.38% PIK), 7.63%, 5/15/22 (b)(c)(h)

       310       322,400  

Envision Healthcare Corp., 5.13%, 7/01/22 (b)

       205       211,663  

HCA, Inc.:

      

6.50%, 2/15/20 (c)

       1,103       1,205,027  

7.50%, 2/15/22 (c)

       800       924,000  

5.88%, 3/15/22 (c)

       84       92,904  

4.75%, 5/01/23

       56       58,940  

5.88%, 5/01/23

       90       98,438  

5.00%, 3/15/24 (c)

       645       684,667  

5.38%, 2/01/25 (c)

       862       918,030  

5.25%, 4/15/25 (c)

       1,130       1,226,050  

5.88%, 2/15/26 (c)

       508       553,720  

5.25%, 6/15/26 (c)

       540       584,550  

4.50%, 2/15/27 (c)

       379       387,528  

5.50%, 6/15/47

       1,244       1,303,090  

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

       76       77,520  

Hologic, Inc.:

      

5.25%, 7/15/22 (b)(c)

       417       440,456  

Series 2012, 2.00%, 3/01/42 (e)(l)

       323       462,294  

MEDNAX, Inc., 5.25%, 12/01/23 (b)(c)

       239       246,170  

Molina Healthcare, Inc., 4.88%, 6/15/25 (b)

       126       128,205  
 

 

     
                
10    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Health Care Providers & Services (continued)  

MPH Acquisition Holdings LLC, 7.13%, 6/01/24 (b)(c)

     USD       970     $ 1,050,025  

New Amethyst Corp., 6.25%, 12/01/24 (b)(c)

       465       501,037  

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

       350       376,250  

Surgery Center Holdings, Inc. (b):

      

8.88%, 4/15/21

       82       88,970  

6.75%, 7/01/25 (c)

       324       332,910  

Tenet Healthcare Corp.:

      

6.00%, 10/01/20 (c)

       1,150       1,231,937  

7.50%, 1/01/22 (b)

       174       187,920  

8.13%, 4/01/22 (c)

       1,294       1,392,344  

6.75%, 6/15/23 (c)

       536       529,300  

4.63%, 7/15/24 (b)

       220       218,900  

THC Escrow Corp. III (b):

      

5.13%, 5/01/25

       190       191,188  

7.00%, 8/01/25

       463       457,212  

Thermo Fisher Scientific, Inc., 2.95%, 9/19/26 (c)

       1,000       980,911  

UnitedHealth Group, Inc., 4.38%, 3/15/42 (c)

       750       810,670  

Vizient, Inc., 10.38%, 3/01/24 (b)

       90       104,063  

WellCare Health Plans, Inc., 5.25%, 4/01/25

       101       107,060  
      

 

 

 
                       24,018,120  
Health Care Technology — 0.1%  

Change Healthcare Holdings LLC/Change Healthcare Finance, Inc., 5.75%, 3/01/25 (b)(c)

       282       291,518  

Quintiles IMS, Inc., 3.25%, 3/15/25 (b)

     EUR       100       121,619  
      

 

 

 
                       413,137  
Hotels, Restaurants & Leisure — 4.3%  

Burger King France SAS:

      

(3 mo. Euribor + 5.250%), 5.25%, 5/01/23 (a)

       100       122,715  

6.00%, 5/01/24

       100       126,585  

Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Property, 8.00%, 10/01/20 (c)

     USD       1,840       1,890,600  

Cemex Finance LLC, 9.38%, 10/12/22 (b)(c)

       378       401,436  

Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21

     EUR       100       120,464  

CPUK Finance Ltd., 4.25%, 2/28/47

     GBP       100       133,471  
Corporate Bonds           Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Enterprise Inns PLC, 6.00%, 10/06/23

     GBP       3,320     $ 4,729,861  

ESH Hospitality, Inc., 5.25%, 5/01/25 (b)(c)

     USD       154       160,930  

GLP Capital LP/GLP Financing II, Inc., 5.38%, 4/15/26

       112       122,080  

International Game Technology PLC, 4.75%, 2/15/23

     EUR       107       137,913  

Jacobs Entertainment, Inc., 7.88%, 2/01/24 (b)

     USD       105       113,925  

KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (b):

      

5.00%, 6/01/24

       45       46,913  

5.25%, 6/01/26

       159       168,540  

McDonald’s Corp., 3.70%, 1/30/26 (c)

       750       785,875  

Melco Resorts Finance Ltd., 4.88%, 6/06/25 (b)(c)

       245       243,145  

MGM Resorts International:

      

5.25%, 3/31/20

       84       89,124  

6.75%, 10/01/20

       156       173,160  

6.63%, 12/15/21 (c)

       1,458       1,640,250  

7.75%, 3/15/22

       34       39,947  

4.63%, 9/01/26

       146       147,723  

New Red Finance, Inc. (b)(c):

      

6.00%, 4/01/22

       1,130       1,166,725  

4.25%, 5/15/24

       693       696,895  

RHP Hotel Properties LP/RHP Finance Corp., 5.00%, 4/15/21 (c)

       460       469,775  

Sabre GLBL, Inc., 5.25%, 11/15/23 (b)(c)

       269       279,760  

Scientific Games International, Inc. (c):

      

7.00%, 1/01/22 (b)

       1,064       1,133,160  

10.00%, 12/01/22

       947       1,055,905  

Six Flags Entertainment Corp. (b):

      

4.88%, 7/31/24 (c)

       604       614,570  

5.50%, 4/15/27

       174       179,873  

Station Casinos LLC, 7.50%, 3/01/21 (c)

       543       566,077  

Stonegate Pub Co. Financing PLC, 4.88%, 3/15/22

     GBP       100       135,249  

Unique Pub Finance Co. PLC:

      

Series A3, 6.54%, 3/30/21

       1,679       2,402,264  

Series M, 7.40%, 3/28/24

       6,400       9,688,106  

Vue International Bidco PLC, 7.88%, 7/15/20

       117       157,860  

Wyndham Worldwide Corp., 4.15%, 4/01/24 (c)

     USD       2,000       2,076,792  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    11


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Hotels, Restaurants & Leisure (continued)  

Yum! Brands, Inc., 3.88%, 11/01/23

     USD       110     $ 109,725  
      

 

 

 
                       32,127,393  
Household Durables — 0.9%  

AV Homes, Inc., 6.63%, 5/15/22 (b)

       93       96,255  

Brookfield Residential Properties, Inc./Brookfield Residential US Corp., 6.13%, 7/01/22 (b)(c)

       750       783,750  

CalAtlantic Group, Inc.:

      

1.63%, 5/15/18 (l)

       188       219,725  

8.38%, 1/15/21

       144       168,840  

5.38%, 10/01/22

       6       6,510  

5.25%, 6/01/26

       32       33,280  

Century Communities, Inc., 6.88%, 5/15/22 (c)

       830       873,575  

K Hovnanian Enterprises, Inc. (b):

      

10.00%, 7/15/22

       174       183,570  

10.50%, 7/15/24

       168       179,928  

Lennar Corp.:

      

4.50%, 11/15/19 (c)

       320       331,936  

4.75%, 4/01/21

       42       44,300  

4.13%, 1/15/22

       139       143,082  

4.75%, 11/15/22

       53       56,246  

4.88%, 12/15/23

       146       155,125  

4.75%, 5/30/25 (c)

       410       430,500  

Mattamy Group Corp., 6.88%, 12/15/23 (b)

       123       125,153  

Meritage Homes Corp., 5.13%, 6/06/27 (b)

       123       124,691  

Newell Brands, Inc., 4.20%, 4/01/26 (c)

       1,000       1,069,784  

PulteGroup, Inc., 6.38%, 5/15/33 (c)

       469       498,312  

Tempur Sealy International, Inc., 5.50%, 6/15/26 (c)

       483       497,490  

TRI Pointe Group, Inc.:

      

4.38%, 6/15/19 (c)

       225       230,625  

4.88%, 7/01/21

       124       130,200  

5.88%, 6/15/24 (c)

       226       240,690  

5.25%, 6/01/27 (c)

       216       217,486  

William Lyon Homes, Inc., 5.88%, 1/31/25

       116       119,956  
      

 

 

 
                       6,961,009  
Household Products — 0.1%  

ACCO Brands Corp., 5.25%, 12/15/24 (b)

       102       106,080  

Prestige Brands, Inc., 6.38%, 3/01/24 (b)

       176       188,980  
Corporate Bonds           Par
(000)
    Value  
Household Products (continued)  

Spectrum Brands, Inc., 6.63%, 11/15/22 (c)

     USD       710     $ 742,837  
      

 

 

 
                       1,037,897  
Independent Power and Renewable Electricity Producers — 0.5%  

Calpine Corp. (c):

      

6.00%, 1/15/22 (b)

       64       66,000  

5.38%, 1/15/23

       190       183,825  

5.88%, 1/15/24 (b)

       200       206,000  

Dynegy, Inc.:

      

6.75%, 11/01/19 (c)

       925       959,109  

7.38%, 11/01/22

       43       43,439  

7.63%, 11/01/24

       78       76,928  

Genneia SA, 8.75%, 1/20/22 (b)(c)

       491       518,457  

NRG Energy, Inc.:

      

7.88%, 5/15/21

       82       84,460  

6.63%, 3/15/23

       45       46,603  

6.25%, 5/01/24

       144       149,400  

6.63%, 1/15/27 (c)

       938       963,795  

NRG Yield Operating LLC, 5.38%, 8/15/24

       130       135,850  

QEP Resources, Inc., 5.38%, 10/01/22

       179       175,867  

TerraForm Power Operating LLC, 6.38%, 2/01/23 (b)(c)(e)

       258       268,320  
      

 

 

 
                       3,878,053  
Industrial Conglomerates — 0.2%  

Colfax Corp., 3.25%, 5/15/25

     EUR       100       121,227  

General Electric Co., 4.13%, 10/09/42 (c)

     USD       750       784,338  

Vertiv Group Corp, 9.25%, 10/15/24 (b)(c)

       559       617,695  
      

 

 

 
                       1,523,260  
Insurance — 0.9%  

American International Group, Inc., 4.80%, 7/10/45 (c)

       500       540,881  

Aon PLC, 3.88%, 12/15/25 (c)

       1,280       1,345,755  

Ardonagh Midco 3 PLC, 8.38%, 7/15/23

     GBP       100       132,448  

Assicurazioni Generali SpA (i):

      

(3 mo. Euribor + 7.113%), 7.75%, 12/12/42

     EUR       100       151,674  

(3 mo. Euribor + 5.350%), 5.50%, 10/27/47

       100       138,417  

AssuredPartners, Inc., 7.00%, 8/15/25 (b)(g)

     USD       134       135,005  

Groupama SA, 6.00%, 1/23/27

     EUR       100       146,791  
 

 

     
                
12    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Insurance (continued)  

HUB International Ltd., 7.88%, 10/01/21 (b)(c)

     USD       1,058     $ 1,105,610  

KIRS Midco 3 PLC, 8.63%, 7/15/23 (b)(c)

       516       529,545  

Old Mutual PLC, 8.00%, 6/03/21

     GBP       100       153,537  

Radian Group, Inc., 5.25%, 6/15/20 (c)

       390       411,450  

Teachers Insurance & Annuity Association of America, 4.27%, 5/15/47 (b)(c)

       700       719,211  

USIS Merger Sub, Inc., 6.88%, 5/01/25 (b)

       42       43,470  

Wayne Merger Sub LLC, 8.25%, 8/01/23 (b)(c)

       705       752,588  
      

 

 

 
                       6,306,382  
Internet Software & Services — 0.3%  

Equinix, Inc. (c):

      

4.88%, 4/01/20

       144       147,888  

5.88%, 1/15/26

       389       425,955  

Netflix, Inc.:

      

5.50%, 2/15/22

       15       16,238  

4.38%, 11/15/26 (b)(c)

       757       766,462  

3.63%, 5/15/27

     EUR       100       121,576  

Symantec Corp., 5.00%, 4/15/25 (b)

     USD       187       195,883  

United Group BV:

      

4.38%, 7/01/22

     EUR       126       148,997  

(3 mo. Euribor + 4.375%), 4.38%, 7/01/23 (a)

       100       119,238  
      

 

 

 
                       1,942,237  
IT Services — 0.8%  

Ceridian HCM Holding, Inc., 11.00%, 3/15/21 (b)(c)

     USD       482       510,318  

Fidelity National Information Services, Inc., 3.00%, 8/15/26 (c)

       1,000       979,814  

First Data Corp. (b)(c):

      

7.00%, 12/01/23

       1,170       1,262,137  

5.75%, 1/15/24

       2,998       3,166,637  

Gartner, Inc., 5.13%, 4/01/25 (b)(c)

       207       218,903  
      

 

 

 
                       6,137,809  
Machinery — 0.2%  

EnPro Industries, Inc., 5.88%, 9/15/22 (b)

       132       137,775  

Navistar International Corp., 8.25%, 11/01/21

       55       55,447  
Corporate Bonds           Par
(000)
    Value  
Machinery (continued)  

SPX FLOW, Inc. (b):

      

5.63%, 8/15/24 (c)

     USD       330     $ 341,550  

5.88%, 8/15/26

       153       158,738  

Terex Corp., 5.63%, 2/01/25 (b)(c)

       419       436,807  

Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22

     EUR       142       179,026  
      

 

 

 
                       1,309,343  
Media — 6.6%  

Altice Financing SA (b)(c):

      

6.63%, 2/15/23

     USD       200       211,875  

7.50%, 5/15/26

       1,291       1,431,461  

Altice Luxembourg SA, 6.25%, 2/15/25

     EUR       100       129,774  

Altice US Finance I Corp. (b)(c):

      

5.38%, 7/15/23

     USD       780       819,000  

5.50%, 5/15/26

       288       305,280  

AMC Networks, Inc.:

      

5.00%, 4/01/24

       146       150,380  

4.75%, 8/01/25

       460       464,048  

Bharti Airtel International Netherlands BV, 5.13%, 3/11/23

       750       790,255  

Cablevision SA, 6.50%, 6/15/21 (b)(c)

       389       412,270  

Cablevision Systems Corp.:

      

8.63%, 9/15/17

       56       56,350  

7.75%, 4/15/18 (c)

       517       535,095  

8.00%, 4/15/20 (c)

       286       320,606  

CBS Radio, Inc., 7.25%, 11/01/24 (b)(c)

       92       96,945  

CCO Holdings LLC/CCO Holdings Capital Corp. (c):

      

5.25%, 9/30/22

       292       301,125  

5.13%, 2/15/23

       709       733,815  

5.13%, 5/01/23 (b)

       719       754,950  

5.13%, 5/01/27 (b)

       2,883       2,980,301  

Cequel Communications Holdings I LLC/Cequel Capital Corp. (b):

      

6.38%, 9/15/20

       101       102,768  

5.13%, 12/15/21 (c)

       933       953,694  

7.75%, 7/15/25 (c)

       1,630       1,819,487  

Charter Communications Operating LLC/Charter Communications Operating Capital, 6.48%, 10/23/45 (c)

       3,000       3,536,412  

Clear Channel International BV, 8.75%, 12/15/20 (b)(c)

       508       541,020  

Clear Channel Worldwide Holdings, Inc. (c):

      

6.50%, 11/15/22

       2,702       2,798,316  

Series B, 7.63%, 3/15/20

       1,029       1,036,717  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    13


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Media (continued)                   

Columbus Cable Barbados Ltd., 7.38%, 3/30/21 (b)(c)

     USD       1,195     $ 1,275,662  

Comcast Corp., 4.60%, 8/15/45 (c)

       1,750       1,910,475  

CSC Holdings LLC (c):

      

10.13%, 1/15/23 (b)

       1,388       1,615,285  

5.25%, 6/01/24

       921       956,458  

6.63%, 10/15/25 (b)

       350       385,875  

10.88%, 10/15/25 (b)

       965       1,203,837  

Discovery Communications LLC, 4.95%, 5/15/42 (c)

       400       382,747  

DISH DBS Corp.:

      

6.75%, 6/01/21 (c)

       239       264,095  

5.88%, 7/15/22 (c)

       241       262,314  

5.00%, 3/15/23

       329       341,236  

5.88%, 11/15/24

       53       57,492  

7.75%, 7/01/26 (c)

       1,355       1,622,612  

DISH Network Corp., 3.38%, 8/15/26 (b)(l)

       463       575,277  

eircom Finance DAC, 4.50%, 5/31/22

     EUR       100       123,707  

GTT Communications, Inc., 7.88%, 12/31/24 (b)

     USD       136       146,200  

Hughes Satellite Systems Corp.:

      

7.63%, 6/15/21

       113       129,668  

5.25%, 8/01/26 (c)

       564       591,495  

6.63%, 8/01/26

       121       132,344  

iHeartCommunications, Inc.:

      

9.00%, 12/15/19

       474       382,755  

10.63%, 3/15/23

       1,256       935,720  

Intelsat Jackson Holdings SA (c):

      

7.25%, 10/15/20

       292       280,138  

5.50%, 8/01/23

       594       512,325  

9.75%, 7/15/25 (b)

       450       464,625  

Interpublic Group of Cos., Inc., 4.20%, 4/15/24 (c)

       1,000       1,054,041  

LG Finance Co. Corp., 5.88%, 11/01/24 (b)

       101       106,050  

LGE HoldCo VI BV, 7.13%, 5/15/24

     EUR       177       236,772  

McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance, 7.88%, 5/15/24 (b)

     USD       101       96,960  

MDC Partners, Inc., 6.50%, 5/01/24 (b)(c)

       438       440,190  

Midcontinent Communications/Midcontinent Finance Corp. (b):

      

6.25%, 8/01/21 (c)

       250       257,813  

6.88%, 8/15/23 (g)

       282       305,660  

Nexstar Broadcasting, Inc., 5.63%, 8/01/24 (b)

       142       146,793  
Corporate Bonds           Par
(000)
    Value  
Media (continued)                   

Numericable Group SA, 5.38%, 5/15/22

     EUR       116     $ 143,330  

Outfront Media Capital LLC/Outfront Media Capital Corp., 5.25%, 2/15/22 (c)

     USD       102       105,570  

SFR Group SA (b)(c):

      

6.00%, 5/15/22

       1,492       1,560,975  

7.38%, 5/01/26

       1,721       1,862,982  

TEGNA, Inc., 5.50%, 9/15/24 (b)

       79       82,259  

Telenet Finance VI Luxembourg SCA, 4.88%, 7/15/27

     EUR       100       129,587  

Telesat Canada/Telesat LLC, 8.88%, 11/15/24 (b)(c)

     USD       501       564,877  

Time Warner, Inc.:

      

4.65%, 6/01/44

       111       110,108  

4.85%, 7/15/45 (c)

       389       400,837  

Tribune Media Co., 5.88%, 7/15/22 (c)

       315       329,962  

Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:

      

4.00%, 1/15/25

     EUR       117       146,820  

5.00%, 1/15/25 (b)

     USD       200       211,000  

6.25%, 1/15/29

     EUR       100       134,934  

Univision Communications, Inc. (b)(c):

