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