      

5.13%, 5/15/23

     USD       556       567,120  

5.13%, 2/15/25

       193       193,483  

UPCB Finance IV Ltd., 4.00%, 1/15/27

     EUR       114       141,493  

Videotron Ltd./Videotron Ltee, 5.13%, 4/15/27 (b)(c)

     USD       285       293,550  

Virgin Media Finance PLC, 5.75%, 1/15/25 (b)(c)

       850       888,250  

Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24

     GBP       100       137,052  

Virgin Media Secured Finance PLC:

      

5.50%, 8/15/26 (b)

     USD       200       212,000  

4.88%, 1/15/27

     GBP       130       178,812  

6.25%, 3/28/29

       175       251,445  

WaveDivision Escrow LLC/WaveDivision Escrow Corp., 8.13%, 9/01/20 (b)(c)

     USD       980       1,009,400  

Wind Acquisition Finance SA:

      

7.00%, 4/23/21

     EUR       122       150,894  

7.38%, 4/23/21 (b)(c)

     USD       1,130       1,176,443  
      

 

 

 
                       49,461,748  
Metals & Mining — 3.7%                   

Alcoa Nederland Holding BV, 7.00%, 9/30/26 (b)

       200       222,000  

Alcoa, Inc.:

      

5.87%, 2/23/22 (c)

       900       987,750  

5.13%, 10/01/24 (c)

       538       572,298  
 

 

     
                
14    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds           Par
(000)
    Value  
Metals & Mining (continued)  

Alcoa, Inc. (continued):

      

5.90%, 2/01/27

     USD       120     $ 132,155  

6.75%, 1/15/28

       56       63,140  

5.95%, 2/01/37

       105       108,087  

Anglo American Capital PLC:

      

4.45%, 9/27/20 (b)

       100       104,750  

4.13%, 4/15/21 (b)(c)

       200       207,250  

3.50%, 3/28/22

     EUR       100       132,074  

3.25%, 4/03/23

       100       131,679  

4.88%, 5/14/25 (b)(c)

     USD       600       640,500  

ArcelorMittal:

      

3.13%, 1/14/22

     EUR       100       128,959  

7.50%, 10/15/39

     USD       108       127,440  

7.25%, 3/01/41 (c)

       352       406,560  

BHP Billiton Finance USA Ltd., 4.13%, 2/24/42 (c)

       250       259,751  

Cliffs Natural Resources, Inc., 8.25%, 3/31/20 (b)(c)

       216       242,784  

Constellium NV (b)(c):

      

8.00%, 1/15/23

       1,230       1,294,575  

6.63%, 3/01/25

       1,336       1,336,000  

First Quantum Minerals Ltd. (b):

      

7.00%, 2/15/21 (c)

       966       1,002,225  

7.50%, 4/01/25

       222       227,883  

Freeport-McMoRan, Inc.:

      

2.30%, 11/14/17

       322       322,000  

2.38%, 3/15/18

       2,714       2,710,607  

3.10%, 3/15/20

       1,769       1,757,944  

4.00%, 11/14/21

       276       275,655  

3.55%, 3/01/22

       410       397,700  

3.88%, 3/15/23

       1,427       1,378,839  

5.40%, 11/14/34

       140       131,732  

5.45%, 3/15/43

       1,346       1,238,320  

Grinding Media, Inc./MC Grinding Media Canada, Inc., 7.38%, 12/15/23 (b)(c)

       571       615,252  

Joseph T Ryerson & Son, Inc., 11.00%, 5/15/22 (b)

       192       219,360  

Kaiser Aluminum Corp., 5.88%, 5/15/24

       124       131,750  

Kinross Gold Corp.:

      

4.50%, 7/15/27 (b)

       144       143,460  

6.88%, 9/01/41

       80       86,000  

Novelis Corp. (b)(c):

      

6.25%, 8/15/24

       1,024       1,095,885  

5.88%, 9/30/26

       1,130       1,189,325  

Nyrstar Netherlands Holdings BV, 6.88%, 3/15/24

     EUR       100       121,340  

Peabody Energy Corp. (b):

      

6.00%, 3/31/22

     USD       77       78,540  

6.38%, 3/31/25

       121       122,210  

Petra Diamonds US Treasury PLC, 7.25%, 5/01/22 (b)

       200       205,150  
Corporate Bonds           Par
(000)
    Value  
Metals & Mining (continued)  

Rio Tinto Finance USA Ltd., 4.75%, 3/22/42 (c)

     USD       400     $ 450,069  

Steel Dynamics, Inc.:

      

5.13%, 10/01/21 (c)

       970       999,100  

5.25%, 4/15/23 (c)

       525       546,656  

5.00%, 12/15/26

       15       15,825  

SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., 7.50%, 6/15/25 (b)(c)

       270       278,100  

Teck Resources Ltd.:

      

4.50%, 1/15/21

       82       85,178  

3.75%, 2/01/23 (c)

       828       835,245  

8.50%, 6/01/24 (b)(c)

       922       1,069,520  

6.13%, 10/01/35

       102       110,670  

6.00%, 8/15/40 (c)

       513       546,345  

5.20%, 3/01/42 (c)

       793       769,210  

5.40%, 2/01/43 (c)

       341       334,180  

ThyssenKrupp AG, 1.38%, 3/03/22

     EUR       75       89,074  

United States Steel Corp., 8.38%, 7/01/21 (b)(c)

     USD       357       394,931  

VM Holdings SA, 5.38%, 5/04/27 (b)

       777       806,137  
      

 

 

 
                       27,879,169  
Multi-Utilities — 0.1%  

NGL Energy Partners LP/NGL Energy Finance Corp. (c):

      

5.13%, 7/15/19

       150       148,687  

6.88%, 10/15/21

       240       237,600  

7.50%, 11/01/23 (b)

       286       275,990  
      

 

 

 
                       662,277  
Multiline Retail — 0.1%  

Neiman Marcus Group Ltd., 8.00%, 10/15/21 (b)(c)

       257       141,993  

Target Corp., 4.00%, 7/01/42 (c)

       300       302,265  
      

 

 

 
                       444,258  
Oil, Gas & Consumable Fuels — 8.0%  

Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., 7.88%, 12/15/24 (b)

       139       145,950  

Anadarko Petroleum Corp., 4.50%, 7/15/44 (c)

       500       467,935  

Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.38%, 9/15/24

       65       67,113  

Antero Resources Corp.:

      

5.13%, 12/01/22

       92       93,380  

5.63%, 6/01/23

       88       90,200  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    15


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Apache Corp., 4.75%, 4/15/43 (c)

     USD       800     $ 813,726  

Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, 4/01/22 (b)(c)

       344       352,600  

California Resources Corp., 8.00%, 12/15/22 (b)

       179       114,113  

Callon Petroleum Co.:

      

6.13%, 10/01/24 (c)

       248       257,920  

6.13%, 10/01/24 (b)

       109       113,360  

Carrizo Oil & Gas, Inc.:

      

6.25%, 4/15/23 (c)

       235       233,531  

8.25%, 7/15/25

       118       124,343  

Cheniere Corpus Christi Holdings LLC (c):

      

7.00%, 6/30/24

       578       661,810  

5.88%, 3/31/25

       599       649,166  

5.13%, 6/30/27 (b)

       718       747,617  

Chesapeake Energy Corp.:

      

6.88%, 11/15/20 (c)

       224       225,680  

8.00%, 6/15/27 (b)

       106       106,000  

Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 7/20/23 (b)

       56       57,890  

Citgo Holding, Inc., 10.75%, 2/15/20 (b)

       170       178,925  

ConocoPhillips Co., 4.95%, 3/15/26 (c)

       700       788,469  

CONSOL Energy, Inc.:

      

5.88%, 4/15/22 (c)

       3,095       3,108,541  

8.00%, 4/01/23

       76       80,750  

Continental Resources, Inc.:

      

3.80%, 6/01/24 (c)

       549       507,825  

4.90%, 6/01/44

       161       137,655  

Covey Park Energy LLC/Covey Park Finance Corp., 7.50%, 5/15/25 (b)(c)

       230       235,750  

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.25%, 4/01/23

       35       35,656  

CrownRock LP/CrownRock Finance, Inc. (b):

      

7.13%, 4/15/21 (c)

       961       989,830  

7.75%, 2/15/23

       160       170,400  

DCP Midstream LLC (b):

      

4.75%, 9/30/21

       160       164,400  

6.45%, 11/03/36 (c)

       213       227,910  

6.75%, 9/15/37 (c)

       278       300,240  

DEA Finance SA, 7.50%, 10/15/22

     EUR       100       128,442  

Denbury Resources, Inc.:

      

9.00%, 5/15/21 (b)(c)

     USD       445       423,862  

5.50%, 5/01/22 (c)

       521       282,642  
Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Denbury Resources, Inc. (continued):

      

4.63%, 7/15/23

     USD       80     $ 40,800  

Diamondback Energy, Inc., 5.38%, 5/31/25 (c)

       242       250,470  

Eclipse Resources Corp., 8.88%, 7/15/23

       80       81,192  

Energy Transfer Equity LP (c):

      

5.88%, 1/15/24

       730       786,575  

5.50%, 6/01/27

       625       656,250  

Energy Transfer Partners LP (c):

      

6.13%, 12/15/45

       500       547,276  

5.30%, 4/15/47

       350       346,684  

Ensco Jersey Finance Ltd., 3.00%, 1/31/24 (b)(l)

       291       230,254  

Enterprise Products Operating LLC, 3.75%, 2/15/25 (c)

       1,250       1,299,494  

EP Energy LLC/Everest Acquisition Finance, Inc. (c):

      

9.38%, 5/01/20

       392       333,690  

8.00%, 11/29/24 (b)

       246       248,460  

Extraction Oil & Gas Holdings LLC/Extraction Finance Corp., 7.88%, 7/15/21 (b)(c)

       360       375,750  

Extraction Oil & Gas, Inc., 7.38%, 5/15/24 (b)(g)

       173       178,406  

GeoPark Latin America Ltd. Agencia en Chile, 7.50%, 2/11/20 (b)

       395       405,862  

GNL Quintero SA:

      

4.63%, 7/31/29 (b)(c)

       286       294,937  

4.63%, 7/31/29

       279       287,719  

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

       381       381,952  

Gulfport Energy Corp.:

      

6.63%, 5/01/23

       84       84,840  

6.38%, 5/15/25 (b)

       102       101,873  

Halcon Resources Corp., 6.75%, 2/15/25 (b)

       1,231       1,255,238  

Hess Corp., 4.30%, 4/01/27 (c)

       750       744,673  

Kinder Morgan Energy Partners LP, 4.25%, 9/01/24 (c)

       2,500       2,587,995  

Matador Resources Co., 6.88%, 4/15/23 (c)

       1,025       1,086,500  

MEG Energy Corp. (b):

      

7.00%, 3/31/24

       20       16,450  

6.50%, 1/15/25 (c)

       933       902,677  

Murphy Oil Corp.:

      

6.88%, 8/15/24 (c)

       288       306,000  

6.13%, 12/01/42

       80       74,350  

Nabors Industries, Inc., 0.75%, 1/15/24 (b)(l)

       472       371,405  
 

 

     
                
16    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Newfield Exploration Co., 5.63%, 7/01/24

     USD       132     $ 138,435  

NGPL PipeCo LLC (b):

      

7.12%, 12/15/17 (c)

       1,002       1,019,535  

4.38%, 8/15/22

       224       230,440  

4.88%, 8/15/27 (g)

       233       239,699  

7.77%, 12/15/37 (c)

       643       797,320  

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

       437       347,787  

Oasis Petroleum, Inc.:

      

6.50%, 11/01/21

       53       52,338  

6.88%, 3/15/22

       108       106,920  

6.88%, 1/15/23

       60       58,950  

2.63%, 9/15/23 (l)

       260       254,963  

ONEOK, Inc., 6.00%, 6/15/35

       40       44,732  

Paramount Resources Ltd., 6.88%, 6/30/23 (b)(c)

       1,235       1,302,925  

Parker Drilling Co., 7.50%, 8/01/20

       145       125,425  

Parsley Energy LLC/Parsley Finance Corp. (b):

      

6.25%, 6/01/24

       79       83,740  

5.38%, 1/15/25 (c)

       361       368,220  

5.25%, 8/15/25

       91       92,593  

PBF Holding Co. LLC/PBF Finance Corp., 7.25%, 6/15/25 (b)(c)

       252       246,960  

Pertamina Persero PT, 5.63%, 5/20/43 (b)(c)

       2,000       2,119,722  

Petrobras Argentina SA, 7.38%, 7/21/23 (b)(c)

       895       936,170  

Petrobras Global Finance BV (c):

      

5.75%, 1/20/20

       382       398,755  

4.88%, 3/17/20

       382       391,359  

5.38%, 1/27/21

       1,458       1,498,095  

8.38%, 5/23/21

       1,229       1,382,625  

6.13%, 1/17/22

       391       410,902  

7.38%, 1/17/27

       404       437,330  

Petroleos Mexicanos:

      

5.38%, 3/13/22 (b)

       47       50,079  

4.63%, 9/21/23 (c)

       309       318,115  

Precision Drilling Corp., 7.75%, 12/15/23

       90       90,225  

QEP Resources, Inc., 5.25%, 5/01/23

       40       38,888  

Range Resources Corp.:

      

5.88%, 7/01/22 (b)(c)

       437       446,286  

5.00%, 8/15/22 (b)(c)

       91       90,090  

5.00%, 3/15/23 (b)

       175       172,813  

4.88%, 5/15/25

       142       137,740  

Resolute Energy Corp., 8.50%, 5/01/20 (c)

       492       496,920  
Corporate Bonds           Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)  

Rockies Express Pipeline LLC (b)(c):

      

5.63%, 4/15/20

     USD       875     $ 925,592  

6.88%, 4/15/40

       521       574,077  

Rowan Cos., Inc.:

      

4.88%, 6/01/22

       85       80,538  

7.38%, 6/15/25 (c)

       844       795,470  

RSP Permian, Inc.:

      

6.63%, 10/01/22 (c)

       290       303,050  

5.25%, 1/15/25 (b)

       178       180,670  

Sabine Pass Liquefaction LLC, 5.75%, 5/15/24

       10       11,241  

Sanchez Energy Corp. (c):

      

7.75%, 6/15/21

       536       485,080  

6.13%, 1/15/23

       994       810,110  

SESI LLC:

      

6.38%, 5/01/19

       110       109,725  

7.13%, 12/15/21

       100       100,625  

Seven Generations Energy Ltd., 8.25%, 5/15/20 (b)(c)

       196       204,820  

Shell International Finance BV, 4.38%, 5/11/45 (c)

       450       477,210  

SM Energy Co.:

      

6.50%, 11/15/21

       175       174,125  

5.00%, 1/15/24

       5       4,650  

5.63%, 6/01/25 (c)

       653       610,555  

6.75%, 9/15/26

       105       104,475  

Southwestern Energy Co., 5.80%, 1/23/20 (c)

       1,316       1,358,770  

Suncor Energy, Inc., 6.50%, 6/15/38 (c)

       800       1,030,340  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (b):

      

5.50%, 9/15/24 (c)

       490       501,637  

5.13%, 2/01/25

       155       159,456  

5.38%, 2/01/27

       90       93,375  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.25%, 5/01/23

       16       16,500  

Tesoro Logistics LP/Tesoro Logistics Finance Corp.:

      

6.13%, 10/15/21

       44       45,595  

6.25%, 10/15/22

       80       85,000  

Tullow Oil PLC, 6.25%, 4/15/22 (b)

       200       184,500  

Weatherford International LLC, 6.80%, 6/15/37

       75       67,313  

Weatherford International Ltd.:

      

6.50%, 8/01/36 (c)

       272       239,360  

7.00%, 3/15/38 (c)

       197       178,039  

5.95%, 4/15/42

       256       215,040  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    17


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Oil, Gas & Consumable Fuels (continued)                   

Whiting Petroleum Corp.:

      

5.00%, 3/15/19 (c)

     USD       1,028     $ 1,011,295  

5.75%, 3/15/21

       32       30,360  

Williams Cos., Inc., 5.75%, 6/24/44 (c)

       1,137       1,182,480  

Williams Partners LP, 4.50%, 11/15/23 (c)

       1,750       1,870,633  

WPX Energy, Inc.:

      

7.50%, 8/01/20

       80       85,600  

6.00%, 1/15/22

       159       163,373  

8.25%, 8/01/23

       109       119,900  

5.25%, 9/15/24 (c)

       435       428,475  

YPF SA (b):

      

8.88%, 12/19/18 (c)

       1,495       1,602,191  

8.50%, 3/23/21

       193       214,230  

6.95%, 7/21/27

       983       993,813  
      

 

 

 
                       60,117,787  
Paper & Forest Products — 0.0%                   

Mercer International, Inc., 6.50%, 2/01/24 (b)

       134       140,365  

Pfleiderer GmbH, 7.88%, 8/01/19

     EUR       168       202,794  
      

 

 

 
                       343,159  
Pharmaceuticals — 1.8%                   

AbbVie, Inc. (c):

      

3.20%, 5/14/26

     USD       775       774,653  

4.45%, 5/14/46

       1,000       1,041,774  

Actavis Funding SCS (c):

      

3.80%, 3/15/25

       1,000       1,039,530  

4.75%, 3/15/45

       500       544,794  

Endo Finance LLC/Endo Finco, Inc. (b)(c):

      

5.38%, 1/15/23

       620       530,100  

5.88%, 10/15/24

       205       212,175  

Forest Laboratories LLC, 5.00%, 12/15/21 (b)(c)

       718       787,493  

inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.50%, 10/01/24 (b)(c)

       462       505,890  

Jaguar Holding Co. II/Pharmaceutical Product Development LLC, 6.38%, 8/01/23 (b)(c)

       1,166       1,238,875  

Mylan NV, 3.95%, 6/15/26 (c)

       650       662,973  

NBTY, Inc., 7.63%, 5/15/21 (b)(c)

       555       598,013  

Shire Acquisitions Investments Ireland DAC, 3.20%, 9/23/26 (c)

       300       296,249  

Synlab Bondco PLC, 6.25%, 7/01/22

     EUR       145       185,417  
Corporate Bonds    Par
(000)
    Value  
Pharmaceuticals (continued)                   

Synlab Unsecured Bondco PLC, 8.25%, 7/01/23

     EUR       100     $ 131,778  

Tennessee Merger Sub, Inc., 6.38%, 2/01/25 (b)(c)

     USD       632       619,360  

Teva Pharmaceutical Finance Netherlands III BV, 3.15%, 10/01/26 (c)

       500       478,448  

Valeant Pharmaceuticals International, Inc. (b):

      

6.75%, 8/15/18

       442       442,553  

6.75%, 8/15/21 (c)

       1,276       1,205,820  

5.63%, 12/01/21 (c)

       899       813,595  

6.50%, 3/15/22

       360       379,800  

5.88%, 5/15/23

       356       306,160  

7.00%, 3/15/24

       566       602,790  

6.13%, 4/15/25

       212       180,465  
      

 

 

 
                       13,578,705  
Producer Durables: Miscellaneous — 0.1%                   

CA, Inc., 3.60%, 8/15/22 (c)

             660       677,310  
Real Estate Investment Trusts (REITs) — 0.5%                   

American Tower Corp., 3.38%, 10/15/26 (c)

       250       247,118  

Hilton Domestic Operating Co., Inc., 4.25%, 9/01/24 (b)(c)

       204       206,040  

iStar, Inc., 6.00%, 4/01/22

       143       148,005  

MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (c):

      

5.63%, 5/01/24

       1,232       1,339,800  

4.50%, 9/01/26

       533       536,998  

NH Hotel Group SA, 3.75%, 10/01/23

     EUR       129       161,506  

Starwood Property Trust, Inc., 5.00%, 12/15/21 (c)

     USD       278       289,815  

Trust F/1401, 6.95%, 1/30/44

       376       401,850  

TVL Finance PLC, (3 mo. LIBOR GBP + 4.875%), 5.20%, 5/15/23 (a)

     GBP       100       133,135  
      

 

 

 
                       3,464,267  
Real Estate Management & Development — 1.1%                   

Aroundtown Property Holdings PLC, 1.50%, 1/18/21 (l)

     EUR       100       127,708  

DEMIRE Deutsche Mittelstand Real Estate AG, 2.88%, 7/15/22

       100       119,725  

Howard Hughes Corp., 5.38%, 3/15/25 (b)

     USD       198       205,673  

Lai Sun International Finance 2012 Ltd., 5.70%, 1/18/18

       2,000       2,014,984  
 

 

     
                
18    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Real Estate Management & Development (continued)  

Northwest Florida Timber Finance LLC,
4.75%, 3/04/29 (b)(c)

     USD       4,360     $ 4,189,180  

Realogy Group LLC/Realogy Co-Issuer Corp. (b)(c):

      

4.50%, 4/15/19

       205       211,662  

5.25%, 12/01/21

       384       402,240  

4.88%, 6/01/23

       995       1,004,950  
      

 

 

 
                       8,276,122  
Road & Rail — 0.9%                   

Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (b):

      

5.13%, 6/01/22

       462       460,845  

5.25%, 3/15/25

       29       28,239  

Avis Budget Finance PLC, 4.13%, 11/15/24

     EUR       100       118,131  

Burlington Northern Santa Fe LLC, 4.38%, 9/01/42 (c)

     USD       500       543,685  

Herc Rentals, Inc. (b):

      

7.50%, 6/01/22

       125       135,313  

7.75%, 6/01/24 (c)

       255       276,675  

Hertz Corp. (b):

      

7.63%, 6/01/22 (c)

       323       319,770  

5.50%, 10/15/24

       84       68,460  

Hertz Holdings Netherlands BV, 4.13%, 10/15/21

     EUR       100       115,039  

Lima Metro Line 2 Finance Ltd., 5.88%, 7/05/34 (b)(c)

     USD       4,000       4,330,000  

RAC Bond Co. PLC, 5.00%, 11/06/22

     GBP       100       131,729  

Union Pacific Corp., 4.05%, 11/15/45 (c)

     USD       500       520,338  

United Rentals North America, Inc., 6.13%, 6/15/23

       63       65,914  
      

 

 

 
                       7,114,138  
Semiconductors & Semiconductor Equipment — 1.0%  

Advanced Micro Devices, Inc., 7.50%, 8/15/22

       89       100,125  

Analog Devices, Inc., 3.50%, 12/05/26 (c)

       320       326,273  

Broadcom Corp./Broadcom Cayman Finance Ltd.,
3.88%, 1/15/27 (b)(c)

       2,600       2,668,575  

Microchip Technology, Inc. (l):

      

1.63%, 2/15/25

       83       129,688  

2.13%, 12/15/37

       75       253,734  

Micron Technology, Inc.:

      

5.25%, 8/01/23 (b)(c)

       395       412,775  

5.50%, 2/01/25

       11       11,670  

Series G, 3.00%, 11/15/43 (l)

       860       925,037  

Microsemi Corp., 9.13%, 4/15/23 (b)

       22       25,300  
Corporate Bonds    Par
(000)
    Value  
Semiconductors & Semiconductor Equipment (continued)  

NXP BV/NXP Funding LLC (b)(c):

      

4.13%, 6/15/20

     USD       760     $ 794,200  

4.13%, 6/01/21

       203       212,896  

4.63%, 6/15/22

       410       440,238  

3.88%, 9/01/22

       200       208,000  

4.63%, 6/01/23

       224       241,960  

QUALCOMM, Inc., 4.65%, 5/20/35 (c)

       400       440,652  

Sensata Technologies BV, 5.00%, 10/01/25 (b)

       15       15,788  

Sensata Technologies UK Financing Co. PLC,
6.25%, 2/15/26 (b)(c)

       540       588,600  
      

 

 

 
                       7,795,511  
Software — 2.0%                   

ACI Worldwide, Inc., 6.38%, 8/15/20 (b)(c)

       580       592,325  

BMC Software Finance, Inc., 8.13%, 7/15/21 (b)(c)

       2,079       2,151,765  

Genesys Telecommunications Laboratories, Inc.
/Greeneden Lux 3 Sarl/Greeneden US Ho,
10.00%, 11/30/24 (b)(c)

       210       238,350  

Inception Merger Sub, Inc./Rackspace Hosting, Inc.,
8.63%, 11/15/24 (b)(c)

       564       609,120  

Infinity Acquisition LLC/Infinity Acquisition Finance Corp.,
7.25%, 8/01/22 (b)

       51       48,450  

Infor US, Inc., 6.50%, 5/15/22 (c)

       1,857       1,933,601  

Informatica LLC, 7.13%, 7/15/23 (b)(c)

       376       383,050  

JDA Escrow LLC/JDA Bond Finance, Inc.,
7.38%, 10/15/24 (b)(c)

       374       390,830  

Microsoft Corp., 3.70%, 8/08/46 (c)

       1,750       1,728,611  

Nuance Communications, Inc.:

      

5.38%, 8/15/20 (b)(c)

       47       47,705  

6.00%, 7/01/24 (c)

       220       235,125  

5.63%, 12/15/26 (b)

       153       162,945  

Oracle Corp., 4.00%, 7/15/46 (c)

       1,500       1,523,381  

PTC, Inc., 6.00%, 5/15/24

       119       128,074  

Solera LLC/Solera Finance, Inc.,
10.50%, 3/01/24 (b)(c)

       1,555       1,788,250  

SS&C Technologies Holdings, Inc., 5.88%, 7/15/23 (c)

       584       620,500  

TIBCO Software, Inc., 11.38%, 12/01/21 (b)(c)

       999       1,097,651  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    19


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Software (continued)                   

Veritas US, Inc./Veritas Bermuda Ltd.:

      

7.50%, 2/01/23 (b)(c)

     USD       415     $ 449,238  

7.50%, 2/01/23

     EUR       100       127,850  

10.50%, 2/01/24 (b)(c)

     USD       801       887,108  
      

 

 

 
                       15,511,849  
Specialty Retail — 0.2%                   

Asbury Automotive Group, Inc., 6.00%, 12/15/24 (c)

       335       342,537  

JC Penney Corp., Inc.:

      

8.13%, 10/01/19

       50       54,563  

6.38%, 10/15/36

       29       21,460  

7.40%, 4/01/37

       87       69,165  

L Brands, Inc., 6.88%, 11/01/35 (c)

       424       407,040  

Lowe’s Cos., Inc., 4.65%, 4/15/42 (c)

       400       439,708  

Penske Automotive Group, Inc., 5.50%, 5/15/26

       32       32,080  

PetSmart, Inc., 5.88%, 6/01/25 (b)

       158       151,680  
      

 

 

 
                       1,518,233  
Technology Hardware, Storage & Peripherals — 0.5%  

Apple, Inc., 4.65%, 2/23/46 (c)

       1,500       1,685,544  

Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b):

      

4.42%, 6/15/21

       25       26,385  

7.13%, 6/15/24 (c)

       774       861,306  

6.02%, 6/15/26

       170       189,351  

8.35%, 7/15/46

       100       130,604  

Riverbed Technology, Inc., 8.88%, 3/01/23 (b)

       180       178,650  

Western Digital Corp. (c):

      

7.38%, 4/01/23 (b)

       515       565,212  

10.50%, 4/01/24

       287       339,736  
      

 

 

 
                       3,976,788  
Textiles, Apparel & Luxury Goods — 0.0%                   

BiSoho SAS, 5.88%, 5/01/23

     EUR       90       115,610  

Hanesbrands, Inc., 4.63%, 5/15/24 (b)

     USD       59       60,254  

Springs Industries, Inc., 6.25%, 6/01/21

       59       60,622  
      

 

 

 
                       236,486  
Thrifts & Mortgage Finance — 0.1%                   

Jerrold Finco PLC, 6.25%, 9/15/21

     GBP       100       136,888  

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.25%, 3/15/22 (b)(c)

     USD       422       435,187  
Corporate Bonds    Par
(000)
    Value  
Thrifts & Mortgage Finance (continued)                   

MGIC Investment Corp., 5.75%, 8/15/23

     USD       101     $ 110,090  
      

 

 

 
                       682,165  
Tobacco — 0.3%                   

Altria Group, Inc., 4.50%, 5/02/43 (c)

       750       791,560  

Philip Morris International, Inc., 4.38%, 11/15/41 (c)

       900       930,329  

Reynolds American, Inc., 5.85%, 8/15/45 (c)

       715       868,749  
      

 

 

 
                       2,590,638  
Trading Companies & Distributors — 0.3%                   

Doric Nimrod Air Alpha Ltd. Pass-Through Trust (b):

      

Series 2012-1, Class B, 6.50%, 5/30/21

       292       302,491  

Series 2013-1, Class A, 5.25%, 5/30/25 (c)

       2,035       2,126,778  
      

 

 

 
                       2,429,269  
Transportation Infrastructure — 0.4%                   

CEVA Group PLC, 7.00%, 3/01/21 (b)(c)

       510       488,325  

CMA CGM SA, 7.75%, 1/15/21

     EUR       100       124,299  

Empresa de Transporte de Pasajeros Metro SA,
5.00%, 1/25/47 (b)(c)

     USD       264       286,445  

Penske Truck Leasing Co. LP/PTL Finance Corp.,
3.40%, 11/15/26 (b)(c)

       390       387,228  

Rumo Luxembourg Sarl, 7.38%, 2/09/24 (b)(c)

       1,042       1,083,576  

Swissport Investments SA, 9.75%, 12/15/22

     EUR       100       129,445  

Transurban Finance Co. Property Ltd.,
4.13%, 2/02/26 (b)(c)

     USD       520       541,503  

WFS Global Holding SAS, 9.50%, 7/15/22

     EUR       100       128,442  
      

 

 

 
                       3,169,263  
Utilities — 0.6%                   

AES Panama SRL, 6.00%, 6/25/22 (b)(c)

     USD       291       305,914  

ContourGlobal Power Holdings SA, 5.13%, 6/15/21

     EUR       100       124,187  

Emera US Finance LP, 4.75%, 6/15/46 (c)

     USD       200       214,227  

Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (b)(c)

       967       1,051,226  
 

 

     
                
20    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Corporate Bonds    Par
(000)
    Value  
Utilities (continued)                   

Inkia Energy Ltd., 8.38%, 4/04/21 (b)

     USD       377     $ 387,744  

Stoneway Capital Corp., 10.00%, 3/01/27 (b)(c)

       2,011       2,111,550  
      

 

 

 
                       4,194,848  
Wireless Telecommunication Services — 2.6%                   

Communications Sales & Leasing, Inc./CSL Capital LLC:

      

8.25%, 10/15/23 (c)

       786       809,580  

7.13%, 12/15/24 (b)

       84       82,320  

CyrusOne LP/CyrusOne Finance Corp. (b):

      

5.00%, 3/15/24 (c)

       375       390,000  

5.38%, 3/15/27

       25       26,406  

Digicel Group Ltd. (b):

      

8.25%, 9/30/20

       295       282,831  

7.13%, 4/01/22 (c)

       294       261,072  

Digicel Ltd., 6.00%, 4/15/21 (b)(c)

       5,000       4,860,000  

GEO Group, Inc.:

      

5.13%, 4/01/23 (c)

       553       558,530  

5.88%, 10/15/24

       57       59,209  

6.00%, 4/15/26

       71       73,921  

Radiate Holdco LLC/Radiate Finance, Inc.,
6.63%, 2/15/25 (b)(c)

       428       428,535  

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

       309       321,360  

Softbank Corp., 4.50%, 4/15/20 (b)(c)

       1,500       1,546,875  

Sprint Capital Corp.:

      

6.90%, 5/01/19

       155       164,881  

6.88%, 11/15/28 (c)

       1,084       1,181,560  

8.75%, 3/15/32 (c)

       895       1,109,800  

Sprint Communications, Inc. (b)(c):

      

9.00%, 11/15/18

       921       996,982  

7.00%, 3/01/20

       541       591,043  

Sprint Corp.:

      

7.25%, 9/15/21

       115       127,650  

7.88%, 9/15/23 (c)

       1,526       1,732,010  

7.13%, 6/15/24 (c)

       1,684       1,846,085  

7.63%, 2/15/25

       115       129,663  

T-Mobile USA, Inc.:

      

4.00%, 4/15/22 (c)

       234       243,506  

6.00%, 3/01/23

       40       42,300  

6.84%, 4/28/23 (c)

       610       647,362  

6.50%, 1/15/24 (c)

       440       473,000  

5.13%, 4/15/25 (c)

       238       252,280  

5.38%, 4/15/27

       143       154,440  

Trilogy International Partners LLC/Trilogy International Finance, Inc., 8.88%, 5/01/22 (b)

       124       130,200  
Corporate Bonds    Par
(000)
    Value  
Wireless Telecommunication Services (continued)  

Uniti Group, Inc./Uniti Fiber Holdings, Inc./CSL Capital LLC, 7.13%, 12/15/24 (b)

     USD       179     $ 175,420  

Wind Acquisition Finance SA, 4.00%, 7/15/20

     EUR       100       119,860  

Xplornet Communications, Inc., (9.63% Cash or 10.63% PIK), 9.63%, 6/01/22 (b)(h)

     USD       104       107,900  
      

 

 

 
                       19,926,581  
Total Corporate Bonds – 65.3%                      492,910,686  
      
   
Floating Rate Loan Interests (m)                      
Aerospace & Defense — 0.0%                   

Sequa Mezzanine Holdings L.L.C., 2nd Lien Term Loan, (3 mo. LIBOR US + 9.00%),
10.31%, 4/28/22 (d)

             73       74,460  
Air Freight & Logistics — 0.0%                   

CEVA Group PLC, Letter of Credit, (3 mo. LIBOR US + 5.30361%), 6.50%, 3/19/21

       29       26,775  

CEVA Intercompany BV, Dutch Term Loan, (3 mo. LIBOR US + 5.5%), 6.81%, 3/19/21

       30       27,842  

CEVA Logistics Canada ULC, Canadian Term Loan, (3 mo. LIBOR US + 5.5%), 6.81%, 3/19/21

       4       4,206  

CEVA Logistics US Holdings, Inc., Term Loan, (3 mo. LIBOR US + 5.5%), 6.81%, 3/19/21

       43       39,651  
      

 

 

 
                       98,474  
Auto Components — 0.0%                   

USI, Inc., 2017 Term Loan B, (3 mo. LIBOR US + 3%), 4.18%, 5/16/24

             104       103,676  
Chemicals — 0.0%                   

Alpha 3 BV, 2017 Term Loan B1, (3 mo. LIBOR US + 3%), 4.30%, 1/31/24

       142       143,243  

Element Materials Technology Group US Holdings, Inc., 2017 USD Term Loan B, (3 mo. LIBOR US + 3.5%), 4.71%, 6/01/24

     USD       61       61,817  
      

 

 

 
                       205,060  
Commercial Services & Supplies — 0.1%                   

Asurion LLC, 2017 2nd Lien Term Loan, (3 mo. LIBOR + 6.000%), 6.00%, 7/11/25

             274       280,765  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    21


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Floating Rate Loan Interests (m)    Par
(000)
    Value  

Garda World Security Corporation, 2017 Term Loan, (PRIME + 3%), 7.25%, 5/24/24

     USD       221     $ 223,898  
      

 

 

 
                       504,663  
Construction & Engineering — 0.2%                   

Brand Energy & Infrastructure Services, Inc., 2017 Term Loan, (3 mo. LIBOR US + 4.25%), 5.56%, 6/21/24

             1,305       1,314,788  
Diversified Consumer Services — 0.0%                   

Ascend Learning, LLC, 2017 Term Loan B, (3 mo. LIBOR US + 3.25%), 4.53%, 7/05/22

       72       72,562  

Laureate Education, Inc., 2017 Term Loan B, (1 mo. LIBOR US + 4.5%), 5.73%, 4/26/24

       145       146,310  
      

 

 

 
                       218,872  
Diversified Financial Services — 10.1%                   

Aviron Capital LLC, Term Loan, (2 mo. LIBOR US + 15%), 15.00%, 10/31/17 (d)

       11,682       11,681,987  

Aviron Capital, LLC, 2017 Term Loan, (3 mo. LIBOR US + 5%), 5.00%, 7/13/20

       63,318       63,318,013  

Diamond (BC) B.V., USD Term Loan, 3.73%, 7/12/24

       134       134,111  

Lone Star LSPT Future Funding, Mezzanine Term Loan, (1 mo. LIBOR US + 4.35426%), 6.24%, 9/09/20 (d)

       814       810,101  
      

 

 

 
                       75,944,212  
Diversified Telecommunication Services — 0.1%                   

CenturyLink, Inc., 2017 Term Loan B, (3 mo. LIBOR + 2.750%), 2.75%, 1/31/25

             909       896,219  
Electrical Equipment — 0.1%                   

Gates Global LLC, 2017 Term Loan B, (3 mo. LIBOR US + 3.25%), 4.55%, 4/01/24

             330       332,321  
Energy Equipment & Services — 0.0%                   

Weatherford International Ltd., Term Loan, (1 mo. LIBOR US + 2.3%), 4.03%, 7/13/20

     USD       281     $ 271,694  
Food Products — 0.0%                   

Chobani LLC, 1st Lien Term Loan, (1 mo. LIBOR US + 4.25%), 5.48%, 10/07/23

             71       71,265  
Floating Rate Loan Interests (m)    Par
(000)
    Value  
Health Care Equipment & Supplies — 0.2%                   

DJO Finance LLC, 2015 Term Loan, (1 mo. LIBOR US + 3.25%), 4.48%, 6/08/20

     USD       626     $ 623,909  

Immucor, Inc., Extended Term Loan B, (3 mo. LIBOR US + 5%), 6.24%, 6/15/21

       717       726,258  

Ortho-Clinical Diagnostics, Inc., Term Loan B, (3 mo. LIBOR US + 3.75%), 5.05%, 6/30/21

       40       39,931  
      

 

 

 
                       1,390,098  
Health Care Providers & Services — 0.1%                   

Iasis Healthcare LLC, Term Loan B3, (3 mo. LIBOR US + 4%), 5.30%, 2/16/21

       79       79,197  

inVentiv Health, Inc., 2016 Term Loan B, (3 mo. LIBOR US + 3.75%), 4.95%, 11/09/23

       142       142,561  

Surgery Center Holdings, Inc., 2017 Term Loan B, 4.44%, 6/06/24

       159       160,391  

Team Health Holdings, Inc., 1st Lien Term Loan, (1 mo. LIBOR US + 2.75%), 3.98%, 2/06/24

       56       55,633  
      

 

 

 
                       437,782  
Hotels, Restaurants & Leisure — 2.9%                   

Caesars Entertainment Resort Properties LLC, Term Loan B, (1 mo. LIBOR US + 3.5%), 4.73%, 10/11/20

       3,297       3,326,142  

Hilton Ft. Lauderdale, Mezzanine Term Loan 5, (1 mo. LIBOR US + 6%), 7.22%, 8/04/19 (d)

       6,500       6,321,250  

Hilton Los Cabos, B-Note, (1 mo. LIBOR US + 8%), 9.41%, 9/18/18 (d)

       5,375       5,294,375  

Hilton Orlando, Mezzanine A3, (1 mo. LIBOR US + 5.5%), 7.41%, 7/09/19 (d)

       7,250       7,250,000  
      

 

 

 
                       22,191,767  
Industrial Conglomerates — 0.1%                   

Cortes NP Acquisition Corp., 2017 Term Loan B, (1 mo. LIBOR US + 4%), 5.23%, 11/30/23

       352       355,509  

Sequa Corp., 1st Lien Term Loan, (2 mo. LIBOR US + 5.5%), 6.81%, 11/28/21

       203       204,523  
      

 

 

 
                       560,032  
 

 

     
                
22    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Floating Rate Loan Interests (m)    Par
(000)
    Value  
Insurance — 0.1%                   

Alliant Holdings I, Inc., 2015 Term Loan B, (3 mo. LIBOR US + 3.25%), 4.56%, 8/12/22

     USD       135     $ 135,649  

Sedgwick Claims Management Services, Inc., 1st Lien Term Loan, (1 mo. LIBOR US + 2.75%), 3.98%, 3/01/21

       469       469,243  
      

 

 

 
                       604,892  
IT Services — 0.1%                   

Peak 10, Inc.:

      

2017 1st Lien Term Loan, (3 mo. LIBOR + 3.500%), 4.81%, 7/18/24

       178       178,668  

2017 2nd Lien Term Loan, (3 mo. LIBOR + 7.250%), 8.56%, 7/18/25

       75       76,125  
      

 

 

 
                       254,793  
Life Sciences Tools & Services — 0.0%                   

Albany Molecular Research, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR + 3.250%), 4.49%, 7/19/24

       178       179,335  

2017 2nd Lien Term Loan, (1 mo. LIBOR + 7.000%), 8.24%, 7/19/25 (d)

       30       30,525  
      

 

 

 
                       209,860  
Machinery — 0.0%                   

Hayward Industries, Inc., Term Loan B, (3 mo. LIBOR + 4.739%), 4.74%, 7/18/24

       66       66,495  

Silver II US Holdings LLC, Term Loan, (1 mo. LIBOR US + 3%), 4.23%, 12/13/19

       172       172,309  
      

 

 

 
                       238,804  
Media — 0.4%                   

CSC Holdings LLC, 2017 1st Lien Term Loan, (1 mo. LIBOR US + 2.25%), 3.48%, 7/17/25

       65       64,867  

iHeartCommunications, Inc., Term Loan D, (1 mo. LIBOR US + 6.75%), 7.98%, 1/30/19

       1,169       943,836  

Intelsat Jackson Holdings SA, Term Loan B2, (3 mo. LIBOR US + 2.75%), 4.00%, 6/30/19

       1,579       1,573,810  
      

 

 

 
                       2,582,513  
Multiline Retail — 0.0%                   

Neiman Marcus Group, Inc., 2020 Term Loan, (1 mo. LIBOR US + 3.25%), 4.47%, 10/25/20

             328       241,875  
Floating Rate Loan Interests (m)    Par
(000)
    Value  
Oil, Gas & Consumable Fuels — 0.4%                   

California Resources Corp.:

      

Second Out Term Loan, (1 mo. LIBOR US + 10.375%), 11.60%, 12/31/21

       98     $ 105,545  

Term Loan A, (1 mo. LIBOR US + 3%), 5.23%, 10/01/19 (d)

     USD       513       487,804  

Chesapeake Energy Corp., Term Loan, (3 mo. LIBOR US + 7.5%), 8.69%, 8/23/21

       2,076       2,226,649  
      

 

 

 
                       2,819,998  
Professional Services — 0.0%                   

Information Resources, Inc., 1st Lien Term Loan, (1 mo. LIBOR US + 4.25%), 5.48%, 1/18/24

             86       86,392  
Software — 0.5%                   

Almonde, Inc., USD 2nd Lien Term Loan, (3 mo. LIBOR US + 7.25%), 8.46%, 6/13/25

       88       90,291  

BMC Software Finance, Inc., 2017 USD Term Loan, (1 mo. LIBOR US + 4%), 5.23%, 9/10/22

       460       462,752  

CCC Information Services, Inc.:

      

2017 1st Lien Term Loan, (1 mo. LIBOR US + 3%), 4.24%, 4/27/24

       133       133,589  

2017 2nd Lien Term Loan, (1 mo. LIBOR US + 6.75%), 7.98%, 4/27/25

       40       41,125  

Digicel International Finance Limited, 2017 Term Loan B, (3 mo. LIBOR US + 3.75%), 4.94%, 5/28/24

       493       498,793  

Kronos, Inc., 2nd Lien Term Loan, (3 mo. LIBOR US + 8.25%), 9.42%, 11/01/24

       624       646,364  

Misys Europe SA, 1st Lien Term Loan, (3 mo. LIBOR US + 3.5%), 4.56%, 6/13/24

       398       401,096  

Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, (3 mo. LIBOR US + 3.5%), 5.73%, 4/26/24

       195       194,573  

Tempo Acquisition LLC, Term Loan, (1 mo. LIBOR US + 3%), 4.23%, 5/01/24

       270       272,082  

Veritas Bermuda Ltd., Repriced Term Loan B, (3 mo. LIBOR US + 4.5%), 5.05%, 1/27/23

       1,163       1,175,879  
      

 

 

 
                       3,916,544  
Textiles, Apparel & Luxury Goods — 0.0%                   

Ascend Performance Materials Operations LLC, Term Loan B, (3 mo. LIBOR US + 5.5%), 6.80%, 8/12/22 (d)

             310       312,959  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    23


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Floating Rate Loan Interests (m)    Par
(000)
    Value  
Trading Companies & Distributors — 0.0%                   

HD Supply Waterworks Ltd., 2017 Term Loan B, (6 mo. LIBOR + 3.000%), 4.46%, 8/01/24

     USD       153     $ 153,909  
Total Floating Rate Loan Interests - 15.4%                      116,037,922  
      
                          
Foreign Agency Obligations                      

Argentina Bonar Bonds, 9.00%, 11/29/18

       144       152,793  

Argentina Treasury Bond, 2.50%, 7/22/21

     ARS       1,975       132,295  

Argentine Bonos del Tesoro:

      

22.75%, 3/05/18

       13,759       764,142  

21.20%, 9/19/18

       18,297       1,033,498  

2.25%, 4/28/20

       2,969       188,874  

Argentine Republic Government International Bond:

      

6.25%, 4/22/19 (c)

     USD       6,334       6,679,203  

5.63%, 1/26/22 (c)

       5,744       5,887,600  

7.50%, 4/22/26 (c)

       3,437       3,699,930  

7.82%, 12/31/33

     EUR       473       585,774  

7.63%, 4/22/46 (c)

     USD       2,767       2,844,476  

7.13%, 6/28/17 (b)(c)

       380       345,040  

Banque Centrale de Tunisie International Bond, 4.50%, 6/22/20

     EUR       644       794,006  

Colombia Government International Bond:

      

11.75%, 2/25/20

     USD       43       53,019  

4.38%, 7/12/21 (c)

       2,840       3,028,860  

Cyprus Government International Bond, 4.63%, 2/03/20 (b)

     EUR       2,950       3,843,388  

Egypt Government International Bond:

      

5.75%, 4/29/20

     USD       2,135       2,213,248  

8.50%, 1/31/47

       302       328,194  

8.50%, 1/31/47 (b)

       626       680,297  

Iceland Government International Bond, 5.88%, 5/11/22

       3,415       3,910,312  

Indonesia Government International Bond:

      

5.88%, 3/13/20

       1,648       1,800,547  

7.00%, 5/15/27

     IDR       4,331,000       326,190  

Indonesia Treasury Bond:

      

8.38%, 3/15/24

       1,287,000       104,330  

8.38%, 9/15/26

       11,141,000       904,307  

7.50%, 8/15/32

       10,798,000       818,927  
Foreign Agency Obligations    Par
(000)
    Value  

Indonesia Treasury Bond (continued):

      

8.38%, 3/15/34

     IDR       10,070,000     $ 813,218  

8.25%, 5/15/36

       12,322,000       980,748  

Lebanon Government International Bond, 6.85%, 3/23/27

     USD       771       776,345  

Mexican Udibonos, 3.50%, 12/14/17

     MXN       1,699       95,997  

Peru Government Bond, 6.15%, 8/12/32 (b)

     PEN       6,830       2,157,880  

Portugal Government International Bond, 5.13%, 10/15/24 (b)

     USD       3,680       3,769,424  

Republic of Argentina, 6.88%, 1/26/27

       202       207,656  

Republic of South Africa Government Bond, 6.25%, 3/31/36

     ZAR       37,580       2,029,370  

Republic of South Africa Government International Bond:

      

5.50%, 3/09/20

     USD       1,531       1,632,392  

5.88%, 5/30/22

       329       361,046  

Russian Federal Bond - OFZ:

      

7.50%, 8/18/21

     RUB       214,651       3,541,257  

7.40%, 12/07/22

       28,857       472,745  

7.75%, 9/16/26

       55,404       927,551  

8.15%, 2/03/27

       150,481       2,594,595  

7.05%, 1/19/28

       94,286       1,499,698  

Slovenia Government International Bond, 5.85%, 5/10/23 (b)

     USD       766       894,922  

Sri Lanka Government International Bond, 5.88%, 7/25/22

       3,000       3,143,067  

Turkey Government Bond:

      

10.50%, 1/15/20

     TRY       6,361       1,791,892  

9.20%, 9/22/21

       5,500       1,490,900  

11.00%, 3/02/22

       11,292       3,258,280  

8.80%, 9/27/23

       2,830       747,837  

Turkey Government International Bond:

      

7.00%, 6/05/20 (c)

     USD       3,762       4,131,993  

7.38%, 2/05/25

       427       498,663  

6.00%, 3/25/27

             374       402,699  
Total Foreign Agency Obligations - 10.5%                      79,339,425  
 

 

     
                
24    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Non-Agency Mortgage-Backed Securities    Par
(000)
    Value  
Collateralized Mortgage Obligations — 17.5%  

American Home Mortgage Assets Trust, Series 2006-5, Class A1, (12 mo. MTA + 0.920%), 1.70%, 11/25/46 (a)

     USD       6,007     $ 3,174,401  

CHL Mortgage Pass-Through Trust:

      

Series 2006-3, Class 1A1, (1 mo. LIBOR US + 0.240%), 1.47%, 3/25/36 (a)

       11,609       10,650,003  

Series 2007-J2, Class 2A1, (1 mo. LIBOR US + 0.650%), 1.88%, 7/25/37 (a)

       4,704       2,591,987  

Series 2007-J2, Class 2A8, 6.00%, 7/25/37

       2,598       2,001,522  

Citigroup Mortgage Loan Trust, Series 2006-AR7, Class 2A3A, 3.35%, 11/25/36 (n)

       6,745       6,173,687  

Countrywide Alternative Loan Trust:

      

Series 2005-61, Class 2A1, (1 mo. LIBOR US + 0.280%), 1.51%, 12/25/35 (a)

       3,441       3,110,591  

Series 2005-9CB, Class 1A3, (1 mo. LIBOR US + 0.450%), 1.68%, 5/25/35 (a)

       3,821       3,289,772  

Series 2006-40T1, Class 2A5, (1 mo. LIBOR US + 0.400%), 1.63%, 12/25/36 (a)

       2,711       811,304  

Series 2006-7CB, Class 2A1, 6.50%, 5/25/36

       3,085       2,190,274  

Series 2006-J7, Class 2A1, (11th District Cost of Funds + 1.500%), 2.15%, 11/20/46 (a)

       6,939       4,360,237  

Series 2006-J8, Class A5, 6.00%, 2/25/37

       2,073       1,451,548  

Series 2006-OA14, Class 3A1, (12 mo. MTA + 0.850%), 1.63%, 11/25/46 (a)

       10,234       10,291,152  

Series 2006-OA16, Class A2, (1 mo. LIBOR US + 0.190%), 1.42%, 10/25/46 (a)

       6,986       6,404,054  

Series 2006-OA18, Class A1, (1 mo. LIBOR US + 0.120%), 1.35%, 12/25/46 (a)

       4,225       3,807,944  

Series 2006-OA22, Class A1, (1 mo. LIBOR US + 0.160%), 1.39%, 2/25/47 (a)

       3,988       3,716,637  
Non-Agency Mortgage-Backed Securities    Par
(000)
    Value  
Collateralized Mortgage Obligations (continued)  

Countrywide Alternative Loan Trust (continued):

 

 

Series 2006-OA6, Class 1A1A, (1 mo. LIBOR US + 0.210%), 1.44%, 7/25/46 (a)

     USD       7,941     $ 6,511,011  

Series 2006-OA8, Class 1A1, (1 mo. LIBOR US + 0.190%), 1.42%, 7/25/46 (a)

       3,096       2,738,260  

Series 2007-12T1, Class A22, 5.75%, 6/25/37 (c)

       5,723       4,744,525  

Series 2007-12T1, Class A5, 6.00%, 6/25/37

       2,777       2,362,783  

Series 2007-22, Class 2A16, 6.50%, 9/25/37

       10,072       7,123,480  

Series 2007-23CB, Class A1, 6.00%, 9/25/37

       7,976       6,690,822  

Series 2007-4CB, Class 1A3, (1 mo. LIBOR US + 0.350%), 1.58%, 4/25/37 (a)

       4,793       3,742,231  

Series 2007-OA2, Class 1A1, (12 mo. MTA + 0.840%), 1.62%, 3/25/47 (a)

       5,053       3,912,180  

Countrywide Home Loan Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1, (1 mo. LIBOR US + 0.200%), 1.43%, 4/25/46 (a)

       9,549       8,300,073  

Morgan Stanley Re-REMIC Trust, Series 2010-R5, Class 7B, 3.13%, 5/26/37 (b)(d)(e)

       13,987       11,329,456  

Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A2, 6.16%, 5/25/36 (n)

       8,642       3,938,120  

Residential Asset Securitization Trust, Series 2006-A8, Class 2A5, (1 mo. LIBOR US + 0.600%), 1.83%, 8/25/36 (a)(g)

       7,186       2,391,432  

WaMu Mortgage Pass-Through Certificates, Series 2007-OA4, Class 1A, (12 mo. MTA + 0.770%), 1.55%, 5/25/47 (a)

       5,006       4,529,115  
      

 

 

 
                       132,338,601  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    25


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Non-Agency Mortgage-Backed Securities    Par
(000)
    Value  
Commercial Mortgage-Backed Securities — 4.5%  

Bank of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2013-DSMZ, Class M, (1 mo. LIBOR + 5.690%), 6.85%, 9/15/18 (a)(b)(d)

     USD       7,500     $ 7,323,750  

CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class E, (1 mo. LIBOR + 4.650%), 5.88%, 6/15/31 (a)(b)

       1,931       1,928,611  

Commercial Mortgage Pass-Through Certificates (a)(b):

      

Series 2014-FL5, Class HFL1, (1 mo. LIBOR + 3.250%), 4.48%, 7/15/31 (d)

       6,057       5,858,196  

Series 2014-PAT, Class E, (1 mo. LIBOR + 3.150%), 4.14%, 8/13/27

       1,000       1,004,507  

Series 2014-PAT, Class F, (1 mo. LIBOR + 2.441%), 3.43%, 8/13/27

       3,000       2,941,244  

Series 2014-PAT, Class G, (1 mo. LIBOR + 1.593%), 2.58%, 8/13/27

       2,000       1,986,900  

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class B, 4.88%, 7/15/37

       760       759,178  

GAHR Commercial Mortgage Trust, Series 2015-NRF, Class GFX, 3.38%, 12/15/34 (b)(n)

       2,500       2,409,820  

Great Wolf Trust (a)(b):

      

Series 2015-WFMZ, Class M, (1 mo. LIBOR + 6.988%), 8.15%, 5/15/32

       3,300       3,308,229  

Series 2015-WOLF, Class F, (1 mo. LIBOR + 5.000%), 6.16%, 5/15/34

       1,080       1,079,990  

Madison Avenue Trust, Series 2013-650M, Class E, 4.03%, 10/12/32 (b)(n)

       5,000       4,973,792  
      

 

 

 
                       33,574,217  
Total Non-Agency Mortgage-Backed Securities — 22.0%               165,912,818  
      
   
Preferred Securities                      
Capital Trusts                      
Banks — 4.3%                   

Allied Irish Banks PLC, 7.38% (i)(k)

       200       260,732  
Capital Trusts    Par
(000)
    Value  
Banks (continued)                   

Banco Bilbao Vizcaya Argentaria SA, 8.88% (i)(k)

     USD       200     $ 278,785  

Banco Santander SA, 6.25% (i)(k)

       100       123,426  

BNP Paribas SA, 7.20% (b)(c)(i)(k)

       4,000       4,622,480  

Capital One Financial Corp., Series E, 5.55% (c)(i)(k)

       3,500       3,688,125  

CIT Group, Inc., 5.80% (c)(i)(k)

       567       591,806  

Citigroup, Inc. (c)(i)(k):

      

5.90%

       2,250       2,435,917  

Series M, 5.95%

       3,700       3,973,800  

Series R, 6.13%

       1,170       1,256,288  

Cooperatieve Rabobank UA, 6.63% (i)(k)

       200       267,065  

Erste Group Bank AG, 6.50% (i)(k)

       200       259,300  

Fifth Third Bancorp, Series J, 4.90% (c)(i)(k)

       3,000       3,041,250  

Hongkong & Shanghai Banking Corp. Ltd., Series 3H, 1.50% (a)

       100       81,970  

Intesa Sanpaolo SpA, 7.00% (i)(k)

       234       300,555  

RZB Finance Jersey IV Ltd., 1.62% (i)(k)

       100       115,125  

U.S. Bancorp, Series J, 5.30% (c)(i)(k)

       324       343,440  

Wells Fargo & Co. (c)(i)(k):

      

Series S, 5.90%

       9,010       9,787,112  

Series U, 5.88%

       770       853,738  
      

 

 

 
                       32,280,914  
Capital Markets — 1.1%                   

Goldman Sachs Group, Inc., Series L, 5.70% (c)(i)(k)

       967       1,010,012  

Morgan Stanley, Series H, 5.45% (c)(i)(k)

       5,007       5,182,245  
 

 

     
                
26    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Capital Trusts    Par
(000)
    Value  
Capital Markets (continued)                   

State Street Corp., Series F, 5.25% (c)(i)(k)

     USD       1,875     $ 1,968,244  

UBS Group AG, 5.75% (i)(k)

       200       265,763  
      

 

 

 
                       8,426,264  
Chemicals — 0.0%                   

Lanxess AG, 4.50% (i)

       50       64,739  

Solvay Finance SA, 5.12% (i)(k)

       100       131,873  
      

 

 

 
                       196,612  
Diversified Financial Services — 4.3%                   

Bank of America Corp. (c)(i)(k):

      

Series AA, 6.10%

       2,865       3,158,663  

Series U, 5.20%

       1,750       1,811,250  

Series V, 5.13%

       705       719,015  

Series X, (3 mo. LIBOR US + 3.705%), 6.25%

       6,175       6,807,937  

Bank of New York Mellon Corp., Series D,
4.50% (c)(i)(k)

       6,067       6,078,224  

Barclays PLC, 7.25% (i)(k)

       200       285,370  

HBOS Capital Funding LP, 6.85% (k)

       200       204,340  

HSBC Holdings PLC, 6.00% (c)(i)(k)

       695       728,951  

JPMorgan Chase & Co. (c)(i)(k):

      

Series Q, 5.15%

       5,500       5,713,125  

Series V, 5.00%

       3,830       3,906,140  

Royal Bank of Scotland Group PLC, 8.63% (i)(k)

       200       220,876  

Societe Generale SA, 6.00% (b)(c)(i)(k)

       3,000       3,065,040  
      

 

 

 
                       32,698,931  
Diversified Telecommunication Services — 0.1%                   

Telefonica Europe BV (i)(k):

      

3.75%

       100       123,900  
Capital Trusts    Par
(000)
    Value  
Diversified Telecommunication Services (continued)  

Telefonica Europe BV (i)(k):

      

4.20%

     USD       300     $ 377,272  
      

 

 

 
                       501,172  
Electric Utilities — 1.1%                   

Electricite de France SA, 5.25% (b)(c)(i)(k)

       7,500       7,753,125  

Enel SpA (i):

      

6.50%

       102       130,558  

7.75%

       100       150,120  

Gas Natural Fenosa Finance BV, 4.13% (i)(k)

       100       127,444  
      

 

 

 
                       8,161,247  
Industrial Conglomerates — 0.8%                   

General Electric Co., Series D, 5.00% (c)(i)(k)

             5,921       6,242,451  
Insurance — 1.3%                   

Allstate Corp., 5.75%, 8/15/53 (c)(i)

       2,000       2,202,500  

Prudential Financial, Inc., 5.63%, 6/15/43 (c)(i)

       6,000       6,570,000  

Voya Financial, Inc., 5.65% (c)(i)

       1,090       1,169,025  
      

 

 

 
                       9,941,525  
Oil, Gas & Consumable Fuels — 0.0%                   

TOTAL SA, 3.88% (i)(k)

             100       128,189  
Total Capital Trusts — 11.9%                      98,577,305  
      
                          
Preferred Stocks           Shares         
Banks — 0.3%                   

Citigroup, Inc., Series K, 6.88% (i)(k)

             75,015       2,247,750  
Capital Markets — 2.3%                   

Goldman Sachs Group, Inc., Series J, 5.50% (i)(k)

       395,021       10,973,572  

Morgan Stanley (i)(k):

      

Series F, 6.88%

       100,004       2,947,000  

Series K, 5.85%

       89,333       2,435,109  

SCE Trust III, Series H, 5.75% (i)(k)

       23,733       684,610  
      

 

 

 
                       17,040,291  
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    27


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Preferred Stocks           Shares     Value  
Real Estate Investment Trusts (REITs) — 1.9%  

Firstar Realty LLC, 8.88% (b)(k)

       10,008     $ 12,359,375  

SunTrust Real Estate Investment Corp., 9.00% (b)(d)(k)

       22       1,740,661  
      

 

 

 
                       14,100,036  
Total Preferred Stocks — 4.4%               33,388,077  
Total Preferred Securities — 17.5%               131,965,382  
      
   
U.S. Government Sponsored Agency
Securities
   Par
(000)
        
Collateralized Mortgage Obligations — 2.1%  

Fannie Mae (a):

      

Series 2016-C06, Class 1M2, (1 mo. LIBOR US + 4.250%), 5.48%, 4/25/29

     USD       545       612,691  

Series 2016-C07, Class 2M2, (1 mo. LIBOR US + 4.350%), 5.58%, 5/25/29

       3,455       3,849,244  

Fannie Mae Connecticut Avenue Securities, Series 2017-C02, Class 2M2, (1 mo. LIBOR US + 3.650%), 4.88%, 9/25/29 (a)

       3,000       3,239,013  

Freddie Mac Mortgage-Backed Securities, Series 4480, Class ZX, 4.00%, 11/15/44 (c)

       4,890       5,170,653  

Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2017-DNA2, Class M2, (1 mo. LIBOR US + 3.450%), 4.68%, 10/25/29 (a)

             3,000       3,231,308  
Total U.S. Government Sponsored Agency Securities — 2.1%               16,102,909  
      
   
Warrants — 0.0%                      
Diversified Financial Services — 0.0%                   

Aviron Capital LLC (Expires 10/20/17) (o)

             38,421,669        
                    Value  
Total Long-Term Investments
(Cost — $1,153,266,249) — 158.4%
            $ 1,195,125,607  
      
   
Short-Term Securities           Shares         

BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.89% (p)(q)

             11,209,050       11,209,050  
Total Short-Term Securities
(Cost — $11,209,050) — 1.5%
              11,209,050  
Options Purchased
(Cost — $106,873) — 0.0%
              78,178  
Total Investments Before Options Written
(Cost — $1,164,582,172) — 159.9%
              1,206,412,835  
Options Written
(Premiums Received — $52,451) — (0.0)%
              (47,864
Total Investments, Net of Options Written
(Cost — $1,164,529,721*) — 159.9%
              1,206,364,971  

Liabilities in Excess of Other Assets — (59.9)%

 

      (451,711,004
      

 

 

 

Net Assets — 100.0%

       $ 754,653,967  
      

 

 

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

Tax cost

  $ 1,149,907,812  
 

 

 

 

Gross unrealized appreciation

  $ 56,052,545  

Gross unrealized depreciation

    (452,478
 

 

 

 

Net unrealized appreciation

  $ 56,505,023  
 

 

 

 
 
Notes to Consolidated Schedule of Investments

 

(a)   Floating rate security. Rate shown is the rate in effect as of period end.

 

(b)   Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

 

(c)   All or a portion of the security has been pledged as collateral in connection with outstanding reverse repurchase agreements.

 

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

 

(e)   Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate as of period end.

 

          
                
28    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

(f)   Amount is less than $500.

 

(g)   When-issued security.

 

(h)   Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

 

(i)   Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

 

(j)   Zero-coupon bond.

 

(k)   Perpetual security with no stated maturity date.

 

(l)   Convertible security.

 

(m)   Variable rate security. Rate shown is the rate in effect as of period end.

 

(n)   Variable or floating rate security, which interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of period end.

 

(o)   All or a portion of the security is held by a wholly-owned subsidiary.

 

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

 

Affiliate   Shares
Held at
October 31,
2016
   

Shares

Purchased

   

Shares

Sold

   

Shares
Held at
July 31,

2017

   

Value at
July 31,

2017

    Income     Net Realized
Gain1
    Change  in
Unrealized
Appreciation
(Depreciation)
 

BlackRock Liquidity Funds, T-Fund, Institutional Class

    6,322,410       4,886,640 2            11,209,050     $ 11,209,050     $ 27,894     $ 35        

iShares MSCI Emerging Markets ETF

          13,000       (13,000                 2,492       15,857        

Total

 

  $ 11,209,050     $ 30,386     $ 15,892        
 

 

 

 

 

1  

Includes net capital gain distributions.

 

2  

Represents net shares purchased.

(q)   Current yield as of period end.

For Trust compliance purposes, the industry classifications refer to one or more of the industry sub-classifications used by one or more widely recognized market indexes or rating group indexes, and/or as defined by the investment adviser. These definitions may not apply for purposes of this report, which may combine such industry sub-classifications for reporting ease.

 

Portfolio Abbreviations      

 

ARS    Argentine Peso
AUD    Australian Dollar
BRL    Brazilian Real
CLO    Collateralized Loan Obligation
CLP    Chilean Peso
COP    Certificates of Participation
ETF    Exchange-Traded Fund
EUR    Euro
GBP    British Pound
IDR    Indonesian Rupiah
MXN    Mexican Peso
MYR    Malaysian Ringgit
PIK    Payment-In-Kind
REMIC    Real Estate Mortgage Investment Conduit
RUB    Russian Ruble
TRY    Turkish Lira
TWD    Taiwan Dollar
USD    U.S. Dollar
ZAR    South African Rand
 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    29


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open     $ 776,000     $ 781,026      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       228,000       229,520      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       206,000       207,373      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       179,000       180,193      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       665,000       669,307      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       463,750       466,958      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       382,193       384,837      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       440,000       443,044      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       267,000       268,847      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       357,825       360,301      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       353,350       355,795      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       729,375       734,421      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       290,625       292,636      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.34     1/06/17        Open       300,800       302,881      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       763,125       764,541      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/06/17        Open       184,800       184,850      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/06/17        Open       231,295       231,358      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/06/17        Open       27,440       27,447      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/06/17        Open       120,350       120,383      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/6/17        Open       391,050       394,214      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       391,425       392,094      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       3,198,125       3,216,403      Capital Trusts    Open/Demand

UBS Securities LLC

    1.75     3,16,17        Open       3,399,375       3,418,803      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       442,500       445,564      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       287,250       289,239      Corporate Bonds    Open/Demand

 

     
                
30    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

RBC Capital Markets, LLC

    1.59     1/06/17        Open     $ 482,500     $ 485,841      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       508,750       512,273      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       503,750       507,239      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       240,625       242,291      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       644,000       648,460      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       411,000       413,846      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       1,017,500       1,024,546      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     1/06/17        Open       253,125       254,878      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/09/17        Open       764,660       771,621      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/17/17        Open       502,848       507,308      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       736,800       743,090      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       537,600       542,232      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       693,504       699,479      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       687,608       693,532      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       1,288,064       1,299,161      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       819,400       826,459      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/18/17        Open       653,808       659,441      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/20/17        Open       403,760       407,207      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     1/20/17        Open       2,396,192       2,416,649      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.65     1/30/17        Open       336,550       338,947      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/03/17        Open       123,975       124,910      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/03/17        Open       927,350       934,762      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/03/17        Open       487,640       491,538      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/03/17        Open       551,475       555,883      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/06/17        Open       310,980       313,429      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/06/17        Open       442,400       445,885      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    31


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

RBC Capital Markets, LLC

    1.95     2/06/17        Open     $ 1,428,430     $ 1,439,570      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/07/17        Open       271,990       274,101      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/08/17        Open       311,040       313,441      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/09/17        Open       163,400       164,668      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     2/10/17        Open       585,000       588,624      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/15/17        Open       405,450       408,502      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/15/17        Open       1,578,450       1,590,330      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/15/17        Open       258,570       260,516      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/15/17        Open       397,100       400,089      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/15/17        Open       852,600       859,017      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/15/17        Open       569,600       573,887      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/16/17        Open       202,364       203,879      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/23/17        Open       1,422,080       1,431,397      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       504,000       507,617      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       925,100       931,739      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       251,875       253,683      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       860,655       866,831      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       267,090       269,007      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       273,075       275,035      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       255,200       257,031      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       340,200       342,641      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       331,470       333,849      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       308,000       310,210      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       741,125       746,444      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       264,275       266,172      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       381,840       384,580      Corporate Bonds    Open/Demand

 

     
                
32    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

RBC Capital Markets, LLC

    1.95     2/24/17        Open     $ 320,460     $ 322,760      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       269,775       271,711      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     2/24/17        Open       400,200       403,072      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/01/17        Open       214,650       216,149      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/01/17        Open       260,260       262,077      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/01/17        Open       222,600       224,154      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/01/17        Open       241,165       242,849      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/06/17        Open       711,000       715,907      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/06/17        Open       359,640       362,122      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/07/17        Open       655,200       659,571      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/07/17        Open       423,916       426,777      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/07/17        Open       1,048,381       1,055,456      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/08/17        Open       258,375       260,089      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/09/17        Open       558,740       562,380      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/09/17        Open       209,125       210,488      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/10/17        Open       293,460       295,458      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/10/17        Open       221,610       223,118      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/10/17        Open       301,785       303,839      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       167,000       168,113      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       121,000       121,807      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       202,000       203,346      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       162,000       163,080      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       231,000       232,540      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       299,000       300,993      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       140,000       140,933      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       189,000       190,260      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    33


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open     $ 272,000     $ 273,813      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       220,000       221,466      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       237,000       238,580      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/13/17        Open       439,000       441,836      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/15/17        Open       125,000       125,810      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.55     3/16/17        Open       1,753,000       1,761,685      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.55     3/16/17        Open       2,535,000       2,547,559      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.55     3/16/17        Open       2,413,000       2,424,954      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.55     3/16/17        Open       1,924,000       1,933,532      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       151,000       151,978      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       227,630       229,104      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       727,000       731,708      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       170,000       171,101      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       469,000       472,037      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       136,000       136,881      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,522,000       1,531,857      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       2,015,000       2,028,050      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       755,000       759,890      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,852,000       1,863,994      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,694,000       1,704,971      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       741,000       745,799      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,837,500       1,849,400      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       2,525,000       2,541,353      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       5,729,000       5,766,103      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       3,224,000       3,244,880      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       706,000       710,572      Corporate Bonds    Open/Demand

 

     
                
34    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open     $ 2,859,000     $ 2,877,516      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       2,700,000       2,717,486      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       307,000       308,988      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,176,000       1,183,616      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       314,094       316,128      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       4,544,000       4,573,429      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       2,619,000       2,635,962      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       2,231,000       2,245,449      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       967,000       973,263      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       130,000       130,842      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       901,000       906,835      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       207,000       208,341      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,242,000       1,250,044      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       555,000       558,594      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       843,000       848,460      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       460,000       462,979      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,105,000       1,112,156      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       922,000       927,971      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       124,000       124,803      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,254,000       1,262,121      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       377,000       379,442      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       71,000       71,460      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,504,000       1,513,740      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,050,000       1,056,800      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       939,000       945,081      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,393,000       1,402,022      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    35


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open     $ 43,000     $ 43,278      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,240,000       1,248,031      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,072,000       1,078,943      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       838,000       843,427      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       127,000       127,823      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,110,000       1,117,189      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       164,000       165,062      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       623,000       627,035      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       122,000       122,790      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,472,000       1,481,533      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       1,153,000       1,160,467      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       533,781       537,238      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       314,000       316,034      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       582,000       585,769      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       226,000       227,464      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/16/17        Open       61,000       61,395      Corporate Bonds    Open/Demand

UBS Ltd.

    1.75     3/16/17        Open       124,000       124,709      Corporate Bonds    Open/Demand

UBS Ltd.

    1.75     3/16/17        Open       3,266,000       3,284,666      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.50     3/16/17        Open       5,250,000       5,275,010      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.50     3/16/17        Open       5,218,125       5,242,984      Capital Trusts    Open/Demand

UBS Securities LLC

    1.50     3/16/17        Open       6,984,375       7,017,648      Capital Trusts    Open/Demand

UBS Securities LLC

    1.50     3/16/17        Open       3,855,000       3,873,365      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.50     3/16/17        Open       8,525,000       8,565,612      Capital Trusts    Open/Demand

UBS Securities LLC

    1.55     3/16/17        Open       326,700       328,319      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       2,553,750       2,568,345      Capital Trusts    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       849,751       854,608      Capital Trusts    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       1,180,699       1,187,447      Capital Trusts    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       775,013       779,442      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       641,331       644,997      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       1,548,500       1,557,350      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       89,378       89,888      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       795,600       800,147      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       419,063       421,458      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       461,645       464,283      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       702,050       706,062      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       850,500       855,361      Corporate Bonds    Open/Demand

 

     
                
36    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral   

Remaining

Contractual Maturity
of the  Agreements1

UBS Securities LLC

    1.75     3/16/17        Open     $ 2,621,250     $ 2,636,231      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       371,009       373,129      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       4,148,438       4,172,147      Capital Trusts    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       4,175,000       4,198,861      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       3,700,550       3,721,700      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       3,840,000       3,861,947      Capital Trusts    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       429,721       432,177      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       363,308       365,384      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       137,638       138,424      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       525,625       528,629      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       1,020,275       1,026,106      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       738,650       742,872      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/16/17        Open       1,061,775       1,067,843      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/17/17        Open       218,000       219,381      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

    1.70     3/20/17        Open       4,637,500       4,662,375      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

    1.75     3/20/17        Open       6,142,500       6,176,582      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

    2.00     3/20/17        Open       234,375       235,892      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

    2.00     3/20/17        Open       916,300       922,231      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

    2.00     3/20/17        Open       792,188       797,315      Corporate Bonds    Open/Demand

Barclays Capital, Inc.

    2.00     3/20/17        Open       2,064,375       2,077,736      Capital Trusts    Open/Demand

Barclays Capital, Inc.

    2.00     3/20/17        Open       1,009,613       1,016,147      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/21/17        Open       3,262,000       3,282,510      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/21/17        Open       2,253,000       2,267,166      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/21/17        Open       403,500       405,999      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     3/21/17        Open       2,470,000       2,482,245      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     3/21/17        Open       1,880,000       1,889,320      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/21/17        Open       1,949,600       1,961,858      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/21/17        Open       113,400       114,102      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/22/17        Open       737,070       741,600      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/27/17        Open       719,377       723,696      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     3/27/17        Open       230,420       231,622      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     3/28/17        Open       446,160       448,776      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     3/31/17        Open       444,000       446,498      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/03/17        Open       148,570       149,413      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/03/17        Open       208,800       209,985      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/03/17        Open       165,750       166,690      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    37


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     4/06/17        Open     $ 172,713     $ 173,660      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       243,285       244,619      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       937,900       943,044      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       624,160       627,583      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       339,528       341,390      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       335,400       337,240      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       384,100       386,207      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       186,150       187,171      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       210,568       211,722      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       268,800       270,274      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       440,115       442,529      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/06/17        Open       851,468       856,138      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/07/17        Open       267,800       269,218      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/07/17        Open       152,856       153,666      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       886,075       890,768      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       751,120       755,098      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       251,250       252,581      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       406,445       408,597      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       287,240       288,761      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       1,558,588       1,566,842      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       201,500       202,567      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       349,872       351,725      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/11/17        Open       333,498       335,264      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/12/17        Open       980,000       984,912      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/12/17        Open       310,000       311,612      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/12/17        Open       375,000       376,951      Corporate Bonds    Open/Demand

 

     
                
38    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.95     4/12/17        Open     $ 565,000     $ 567,939      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/12/17        Open       369,000       370,919      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/17/17        Open       262,725       264,017      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/18/17        Open       145,000       145,720      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/18/17        Open       4,450,475       4,472,573      Foreign Agency Obligations    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/19/17        Open       75,000       75,362      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     4/19/17        Open       638,550       641,003      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     4/19/17        Open       329,875       331,142      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     4/19/17        Open       229,375       230,256      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       1,211,925       1,217,828      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       911,588       916,028      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       754,813       758,489      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       120,908       121,496      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       370,098       371,900      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       139,888       140,569      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       1,009,260       1,014,176      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       407,138       409,121      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       95,450       95,915      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/19/17        Open       177,060       177,922      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/20/17        Open       407,000       408,906      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/20/17        Open       1,128,800       1,134,085      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/21/17        Open       218,195       219,206      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

    1.75     4/24/17        Open       523,000       525,161      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/24/17        Open       187,920       188,782      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/25/17        Open       131,340       131,936      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     4/26/17        Open       328,000       329,474      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    39


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     4/28/17        Open     $ 348,150     $ 349,648      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/28/17        Open       2,414,100       2,424,491      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     4/28/17        Open       399,000       400,717      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/01/17        Open       574,000       576,443      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/01/17        Open       660,820       663,633      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/04/17        Open       221,000       221,889      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/05/17        Open       461,480       463,314      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/08/17        Open       477,000       478,918      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/10/17        Open       456,120       458,009      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/12/17        Open       197,980       198,701      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     5/12/17        Open       1,767,300       1,772,982      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     5/12/17        Open       167,625       168,164      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/17/17        Open       2,019,000       2,026,069      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       391,379       392,786      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       247,950       248,842      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       460,253       461,907      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       825,930       828,900      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       194,805       195,505      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       310,313       311,428      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       262,080       263,022      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       199,920       200,639      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       405,713       407,171      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       182,115       182,770      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       453,900       455,532      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/17/17        Open       821,700       824,655      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/19/17        Open       219,730       220,458      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     5/23/17        Open       647,248       649,140      Corporate Bonds    Open/Demand

 

     
                
40    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     5/24/17        Open     $ 456,981     $ 458,572      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/24/17        Open       1,047,150       1,050,470      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/25/17        Open       243,820       244,547      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/26/17        Open       331,000       331,971      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/31/17        Open       951,000       953,791      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/31/17        Open       876,000       878,571      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/31/17        Open       988,000       990,900      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/31/17        Open       1,400,000       1,404,109      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     5/31/17        Open       1,009,000       1,011,961      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     5/31/17        Open       408,716       409,916      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/01/17        Open       483,000       484,303      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/01/17        Open       267,978       268,752      Corporate Bonds    Open/Demand

UBS Securities LLC

    1.75     6/02/17        Open       310,844       311,571      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/05/17        Open       206,720       207,336      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/07/17        Open       543,333       544,892      Corporate Bonds    Open/Demand

RBC Capital Markets LLC

    (1.00 )%      6/07/17        Open       299,930       299,488         Open/Demand

RBC Capital Markets, LLC

    1.95     6/07/17        Open       138,460       138,858      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/07/17        Open       531,613       533,139      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/08/17        Open       487,816       489,137      Corporate Bonds    Open/Demand

Barclays Bank PLC

    1.40     6/12/17        Open       683,438       684,490      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.70     6/14/17        Open       55,744       55,865      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/14/17        Open       367,080       367,995      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    1.61     6/15/17        Open       7,862,000       7,877,119      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    1.96     6/15/17        Open       763,000       764,786      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    1.96     6/15/17        Open       676,000       677,583      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    1.96     6/15/17        Open       168,000       168,393      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    1.96     6/15/17        Open       1,340,000       1,343,137      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    1.96     6/15/17        Open       1,131,000       1,133,648      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    (1.00 )%      6/15/17        Open       402,000       401,486         Open/Demand

Credit Suisse Securities (USA) LLC

    2.05     6/15/17        Open       535,275       536,677      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    41


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

Deutsche Bank Securities, Inc.

    1.95     6/15/17        Open     $ 327,000     $ 327,762      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/15/17        Open       78,000       78,182      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/16/17        Open       165,000       165,375      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17        Open       2,742,000       2,747,598      Capital Trusts    Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17        Open       3,209,000       3,215,552      Corporate Bonds    Open/Demand

HSBC Securities (USA), Inc.

    1.75     6/19/17        Open       1,164,000       1,166,377      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       511,250       512,198      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       487,500       488,404      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       826,875       828,409      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,045,000       1,046,938      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       480,000       480,890      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       751,875       753,270      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       426,000       426,790      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       783,750       785,204      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,077,500       1,079,499      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       927,500       929,221      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       740,625       741,999      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       538,750       539,749      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       980,000       981,818      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       254,375       254,847      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       748,125       749,513      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       365,250       365,928      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       893,250       894,907      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       411,000       411,762      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,240,625       1,242,926      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,234,375       1,236,665      Corporate Bonds    Open/Demand

 

     
                
42    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.59     6/19/17        Open     $ 749,000     $ 750,389      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,052,500       1,054,452      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       947,500       949,258      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,015,000       1,016,883      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       970,000       971,799      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       746,250       747,634      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       408,000       408,757      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       357,000       357,662      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       428,000       428,794      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,451,250       1,453,942      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       909,375       911,062      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       608,750       609,879      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,526,250       1,529,081      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       450,000       450,835      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       522,500       523,469      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       510,000       510,946      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       585,000       586,085      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       263,900       264,390      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,000,000       1,001,855      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       710,625       711,943      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       288,000       288,534      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       1,492,500       1,495,269      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       990,000       991,836      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       469,125       469,995      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       995,000       996,846      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       724,625       725,969      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    43


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.59     6/19/17        Open     $ 526,250     $ 527,226      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/19/17        Open       733,125       734,485      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       592,500       593,848      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       136,915       137,219      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       382,800       383,671      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       164,640       165,015      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       349,638       350,433      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       441,788       442,793      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       288,120       288,775      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       324,870       325,609      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       310,625       311,332      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       334,950       335,712      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       287,875       288,530      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       245,520       246,079      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/19/17        Open       390,000       390,887      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/21/17        Open       288,145       288,654      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     6/21/17        Open       522,600       523,523      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       359,100       359,878      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       3,330,000       3,337,215      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       342,350       343,092      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       259,500       260,062      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       304,320       304,979      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       770,063       771,731      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       226,013       226,502      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       430,530       431,463      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       807,525       809,275      Corporate Bonds    Open/Demand

 

     
                
44    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     6/21/17        Open     $ 426,250     $ 427,174      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       192,538       192,955      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       404,490       405,366      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       393,908       394,761      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       354,650       355,418      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       198,370       198,800      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       203,275       203,715      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       247,950       248,487      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       308,025       308,692      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       274,700       275,280      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       511,070       512,150      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/21/17        Open       746,980       748,558      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/22/17        Open       190,035       190,400      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/22/17        Open       731,025       732,431      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/22/17        Open       356,150       356,835      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    1.50     6/27/17        Open       872,099       873,353      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     6/27/17        Open       5,407,653       5,418,023      Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     6/27/17        Open       2,389,996       2,394,580      Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     6/27/17        Open       197,741       198,120      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     6/27/17        Open       3,071,819       3,077,710      Foreign Agency Obligations    Open/Demand

RBC Capital Markets, LLC

    1.95     6/27/17        Open       1,051,650       1,053,504      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/27/17        Open       221,925       222,316      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     6/28/17        Open       344,000       344,588      Corporate Bonds    Open/Demand

BNP Paribas S.A.

    2.23     6/29/17        8/03/17       827,000       828,463      Asset-Backed Securities    Up to 30 Days

BNP Paribas S.A.

    2.23     6/29/17        8/03/17       827,000       828,463      Asset-Backed Securities    Up to 30 Days

BNP Paribas S.A.

    2.38     6/29/17        8/03/17       1,010,000       1,011,908      Asset-Backed Securities    Up to 30 Days

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    45


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

BNP Paribas S.A.

    2.38     6/29/17        8/03/17     $ 808,000     $ 809,526      Asset-Backed Securities    Up to 30 Days

BNP Paribas S.A.

    2.38     6/29/17        8/03/17       998,000       999,885      Asset-Backed Securities    Up to 30 Days

BNP Paribas S.A.

    2.38     6/29/17        8/03/17       807,000       808,524      Asset-Backed Securities    Up to 30 Days

BNP Paribas S.A.

    2.38     6/29/17        8/03/17       1,010,000       1,011,908      Asset-Backed Securities    Up to 30 Days

BNP Paribas S.A.

    2.38     6/29/17        8/03/17       806,000       807,522      Asset-Backed Securities    Up to 30 Days

RBC Capital Markets, LLC

    1.59     6/29/17        Open       546,375       547,137      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       658,875       659,896      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       508,300       509,169      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       609,353       610,394      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       441,613       442,367      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       253,700       254,134      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       436,865       437,612      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       756,000       757,292      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       976,000       977,669      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       924,625       926,206      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       503,815       504,676      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       724,625       725,864      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       442,313       443,069      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       599,950       600,976      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       638,400       639,491      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       390,500       391,168      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       480,600       481,422      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       557,375       558,328      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       316,750       317,292      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/29/17        Open       384,580       385,237      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     6/30/17        Open       307,880       308,330      Corporate Bonds    Open/Demand

 

     
                
46    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

Barclays Capital, Inc.

    2.73     7/03/17        8/07/17     $ 5,215,290     $ 5,225,957      Non-Agency Mortgage-Backed Securities    Up to 30 Days

HSBC Securities (USA), Inc.

    1.75     7/05/17        Open       282,907       283,278      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/07/17        Open       261,550       261,847      Capital Trusts    Open/Demand

RBC Capital Markets, LLC

    1.95     7/07/17        Open       280,523       280,842      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/10/17        Open       171,615       171,819      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/10/17        Open       933,638       934,750      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/11/17        Open       289,575       289,873      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/13/17        Open       659,000       659,535      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/13/17        Open       258,635       258,806      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/14/17        Open       235,300       235,530      Corporate Bonds    Open/Demand

J.P. Morgan Securities LLC

    1.62     7/17/17        8/16/17       4,768,000       4,771,004      U.S. Government Sponsored Agency Securities    Up to 30 Days

J.P. Morgan Securities LLC

    2.38     7/17/17        8/16/17       1,701,000       1,702,573      Asset-Backed Securities    Up to 30 Days

J.P. Morgan Securities LLC

    2.53     7/17/17        8/16/17       750,000       750,737      Asset-Backed Securities    Up to 30 Days

J.P. Morgan Securities LLC

    2.53     7/17/17        8/16/17       2,708,000       2,710,663      Asset-Backed Securities    Up to 30 Days

Credit Suisse Securities (USA) LLC

    1.75     7/17/17        Open       627,096       627,523      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    1.75     7/17/17        Open       254,925       255,098      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       416,150       416,474      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       328,440       328,695      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       327,088       327,342      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       237,585       237,770      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       377,763       378,056      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       574,240       574,687      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       219,450       219,621      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       405,075       405,390      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    47


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open     $ 230,478     $ 230,657      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       308,070       308,310      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       948,228       948,965      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       1,207,213       1,208,151      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       819,533       820,170      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       318,015       318,262      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       437,109       437,449      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       608,295       608,768      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       263,150       263,355      Foreign Agency Obligations    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       387,063       387,364      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       228,799       228,977      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       348,955       349,226      Corporate Bonds    Open/Demand

Credit Suisse Securities (USA) LLC

    2.00     7/17/17        Open       202,624       202,781      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       476,000       476,361      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       221,000       221,168      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       181,000       181,137      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       388,000       388,294      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       172,000       172,130      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       197,000       197,149      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       245,000       245,186      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       192,000       192,146      Capital Trusts    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       209,000       209,158      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/17/17        Open       193,000       193,157      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/17/17        Open       1,494,800       1,495,724      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/17/17        Open       1,260,800       1,261,580      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/17/17        Open       2,322,000       2,323,436      Corporate Bonds    Open/Demand

 

     
                
48    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.59     7/17/17        Open     $ 404,000     $ 404,250      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/17/17        Open       309,225       309,416      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/17/17        Open       675,500       675,918      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.59     7/17/17        Open       200,000       200,124      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       218,663       218,828      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       215,978       216,141      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       237,585       237,765      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       316,965       317,205      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       290,703       290,923      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       455,910       456,256      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       322,548       322,792      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       321,100       321,344      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       278,390       278,601      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       287,120       287,338      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       1,550,200       1,551,376      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       365,000       365,277      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       468,720       469,075      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       597,735       598,188      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       659,205       659,705      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       301,950       302,179      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       438,013       438,345      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       367,275       367,554      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       1,062,600       1,063,406      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       216,150       216,314      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       507,825       508,210      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       279,585       279,797      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    49


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     7/17/17        Open     $ 292,410     $ 292,632      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       259,625       259,822      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       338,938       339,195      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       1,610,010       1,611,231      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       496,770       497,147      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       264,060       264,260      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       554,400       554,820      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       402,500       402,805      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       633,150       633,630      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       218,025       218,190      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       588,065       588,511      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       412,800       413,113      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       244,080       244,265      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       271,425       271,631      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       390,688       390,984      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       215,618       215,781      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       236,550       236,729      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       222,945       223,114      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       169,000       169,128      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       198,450       198,601      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       228,850       229,024      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       176,985       177,119      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       198,125       198,275      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       208,860       209,018      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       191,100       191,245      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       174,945       175,078      Corporate Bonds    Open/Demand

 

     
                
50    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     7/17/17        Open     $ 186,238     $ 186,379      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       193,040       193,186      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       167,790       167,917      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       181,790       181,928      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       205,840       205,996      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       194,350       194,497      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       182,115       182,253      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       188,600       188,743      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       183,700       183,839      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       166,000       166,126      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       173,880       174,012      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       179,850       179,986      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       187,550       187,692      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       186,635       186,777      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       176,790       176,924      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       173,000       173,131      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       365,625       365,902      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/17/17        Open       2,346,500       2,348,279      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/18/17        Open       533,665       534,012      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/21/17        Open       441,180       441,347      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/24/17        Open       627,800       628,004      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/27/17        Open       859,000       859,186      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/27/17        Open       519,000       519,112      Corporate Bonds    Open/Demand

Deutsche Bank Securities, Inc.

    1.95     7/27/17        Open       90,000       90,020      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/27/17        Open       970,180       970,233      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/27/17        Open       200,353       200,407      Corporate Bonds    Open/Demand

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    51


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Reverse Repurchase Agreements (continued)
Counterparty   Interest
Rate
    Trade
Date
     Maturity
Date1
    Face Value     Face Value
Including
Accrued
Interest
     Type of Non-Cash Underlying  Collateral    Remaining
Contractual Maturity
of the Agreements1

RBC Capital Markets, LLC

    1.95     7/28/17        Open     $ 525,140     $ 525,140      Corporate Bonds    Open/Demand

RBC Capital Markets, LLC

    1.95     7/28/17        Open       233,252       234,860      Corporate Bonds    Open/Demand

Total

 

  $ 457,050,872     $ 458,935,293        
 

 

 

   

 

 

       

1    Certain agreements have no stated maturity and can be terminated by either party at any time.

 

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts  
Description   Number of
Contracts
       Expiration
Date
       Notional
Amount
(000)
    Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

             

10-Year U.S. Treasury Note

    21          September 2017        $ 2,644     $ 4,567  

Short Contracts

             

5-Year U.S. Treasury Note

    (10        September 2017          1,181       613  

90-Day Euro-Bobl

    (4        September 2017          625       4,448  

Euro-Bund

    (51        September 2017          9,778       34,447  

Long U.S. Treasury Bond

    (11        September 2017          1,683       5,165  

UK Long Gilt Bond

    (1        September 2017          166       2,321  

Ultra U.S. Treasury Bond

    (2        September 2017          329       (1,628

90-Day Euro Dollar

    (213        March 2019          52,299       (271,865
             

 

 

 
                                    (226,499

Total

 

  $ (221,932
             

 

 

 

 

Forward Foreign Currency Exchange Contracts  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
BRL     1,465,757     USD     468,188     BNP Paribas S.A.     8/02/17     $ 1,854  
BRL     1,505,720     USD     480,953     BNP Paribas S.A.     8/02/17       1,905  
BRL     1,942,864     USD     620,585     BNP Paribas S.A.     8/02/17       2,458  
BRL     3,564,020     USD     1,138,410     BNP Paribas S.A.     8/02/17       4,509  

 

     
                
52    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
  Unrealized
Appreciation
(Depreciation)
 
BRL     4,216,395     USD     1,271,914     BNP Paribas S.A.   8/02/17   $ 80,210  
BRL     4,418,526     USD     1,411,354     BNP Paribas S.A.   8/02/17     5,590  
BRL     202,131     USD     61,616     Goldman Sachs International   8/02/17     3,204  
BRL     856,812     USD     264,000     Goldman Sachs International   8/02/17     10,765  
BRL     1,455,494     USD     438,600     Goldman Sachs International   8/02/17     28,151  
BRL     1,502,139     USD     477,400     Goldman Sachs International   8/02/17     4,310  
BRL     1,137,312     USD     352,000     Morgan Stanley & Co. International PLC   8/02/17     12,716  
BRL     3,610,915     USD     1,130,000     Royal Bank of Scotland PLC   8/02/17     27,957  
EUR     1,222,000     USD     1,434,040     BNP Paribas S.A.   8/03/17     12,639  
EUR     3,760,774     USD     4,416,352     Citibank N.A.   8/03/17     35,885  
EUR     14,368,778     USD     16,873,543     Citibank N.A.   8/03/17     137,104  
EUR     357,000     USD     405,181     Deutsche Bank AG   8/03/17     17,457  
EUR     560,000     USD     640,013     Deutsche Bank AG   8/03/17     22,950  
EUR     650,000     USD     742,872     Deutsche Bank AG   8/03/17     26,638  
GBP     176,000     USD     230,452     BNP Paribas S.A.   8/03/17     1,770  
GBP     1,958,000     USD     2,564,951     Citibank N.A.   8/03/17     18,519  
GBP     10,962,000     USD     14,360,056     Citibank N.A.   8/03/17     103,682  
GBP     93,000     USD     121,838     Deutsche Bank AG   8/03/17     870  
GBP     303,000     USD     396,956     Deutsche Bank AG   8/03/17     2,836  
TRY     6,459     USD     1,800     Bank of America N.A.   8/04/17     34  
TRY     180,148     USD     50,200     Bank of America N.A.   8/04/17     943  
TRY     1,060,810     USD     298,000     Deutsche Bank AG   8/04/17     3,155  
TRY     1,716,285     USD     470,000     BNP Paribas S.A.   8/07/17     16,807  
COP     4,286,270,000     USD     1,420,000     Royal Bank of Scotland PLC   8/08/17     14,417  
COP     6,233,202,500     USD     2,065,000     Royal Bank of Scotland PLC   8/08/17     20,965  
COP     1,442,856,000     USD     474,000     Barclays Bank PLC   8/09/17     8,803  
USD     474,000     COP     1,390,716,000     BNP Paribas S.A.   8/09/17     8,644  
IDR     3,770,200,000     USD     280,000     Bank of America N.A.   8/15/17     2,816  
IDR     3,719,079,704     USD     276,245     Citibank N.A.   8/15/17     2,736  
IDR     5,313,888,058     USD     394,644     Citibank N.A.   8/15/17     3,969  
IDR     2,762,947,795     USD     205,271     JPMorgan Chase Bank N.A.   8/15/17     1,987  
IDR     4,145,989,120     USD     307,840     JPMorgan Chase Bank N.A.   8/15/17     3,165  
MYR     2,992,554     USD     692,000     Morgan Stanley & Co. International PLC   8/17/17     6,890  
TWD     13,149,332     USD     434,000     HSBC Bank USA N.A.   8/18/17     1,509  
CLP     434,313,000     USD     660,000     BNP Paribas S.A.   8/21/17     8,116  
TRY     2,634,718     USD     735,000     Citibank N.A.   8/21/17     8,768  
TRY     26,995,999     USD     7,531,000     Citibank N.A.   8/21/17     89,840  
TRY     1,676,398     USD     470,000     Deutsche Bank AG   8/21/17     3,239  
TRY     14,651,638     USD     4,108,000     HSBC Bank USA N.A.   8/21/17     28,086  
COP     1,434,519,900     USD     470,000     UBS AG   8/22/17     9,316  
USD     470,000     COP     1,404,360,000     Barclays Bank PLC   8/22/17     762  
USD     133,000     ARS     2,218,440     JPMorgan Chase Bank N.A.   8/23/17     8,830  
IDR     91,427,991,000     USD     6,847,000     Citibank N.A.   8/24/17     5,588  
USD     572,000     ARS     9,649,640     BNP Paribas S.A.   8/24/17     32,213  
EUR     579,000     USD     675,224     Citibank N.A.   8/29/17     11,153  
BRL     1,515,411     USD     477,400     BNP Paribas S.A.   9/05/17     5,415  
BRL     1,955,369     USD     616,000     BNP Paribas S.A.   9/05/17     6,987  
BRL     3,586,959     USD     1,130,000     BNP Paribas S.A.   9/05/17     12,817  
EUR     650,000     USD     764,519     Deutsche Bank AG   9/06/17     6,347  
EUR     917,000     USD     1,078,560     Deutsche Bank AG   9/06/17     8,954  
RUB     15,411,900     USD     252,482     Citibank N.A.   9/15/17     2,950  

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    53


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
  Unrealized
Appreciation
(Depreciation)
 
RUB     17,164,700     USD     282,607     Citibank N.A.   9/15/17   $ 1,875  
RUB     18,425,551     USD     301,959     Citibank N.A.   9/15/17     3,420  
RUB     11,944,435     USD     196,600     Credit Suisse International   9/15/17     1,363  
RUB     13,741,100     USD     225,830     Credit Suisse International   9/15/17     1,910  
RUB     20,599,000     USD     336,824     Credit Suisse International   9/15/17     4,577  
RUB     27,817,800     USD     455,708     Credit Suisse International   9/15/17     5,335  
RUB     20,598,800     USD     337,423     Goldman Sachs International   9/15/17     3,976  
RUB     19,845,500     USD     325,763     HSBC Bank USA N.A.   9/15/17     3,150  
RUB     21,015,300     USD     344,141     HSBC Bank USA N.A.   9/15/17     4,160  
RUB     24,191,600     USD     395,013     HSBC Bank USA N.A.   9/15/17     5,931  
RUB     19,976,700     USD     327,729     JPMorgan Chase Bank N.A.   9/15/17     3,359  
RUB     21,619,300     USD     355,522     JPMorgan Chase Bank N.A.   9/15/17     2,789  
USD     1,374,452     RUB     79,639,195     BNP Paribas S.A.   9/15/17     54,537  
USD     1,374,492     RUB     79,765,206     BNP Paribas S.A.   9/15/17     52,488  
USD     123,831     RUB     7,462,663     Credit Suisse International   9/15/17     147  
USD     3,423,585     RUB     199,213,251     Deutsche Bank AG   9/15/17     121,886  
USD     3,459,353     RUB     200,568,120     Deutsche Bank AG   9/15/17     135,199  
USD     501,517     RUB     29,774,081     HSBC Bank USA N.A.   9/15/17     8,051  
USD     3,105,933     RUB     180,119,273     JPMorgan Chase Bank N.A.   9/15/17     120,692  
TRY     1,086     USD     296     Goldman Sachs International   9/20/17     9  
USD     822,198     ZAR     10,839,441     Bank of America N.A.   9/20/17     6,244  
USD     830,014     ZAR     10,918,340     Citibank N.A.   9/20/17     8,121  
USD     435,156     ZAR     5,725,195     JPMorgan Chase Bank N.A.   9/20/17     4,184  
CLP     223,014,000     USD     341,000     BNP Paribas S.A.   9/21/17     1,830  
USD     133,000     ARS     2,255,680     JPMorgan Chase Bank N.A.   9/25/17     9,239  
IDR     19,268,360,000     USD     1,430,465     Goldman Sachs International   10/26/17     2,828  
USD     102,162     IDR     1,373,361,624     BNP Paribas S.A.   10/26/17     3  
USD     1,233,058     IDR     16,571,064,128     BNP Paribas S.A.   10/26/17     405  
USD     2,914,265     IDR     39,173,546,295     Deutsche Bank AG   10/26/17     308  
USD     45,315     IDR     609,073,300     Goldman Sachs International   10/26/17     8  
USD     286,000     ARS     4,743,768     Citibank N.A.   11/21/17     33,640  
TRY     4,199,519     USD     1,089,454     BNP Paribas S.A.   6/25/18     822  
TRY     9,984,481     USD     2,579,469     BNP Paribas S.A.   6/25/18     12,694  
           

 

 

 
              1,525,380  
           

 

 

 
USD     438,600     BRL     1,465,757     BNP Paribas S.A.   8/02/17     (31,443
USD     477,400     BRL     1,505,720     BNP Paribas S.A.   8/02/17     (5,458
USD     616,000     BRL     1,942,864     BNP Paribas S.A.   8/02/17     (7,042
USD     1,130,000     BRL     3,564,020     BNP Paribas S.A.   8/02/17     (12,919
USD     1,323,625     BRL     4,418,526     BNP Paribas S.A.   8/02/17     (93,318
USD     1,346,790     BRL     4,216,395     BNP Paribas S.A.   8/02/17     (5,334
USD     64,564     BRL     202,131     Goldman Sachs International   8/02/17     (256
USD     273,681     BRL     856,812     Goldman Sachs International   8/02/17     (1,084
USD     464,910     BRL     1,455,494     Goldman Sachs International   8/02/17     (1,841
USD     479,809     BRL     1,502,139     Goldman Sachs International   8/02/17     (1,900
USD     363,277     BRL     1,137,312     Morgan Stanley & Co. International PLC   8/02/17     (1,439
USD     1,153,389     BRL     3,610,915     Royal Bank of Scotland PLC   8/02/17     (4,568
USD     1,396,654     EUR     1,222,000     BNP Paribas S.A.   8/03/17     (50,025
USD     4,297,515     EUR     3,760,774     Citibank N.A.   8/03/17     (154,721
USD     16,419,504     EUR     14,368,778     Citibank N.A.   8/03/17     (591,143
USD     106,099     EUR     93,000     Deutsche Bank AG   8/03/17     (4,000
USD     763,178     EUR     650,000     Deutsche Bank AG   8/03/17     (6,332

 

     
                
54    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

Forward Foreign Currency Exchange Contracts (continued)  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
  Unrealized
Appreciation
(Depreciation)
 
USD     1,076,668     EUR     917,000     Deutsche Bank AG   8/03/17   $ (8,933
USD     27,397     EUR     24,000     Standard Chartered Bank   8/03/17     (1,015
USD     228,495     GBP     176,000     BNP Paribas S.A.   8/03/17     (3,727
USD     1,451,373     GBP     1,118,000     Barclays Bank PLC   8/03/17     (23,765
USD     2,541,415     GBP     1,958,000     Citibank N.A.   8/03/17     (42,055
USD     14,228,292     GBP     10,962,000     Citibank N.A.   8/03/17     (235,445
USD     120,730     GBP     93,000     Deutsche Bank AG   8/03/17     (1,978
USD     393,346     GBP     303,000     Deutsche Bank AG   8/03/17     (6,446
USD     350,000     TRY     1,266,450     Citibank N.A.   8/04/17     (9,534
USD     336,243     TRY     1,195,704     Citibank N.A.   8/07/17     (2,906
USD     78,614     TRY     279,885     Goldman Sachs International   8/07/17     (773
USD     55,144     TRY     196,180     Royal Bank of Scotland PLC   8/07/17     (501
USD     2,240,000     COP     6,947,740,800     Barclays Bank PLC   8/08/17     (85,088
USD     1,245,000     COP     3,853,275,000     Royal Bank of Scotland PLC   8/08/17     (44,513
USD     99,630     ZAR     1,349,883     BNP Paribas S.A.   8/10/17     (2,665
USD     498,151     ZAR     6,755,223     Barclays Bank PLC   8/10/17     (13,766
USD     1,245,377     ZAR     16,858,542     Deutsche Bank AG   8/10/17     (32,179
USD     210,842     ZAR     2,858,825     Goldman Sachs International   8/10/17     (5,802
ZAR     6,506,895     USD     498,151     Barclays Bank PLC   8/10/17     (5,052
ZAR     16,271,008     USD     1,245,377     Deutsche Bank AG   8/10/17     (12,345
ZAR     4,051,911     USD     310,472     JPMorgan Chase Bank N.A.   8/10/17     (3,415
USD     152,210     EUR     139,514     Bank of America N.A.   8/11/17     (13,024
USD     653,661     EUR     581,795     Citibank N.A.   8/11/17     (35,390
USD     748,792     TRY     2,668,737     Goldman Sachs International   8/11/17     (7,165
USD     107,878     AUD     136,400     Bank of America N.A.   8/14/17     (1,226
USD     269,771     AUD     341,000     Citibank N.A.   8/14/17     (2,989
USD     1,464,000     IDR     19,942,022,400     BNP Paribas S.A.   8/15/17     (31,920
IDR     39,173,546,295     USD     2,938,751     Deutsche Bank AG   8/16/17     (482
USD     419,782     IDR     5,631,373,110     Goldman Sachs International   8/16/17     (2,608
USD     1,229,542     IDR     16,494,299,748     Goldman Sachs International   8/16/17     (7,637
USD     1,270,807     IDR     17,047,873,437     Goldman Sachs International   8/16/17     (7,894
USD     208,296     MYR     893,589     Goldman Sachs International   8/17/17     (396
USD     483,704     MYR     2,075,091     Goldman Sachs International   8/17/17     (919
USD     3,668,156     TRY     13,125,211     BNP Paribas S.A.   8/21/17     (37,028
USD     474,000     COP     1,438,827,000     Credit Suisse International   8/22/17     (6,755
ARS     2,250,360     USD     133,000     BNP Paribas S.A.   8/23/17     (7,043
USD     267,152     MXN     5,063,997     JPMorgan Chase Bank N.A.   8/23/17     (16,343
RUB     35,251,482     USD     591,200     Deutsche Bank AG   8/24/17     (4,052
USD     1,436,555     EUR     1,222,000     BNP Paribas S.A.   9/06/17     (12,673
USD     4,424,065     EUR     3,760,774     Citibank N.A.   9/06/17     (36,016
USD     16,903,014     EUR     14,368,778     Citibank N.A.   9/06/17     (137,606
USD     230,703     GBP     176,000     BNP Paribas S.A.   9/06/17     (1,778
USD     2,567,731     GBP     1,958,000     Citibank N.A.   9/06/17     (18,625
USD     14,375,622     GBP     10,962,000     Citibank N.A.   9/06/17     (104,271
USD     121,971     GBP     93,000     Deutsche Bank AG   9/06/17     (875
USD     397,388     GBP     303,000     Deutsche Bank AG   9/06/17     (2,849
USD     1,456,257     GBP     1,109,000     State Street Bank and Trust Co.   9/06/17     (8,640
USD     474,000     COP     1,467,030,000     Barclays Bank PLC   9/07/17     (15,294
USD     376,038     RUB     22,959,023     Credit Suisse International   9/15/17     (4,477
TRY     1,058,235     EUR     255,600     Citibank N.A.   9/18/17     (7,005
TRY     1,876,081     EUR     454,400     Citibank N.A.   9/18/17     (13,917
USD     240,980     TRY     872,614     Bank of America N.A.   9/20/17     (3,247
USD     1,105,888     TRY     3,987,776     Bank of America N.A.   9/20/17     (10,213

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    55


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Forward Foreign Currency Exchange Contracts (continued)  
Currency
Purchased
    Currency
Sold
    Counterparty   Settlement
Date
    Unrealized
Appreciation
(Depreciation)
 
USD     396,529     TRY     1,440,689     Barclays Bank PLC     9/20/17     $ (6,692
USD     1,198,833     TRY     4,314,419     Citibank N.A.     9/20/17       (8,689
ARS     2,293,585     USD     133,000     BNP Paribas S.A.     9/25/17       (7,159
USD     1,158,328     TRY     4,199,519     BNP Paribas S.A.     10/23/17       (6,388
USD     2,743,366     TRY     9,984,481     BNP Paribas S.A.     10/23/17       (25,780
USD     854,877     IDR     11,498,948,941     BNP Paribas S.A.     10/26/17       (482
USD     52,689     IDR     709,091,136     Goldman Sachs International     10/26/17       (57
USD     111,960     IDR     1,506,755,916     Goldman Sachs International     10/26/17       (121
USD     161,455     IDR     2,172,863,128     Goldman Sachs International     10/26/17       (175
USD     98,422     IDR     1,325,254,284     JPMorgan Chase Bank N.A.     10/26/17       (158
USD     171,598     EUR     159,068     Citibank N.A.     2/21/18       (18,823
USD     281,504     EUR     261,840     Deutsche Bank AG     2/21/18       (31,946
USD     280,894     EUR     261,284     Morgan Stanley & Co. International PLC     2/21/18       (31,890
           

 

 

 
                                      (2,213,443

Net Unrealized Depreciation

    $ (688,063
         

 

 

 

 

OTC Options Purchased  
Description   Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount
(000)
    Value  

Call

                   

USD Currency

  Deutsche Bank AG             8/07/17      RUB     58.00      USD     474     $ 16,428  

USD Currency

  Morgan Stanley & Co. International PLC             8/10/17      BRL     3.40      USD     440       2  

USD Currency

  BNP Paribas S.A.             8/17/17      JPY     113.50      USD     1,000       364  

USD Currency

  HSBC BANK PLC             9/01/17      TWD     30.50      USD     1,086       3,810  

EUR Currency

  Citibank N.A.             9/15/17      TRY     4.25      EUR     710       10,200  
                      30,804  
                   

 

 

 

Put

 

EUR Currency

  Barclays Bank PLC             8/17/17      USD     1.15      EUR     530       136  

EUR Currency

  HSBC Bank PLC             8/17/17      USD     1.15      EUR     1,229       227  

EUR Currency

  JPMorgan Chase Bank N.A.             8/17/17      USD     1.14      EUR     790       23  

EUR Currency

  BNP Paribas S.A.             8/25/17      USD     1.12      EUR     669       15  

USD Currency

  Citibank N.A.             8/25/17      TRY     3.52      USD     1,456       7,678  

EUR Currency

  JPMorgan Chase Bank N.A.             8/29/17      MXN     20.50      EUR     579       1,136  

USD Currency

  Deutsche Bank AG             9/01/17      CNH     6.80      USD     1,464       15,212  

USD Currency

  Deutsche Bank AG             9/08/17      INR     64.75      USD     870       7,957  

USD Currency

  Deutsche Bank AG             10/12/17      RUB     60.30      USD     650       11,893  
                      44,277  
                   

 

 

 

Total

 

  $ 75,081  
 

 

 

 

 

OTC Barrier Options Written  
Description   Type of
Option
  Counterparty   Number of
Contracts
    Expiration
Date
  Exercise
Price
  Barrier
Price/Range
  Notional
Amount
(000)
    Value  

Put

 

USD Currency

  Down-and-Out   JPMorgan Chase Bank N.A.         8/17/17   USD       3.15   USD       3.06     790     $ 3,097  

 

     
                
56    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

OTC Options Written  
Description   Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount
(000)
    Value  

Call

                 

USD Currency

  Barclays Bank PLC             8/10/17      BRL     3.40      USD 440     $ (2

EUR Currency

  JPMorgan Chase Bank N.A.             8/29/17      MXN     21.50      EUR 579       (5,311

USD Currency

  Goldman Sachs International             9/06/17      BRL     3.31      USD 440       (1,518
OTC Options Written (continued)  
Description   Counterparty    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount
(000)
    Value  

Call

                 

USD Currency

  Morgan Stanley & Co. International PLC             9/15/17      BRL     3.30      USD 440     $ (2,234

USD Currency

  Deutsche Bank AG             10/12/17      RUB     63.00      USD 650       (8,163
                    (17,228
                 

 

 

 

Put

                 

USD Currency

  Barclays Bank PLC             8/10/17      BRL     3.30      USD 440       (24,186

USD Currency

  HSBC BANK USA             9/01/17      TWD     30.00      USD 1,086       (2,960

USD Currency

  Deutsche Bank AG             9/08/17      INR     63.90      USD   1,300       (3,363

EUR Currency

  Citibank N.A.             9/15/17      TRY     3.96      EUR 710       (127
                    (30,636
                 

 

 

 

Total

                  $ (47,864
                 

 

 

 

 

Centrally Cleared Credit Default Swaps — Buy Protection  
Reference Obligation/Index  

Financing

Rate

Received by

the Trust

    Payment
Frequency
  Termination
Date
  Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Markit CDX North America High Yield Index, Series 28, Version 1

    1.00   Quarterly   6/20/22   USD     15,243     $ (301,290   $ (226,950   $ (74,340

Markit iTraxx XO, Series 27, Version 1

    5.00   Quarterly   6/20/22   EUR     150       (21,211     (14,172     (7,039

Total

    $ 322,501     $ (241,122   $ (81,379
           

 

 

 

 

Centrally Cleared Credit Default Swaps — Sell Protection  
Reference Obligation/Index  

Financing

Rate
Received by

the Trust

    Payment
Frequency
  Termination
Date
  Credit
Rating1
  Notional
Amount
(000)2
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Chesapeake Energy Corp.

    5.00   Quarterly   12/20/21   CCC   USD     520     $ (35,507   $ (18,990   $ (16,517

 

1    Using S&P/Standard & Poor’s (“S&P’s”) rating of the issuer or the underlying securities of the index, as applicable.

2    The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

 

Centrally Cleared Interest Rate Swaps              
Paid by the Trust  

Received by the Trust

                                               
Rate   Frequency   Rate   Frequency        Effective
Date
  Termination
Date
  Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
7.36%   Monthly   28-day MXIBTIIE   Monthly     N/A   1/28/19   MXN     111,632     $ (20,082   $ 51     $ (20,133
1.50%   Semi-annually   3-Month LIBOR   Quarterly     N/A   2/02/19   USD     8,000       4,002       79       3,923  
1.62%   Semi-annually   3-Month LIBOR   Quarterly     N/A   4/04/19   USD     7,600       (8,168           (8,168
28-day MXIBTIIE   Monthly   7.32%   Monthly     N/A   2/20/20   MXN     100,257       57,202       56       57,146  
28-day MXIBTIIE   Monthly   7.16%   Monthly     N/A   4/29/20   MXN     97,110       40,271             40,271  

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    57


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

Centrally Cleared Interest Rate Swaps (continued)  
Paid by the Trust         

Received by the Trust

                                              
Rate   Frequency          Rate   Frequency   Effective
Date
    Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
2.01%   Semi-annually     3-Month LIBOR   Quarterly     N/A       2/02/22     USD     15,000     $ (99,006   $ 191     $ (99,197
28-day MXIBTIIE   Monthly     7.44%   Monthly     N/A       3/07/22     MXN     34,237       47,322       23       47,299  
28-day MXIBTIIE   Monthly     7.47%   Monthly     N/A       3/07/22     MXN     17,117       24,617       11       24,606  
28-day MXIBTIIE   Monthly     7.48%   Monthly     N/A       3/07/22     MXN     17,118       25,000       11       24,989  
28-day MXIBTIIE   Monthly     7.16%   Monthly     N/A       6/01/22     MXN     40,320       31,037             31,037  
2.00%   Semi-annually     3-Month LIBOR   Quarterly     N/A       7/12/22     USD     3,000       (15,438           (15,438
28-day MXIBTIIE   Monthly     6.32%   Monthly     N/A       7/17/25     MXN     5,813       14,616       (13     14,629  
3-Month LIBOR   Quarterly     2.13%   Semi-annually     N/A       8/25/25     USD     110       (30     2       (32
2.27%   Semi-annually     3-Month LIBOR   Quarterly     N/A       9/11/25     USD     68       (689     1       (690
1.46%   Semi-annually     3-Month LIBOR   Quarterly     N/A       6/28/26     USD     1,427       84,743       18       84,725  
1.46%   Semi-annually     3-Month LIBOR   Quarterly     N/A       6/28/26     USD     357       21,167       5       21,162  
2.47%   Semi-annually     3-Month LIBOR   Quarterly     N/A       12/29/26     USD     3,000       (67,650     47       (67,697
2.24%   Semi-annually     3-Month LIBOR   Quarterly     N/A       1/19/27     USD     3,400       (9,848     51       (9,899
2.42%   Semi-annually     3-Month LIBOR   Quarterly     N/A       4/04/27     USD     18,300       (316,508           (316,508
2.29%   Semi-annually     3-Month LIBOR   Quarterly     N/A       5/02/27     USD     3,000       (18,518           (18,518
2.28%   Semi-annually     3-Month LIBOR   Quarterly     N/A       5/17/27     USD     1,700       (7,455           (7,455
2.18%   Semi-annually     3-Month LIBOR   Quarterly     N/A       6/05/27     USD     2,300       11,103             11,103  
28-day MXIBTIIE   Monthly     7.81%   Monthly     N/A       3/04/37     MXN     8,115       16,541             16,541  
28-day MXIBTIIE   Monthly     7.94%   Monthly     N/A       5/01/37     MXN     9,721       27,673             27,673  
28-day MXIBTIIE   Monthly     7.91%   Monthly     N/A       5/01/37     MXN     10,565       28,135       (13     28,148  
2.70%   Semi-annually           3-Month LIBOR   Quarterly     N/A       4/04/47     USD     13,200       (441,468           (441,468
Total                   $ 571,431     $ 520     $ (571,951
                 

 

 

 

 

OTC Credit Default Swaps — Buy Protection  
Reference Obligation/Index   Financing
Rate
Paid by
the Trust
    Payment
Frequency
  Counterparty   Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

United Mexican States

    1.00   Quarterly   Citibank N.A.     6/20/20     USD     604     $ (8,260   $ 3,432     $ (11,692

United Mexican States

    1.00   Quarterly   Bank of America N.A.     9/20/20     USD     604       (7,730     4,827       (12,557

Federation of Russia

    1.00   Quarterly   Bank of America N.A.     12/20/21     USD     245       4,405       12,749       (8,344

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     882       (61,317     (40,054     (21,263

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     144       (10,011     (11,648     1,637  

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     144       (10,011     (11,648     1,637  

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     153       (10,636     (12,167     1,531  

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     978       (67,990     (71,748     3,758  

Republic of Argentina

    5.00   Quarterly   BNP Paribas S.A.     6/20/22     USD     433       (30,102     (29,772     (330

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     433       (30,105     (28,428     (1,677

Republic of Argentina

    5.00   Quarterly   Barclays Bank PLC     6/20/22     USD     572       (39,739     (36,764     (2,975

Republic of Philippines

    1.00   Quarterly   JPMorgan Chase Bank N.A.     6/20/22     USD     4,289       (65,025     (10,668     (54,357

Republic of South Africa

    1.00   Quarterly   HSBC Bank PLC     6/20/22     USD     175       6,346       8,253       (1,907

Republic of South Africa

    1.00   Quarterly   Citibank N.A.     6/20/22     USD     1,373       49,794       66,056       (16,262

Republic of South Africa

    1.00   Quarterly   Bank of America N.A.     6/20/22     USD     590       21,398       28,386       (6,988

Republic of South Africa

    1.00   Quarterly   Goldman Sachs International     6/20/22     USD     364       13,183       17,450       (4,267

Markit CMBX North America, Series 7

    3.00   Monthly   Deutsche Bank AG     1/17/47     USD     25,000       2,200,521       1,919,364       281,157  
Total               $ 1,954,721     $ 1,807,620     $ 147,101  
             

 

 

 

 

     
                
58    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

OTC Credit Default Swaps — Sell Protection  
Reference Obligation/Index   Financing
Rate
Received by
the Trust
  Payment
Frequency
  Counterparty   Termination
Date
    Credit
Rating1
    Notional
Amount
(000)2
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 

Dow Jones CDX North America Investment Grade, Series 9

  5.00%   Quarterly   Bank of America N.A.     12/20/17       BBB     USD     10,000     $ 252,872     $ (68,569   $ 321,441  

United Mexican States

  1.00%   Quarterly   Bank of America N.A.     6/20/20       BBB+     USD     604       8,259       (3,598     11,857  

United Mexican States

  1.00%   Quarterly   Citibank N.A.     9/20/20       BBB+     USD     604       7,730       4,578       3,152  

Hellenic Telecommunications Organization SA

  5.00%   Quarterly   Barclays Bank PLC     12/20/21       B+     EUR     30       5,275       1,775       3,500  

International Game Technology

  5.00%   Quarterly   JPMorgan Chase Bank N.A.     6/20/22       BB+     EUR     30       3,917       3,130       787  

International Game Technology

  5.00%   Quarterly   Credit Suisse International     6/20/22       BB+     EUR     20       2,856       2,015       841  

Markit CMBX North America, Series 7

  3.00%   Monthly   Barclays Bank PLC     1/17/47       BBB-     USD     10,000       (881,042     (534,508     (346,534

Markit CMBX North America, Series 7

  3.00%   Monthly   Barclays Bank PLC     1/17/47       BBB-     USD     5,000       (440,520     (266,879     (173,641

Markit CMBX North America, Series 7

  3.00%   Monthly   Barclays Bank PLC     1/17/47       BBB-     USD     10,000       (881,042     (258,832     (622,210

Markit CMBX North America, Series 8

  2.00%   Monthly   Morgan Stanley & Co. International PLC     10/17/57       BBB-     USD     5,000       (206,848     (573,726     366,878  

Markit CMBX North America, Series 8

  3.00%   Monthly   Goldman Sachs International     10/17/57       BBB-     USD     10,000       (1,473,115     (1,096,865     (376,250

Markit CMBX North America, Series 8

  3.00%   Monthly   Deutsche Bank AG     10/17/57       BBB-     USD     10,000       (1,472,281     (1,408,232     (64,049

Markit CMBX North America, Series 9

  2.00%   Monthly   Morgan Stanley & Co. International PLC     9/17/58       A-     USD     2,500       (65,726     (350,934     285,208  

Markit CMBX North America, Series 9

  2.00%   Monthly   Credit Suisse International     9/17/58       A-     USD     2,500       (65,726     (354,356     288,630  

Markit CMBX North America, Series 9

  2.00%   Monthly   Morgan Stanley & Co. International PLC     9/17/58       A-     USD     5,000       (131,452     (695,333     563,881  

Markit CMBX North America, Series 9

  3.00%   Monthly   Morgan Stanley & Co. International PLC     9/17/58       BBB-     USD     2,500       (284,059     (567,175     283,116  

Markit CMBX North America, Series 9

  3.00%   Monthly   Deutsche Bank AG     9/17/58       -BBB     USD     25,000       (2,840,584     (2,524,162     (316,422

Markit CMBX North America, Series 9

  3.00%   Monthly   Goldman Sachs International     9/17/58       -BBB     USD     5,000       (568,117     (541,667     (26,450

Markit CMBX North America, Series 9

  3.00%   Monthly   Credit Suisse International     9/17/58       BBB-     USD     5,000       (568,117     (557,480     (10,637

Markit CMBX North America, Series 9

  3.00%   Monthly   Morgan Stanley & Co. International PLC     9/17/58       -BBB     USD     5,000       (568,117     (556,834     (11,283

Total

                $ (10,165,837   $ (10,347,652   $ 181,815  

1   Using S&P rating of the issuer or the underlying securities of the index, as applicable.

    

2   The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.

    

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    59


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

OTC Interest Rate Swaps  
Paid by the Trust         

Received by the Trust

                                                   
Rate   Frequency          Rate   Frequency   Counterparty   Effective
Date
    Termination
Date
    Notional
Amount
(000)
    Value     Upfront
Premium
Paid
(Received)
    Unrealized
Appreciation
(Depreciation)
 
9.50%   At Termination     BRL Overnight CDI (CETIP) Rate   Daily   Bank of America N.A.     N/A       10/02/17     BRL     17,516     $ (2,803         $ (2,803
1.69%   Quarterly     3-Month KRWCD   Quarterly   Deutsche Bank AG     N/A       11/10/17     KRW     911,735       (1,183           (1,183
3-Month
KRWCD
  Quarterly     1.92%   Quarterly   Deutsche Bank AG     N/A       11/10/17     KRW     911,735       2,126             2,126  
8.98%   At Termination     BRL Overnight CDI (CETIP) Rate   Daily   Citibank N.A.     N/A       1/02/18     BRL     4,307       (242           (242
9.98%   At Termination     BRL Overnight CDI (CETIP) Rate   Daily   JPMorgan Chase Bank N.A.     N/A       1/02/18     BRL     13,433       (17,540           (17,540
9.98%   At Termination     BRL Overnight CDI (CETIP) Rate   Daily   Citibank N.A.     N/A       1/02/18     BRL     13,432       (17,696           (17,696
28-day
MXIBTIIE
  Monthly     7.07%   Monthly   Citibank N.A.     N/A       11/21/18     MXN     35,508       (3,710           (3,710
28-day
MXIBTIIE
  Monthly     7.06%   Monthly   JPMorgan Chase Bank N.A.     N/A       11/21/18     MXN     42,610       (4,772           (4,772
28-day
MXIBTIIE
  Monthly     6.98%   Monthly   JPMorgan Chase Bank N.A.     N/A       11/28/18     MXN     34,377       (5,658           (5,658
28-day
MXIBTIIE
  Monthly     6.98%   Monthly   Citibank N.A.     N/A       11/28/18     MXN     60,600       (9,974           (9,974
BRL
Overnight
CDI
(CETIP)
Rate
  At Termination     9.25%   Daily   Citibank N.A.     N/A       1/02/19     BRL     11,722       48,573             48,573  
BRL
Overnight
CDI
(CETIP)
Rate
  At Termination     9.27%   Daily   JPMorgan Chase Bank N.A.     N/A       1/02/19     BRL     11,128       47,285             47,285  
28-day
MXIBTIIE
  Monthly     6.32%   Monthly   Citibank N.A.     N/A       7/17/25     MXN     2,897       (7,257   $ (15     (7,242
28-day
MXIBTIIE
  Monthly     6.32%   Monthly   Goldman Sachs International     N/A       8/06/25     MXN     8,688       (22,200     (37     (22,163
6.30%   Monthly     28-day MXIBTIIE   Monthly   Deutsche Bank AG     N/A       8/11/25     MXN     6,393       16,628             16,628  
6.31%   Monthly     28-day MXIBTIIE   Monthly   Bank of America N.A.     N/A       8/11/25     MXN     1,723       4,463             4,463  
6.31%   Monthly     28-day MXIBTIIE   Monthly   Bank of America N.A.     N/A       8/11/25     MXN     1,723       4,463             4,463  
28-day
MXIBTIIE
  Monthly           6.25%   Monthly   Bank of America N.A.     N/A       6/15/26     MXN     38,640       (121,803           (121,803
Total                     $ (91,300   $ (52   $ (91,248
                   

 

 

 

 

     
                
60    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

 

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 Trust 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 Trust’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 Trust’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 Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

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

 

     Level 1        Level 2        Level 3        Total  

Assets:

                
Investments:                 
Long-Term Investments:                 

Asset-Backed Securities

           $ 183,799,964        $ 6,015,181        $ 189,815,145  

Common Stocks

  $ 3,041,320                            3,041,320  

Corporate Bonds

    732,276          492,178,410                   492,910,686  

Floating Rate Loan Interests

             83,774,461          32,263,461          116,037,922  

Foreign Agency Obligations

             79,339,425                   79,339,425  

Non-Agency Mortgage- Backed Securities

             141,401,416          24,511,402          165,912,818  

Preferred Securities

    19,288,041          110,936,680          1,740,661          131,965,382  

U.S. Government Sponsored Agency Securities

             16,102,909                   16,102,909  
Short-Term Securities:                 

Money Market Funds

    11,209,050                            11,209,050  
Options Purchased:                 

Foreign currency exchange contracts

             78,178                   78,178  
Unfunded Floating Rate Loan Interest1                       94,986          94,986  
 

 

 

 

Total

  $     34,270,687        $     1,107,611,443        $     64,625,691        $     1,206,507,821  
 

 

 

 

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    61


Consolidated Schedule of Investments (continued)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

     Level 1        Level 2        Level 3        Total  
Derivative Financial Instruments 2                 

Assets:

                
Credit contracts            $ 2,419,011                 $ 2,419,011  
Foreign currency exchange contracts              1,525,380                   1,525,380  
Interest rate contracts   $ 51,561          556,790                   608,351  

Liabilities:

                
Credit contracts              (2,187,991)                   (2,187,991)  
Foreign currency exchange contracts              (2,261,307)                   (2,261,307)  
Interest rate contracts     (273,493)          (1,219,989)                   (1,493,482)  
 

 

 

 

Total

  $     (221,932)        $     (1,168,106)                 $     (1,390,038)  
 

 

 

 
  1   

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

 

  2   

Derivative financial instruments are swaps, futures contracts, forward foreign currency exchange contracts, and options written. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value.

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial statement purposes. As of period end, reverse repurchase agreements payable of $458,935,293 is categorized as Level 2 within the disclosure hierarchy.

During the period ended July 31, 2017, there were no transfers between level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Trust 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
    Common
Stocks
    Floating
Rate Loan
Interests
   

Non-Agency

Mortgage-

Backed

Securities

   

Preferred

Securities

    Unfunded
Floating
Rate Loan
Interests
    Total  

Assets:

           

Opening balance, as of October 31, 2016

  $ 17,206,973     $ 561     $ 27,486,435     $ 24,015,690     $ 1,631,265           $ 70,340,924  

Transfers into Level 31

            1,198,772                 $ 164,769       1,363,541  

Transfers out of Level 32

    (5,182,826           (367,669                       (5,550,495

Accrued discounts/premiums

    3,239             45,782       174,502                   223,523  

Net realized gain (loss)

    49,321       (12,833     62,179       540,621                   639,288  

Net change in unrealized

appreciation (depreciation)3

    (338,155     8,074       6,778,076       1,560,657       109,396       (69,784     8,048,264  

Purchases

    989,100       7,536       23,433,180                     24,429,816  

Sales

    (6,712,471     (3,338     (26,373,293     (1,780,068                 (34,869,170
 

 

 

 

Closing Balance, as of July 31, 2017

  $ 6,015,181           $ 32,263,462     $ 24,511,402     $ 1,740,661     $ 94,985     $ 64,625,691  
 

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at July 31, 20173

  $ (303,745         $ 6,678,075     $ 1,560,658     $ 109,396     $ (69,784   $ 7,974,600  
 

 

 

 

 

     
                
62    BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017   


Consolidated Schedule of Investments (concluded)

  

BlackRock Multi-Sector Income Trust  (BIT)

 

  1   

As of October 31, 2016, the Trust used observable inputs in determining the value of certain investments. As of July 31, 2017, the Trust 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 October 31, 2016, the Trust used significant unobservable inputs in determining the value of certain investments. As of July 31, 2017, the Trust 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   

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at July 31, 2017is generally due to investments no longer held or categorized as Level 3 at period end.

The following table summarizes the valuation approaches used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments with values based upon unadjusted third party pricing information in the amount of $62,790,044. A significant change in such third party pricing information could result in a significantly lower or higher value of such Level 3 investments.

 

     Value        Valuation Approach      Unobservable Inputs      Range of
Unobservable Inputs
Utilized

Assets:

                

Preferred Stocks

  $ 1,740,661        Market      Illiquidity Discount1      1.6%
 

 

 

Total

  $ 1,740,661                 
 

 

 

                
  1   

Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

 

     
                
   BLACKROCK MULTI-SECTOR INCOME TRUST    JULY 31, 2017    63


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 Multi-Sector Income Trust
  By:    /s/ John M. Perlowski                    
     John M. Perlowski
     Chief Executive Officer (principal executive officer) of
     BlackRock Multi-Sector Income Trust
  Date:    September 25, 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 Multi-Sector Income Trust
  Date:    September 25, 2017
  By:    /s/ Neal J. Andrews                        
     Neal J. Andrews
     Chief Financial Officer (principal financial officer) of
     BlackRock Multi-Sector Income Trust
  Date:    September 25, 2017